QQQ: 60-day return history, mean=0.0013, std=0.0041.

Question:
Asset: QQQ
Daily returns (past 60 days): mean=0.0013, std=0.0041, min=-0.0153, max=0.0109
Market regime: sideways
Recent filing/news:
[Kaggle 2017-04-05] ["ADP Posts Another Blowout Jobs Number to 263K Wednesday, April 5, 2017 For the second straight month, Automated Data Processing ADP private-sector jobs numbers blew the doors off expectations. A total of 263K new jobs were created for the month of March, a gain of 18,000 jobs from last month's (revised lower) ADP figure of 245K. And, for the second month in a row, Construction and Manufacturing jobs outperformed expectations, helping overall totals in the non-government labor market. The top industries in new job growth were Professional/Business Services (57K) and Leisure/Hospitality (55K), which is not surprising. But the 49K new jobs in Construction and the 30K in Manufacturing are far stronger than the historical average during this entire resurgence in U.S. jobs, which has been going on for the past 7-8 years. Confidence not only with the consumer (which we've seen in other recent econ data) but with the goods-producing sectors has led the way, at least partially due to expectations from the Trump administration's goals to bring back jobs in these categories. Small-sized companies (fewer than 50 employees) grew the most last month at 118K, Medium companies (50-499 employees) grew by 100K and Large firms added 45K jobs. Services still far outweighed Goods, 181K to 82K respectively, but to reiterate - goods-producing is much higher than it's been in the recent past, and for the second straight month. Projections for Friday's comprehensive non-farm payroll report from the Bureau of Labor Statistics (BLS) remain at 175K following today's ADP report, though last month we saw analysts ratchet up their estimates in the wake of the strong ADP numbers. Historically, ADP and BLS jobs figures do tend to align (considering they track differently; ADP does not include government jobs, for instance), but usually only after a month or two of revisions from initial figures. In any case, this has been one of the strongest three-month averages we have seen in a long time regarding jobs growth. This points to what several economists had predicted going back to last year, which is employment traction finally taking hold after a stubborn low-growth market in labor and elsewhere. Pre-markets jumped higher on the ADP data, though the 2-year and 10-year T-notes remain rangebound at this hour. Equities remain the place to be invested. Mark Vickery Senior Editor Questions or comments about this article and/or its author? Click here>> Want the latest recommendations from Zacks Investment Research? Today, you can download 7 Best Stocks for the Next 30 Days. Click to get this free report SPDR-DJ IND AVG (DIA): ETF Research Reports NASDAQ-100 SHRS (QQQ): ETF Research Reports SPDR-SP 500 TR (SPY): ETF Research Reports Automatic Data Processing, Inc. (ADP): Free Stock Analysis Report To read this article on Zacks.com click here. The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc. The views

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for QQQ. Express as a decimal (e.g., -0.02).

Answer: -0.0041

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0041 (i.e., on a bad day with 5% probability, the loss exceeds 0.41%). CVaR(95%) = -0.0094.


USMV: 60-day return history, mean=0.0009, std=0.0069.

Question:
Asset: USMV
Daily returns (past 60 days): mean=0.0009, std=0.0069, min=-0.0173, max=0.0197
Market regime: sideways
Recent filing/news:
[Kaggle 2018-06-19] ["Beyonc\u00e9 and Jay-Z\u2019s new album goes to multiple streaming platforms, and is already a hit \u2018Everything Is Love\u2019 album available more places than just Tidal Beyonc\u00e9 and Jay-Z have made their new album available for streaming across all major music services \u2014 as long as listeners are paying for it.", "Trump reportedly told Apple that tariffs against China would spare iPhones Tech giant worries China will retaliate as trade tensions heat up Apple Inc. iPhones assembled in China will not be subject to U.S. tariffs, according to a report Monday, but the tech giant may get punished by a possible trade war.", "Chinese stocks end at 2-year low, Apple suppliers sink on trade-war worries iPhone component-makers\u2019 shares hit hard in Hong Kong, Taiwan Asian exporters took a heavy hit Tuesday, with China stocks suffering their lowest close in two years, following President Donald Trump\u2019s announcement of potentially $400 billion in additional tariffs against imports from that country.", "Beware the \u2018perpetual-motion machine\u2019 driving this market, warns billionaire Howard Marks Critical information for the U.S. trading day President Trump and China just keep ramping up their trade battle, sending stocks worldwide into the woodchipper. But it\u2019s billionaire investor Howard Marks\u2019s memo on another hot topic that provides our call of the day.", "Apple fined as Australian customers win right-to-repair court fight Apple Inc. was fined in Australia for refusing to offer free fixes for iPhones and iPads that were previously serviced by non-Apple stores, the latest episode in a global dispute between companies and consumers about the right to repair.", "Trump\u2019s latest trade-war threat wreaks havoc for markets \u2014 here\u2019s how, in five charts iPhone suppliers, copper, yen China-related markets were taking some heat on Tuesday as a fresh chapter in the trade war with the U.S. threatened to blow up. Here are five charts showing how dramatic a day it has been for global markets.", "Universal Display stock slides for sixth straight day, on track to close at 52-week low Shares of Universal Display Corp. are down 3.4% in Tuesday morning trading, marking the sixth straight day that the stock is down and the ninth day out of the last 10 trading sessions. UDC's stock recently changed hands at $87. and is on pace to close at a 52-week low. Shares closed at $87.55 on April 25. The stock has been hammered in recent days amid concerns about Apple Inc.'s plans for its next iPhone lineup. The Wall Street Journal reported last week that Apple expects more than half of iPhones sold this fall to have liquid-crystal-display screens rather than organic-light-emitting-diode screens. Universal Display makes OLED technology. The stock is off 27% over the past 12 months, while the S&P 500 has gained 12%.", "China can\u2019t match Trump in a tariff fight, but it does have other weapons Widening trade dispute is already hurting

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for USMV. Express as a decimal (e.g., -0.02).

Answer: -0.0087

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0087 (i.e., on a bad day with 5% probability, the loss exceeds 0.87%). CVaR(95%) = -0.0147.


XLY: 60-day return history, mean=-0.0007, std=0.0103.

Question:
Asset: XLY
Daily returns (past 60 days): mean=-0.0007, std=0.0103, min=-0.0267, max=0.0191
Market regime: sideways
Recent filing/news:
[Kaggle 2016-01-07] ["Sony Dips On Apple Weakness, Credit Suisse Warns Asia Tech Profit Tumble Sony Corp. (6758.Japan/SNE) tumbles 5% in Tokyo this morning after customer Apple (AAPL) at one point fell through $100 per share, ending down 2% to $100.70 on Wednesday. The market is worried that Apple will dramatically cut its iPhone production in the March quarter.Separately, Nitto Denko (6988.Japan), rumored to supply OLED screens for future generation iPhones, dipped 4.8% as well.READ MORE.", "With smartphone sales booming, Huawei eyes U.S. market Fast-growing Chinese manufacturer introduces new phone at CES Huawei Technologies Co. boasted of dramatic gains in the global smartphone market as it launched a new flagship handset that signals its ambitions in the lucrative U.S. market.", "Apple Casing Supplier Catcher Tech Sees No Sales Growth In First-Half So Apple (AAPL) is cutting its production orders in the March quarter for real?After releasing disappointing December sales numbers yesterday, Apple metal casing supplier Catcher Technology (2474.Taiwan) told analysts that it expected 2016 first-half sales to be flattish year-on-year and we should not see growth till the second-half. Catcher also said capital expenditure this year would be lower than the previous two.READ MORE.", "5 black swans that could rock markets in 2016 What if Apple failed the next iPhone launch, or peace broke out in Syria? Matthew Lynn lists five potential black swans -- inherently unpredictable events -- that could rock financial markets in 2016.", "Apple stock price tumbles 3% premarket, now trades well below $100", "Market bears roar as $2.5 trillion gets wiped out Critical information before the U.S. market\u2019s open Our chart of the day shows why analysts expect a lot of pain for the S&P 500 in the near term. Our suggests the Shanghai index could plunge below the low it hit during last summer\u2019s swoon.", "Apple: RBC Slashes iPhone Numbers; \u2018Higher Than Optimal Inventory\u2019 Apple (AAPL) this morning gets yet another in a string of estimate cuts following speculation this week that the company cut its iPhone production for the March quarter, this note being from RBC Capital Markets\u2019s Amit Daryanani, who cut his estimate for March to 45 million units from what he had thought would be 54 million, citing \"incremental softness and recent production cuts.\"Writes Daryanani, who has an Outperform rating on the stock, but who cuts his price target from $140 to $130, Apple is sitting on \"higher than optimal inventory across multiple geographies\u201d:Our discussions with a host of supply chain companies and recent results from Catcher lead us to think Mar- EPS, Ops Diluted 2014A qtr iPhone units could come in well below current buyside and Street Prev. expectations (50\u201358M).Read further...", "Apple just bought a startup that reads people\u2019s emotions Emotient technology is used to assess emotions by reading facial expressions Apple Inc. has purchased Emotient Inc., a s

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for XLY. Express as a decimal (e.g., -0.02).

Answer: -0.0175

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0175 (i.e., on a bad day with 5% probability, the loss exceeds 1.75%). CVaR(95%) = -0.0235.


VLUE: 60-day return history, mean=0.0005, std=0.0109.

Question:
Asset: VLUE
Daily returns (past 60 days): mean=0.0005, std=0.0109, min=-0.0256, max=0.0296
Market regime: sideways
Recent filing/news:
[Kaggle 2019-03-13] ["How your internet surfing could make you money in the coming blockchain revolution Decentralized internet will give people online privacy and data ownership A decentralized internet will give people online privacy and data ownership, writes Michael Edesess.", "Spotify shares aren't trading in the premarket", "Apple's stock adds 0.3% before the opening bell", "Spotify files antitrust complaint against Apple in European Union: reports", "Spotify files EU antitrust complaint over Apple\u2019s App store Complaint alleges Apple abused its control over which apps appear in its App Store Music-streaming service Spotify Technology SA has filed an antitrust complaint in Europe against Apple Inc., a new salvo in the broader battle over how and whether to rein in alleged wrongdoing by tech giants.", "Spotify Is Hitting Apple With an Antitrust Complaint Over the \u2018Unfair Advantage\u2019 of the App Store Spotify CEO Daniel Elk said the App Store gives Apple\u2019s own applications and services \u201can unfair advantage at every turn.\u201d", "Apple\u2019s China Problems May Be Getting Even Worse Analysts expect Apple to report earnings of $2.38 per share on revenue of $57.54 billion, indicating declines of 13% and 5.9%, respectively, from the year-ago period.", "Charting a headline breakout attempt, S&P 500 challenges major resistance (2,817) Focus: Apple confirms its uptrend, Real estate sector tags 11-year highs, Utilities finally knife to record territory, AAPL, IYR, XLU, PANW, DDS, NRG U.S. stocks are firmly higher early Wednesday, rising amid distinctly bullish price action ahead of a key Brexit vote. Against this backdrop, the S&P 500 and Nasdaq Composite are challenging their five-month range top \u2014 S&P 2,817 and Nasdaq 7,670 \u2014 areas defining the immediate bull-bear tension. An eventual breakout opens the path to less-charted territory, and potentially material follow-through.", "Should stock-market investors watch out for a volatility pickup? \u2018The cost of being wrong using options has seldom been lower,\u2019 says BTIG\u2019s Emanuel A 2019 stock-market rally comes alongside a fall in volatility. One analyst says investors can\u2019t go wrong buying protection against a potential pickup.", "Podcast: Microsoft\u2019s Surprising Comeback This week on The Readback, Alex Eule is joined by associate editor Jack Hough to talk about the surprising comeback of Microsoft.", "Apple, Amazon, Google, Facebook cast in Europe as harmful monopolies Spotify claims antitrust against Apple as U.K. report recommends new rules, oversight of big tech firms Facebook, Google, Amazon and Apple are once again being cast as monopolies that have become too powerful for society\u2019s good, a recurring theme that\u2019s increasing the pressure to rein them in.", "Apple Courts HBO and Showtime for Service to Challenge Netflix The company will host A-list celebrities and media executives on March 25 to outline how it will take on competitors like Amazon.com Inc

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for VLUE. Express as a decimal (e.g., -0.02).

Answer: -0.0186

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0186 (i.e., on a bad day with 5% probability, the loss exceeds 1.86%). CVaR(95%) = -0.0221.


BNB-USD: 60-day return history, mean=-0.0032, std=0.0409.

Question:
Asset: BNB-USD
Daily returns (past 60 days): mean=-0.0032, std=0.0409, min=-0.1294, max=0.0973
Market regime: sideways
Recent filing/news:
[Kaggle 2022-03-14]

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for BNB-USD. Express as a decimal (e.g., -0.02).

Answer: -0.0635

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0635 (i.e., on a bad day with 5% probability, the loss exceeds 6.35%). CVaR(95%) = -0.0883.


XLY: 60-day return history, mean=-0.0008, std=0.0170.

Question:
Asset: XLY
Daily returns (past 60 days): mean=-0.0008, std=0.0170, min=-0.0367, max=0.0338
Market regime: sideways
Recent filing/news:
[Kaggle 2019-01-16] ["Great things are expected for (most) FAANG stocks in 2019 The recent price declines and expected growth ahead could create big opportunities The recent price declines and expected growth ahead could create big opportunities.", "Chipmakers look poised for a weak earnings season, KeyBanc says KeyBanc Capital Markets analyst John Vinh delivered a downbeat view of the upcoming earnings season for the chipmakers in his coverage, writing of several concerning trends in a note to clients Wednesday. \"We expect 4Q18 earnings season to be challenging given weakening end-demand trends, particularly in China, across multiple sectors including autos, industrials, consumer, and white goods,\" he wrote. \"With lead times beginning to ease and inventory levels higher, we anticipate a cyclical correction should result in below-seasonal outlooks for broad-based semiconductor companies.\" Vinh is also concerned about the impact of weak iPhone demand in what could be \"one of the most disappointing iPhone cycles since the 6s.\" He sees risk to forward estimates for Cirrus Logic Inc. , Qorvo Inc. , Skyworks Solutions Inc. , and Synaptics Inc. due to ongoing issues with Apple Inc.'s iPhone. He deems wireless infrastructure, including around 5G, \"one of the few areas of strength within semiconductors.\" Vinh recommends buying Xilinx Inc. shares heading into earnings season and sees room for upside due to \"healthy wireless infrastructure demand including 4G and initial 5G pulls.\" The PHLX Semiconductor Index is down 6.7% over the past three months, while the S&P 500 has dropped 7.1%.", "Roku to remove Infowars from its platform, stock extends gains Shares of Roku Inc. hiked up 1.2% in morning trade Wednesday, adding to the previous session's 2.6% surge. The streaming platform said late Tuesday that it has decided to remove the controversial channel Infowars from its platform. \"After the InfoWars channel became available, we heard from concerned parties and have determined that the channel should be removed from our platform,\" the company said in an emailed statement to MarketWatch late Tuesday. \"Deletion from the channel store and platform has begun and will be completed shortly.\" Roku faced a public backlash after the it added the far-right conspiracy-theory promoting channel Infowars, although a number of companies, including Apple Inc. , Twitter Inc. , Facebook Inc. and Google parent Alphabet Inc. , banned the channel. Roku's stock has tumbled 36% over the past three months, while the S&P 500 has slipped 6.8%.", "The Dow Rises 123 Points Because Strong Earnings Trump Everything The Dow Jones Industrial Average is up 0.51% to 24,188.11. The S&P 500 and Nasdaq Composite are both 0.24% higher in recent trading.", "Sen. Marco Rubio rolls out online-privacy legislation Big Tech wants federal legislation that would preempt California\u2019s tough new rules Florida Republican Sen. Marco Rubio on Wednesday introduced legislation that would deliver a national consum

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for XLY. Express as a decimal (e.g., -0.02).

Answer: -0.0303

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0303 (i.e., on a bad day with 5% probability, the loss exceeds 3.03%). CVaR(95%) = -0.0329.


IWM: 60-day return history, mean=0.0024, std=0.0111.

Question:
Asset: IWM
Daily returns (past 60 days): mean=0.0024, std=0.0111, min=-0.0244, max=0.0274
Market regime: sideways
Recent filing/news:
[Kaggle 2016-05-04] ["Fitbit wins ruling in Jawbone patent dispute Patents invalidated, but trade-secret claims may continue A fight between two of the largest makers of fitness trackers just got smaller.", "Apple shares gain 0.7% to $95.85 to lead Dow gainers in early trade", "A.M. Funds Roundup: The ETF World\u2019s Apple Conundrum", "Apple hires Google X\u2019s co-founder for its health projects Apple hires Yoky Matsuoka, formally of Nest Labs and Quanttus Apple has hired Yoky Matsuoka, a Google X founder, who will report directly to COO Jeff Williams", "Fitbit Sold 21 Million Activity Trackers Last Year and No One Seems to Care; Plus, a Month with the Blaze Smartwatch", "European stocks end lower for 4th session in a row Eurozone PMI confirms flash reading European stock markets finished sharply lower on Wednesday, as investors assessed a mixed bag of corporate news, with shares in Dialog Semiconductor PLC and London Stock Exchange Group PLC dropping.", "Welcome to your Smart Future Investors need to open their minds to the possibilities of what future tech will bring, and along with it, great investment opportunities.", "Apple: Survey Says iPhone Demand to Recover, But Huawei, Oppo More \u2018Aspirational,\u2019 Says UBS UBS\u2019s Steve Milunovich today offers up evidence from the firm\u2019s \u201cEvidence Lab\u201d that there\u2019s hope for a rise in Apple\u2019s (AAPL) iPhone sales when it produces the next model of the device, presumably an \u201ciPhone 7.\"Milunovich, who has a Buy rating on the shares, and a $120 price target, writes that his survey of 6,336 smartphone users in the U.S., U.K., Japan, Germany, and Mainland China, conducted online in March, found some improvement in sentiment for Apple\u2019s wares.Milunovich\u2019s report is actually contained in two notes.In the Apple-specific note, he writes of an improvement in the upgrade \u201ccycle\" for the iPhone versus what many see as a lengthening of the time between when people buy a new iPhone, writing \u201cin our fall survey we should have taken more seriously the two negatives: demand for the 6s was weaker than for the 6 and upgrade cycles slightly lengthened.\"The latest data \"finds a reversal,\u201d he writes. \"interest in the iPhone 7 is better than for the 6s though not as strong as for the 6 and upgrade cycles appear shorter in the US and China though not in other countries.\"In the companion report on the survey itself, the intent of consumers has actually improved from that survey back in the fall, at least in the U.S. and China:", "Fitbit\u2019s new products should propel the company through earnings Fitbit Blaze and Alta are big sellers Fitbit reports first-quarter earnings Wednesday, and analysts expect an easy beat.", "Apple CEO Cook: Bloomberg, Kass Explore the Credibility Gap (Update) A couple of individuals in the last 24 hours have offered some rebuttal to Apple (AAPL) CEO Tim Cook\u2019s upbeat appearance Monday evening with Jim Cramer of CNBC on his \u201cMad Money\u201

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for IWM. Express as a decimal (e.g., -0.02).

Answer: -0.0157

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0157 (i.e., on a bad day with 5% probability, the loss exceeds 1.57%). CVaR(95%) = -0.0199.


QQQ: 60-day return history, mean=-0.0009, std=0.0179.

Question:
Asset: QQQ
Daily returns (past 60 days): mean=-0.0009, std=0.0179, min=-0.0388, max=0.0340
Market regime: sideways
Recent filing/news:
[Kaggle 2022-12-13] ["After Hours Most Active for Dec 13, 2022 : INTC, DIS, AMZN, AAPL, T, VZ, MSFT, HBAN, V, GOOGL, NIO, BEKE The NASDAQ 100 After Hours Indicator is down -5.33 to 11,828.88. The total After hours volume is currently 167,541,844 shares traded. The following are the most active stocks for the after hours session: Intel Corporation (INTC) is unchanged at $28.73, with 8,045,958 shares traded. INTC's current last sale is 95.77% of the target price of $30. Walt Disney Company (The) (DIS) is unchanged at $94.70, with 6,567,501 shares traded. As reported by Zacks, the current mean recommendation for DIS is in the \"buy range\". Amazon.com, Inc. (AMZN) is unchanged at $92.49, with 5,464,912 shares traded. As reported by Zacks, the current mean recommendation for AMZN is in the \"buy range\". Apple Inc. (AAPL) is unchanged at $145.47, with 5,404,084 shares traded. As reported by Zacks, the current mean recommendation for AAPL is in the \"buy range\". AT&T Inc. (T) is -0.01 at $19.11, with 5,064,573 shares traded. T's current last sale is 84% of the target price of $22.75. Verizon Communications Inc. (VZ) is unchanged at $37.86, with 4,827,699 shares traded. VZ's current last sale is 75.72% of the target price of $50. Microsoft Corporation (MSFT) is unchanged at $256.92, with 4,442,117 shares traded. As reported by Zacks, the current mean recommendation for MSFT is in the \"buy range\". Huntington Bancshares Incorporated (HBAN) is +0.02 at $14.23, with 3,910,414 shares traded. HBAN's current last sale is 91.81% of the target price of $15.5. Visa Inc. (V) is unchanged at $213.04, with 3,853,339 shares traded. As reported by Zacks, the current mean recommendation for V is in the \"buy range\". Alphabet Inc. (GOOGL) is -0.12 at $95.51, with 3,771,241 shares traded. As reported by Zacks, the current mean recommendation for GOOGL is in the \"buy range\". NIO Inc. (NIO) is +0.03 at $12.34, with 3,691,025 shares traded. As reported by Zacks, the current mean recommendation for NIO is in the \"buy range\". KE Holdings Inc (BEKE) is unchanged at $14.62, with 3,290,915 shares traded. As reported by Zacks, the current mean recommendation for BEKE is in the \"buy range\". The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.", "Apple prepares to allow alternative app stores on iPhones, iPads - Bloomberg News Dec 13 (Reuters) - Apple Inc AAPL.O is preparing to allow alternative app stores on its iPhones and iPads, Bloomberg News reported on Tuesday, citing sources familiar with the matter. Apple did not immediately respond to a Reuters request for comment. (Reporting by Eva Mathews in Bengaluru; Editing by Shounak Dasgupta) ((Eva.Mathews@thomsonreuters.com)) The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.", "Why Investors Cranked Spotify Stock Higher Today What happened A report indicated that the companies b

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for QQQ. Express as a decimal (e.g., -0.02).

Answer: -0.0293

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0293 (i.e., on a bad day with 5% probability, the loss exceeds 2.93%). CVaR(95%) = -0.0347.


FXI: 60-day return history, mean=0.0013, std=0.0092.

Question:
Asset: FXI
Daily returns (past 60 days): mean=0.0013, std=0.0092, min=-0.0290, max=0.0209
Market regime: sideways
Recent filing/news:
[Kaggle 2017-08-23] ["Apple\u2019s $1 billion TV move pits company against Spotify, not Netflix Apple\u2019s investment in producing and acquiring TV content should help it achieve plan to double its services business by 2020 Apple\u2019s $1 billion investment to buy and produce original TV programming pits the technology giant against Spotify, not Netflix Inc. and Amazon.com Inc., according to analysts at RBC Capital Markets \u2014 at least for now.", "Koch Stock Buys: Cisco, BlackBerry, Qualcomm A unit of Koch Industries also bought Alphabet shares, and initiated large positions in Vistra Energy and BKLN.", "Income Reading List: How Investors View Venezuelan, European Debt; Companies Paying Big Dividends A few headlines that might interest income investors.", "A Tech Crash Isn\u2019t Coming, But You Should Expect A Pullback There are a number of problems with comparing today to the dot com meltdown, but markets could still fall back a bit.", "Factors to Favor: What the Technicals Say Ned Davis Research Group says lower volatility and higher quality are factors exhibiting favorable technicals.", "Samsung Seeks to Redeem, Renew With \u2018Note 8\u2032 Ahead of Apple\u2019s iPhone Event Samsung's set to unveil its \"Note 8,\" a replacement of the infamous Note 7 that got banned on airplanes last year for exploding batteries.", "Apple phone sales appear to be steady ahead of September launch Sales of Apple's iPhones appear to have been \"resilient\" and sell through share appears steady last month, even as many consumers seem to be waiting for the new iPhone release in September, Canaccord Genuity analysts said Wednesday. They estimate that Apple Inc. brought in 64% of industry profits in July, helped by carrier promotions, but down from 84% in its March quarter. Apple's sales took a hit from Samsung's launch of the Galaxy S8 phone and steady results from Chinese phone companies. However, they see Apple's new cycle of iPhones in September bringing Apple to 46.5 million iPhone units sold and leading Apple to increase its market share in calendar year 2018. In addition to strong sales of Apple's iPhone 8, they expect strong sales of 7S Plus models. They maintained a buy rating and $180 price target. Shares of Apple have gained 6.4% in the past month, while the S&P 500 has lost 1%.", "Why Amazon Should Sweat Google\u2019s Wal-Mart Deal While Amazon is still well ahead of its rivals, Google is ramping up efforts to gain share in retail and voice-activated devices.", "Investors Favor Facebook, Amazon, Alphabet Recent feedback indicates that bullish viewers of Facebook expect over 35% year-over-year growth in ad revenue.", "Apple\u2019s Share of Smartphone Profits Dives The new iPhones are likely to reverse the trend, however, one analyst predicts.", "Samsung Redemption: \u2018Note 8\u2032 Its Most Elegant Device Yet Samsung Electronics unveils \"Note 8,\" a sleeker version of the phablet computer, which last year was a black mark for the company when the Note 7 model had i

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for FXI. Express as a decimal (e.g., -0.02).

Answer: -0.0116

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0116 (i.e., on a bad day with 5% probability, the loss exceeds 1.16%). CVaR(95%) = -0.0198.


XLP: 60-day return history, mean=0.0004, std=0.0068.

Question:
Asset: XLP
Daily returns (past 60 days): mean=0.0004, std=0.0068, min=-0.0197, max=0.0145
Market regime: sideways
Recent filing/news:
[Kaggle 2015-04-28] ["5 Cheap Stocks James Hunt of Tocqueville Intl. has returned almost double his benchmark over 15 years. He sees better deals for investors overseas.", "Orange profit falls, but buoyed by iPhone sales Orange nevertheless reiterated its guidance of a slower drop in Ebitda in 2015, to between EUR11.9 billion and EUR12.1 billion from EUR12.19 billion for all of 2014.(\"IPhone Sales Help Orange Slow Revenue Slide,\" published at 0629 GMT, mistakenly said that guidance was for revenue in the ninth paragraph.", "Morgan Stanley raises Apple price target to $166 from $160", "Morgan Stanley says Apple is among its \"best idea\" stocks", "Mizuho lifts Apple price target to $125 from $115", "Susquehanna raises Apple price target to $155 from $150", "Apple stock price target raised to $195 from $180 at Cantor Fitzgerald", "Apple stock price target raised to $150 from $142 at RBC Capital", "Apple stock price target raised to $160 from $150 at BTIG", "Apple's stock up 1.4% premarket after Q2 results late Monday", "Apple's stock set to open at record highs Apple Inc.'s stock is rising 1.4% in premarket trade Monday, putting them on track to open at a fresh record high. The stock has traded within a range of up 1% at $134 to up 2.7% at $136.20 ahead of the open, after the technology giant reported better-than-expected fiscal second-quarter results after Monday's close. Apple's previous record highs were $133 on a closing basis on Feb. 23 and $133.60 on an intraday basis on Feb. 24. An open at current premarket levels would lift Apple's market capitalization to $783.72 billion, more than double the second-biggest U.S. company Microsoft at $388.5 billion.", "Here\u2019s how much more Apple earns than everyone else The iPhone maker blew out its fiscal second quarter, with a profit of $13.6 billion The iPhone maker blew out its fiscal second quarter, with a profit of $13.6 billion, says Phil van Doorn.", "Why some are saying \u2018Correction? Make my day\u2019 Critical information ahead of the market\u2019s open Apple may not be able to do the heavy lifting, and perhaps a correction should be welcomed. That\u2019s in our Call of the Day.", "Apple shares rise 0.5% day after earnings release", "Apple's stock turns lower, down 0.3% in morning trade", "Apple's stock was up 1.4% at record intraday high of $134.54 earlier Tuesday", "Who else is miffed about Apple\u2019s \u2018very modest\u2019 watch launch? CEO Tim Cook offers few details on biggest product rollout in five years CEO Tim Cook gave few details on the biggest product rollout in five years, writes Therese Poletti.", "Carl Icahn's $100 million profit on Apple may have turned into an $90 million loss Billionaire investor Carl Icahn may have watched the near $100 million one-day profit he could have been making on his Apple Inc. investment disappear into thin air, as the technology giant's stock erased an earlier rally to record highs. Icahn's New York hedge fund Icahn Associates is Apple's seventh-largest share

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for XLP. Express as a decimal (e.g., -0.02).

Answer: -0.0093

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0093 (i.e., on a bad day with 5% probability, the loss exceeds 0.93%). CVaR(95%) = -0.0145.


USMV: 60-day return history, mean=0.0002, std=0.0065.

Question:
Asset: USMV
Daily returns (past 60 days): mean=0.0002, std=0.0065, min=-0.0179, max=0.0136
Market regime: sideways
Recent filing/news:
[Kaggle 2015-05-08] Dow 30 Stock Roundup: Disney, Visa Beat, Chevron Reports Mixed Results - Analyst Blog The Dow went through another volatile week, losing for two consecutive days, while it moved up during other sessions. Stocks ended in the green for the second straight session on Monday boosted by a handful of upbeat earnings results. The Dow declined on Tuesday, dragged down by losses in technology, biotechnology and small-cap stocks. Markets ended in the red for the second consecutive day on Wednesday following Fed Chair Janet Yellen's comments that stock valuations are "quite high." The Dow rebounded on Thursday following easing in bond yields and gains in technology stocks. The Dow has lost 0.5% during the first four trading days. LastWeek's Performance Last Friday, the Dow gained more than 1% as investors added beaten down stocks to their portfolios. Stocks from the health and technology sectors found favor. Apple Inc. AAPL boosted the tech sector and also the broader markets after gaining almost 3.1%. It was the biggest daily percentage gain since Jan this year. Investors also cheered positive US auto sales numbers. According to Autodata, April auto sales were at an annual rate of 16.45 million, better than 16.05 million in the year-ago period. ISM's April PMI was flat month on month at 51.5%. March's construction spending dropped 0.6% from February. However, April consumer sentiment rose to the second best level since 2007. Friday's robust gains could limit weekly losses. The Dow declined 0.3% over the week. Benchmarks ended in the red on Monday, Wednesday and Thursday, and were mixed on Tuesday. Each of the benchmarks had lost over 1% on Thursday, dragged by losses in technology and biotechnology stocks. The major disappointment last week was the weaker-than-expected GDP data. According to the "advance" estimate, first quarter GDP increased at an annual rate of 0.2%, less than the consensus estimate of an increase by 1%. On the other hand, Fed officials gave no clear guidance on the timing of interest rate hike, which did little to boost investor sentiment. Among other data, investors received discouraging report on consumer confidence. However, personal income improved marginally in April. Some major companies reported encouraging earnings numbers. The DowThisWeek Stocks ended in the green for the second straight session on Monday boosted by a handful of upbeat earnings results. New orders for manufactured goods increased 2.1% in March, its biggest rise in eight months. Meanwhile, president of the Federal Reserve Bank of Chicago, Charles Evans, said hiking federal funds rate won't be appropriate until next year due to weak first quarter economic reports. This increase in factory orders for March was in line with the consensus estimate. However, the underlying trend remains weak as the increase in new orders for manufactured goods was due to a 13.5% jump in transportation orders. Positive news emanating from Europe also added to the bullish sentiment. Th

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for USMV. Express as a decimal (e.g., -0.02).

Answer: -0.0110

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0110 (i.e., on a bad day with 5% probability, the loss exceeds 1.10%). CVaR(95%) = -0.0145.


LINK-USD: 60-day return history, mean=0.0157, std=0.0471.

Question:
Asset: LINK-USD
Daily returns (past 60 days): mean=0.0157, std=0.0471, min=-0.0694, max=0.1653
Market regime: sideways

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for LINK-USD. Express as a decimal (e.g., -0.02).

Answer: -0.0375

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0375 (i.e., on a bad day with 5% probability, the loss exceeds 3.75%). CVaR(95%) = -0.0544.


DOT-USD: 60-day return history, mean=0.0027, std=0.0564.

Question:
Asset: DOT-USD
Daily returns (past 60 days): mean=0.0027, std=0.0564, min=-0.1220, max=0.1619
Market regime: sideways

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for DOT-USD. Express as a decimal (e.g., -0.02).

Answer: -0.0940

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0940 (i.e., on a bad day with 5% probability, the loss exceeds 9.40%). CVaR(95%) = -0.1137.


XLK: 60-day return history, mean=0.0028, std=0.0172.

Question:
Asset: XLK
Daily returns (past 60 days): mean=0.0028, std=0.0172, min=-0.0427, max=0.0321
Market regime: sideways
Recent filing/news:
[Kaggle 2020-10-12] ["The American Dream: Bringing Factories Back to the U.S. Restoring the nation\u2019s production prowess will be a long, hard slog. But it can be done, if companies, politicians, and investors get behind the effort.", "Apple's stock surges 2.9% premarket, ahead of iPhone launch event on Tuesday", "Dow jumps 114 points on gains for Apple Inc., Walgreens Boots shares", "Dow's 188-point climb highlighted by gains for Apple Inc., Goldman Sachs shares", "The earnings recession is back, and the pandemic has made it bigger The S&P 500 officially returned to an earnings recession with last quarter's results, and there does not seem to be much hope for a turnaround amid a world-wide pandemic.", "\u2018HIPAA does not give you a get-out-of-jail-free card\u2019: What the health-privacy law does (and doesn\u2019t) protect Because President Donald Trump is receiving health care from a 'covered entity,' his information would be protected under the law, experts said.", "Dow climbs 262 points on gains for shares of Apple Inc., Walgreens Boots", "Dow up 337 points on gains in Apple Inc., Microsoft stocks", "Apple\u2019s 5G iPhone launch has investors hoping for \u2018unprecedented upgrade cycle\u2019 Apple Inc. has pulled off a few product virtual launches during the COVID-19 crisis, and now the company is gearing up for the most important one yet.", "Nasdaq Composite stands less than 1% from exiting correction territory Monday afternoon The Nasdaq Composite Index on Monday afternoon was surging more than 3% higher, putting the technology-laden index within striking distance of exiting a plunge into correction territory produced back on Sept. 8. A drop of at least 10% for an asset from a recent peak is the commonly used definition on Wall Street for a correction, while putting in a new high after that decline is often viewed as that asset exiting that bearish phase of trading. The Nasdaq Composite sank into correction--after putting in its most recent record high on Sept. 2--early last month but is now nearing a new record peak above 12,056.44, putting the benchmark about 0.8% from its all-time high, according to FactSet data. The Nasdaq has been powered higher by a handful of stocks in its resurgence from its March lows and Monday's trade was no different, with Facebook Inc. Apple Inc. , Amazon.com [: AMZN], Netflix and Google parent Alphabet Inc. all rising sharply on the day. The contingent of stocks, known informally as FAANG (and sometimes including Microsoft Cor. , has helped to lift the broader market by dint of the market value those handful of those companies. The Nasdaq Composite was recently trading up 3.2% at 11,955, coming after brisk run-up for the index on Friday. The broader market also was gaining altitude briskly, with the Dow Jones Industrial Average [: DJIA] rising 1.1% and the S&P 500 index climbing 2% to 3,547. The S&P 500 had threatened to fall into correction, with a drop to 3,222.76 from its recent September peak, but managed to avoid a cl

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for XLK. Express as a decimal (e.g., -0.02).

Answer: -0.0266

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0266 (i.e., on a bad day with 5% probability, the loss exceeds 2.66%). CVaR(95%) = -0.0390.


MATIC-USD: 60-day return history, mean=0.0373, std=0.1095.

Question:
Asset: MATIC-USD
Daily returns (past 60 days): mean=0.0373, std=0.1095, min=-0.1717, max=0.3873
Market regime: sideways

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for MATIC-USD. Express as a decimal (e.g., -0.02).

Answer: -0.0990

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0990 (i.e., on a bad day with 5% probability, the loss exceeds 9.90%). CVaR(95%) = -0.1393.


VLUE: 60-day return history, mean=-0.0012, std=0.0132.

Question:
Asset: VLUE
Daily returns (past 60 days): mean=-0.0012, std=0.0132, min=-0.0356, max=0.0296
Market regime: sideways
Recent filing/news:
[Kaggle 2019-02-08] ["If you own Apple, Amazon, Facebook or AMD, look out below Those shares have been bid up by the average investor, but buying could slow or even reverse Those shares have been bid up by the average investor, but buying could slow or even reverse.", "Hasbro Falls, Trade Worries Worsen, and Dow Is in Line for Another Loss U.S. stock markets were poised to open lower for a third consecutive day.", "The stock market dip? Keep buying, says Bank of America Merrill Lynch Critical information for the U.S. trading day Stocks are on track to end the week on a sour note. If you\u2019re a fan of the \u2018buy-the-dip\u2019 strategy, our call of the day from Bank of America Merrill Lynch, along with our chart of a stoic S&P says now is not the time to give up.", "Cody Willard: I\u2019m most bullish on Apple, Alphabet and Verizon Also reviewed today: Amazon, Intel, Palo Alto Networks, Facebook and Nvidia Also reviewed today: Amazon, Intel, Palo Alto Networks, Facebook and Nvidia.", "Amazon Investors Are Worried About Bezos Blackmail Case Shares of the e-commerce giant are down nearly 3% on Friday, in the wake of CEO Jeff Bezos\u2019 startling revelations.", "GoPro predicts profit, thanks to years of massive layoffs Company expects to flip to profit in 2019 despite single-digit revenue growth, after chopping expenses with layoffs in 2017 and 2018 GoPro Inc. executives have been sounding bullish in the last two months, and Wednesday\u2019s fourth quarter conference call was no exception, with a forecast for profitability in 2019 for the action camera maker, but its results were helped by past cost cutting and company layoffs.", "3 Stocks Bucking the Earnings Slowdown Most companies these days seem to beat earnings estimates. This is a screen for stocks whose earnings estimates have been rising in the first quarter. Boeing and two more favorites.", "AT&T\u2019s 5G Act Is Bad for Everyone Wireless phone service is full of confusing labels, but AT&T\u2019s latest \u201c5GE\u201d is raising new ire from consumers and industry rivals.", "Apple Gives New Retail Head Stock Grants Worth About $8 Million The Cupertino, California-based technology giant gave O\u2019Brien two sets of 23,922 restricted stock units -- one group that will vest across three years beginning Aug. 5, 2021, and the other based on the company\u2019s performance that may vest on Oct. 1, 2021, according to a regulatory filing. Each set is", "Apple isn't too happy about apps that secretly record your phone's screen Following TechCrunch's report that certain iOS apps are using technology from a company called Glassbox to record everything a user does within the app, Apple has started telling app developers that they either need to disclose this to users or face getting banned from the App Store. \"Our App", "Dow Jones Rout: The Cat is in the Bag, the Bag is in Trump\u2019s Hand Friday started off badly for the Dow Jones industrial average, with all major stock indexes trading markedly lower right out o

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for VLUE. Express as a decimal (e.g., -0.02).

Answer: -0.0245

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0245 (i.e., on a bad day with 5% probability, the loss exceeds 2.45%). CVaR(95%) = -0.0292.


ADA-USD: 60-day return history, mean=0.0003, std=0.0583.

Question:
Asset: ADA-USD
Daily returns (past 60 days): mean=0.0003, std=0.0583, min=-0.1464, max=0.1406
Market regime: sideways

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for ADA-USD. Express as a decimal (e.g., -0.02).

Answer: -0.0924

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0924 (i.e., on a bad day with 5% probability, the loss exceeds 9.24%). CVaR(95%) = -0.1168.


EEM: 60-day return history, mean=0.0011, std=0.0073.

Question:
Asset: EEM
Daily returns (past 60 days): mean=0.0011, std=0.0073, min=-0.0240, max=0.0157
Market regime: sideways
Recent filing/news:
[Kaggle 2017-10-18] ["Qualcomm CEO still expects NXP deal to close later this year Mollenkopf says of Apple dispute: \u2018We\u2019ll get through it\u2019 Qualcomm Inc. said its $39 billion acquisition of NXP Semiconductors NV is on schedule to close by the end of the year, paving the way for it to be a major player in autonomous driving.", "Mizuho hikes Apple price target to $160 from $150, backs neutral rating", "Apple stock price target raised to $160 from $150 at Mizuho", "Apple's stock gains after Mizuho raises stock price target Apple Inc.'s stock edged up 0.2% in premarket trade Wednesday, putting them on track for a fourth-straight gain, after Mizuho analyst Abhey Lamba raised his stock price target to current levels, citing an improved outlook for average selling prices. Lamba boosted his target to $160, which is 0.3% below Tuesday's closing price, from $150, while keeping his rating at neutral. He expects Apple to report fiscal fourth-quarter results on Nov. 2 that are in line with expectations, but he raised his fiscal 2018 earnings estimates to account for higher ASPs associated with iPhone X shipments, and the shift of shipments from Q1 2018 to Q2 2018. His 2018 EPS estimate was raised to $10.67 from $9.60, while his revenue estimate was lifted to $267.9 billion from $238.5 billion. In June, Lamba had downgraded Apple to neutral and cut his target to $150 from $160, citing concerns that enthusiasm around the upcoming product cycle was fully captured by the stock's rally, with limited upside to estimates. Apple's stock has run up 6.9% over the past three months through Tuesday, while the tech-heavy Nasdaq 100 has gained 4.1% and the Dow Jones Industrial Average has climbed 6.6%.", "Apple partners with GE to bring predictive data and analytics to GE's IOT platform Predix", "GE to promote Apple's Mac as a choice for global workworce", "Apple to promote GE's Predix as the industrial IoT platform of choice", "Invest Like ExxonMobil: Sell Apple; Buy Walgreens The energy giant\u2019s investment unit has trimmed nearly all of its 506 holdings. Here\u2019s what it\u2019s buying.", "GE and Apple partner on industrial Internet-of-Things platform General Electric Co. and Apple Inc. announced Wednesday a partnership aimed at bringing GE's industrial Internet of Things (IoT) platform Predix to Apple's iPhones and iPads. The companies will provide developers a new software development kit to make industrial IoT apps for Apple's operating system iOS. As part of the partnership, GE will standardize on iPhone and iPad for mobile devices, and promote Mac as a choice for its global workforce, while Apple will promote Predix as the industrial IoT analytics platform of choice for its customers and developers. \"Working together, GE and Apple are giving industrial companies access to powerful apps that help them tap into the predictive data and analytics of Predix right on their iPhone or iPad,\" said GE Chief Executive John Flannery. GE's stock edged up less than 0.1% in pre

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for EEM. Express as a decimal (e.g., -0.02).

Answer: -0.0129

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0129 (i.e., on a bad day with 5% probability, the loss exceeds 1.29%). CVaR(95%) = -0.0181.


PDBC: 60-day return history, mean=0.0004, std=0.0122.

Question:
Asset: PDBC
Daily returns (past 60 days): mean=0.0004, std=0.0122, min=-0.0309, max=0.0278
Market regime: sideways

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for PDBC. Express as a decimal (e.g., -0.02).

Answer: -0.0236

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0236 (i.e., on a bad day with 5% probability, the loss exceeds 2.36%). CVaR(95%) = -0.0273.


FXI: 60-day return history, mean=0.0014, std=0.0147.

Question:
Asset: FXI
Daily returns (past 60 days): mean=0.0014, std=0.0147, min=-0.0274, max=0.0411
Market regime: sideways
Recent filing/news:
[Kaggle 2019-01-29] ["Apple Reports Earnings Today. Here\u2019s What to Expect. Apple has said the quarter will be the first in which it stops reporting unit sales for the iPhone, iPad, and Mac, a decision some investors criticized.", "Today Is Apple\u2019s Most Important Earnings Announcement in Years Apple opened a can of worms during its last earnings call. The stock is down 30% since then.", "Apple scrambles to fix eavesdropping FaceTime bug Feature linked to bug has been disabled The glitch, which was flagged on social media Monday, allows one FaceTime user calling another to listen in while the recipient\u2019s Apple device is still ringing\u2014even if the person never accepts the call.", "An Apple Videogame Subscription Service Makes Sense. Will It Happen? The notion got some fresh coverage just as the company is preparing to announce its latest quarterly financial results.", "Dow Futures Drop 29 Points Because Tensions With China Are Heating Up The U.S. formally charged Huawei late Monday. The market is also waiting for earnings from Apple and the Federal Reserve.", "Applied Materials Stock Gains, Square Drops and 3 More Tuesday Morning Movers Whirlpool and AK Steel were also in play.", "An earnings tsunami \u2014 with 113 S&P 500 components \u2014 marks \u2018pivot point\u2019 for stock market 13 Dow components are set to report this busy week Stock-market investors are bracing for the busiest week of the earnings season, in what could be a crucial stage in what has been a potent recovery from last year\u2019s lows.", "Apple's stock gains 0.2% ahead of Q1 results after the close", "The global dominators you invest in when Apple and the chips are down Critical information for the U.S. trading day It\u2019s a big earnings day for investors and the anxiety is running high. But even if Apple manages to disappoint investors further with results due later, these are your hip pocket backup stocks for when the chips are down.", "It\u2019s time to \u2018dismount\u2019 from this stock-market rodeo, says Morgan Stanley\u2019s Wilson The Fed abandoning its tightening regime could be a game changer, strategist writes Timing is everything and Morgan Stanley\u2019s chief equity strategist Mike Wilson is telling investors that they need to get out of stocks right now even if the market still has some upside potential.", "Unpopular take: Giant tech companies should pay taxes The world needs a corporate tax system that is fit for the digital economy The world needs a corporate tax system that is fit for the digital economy and benefits developing and developed countries alike.", "Harley-Davidson hits rough road, and now all eyes move to Apple Earnings Watch: Verizon and Pfizer take impairment hits, AMD to report in Apple\u2019s shadow Harley-Davidson Inc. expects a slow start to the year, and didn\u2019t do so well last year either. In the afternoon, all eyes will be on Apple\u2019s results, though some of the suspense is gone.", "Al Gore Bulks Up on Apple Stock The former

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for FXI. Express as a decimal (e.g., -0.02).

Answer: -0.0208

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0208 (i.e., on a bad day with 5% probability, the loss exceeds 2.08%). CVaR(95%) = -0.0240.


LINK-USD: 60-day return history, mean=0.0017, std=0.0751.

Question:
Asset: LINK-USD
Daily returns (past 60 days): mean=0.0017, std=0.0751, min=-0.1934, max=0.1422
Market regime: sideways

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for LINK-USD. Express as a decimal (e.g., -0.02).

Answer: -0.1227

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.1227 (i.e., on a bad day with 5% probability, the loss exceeds 12.27%). CVaR(95%) = -0.1925.


XLK: 60-day return history, mean=0.0006, std=0.0136.

Question:
Asset: XLK
Daily returns (past 60 days): mean=0.0006, std=0.0136, min=-0.0312, max=0.0343
Market regime: sideways
Recent filing/news:
[Kaggle 2022-01-13] ["Server Storage Market to grow by USD 54.68 bn from 2021 to 2026 | Evolving Opportunities with Citrix Systems Inc. and DataCore Software Corp. |17000+ Technavio Reports 43% of the growth will originate from North America for the server storage market. The US is a key market for server storage in North America. Market growth in this region will be faster than the growth of the market in Europe, MEA, and South America. The rising adoption of high-performance computing (HPC) systems in industry verticals, such as government, BFSI, and healthcare will facilitate the server storage market growth in North America over the forecast period. The server storage market is", "Turnip raises $12.5 million for its mobile-first gaming community platform Turnip, an Indian startup that is building a mobile-first gaming community platform, has raised $12.5 million in a new financing round to deepen its footprints in India and dozens of other countries and dabble with web3 as it looks to broaden its product offerings. Greenoaks and Elevation Capital co-led the one-and-a-half-year-old startup\u2019s Series A round. SEA Capital, Vibe Capital and scores of entrepreneurs including Andrew Chen of Andreessen Horowitz, Sujeet Kumar of Udaan, Harshil Mathur and Shashank Kumar of Razorpay, Gaurav Munjal and Roman Saini of Unacademy, Lalit Keshre, Harsh Jain and Ishan Bansal of Groww, and Akshay Kothari of Notion also participated in the round.", "Apple details $30 million settlement for off-the-clock bag search lawsuit The long-running lawsuit Apple faced over off-the-clock bag searches of its employees in California is almost over.", "Apple's updated iCloud Private Relay notice clarifies why it might not work for some users After a previous iOS 15.2 update, some users found that they couldn't use Private Relay while on a cellular network.", "Changing How We Think about Difficult Patients: A Guide for Physicians and Healthcare Professionals Physicians enter their professions with the highest of hopes and ideals for compassionate and efficient patient care. Along the way, however, consistent problems arise in their interactions with difficult patients\u2014some studies relate that physicians identify 15% or more of their patients as \"difficult.\" What's to be done about this widespread problem?", "'Fortnite' is returning to iPhone and iPad via NVIDIA GeForce Now A cloud version of the game for iOS and Android goes into closed beta next week.", "Copycats not allowed: Apple yanks knockoffs of viral puzzle game Wordle from App Store Apple said it has removed several apps ripping off the viral puzzle game Wordle. The tech giant did not say which apps were removed.", "Apple's third-gen AirPods drop to $140 at Amazon Amazon's latest sale knocks $40 off Apple's third-generation AirPods, bringing them down to a record low of $140.", "PUBG Mobile maker Krafton sues Apple, Google and rival game developer Garena over clones The lawsuit alleges Garena's games copy numerous aspects of i

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for XLK. Express as a decimal (e.g., -0.02).

Answer: -0.0253

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0253 (i.e., on a bad day with 5% probability, the loss exceeds 2.53%). CVaR(95%) = -0.0287.


XLP: 60-day return history, mean=-0.0004, std=0.0067.

Question:
Asset: XLP
Daily returns (past 60 days): mean=-0.0004, std=0.0067, min=-0.0250, max=0.0118
Market regime: sideways
Recent filing/news:
[Kaggle 2020-02-27] ["Apple's stock drops 2.8% premarket, after rising 1.6% Wednesday to snap 4-day losing streak", "With Microsoft\u2019s coronavirus warning, PC and hardware makers are probably next The refrain about a \u2018better second half\u2019 will probably start up again Now that Microsoft, the world\u2019s most valuable tech giant, has warned investors that its PC business will not meet its recent guidance because of the impact of the coronavirus on the supply chain, the rest of the PC universe will likely follow suit.", "Tesla crash report may lack enforcement power, but implications are real, analysts say Lawsuits, temporary Autopilot halt some of the possibilities, Evercore says Tesla Autopilot is often misused, and recent report by a government agency on a fatal crash involving the feature may lack real enforcement power, but the implications for Tesla Inc. could be far reaching, analysts at Evercore ISI said in a note Wednesday.", "Why the Fed can\u2019t defend the economy against the coronavirus outbreak Rate cuts are effective against weak demand \u2014 not shocks to global supply When people can\u2019t go to work, the goods and services they normally produce can\u2019t be supplied to a global market. The Fed can\u2019t do a lot about that.", "Dow Inc., Walt Disney share losses lead Dow's nearly 550-point fall", "There\u2019s not a lot the Fed can do about a coronavirus recession Lowering interest rates here won\u2019t get factories back to work in China Calls for the Federal Reserve to cut interest rates in response to the coronavirus epidemic are misplaced at best and more likely downright dangerous.", "Coronavirus Is Slamming Stocks. The Jury Is Still Out on M&A Activity. Coronavirus fears are clearly weighing on the broad market, but it is still too soon to tell whether the disease will affect mergers and acquisitions, bankers said.", "Dow's 720-point drop led by losses for Boeing, Apple Inc. stocks", "U.S. economy grew a mild 2.1% in 4th quarter, but coronavirus threatens to reduce GDP even further Business investment was already weak before viral outbreak The economy expanded at a 2.1% pace at the end of 2019, but the U.S. might struggle to achieve even that modest rate of growth in the months ahead if a new strain of coronavirus isn\u2019t contained.", "Nokia Stock Gives Back Gains as Skepticism Over Deal Talk Grows Nokia shares spiked 6.1% yesterday after Bloomberg reported that Nokia could consider merging or joining with Ericsson. Analysts who follow the company find the deal implausible.", "Dow down 618 points on losses in shares of Apple Inc., Dow Inc.", "Dow Inc., Apple Inc. share losses contribute to Dow's 237-point fall", "Dow's 560-point fall led by losses in Dow Inc., Apple Inc. shares", "Here\u2019s why you\u2019ll never see a bad guy with an iPhone in the movies \u2018Knives Out\u2019 director Rian Johnson alleges Apple has strict product placement standards \u2018Knives Out\u2019 director Rian Johnson alleges Apple has strict pro

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for XLP. Express as a decimal (e.g., -0.02).

Answer: -0.0117

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0117 (i.e., on a bad day with 5% probability, the loss exceeds 1.17%). CVaR(95%) = -0.0222.


PDBC: 60-day return history, mean=0.0003, std=0.0145.

Question:
Asset: PDBC
Daily returns (past 60 days): mean=0.0003, std=0.0145, min=-0.0309, max=0.0278
Market regime: sideways

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for PDBC. Express as a decimal (e.g., -0.02).

Answer: -0.0236

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0236 (i.e., on a bad day with 5% probability, the loss exceeds 2.36%). CVaR(95%) = -0.0279.


SOL-USD: 60-day return history, mean=0.0011, std=0.0517.

Question:
Asset: SOL-USD
Daily returns (past 60 days): mean=0.0011, std=0.0517, min=-0.1110, max=0.1637
Market regime: sideways
Recent filing/news:
[Kaggle 2022-04-17]

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for SOL-USD. Express as a decimal (e.g., -0.02).

Answer: -0.0837

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0837 (i.e., on a bad day with 5% probability, the loss exceeds 8.37%). CVaR(95%) = -0.1023.


ETH-USD: 60-day return history, mean=-0.0011, std=0.0460.

Question:
Asset: ETH-USD
Daily returns (past 60 days): mean=-0.0011, std=0.0460, min=-0.1365, max=0.0965
Market regime: sideways

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for ETH-USD. Express as a decimal (e.g., -0.02).

Answer: -0.0776

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0776 (i.e., on a bad day with 5% probability, the loss exceeds 7.76%). CVaR(95%) = -0.1130.


XLF: 60-day return history, mean=0.0028, std=0.0103.

Question:
Asset: XLF
Daily returns (past 60 days): mean=0.0028, std=0.0103, min=-0.0145, max=0.0362
Market regime: sideways
Recent filing/news:
[Kaggle 2016-12-30] ["Which Wall Street Firm Made The Best Stock Picks Of 2016?", "Which Wall Street Firm Made The Best Stock Picks Of 2016?", "7 Stocks Near 52 Week-High with More Room to Run The year 2016 will likely be remembered as one of the most eventful ones. An unexpected regime change, a long overdue interest rate hike and one of the fastest economic growth in recent times have surely made a mark. With President-elect Donald Trump taking office in 2017, the year is slated to be one wild roller coaster ride that can reward some and punish others. Meanwhile, the growing presence of high-valued stocks has made the market overvalued. In such a scenario, it may be na\u00efve to invest in value stocks. Also, the prolonged slowdown in the global economy restricts the chances of further growth in the near term. At this point, it would be prudent to stack up on great momentum stocks. One such trend is spotting stocks that are at or above the 52-week high mark. The 52-week investment strategy is one of the relatively new entries in the investing rulebook. Borrowing from the basics of Momentum investing, this technique bets on the principle of buying high and selling higher. A wide group of investors today favor winning stocks with prospects of scaling higher. These investors have mastered the art of finding stocks that have strong upside potential and are still undervalued. Clubbing 52-week high stocks with the correct set of parameters is all you need to turn the tide in your favor. How Does it Work? Stocks near 52-week highs often instill the presumptive \"adjustment and anchoring bias\" in the minds of investors. This principle works on the belief that investors use the 52-week high price as a reference point and value stocks against this anchor. Many a times such stocks are prevented from scaling higher despite robust potential, due to the psychological bias of investors who fear that the stocks are overvalued and a price crash is impending. A few of the stocks remain undervalued due to prolonged under reaction on part of investors despite bullish growth drivers. Meanwhile, news pertaining to robust sales, surging profit levels, bullish earnings prospects and strategic acquisitions can drive the stock higher. However, when a string of positive developments start dominating the market, investors find their under-reaction unwarranted and the renewed interest might drive stocks beyond the 52-week high bar. Wall Street's fast paced trading makes it imperative for investors to step in before the market gets a whiff of it. Meanwhile, market gurus believe that the current price level rather than past changes in prices better reflect a stock's momentum. This implies that if a stock is trading close to its 52-week high range, chances are that it will perform better in the subsequent period. The Parameters to Rely on Our diligent screening technique has been deployed to find 52-week high stocks that hold tremendous potential compared to their respective industries. The add

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for XLF. Express as a decimal (e.g., -0.02).

Answer: -0.0103

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0103 (i.e., on a bad day with 5% probability, the loss exceeds 1.03%). CVaR(95%) = -0.0124.


DBA: 60-day return history, mean=-0.0008, std=0.0064.

Question:
Asset: DBA
Daily returns (past 60 days): mean=-0.0008, std=0.0064, min=-0.0194, max=0.0132
Market regime: sideways

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for DBA. Express as a decimal (e.g., -0.02).

Answer: -0.0079

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0079 (i.e., on a bad day with 5% probability, the loss exceeds 0.79%). CVaR(95%) = -0.0149.


XRP-USD: 60-day return history, mean=-0.0046, std=0.0417.

Question:
Asset: XRP-USD
Daily returns (past 60 days): mean=-0.0046, std=0.0417, min=-0.0908, max=0.1092
Market regime: sideways

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for XRP-USD. Express as a decimal (e.g., -0.02).

Answer: -0.0788

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0788 (i.e., on a bad day with 5% probability, the loss exceeds 7.88%). CVaR(95%) = -0.0834.


QUAL: 60-day return history, mean=0.0018, std=0.0120.

Question:
Asset: QUAL
Daily returns (past 60 days): mean=0.0018, std=0.0120, min=-0.0339, max=0.0240
Market regime: sideways
Recent filing/news:
[Kaggle 2020-12-02] ["Are Microsoft And Adobe Coming For Salesforce's Market Share? Adobe (NASDAQ: ADBE) and Microsoft (NASDAQ: MSFT) have teamed up to take on customer relationship management (CRM), which has historically been Salesforce's (NYSE: CRM) domain. ProShares' Executive Director of Thematic Investing Scott Helfstein shares what investors need to know about how the COVID-19 pandemic has accelerated market trends in the cloud and how their new ETF ProShares MSCI Transformational Changes ETF (NYSEMKT: ANEW) is capitalizing on these transformations. 10 stocks we like better than Salesforce.com When investing geniuses David and Tom Gardner have a stock tip, it can pay to listen. After all, the newsletter they have run for over a decade, Motley Fool Stock Advisor, has tripled the market.* David and Tom just revealed what they believe are the ten best stocks for investors to buy right now... and Salesforce.com wasn't one of them! That's right -- they think these 10 stocks are even better buys. See the 10 stocks *Stock Advisor returns as of November 20, 2020 Corinne Cardina: Awesome. There are also a couple of more traditional tech stocks in the future of work part of the basket. Adobe, I think a lot of people, what comes to mind is Photoshop, Illustrator, InDesign. Microsoft people tend to think about their Office Suite, and Windows. What are some of the ways that these older tech companies are really transforming and how the pandemic has spurred that along? Scott Helfstein: Microsoft is a juggernaut. It's one that's hard for people to wrap their brain around, because it is so prominent. We work with the Office Suite, and Word, Excel, and our operating system. But they've taken a lot of their revenue into the cloud with subscription service. We see that cloud and productivity tools make up about two-thirds. It's really interesting that you talk about Microsoft and Adobe because they've actually announced a partnership a little while ago to take on customer relationship management. So CRM is a new segment, the two of them working in conjunction. By the way, Microsoft, as I think you were implying, also has a big gaming division with Xbox. As we think about virtualizing work, it's a little crazy to think about this. But what about the virtual reality coffee break? Or the virtual reality water cooler? There are some companies that are uniquely positioned to be able to facilitate a new and different remote working environment. Microsoft I think is one that investors should continue to pay attention to. Really important from a productivity standpoint, and Adobe as well. My 11-year-old wanted a subscription to Illustrator for his birthday this year. They are not just talking about PDFs, but they are important in secure document management. However, we've got Photoshop, we've got Illustrator, they also have an artificial intelligence product called Sensei, which actually helps people to do their graphic and document management. They're on the cutting edge of artificial

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for QUAL. Express as a decimal (e.g., -0.02).

Answer: -0.0166

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0166 (i.e., on a bad day with 5% probability, the loss exceeds 1.66%). CVaR(95%) = -0.0242.


BTC-USD: 60-day return history, mean=0.0019, std=0.0373.

Question:
Asset: BTC-USD
Daily returns (past 60 days): mean=0.0019, std=0.0373, min=-0.0993, max=0.0996
Market regime: sideways

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for BTC-USD. Express as a decimal (e.g., -0.02).

Answer: -0.0573

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0573 (i.e., on a bad day with 5% probability, the loss exceeds 5.73%). CVaR(95%) = -0.0769.


HAUZ: 60-day return history, mean=0.0016, std=0.0100.

Question:
Asset: HAUZ
Daily returns (past 60 days): mean=0.0016, std=0.0100, min=-0.0200, max=0.0268
Market regime: sideways

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for HAUZ. Express as a decimal (e.g., -0.02).

Answer: -0.0151

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0151 (i.e., on a bad day with 5% probability, the loss exceeds 1.51%). CVaR(95%) = -0.0166.


VLUE: 60-day return history, mean=0.0024, std=0.0104.

Question:
Asset: VLUE
Daily returns (past 60 days): mean=0.0024, std=0.0104, min=-0.0292, max=0.0261
Market regime: sideways
Recent filing/news:
[Kaggle 2021-04-29] ["The SPAC boom isn't just here to stay, it's changing consumer tech Consumer technology is an inherently risky investment sector: even the best idea can fall flat if the story of the product is not sold properly to the end user. Traditionally, companies that have successfully told their story and become market leaders have taken the initial public offering route \u2014 pitching their story to institutional investors on banker-led roadshows rather than to the people that buy their products. For the right consumer technology companies \u2014 for which the story is often just as, if not more, important than the financial figures \u2014 a SPAC deal offers a more direct access to public capital.", "All-New 11th Generation Civic Sedan Fully Revealed in Production Form with Sporty Design, Advanced Technology, Cutting-Edge Safety Features Honda today revealed the most fun-to-drive and technologically advanced Civic Sedan in the model's nearly 50-year history. The all-new 2022 Honda Civic boasts a clean, modern design paired with a high-tech, human-centered interior, and equipped with advanced active and passive safety systems. Previewed in November 2020 in prototype form, the 11th-generation Civic continues the tradition of innovation, design leadership and class-leading driving dynamics.", "China's Baidu to launch paid driverless ride-hailing services in Beijing China's tech giant Baidu will launch paid driverless robotaxi services in Beijing from May 2, the company said on Thursday, making it the first Chinese company to offer autonomous driving robotaxi services to paying users. Baidu's driverless Apollo Robotaxi, to be first launched in the Chinese capital's Shougang Park, will operate without a safety driver behind the steering wheel, Baidu said in a statement.", "FanDuel President expects to see more betting engagement during NFL Draft FanDuel president Amy Howe previewed NFL Draft gambling and the Kentucky Derby with Yahoo Finance.", "Amazon made more profit during the pandemic than in the past three years Amazon made more profit during the pandemic than in the past three years combined.", "Apple AirTags: Why they\u2019re an easy sell for iPhone users who lose their keys Apple's AirTags are impressive little pieces of tech that are worth it for iPhone owners who frequently misplace things.", "Statement by the Prime Minister on the death of Thomas Berger The Prime Minister, Justin Trudeau, today issued the following statement on the death of former B.C. Supreme Court Justice Thomas Berger:", "Important Investor Reminder: Kessler Topaz Meltzer & Check, LLP Reminds 3D Systems Corp. Investors of Deadline in Securities Fraud Class Action Lawsuit The law firm of Kessler Topaz Meltzer & Check, LLP reminds investors that a securities fraud class action lawsuit has been filed against 3D Systems Corp. (NYSE: DDD) (\"3D Systems\") on behalf of those who purchased or acquired 3D Systems securities between May 6, 2020 and March 1, 2021, inclusive (the \"Class

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for VLUE. Express as a decimal (e.g., -0.02).

Answer: -0.0133

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0133 (i.e., on a bad day with 5% probability, the loss exceeds 1.33%). CVaR(95%) = -0.0231.


ETH-USD: 60-day return history, mean=-0.0009, std=0.0445.

Question:
Asset: ETH-USD
Daily returns (past 60 days): mean=-0.0009, std=0.0445, min=-0.1593, max=0.1560
Market regime: sideways
Recent filing/news:
[Kaggle 2022-11-23]

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for ETH-USD. Express as a decimal (e.g., -0.02).

Answer: -0.0392

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0392 (i.e., on a bad day with 5% probability, the loss exceeds 3.92%). CVaR(95%) = -0.1240.


IYR: 60-day return history, mean=-0.0033, std=0.0161.

Question:
Asset: IYR
Daily returns (past 60 days): mean=-0.0033, std=0.0161, min=-0.0339, max=0.0302
Market regime: sideways

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for IYR. Express as a decimal (e.g., -0.02).

Answer: -0.0271

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0271 (i.e., on a bad day with 5% probability, the loss exceeds 2.71%). CVaR(95%) = -0.0302.


ETH-USD: 60-day return history, mean=0.0001, std=0.0349.

Question:
Asset: ETH-USD
Daily returns (past 60 days): mean=0.0001, std=0.0349, min=-0.0997, max=0.0867
Market regime: sideways
Recent filing/news:
[Kaggle 2022-10-25]

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for ETH-USD. Express as a decimal (e.g., -0.02).

Answer: -0.0554

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0554 (i.e., on a bad day with 5% probability, the loss exceeds 5.54%). CVaR(95%) = -0.0896.


IWM: 60-day return history, mean=-0.0022, std=0.0193.

Question:
Asset: IWM
Daily returns (past 60 days): mean=-0.0022, std=0.0193, min=-0.0371, max=0.0312
Market regime: sideways
Recent filing/news:
[Kaggle 2022-06-27] ["CEOs will look past abortion bans, too Reuters Reuters NEW YORK (Reuters Breakingviews) - The demolition of the constitutionally protected right to an abortion in the United States is historic. But for companies doing business in America, the cost-benefit analysis it provokes will feel familiar. Corporate bosses will end up viewing America\u2019s illiberal states the way they do any emerging market. Each state will be left to decide how and whether to regulate abortion after the Supreme Court on Friday decided that protections of \u201clife, liberty, or property\u201d don\u2019t include ending a pregnancy as a right. At least eight states had already banned the procedure by Monday, and around half of the 50 are primed to outlaw it under statutes already in place. Removing access to abortion could increase maternal deaths https://read.dukeupress.edu/demography/article/58/6/2019/265968/The-Pregnancy-Related-Mortality-Impact-of-a-Total by over one-fifth, according to Duke University, and Black maternal deaths by one-third. Recognizing the anxiety, companies have moved to reassure their staff: Facebook owner Meta Platforms and Goldman Sachs are among those offering to fund travel costs for employees who need to go out of state for healthcare and reproductive services. But if the majority of Americans https://www.cbsnews.com/news/americans-react-to-roe-v-wade-overturn-opinion-poll-2022-06-26 who oppose the overturning of Roe vs. Wade hope their large, powerful employers will do more, they will be disappointed. Multinationals long ago made peace with setting up shop in locations where freedoms taken for granted in some countries are limited in the name of stability or ideology. Foreign direct investment into China surged by a third to $344 billion last year, according to Peterson Institute for International Economics. Net foreign investment in Saudi Arabia jumped more than threefold in 2021, according to state media. China and states like Texas are in that way somewhat similar. The Lone Star state offers low taxes, good universities, rich natural resources, and scale. Accepting bans on abortion is simply the cost of doing business for companies like Goldman Sachs and Apple. So is turning a blind eye to the governing Texas Republican Party\u2019s recent declaration that \u201chomosexuality\u201d is \u201can abnormal lifestyle choice https://texasgop.org/wp-content/uploads/2022/06/6-Permanent-Platform-Committee-FINAL-REPORT-6-16-2022.pdf,\u201d an awkward reality for companies that trumpet their commitment to diversity. Emerging-market attitudes don\u2019t always create economic success for nations \u2013 or states. Mississippi, for example, has no Fortune 500 companies headquartered within its borders. It\u2019s also the state with the least well-functioning healthcare system https://www.commonwealthfund.org/publications/scorecard/2022/jun/2022-scorecard-state-health-system-performance in the country, according to the Commonwealth Fund. Even then, the

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for IWM. Express as a decimal (e.g., -0.02).

Answer: -0.0371

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0371 (i.e., on a bad day with 5% probability, the loss exceeds 3.71%). CVaR(95%) = -0.0371.


BNO: 60-day return history, mean=0.0023, std=0.0157.

Question:
Asset: BNO
Daily returns (past 60 days): mean=0.0023, std=0.0157, min=-0.0504, max=0.0293
Market regime: sideways

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for BNO. Express as a decimal (e.g., -0.02).

Answer: -0.0205

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0205 (i.e., on a bad day with 5% probability, the loss exceeds 2.05%). CVaR(95%) = -0.0339.


IVV: 60-day return history, mean=0.0003, std=0.0062.

Question:
Asset: IVV
Daily returns (past 60 days): mean=0.0003, std=0.0062, min=-0.0170, max=0.0144
Market regime: sideways
Recent filing/news:
[Kaggle 2021-09-21] ["Over 2 Billion Devices Will be Shipped with a Dedicated Chipset for Ambient Sound or Natural Language Processing By 2026 Natural Language Processing (NLP) and ambient sound processing are traditionally considered exclusive cloud technologies and this has restricted their adoption in markets where security, privacy, and service continuity are critical elements for deployment. However, the advancements in deep learning compression technologies and edge Artificial Intelligence (AI) chipsets are now enabling these technologies to be integrated at the end-device level, which could mitigate security and privacy concerns", "PDMR Shareholding Notification of Transactions by Persons Discharging Managerial Responsibilities and Persons Closely Associated with them [This form is required for disclosure of transactions under Article 19 of Regulation (EU) No 596/2014 of the European Parliament and of the Council of 16 April 2014 on market abuse (Market Abuse Regulation)] 1Details of the person discharging managerial responsibilities/person closely associated a)NameAndrew Sheen 2Reason for the notification a)Position/statusPDMR / Managing D", "Apple adds new personalized recommendations in Podcasts' Listen Now page Apple has introduced new sharing and personalized recommendation features for Podcasts on iOS 15.", "Google\u2019s updated iOS 15 apps support Focus Mode and iPad widgets One of those is Google, which detailed today the iOS 15-related enhancements you can expect from its apps. The biggest change involves how Gmail, Meet, Tasks, Maps, Home and many of Google's other applications will handle notifications. Should you have iOS 15\u2019s new Focus Mode enabled, Google says prompts that don\u2019t require your immediate attention will go to the Notifications Center where you can deal with them later.", "iPhone 13 and 13 mini review Should you get the iPhone 13 and 13 mini? Depends on how badly you want the new camera features and upgraded battery.", "Marvel shows are now available through Apple Podcast subscriptions Marvel and SiriusXM have opened a new Apple Podcasts channel, which includes a paid tier. The free Marvel channel includes Marvel's Wolverine: The Long Night and the sequel, Marvel's Wolverine: The Lost Trail. You'll be able to listen to Marvel/Method, in which Method Man interviews celebrities about Marvel, and This Week in Marvel, a weekly show about the latest news in the company's ecosystem.", "The iPhone 13 Pro goes to Disneyland This year\u2019s iPhone review goes back to Disneyland for the first time in a couple of years for, uh, obvious reasons. One of the major reasons I keep bringing these iPhones back to Disneyland is that it\u2019s pretty much the perfect place to test the improvements Apple claims it is making in an intense real-world setting. In my testing, most of Apple\u2019s improvements actually had a visible impact on the quality of life of my trip, though in some cases not massive.", "Dynamic head tracking is now availabl

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for IVV. Express as a decimal (e.g., -0.02).

Answer: -0.0097

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0097 (i.e., on a bad day with 5% probability, the loss exceeds 0.97%). CVaR(95%) = -0.0143.


DOT-USD: 60-day return history, mean=-0.0012, std=0.0590.

Question:
Asset: DOT-USD
Daily returns (past 60 days): mean=-0.0012, std=0.0590, min=-0.1989, max=0.1643
Market regime: sideways

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for DOT-USD. Express as a decimal (e.g., -0.02).

Answer: -0.1001

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.1001 (i.e., on a bad day with 5% probability, the loss exceeds 10.01%). CVaR(95%) = -0.1424.


XLB: 60-day return history, mean=-0.0002, std=0.0104.

Question:
Asset: XLB
Daily returns (past 60 days): mean=-0.0002, std=0.0104, min=-0.0322, max=0.0204
Market regime: sideways
Recent filing/news:
[Kaggle 2019-09-25] ["Google apologizes, promises to give users more control over how and when it stores voice recordings \u2018It\u2019s clear that we fell short of our high standards in making it easy for you to understand how your data is used, and we apologize,\u2019 the company said \u2018It\u2019s clear that we fell short of our high standards in making it easy for you to understand how your data is used, and we apologize,\u2019 the company said.", "McDonald\u2019s enlists Alexa and Google to help with its hiring Starting Wednesday, McDonald\u2019s Corp. will let job seekers start an application by using voice commands with Amazon\u2019s Alexa or Google\u2019s Assistant.", "Netflix stock falls again as the previous most-bullish analyst slashes price target Shares have turned negative this year, and have broken below a long-term uptrend line Shares of Netflix Inc. sank again Tuesday, enough to turn negative for this year, after the previously most-bullish analyst slashed his price target to below the Wall Street average, citing expectations that the path to profitability will take longer than expected.", "How to know which retailers will take the biggest hit from a trade war The trade war between the U.S. and China continues, so here are three tips to prepare and secure your portfolio.", "Amazon pilots health care program with virtual, in-home options; Teladoc's stock falls Amazon.com Inc. has launched recently its Amazon Care pilot program for employees in the Seattle area, allowing for virtual and in-home care and prescription deliveries. Employees who are at least 18 years old, are currently enrolled in an Amazon health insurance plan and live and work within current service locations are eligible for the program, the e-commerce and cloud giant said. Shares of telehealthcare provider Teladoc Health Inc. dropped 7.0% in premarket trading, after shedding 1.7% on Tuesday. The company said employees who are enrolled in Kaiser Permanente are unable to participate at this time. Amazon Care options include Care Chat, which connects users with a nurse; Video Care, which provides a \"video visit\" with a doctor or nurse practitioner; Mobile Care, in which a nurse can be dispatched to the user's home or office; and Care Courier, in which prescriptions can be delivered to a user's home or office. Amazon's stock, which slipped 0.3% in premarket trading, has gained 16.0% year to date through Tuesday. In comparison, the SPDR Health Care Select Sector ETF has tacked on 4.8% this year and the S&P 500 has advanced 18.3%.", "Teladoc's stock sinks but analyst says buy, as Amazon Care seen as a 'major long-term tailwind' Shares of Teladoc Health Inc. sank 7.0% in premarket trading Wednesday, in the wake of Amazon.com Inc. launching a pilot health care program that includes virtual and in-home care options. SVB Leerink analyst Daniel Grosslight said that while Amazon's new program may be perceived as a negative, he believes it is actually a \"major [long-term] tailwind\" for Tel

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for XLB. Express as a decimal (e.g., -0.02).

Answer: -0.0167

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0167 (i.e., on a bad day with 5% probability, the loss exceeds 1.67%). CVaR(95%) = -0.0252.


XLE: 60-day return history, mean=0.0014, std=0.0066.

Question:
Asset: XLE
Daily returns (past 60 days): mean=0.0014, std=0.0066, min=-0.0163, max=0.0226
Market regime: sideways
Recent filing/news:
[Kaggle 2017-11-16] ["Will New Technologies Help Agilent (A) Beat on Q4 Earnings? Agilent Technologies A is set to report fiscal fourth-quarter 2017 results on Nov 20. Last quarter, it delivered a positive earnings surprise of 13.46%. The company's surprise history has been pretty impressive. It beat estimates in each of the trailing four quarters, with an average positive earnings surprise of 13.98%. Notably, on a year-to-date basis, Agilent's shares have returned 47.8%, underperforming the industry 's gain of 49.6%. Strength in ACG Segment to Drive Revenues In the last reported fiscal third quarter, the Agilent Cross Lab Group (ACG) segment contributed 35% of total third-quarter revenues, reflecting an increase of 7% year over year. The figure is expected to further increase in the upcoming quarter, driven by strength in services and consumables across all geographical regions. The Zacks Consensus Estimate for the upcoming quarter is pegged at $392 million. Strength in DGG & LSAG a Big Positive In the last quarter, revenues from Diagnostics and Genomics Group (DGG) came in at $197 million. The segment was up 9% year over year, driven by strength in pharma, diagnostic and clinical end-markets. All businesses under this group (Dako, Genomics and Nucleic Acid Solutions) performed well. The segment is expected to perform well in the upcoming quarter too. The Zacks Consensus Estimate for the fiscal fourth quarter is pegged at $207 million. Also, the Life Sciences & Applied Markets Group (LSAG) segment is expected to perform well in the upcoming quarter driven by strong performances in chemical and energy, pharma and environmental markets. The Zacks Consensus Estimate for the fiscal fourth quarter is pegged at $569 million. Other Growth Drivers Agilent Technologies is a broad-based OEM of test and measurement equipment. The company has shifted its focus to life sciences, genomics, diagnostics and wireless test markets, in which it has made a few important acquisitions and alliances. Agilent's broad-based portfolio and increased focus on segments offer higher growth potential. The company's decision to divest/wind up underperforming businesses has enhanced its focus on the new Agilent, while enabling expansion of a solid recurring revenue base and diversification of geographic and industrial operations for growth. Also, the company's focus on aligning investments toward more attractive growth avenues and innovative product launches is a positive. The company's solid market position, acquisition strategy and increased focus on segments with growth potential remain major growth drivers. What Our Model Suggests According to the Zacks model, a company with a Zacks Rank #1 (Strong Buy), 2 (Buy) or 3 (Hold) has a good chance of beating estimates if it also has a positive Earnings ESP . Zacks Rank #4 (Sell) or 5 (Strong Sell) stocks are best avoided, especially if these have a negative Earnings ESP. You can uncover the best stocks to buy or sell before they're reported with our

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for XLE. Express as a decimal (e.g., -0.02).

Answer: -0.0086

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0086 (i.e., on a bad day with 5% probability, the loss exceeds 0.86%). CVaR(95%) = -0.0128.


STIP: 60-day return history, mean=0.0000, std=0.0015.

Question:
Asset: STIP
Daily returns (past 60 days): mean=0.0000, std=0.0015, min=-0.0038, max=0.0034
Market regime: sideways

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for STIP. Express as a decimal (e.g., -0.02).

Answer: -0.0026

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0026 (i.e., on a bad day with 5% probability, the loss exceeds 0.26%). CVaR(95%) = -0.0034.


IAU: 60-day return history, mean=-0.0007, std=0.0086.

Question:
Asset: IAU
Daily returns (past 60 days): mean=-0.0007, std=0.0086, min=-0.0223, max=0.0152
Market regime: sideways

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for IAU. Express as a decimal (e.g., -0.02).

Answer: -0.0146

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0146 (i.e., on a bad day with 5% probability, the loss exceeds 1.46%). CVaR(95%) = -0.0211.


BNDX: 60-day return history, mean=-0.0001, std=0.0041.

Question:
Asset: BNDX
Daily returns (past 60 days): mean=-0.0001, std=0.0041, min=-0.0064, max=0.0070
Market regime: sideways

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for BNDX. Express as a decimal (e.g., -0.02).

Answer: -0.0063

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0063 (i.e., on a bad day with 5% probability, the loss exceeds 0.63%). CVaR(95%) = -0.0064.


DOT-USD: 60-day return history, mean=-0.0024, std=0.0305.

Question:
Asset: DOT-USD
Daily returns (past 60 days): mean=-0.0024, std=0.0305, min=-0.0875, max=0.0642
Market regime: sideways
Recent filing/news:
[Kaggle 2022-10-19]

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for DOT-USD. Express as a decimal (e.g., -0.02).

Answer: -0.0660

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0660 (i.e., on a bad day with 5% probability, the loss exceeds 6.60%). CVaR(95%) = -0.0813.


MATIC-USD: 60-day return history, mean=-0.0007, std=0.0707.

Question:
Asset: MATIC-USD
Daily returns (past 60 days): mean=-0.0007, std=0.0707, min=-0.2144, max=0.2868
Market regime: sideways

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for MATIC-USD. Express as a decimal (e.g., -0.02).

Answer: -0.0863

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0863 (i.e., on a bad day with 5% probability, the loss exceeds 8.63%). CVaR(95%) = -0.1572.


ICSH: 60-day return history, mean=-0.0001, std=0.0008.

Question:
Asset: ICSH
Daily returns (past 60 days): mean=-0.0001, std=0.0008, min=-0.0020, max=0.0034
Market regime: sideways

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for ICSH. Express as a decimal (e.g., -0.02).

Answer: -0.0016

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0016 (i.e., on a bad day with 5% probability, the loss exceeds 0.16%). CVaR(95%) = -0.0018.


MTUM: 60-day return history, mean=0.0012, std=0.0087.

Question:
Asset: MTUM
Daily returns (past 60 days): mean=0.0012, std=0.0087, min=-0.0312, max=0.0206
Market regime: sideways
Recent filing/news:
[Kaggle 2019-08-08] 4 Safe Stocks to Buy Amid Trade War Turbulence The U.S.-China trade war is on and that makes finding good, safe stocks to buy much more difficult than before. Over the past few months there was a semantics debate over what exactly the trade tensions between the U.S. and China should be labeled as. Is it a full blown trade war? Or is it just a trade dispute, or trade skirmish? Today, that question seems fully answered. U.S. President Donald Trump upped the ante in early August by promising to introduce a 10% tariff on $300 billion worth of Chinese goods by September. China responded in force, suspending the purchase of new U.S. agricultural products and devaluing its own currency to decade lows against the U.S. Dollar. As such, there’s no question about it. With both sides upping the ante to much more serious levels than before, the U.S.-China trade war is fully here. Stocks dropped in response. Big time. In just a few trading days, the S&P 500 dropped more than 5%. As of this writing, it looks likely that the market’s decline will run into 10%-plus territory within the next few trading days. Thus, in a matter of a few trading days, stocks have gone from making new all-time highs, to being in correction territory. That is the definition of volatility. And when volatility comes roaring back into markets, investors flock to safety. Common financial safe havens included Treasuries (which have been rally in mode) and gold (which just made a six year high). Another financial safe haven is the class of high quality, high moat, big that won’t be hit hard by this trade war drama. As such, I fully expect those “safe stocks” to out-perform so long as trade war drama hangs around. Which stocks fall into the safety stocks category? Let’s take a closer look at four safe stocks to buy amid the recent trade war turbulence. Safe Stocks to Buy Amid Trade Turbulence: AT&T (T) Source: Shutterstock The first safety stock on this list is a telecom giant with a big yield, stable operations, minimal trade war exposure and huge forthcoming catalysts on the horizon. AT&T (NYSE:) is one of America’s largest telecom companies. As a U.S. telecom giant, AT&T’s operations won’t be disrupted by a trade war. Consumers will still need internet service and mobile coverage, and will be willing to pay up for it so long as labor conditions remain favorable (which they do). Furthermore, T stock has a 6% yield which: 1) is pretty much higher than every other blue-chip yield in the market, and 2) looks really attractive next to a 10-Year Treasury yield that is below 2%. Also of note, AT&T has huge catalysts on the horizon that could breathe life back into this sluggish stock. First, AT&T is set to launch HBO Max soon, and this streaming service has enough content firepower from the Time Warner acquisition to make noise in the streaming landscape. If so, AT&T could pivot its negative cord-cutting narrative, into a positive streaming sub growth narrative. That will put upward pressure on

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for MTUM. Express as a decimal (e.g., -0.02).

Answer: -0.0105

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0105 (i.e., on a bad day with 5% probability, the loss exceeds 1.05%). CVaR(95%) = -0.0194.