^VIX: 60-day history, VaR(99%)=-0.1825, max drawdown threshold=10%.

Question:
Asset: ^VIX
Daily returns (past 60 days): mean=0.0049, std=0.1053, worst_day=-0.1825
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2018-03-29] ["Can the stock market stand up to the tech wreck? Bull market loses its leader The key question for investors is whether a sharp selloff in tech shares puts the broader bull market in danger.", "How to know when to buy, sell or hold popular tech stocks today Amid increasing volatility, investors need to understand position size, time horizon and diversification Amid increasing volatility, investors need to understand position size, time horizon and diversification.", "Smart Home Devices: These Categories Are Growing the Fastest As new categories emerge, smart speakers are still expected to grow quickly.", "Spotify initiated at outperform by RBC ahead of trading debut RBC Capital Markets analyst Mark Mahaney initiated shares of Spotify Technology with an outperform rating and $220 price target, ahead of the stock's expected public debut in early April. Mahaney's target price represents \"70%+ upside vs. recent private transaction price of $127.50,\" he wrote. He likes the large total addressable market for music-streaming services and Spotify's leading position in the market. The Consumer Technology Association believes consumers will spend $6.6 billion on music streaming services in 2018. Spotify has nearly twice as many paid subscribers as Apple Inc.'s Apple Music does. \"Very high global aided brand awareness, relatively high customer satisfaction scores, and superior data-driven personalization all combine to help Spotify maintain its leadership position,\" Mahaney wrote. As for Spotify's financials, he believes gross margin can expand from 21% in 2017 to upwards of 30% by 2022. He also points to declining churn rates.", "Will a robot care for you in your old age? The great potential\u2014and challenges\u2014 of artificial intelligence for an aging population Realizing AI\u2019s possibilities will require businesses to make it less expensive and for health care providers to embrace it.", "Nearly a billion smart home devices will ship in 2022, says IDC Market research firm IDC said Thursday that it expected shipments of smart home devices to grow at an 18.5% annual clip over the next five years, ultimately reaching 940 million devices shipped by 2022. Shipments of smart speakers will grow even faster over that period, IDC said, at a 32% annual rate. \"While it's still early days for the smart home market - and the wider consumer IoT ecosystem in general - we expect to see considerable growth over the next few years, especially as consumers become more aware of and increasingly interact with smart assistant platforms like Amazon's Alexa and [Alphabet Inc.'s ] Google Assistant,\" IDC senior research analyst Adam Wright said in a release. Amazon's Echo family of speakers is thought to be the market leader. Apple Inc. recently came out with its $349 HomePod speaker and will look to capture share of the market. Apple shares are up 18% over the past 12 months, while the Dow Jones Industrial Average has gained 17%.", "Apple\u2019s Cook Has Pointed Ad

Determine the maximum fraction of total portfolio capital that should be allocated to ^VIX, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 0.5480

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1825 (i.e., a 18.25% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1825 = 0.5480, capped at 1.0.
Maximum position size = 0.5480 (54.8% of portfolio).


JNK: 60-day history, VaR(99%)=-0.0102, max drawdown threshold=10%.

Question:
Asset: JNK
Daily returns (past 60 days): mean=0.0013, std=0.0061, worst_day=-0.0121
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to JNK, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0102 (i.e., a 1.02% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0102 = 9.8033, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


VNQ: 60-day history, VaR(99%)=-0.0212, max drawdown threshold=10%.

Question:
Asset: VNQ
Daily returns (past 60 days): mean=0.0006, std=0.0094, worst_day=-0.0233
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to VNQ, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0212 (i.e., a 2.12% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0212 = 4.7159, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


EWJ: 60-day history, VaR(99%)=-0.0146, max drawdown threshold=10%.

Question:
Asset: EWJ
Daily returns (past 60 days): mean=-0.0008, std=0.0054, worst_day=-0.0160
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2018-07-06] ["Nasdaq 100 Movers: LRCX, BIIB In early trading on Friday, shares of Biogen ( BIIB ) topped the list of the day's best performing components of the Nasdaq 100 index, trading up 17.8%. Year to date, Biogen registers a 10.5% gain. And the worst performing Nasdaq 100 component thus far on the day is Lam Research ( LRCX ), trading down 1.2%. Lam Research is lower by about 7.8% looking at the year to date performance. Two other components making moves today are Applied Materials ( AMAT ), trading down 1.0%, and Check Point Software Technologies ( CHKP ), trading up 2.6% on the day. VIDEO: Nasdaq 100 Movers: LRCX, BIIB 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 and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.", "After Hours Most Active for Jul 6, 2018 : QQQ, DPS, KKR, ATUS, NKE, WMB, ODP, CRM, FB, MDLZ, IEF, AMAT The NASDAQ 100 After Hours Indicator is up 1.83 to 7,209.16. The total After hours volume is currently 27,145,615 shares traded. The following are the most active stocks for the after hours session : Invesco QQQ Trust, Series 1 ( QQQ ) is -0.03 at $175.58, with 3,669,314 shares traded. This represents a 29.29% increase from its 52 Week Low. Dr Pepper Snapple Group, Inc ( DPS ) is unchanged at $122.92, with 2,809,452 shares traded. DPS's current last sale is 100.34% of the target price of $122.5. KKR & Co. Inc. ( KKR ) is unchanged at $27.04, with 1,033,438 shares traded. As reported by Zacks, the current mean recommendation for KKR is in the \"buy range\". Altice USA, Inc. ( ATUS ) is -0.0681 at $18.35, with 895,379 shares traded. As reported by Zacks, the current mean recommendation for ATUS is in the \"buy range\". Nike, Inc. ( NKE ) is unchanged at $76.48, with 874,325 shares traded. Over the last four weeks they have had 4 up revisions for the earnings forecast, for the fiscal quarter ending May 2019. The consensus EPS forecast is $0.79. NKE's current last sale is 98.05% of the target price of $78. Williams Companies, Inc. (The) ( WMB ) is unchanged at $27.58, with 848,571 shares traded. As reported by Zacks, the current mean recommendation for WMB is in the \"buy range\". Office Depot, Inc. ( ODP ) is unchanged at $2.70, with 810,779 shares traded. ODP's current last sale is 81.82% of the target price of $3.3. Salesforce.com Inc ( CRM ) is unchanged at $141.40, with 750,894 shares traded. As reported by Zacks, the current mean recommendation for CRM is in the \"buy range\". Facebook, Inc. ( FB ) is -0.11 at $203.12, with 739,123 shares traded. As reported by Zacks, the current mean recommendation for FB is in the \"buy range\". Mondelez International, Inc. ( MDLZ ) is unchanged at $42.35, with 620,964 shares traded. As reported by Zacks, the current mean recommendation for MDLZ is in the \"buy range\". iShares 7-10 Year Treasury Bond ETF ( IEF ) is unchanged at $10

Determine the maximum fraction of total portfolio capital that should be allocated to EWJ, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0146 (i.e., a 1.46% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0146 = 6.8319, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLI: 60-day history, VaR(99%)=-0.0336, max drawdown threshold=10%.

Question:
Asset: XLI
Daily returns (past 60 days): mean=-0.0015, std=0.0128, worst_day=-0.0336
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2018-12-04] ["Another Apple Supplier Slashes Its Sales Guidance Cirrus Logic, a maker of audio chips, reduced its financial guidance for its third quarter after the close on Monday, citing \u201crecent weaknesses in the smartphone market.\u201d", "Apple's stock falls 1.9% in premarket trade, after rallying 3.5% on Monday", "Apple Drops, Aerospace Under Pressure as Stocks Falter After Trade-Related Surge The global equity rally was on hold Tuesday morning as global stock markets gave back some of their post-G-20 trade-related gains.", "Apple stock falls after HSBC downgrade Apple Inc. shares are down 2.1% in premarket trading Tuesday after HSBC analyst Erwan Rambourg downgraded the stock to hold from buy, writing that it was \"too late to sell, too early to buy\" Apple shares, which have fallen 19% over the past three months. \"Apple has to innovate to ensure that the installed hardware base doesn't shrink,\" wrote Rambourg, who suggested three \"complementary strategies\" for the company. One is \"horizontal diversification and geographic expansion,\" as services like Apple Pay are growing fast but could benefit from more reach, in Rambourg's view. Another approach would be adding new services and applications in areas such as augmented reality that would drive hardware improvement and excite current iPhone users. Rambourg's final strategy is \"pure innovation\" in new realms like autonomous driving, health, and augmented-reality glasses. He lowered his price target to $200 from $205, writing of an \"undemanding valuation\" but limited \"immediate catalysts.\" The shares are down 11% over the past month, while the Dow Jones Industrial Average has risen 2.2%.", "AutoZone Stock Gains, RH Soars and Three More Morning Movers Apple and Hartford Financial Services are also on the move.", "Apple will buy Tesla and other \u2018outrageous predictions\u2019 from Saxo Bank Critical information for the U.S. trading day Our call of the day says get ready for a corporate-credit nightmare in 2019, and tosses in some wild predictions.", "Cirrus Logic target cut at Susquehanna as analyst says negative revision was worse than expected Susquehanna analyst Christopher Rolland lowered his price target on shares of Cirrus Logic Inc. to $43 from $48 on Tuesday, after the Apple Inc. supplier delivered a negative pre-announcement the prior afternoon. Given that other suppliers have cut their outlooks in recent weeks and that Cirrus shares fell sharply when Lumentum Holdings Inc. delivered its warning in November, Rolland had assumed that most of the negative risk was priced into shares but called the new projections from Cirrus \"a bit worse than we had expected.\" He has a positive rating on the stock and hopes that management will \"revisit longer-term plans to ramp operating expenditures year over year.\" Oppenheimer's Rick Schafer also chimed in on the negative preannouncement. \"We continue to see disappointing iPhone units and a lack of incremental Cirrus content at Apple (82%

Determine the maximum fraction of total portfolio capital that should be allocated to XLI, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0336 (i.e., a 3.36% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0336 = 2.9791, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


VLUE: 60-day history, VaR(99%)=-0.0264, max drawdown threshold=10%.

Question:
Asset: VLUE
Daily returns (past 60 days): mean=-0.0021, std=0.0116, worst_day=-0.0264
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2016-01-15] ["TSMC: Modesty Is Virtue, Bear Maybank Raises To Hold Analysts have been questioning Apple (AAPL) foundry Taiwan Semiconductor Manufacturing Corp.'s (2330.Taiwan/TSM) ambition lately, saying TSMC is unrealistic with its outlook.TSMC had a long-term goal of 10% annualized growth in revenue and profit. How can it be, when the overall smartphone growth is expected to dip to single-digit this year, they ask.After the market close on Thursday, TSMC reported fourth-quarter earnings per share of 2.81 new Taiwan dollars, above the consensus expectation of NT$2.65.But more importantly, TSMC guided its revenue growth outlook lower, expecting only 5-10% growth.READ MORE.", "Apple\u2019s iPhone slowdown starting to take toll on suppliers Some Asian component makers warn of lower first-half revenues Companies that make parts for Apple Inc. are warning of lower first-half revenue this year, in a sign of slowing sales of the latest iPhones.", "Analog Devices Bruised by Apple The supplier is the latest hurt by lower iPhone demand. Consolation: more content in the new Apple Watch and iPhone 7.", "All Dow stocks trading premarket are down, led by Intel and Apple shares Bears are getting an early start Friday, as 26 of the 30 stocks in the Dow Jones Industrial Average are trading in the premarket, and they are all down. The biggest loser is Intel Corp.'s stock , which shed 5.9% after reporting disappointing fourth-quarter results late Thursday. The most active is Apple Inc.'s stock , which is down 2% on volume of about 105,000 shares. Among other more-active components, shares of Walt Disney Co. slid 2.7%, of Exxon Mobil Corp. fell 2.7%, of Microsoft Corp. dropped 2.3% and of General Electric Co. gave up 1.6%. Dow futures were last down around 268 points.", "This tech company hopes to help Hollywood through biometric analysis Lightwave measured 15 audience fight-or-flight responses in \u2018The Revenant\u2019 Biometric tech company Lightwave partnered with 20th Century Fox to track audiences response to \u201cThe Revenant.\u201d", "Analog Devices Slips Although Street Largely Yawns at the Apple Debacle Shares of chip maker Analog Devices (ADI) are down $1.03, or 2%, at $49.47, after the company yesterday afternoon cut its revenue outlook for its January-ending fiscal Q1, noting weakness in its \u201cportable\u201d products division, which most on the Street take as equating to the company\u2019s sales to smartphones, and especially Apple's (AAPL) iPhone.Although there are price target and estimate cuts at all shops today, the sell side is largely yawning at this development.Although the impact from what appears to be some reduction in orders for parts from ADI by Apple is somewhat greater than many expected; and although the pain may last into next quarter as well, most seem to believe the problem is understood by investors and that it\u2019s time to move on.The stock has gotten one upgrade today, that I can see, from Nomura\u2019s Romit Shah, who raised his ratin

Determine the maximum fraction of total portfolio capital that should be allocated to VLUE, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0264 (i.e., a 2.64% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0264 = 3.7915, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XHB: 60-day history, VaR(99%)=-0.0360, max drawdown threshold=10%.

Question:
Asset: XHB
Daily returns (past 60 days): mean=0.0011, std=0.0154, worst_day=-0.0411
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to XHB, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0360 (i.e., a 3.60% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0360 = 2.7791, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


LINK-USD: 60-day history, VaR(99%)=-0.1425, max drawdown threshold=10%.

Question:
Asset: LINK-USD
Daily returns (past 60 days): mean=0.0260, std=0.0840, worst_day=-0.1553
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to LINK-USD, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 0.7017

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1425 (i.e., a 14.25% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1425 = 0.7017, capped at 1.0.
Maximum position size = 0.7017 (70.2% of portfolio).


EEM: 60-day history, VaR(99%)=-0.0196, max drawdown threshold=10%.

Question:
Asset: EEM
Daily returns (past 60 days): mean=0.0011, std=0.0107, worst_day=-0.0225
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2015-05-06] ["Itron (ITRI) Q1 Earnings Trail on Adverse Forex Impact - Analyst Blog", "Itron (ITRI) Q1 Earnings Trail on Adverse Forex Impact - Analyst Blog", "Itron (ITRI) Q1 Earnings Trail on Adverse Forex Impact - Analyst Blog Shares of Itron, Inc.ITRI lost around 1.2% and closed at $35.27, a day after the company reported disappointing first-quarter 2015 results on May 4. Adjusted earnings per share slumped 35.5% to 20 cents in the quarter from 31 cents in the prior-year quarter, mainly due to unfavorable impact of foreign currency exchange rates. Earnings also trailed the Zacks Consensus Estimate of 30 cents. Including one-time items, such as amortization, restructuring and acquisition-related expenses, the company reported earnings of 13 cents per share, contrary to a loss of 1 cent in the year-ago quarter. Itron Inc. - Earnings Surprise | FindTheCompany Operational Update Total revenue declined 5.6% to $448 million from $474.8 million in the year-ago quarter. Revenues, however, beat the Zacks Consensus Estimate of $429 million. Changes in foreign currency exchange rates unfavorably impacted revenues for the quarter. Excluding the impact of foreign currency, revenues increased 4% year over year. Improvement was driven by growth in the Electricity segment, which offset a decrease in the Gas segment. The Water segment was consistent with the prior-year period. Cost of goods sold went down to $310 million from $320 million in the prior-year quarter. Gross profit also decreased 10.6% year over year to $138 million. Gross margin decreased 170 basis points (bps) to 30.8%, primarily due to unfavorable product mix and increased warranty expense in the Gas and Water segments, partially offset by improved performance in Electricity. Adjusted operating expenses declined to $119.8 million from $131.9 million in the year-ago quarter. Adjusted operating profit decreased 21.7% year over year to $18 million. Including one-time items, Itron's operating income increased to $13.5 million in the quarter from $4.5 million in the year-ago quarter. Segment Performance Electricity Segment: Net sales at the Electricity Segment increased 7.6% year over year to $193.8 million. The segment reported adjusted operating income of $6 million unlike an operating loss of $15.9 million in the year-ago quarter. Gas Segment: The segment's sales went down 14.4% year over year to $125 million. Adjusted operating income for the quarter was $16 million, down 42.8% from $28 million in the year-ago quarter. Water Segment: The Water Segment reported sales of $129 million in the quarter, down 13% from $148.5 million in the prior-year quarter. Adjusted operating income for the quarter was $9.8 million, which plunged 58% from $23 million in the year-ago quarter. Financial Position Itron ended the quarter with cash and cash equivalents of $118 million versus $112.4 million as of 2014-end. The company reported cash used in operating activities of $3.9 million during first-quarter 2015 compared to cas

Determine the maximum fraction of total portfolio capital that should be allocated to EEM, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0196 (i.e., a 1.96% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0196 = 5.0937, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XRP-USD: 60-day history, VaR(99%)=-0.2138, max drawdown threshold=10%.

Question:
Asset: XRP-USD
Daily returns (past 60 days): mean=0.0095, std=0.1154, worst_day=-0.2138
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to XRP-USD, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 0.4677

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.2138 (i.e., a 21.38% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.2138 = 0.4677, capped at 1.0.
Maximum position size = 0.4677 (46.8% of portfolio).


BTC-USD: 60-day history, VaR(99%)=-0.0879, max drawdown threshold=10%.

Question:
Asset: BTC-USD
Daily returns (past 60 days): mean=-0.0005, std=0.0308, worst_day=-0.1140
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to BTC-USD, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0879 (i.e., a 8.79% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0879 = 1.1379, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


SCHP: 60-day history, VaR(99%)=-0.0037, max drawdown threshold=10%.

Question:
Asset: SCHP
Daily returns (past 60 days): mean=0.0004, std=0.0023, worst_day=-0.0045
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to SCHP, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0037 (i.e., a 0.37% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0037 = 27.0427, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


SHV: 60-day history, VaR(99%)=-0.0003, max drawdown threshold=10%.

Question:
Asset: SHV
Daily returns (past 60 days): mean=0.0000, std=0.0002, worst_day=-0.0003
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to SHV, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0003 (i.e., a 0.03% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0003 = 367.1313, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


BTC-USD: 60-day history, VaR(99%)=-0.0749, max drawdown threshold=10%.

Question:
Asset: BTC-USD
Daily returns (past 60 days): mean=0.0050, std=0.0366, worst_day=-0.0993
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to BTC-USD, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0749 (i.e., a 7.49% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0749 = 1.3354, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


BTC-USD: 60-day history, VaR(99%)=-0.0581, max drawdown threshold=10%.

Question:
Asset: BTC-USD
Daily returns (past 60 days): mean=-0.0022, std=0.0287, worst_day=-0.0698
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to BTC-USD, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0581 (i.e., a 5.81% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0581 = 1.7224, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


DOT-USD: 60-day history, VaR(99%)=-0.1464, max drawdown threshold=10%.

Question:
Asset: DOT-USD
Daily returns (past 60 days): mean=-0.0067, std=0.0659, worst_day=-0.1989
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to DOT-USD, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 0.6831

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1464 (i.e., a 14.64% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1464 = 0.6831, capped at 1.0.
Maximum position size = 0.6831 (68.3% of portfolio).


XRP-USD: 60-day history, VaR(99%)=-0.1567, max drawdown threshold=10%.

Question:
Asset: XRP-USD
Daily returns (past 60 days): mean=-0.0110, std=0.0480, worst_day=-0.1952
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-05-23]

Determine the maximum fraction of total portfolio capital that should be allocated to XRP-USD, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 0.6383

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1567 (i.e., a 15.67% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1567 = 0.6383, capped at 1.0.
Maximum position size = 0.6383 (63.8% of portfolio).


^VIX: 60-day history, VaR(99%)=-0.1151, max drawdown threshold=10%.

Question:
Asset: ^VIX
Daily returns (past 60 days): mean=0.0065, std=0.0614, worst_day=-0.1222
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2018-02-01] ["Apple declines in late trading on iPhone supplier concerns Apple Inc. shares fell in late trading Wednesday after chip supplier Qualcomm Inc. reported that a large customer pared orders more than expected in the quarter. Qualcomm, which reported earnings Wednesday afternoon, supplies modems to Apple for its iPhones, and the information was believed to be a signal that Apple curtailed iPhone production earlier than expected. As Bloomberg News noted, another Apple component supplier, Broadcom Ltd. , made a similar disclosure in its own earnings report earlier Wednesday. Apple stock declined about 0.5% in after-hours action; the company is scheduled to reveal initial iPhone X sales in an earnings report Thursday afternoon.", "Asian markets mostly rise on brighter economic data Nikkei up 1.2% after 6 days of declines; stocks in China sink Some Asian stock markets rebounded after the broad pullback that started the week, but Chinese equities weakened again following another muted manufacturing reading, weighing on Hong Kong stocks.", "Qualcomm shores up licensing with expanded Samsung deal Charges related to licensing bit into Qualcomm profit The agreement with Samsung, which allows the two companies to share patents, doesn\u2019t bear on the deals Qualcomm uses to license intellectual property for its smartphone chips, which are facing legal challenges by Apple and regulators.", "Apple earnings: Forget taxes and batteries, the $1,000 iPhone X remains the story Apple expected to post record sales for the holiday quarter, despite iPhone X shortages, thanks to high price tag Apple has generated attention for its comments on taxes and batteries, but investors will focus mostly on iPhone sales when the company reports earnings Feb. 1", "Qualcomm earnings show weak forecast amid massive fines, tax charge Tax law change, fines sock Qualcomm with $6 billion quarterly loss Qualcomm Inc. managed to beat expectations with its earnings Wednesday, but the chip maker\u2019s outlook came up short and caused some concerns about Apple Inc.\u2019s iPhone sales.", "The Amazon chart you may not want to see, but probably should Critical information for the U.S. trading day It\u2019s a huge earnings day and investors will be scrambling to keep up. Our chart of the day offers food for thought for one of those big companies \u2014 Amazon, while the chart of the day says don\u2019t bail on stocks now.", "Facebook earnings send stock to record after massive ad price increase Average price for Facebook ads jumped 43% in fourth quarter Facebook Inc. shares reversed course to show gains in late trading Wednesday after the company reported double-digit advertising price growth amid massive changes to its core product.", "Apple Earnings: Hand-Wringing\u2019s Silver Lining? Apple's quarterly report Thursday night finally brings the Street face to face with the numbers they've been obsessing about: How bad will the outlook be for the March quarter's iPhone units? There just has to

Determine the maximum fraction of total portfolio capital that should be allocated to ^VIX, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 0.8687

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1151 (i.e., a 11.51% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1151 = 0.8687, capped at 1.0.
Maximum position size = 0.8687 (86.9% of portfolio).


VLUE: 60-day history, VaR(99%)=-0.0130, max drawdown threshold=10%.

Question:
Asset: VLUE
Daily returns (past 60 days): mean=0.0001, std=0.0063, worst_day=-0.0143
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2018-07-05] ["PreMarket Prep Recap For July 5: Trading The Range In The S&P 500; Sean Udall Joins The Show", "PreMarket Prep Recap For July 5: Trading The Range In The S&P 500; Sean Udall Joins The Show", "Synopsys, Siemens Join Forces on EDA Interoperability Effort SynopsysSNPS is collaborating with Siemens PLM Software to jointly develop a wide range of electronic design automation (EDA) product interoperability projects. EDA is a category of tools used to analyze semiconductor devices. Many chip designers and manufacturers are opting for EDA, attracted by the reduced cost, errors and design time associated with its adoption. The increasing demand for EDA solutions are driven by growth in fast growing fields of cloud computing, Artificial Intelligence (AI), Internet of Things (IoT) and smart wearable devices. Collaboration to Boost Customer Base The synergistic collaboration between Synopsys and Siemens encompasses EDA domains from design to verification. The latest collaboration will help Synopsys address the needs of semiconductor and system-on-chip (SoC) manufacturing firms, which comprises the majority of its clientele. Moreover, the joint solution will enhance customers' digitization efforts. Further, the collaboration will ensure more effective EDA solutions for mutual customers. Notably, one major competitor of Synopsys was Mentor Graphics, which was recently acquired by Siemens. The companies have also settled all outstanding patent litigations Hence, we believe the collaboration with Siemens on EDA product interoperability solutions bodes well for Synopsys, as it will expand its penetration in the market. Synopsys, Inc. Revenue (TTM) Synopsys, Inc. Revenue (TTM) | Synopsys, Inc. Quote Extended Partner Base, New Solutions to Drive Growth We believe Synopsys will benefit from its expanding partner base. The company's extended relationships with the likes of AMD, Juniper, Realtek, Teradici, NetLogic Microsystems, Toshiba and Wolfson will continue to boost its top-line growth. Synopsys also collaborated with ARM Holdings plc which is expected to optimize the performance of its processors. The company is positive about its EDA design solutions which are helping in designing of new AI engines. The newly launched Fusion Technology has gained accolades from the Samsung, STMicroelectronics, Toshiba, and ANSYS. Further, strategic acquisitions have expanded the company's presence in the intensely competitive EDA market. Zacks Rank and Stocks to Consider Synopsys currently carries a Zacks Rank #3 (Hold). Some stocks worth considering in the broader Computer and Technology sector are Adobe ADBE , YY YY , and Verint VRNT . All three stocks sport a Zacks Rank #1 (Strong Buy). You can see the complete list of today's Zacks #1 Rank stocks here . Long-term earnings growth for Adobe, YY and Verint is projected to be 16.20%, 26.43% and 10%, respectively. Today's Stocks from Zacks' Hottest Strategies It's hard to believe, even for us at Zacks. But while the market gai

Determine the maximum fraction of total portfolio capital that should be allocated to VLUE, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0130 (i.e., a 1.30% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0130 = 7.7108, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


USMV: 60-day history, VaR(99%)=-0.0211, max drawdown threshold=10%.

Question:
Asset: USMV
Daily returns (past 60 days): mean=0.0004, std=0.0118, worst_day=-0.0222
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-12-08] ["US STOCKS-S&P 500, Nasdaq snap losing streaks after jobless claims rise By David French Dec 8 (Reuters) - The S&P 500 .SPXended higher on Thursday, snapping a five-session losing streak, as investors interpreted data showing a rise in weekly jobless claims as a sign the pace of interest rate hikes could soon slow. Wall Street's main indexes had come under pressure in recent days, with the S&P 500 shedding 3.6% since the beginning of December on expectations of a longer rate-hike cycle and downbeat economic views from some top company executives. Such thinking had also weighed on the Nasdaq Composite .IXIC, which had posted four straight losing sessions prior to Thursday's advance on the tech-heavy index. Stocks rose as investors cheered data showing the number of Americans filing claims for jobless benefits increased moderately last week, while unemployment rolls hit a 10-month high toward the end of November. The report follows data last Friday that showed U.S. employers hired more workers than expected in November and increased wages, spurring fears that the Fed might stick to its aggressive stance to tame decades-high inflation. Markets have been swayed by data releases in recent days, with investors lacking certainty ahead of Federal Reserve guidance next week on interest rates. Such behavior means Friday's producer price index and the University of Michigan's consumer sentiment survey will likely dictate whether Wall Street can build on Thursday's rally. \"The market has to adjust to the fact that we're moving from a stimulus-based economy - both fiscal and monetary - into a fundamentals-based economy, and that's what we're grappling with right now,\" said Wiley Angell, chief market strategist at Ziegler Capital Management. The Dow Jones Industrial Average .DJI rose 183.56 points, or 0.55%, to close at 33,781.48; the S&P 500 .SPX gained 29.59 points, or 0.75%, to finish at 3,963.51; and the Nasdaq Composite .IXIC added 123.45 points, or 1.13%, at 11,082.00. Nine of the 11 major S&P 500 sectors rose, led by a 1.6% gain in technology stocks .SPLRCT. Most mega-cap technology and growth stocks gained. Apple Inc AAPL.O, Nvidia Corp NVDA.O and Amazon.com Inc AMZN.O rose between 1.2% and 6.5%. Microsoft Corp MSFT.O ended 1.2% higher, despite giving up some intraday gains after the Federal Trade Commission filed a complaint aimed at blocking the tech giant's $69 billion bid to buy Activision Blizzard Inc ATVI.O. The \"Call of Duty\" games maker closed 1.5% lower. The energy index .SPNY was an exception, slipping 0.5%, despite Exxon Mobil Corp XOM.N gaining 0.7% after announcing it would expand its $30-billion share repurchase program. The sector had been under pressure in recent sessions as commodity prices slipped: U.S. crude CLc1 is now hovering near its level at the start of 2022. Meanwhile, Moderna Inc MRNA.O advanced 3.2% after the U.S. Food and Drug Administration authorized COVID-19 shots from the vaccine maker that target both the original

Determine the maximum fraction of total portfolio capital that should be allocated to USMV, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0211 (i.e., a 2.11% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0211 = 4.7411, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


ETH-USD: 60-day history, VaR(99%)=-0.1458, max drawdown threshold=10%.

Question:
Asset: ETH-USD
Daily returns (past 60 days): mean=0.0151, std=0.0592, worst_day=-0.1593
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to ETH-USD, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 0.6860

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1458 (i.e., a 14.58% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1458 = 0.6860, capped at 1.0.
Maximum position size = 0.6860 (68.6% of portfolio).


ETH-USD: 60-day history, VaR(99%)=-0.1203, max drawdown threshold=10%.

Question:
Asset: ETH-USD
Daily returns (past 60 days): mean=0.0044, std=0.0494, worst_day=-0.1593
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to ETH-USD, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 0.8313

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1203 (i.e., a 12.03% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1203 = 0.8313, capped at 1.0.
Maximum position size = 0.8313 (83.1% of portfolio).


IVV: 60-day history, VaR(99%)=-0.0328, max drawdown threshold=10%.

Question:
Asset: IVV
Daily returns (past 60 days): mean=-0.0021, std=0.0173, worst_day=-0.0328
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-07-14] ["5 Stocks to Outrun the Housing Market InvestorPlace - Stock Market News, Stock Advice & Trading Tips This article is excerpted from Tom Yeung\u2019s Profit & Protection newsletter. To make sure you don\u2019t miss any of Tom\u2019s picks, subscribe to his mailing list here. CPI Hits 9.1%\u2026 And Other Bad News On Tuesday, I wrote that exorbitant home prices are driving even relatively well-off professionals out of top markets. No matter how successful a doctor, lawyer or programmer you become, it\u2019s hard to make $450,000 per year \u2014 Fidelity Bank\u2019s estimated buying price for the average apartment in New York\u2019s Upper East Side. Right on cue, the Bureau of Labor Statistics (BLS) released even more bad news: Inflation hit 9.1% in the month of June. And as shocking as the figure might be, it actually understates the problem. According to data from Zillow, the average cost to rent has risen 14.7% in the past 12 months. But because only one-third of Americans rent (and making some adjustments for homeowners), the BLS only recorded a 5.6% increase in real estate spending among all Americans. But jumping into real estate today is also risky at best. Rising mortgage rates, slackening commodity prices and unaffordable prices point to prolonged stagnation in house values. Real estate prices cannot go to the moon unless wages do too. Instead, investors need to buy companies that benefit from real estate markets without the pricing risk. And today, we will cover five of these fast-growing tech firms that are upending the traditional real estate market. Source: Shutterstock / Unicode Vector 5 Stocks to Outrun the Housing Market Earlier this month, Zillow revealed housing prices have risen 19.4% over the past year. Many homeowners are nervously asking themselves how they\u2019ll afford a new house if they ever need to move. Meanwhile, renters are in even worse shape. Wages have risen at just one-third the rate of rent increases. And Google\u2019s 30 million results for the question \u201chow much does a cardboard box cost to live in\u201d yield very little helpful advice. At first glance, homebuilder stocks seem like a natural winner. As I mentioned on Tuesday, companies like America\u2019s largest home builder D.H. Horton (DHI) are earning 4x their operating income compared to five years ago. If home prices are going up, shouldn\u2019t homebuilder stocks too? But such conclusions fall into the trap of \u201cfirst-level thinking,\u201d a term coined by Oaktree Capital co-founder Howard Marks. First-level thinking is simplistic and superficial, and just about everyone can do it (a bad sign for anything involving an attempt at superiority). All the first-level thinker needs is an opinion about the future, as in \u201cThe outlook for the company is favorable, meaning the stock will go up.\u201d Second-level thinking is deep, complex and convoluted. That\u2019s because homebuilding is a low-margin business with virtually no barriers to entry.

Determine the maximum fraction of total portfolio capital that should be allocated to IVV, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0328 (i.e., a 3.28% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0328 = 3.0503, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


USMV: 60-day history, VaR(99%)=-0.0225, max drawdown threshold=10%.

Question:
Asset: USMV
Daily returns (past 60 days): mean=0.0014, std=0.0101, worst_day=-0.0253
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-09-09] ["ROKU Set to Launch The Rich Eisen Show on The Roku Channel Roku Inc. ROKU awaits the debut of The Rich Eisen Show hosted by Rich Eisen on the Roku Channel on Sep 12. This is a two-time Emmy-nominated talk show, which features a mix of sports, humor, and pop culture. Streamers can access the weekday live show through the FAST channel available on The Roku Channel and The Roku Channel\u2019s Live TV Guide on Channel 210 from Monday-Friday, from 12:00-3:00 PM ET/9:00 AM-12:00 PM PT. The prior episodes of the show will be streamed when the broadcast is off air. The show, which previously attracted renowned personalities from sports and entertainment like Tom Brady, Shaquille O\u2019Neal, Matt Damon and more, is now expected to attract users to The Roku Channel as it launches just a week into NFL. Roku, Inc. Price and Consensus Roku, Inc. price-consensus-chart | Roku, Inc. Quote The Roku Channel Expands Content Width The Roku Channel has been focused on expanding its library. It recently added 14 new linear channels, of which the local news channels seemed to gain the most traction. Roku expects all the newly launched channels that offer a wide range of genres like Westerns, Spanish-language entertainment and true crime to drive viewers\u2019 interest and increase active accounts. The company boasts about maintaining its market leadership as it added 1.8 million incremental active accounts to reach 63.1 million in the second quarter of 2022. The continued momentum of Roku Originals complements the company\u2019s market leadership. The second season of Chrissy\u2019s Court was the highest-rated unscripted Roku Originals launch ever and delivered four times more unique views than the first season. The upcoming feature film WEIRD: The Al Yankovic Story, which is scheduled to be released on Nov 4, is anticipated to attract advertisers due to the new opportunities to engage with Roku Originals. Roku recently announced a new product called Shoppable Ads, which makes shopping on TV streaming hassle-free. Its partnership with Walmart, a leading retail giant to be their exclusive retailer shows growth prospects in this business unit. Considering these factors, the company estimates total net revenues to increase approximately 3% year over year to $700 million and total gross profits of roughly around $325 million. Roku Faces Uncertainty and Stiff Competition Despite investments toward expansion, COVID-19 and the Russia-Ukraine war have contributed to Roku facing a slowdown in TV advertising expenditure over the last two quarters. This apart, the company faces significant competitive pressure from Amazon\u2019s AMZN Fire TV Stick, Alphabet Inc\u2019s GOOGL Chromecast and Apple\u2019s AAPL Apple TV. Roku\u2019s shares have underperformed, having plunged 69.7% year to date compared to its peers \u2014 Amazon, Google and Apple \u2014 which have declined 22.2%, 24.4% and 13%, respectively. The Zacks Broadcast Radio and Television industry has seen a decline of 53

Determine the maximum fraction of total portfolio capital that should be allocated to USMV, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0225 (i.e., a 2.25% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0225 = 4.4536, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


QQQ: 60-day history, VaR(99%)=-0.0332, max drawdown threshold=10%.

Question:
Asset: QQQ
Daily returns (past 60 days): mean=-0.0009, std=0.0124, worst_day=-0.0351
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2016-01-13] ["CLSA Survey: China\u2019s iPhone Demand Remains Firm Smartphone hardware stocks are sold off this year. Apple (AAPL) has fallen 5%, while Samsung Electronics (005930.Korea/SSNLF) has retreated 9.1% on concerns over a sharp smartphone growth slowdown.After conducting a consumer intent survey in December, Asia-based broker CLSA continues to feel bullish about Apple, but has cooled towards its competitors Huawei, Xiaomi and Samsung.READ MORE.", "Oversold Apple Stocks Apple's (AAPL) supply chain in Asia has sank with its patron this year. In Taiwan, casing supplier Catcher Technology (2474.Taiwan) lost a quarter of its market value in 7 trading days, while Apple's foundry Taiwan Semiconductor Manufacturing Corp., or TSMC (2330.Taiwan/TSM) retreated 7.6%.Some of the setback is media reports that Apple would cut its iPhone production by a third in the March quarter, but the weaker yuan, which has rattled stocks, commodities, and currencies worldwide, is also to blame.As yuan calms and dust settles, we may find some Apple suppliers oversold. \"On valuation, we find a few Apple names trading near book value, but still generating respectable free cash flow, ROE and dividend yields,\" noted HSBC's Steven Pelayo this morning.READ MORE.", "Qualcomm Teams with TDK in RF Assault on Skyworks, Qorvo Wireless chip giant Qualcomm (QCOM) early Wednesday morning announced it would team with Japan\u2019s TDK (TTDKY) to produce more complete radio frequency chips, a move that could bring the company into closer competition with RF leaders Skyworks Solutions (SWKS) and Qorvo (QRVO).Qualcomm said it will form a joint venture with TDK, called RF360 Holdings, 51% owned by Qualcomm, to make what are known as \u201cRF front-end modules,\u201d combining parts from Qualcomm, such as power amplifiers,\u201d with parts in which TDK specializes, such as radio-frequency filters.Qualcomm has long dominated the the baseband modem in smartphones such as Apple's (AAPL) iPhone and most other major devices. From the modem it has built a growing business supplying application processors, but also, increasingly, more of the radio-frequency chips that tune a phone to the particular electromagnetic frequency by which they must send and receive signals.TDK, founded in 1935, is best known for its magnetic recording media, especially the cassette tape. But it also has an extensive microelectronics business. That business includes parts of wireless equation that Qualcomm lacks, such as surface acoustic wave, or SAW, filters.Qualcomm has an option to buy out TDK\u2019s share in the venture, after 30 months have passed from the closing of the deal. In a phone call I had with the company, Qualcomm\u2019s chief financial officer, George Davis, said \"we would anticipate that being exercised\u201d ultimately.", "Steer clear of Saudi Aramco\u2019s initial public offering It would be world\u2019s biggest listed company, but it\u2019d come with lots of unknowns The initial public offering for Saudi

Determine the maximum fraction of total portfolio capital that should be allocated to QQQ, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0332 (i.e., a 3.32% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0332 = 3.0156, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XRP-USD: 60-day history, VaR(99%)=-0.1519, max drawdown threshold=10%.

Question:
Asset: XRP-USD
Daily returns (past 60 days): mean=0.0046, std=0.0615, worst_day=-0.1902
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to XRP-USD, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 0.6585

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1519 (i.e., a 15.19% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1519 = 0.6585, capped at 1.0.
Maximum position size = 0.6585 (65.8% of portfolio).


XLF: 60-day history, VaR(99%)=-0.0241, max drawdown threshold=10%.

Question:
Asset: XLF
Daily returns (past 60 days): mean=0.0029, std=0.0141, worst_day=-0.0259
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2021-01-15] 3 Stocks That Need to Get Back on Track in 2021 Last year was a lucrative one for most investments, but some market favorites were sputtering near the 2020 finish line. These recent laggards need to get back on track, and we may as well go over the best chance for that to happen in 2021. Adobe Systems (NASDAQ: ADBE), Zoom Video Communications (NASDAQ: ZM), and Sirius XM Holdings (NASDAQ: SIRI) have a lot to prove after recently falling out of favor. Let's dive into what went wrong -- and what can go right in the year ahead. Image source: Getty Images. Adobe Adobe posted uninspiring financial results last month. Revenue for the quarter that ended in late November clocked in 14% higher. Top-line growth for the entire fiscal year came in at 15%. Growth in the low teens may not seem too shabby, but Adobe's revenue growth had topped 20% in each of the four previous fiscal years. Adobe should've been pandemic-proof. Digital publishing and its electronic signature business should've been booming during the shelter-in-place phase of the COVID-19 crisis. Adobe was a winner for the calendar year. The stock rose 52% in 2020. However, it gained just 2% in the final three months of the year when the general market was rallying. Adobe needs to get back on track, and thankfully it has the liquidity to make its own luck. Adobe spent $3 billion repurchasing 8 million shares in fiscal 2020, and its board just authorized another $15 billion of stock repurchases through the end of fiscal 2024 once the current plan is authorized. Adobe will have the flexibility to buy into any weakness at this point, and along the way it will improve its profitability on a per-share basis. Zoom You probably didn't expect to see Zoom on a list of laggards, but bear with me. There was a point in 2020 -- mid-October if you're calendar-checking -- when the next-gen videoconferencing platform was an eight-bagger. Here we are just three months later and the stock has fallen roughly 40% from its all-time highs. Like Adobe, Zoom is a tech stock that has faded while its peers are striking fresh highs. Investors began to bail on Zoom in November and December when a pair of viable vaccines emerged and were ultimately granted Emergency Use Authorization. The thinking here is that folks won't be on Zoom as much once the pandemic is over. Call me crazy, but I think there will be some form of virtual schooling in the future, and there's no way that families and corporations will stop meeting online every now and then for the sake of convenience and to save some money. Zoom is rocking. Revenue soared 367% in its most recent quarter. Returning customers are spending an average of at least 30% more than they were a year earlier, and that's been the case for 10 consecutive quarters. In short, the pandemic shaved a few years off of Zoom's growth trajectory, but it was and will continue to be a rock star in the next new normal. Sirius We finally get to a stock that retreated in 2020, and didn't just stum

Determine the maximum fraction of total portfolio capital that should be allocated to XLF, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0241 (i.e., a 2.41% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0241 = 4.1495, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XRP-USD: 60-day history, VaR(99%)=-0.1608, max drawdown threshold=10%.

Question:
Asset: XRP-USD
Daily returns (past 60 days): mean=0.0103, std=0.0873, worst_day=-0.2138
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to XRP-USD, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 0.6219

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1608 (i.e., a 16.08% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1608 = 0.6219, capped at 1.0.
Maximum position size = 0.6219 (62.2% of portfolio).


QQQ: 60-day history, VaR(99%)=-0.0358, max drawdown threshold=10%.

Question:
Asset: QQQ
Daily returns (past 60 days): mean=0.0005, std=0.0158, worst_day=-0.0391
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2019-02-25] ["Apple's approach to video 'will likely remain uninspiring,' says KeyBanc KeyBanc Capital Markets analyst Andy Hargreaves isn't particularly upbeat about the streaming-video service that many expect Apple Inc. to unveil in the coming weeks. \"While this will likely usher in an era of Apple originals, the overall effort appears likely to be sub-scale, years behind key competitors, and lacking in meaningful differentiation,\" he wrote. \"We see little in the effort that appears likely to drive material profits or that could attract a significant number of incremental users to the Apple ecosystem.\" He said the company's efforts in video \"will likely remain uninspiring\" and doesn't see an easy way for Apple to catch up with rivals that are more experienced in the space. He rates the stock at sector weight. Apple shares are up 0.7% in premarket trading Monday, and they've gained 0.4% over the past three months. The Dow Jones Industrial Average has climbed 32% in that time.", "Apple card partnership with Goldman Sachs likely to be 'immaterial' to revenue: Bernstein Apple Inc. is reportedly planning to issue a co-branded Mastercard Inc. card with Goldman Sachs Group Inc. , according to the Wall Street Journal, an arrangement that seems to make strategic sense but likely won't help Apple's financials much, Bernstein analysts wrote Monday. \"The financial impact is likely immaterial to all three in our view,\" wrote the analysts, led by Harshita Rawat. \"For Apple, we believe it brings more ecosystem enhancing (vs. financial) benefits.\" The company likely doesn't bring in more than \"a few hundred million dollars\" in annual revenue from Apple Pay as is, Rawat said. Goldman, meanwhile, might not get credit from investors for this effort \"until they have a more coherent direct-to-consumer wealth management strategy,\" according to Rawat. She doubts whether there will be much uptake of this new card, which hasn't been officially confirmed or announced, given a highly competitive landscape for rewards credit cards. \"It is unclear that a value proposition centered on integration to the Apple eco-system is really enough to drive significant adoption,\" she wrote. Apple shares are up 0.7% in premarket trading Monday, and they've gained 0.4% over the past three months as the Dow Jones Industrial Average has climbed 7.2%.", "Dell returns to the earnings calendar as retailers\u2019 holiday returns keep flowing Earnings Watch: Dell, HP and Best Buy provide a full look at electronics sales, software stocks\u2019 gains could be tested Retail, software and personal-computer manufacturers will report earnings in the week ahead.", "Warren Buffett\u2019s Berkshire Disappoints on Buybacks, Sees Stocks More Attractive Than Deals The investor\u2019s closely read letter to shareholders has little to say about Kraft Heinz or the conglomerate\u2019s intrinsic value.", "Buffett Likes JPMorgan, Blasts Bitcoin, and Isn\u2019t Buying Apple Stock in JPMorgan Chase and other

Determine the maximum fraction of total portfolio capital that should be allocated to QQQ, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0358 (i.e., a 3.58% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0358 = 2.7899, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


IWM: 60-day history, VaR(99%)=-0.0325, max drawdown threshold=10%.

Question:
Asset: IWM
Daily returns (past 60 days): mean=0.0016, std=0.0130, worst_day=-0.0357
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2020-10-23] What's The Downside For Texas Instruments Stock? Texas Instruments stock (NASDAQ: TXN) is up 64% since the beginning of this year, and at the current price of around $153 per share, we believe that TI stock has more than 15% potential downside. Why is that? Our belief stems from the fact that TI stock is still up over 70% from the low seen at the end of 2018, almost 2 years ago. Further, after posting weak Q2 2020 numbers, and with industrial demand still not up to pre-Covid levels, we believe Texas Instruments’ stock could drift lower. Our dashboard What Factors Drove 70% Change In Texas Instruments Stock Between 2018 And Now? provides the key numbers behind our thinking, and we explain more below. TI stock’s rise since late 2018 came despite a 9% drop in revenues, which further translated into a 10% drop in net income. which combined with a 4% drop in the outstanding share count, led to a 7% decrease in earnings per share (EPS). In addition, TI’s P/E (price-to-earnings) ratio rose from 16x in 2018 to 24x in 2019, as the semiconductor supply glut cleared out and demand started rising again. The P/E multiple has since jumped to 29x so far this year. However, given TI’s dismal Q2 ’20 numbers and the fact that industrial demand is still not back to pre-Covid levels, there is possible downside risk for TI’s multiple, especially when compared with previous years: P/E of 16x at the end of 2018 and 24x as recently as 2019. So what’s the likely trigger and timing to this downside? The global spread of Coronavirus and the resulting lockdowns have hampered demand for TI’s analog and embedded semiconductors across a variety of sectors, especially industrial and automotive. This is evident from TI’s Q2 2020 earnings, where revenue came in at $3.24 billion, down from $3.67 billion for the same period in 2019. Also, as operating expenses didn’t drop as much as revenue, operating margins came in lower at 37.9% from 41.1% for the same period last year. A tax benefit of $101 million vs a tax expense of $209 million last year, helped EPS rise to $1.50 vs $1.38 for the same period last year. However, given the slow demand revival we expect TI’s revenue and operating margins to struggle in the near term. Regardless, if there isn’t clear evidence of containment of the virus anytime soon, we believe the stock will see its P/E multiple decline from the current level of 29x to around 24x, which combined with a slight reduction in revenues and margins could result in the stock price shrinking to as low as $125, a downside of almost 20% from the current price of $153. What if you’re looking for a more balanced portfolio instead? Here’s a high quality portfolio to beat the market, with over 100% return since 2016, versus 55% for the S&P 500. Comprised of companies with strong revenue growth, healthy profits, lots of cash, and low risk, it has outperformed the broader market year after year, consistently. See all Trefis Price Estimates and Download Trefis Data here What’s

Determine the maximum fraction of total portfolio capital that should be allocated to IWM, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0325 (i.e., a 3.25% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0325 = 3.0802, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


EEM: 60-day history, VaR(99%)=-0.0341, max drawdown threshold=10%.

Question:
Asset: EEM
Daily returns (past 60 days): mean=0.0031, std=0.0162, worst_day=-0.0341
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2020-06-30] ["Dips in Advanced Micro Devices Stock Remain Buying Opportunities InvestorPlace - Stock Market News, Stock Advice & Trading Tips Advanced Micro Devices (NASDAQ:AMD) stock is trading well within the confines of its chart patterns this year. It is struggling a bit here, but that is its normal seasonal action. Source: Sundry Photography / Shutterstock.com I am a fan of buying dips in AMD stock, and therein lies today\u2019s discussion. It is falling into a support zone that should hold if the stock markets in general don\u2019t collapse. Technically from here into $45 there are buyers ready to pounce on it. The overnight positive reaction to Micron (NASDAQ:MU) earnings will also boost all chip stocks. There are still too many investors who do not believe in technical analysis, and they are committing a grave mistake. In this modern era of trading, machines do most of the trading and they do not do it based on opinion. The main drivers for their actions are math, ratios and patterns. Consequently investors \u2014 especially those who actively trade without technical skills \u2014 are putting themselves at a disadvantage. But we all do have tools to cover the basics, at least evening the game. AMD Stock Is a Buy-and-Hold Candidate Source: Charts by TradingView AMD stock has been a great long-term investment but also a fun stock to trade shorter-term. The two can go hand in hand, and investors don\u2019t have to choose one or the other. 7 of the Newest Stocks That Made Good on Their IPOs Fundamentally it is not cheap, but that is not a deal-breaker. The sector is booming because the world is going digital. The global quarantine put the digital migration trend in high gear and the ramp is getting more exponential. There is a panic among people and businesses alike to get online. Fear is a great motivator. People are afraid to go out, and the only solutions that we have are digitally based. Advanced Micro Devices is one of the few companies that supply the brains to power the machines. They will have tremendous demand on there goods and services for years to come. And there\u2019s plenty of room for it and all its competitors to thrive. Therefore dips in their stocks are opportunities to buy. Last week ended on a difficult note for AMD and Nvidia (NASDAQ:NVDA) and more pain on Monday morning but that could end today. Between these two I prefer AMD over Nvidia. I don\u2019t like it when investors overpay for upside hopium. AMD Is Not Expensive, Contrary to Popular Belief The Nvidia stock price is 20 times its yearly sales, which is more than double what it is for AMD. Traditionally investors concentrate on the price-to-earnings to ascertain value, but doing so for AMD and Nvidia would be a mistake. They are growth stocks, and profitability is not the key metric to consider. Yes, AMD has a huge 121 tailing price-to-earnings ratio compared to Nvidia\u2019s 71. But that doesn\u2019t matter here, because what matters more is the top line and there NVDA has t

Determine the maximum fraction of total portfolio capital that should be allocated to EEM, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0341 (i.e., a 3.41% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0341 = 2.9314, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


EFA: 60-day history, VaR(99%)=-0.0289, max drawdown threshold=10%.

Question:
Asset: EFA
Daily returns (past 60 days): mean=-0.0020, std=0.0122, worst_day=-0.0289
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2015-09-04] Dow 30 Stock Roundup: GE Announces Divestment of Fleet Businesses, Intel Unveils 6th Gen Intel Core chips The Dow endured a mixed week, suffering record losses before rebounding on the last two days. The blue-chip index declined on Monday after Federal Vice Chairman Stanley Fischer's comments on Saturday left possibilities of a September rate hike wide open. The Dow posted its third biggest drop of the year on Tuesday in terms of points, slumping 2.8% or 469.68 points. The blue-chip index gained 1.8% on Wednesday amid strong domestic data and rise in oil prices . The Dow gained on Thursday amid Mario Draghi's dovish comments, upbeat economic data and fluctuations in oil prices. The Dow has declined 1.6% during the first four trading days. LastWeek's Performance Last Friday, the Dow declined 0.1% amid another surge in oil prices and a Fed official's comment on the timing of a rate hike. Investors' move to eliminate their short trading positions and increase in tensions in Yemen helped oil prices move north for the second day on Friday. Saudi's ground offensive on Yemeni forces raised concerns about supply disruption, which eventually boosted oil prices. Dow components Exxon Mobil Corporation XOM and Chevron Corporation CVX advanced 0.3% and 3.6%, respectively. Meanwhile, investors remained focused on Federal Reserve Vice Chairman Stanley Fischer's comments on the timing of a rate hike. He indicated that the central bank may raise interest rates this year, but didn't mention any specific time. Investors' reaction to the less-than-expected rise in consumer spending remained mostly muted. Personal consumption expenditure increased 0.3% in July, less than the consensus estimate of a 0.4% increase. For the week, the Dow gained 1.1%. Additionally, the blue-chip index recorded its biggest intra-week reversal since the last week of Oct 1987. Upbeat GDP data, durable-goods report and rebound in oil prices helped benchmarks notch up gains for the week. Additionally, benchmarks staged a comeback on Wednesday after the New York Federal Reserve President William Dudley said that a September rate hike is "less compelling". Meanwhile, benchmarks had suffered a rout during the first two trading days of the week as investors were concerned about China's economic slowdown. The Dow declined to an 18-month closing low. Later, China's central bank decided to cut interest rates and reserve requirement ratio to shore up growth. The DowThisWeek The blue-chip index declined 0.7% on Monday after Federal Vice Chairman Stanley Fischer's comments on Saturday left possibilities of September rate hike wide open. Federal Vice Chairman Stanley Fischer said during the weekend that inflation in the U.S. is likely to rebound as pressure from dollar subsides. This in turn will allow the Fed to hike rates gradually. This follows Fischer's comments made last Friday, when he said that a September rate hike was "pretty strong" before China devalued its currency. Oil prices moved north on

Determine the maximum fraction of total portfolio capital that should be allocated to EFA, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0289 (i.e., a 2.89% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0289 = 3.4601, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLU: 60-day history, VaR(99%)=-0.0215, max drawdown threshold=10%.

Question:
Asset: XLU
Daily returns (past 60 days): mean=0.0006, std=0.0096, worst_day=-0.0297
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-02-02] ["Dick's Sporting Goods Inc. and Adobe Inc. highlighted as Zacks Bull and Bear of the Day For Immediate Release Chicago, IL \u2013 February 2, 2022 \u2013 Zacks Equity Research Shares Dick\u2019s Sporting Goods Inc. DKS as the Bull of the Day, Adobe Inc. ADBE asthe Bear of the Day. In addition, Zacks Equity Research provides analysis on Ford F, O'Reilly Automotive ORLY and BorgWarner BWA. Here is a synopsis of all five stocks: Bull of the Day: Dick\u2019s Sporting Goods Inc. is a popular, well-known retailer where customers can find a wide range of sporting goods products: athletic shoes; fitness apparel and accessories; and a broad selection of outdoor and athletic equipment for team sports, camping, fishing, tennis, golf, and water sports. Third Quarter Earnings Deliver the Goods Last November, Dick\u2019s Sporting Goods reported impressive results for its fiscal third quarter. Net sales of $2.75 billion were a record, up 13.9% year-over-year and 40% compared to Q3 2019. Consolidated same store sales spiked 12.2% on top of a 23.2% increase in 2020, while e-commerce sales surged 97% compared to 2019. E-commerce now makes up 19% of total net sales. On a non-GAAP basis, DKS posted earnings of $3.19 per share, flying past estimates of $1.93 per share. Dick\u2019s ended the quarter with $1.37 billion in cash and cash equivalents, and total inventory increased 7.3%. President & CEO Lauren Hobart said in the earnings release that consumer demand \u201cremained strong,\u201d and Dick\u2019s \u201cdifferentiated product assortment\u201d helped drive momentum for sales and merchandise margins. Dick\u2019s Sporting Goods also raised its adjusted EPS outlook, and now anticipates its bottom line to clock in between $14.60 and $14.80 per share DKS Offers Growth & Value Over the past one-year period, shares of Dick\u2019s have climbed over 56% compared to the S&P 500\u2019s gain of 17%. Estimates have been rising too, and DKS is a Zacks Rank #1 (Strong Buy) right now. For the current fiscal year, nine analysts have revised their bottom-line estimate upwards in the last 60 days, and the Zacks Consensus Estimate has moved up from $14.45 per share to $15.40 per share. Earnings are expected to see triple-digit growth for fiscal 2021, increasing more than 150%. Like fellow sports and outdoor recreational retailers, DKS saw a sales boom during the pandemic as people stuck at home looked to spend more time outside. The company benefited from social distancing as well, as outdoor activities allowed people to safely spend time with their loved ones. Q3 2021 marked the third consecutive \u201cbeat-and-raise\u201d quarter for Dick\u2019s Sporting Goods. With this kind of growth, you\u2019d expect to pay up, but DKS trades at only a 7.4X forward earnings multiple.Even more, Dick\u2019s has a solid dividend that yields 1.6% on an annual basis. If you\u2019re an investor searching for a retail stock to add to your portfolio, make sure to keep DKS on your shortlist. Bear of

Determine the maximum fraction of total portfolio capital that should be allocated to XLU, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0215 (i.e., a 2.15% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0215 = 4.6526, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


QQQ: 60-day history, VaR(99%)=-0.0385, max drawdown threshold=10%.

Question:
Asset: QQQ
Daily returns (past 60 days): mean=-0.0006, std=0.0201, worst_day=-0.0399
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-04-25] ["Adobe Systems (ADBE) Outpaces Stock Market Gains: What You Should Know Adobe Systems (ADBE) closed at $413.95 in the latest trading session, marking a +1.29% move from the prior day. The stock outpaced the S&P 500's daily gain of 0.57%. Meanwhile, the Dow gained 0.7%, and the Nasdaq, a tech-heavy index, lost 0.1%. Prior to today's trading, shares of the software maker had lost 5.32% over the past month. This has was narrower than the Computer and Technology sector's loss of 11.12% and lagged the S&P 500's loss of 5.26% in that time. Adobe Systems will be looking to display strength as it nears its next earnings release. In that report, analysts expect Adobe Systems to post earnings of $3.30 per share. This would mark year-over-year growth of 8.91%. Our most recent consensus estimate is calling for quarterly revenue of $4.34 billion, up 13.12% from the year-ago period. For the full year, our Zacks Consensus Estimates are projecting earnings of $13.58 per share and revenue of $17.83 billion, which would represent changes of +8.81% and +12.93%, respectively, from the prior year. Investors might also notice recent changes to analyst estimates for Adobe Systems. These revisions help to show the ever-changing nature of near-term business trends. As a result, we can interpret positive estimate revisions as a good sign for the company's business outlook. Research indicates that these estimate revisions are directly correlated with near-term share price momentum. We developed the Zacks Rank to capitalize on this phenomenon. Our system takes these estimate changes into account and delivers a clear, actionable rating model. The Zacks Rank system ranges from #1 (Strong Buy) to #5 (Strong Sell). It has a remarkable, outside-audited track record of success, with #1 stocks delivering an average annual return of +25% since 1988. Within the past 30 days, our consensus EPS projection has moved 0.01% higher. Adobe Systems is currently a Zacks Rank #3 (Hold). In terms of valuation, Adobe Systems is currently trading at a Forward P/E ratio of 30.09. Its industry sports an average Forward P/E of 28.39, so we one might conclude that Adobe Systems is trading at a premium comparatively. Meanwhile, ADBE's PEG ratio is currently 1.73. The PEG ratio is similar to the widely-used P/E ratio, but this metric also takes the company's expected earnings growth rate into account. The Computer - Software industry currently had an average PEG ratio of 2.37 as of yesterday's close. The Computer - Software industry is part of the Computer and Technology sector. This industry currently has a Zacks Industry Rank of 160, which puts it in the bottom 37% of all 250+ industries. The Zacks Industry Rank includes is listed in order from best to worst in terms of the average Zacks Rank of the individual companies within each of these sectors. Our research shows that the top 50% rated industries outperform the bottom half by a factor of 2 to 1. To follow ADBE in the coming trading sessions, b

Determine the maximum fraction of total portfolio capital that should be allocated to QQQ, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0385 (i.e., a 3.85% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0385 = 2.5950, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


EWJ: 60-day history, VaR(99%)=-0.0279, max drawdown threshold=10%.

Question:
Asset: EWJ
Daily returns (past 60 days): mean=-0.0007, std=0.0111, worst_day=-0.0325
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-09-22] ["My 3 Favorite Stocks Right Now Investing more capital into your best ideas can lead to outsize rewards. The challenge, of course, is choosing the right stocks. To help you identify investments that are most worthy of your hard-earned money, I offer my three highest-conviction ideas right now. All are outstanding businesses that are well-positioned to generate handsome returns for their shareowners in the coming years. 1. The cloud data leader Snowflake (NYSE: SNOW) helps businesses make better use of their data at a time when harvesting valuable insights from the cloud is becoming more important every day. It's a massive market, one that could grow to a staggering $248 billion by 2026, according to the company's estimates. Snowflake is expanding at a blistering pace within this fast-growing market. Its revenue soared 83% year over year to $497 million in its fiscal 2023 second quarter, which ended on July 31. The company's new, consumption-based model is proving popular, as it allows businesses to pay only for the computing resources they use. By enabling its customers to better align their costs with their usage of data transfer, storage, and computing services, Snowflake is helping them save significant amounts of money. Companies, in turn, are flocking to Snowflake's cloud platform. It ended the second quarter with 6,808 customers, up 36% from the prior-year period. Snowflake also excels at deepening its relationships with its existing clients, as evidenced by its exceptional net revenue retention rate of 171%. Although Snowflake is not yet profitable (it generated an operating loss of $208 million in its most recent quarter), it did produce $54 million of free cash flow. Management also expects the company to reach impressive profitability by the end of the decade, with an adjusted operating margin of roughly 20%. With its data warehousing tools in high demand, investors can safely expect Snowflake's sales and cash flow production to grow even more impressive in the years ahead. Consider buying this cloud data leader's shares today so you, too, could cash in on its good growth prospects. 2. The e-commerce and cloud computing colossus Few businesses stand to benefit more from the global shift to the cloud than Amazon (NASDAQ: AMZN). Sure, Amazon is famous for its e-commerce platform. But the shining star these days is its Amazon Web Services (AWS), the leading provider of cloud infrastructure services. It's an incredibly valuable position to be in because an enormous amount of capital is expected to be invested in cloud computing services in the coming decade. AWS is already a $70 billion business. Yet only about 5% of worldwide information-technology spending is currently allocated toward cloud solutions, according to Amazon CEO Andy Jassy. Analysts expect this figure to march steadily higher, due to the security, cost, and scalability benefits that cloud computing provides compared to on-premise networks. Grand View Research, for one, proj

Determine the maximum fraction of total portfolio capital that should be allocated to EWJ, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0279 (i.e., a 2.79% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0279 = 3.5860, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


AVAX-USD: 60-day history, VaR(99%)=-0.1355, max drawdown threshold=10%.

Question:
Asset: AVAX-USD
Daily returns (past 60 days): mean=-0.0037, std=0.0689, worst_day=-0.1362
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-07-17]

Determine the maximum fraction of total portfolio capital that should be allocated to AVAX-USD, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 0.7382

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1355 (i.e., a 13.55% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1355 = 0.7382, capped at 1.0.
Maximum position size = 0.7382 (73.8% of portfolio).


XLRE: 60-day history, VaR(99%)=-0.0375, max drawdown threshold=10%.

Question:
Asset: XLRE
Daily returns (past 60 days): mean=0.0022, std=0.0167, worst_day=-0.0375
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2020-07-31] ["Facebook Results Impress Despite Pandemic and Advertising Boycott The social media giant reported second-quarter sales of $18.7 billion and net income of $5.2 billion, easily beating Wall Street\u2019s estimates.", "Asian markets fall after grim U.S. GDP data Stocks sink in Tokyo and Sydney, but rise slightly in Hong Kong and mainland China Asian shares tumbled Friday as reports showed layoffs of American workers are persisting at high levels after the U.S. economy contracted at a nearly 33% annual pace in the spring, the worst quarter on record.", "Apple stock price target raised to $475 from $450 at Wedbush", "Apple's stock soars 6.0% toward record high after Q3 results late Thursday", "Apple beats on earnings and announces stock split, sending shares toward record high Apple reports more than $11 billion in profit and nearly $60 billion in revenue, destroying expectations as stock heads for 4-to-1 split Apple Inc. brushed off the COVID-19 crisis to report record June-quarter results that came in ahead of expectations, and the company said in plans to split its stock in an attempt to make it \u201cmore accessible to a broader base of investors.\u201d", "Facebook shares rally as quarterly results easily top Street view Facebook reports EPS of $1.80 vs $1.39 Street estimate Facebook Inc. shares rally in the extended session Thursday after the social-media giant blows past Wall Street estimates for the second quarter and addresses how advertiser boycotts could potentially affect their business.", "Apple's stock soars after earnings, to add nearly 160 points to the Dow's price Shares of Apple Inc. shot up 6.1% toward a record high in premarket trading Friday, enough to pace the early gainers within the Dow Jones Industrial Average , in the wake of technology behemoth's blowout fiscal third-quarter results and announcement of a coming 4 for 1 stock split. The implied price gain, which should take the stock well above the $400 level for the first time after the open, would add about 159 points to the Dow's price, while Dow futures are up just 37 points, or 0.1%. The gain would also add about $100.3 billion to Apple market capitalization, to lift it to about $1.75 trillion, to further extend Apple's lead as the most valuable U.S. company.", "Apple stock price target raised to $440 from $400 at Deutsche Bank", "Apple stock price target raised to $470 from $370 at Monness Crespi Hardt", "Apple stock price target raised to $440 from $400 at Raymond James", "Barron\u2019s Daily: Apple Stock Is Splitting Up. Here\u2019s Why It Matters. Trump suggests postponing election, U.S. GDP contracts at fastest rate on record, no deal on federal unemployment benefits, and other news to start your day.", "Apple stock price target raised to $460 from $425 at J.P. Morgan", "The Nasdaq Gains as Apple Stock Soars. Chevron Drops. U.S. stocks appeared poised for a strong open after large tech companies dazzled Wall Street with their second-quarter results late Thursday.",

Determine the maximum fraction of total portfolio capital that should be allocated to XLRE, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0375 (i.e., a 3.75% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0375 = 2.6646, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


LINK-USD: 60-day history, VaR(99%)=-0.0871, max drawdown threshold=10%.

Question:
Asset: LINK-USD
Daily returns (past 60 days): mean=0.0061, std=0.0445, worst_day=-0.1110
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to LINK-USD, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0871 (i.e., a 8.71% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0871 = 1.1479, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


LINK-USD: 60-day history, VaR(99%)=-0.1202, max drawdown threshold=10%.

Question:
Asset: LINK-USD
Daily returns (past 60 days): mean=-0.0022, std=0.0573, worst_day=-0.1311
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-01-05]

Determine the maximum fraction of total portfolio capital that should be allocated to LINK-USD, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 0.8316

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1202 (i.e., a 12.02% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1202 = 0.8316, capped at 1.0.
Maximum position size = 0.8316 (83.2% of portfolio).


XLB: 60-day history, VaR(99%)=-0.0337, max drawdown threshold=10%.

Question:
Asset: XLB
Daily returns (past 60 days): mean=-0.0014, std=0.0254, worst_day=-0.0337
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2020-05-06] ["Wednesday Sector Laggards: Utilities, Financial In afternoon trading on Wednesday, Utilities stocks are the worst performing sector, showing a 2.3% loss. Within that group, NiSource Inc. (Symbol: NI) and American Electric Power Co Inc (Symbol: AEP) are two large stocks that are lagging, showing a loss of 5.6% and 4.1%, respectively. Among utilities ETFs, one ETF following the sector is the Utilities Select Sector SPDR ETF (Symbol: XLU), which is down 2.1% on the day, and down 13.25% year-to-date. NiSource Inc. , meanwhile, is down 15.32% year-to-date, and American Electric Power Co Inc, is down 14.73% year-to-date. Combined, NI and AEP make up approximately 6.3% of the underlying holdings of XLU. The next worst performing sector is the Financial sector, showing a 2.2% loss. Among large Financial stocks, Cincinnati Financial Corp. (Symbol: CINF) and Simon Property Group, Inc. (Symbol: SPG) are the most notable, showing a loss of 8.3% and 7.4%, respectively. One ETF closely tracking Financial stocks is the Financial Select Sector SPDR ETF (XLF), which is down 1.6% in midday trading, and down 29.83% on a year-to-date basis. Cincinnati Financial Corp., meanwhile, is down 48.00% year-to-date, and Simon Property Group, Inc., is down 60.95% year-to-date. CINF makes up approximately 0.4% of the underlying holdings of XLF. Comparing these stocks and ETFs on a trailing twelve month basis, below is a relative stock price performance chart, with each of the symbols shown in a different color as labeled in the legend at the bottom: Here's a snapshot of how the S&P 500 components within the various sectors are faring in afternoon trading on Wednesday. As you can see, one sector is up on the day, while seven sectors are down. SECTOR % CHANGE Technology & Communications +0.9% Healthcare 0.0% Services -0.2% Industrial -0.7% Consumer Products -0.9% Materials -1.6% Energy -1.8% Financial -2.2% Utilities -2.3% 25 Dividend Giants Widely Held By ETFs \u00bb The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.", "American Electric Power Q1 20 Earnings Conference Call At 9:00 AM ET (RTTNews) - American Electric Power Co. Inc. (AEP) will host a conference call at 9:00 AM ET on May 6, 2020, to discuss Q1 20 earnings results. To access the live webcast, log on to http://www.aep.com/webcasts The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.", "American Electric Power Co Inc Q1 adjusted earnings Miss Estimates (RTTNews) - American Electric Power Co Inc (AEP) announced a profit for first quarter that declined from the same period last year. The company's earnings came in at $495.2 million, or $1.00 per share. This compares with $572.8 million, or $1.16 per share, in last year's first quarter. Excluding items, American Electric Power Co Inc reported adjusted earnings of $504.2 million or $1.02 per share for the p

Determine the maximum fraction of total portfolio capital that should be allocated to XLB, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0337 (i.e., a 3.37% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0337 = 2.9659, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


Question:
Assets: IVV, BIL
IVV: annualized_mean_return=0.2016, daily_std=0.0071
BIL: annualized_mean_return=0.0000, daily_std=0.0002
Minimum required portfolio return (annualized): 0.0001
Market regime: sideways

Compute portfolio weights (w_IVV, w_BIL) that minimize portfolio variance while satisfying the minimum return constraint. Constraints: all weights >= 0, weights sum to 1. Report as: w_IVV=X.XXXX, w_BIL=X.XXXX

Answer: w_IVV=0.0006, w_BIL=0.9994

Explanation:
Analytic min-variance formula:
  w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
  = (0.000000 - 0.000000) / (0.000050 + 0.000000 - 0.000000)
  Unconstrained: w_IVV=-0.0015
  After long-only clamp: w_IVV=0.0000, w_BIL=1.0000.


XRP-USD σ=0.0546, ICSH σ=0.0003, ρ=0.230. Min-variance weights: XRP-USD=0.000, ICSH=1.000.

Question:
Assets: XRP-USD, ICSH
XRP-USD: annualized_mean_return=-0.1512, daily_std=0.0546
ICSH: annualized_mean_return=0.0252, daily_std=0.0003
Minimum required portfolio return (annualized): -0.0667
Market regime: sideways

Compute portfolio weights (w_XRP-USD, w_ICSH) that minimize portfolio variance while satisfying the minimum return constraint. Constraints: all weights >= 0, weights sum to 1. Report as: w_XRP-USD=X.XXXX, w_ICSH=X.XXXX

Answer: w_XRP-USD=0.0000, w_ICSH=1.0000

Explanation:
Analytic min-variance formula:
  w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
  = (0.000000 - 0.000003) / (0.002980 + 0.000000 - 0.000007)
  Unconstrained: w_XRP-USD=-0.0011
  After long-only clamp: w_XRP-USD=0.0000, w_ICSH=1.0000.


SOL-USD σ=0.0885, ICSH σ=0.0002, ρ=0.269. Min-variance weights: SOL-USD=0.000, ICSH=1.000.

Question:
Assets: SOL-USD, ICSH
SOL-USD: annualized_mean_return=6.3000, daily_std=0.0885
ICSH: annualized_mean_return=0.0000, daily_std=0.0002
Minimum required portfolio return (annualized): -0.0000
Market regime: sideways

Compute portfolio weights (w_SOL-USD, w_ICSH) that minimize portfolio variance while satisfying the minimum return constraint. Constraints: all weights >= 0, weights sum to 1. Report as: w_SOL-USD=X.XXXX, w_ICSH=X.XXXX

Answer: w_SOL-USD=0.0000, w_ICSH=1.0000

Explanation:
Analytic min-variance formula:
  w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
  = (0.000000 - 0.000005) / (0.007838 + 0.000000 - 0.000010)
  Unconstrained: w_SOL-USD=-0.0007
  After long-only clamp: w_SOL-USD=0.0000, w_ICSH=1.0000.


Question:
Assets: EEM, INDS
EEM: annualized_mean_return=-0.2016, daily_std=0.0131
INDS: annualized_mean_return=0.3528, daily_std=0.0101
Minimum required portfolio return (annualized): 0.2527
Market regime: sideways

Compute portfolio weights (w_EEM, w_INDS) that minimize portfolio variance while satisfying the minimum return constraint. Constraints: all weights >= 0, weights sum to 1. Report as: w_EEM=X.XXXX, w_INDS=X.XXXX

Answer: w_EEM=0.1806, w_INDS=0.8194

Explanation:
Analytic min-variance formula:
  w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
  = (0.000103 - 0.000052) / (0.000171 + 0.000103 - 0.000104)
  Unconstrained: w_EEM=0.2994
  After long-only clamp: w_EEM=0.2994, w_INDS=0.7006.


BNB-USD σ=0.0389, SGOV σ=0.0001, ρ=0.060. Min-variance weights: BNB-USD=0.000, SGOV=1.000.

Question:
Assets: BNB-USD, SGOV
BNB-USD: annualized_mean_return=-1.7640, daily_std=0.0389
SGOV: annualized_mean_return=0.0000, daily_std=0.0001
Minimum required portfolio return (annualized): -0.0752
Market regime: sideways

Compute portfolio weights (w_BNB-USD, w_SGOV) that minimize portfolio variance while satisfying the minimum return constraint. Constraints: all weights >= 0, weights sum to 1. Report as: w_BNB-USD=X.XXXX, w_SGOV=X.XXXX

Answer: w_BNB-USD=0.0000, w_SGOV=1.0000

Explanation:
Analytic min-variance formula:
  w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
  = (0.000000 - 0.000000) / (0.001510 + 0.000000 - 0.000000)
  Unconstrained: w_BNB-USD=-0.0001
  After long-only clamp: w_BNB-USD=0.0000, w_SGOV=1.0000.


Question:
Assets: IWM, DBA
IWM: annualized_mean_return=1.0080, daily_std=0.0121
DBA: annualized_mean_return=0.3780, daily_std=0.0063
Minimum required portfolio return (annualized): 0.7981
Market regime: sideways

Compute portfolio weights (w_IWM, w_DBA) that minimize portfolio variance while satisfying the minimum return constraint. Constraints: all weights >= 0, weights sum to 1. Report as: w_IWM=X.XXXX, w_DBA=X.XXXX

Answer: w_IWM=0.6668, w_DBA=0.3332

Explanation:
Analytic min-variance formula:
  w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
  = (0.000040 - 0.000002) / (0.000147 + 0.000040 - 0.000003)
  Unconstrained: w_IWM=0.2083
  After long-only clamp: w_IWM=0.2083, w_DBA=0.7917.


Question:
Assets: XRP-USD, IYR
XRP-USD: annualized_mean_return=-0.0252, daily_std=0.0262
IYR: annualized_mean_return=0.3276, daily_std=0.0210
Minimum required portfolio return (annualized): 0.0929
Market regime: sideways

Compute portfolio weights (w_XRP-USD, w_IYR) that minimize portfolio variance while satisfying the minimum return constraint. Constraints: all weights >= 0, weights sum to 1. Report as: w_XRP-USD=X.XXXX, w_IYR=X.XXXX

Answer: w_XRP-USD=0.4029, w_IYR=0.5971

Explanation:
Analytic min-variance formula:
  w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
  = (0.000443 - -0.000057) / (0.000684 + 0.000443 - -0.000114)
  Unconstrained: w_XRP-USD=0.4028
  After long-only clamp: w_XRP-USD=0.4028, w_IYR=0.5972.


Question:
Assets: XLV, REZ
XLV: annualized_mean_return=0.3276, daily_std=0.0094
REZ: annualized_mean_return=-0.0504, daily_std=0.0164
Minimum required portfolio return (annualized): 0.3210
Market regime: sideways

Compute portfolio weights (w_XLV, w_REZ) that minimize portfolio variance while satisfying the minimum return constraint. Constraints: all weights >= 0, weights sum to 1. Report as: w_XLV=X.XXXX, w_REZ=X.XXXX

Answer: w_XLV=0.9825, w_REZ=0.0175

Explanation:
Analytic min-variance formula:
  w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
  = (0.000270 - 0.000078) / (0.000089 + 0.000270 - 0.000156)
  Unconstrained: w_XLV=0.9464
  After long-only clamp: w_XLV=0.9464, w_REZ=0.0536.


Question:
Assets: IWM, CORN
IWM: annualized_mean_return=0.3780, daily_std=0.0064
CORN: annualized_mean_return=-0.3024, daily_std=0.0116
Minimum required portfolio return (annualized): 0.1073
Market regime: sideways

Compute portfolio weights (w_IWM, w_CORN) that minimize portfolio variance while satisfying the minimum return constraint. Constraints: all weights >= 0, weights sum to 1. Report as: w_IWM=X.XXXX, w_CORN=X.XXXX

Answer: w_IWM=0.8057, w_CORN=0.1943

Explanation:
Analytic min-variance formula:
  w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
  = (0.000135 - 0.000012) / (0.000042 + 0.000135 - 0.000024)
  Unconstrained: w_IWM=0.8062
  After long-only clamp: w_IWM=0.8062, w_CORN=0.1938.