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Value at Risk (VaR) Estimates for Individual Stocks

In the table below, we report Value at Risk (VaR) estimates for individual stocks over three time frames. The values are based on our volatility forecasts.

Value at Risk estimates how much loss an investment may experience over a specified period of time with a specified degree of probability. One way to phrase the question that VaR seeks to answer is "With 95% confidence, what is the most one would expect investment to lose over the next week (or month, or year)?"

We report 5% VaR estimates in percentage terms. For example a stock with a VaR of 10% over the next month has an estimated 5% probability of losing 10% or more. Put differently, there is a 95% estimated probability that the stock would not lose more than 10% of its value.

Value at Risk Estimates (5%)

Data updated through market close on 12/23/2022

Company Name (Ticker Symbol)VaR over next weekVaR over next monthVaR over next year
Schlumberger Ltd (NYSE:SLB) 12.4 26.2 89.3
Exxon Mobil Corporation (NYSE:XOM) 6.8 17.0 62.6
ConocoPhillips (NYSE:COP) 10.3 22.4 76.3
Chevron Corp (NYSE:CVX) 7.2 17.4 57.3
Merck & Co (NYSE:MRK) 4.8 11.5 43.3
Lockheed Martin Corp (NYSE:LMT) 5.1 13.1 46.7
Eli Lilly & Company (NYSE:LLY) 6.9 14.8 55.7
AbbVie Inc (NYSE:ABBV) 6.2 15.1 41.9
General Dynamics Corp (NYSE:GD) 5.3 12.6 40.6
Allstate Corporation (NYSE:ALL) 5.0 13.1 51.8
Biogen Inc (NASDAQ:BIIB) 11.8 27.2 91.4
Amgen Inc (NASDAQ:AMGN) 5.5 13.1 41.5
Bristol-Myers Squibb Co (NYSE:BMY) 6.6 13.8 37.4
Metlife Inc (NYSE:MET) 6.7 16.5 49.7
Raytheon Technologies Corporation (NYSE:RTX) 5.5 14.9 46.5
Gilead Sciences Inc (NASDAQ:GILD) 6.2 13.5 42.7
Caterpillar Inc (NYSE:CAT) 7.0 15.5 58.4
Kinder Morgan Inc (NYSE:KMI) 6.3 16.1 50.9
Kraft Heinz Company (NASDAQ:KHC) 7.5 17.8 45.6
American International Group (NYSE:AIG) 6.5 19.1 60.2
Exelon Corporation (NASDAQ:EXC) 5.3 12.7 43.5
Coca-Cola Co (NYSE:KO) 4.4 10.2 34.1
Philip Morris International (NYSE:PM) 5.0 14.6 43.4
International Business Machines Corporation (NYSE:IBM) 7.1 14.6 45.4
Southern Company (NYSE:SO) 5.3 12.5 38.4
Pepsico Inc (NASDAQ:PEP) 3.9 10.2 33.6
UnitedHealth Group Inc. (NYSE:UNH) 6.4 14.1 43.1
Johnson & Johnson (NYSE:JNJ) 4.2 10.1 30.9
Emerson Electric Co (NYSE:EMR) 6.7 15.3 48.6
Honeywell International (NASDAQ:HON) 5.6 12.9 43.8
Berkshire Hathaway Cl B (NYSE:BRKB) 5.7 12.0 37.8
Mondelez International Inc (NASDAQ:MDLZ) 4.6 10.8 36.0
Walmart Inc (NYSE:WMT) 5.8 12.6 44.0
McDonalds Corp (NYSE:MCD) 5.1 11.2 34.7
Duke Energy Corp (NYSE:DUK) 4.9 11.5 37.6
Altria Group Inc (NYSE:MO) 6.0 14.5 47.4
AT&T Inc (NYSE:T) 6.5 13.6 47.8
Colgate-Palmolive Co (NYSE:CL) 4.2 10.3 35.4
Procter & Gamble Co (NYSE:PG) 3.4 10.4 37.0
Mastercard Incorporated (NYSE:MA) 7.1 16.6 59.2
Visa Inc (NYSE:V) 6.4 14.7 54.6
NextEra Energy (NYSE:NEE) 6.3 13.6 51.3
Boeing Co (NYSE:BA) 10.6 23.8 81.5
CVS Health Corporation (NYSE:CVS) 6.7 15.1 47.4
Oracle Corp (NYSE:ORCL) 6.5 15.1 57.9
Goldman Sachs Group Inc (NYSE:GS) 7.5 16.3 53.5
American Express Co (NYSE:AXP) 8.2 18.5 62.7
Pfizer Inc (NYSE:PFE) 7.3 14.3 53.8
Texas Instruments Inc (NASDAQ:TXN) 8.0 16.7 55.7
Starbucks Corporation (NASDAQ:SBUX) 6.5 15.3 59.0
General Electric Co (NYSE:GE) 9.1 20.7 64.2
Morgan Stanley (NYSE:MS) 8.2 17.5 57.2
Union Pacific Corp (NYSE:UNP) 6.4 14.3 45.2
Wells Fargo & Company (NYSE:WFC) 8.2 18.5 64.7
Costco Wholesale Corp (NASDAQ:COST) 7.4 13.8 52.6
JPMorgan Chase and Co (NYSE:JPM) 6.2 14.8 51.3
United Parcel Service Inc (NYSE:UPS) 7.2 16.2 56.1
rmo Fisher Scientific Inc (NYSE:TMO) 7.2 15.0 54.9
Booking Holdings, Inc (NASDAQ:BKNG) 9.2 19.3 74.5
Danaher Corp (NYSE:DHR) 8.0 15.4 57.2
Lowes Companies Inc (NYSE:LOW) 7.5 18.2 57.4
Home Depot Inc (NYSE:HD) 6.9 14.5 52.5
Abbott Laboratories (NYSE:ABT) 6.0 13.2 47.4
Blackrock Incorporated (NYSE:BLK) 7.6 16.2 60.2
Bank of New York Mellon Corporation (NYSE:BK) 6.7 15.3 55.5
US Bancorp (NYSE:USB) 6.4 15.7 53.6
Walgreens Boots Alliance Inc. (NASDAQ:WBA) 6.7 17.0 56.6
Cisco Systems Inc (NASDAQ:CSCO) 5.8 15.3 50.1
Simon Property Group (NYSE:SPG) 5.8 21.2 62.1
Medtronic PLC (NYSE:MDT) 6.8 13.6 45.3
Apple Inc (NASDAQ:AAPL) 10.3 18.8 59.5
Citigroup (NYSE:C) 8.5 18.4 56.6
Bank Of America Corp (NYSE:BAC) 8.6 17.8 56.9
Verizon Communications (NYSE:VZ) 5.3 10.9 37.2
Microsoft Corp (NASDAQ:MSFT) 9.0 16.8 57.8
Comcast Corp Cl A (NASDAQ:CMCSA) 7.4 15.2 53.5
Nike Inc Cl B (NYSE:NKE) 8.9 18.6 71.9
Fedex Corp (NYSE:FDX) 10.8 21.8 72.8
3M Company (NYSE:MMM) 6.7 14.2 45.9
Accenture Ltd (NYSE:ACN) 12.4 18.9 54.5
Target Corporation (NYSE:TGT) 10.0 20.3 76.1
Capital One Financial Cp (NYSE:COF) 11.0 22.1 73.3
Alphabet Inc (NASDAQ:GOOG) 9.6 18.1 62.8
Alphabet Inc Class A (NASDAQ:GOOGL) 9.4 17.8 62.9
Qualcomm Inc (NASDAQ:QCOM) 11.0 22.4 80.0
General Motors Company (NYSE:GM) 12.7 23.9 79.9
Adobe Systems Inc (NASDAQ:ADBE) 9.8 20.1 76.9
Walt Disney Company (NYSE:DIS) 10.8 20.2 61.4
Ford Motor Co (NYSE:F) 12.2 23.8 89.8
Charter Communications (NASDAQ:CHTR) 17.6 30.1 67.1
NVIDIA Corporation (NASDAQ:NVDA) 17.0 30.6 107.8
Intel Corp (NASDAQ:INTC) 8.7 19.3 66.0
Amazon.Com Inc (NASDAQ:AMZN) 11.5 20.4 79.3
Netflix Inc (NASDAQ:NFLX) 14.3 29.0 114.1
PayPal Holdings Inc (NASDAQ:PYPL) 9.2 22.1 97.0
Meta Platforms Inc (NASDAQ:META) 12.9 26.3 105.2
Tesla Inc (NASDAQ:TSLA) 19.8 37.7 114.7


Value at Risk measures have several known limitations. Positions can and do lose more than stated VaR values, and the misuse of VaR by financial institutions has been implicated in the 2008 financial crisis. We publish the our value at risk measures as a rough guide to the riskiness of individual stocks projected from recent market conditions. We update this report at the end of each week. For a separate view on stock volatility, see our stock volatility forecasts. Sign up to receive Update Notifications.