Probability of Loss Calculator

Probability an investment loses money (or beats a target) over a period, from expected return and volatility.

Enter values

Result

Probability below target

32.04%

Assumes normally distributed annual returns — real markets have fatter tails.

Probability an investment loses money (or beats a target) over a period, from expected return and volatility.

Also known as: probability of profit, chance of loss, investment risk probability.

Enter expected annual return, annual volatility (std dev), years, target return (0 = break even).
The result updates instantly as you type — press Calculate (or Enter) at any time.
Review the breakdown shown under the main result.
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P(loss) = Φ((target − μt) / (σ√t))

Using the values pre-filled in the calculator above:

the calculator returns: