Quantora · Desk
CVaR Tail-Risk Optimizer
Variance punishes upside and downside alike. CVaR - Conditional Value-at-Risk, the average loss in your worst days - punishes only the pain. Quantora finds the long-only portfolio that minimizes it across real historical scenarios, then shows how much tail risk that saves versus equal-weighting.
Value-at-Risk answers "how bad is a typical bad day" (the loss you exceed only 5% of the time); CVaR goes further and averages all the days beyond it - so it sees the depth of the tail, not just its edge, which is why it's a coherent risk measure and the one regulators increasingly prefer. Quantora minimizes portfolio CVaR directly over your assets' historical daily returns using a projected sub-gradient method, keeping weights long-only and fully invested. The optimizer naturally shuns assets whose worst days line up, and leans on genuine diversifiers - the ones that hold up when everything else is falling. Compare the optimized CVaR to the equal-weight book to see the tail-risk you were carrying for free.