XLRE: 60-day return history, mean=0.0010, std=0.0087.

Question:
Asset: XLRE
Daily returns (past 60 days): mean=0.0010, std=0.0087, min=-0.0196, max=0.0225
Market regime: sideways
Recent filing/news:
[Kaggle 2019-07-12] ["Tlwm Buys Marathon Petroleum Corp, UnitedHealth Group Inc, HCP Inc, Sells Invesco S&P ...", "Will Hot Growth Stocks Break Out From These 5 Leading Industry Groups?", "Tigress Financial Analyst Ivan Feinseth Comments On Semiconductors Strength, Tell Benzinga 'Positive trends in US-China trade negotiations is lifting all the chip stocks.'", "UPDATE: Cassidy Also Tells Benzinga 'Japan / Korea trade issues may drive up the prices of memory devices following a year of memory prices in free fall. Prices for memory increased w/w for the first time in over a year.'", "Stifel Nicolaus Analyst Kevin Cassidy On Semiconductors Strength, Tells Benzinga 'The fed signaling lower interest rates and Trump loosening the ban on Huawei are both huge news for semiconductor companies.'", "Shares of several semiconductor companies are trading higher amid positive trends in US-China trade negotiations, Trump loosening the Huawei ban and the Fed signaling a rate cut. Japan/Korea trade tensions could also drive up memory prices.", "Shares of several semiconductor companies are trading higher amid positive trends in US-China trade negotiations, Trump loosening the Huawei ban and the Fed signaling a rate cut. Japan/Korea trade tensions could also drive up memory prices.", "UPDATE: Cassidy Also Tells Benzinga 'Japan / Korea trade issues may drive up the prices of memory devices following a year of memory prices in free fall. Prices for memory increased w/w for the first time in over a year.'", "Stifel Nicolaus Analyst Kevin Cassidy On Semiconductors Strength, Tells Benzinga 'The fed signaling lower interest rates and Trump loosening the ban on Huawei are both huge news for semiconductor companies.'", "Tigress Financial Analyst Ivan Feinseth Comments On Semiconductors Strength, Tell Benzinga 'Positive trends in US-China trade negotiations is lifting all the chip stocks.'", "Tlwm Buys Marathon Petroleum Corp, UnitedHealth Group Inc, HCP Inc, Sells Invesco S&P ...", "Will Hot Growth Stocks Break Out From These 5 Leading Industry Groups?", "Shares of several semiconductor companies are trading higher amid positive trends in US-China trade negotiations, Trump loosening the Huawei ban and the Fed signaling a rate cut. Japan/Korea trade tensions could also drive up memory prices.", "UPDATE: Cassidy Also Tells Benzinga 'Japan / Korea trade issues may drive up the prices of memory devices following a year of memory prices in free fall. Prices for memory increased w/w for the first time in over a year.'", "Stifel Nicolaus Analyst Kevin Cassidy On Semiconductors Strength, Tells Benzinga 'The fed signaling lower interest rates and Trump loosening the ban on Huawei are both huge news for semiconductor companies.'", "Tigress Financial Analyst Ivan Feinseth Comments On Semiconductors Strength, Tell Benzinga 'Positive trends in US-China trade negotiations is lifting all the chip stocks.'", "Tlwm Buys Marathon Petroleum Corp, UnitedHealth Group Inc, HCP Inc, Sells Invesco S&P ...", "Will H

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

Answer: -0.0138

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0138 (i.e., on a bad day with 5% probability, the loss exceeds 1.38%). CVaR(95%) = -0.0177.


DOT-USD: 60-day return history, mean=-0.0065, std=0.0468.

Question:
Asset: DOT-USD
Daily returns (past 60 days): mean=-0.0065, std=0.0468, min=-0.1453, max=0.0857
Market regime: sideways
Recent filing/news:
[Kaggle 2022-03-13]

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

Answer: -0.0725

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0725 (i.e., on a bad day with 5% probability, the loss exceeds 7.25%). CVaR(95%) = -0.1039.


XLF: 60-day return history, mean=0.0017, std=0.0069.

Question:
Asset: XLF
Daily returns (past 60 days): mean=0.0017, std=0.0069, min=-0.0139, max=0.0256
Market regime: sideways
Recent filing/news:
[Kaggle 2018-01-11] ["ADBE March 2nd Options Begin Trading Investors in Adobe Systems Inc (Symbol: ADBE) saw new options become available today, for the March 2nd expiration. At Stock Options Channel , our YieldBoost formula has looked up and down the ADBE options chain for the new March 2nd contracts and identified one put and one call contract of particular interest. The put contract at the $185.00 strike price has a current bid of $4.50. If an investor was to sell-to-open that put contract, they are committing to purchase the stock at $185.00, but will also collect the premium, putting the cost basis of the shares at $180.50 (before broker commissions). To an investor already interested in purchasing shares of ADBE, that could represent an attractive alternative to paying $187.01/share today. Because the $185.00 strike represents an approximate 1% discount to the current trading price of the stock (in other words it is out-of-the-money by that percentage), there is also the possibility that the put contract would expire worthless. The current analytical data (including greeks and implied greeks) suggest the current odds of that happening are 100%. Stock Options Channel will track those odds over time to see how they change, publishing a chart of those numbers on our website under the contract detail page for this contract . Should the contract expire worthless, the premium would represent a 2.43% return on the cash commitment, or 17.76% annualized - at Stock Options Channel we call this the YieldBoost . Below is a chart showing the trailing twelve month trading history for Adobe Systems Inc, and highlighting in green where the $185.00 strike is located relative to that history: Turning to the calls side of the option chain, the call contract at the $190.00 strike price has a current bid of $4.20. If an investor was to purchase shares of ADBE stock at the current price level of $187.01/share, and then sell-to-open that call contract as a \"covered call,\" they are committing to sell the stock at $190.00. Considering the call seller will also collect the premium, that would drive a total return (excluding dividends, if any) of 3.84% if the stock gets called away at the March 2nd expiration (before broker commissions). Of course, a lot of upside could potentially be left on the table if ADBE shares really soar, which is why looking at the trailing twelve month trading history for Adobe Systems Inc, as well as studying the business fundamentals becomes important. Below is a chart showing ADBE's trailing twelve month trading history, with the $190.00 strike highlighted in red: Considering the fact that the $190.00 strike represents an approximate 2% premium to the current trading price of the stock (in other words it is out-of-the-money by that percentage), there is also the possibility that the covered call contract would expire worthless, in which case the investor would keep both their shares of stock and the premium collected. The current analytical data (includin

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

Answer: -0.0065

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0065 (i.e., on a bad day with 5% probability, the loss exceeds 0.65%). CVaR(95%) = -0.0112.


EFA: 60-day return history, mean=0.0009, std=0.0118.

Question:
Asset: EFA
Daily returns (past 60 days): mean=0.0009, std=0.0118, min=-0.0289, max=0.0259
Market regime: sideways
Recent filing/news:
[Kaggle 2016-07-27] ["Apple CEO Cook: India Growing Fast, China Challenged Apple (AAPL) CEO Tim Cook said he\u2019s excited about growth prospects in India and China, but noted that India is one of its fastest-growing markets.The comments came in the evening conference call on the company\u2019s latest quarter, which outpaced analyst expectations. Read More>>", "Apple Stock Undervalued Even After Recent Rally With strong third-quarter results, a low valuation and a market-beating dividend yield, Apple remains a buy.", "Apple CEO Cook Explains to Slightly Perplexed Analysts \u2018So Many Signs That Are Positive\u2019 Following better-than-expected fiscal Q3 results from (AAPL), the company held a Tuesday night with analysts.I related the prepared portion of 's remarks in a previous post; here's a rundown of the There were some conflicting remarks about the better-than-expected outlook for this quarter, and and perhaps skeptical as to why the forecast is as strong as it is, or perhaps why it wouldn't be even stronger.They can't entirely reconcile the outlook with various aspects of Apple's business as they see it.Asked by of how the company sees , Cook declined to talk about possible new product, such as a rumored , instead saying the company was relying on its sense that several countries showed double-digit growth for Apple in Q3, including , , and .\",\" he said.Rebuffing the argument from 's that phone users worldwide are , Cook said he was encouraged by \"an installed base that has gotten incredibly large.\"\"I see a that is the highest ever,\" continued Cook. \"I see the smartphone itself, lead by iPhone, becoming even more instrumental and important to peoples lives. It's becoming essential.\"\",\" he said.", "Apple shares rally 6% premarket after earnings beat views", "Nikkei climbs on hopes for bigger-than-expected stimulus for Japan Apple earnings boost Taiwan stocks Shares close 1.7% higher in Tokyo on a report that planned Japanese economic stimulus will be more than double the amount expected by the market, though the talk fails to lift markets in the rest of Asia.", "iPhone SE, iPad Pro throw new wrinkle into Apple finances Opinion: Average selling prices go down for iPhones, up for iPads Apple reported slightly better than expected results on Tuesday, but investors were dismayed by one important but slightly esoteric measure in the quarter\u2014average selling prices for iPhones. But the company\u2019s comments around ASPs also provided a window into the next quarter.", "Apple stock price target cut raised to $107 from $105 at J.P. Morgan", "Apple stock price target set at $129 at Raymond James", "Apple's stock soars 7.5% premarket after Q3 results late Tuesday", "Apple's stock surge keeping Dow futures positive Apple Inc.'s stock soared 7.3% in premarket trade Wednesday, to keep the Dow Jones Industrial Average futures in positive territory ahead of the open. The $7.03 price gain in the stock would add about 48 points to the price of the Dow, which is

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

Answer: -0.0194

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0194 (i.e., on a bad day with 5% probability, the loss exceeds 1.94%). CVaR(95%) = -0.0258.


IWM: 60-day return history, mean=0.0008, std=0.0066.

Question:
Asset: IWM
Daily returns (past 60 days): mean=0.0008, std=0.0066, min=-0.0184, max=0.0194
Market regime: sideways
Recent filing/news:
[Kaggle 2017-10-25] ["Chip company earnings could be driven by new iPhones, data centers Broadcom and Texas Instruments cited by analysts as top picks High-profile smartphone releases and the growth of data centers are expected to drive another strong earnings quarter for chip makers and related companies, which would put a cap on a strong year for semiconductor stocks.", "Tech earnings: The iPhone X and other new gadgets that will matter this holiday season Apple\u2019s expensive new smartphone, Fitbit Ionic among devices investors will focus on as companies release important forecasts Gadget companies and Silicon Valley tech titans alike have unveiled a swath of new toys leading up to the holiday shopping season and as earnings approach, investors can learn a great deal about what\u2019s been successful\u2014if they know what to look for.", "Apple bets on 'wireless future' with New Zealand takeover Apple Inc. is buying New Zealand company PowerbyProxi for an undisclosed sum in an effort to step deeper into the wireless tech market, media reports said on Wednesday. The takeover was first reported by New Zealand news site Stuff, while Reuters said an Apple spokesperson also confirmed the deal. Dan Riccio, senior vice president of hardware engineering at the California company, told Stuff the team at PowerbyProxi will be \"a great addition as Apple works to create a wireless future.\" The company recently said it was including wireless charging in its new iPhone X and iPhone 8 smartphones. Apple shares were down 0.2% in premarket trade on Wednesday.", "Apple initiated at buy at HSBC", "Apple initiated with a buy rating at HSBC HSBC initiated coverage of Apple Inc. stock on Wednesday with a buy rating and a $193 price target with analysts saying a large and loyal user base is eager to get hold of the iPhone X. Analysts led by Steven Pelayo said they are trying to take a unique look at Apple by embracing its marketing slogan and trying to 'think different,' using the perspectives of its analysts from around the world. The bank's consumer team says Apple is not just a tech company, but also competes with luxury brands for talent, wallet share and locations. The telecom team says the U.S. is a key market and that technologies like AI, AR and foldable phones will drive demand. The internet team believes China competition is not just with handset makers, but also with Tencent in services and with super apps like WeChat as a platform for mobile payments. \"The Automotive team expects heavy competition between current and future entrants around electrification, automation, entertainment and connectivity over the next few years,\" said Pelayo. \"The question is what level of vertical integration is required from an OEM perspective.\" Apple shares were flat in premarket trade, but have gained 35.6% in 2017, while the Dow Jones Industrial Average has gained about 19% and the S&P 500 has gained 15%.", "Shell Trims Tesla Stake; Buys PayPal, Adobe, FedEx A unit of the oil giant th

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

Answer: -0.0097

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0097 (i.e., on a bad day with 5% probability, the loss exceeds 0.97%). CVaR(95%) = -0.0159.


ETH-USD: 60-day return history, mean=0.0115, std=0.0500.

Question:
Asset: ETH-USD
Daily returns (past 60 days): mean=0.0115, std=0.0500, min=-0.1262, max=0.1382
Market regime: sideways

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

Answer: -0.0658

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0658 (i.e., on a bad day with 5% probability, the loss exceeds 6.58%). CVaR(95%) = -0.0982.


EEM: 60-day return history, mean=0.0015, std=0.0132.

Question:
Asset: EEM
Daily returns (past 60 days): mean=0.0015, std=0.0132, min=-0.0287, max=0.0317
Market regime: sideways
Recent filing/news:
[Kaggle 2016-05-11] ["WhatsApp launches desktop version for Mac, Windows Popular mobile messaging app rivals Skype, Apple\u2019s iMessage WhatsApp, the massively popular smartphone messaging app owned by Facebook Inc., is now available in a familiar place: your computer\u2019s desktop.", "Justice Inquiry Reveals Wall Street\u2019s Dirty Secret Firms profit by trading against individual investors, who they consider \u201cdumb money.\u201d", "Neither Trump nor Clinton can do much for the job market Technology and demographics are driving change, and the best that politicians can do is help retrain displaced workers Technology and demographics are driving change, and the best that politicians can do is help retrain displaced workers, says Howard Gold.", "Axel Springer looks to U.S. for digital growth BERLIN--German media giant Axel Springer SE says its U.S.-focused push into digital media is starting to pay off. One of Europe's biggest digital publishers, the old-line tabloid giant was once known for its Bild and Die Welt newspapers. It has worked for years to shed its reliance on print and boost online revenue.", "Apple: iPhone Upgrades Slowing, Stock is \u2018Range Bound,\u2019 Says UBS UBS\u2019s Steve Milunovich today reiterates a Buy rating on Apple (AAPL) shares, while trimming his price target to $115 from $120, writing that he\u2019s trimming his estimates for Apple\u2019s iPhone sales and profit after accepting the device is going to see longer upgrade cycles for the foreseeable future.His verdict on the shares: \u201cThe stock is likely range bound for now with low multiples acting as downside support and lack of demand catalysts an upper ceiling.\"The company will benefit from some increase in upgrade sales in 2017, but only to match what happened in 2015:We now expect iPhone unit growth of about 4% in F17 with upgrade growth offsetting a decline in new users. Strong sales in F15 stole from F16 but upgrades should hit in F17 or F18. Earnings only get back to the F15 level in our model, so new products may be required to excite investors beyond a trade. Apple has both annuity and hardware hits aspects, but we think the best way to understand the company is as a platform deserving of valuation b", "Apple suppliers in Taiwan struggling amid weaker iPhone demand Taiwan Semiconductor faces slowdown due to weak demand for premium phones like the iPhone: Nikkei Apple\u2019s A10 chip supplier Taiwan Semiconductor Manufacturing Co. faces a slowdown in the second-half of the year", "Apple: \u2018Value Trap\u2019 as Margins Come Under Pressure, Says Former Berenberg Analyst Adnaan Ahmad, who used to be a stock analyst with Berenberg Bank covering Apple (AAPL), until last year, today issues a missive to \u2014 well, I\u2019m not sure if he has clients at this point, but to anyone out there, in which he continues to press the deeply negative view of Apple shares, for which he offers a Sell rating and an $80 price target.Although the stock below $100 \u2014 it\u2019s at $

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

Answer: -0.0198

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0198 (i.e., on a bad day with 5% probability, the loss exceeds 1.98%). CVaR(95%) = -0.0235.


IYR: 60-day return history, mean=-0.0010, std=0.0082.

Question:
Asset: IYR
Daily returns (past 60 days): mean=-0.0010, std=0.0082, min=-0.0272, max=0.0172
Market regime: sideways

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

Answer: -0.0133

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0133 (i.e., on a bad day with 5% probability, the loss exceeds 1.33%). CVaR(95%) = -0.0200.


VCIT: 55-day return history, mean=0.0004, std=0.0033.

Question:
Asset: VCIT
Daily returns (past 55 days): mean=0.0004, std=0.0033, min=-0.0075, max=0.0096
Market regime: sideways

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

Answer: -0.0043

Explanation: Historical simulation VaR at 95%: sort the 55 daily returns and take the 5th percentile. VaR(95%) = -0.0043 (i.e., on a bad day with 5% probability, the loss exceeds 0.43%). CVaR(95%) = -0.0063.


EEM: 42-day return history, mean=0.0007, std=0.0114.

Question:
Asset: EEM
Daily returns (past 42 days): mean=0.0007, std=0.0114, min=-0.0278, max=0.0218
Market regime: sideways
Recent filing/news:
[Kaggle 2015-03-05] ["Apple delays production of larger iPad HONG KONG- Apple Inc. suppliers have been told to start production of a larger-screen iPad in the second half of this year as the U.S. tech giant wrestles with new designs and features for the enterprise market, people familiar with the matter say.", "Six reasons you should invest in the Wearables Revolution Wearables are a can't-miss growth market. The same kids (and adults) today who take selfies with their smartphones are going to be doing 10 times more of that using wearables, but how do investors make money?", "Why you should quit the QQQ in your IRA If you wouldn\u2019t buy an index fund that tracks the NYSE or the Amex, why would you buy into the Nasdaq?", "Apple Watch could be $26 billion business by 2018 NEW YORK (MarketWatch) - The Apple Watch may be a $26 billion business by 2018, Deutsche Bank analyst Sherri Scribner predicted in a note Thursday. However, she only reiterated a hold rating on Apple Inc.'s stock, saying a limited impact from the Watch and Apple's heavy reliance on the iPhone offer \"limited catalysts\" to drive shares higher over the next few quarters. Her $110 price target implies a 14% share-price decline from Apple's $128.54 closing price on Wednesday. To be fair, Scribner is one of the most bearish Apple analysts on Wall Street. The average rating on Apple's stock among more than 40 analysts is overweight, and the average price target is $134.92, according to FactSet. While Apple will undoubtedly outsell all rival smartwatches this year, according to Scribner, she expects the Watch to remain a minor product category in relation to the iPhone, comprising 10% or less of sales and EPS by 2018. Shares of Apple traded up 0.3% in premarket trade.", "Apple to control 55% of smartwatch market by year end NEW YORK (MarketWatch) - Apple Inc. could sell as many as 15 million units of Apple Watch worldwide this year, according to new data from intelligence company Strategy Analytics. This comes in just shy of forecasts released earlier on Thursday by Deutsche Bank analyst Sherri Scribner, who is projecting 17.6 million watches. At that number, Apple, expected to launch the watch in early April, would be the world's biggest smartwatch vendor, holding a 55% share of the global market this year, according to Strategy Analytics. While the market for smartwatches has yet to be proven given the lack of blockbuster sales from Apple Watch predecessors, analysts believe the watch will help spark interest in the category. Total global smartwatch shipments are predicted to grow 511% to 28.1 million units this year from just 4.6 million in 2014, according to Strategy Analytics. Earlier on Thursday, Deutsche Bank predicted that the Apple Watch would become a $26 billion business by 2018. Shares of Apple fell 1.3% to $126.83 in recent trade.", "U.S. company earnings point to stock-market correction The price-to-earnings ratio hasn\u2019t been so high since early 2010 The price-to-earnings ratio hasn\u

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

Answer: -0.0169

Explanation: Historical simulation VaR at 95%: sort the 42 daily returns and take the 5th percentile. VaR(95%) = -0.0169 (i.e., on a bad day with 5% probability, the loss exceeds 1.69%). CVaR(95%) = -0.0210.


XLP: 60-day return history, mean=-0.0001, std=0.0100.

Question:
Asset: XLP
Daily returns (past 60 days): mean=-0.0001, std=0.0100, min=-0.0250, max=0.0211
Market regime: sideways
Recent filing/news:
[Kaggle 2015-09-17] ["Foxconn Gets A Good Deal Out Of SPIL: Bernstein", "Demand for Apple's iPhone 6S may actually be lower than for the iPhone 6--Pacific Crest Analyst Andy Hargreaves at Pacific Crest said he believes demand for Apple Inc.'s iPhone 6S is actually lower than it was for the iPhone 6, \"possibly meaningfully so.\" He said Apple's statement that iPhone 6S sales are tracking at a record pace appears more a reflection of supply, and not demand. Hargreaves said evidence of lower demand comes from Google search data, device shipment times, third-party surveys, a lack of comments from carriers and a lack of quantitative comment on pre-orders in Apple's statement. He wrote in a note to clients that Apple's iPhone upgrade program isn't likely to drive the change that some expect, as \"the potential benefits are likely to be muted by likely financing costs, deflation in used iPhone pricing from increasing supply and cannibalization of people that already bought phones every year or already purchased AppleCare.\" He reiterated his sector weight rating on the stock, saying it remains \"attractive over the long term, but high iPhone expectations remain a near-term risk.\" The stock slipped 0.5% in premarket trade, putting it on track to snap a five-session win streak. It has dropped 8.6% over the past three months, while the Dow Jones Industrial Average has lost 6.7%.", "EU widens corporate tax investigation All countries agree to cooperate in probe of \u2018sweetheart\u2019 tax deals High-profile probe into alleged sweetheart tax deals broadened after all EU countries agree to cooperate.", "Judgment day for markets as Fed\u2019s trigger finger gets itchier Critical intelligence before the U.S. market opens The Janet Yellen-led Federal Reserve could blast markets with the first U.S. rate hike in nearly a decade. If the Fed frenzy is too much for you, perhaps try stocks in Italy or France.", "Amazon introduces its answer to Apple TV Amazon.com Inc. launched an answer to Apple Inc.'s smart TV on Thursday - and it's much cheaper. The e-commerce giant introduced its latest-generation Amazon FireTV with 4K Ultra HD, which will sell for $99.99, versus $149 for Apple TV. It comes with a remote with voice control, and compatibility with Echo, its voice-assistance technology that competes with Apple's Siri. The company will also sell a higher-tier gaming edition, which comes with a new Amazon-designed game controller and a 32 GB microSD card. The gaming edition will sell for $139.99. Amazon began taking preorders for both devices on Tuesday. Apple is expected to open up preorders its new TV for preorders next month. Shares of Amazon climbed 1% to $532.45 in recent trade, while those of Apple slumped 0.9% to $115.40.", "Apple: Pac Crest Sees \u2018Several Signs\u2019 Demand for iPhone 6s is Weaker", "Amazon launches cheap tablet, offers six-pack deal for $250 Amazon.com Inc. launched a new 7-inch tablet on Thursday that it is offering for $49.99 - or a six pack for $249.95

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

Answer: -0.0168

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0168 (i.e., on a bad day with 5% probability, the loss exceeds 1.68%). CVaR(95%) = -0.0236.


ETH-USD: 60-day return history, mean=0.0085, std=0.0365.

Question:
Asset: ETH-USD
Daily returns (past 60 days): mean=0.0085, std=0.0365, min=-0.0909, max=0.0982
Market regime: sideways

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

Answer: -0.0382

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0382 (i.e., on a bad day with 5% probability, the loss exceeds 3.82%). CVaR(95%) = -0.0626.


USMV: 60-day return history, mean=0.0005, std=0.0049.

Question:
Asset: USMV
Daily returns (past 60 days): mean=0.0005, std=0.0049, min=-0.0115, max=0.0103
Market regime: sideways
Recent filing/news:
[Kaggle 2021-09-23] Interesting ADBE Put And Call Options For November 5th Investors in Adobe Inc (Symbol: ADBE) saw new options become available today, for the November 5th expiration. At Stock Options Channel, our YieldBoost formula has looked up and down the ADBE options chain for the new November 5th contracts and identified one put and one call contract of particular interest. The put contract at the $595.00 strike price has a current bid of $7.85. If an investor was to sell-to-open that put contract, they are committing to purchase the stock at $595.00, but will also collect the premium, putting the cost basis of the shares at $587.15 (before broker commissions). To an investor already interested in purchasing shares of ADBE, that could represent an attractive alternative to paying $629.52/share today. Because the $595.00 strike represents an approximate 5% discount to the current trading price of the stock (in other words it is out-of-the-money by that percentage), there is also the possibility that the put contract would expire worthless. The current analytical data (including greeks and implied greeks) suggest the current odds of that happening are 100%. Stock Options Channel will track those odds over time to see how they change, publishing a chart of those numbers on our website under the contract detail page for this contract. Should the contract expire worthless, the premium would represent a 1.32% return on the cash commitment, or 11.20% annualized — at Stock Options Channel we call this the YieldBoost. Below is a chart showing the trailing twelve month trading history for Adobe Inc, and highlighting in green where the $595.00 strike is located relative to that history: Turning to the calls side of the option chain, the call contract at the $640.00 strike price has a current bid of $13.20. If an investor was to purchase shares of ADBE stock at the current price level of $629.52/share, and then sell-to-open that call contract as a "covered call," they are committing to sell the stock at $640.00. Considering the call seller will also collect the premium, that would drive a total return (excluding dividends, if any) of 3.76% if the stock gets called away at the November 5th expiration (before broker commissions). Of course, a lot of upside could potentially be left on the table if ADBE shares really soar, which is why looking at the trailing twelve month trading history for Adobe Inc, as well as studying the business fundamentals becomes important. Below is a chart showing ADBE's trailing twelve month trading history, with the $640.00 strike highlighted in red: Considering the fact that the $640.00 strike represents an approximate 2% premium to the current trading price of the stock (in other words it is out-of-the-money by that percentage), there is also the possibility that the covered call contract would expire worthless, in which case the investor would keep both their shares of stock and the premium collected. The current analytical data (including g

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

Answer: -0.0094

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0094 (i.e., on a bad day with 5% probability, the loss exceeds 0.94%). CVaR(95%) = -0.0106.


VNQI: 60-day return history, mean=0.0019, std=0.0085.

Question:
Asset: VNQI
Daily returns (past 60 days): mean=0.0019, std=0.0085, min=-0.0251, max=0.0246
Market regime: sideways

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

Answer: -0.0095

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0095 (i.e., on a bad day with 5% probability, the loss exceeds 0.95%). CVaR(95%) = -0.0172.


EWJ: 60-day return history, mean=0.0006, std=0.0071.

Question:
Asset: EWJ
Daily returns (past 60 days): mean=0.0006, std=0.0071, min=-0.0155, max=0.0199
Market regime: sideways
Recent filing/news:
[Kaggle 2017-01-13] ["Nintendo, Sony Investors Can Expect Gains of 50% Nintendo\u2019s Switch gaming console and a turnaround at Sony can send shares of both companies surging.", "Why this winner of a retail stock will keep on delivering Critical information for the U.S. trading day It\u2019s retail sales day and a perfect opportunity to highlight the call of the day that involves one of the biggest players on the retail landscape. Here\u2019s why it belongs in your portfolio to stay.", "Broadcom, IDT To Ride Apple\u2019s iPhone Promotions, Says Pac Crest if you\u2019re a chip investor holding Broadcom (AVGO), Integrated Device Technology (IDTI), or Analog Devices (ADI), don\u2019t worry, writes Pacific Crest\u2019s John Vinh, this morning, the companies should be okay given the pace of promotions on Apple\u2019s (AAPL) iPhone 7.Vinh sees \u201climited risk\u201d for AVGO, ADI and IDTI, which are his \u201cfavorite names\u201d among Apple suppliers.\"Our December carrier surveys in North America and Western Europe indicate the return of holiday promotions at AT&T, T-Mobile and Verizon were effective in keeping inventories at healthy levels,\u201d writes Vinh.That bodes well for sales of iPhone into the channel, he writes,Holiday promotions keep iPhone 7 inventories at very healthy levels. We observed that generous carrier promotions at AT&T and Verizon were effective in keeping inventory levels in check. AT&T was offering a \"buy one, get one free\" (BOGO) promotion on the iPhone 7, while Verizon was offering up to $400 trade- in credit towards the purchase of an iPhone 7. As a result, iPhone 7 inventories (DOI and absolute) declined m/m to just over 2 days and remain well below targeted levels of 6-10 days, while sell-through was roughly flat y/y. On the iPhone 7 Plus front, we are seeing supply gradually catching up with demand, though some stores are still experiencing shortages.", "Videogame Sales Are Fading and It\u2019s Crushing GameStop It wasn\u2019t a happy holiday season for GameStop. Sales fell 16% in the last nine weeks of the year.", "Apple: Not Clear It\u2019s Investible for Five-Year Periods, Says Bernstein People continue to mull the negative remarks about Apple (AAPL) made by investor Peter Thiel to The New York Times on Wednesday.In case you missed it, Thiel was asked to \u201cconfirm\u201d or \u201cdeny\u201d statements put to him by Times columnist Maureen Dowd.Down posed the statement \"The age of Apple is over.\"Said Thiel,Confirm. We know what a smartphone looks like and does. It\u2019s not the fault of Tim Cook, but it\u2019s not an area where there will be any more innovation.Today\u2019s pondering of that brief item comes from Toni Sacconaghi, a bull on the stock, with Bernstein, who was interviewed a short while ago by Scott Wapner, the host of CNBC\u2019s \u201cFast Money: Halftime Report.\"Asked by Wapner if he agreed, Sacconaghi replied,", "Tech Today: Pandora Zooms, GrubHub Up, Apple\u2019s Debt Leverage Here are some things going on t

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

Answer: -0.0103

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0103 (i.e., on a bad day with 5% probability, the loss exceeds 1.03%). CVaR(95%) = -0.0142.


XLF: 60-day return history, mean=0.0008, std=0.0120.

Question:
Asset: XLF
Daily returns (past 60 days): mean=0.0008, std=0.0120, min=-0.0372, max=0.0202
Market regime: sideways
Recent filing/news:
[Kaggle 2019-09-11] ["Asian markets gain ahead of ECB meeting Nikkei, Hang Seng edge up as stocks in mainland China dip Asian markets mostly gained in early trading Wednesday, ahead of expected further monetary easing by the European Central Bank.", "Welcome to Borrower\u2019s Paradise. How Long Can It Last? Stocks have returned to within a percent or two of their record highs, while bond yields have fallen to near-record lows, making equities\u2019 valuations more attractive while also helping to fund share buybacks.", "Podcast: Apple Goes Head-to-Head With Netflix 3 numbers to help you navigate the market\u2014in just two minutes.", "It\u2019s \u2018Too Soon to Bail\u2019 on Apple, Amazon, and Other Top Tech Stocks For investors interested in the big FAANG tech stocks, it\u2019s late in the game\u2014but not too late to benefit, an analyst says.", "Apple iPhone event reveals a dramatic change in strategy Apple is now competing on price, after years of focusing on high margins One of the most surprising elements of Apple Inc.\u2019s September iPhone launch was its aggressive pricing on many products, especially its new streaming service.", "Apple drops price on new iPhone 11, undercuts Netflix and Disney on streaming At annual event, Apple unveils three new iPhones, prices for streaming services Apple Inc. tried to make cameras the focus of its iPhone launch event on Tuesday, but the company\u2019s most striking announcements concerned the prices of its phones and streaming offerings.", "Apple's stock gains 0.4% premarket after rising 1.2% on Tuesday", "Shift into value stocks could fuel a solid rally, says J.P. Morgan Critical information for the U.S. trading day J.P. Morgan quant strategists Marko Kolanovic and Bram Kaplan say this switch to value stocks seen lately could be promising.", "Apple stock price target raised to $250 from $240 at BofA Merrill Lynch", "Dow's nearly 75-point jump highlighted by gains for Apple Inc., Walgreens Boots shares", "Apple on the verge of reaching $1 trillion in market cap for first time in 10 months Shares of Apple Inc. rallied 1.7% toward a 10-month high in morning trading Wednesday, after rising 1.2% the previous sessions on the back of the technology behemoth's iPhone launch event. With the stock's recent rally, Apple is on the verge of getting back to being a trillion dollar company, something it hasn't been since Nov. 1, 2018; Apple's market capitalization is currently $995.4 billion. The stock only needs to rise another 0.5% to close at or above $221.28 for Apple's market cap to top $1 trillion, based on the latest disclosed 4.52 billion shares outstanding as of July 19. Getting back to being a trillion-dollar company would complete a recovery from a market-cap low of about $672.5 billion on Jan. 3, when the stock closed at a 21-month low of $142.19. Since then, Apple's stock has run up 55%, while the Dow Jones Industrial Average has gained 19%. Apple's market cap is still behind first-place Microsoft Corp. at $1.04 trilli

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

Answer: -0.0231

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0231 (i.e., on a bad day with 5% probability, the loss exceeds 2.31%). CVaR(95%) = -0.0323.


XLU: 60-day return history, mean=0.0016, std=0.0057.

Question:
Asset: XLU
Daily returns (past 60 days): mean=0.0016, std=0.0057, min=-0.0136, max=0.0147
Market regime: sideways
Recent filing/news:
[Kaggle 2020-01-31] ["Why it can pay to buy the stocks of companies you love to hate Start your search for diamonds in the rough by looking through the list of the most despised companies Start your search for diamonds in the rough by looking through the list of the most despised companies.", "Amazon\u2019s record holiday sales send stock soaring toward $1 trillion valuation Amazon demolishes its own disappointing forecast and returns to earnings growth after previous quarter's decline Amazon.com Inc. defied its own disappointing forecast and returned to earnings growth in the holiday quarter with more than $3 billion in profit, sending shares soaring toward a $1 trillion valuation in the extended session Thursday.", "One Medical is going public: 5 things to know about the primary-care startup The pitch is convenience, as company looks to \u2018delight\u2019 working-age adults who get health insurance through their jobs and live in urban centers like New York City and San Francisco One Medical, a direct primary-care provider, has filed for its initial public offering, trading under the name 1Life Healthcare Inc.", "Amazon Soars to $1 Trillion Value After Earnings Crush Estimates Amazon reported fourth-quarter earnings $6.47 a share, versus analysts\u2019 $4.03 estimate.", "McDonald\u2019s is acting more like a FAANG, and investors should love it Here\u2019s why the stock price should climb Here\u2019s why the stock price should climb.", "Amazon's stock surges to set new all-time intraday high after blowout earnings Shares of Amazon.com Inc. rocketed to a new intraday record before paring some gains, but was still on track to leapfrog Google-parent Alphabet Inc. into third place as the largest U.S. company based on market capitalization after the e-commerce and cloud giant reported blowout fourth-quarter results. The was up as much as 9.9% to an intraday high of $2,055.72, above the previous intraday record of $2,050.50 on Sept. 4, 2018. The stock, now up 8.1%, is currently below the Sept. 4, 2018 record close of $2,039.51. The market cap is at $1.002 trillion, fractionally above Alphabet's, but still well below Microsoft Corp. at $1.306 trillion and Apple Inc. at $1.402 trillion.", "MedMen\u2019s Colorful Pioneer of Cannabis, Adam Bierman, Resigns as CEO The chief executive\u2019s lavish spending antagonized colleagues and torched bonfires of cash, dropping MedMen stock nearly 90% in the past year.", "Google-parent Alphabet's stock falls enough to knock market cap below the trillion-dollar mark Shares of Google-parent Alphabet Inc. dropped 1.4% in midday trading, putting the internet giant in danger of dropping out of the trillion-dollar club for the second time since it joined two weeks ago. Alphabet's market capitalization was now at $989.4 billion, which currently makes it the fourth-most valuable U.S. company. Amazon.com Inc. leapfrogged Alphabet to third place on Thursday, as the e-commerce and cloud giant's stock soared 8.9% to lift the market cap to $1.01 tri

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

Answer: -0.0094

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0094 (i.e., on a bad day with 5% probability, the loss exceeds 0.94%). CVaR(95%) = -0.0122.


LQD: 60-day return history, mean=-0.0003, std=0.0029.

Question:
Asset: LQD
Daily returns (past 60 days): mean=-0.0003, std=0.0029, min=-0.0055, max=0.0051
Market regime: sideways

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

Answer: -0.0043

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0043 (i.e., on a bad day with 5% probability, the loss exceeds 0.43%). CVaR(95%) = -0.0050.


AVAX-USD: 60-day return history, mean=-0.0160, std=0.0662.

Question:
Asset: AVAX-USD
Daily returns (past 60 days): mean=-0.0160, std=0.0662, min=-0.1912, max=0.1245
Market regime: sideways
Recent filing/news:
[Kaggle 2022-05-30]

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

Answer: -0.1352

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.1352 (i.e., on a bad day with 5% probability, the loss exceeds 13.52%). CVaR(95%) = -0.1719.


IWM: 60-day return history, mean=0.0016, std=0.0111.

Question:
Asset: IWM
Daily returns (past 60 days): mean=0.0016, std=0.0111, min=-0.0244, max=0.0274
Market regime: sideways
Recent filing/news:
[Kaggle 2016-05-24] ["Taiwan Market Seen To Stabilize As Tsai Takes Office Among Asian markets, Taiwan has been sold off the most in May. In the first three weeks, foreigners net sold $3.6 billion as they turned sour on Apple (AAPL) and its manufacturing backyard and became wary of Taiwan's relations with China.But now that President Tsai Ing-wen has taken office, the TAIEX Index should stabilize, analysts say, because some of the recent sell-off catalysts are not related to Tsai's hawkish stance towards China. HSBC summarizes the factors:READ MORE.", "Apple shares find traction after Taiwan report notes increased iPhone7 production Shares of Apple are up some 0.6% in premarket action, off a gain of more than 1% overnight, after a report in Taiwan's Economic Daily said the smartphone giant has asked its mostly Asia-based suppliers to make more iPhone 7s. The Economic Daily report said Apple asked suppliers to produce between 72 million and 78 million iPhone 7s by the end of the year, above Wall Street analysts' current expectations for 65 million. The report was picked up by CNBC. AAPL shares are down about 8% so far this year and down about 29% from their February 2015 high of $133.", "How to start the \u2018Uber of the next big thing\u2019 Uber\u2019s business model works, but copying it blindly can lead to spectacular failure Uber\u2019s business model works, but copying it blindly can lead to spectacular failure, say David S. Evans and Richard Schmalensee.", "Apple admits iPhone prices are too high in India Tim Cook trying to convince government to allow sales of preowned phones Apple Inc. Chief Executive Tim Cook did something out of character this week in an effort to win more business in India: He admitted the iPhone might be too expensive.", "Global GDP: Is iPhone Inflation Overstated? Is economic data used to calculate hundreds of millions of dollars of pension payments unreliable? The truth may be politically unpalatable, Schroders economists say. They use Apple iPhone pricing as an example of how fundamental economic calculations -- used globally -- may be flawed.READ MORE>>", "Best Buy Drops 8%: Where Are the \u2018Iconic\u2019 Products? Asks Citi Shares of Best Buy (BBY) are down $2.57, or almost 8%, at $30.43, after the company this morning reported fiscal Q1 revenue and earnings per share that topped analysts\u2019 expectations, but forecast this quarter\u2019s earnings lower and said CFO Sharon Mccollumwill step down in June.This is the stock\u2019s biggest drop since January 14th, when it fell 10%, according to Dow Jones index mavens.The stock has already gotten one downgrade, from Citigroup\u2019s Kate McShane, who cut her rating shortly after the report to Neutral from Buy.McCollam\u2019s replacement is Corie Bary, a 16-year Best Buy vet who has been serving as \u201cchief strategic growth officer.\"Revenue in the three months ended in April declined by 1%, year over year, to $8.44 billion, yielding EPS of 44 cents, excluding some costs. Analysts

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

Answer: -0.0160

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0160 (i.e., on a bad day with 5% probability, the loss exceeds 1.60%). CVaR(95%) = -0.0199.


XLI: 60-day return history, mean=0.0000, std=0.0138.

Question:
Asset: XLI
Daily returns (past 60 days): mean=0.0000, std=0.0138, min=-0.0336, max=0.0303
Market regime: sideways
Recent filing/news:
[Kaggle 2015-10-19] Equifax (EFX) to Report Q3 Earnings: What's in the Cards? Equifax Inc. EFX is scheduled to report third-quarter 2015 results on Oct 21. Last quarter, the company posted a positive earnings surprise of 4.55%. Let's see how things are shaping up for this announcement. Factors to Consider Equifax reported better-than-expected second-quarter 2015 results, which improved year over year as well. The year-over-year upside was supported by revenue growth across all its business segments, except International. Recently, Equifax made a non-binding offer to acquire Veda Group Limited, the leading Australian credit information provider, to broaden its global operations. If successful, this would be Equifax's biggest acquisition surpassing the $1 billion CSC Credit Services buyout in 2012. We believe that the recent move will give Equifax a substantial foothold in the country. Management's efforts such as strategic initiatives for product innovation, expansion of data assets through acquisitions and continuous share gains in North America raise optimism. Also, the company's strong correlation with the consumer and financial markets as well as its exposure in the U.S. and Europe are likely to propel growth, going ahead. However, competition from the likes of Automatic Data Processing Inc. ADP , Fiserv Inc., Moody's Corp. and uncertainty in the mortgage sector raise concern. Earnings Whispers Our proven model does not conclusively show that Equifax is likely to beat earnings estimates this quarter. This is because a stock needs to have both a positive Earnings ESP and a Zacks Rank #1 (Strong Buy), 2 (Buy) or 3 (Hold) for this to happen. This is not the case here, as you will see below. Zacks ESP: ESP for Equifax is 0.00% since the Most Accurate estimate of $1.10 per share stands in line with the Zacks Consensus Estimate. Zacks Rank: Equifax's Zacks Rank #2 when combined with a 0.00% ESP makes surprise prediction difficult. We caution against stocks with Zacks Rank #4 or 5 (Sell-rated stocks) going into the earnings announcement, especially when the company is seeing negative estimate revisions. Stocks to Consider Here are some other companies, which you may consider as our model shows that they have the right combination of elements to post an earnings beat this quarter: Fiserv, Inc. FISV with Earnings ESP of +3.09% and a Zacks Rank #2 Apple Inc. AAPL with Earnings ESP of +1.60% and a Zacks Rank #3 (Hold) Want the latest recommendations from Zacks Investment Research? Today, you can download 7 Best Stocks for the Next 30 Days.Click to get this free report >> Want the latest recommendations from Zacks Investment Research? Today, you can download 7 Best Stocks for the Next 30 Days. Click to get this free report EQUIFAX INC (EFX): Free Stock Analysis Report AUTOMATIC DATA (ADP): Free Stock Analysis Report FISERV INC (FISV): Free Stock Analysis Report APPLE INC (AAPL): Free Stock Analysis Report To read this article on Zacks.com click here. Zacks Investment Researc

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

Answer: -0.0226

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0226 (i.e., on a bad day with 5% probability, the loss exceeds 2.26%). CVaR(95%) = -0.0295.


ICSH: 60-day return history, mean=0.0003, std=0.0034.

Question:
Asset: ICSH
Daily returns (past 60 days): mean=0.0003, std=0.0034, min=-0.0147, max=0.0092
Market regime: sideways

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

Answer: -0.0057

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0057 (i.e., on a bad day with 5% probability, the loss exceeds 0.57%). CVaR(95%) = -0.0105.


ETH-USD: 60-day return history, mean=-0.0042, std=0.0387.

Question:
Asset: ETH-USD
Daily returns (past 60 days): mean=-0.0042, std=0.0387, min=-0.1477, max=0.1136
Market regime: sideways
Recent filing/news:
[Kaggle 2022-02-14]

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

Answer: -0.0599

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0599 (i.e., on a bad day with 5% probability, the loss exceeds 5.99%). CVaR(95%) = -0.0926.


QQQ: 60-day return history, mean=0.0003, std=0.0075.

Question:
Asset: QQQ
Daily returns (past 60 days): mean=0.0003, std=0.0075, min=-0.0174, max=0.0235
Market regime: sideways
Recent filing/news:
[Kaggle 2016-12-27] The Zacks Analyst Blog Highlights: IBM, BP, Disney, Adobe and Cisco For Immediate Release Chicago, IL - December 27, 2016 - Zacks.com announces the list of stocks featured in the Analyst Blog. Every day the Zacks Equity Research analysts discuss the latest news and events impacting stocks and the financial markets. Stocks recently featured in the blog include IBM (NYSE: IBM - Free Report ), BP (NYSE: BP - Free Report ), Disney (NYSE: DIS - Free Report ), Adobe (NASDAQ: ADBE - Free Report ) and Cisco (NASDAQ: CSCO - Free Report ). Today, Zacks is promoting its ''Buy'' stock recommendations. Get #1Stock of the Day pick for free. Here are highlights from Friday's Analyst Blog: Stock Research Reports for Tuesday: IBM, BP, DIS Today's Research Daily features new research reports on 16 major stocks, including IBM (NYSE: IBM - Free Report ), BP (NYSE: BP - Free Report ) and Disney (NYSE: DIS - Free Report ). IBM shares lagged the technology space and the S&P 500 index over the last few years as the company struggled to reposition its business to the evolving business landscape. But the stock turned around this year (up +21.4% in the year-to-date period vs. +9.3% for the Zacks Technology sector) on greater appreciation for the company's outlook. The Zacks analyst likes IBM's strategic growth initiatives, including its Big Data & business analytics, cloud computing, mobile and social business. The company is expected to report Q4 results on January 17th. (You can read the full research report on IBM here >>> ) The turnaround in oil prices this year has benefited all oil players, BP included. BP shares have gained in excess of +18% this year, modestly below the Zacks Oil Integrated industry's +19.1% gain. The Zacks analyst likes the company's major expense reductions over the last four quarters, which is expected to remain a focus in the coming quarters as well. BP is scheduled to report Q4 results on February 7th, with the oil giant expected to report $0.50 per share on $52.2 billion in revenues. While upstream volumes are expected to be modestly up from the Q3 level, the refining business could be under pressure. (You can read the full research report on BP here >>> ) Disney shares have struggled this year, weighed down by concerns about ESPN whose future growth has been clouded by the evolving media landscape as a result of 'cord cutting' and the steady migration of subscribers to online and digital platforms. However, management anticipates reporting modest earnings growth in fiscal 2017 and a "more robust growth" in fiscal 2018. The Zacks analyst likes Disney's movie business and the parks & resorts division. The company is expected to report Q4 results on February 14th. (You can read the full research report on Disney here >>> ) Other noteworthy reports we are featuring today include Adobe (NASDAQ: ADBE - Free Report ) and Cisco (NASDAQ: CSCO - Free Report ). You can check all of today's research reports here >>> Today's Long-Term Buys & Sells Today

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

Answer: -0.0123

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0123 (i.e., on a bad day with 5% probability, the loss exceeds 1.23%). CVaR(95%) = -0.0160.


XLF: 60-day return history, mean=0.0001, std=0.0082.

Question:
Asset: XLF
Daily returns (past 60 days): mean=0.0001, std=0.0082, min=-0.0244, max=0.0152
Market regime: sideways
Recent filing/news:
[Kaggle 2015-08-13] ["Earnings Scheduled For August 13, 2015", "10 Stocks You Should Be Watching Today", "Option Alert: Applied Materials Sep $18 Call; 2000 Contracts @Ask @$0.32; Now $17.04", "Applied Materials Reports Q3 Adj. EPS $0.33, Inline, Sales $2.49B vs $2.54B Est.", "Applied Materials Expecting Q4 Adj. EPS $0.27-$0.31 vs $0.33 Est.", "UPDATE: Applied Materials Sees Q4 Sales Down 7% to Flat QoQ", "Nordstrom, El Pollo LoCo, King Digital Lead Thursday's After-Hours", "Applied Materials Posts In-Line Q3 Earnings, But Sales Miss Estimates", "Applied Materials Posts In-Line Q3 Earnings, But Sales Miss Estimates", "Nordstrom, El Pollo LoCo, King Digital Lead Thursday's After-Hours", "UPDATE: Applied Materials Sees Q4 Sales Down 7% to Flat QoQ", "Applied Materials Expecting Q4 Adj. EPS $0.27-$0.31 vs $0.33 Est.", "Applied Materials Reports Q3 Adj. EPS $0.33, Inline, Sales $2.49B vs $2.54B Est.", "Option Alert: Applied Materials Sep $18 Call; 2000 Contracts @Ask @$0.32; Now $17.04", "10 Stocks You Should Be Watching Today", "Earnings Scheduled For August 13, 2015", "Interesting AMAT Put And Call Options For October 2nd Investors in Applied Materials, Inc. (Symbol: AMAT) saw new options begin trading today, for the October 2nd expiration. At Stock Options Channel , our YieldBoost formula has looked up and down the AMAT options chain for the new October 2nd contracts and identified one put and one call contract of particular interest. The put contract at the $17.00 strike price has a current bid of 68 cents. If an investor was to sell-to-open that put contract, they are committing to purchase the stock at $17.00, but will also collect the premium, putting the cost basis of the shares at $16.32 (before broker commissions). To an investor already interested in purchasing shares of AMAT, that could represent an attractive alternative to paying $17.17/share today. Because the $17.00 strike represents an approximate 1% discount to the current trading price of the stock (in other words it is out-of-the-money by that percentage), there is also the possibility that the put contract would expire worthless. The current analytical data (including greeks and implied greeks) suggest the current odds of that happening are 55%. Stock Options Channel will track those odds over time to see how they change, publishing a chart of those numbers on our website under the contract detail page for this contract . Should the contract expire worthless, the premium would represent a 4.00% return on the cash commitment, or 29.20% annualized - at Stock Options Channel we call this the YieldBoost . Below is a chart showing the trailing twelve month trading history for Applied Materials, Inc., and highlighting in green where the $17.00 strike is located relative to that history: Turning to the calls side of the option chain, the call contract at the $17.50 strike price has a current bid of 55 cents. If an investor was to purchase shares of AMAT stock at the current price level of $17.17/share, and

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

Answer: -0.0116

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0116 (i.e., on a bad day with 5% probability, the loss exceeds 1.16%). CVaR(95%) = -0.0196.


IYR: 60-day return history, mean=0.0001, std=0.0239.

Question:
Asset: IYR
Daily returns (past 60 days): mean=0.0001, std=0.0239, min=-0.0339, max=0.0302
Market regime: sideways

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

Answer: -0.0339

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0339 (i.e., on a bad day with 5% probability, the loss exceeds 3.39%). CVaR(95%) = -0.0339.


BTC-USD: 60-day return history, mean=0.0127, std=0.0417.

Question:
Asset: BTC-USD
Daily returns (past 60 days): mean=0.0127, std=0.0417, min=-0.0736, max=0.1157
Market regime: sideways

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

Answer: -0.0643

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0643 (i.e., on a bad day with 5% probability, the loss exceeds 6.43%). CVaR(95%) = -0.0707.


EWJ: 60-day return history, mean=-0.0006, std=0.0062.

Question:
Asset: EWJ
Daily returns (past 60 days): mean=-0.0006, std=0.0062, min=-0.0160, max=0.0137
Market regime: sideways
Recent filing/news:
[Kaggle 2018-08-06] ["Zacks.com highlights: Mellanox Technologies, Fortinet, Commvault Systems and Adobe Systems For Immediate Release Chicago, IL - August 6, 2018 - Stocks in this week's article include: Mellanox Technologies Ltd. MLNX , Fortinet Inc. FTNT , Commvault Systems, Inc. CVLT and Adobe Systems Inc. ADBE . Screen of the Week of Zacks Investment Research: Bet on These 4 Liquid Stocks for Solid Returns The liquidity of a stock is an important yardstick that many investors tend to ignore. It primarily indicates a company's capability to meet debt obligations by converting its assets into liquid cash and equivalents. Liquid stocks have always been in demand due to their potential to provide maximum returns. However, one should exercise caution before investing in such stocks. While a high liquidity level may imply that the company is meeting its obligations at a faster rate than its peers, it may also indicate that the company is failing to use its assets efficiently. Hence, one should consider the efficiency level of a company in addition to its liquidity to identify potential winners as this combination is indicative of underlying financial strength. Measures to Identify Liquid Stocks Current Ratio : It measures current assets relative to current liabilities. This ratio is used for measuring a company's potential to meet both short- and long-term debt obligations. Thus, a current ratio - also known as working capital ratio - below 1 indicates that the company has more liabilities than assets. However, a high current ratio does not always indicate that the company is in good financial shape. It may also mean that the company has failed to utilize its assets significantly. Hence, a range of 1 to 3 is considered ideal. Quick Ratio: Unlike current ratio, quick ratio - also called \"acid-test ratio\" or \"quick assets ratio\" - indicates a company's ability to pay short-term obligations. It considers inventory excluding current assets relative to current liabilities. Like the current ratio, a quick ratio of greater than 1 is desirable. Cash Ratio: This is the most conservative ratio among the three, as it takes into account only cash and cash equivalents, and invested funds relative to current liabilities. It measures a company's ability to meet its current debt obligations using the most liquid of assets. Though a cash ratio of more than 1 may point to sound financials, a higher number may indicate inefficiency in cash utilization. So, a ratio greater than 1 is desirable at all times but may not always appropriately represent a company's financial condition. And that's what we're screening for today\u2026 For the rest of this Screen of the Week article please visit Zacks.com at:https://www.zacks.com/stock/news/297774/bet-on-these-4-liquid-stocks-for-solid-returns Get the remaining stocks on the list and start putting this and other ideas to the test. It can all be done with the Research Wizard stock picking and back testing software. The Research Wizard is a gr

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

Answer: -0.0108

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0108 (i.e., on a bad day with 5% probability, the loss exceeds 1.08%). CVaR(95%) = -0.0145.


EFA: 60-day return history, mean=-0.0002, std=0.0131.

Question:
Asset: EFA
Daily returns (past 60 days): mean=-0.0002, std=0.0131, min=-0.0289, max=0.0259
Market regime: sideways
Recent filing/news:
[Kaggle 2022-06-03] ["Apple Was the Worst Stock in the Dow Friday The Dow Jones Industrial Average dropped close to 350 points on Friday, despite a better-than-expected jobs report. For the week, however, the Dow Jones finished higher by nearly 165 points as volatile trading continued. No stock in the Dow saw a bigger percentage drop than Apple (NASDAQ: AAPL), which fell nearly 4% today after several analysts warned about slowing App Store revenue growth. Intel (NASDAQ: INTC) was the day's second-biggest loser on a percentage basis, finishing the day more than 3% down. Although ADP reported yesterday that private payrolls in May added the smallest number of new jobs since the COVID-19 recovery began, the U.S. Bureau of Labor Statistics reported today that nonfarm payrolls added 390,000 jobs last month. That was much stronger than the 328,000 jobs that most economists had been expecting. The conflicting data is nothing new, as investors struggle to try and figure out where the economy could land over the next six to 18 months. Slowing App Store growth at Apple Morgan Stanley analyst Katy Huberty warned today that App Store revenue growth may have started to slow in May, hinting that services revenue at Apple could come in weaker for the current quarter than many had initially thought. Huberty pointed to data from a company called Sensor Tower that showed just 4% revenue growth in May on a year-over-year basis. \"While we believe Apple user spending is more resilient at all stages of the economic cycle, which positions Apple better than other consumer hardware peers, a deceleration in App Store growth likely points to fading consumer spending on goods/services that accelerated during the pandemic,\" Huberty wrote in a research note. Image source: Getty Images. App Store revenue is a big component of the company's services revenue, which made up more than 20% of net sales in the tech giant's most recent quarter. Huberty projects that App Store revenue could fall by as much as $560 million from her initial forecast, which could hit her services revenue forecast for the current quarter by more than 3%. Huberty's note is the second warning this week from analysts. Evercore analyst Amit Daryanani also noted yesterday that the 4% growth is weaker than the 9% year-over-year App Store revenue growth Apple saw in April. \"We had expected growth to accelerate as comps became easier, so the slowdown is somewhat surprising, especially as China saw a large deceleration when we were anticipating some uplift from the ongoing lockdowns,\" Daryanani wrote in a research note. Still, even though App Store revenue growth might be slowing, both Huberty and Daryanani are bullish on the stock. Huberty has an \"overweight\" rating on Apple and a price target of $195. Daryanani also has an \"overweight\" rating and price target of $210. Apple closed the day at $145 per share, implying substantial upside to both of the analysts' price targets. Why Apple could bounce back The analysts are right

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

Answer: -0.0244

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0244 (i.e., on a bad day with 5% probability, the loss exceeds 2.44%). CVaR(95%) = -0.0287.


IWM: 60-day return history, mean=0.0005, std=0.0078.

Question:
Asset: IWM
Daily returns (past 60 days): mean=0.0005, std=0.0078, min=-0.0198, max=0.0210
Market regime: sideways
Recent filing/news:
[Kaggle 2019-12-10] Beware the Valuation Risks of Red-Hot DocuSign Stock E-signature pioneer DocuSign (NASDAQ:) delivered strong third-quarter earnings in early December. In response, DOCU stock rallied to all-time highs. Source: Sundry Photography / Shutterstock.com Everything in the report looked great. The company’s customer growth was robust, as more and more businesses around the globe start to digitize and automate their contracts. The company’s revenue growth was even more robust, as DocuSign’s “foot in the door and grow” model is working, and current customers are spending more on DocuSign’s suite of Cloud Agreement products. Its gross margins held steady at an impressive 80%, while its strong revenue growth increased its profitability. As a result, its third-quarter profit was sizable, versus its tiny profit during the same period a year earlier. On top of all that, the company provided healthy Q4 guidance which indicated that all of these positive dynamics will persist into the end of the year. In other words, the 7% pop of DOCU stock after the Q3 results made sense, right? After all, its numbers were great, its growth outlook is healthy, and all signs point to “GO”… right? Wrong. While DocuSign is a great company and DOCU stock is a long-term winner, there is one big red flag now which warrants caution. That red flag is the valuation of DocuSign stock. I understand DOCU is a growth company that deserves a premium valuation. But, even aggressively assuming that the company will grow rapidly for the next decade, it’s still tough to justify the current price of DOCU stock. As a result, I think DOCU stock is riddled with valuation risks. The stock may brush off those risks in the near-term, thanks to the momentum from its earnings. But, at some point, these risks will rear their ugly head. DocuSign Is a Great Company To be clear, I think DocuSign is a great company. The whole growth outlook of DocuSign centers around the digitization and automation of the contract process. That is, the traditional contract process involves a ton of paper (which is bulky and sometimes costly) and requires that paper to be sent back and forth between various parties multiple times In other words, the traditional contractual process is antiquated, lengthy, and costly. DocuSign fixes all those problems by digitizing and automating the contract process. Among other things, it makes all the documents and the signing process digital, eliminating all the paper involved in those processes. DOCU also transforms the transit, record-keeping, and enforcement of contracts into digital processes. It basically makes the whole contractual process digital, causing it to become modern, fast, and affordable. For corporations, that’s a good deal. That’s why DocuSign has grown its enterprise and commercial customer base from 23,000 in 2015 to what will be north of 70,000 by the end of 2019. Still, at 70,000, DocuSign’s customer base pales in comparison to the millions of businesses in the world, s

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

Answer: -0.0114

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0114 (i.e., on a bad day with 5% probability, the loss exceeds 1.14%). CVaR(95%) = -0.0171.


DBB: 60-day return history, mean=0.0001, std=0.0077.

Question:
Asset: DBB
Daily returns (past 60 days): mean=0.0001, std=0.0077, min=-0.0165, max=0.0204
Market regime: sideways

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

Answer: -0.0138

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0138 (i.e., on a bad day with 5% probability, the loss exceeds 1.38%). CVaR(95%) = -0.0150.


XRP-USD: 60-day return history, mean=0.0100, std=0.0727.

Question:
Asset: XRP-USD
Daily returns (past 60 days): mean=0.0100, std=0.0727, min=-0.1714, max=0.3257
Market regime: sideways

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

Answer: -0.0615

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0615 (i.e., on a bad day with 5% probability, the loss exceeds 6.15%). CVaR(95%) = -0.1337.


IAU: 60-day return history, mean=0.0002, std=0.0072.

Question:
Asset: IAU
Daily returns (past 60 days): mean=0.0002, std=0.0072, min=-0.0139, max=0.0175
Market regime: sideways

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

Answer: -0.0125

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0125 (i.e., on a bad day with 5% probability, the loss exceeds 1.25%). CVaR(95%) = -0.0136.


FXI: 60-day return history, mean=0.0019, std=0.0169.

Question:
Asset: FXI
Daily returns (past 60 days): mean=0.0019, std=0.0169, min=-0.0259, max=0.0411
Market regime: sideways
Recent filing/news:
[Kaggle 2016-04-25] ["3 Things Not To Like About Sony Apple (AAPL) camera components supplier Sony Corp. (6758.Japan/SNE) tumbled 6.3% today after the electronics maker said it would postpone its financial forecasts for the current fiscal year while assessing the damage from recent earthquakes that shut down its camera plants.Sony's stock faces 3 near-term headwinds, according to Citi Research's Kota Ezawa.READ MORE.", "Three Chip Stocks to be Wary of This Earnings Season Micron Technology has structural issues. Nvidia and Silicon Labs look overvalued on limited earnings upside.", "Don\u2019t have Tidal? Beyonc\u00e9\u2019s \u2018Lemonade\u2019 coming to Apple\u2019s iTunes Album headed for wide release after just 24 hours of exclusivity on Tidal Beyonc\u00e9\u2019s new album, \u201cLemonade,\u201d is expected to be released to the masses Sunday night, just 24 hours after its exclusive debut on the Tidal streaming service.", "\u2018The efficient market is dead today just as sound banking died in 1999\u2019 Critical intelligence before the U.S. market opens A mere 38% of money managers in Barron\u2019s latest Big Money poll are bullish about the state of all things market. And this is a group, in general, that tends to put a smile on everything. At least for the clients they\u2019re perpetually trying to woo.", "The market in a minute: Fed's tone, words will matter more than action While we agree that the Fed is unlikely to raise rates this go around, we believe that the risks are in what Chairwoman Yellen says, not what the committee does. So far, Dr. Yellen has been on the Dovish side, a trend that is sure to end at some point.", "Snapchat Must Be Reckoned With, Says SunTrust; Use Surpasses Twitter SunTrust Robinson Humphrey\u2019s Robert Peck, who covers Facebook (FB), Twitter (TWTR) and other Internet stocks, today takes a deep dive into \u201cThe Rise of Snapchat,\u201d arguing of the privately held messaging service that \"digital media investors must pay attention to it for several reasons.\"Those reasons include the fact that it\u2019s growing fast, it\u2019s taking users away from other social media, and it\u2019s also luring away advertisers and software talent.Digital media history is littered with companies that had early leads that eroded as new, innovative companies entered the industry (Friendster, MySpace, Yahoo, Alta Vista, etc). We are not proclaiming that Snapchat will unseat other digital media properties; however, it is paramount that digital media investors and the industry are mindful of Snapchat. This report is the first in a series of Snapchat reports that will aim to help investors understand Snapchat and its potential impact. It is important to understand that there is very limited publicly available information on Snapchat and we look forward to any feedback from the industry and investors, making the topic a living discussion.", "Goldman Ups Tesla Target, Potential For \u2018Disruptive\u2019 iPhone-Like Upside Goldman Sachs took a closer

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

Answer: -0.0229

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0229 (i.e., on a bad day with 5% probability, the loss exceeds 2.29%). CVaR(95%) = -0.0248.


BNB-USD: 60-day return history, mean=0.0004, std=0.0448.

Question:
Asset: BNB-USD
Daily returns (past 60 days): mean=0.0004, std=0.0448, min=-0.1581, max=0.1050
Market regime: sideways
Recent filing/news:
[Kaggle 2021-10-19]

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

Answer: -0.0601

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0601 (i.e., on a bad day with 5% probability, the loss exceeds 6.01%). CVaR(95%) = -0.1154.


XLB: 60-day return history, mean=-0.0001, std=0.0123.

Question:
Asset: XLB
Daily returns (past 60 days): mean=-0.0001, std=0.0123, min=-0.0303, max=0.0204
Market regime: sideways
Recent filing/news:
[Kaggle 2018-05-16] ["Q1 13F Roundup: How Buffett, Einhorn, Ackman And Others Adjusted Their Portfolio", "Q1 13F Roundup: How Buffett, Einhorn, Ackman And Others Adjusted Their Portfolio", "25 Unstoppable Stocks to Buy No Matter What InvestorPlace - Stock Market News, Stock Advice & Trading Tips There is a lot of noise in the stock market. Every day, discrete events send stocks up and down. These discrete events can be company-specific, like earnings reports, murmurs about mergers and acquisitions, analyst upgrades and downgrades, or investor presentations. Those discrete events can also be macro-related, including economic data or geopolitical news. Nonetheless, every day, multiple events happen, causing the stock market volatility that we've been seeing from day to day. Day traders would be wise to continue paying attention to each and every crackle of noise in this market. Long-term investors, however, will find it in their best interest to ignore that noise. 30 Marijuana Stocks to Buy as the Future Turns Green With that in mind, here is a list of 25 stocks that should, regardless of near-term noise, head significantly higher over the next several years due to secular growth tailwinds. Unstoppable Stocks to Buy No Matter What: Apple Inc. (AAPL) Source: Yuanbin Du Via Flickr It is only fitting that this list starts with the biggest publicly traded company in the world, Apple Inc (NASDAQ: AAPL ). Apple got to this point ($930 billion market cap) by selling the world a ton of iPhones, iPads and Mac computers. But that business is drying up. Everyone who wants an iPhone, iPad or Mac already has one, so there aren't really any new buyers in the market. Instead, Apple just gets the upgrade buyers every year. Bears think this is a problem. But it's not. Apple is shifting from consumer technology company to software technology company. Through various software services like iCloud, Apple Music, Apple Pay and the App Store, Apple is starting to monetize its massive iOS ecosystem. These software revenues are higher margin than the hardware revenues, and they are also more predictable (most of the money comes from subscriptions), so Apple is actually turning into a company with higher margins and more predictable revenue streams. As this transformation plays out over the next several years, AAPL stock will head higher. The stock is pretty cheap on its face, trading at just 16-times forward earnings, and there is a bunch of cash on the balance sheet that will be weaponized over the next several years in the form of dividends, buybacks and acquisitions. Unstoppable Stocks to Buy No Matter What: Axon Enterprise Inc (AAXN) Source: Axon Although it is lesser known than Apple, Axon Enterprise Inc (NASDAQ: AAXN ) is undergoing a similar transition from largely a hardware company to a software and hardware company. Axon was formerly known as Taser International, and the business used to be selling tasers and other smart weapons to law enforcement agencies around the world. While se

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

Answer: -0.0221

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0221 (i.e., on a bad day with 5% probability, the loss exceeds 2.21%). CVaR(95%) = -0.0275.


ETH-USD: 60-day return history, mean=-0.0061, std=0.0450.

Question:
Asset: ETH-USD
Daily returns (past 60 days): mean=-0.0061, std=0.0450, min=-0.1190, max=0.0956
Market regime: sideways

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

Answer: -0.0989

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0989 (i.e., on a bad day with 5% probability, the loss exceeds 9.89%). CVaR(95%) = -0.1116.


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

Question:
Asset: BIL
Daily returns (past 60 days): mean=0.0001, std=0.0001, min=-0.0001, max=0.0003
Market regime: sideways

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

Answer: -0.0001

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0001 (i.e., on a bad day with 5% probability, the loss exceeds 0.01%). CVaR(95%) = -0.0001.


TIP: 60-day return history, mean=0.0002, std=0.0006.

Question:
Asset: TIP
Daily returns (past 60 days): mean=0.0002, std=0.0006, min=-0.0013, max=0.0018
Market regime: sideways

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

Answer: -0.0008

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0008 (i.e., on a bad day with 5% probability, the loss exceeds 0.08%). CVaR(95%) = -0.0011.


TLT: 60-day return history, mean=0.0016, std=0.0055.

Question:
Asset: TLT
Daily returns (past 60 days): mean=0.0016, std=0.0055, min=-0.0114, max=0.0125
Market regime: sideways

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

Answer: -0.0072

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0072 (i.e., on a bad day with 5% probability, the loss exceeds 0.72%). CVaR(95%) = -0.0106.


PALL: 60-day return history, mean=0.0007, std=0.0136.

Question:
Asset: PALL
Daily returns (past 60 days): mean=0.0007, std=0.0136, min=-0.0382, max=0.0290
Market regime: sideways

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

Answer: -0.0217

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0217 (i.e., on a bad day with 5% probability, the loss exceeds 2.17%). CVaR(95%) = -0.0296.


VTI: 60-day return history, mean=0.0008, std=0.0088.

Question:
Asset: VTI
Daily returns (past 60 days): mean=0.0008, std=0.0088, min=-0.0335, max=0.0162
Market regime: sideways
Recent filing/news:
[Kaggle 2018-02-13] ["Google\u2019s new AMP mobile story telling models Snapchat and Instagram Format doesn\u2019t support advertising yet, which could slow its adoption among publishers Alphabet Inc.\u2019s Google unveiled new technology that lets publishers create visual-oriented stories in a mobile-friendly format similar to the style popularized by Snapchat and Instagram.", "Apple services, watch businesses could be 'meaningful drivers' by 2020: analyst Instinet analyst Jeffrey Kvaal wrote Tuesday that he sees \"new drivers brewing\" for Apple Inc. , even as iPhone X demand seems to be falling short of the company's initial expectations. In a note to clients, Kvaal argued that the \"era of supercycle may be over,\" but he's optimistic about the potential for secondhand phone sales to continue growing the company's installed base. He noted that Apple's base did in fact grow during the latest quarter, which to him \"implies services - and perhaps the Watch - can emerge as meaningful drivers by ~2020.\" Kvaal believes that the services business could account for more than a third of the company's overall gross profit dollars by 2020. Still, he kept his neutral rating on the stock. Apple shares are down 0.2% in Tuesday morning trading and up 22% over the past 12 months. The Dow Jones Industrial Average has gained 20% in that time.", "Apple: Will Annual Meeting Bring Insight on Capital Plans? Apple's annual shareholder meeting takes place today at its Cupertino, California headquarters, with lots of unknowns about the company's exact plans for investment in the U.S. of hundreds of billions of dollars, and for its intentions for its capital returns programs. It's unlikely the company will shed any light, but that doesn't stop the Street from wondering about it.", "Don\u2019t make big investing decisions until Feb. 14 No, it\u2019s not due to Valentine\u2019s Day; that\u2019s when the all-important inflation report is released No, it\u2019s not due to Valentine\u2019s Day; that\u2019s when the all-important inflation report is released. By Nigam Arora.", "Apple CEO: Special dividend for $285 billion in overseas cash unlikely Apple Inc. Chief Executive Tim Cook said Tuesday at the company's annual shareholder meeting that a special dividend is unlikely as Apple looks to spend $285 billion stashed overseas, according to a report. \"Special dividends, I'm not really a fan of,\" Cook said in response to a question, Reuters reported Tuesday. \"But in terms of annual increases in the dividend, it is something that this board and management are committed to doing.\" Apple stock is up less than 1% to $163.89 in afternoon trading. Cook said executives would update shareholders on the company's capital return program on its April earnings call. Apple stock has gained 23% in the past 12 months, as the S&P 500 index rose 14%. The Dow Jones Industrial Average , of which Apple is a component, has gained 21% in the past year.", "Will Apple\u2019s New HomePod Soon Dominate Hi-fi Profi

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

Answer: -0.0110

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0110 (i.e., on a bad day with 5% probability, the loss exceeds 1.10%). CVaR(95%) = -0.0295.


VNQI: 60-day return history, mean=0.0010, std=0.0071.

Question:
Asset: VNQI
Daily returns (past 60 days): mean=0.0010, std=0.0071, min=-0.0251, max=0.0199
Market regime: sideways

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

Answer: -0.0087

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0087 (i.e., on a bad day with 5% probability, the loss exceeds 0.87%). CVaR(95%) = -0.0171.


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

Question:
Asset: SHV
Daily returns (past 60 days): mean=0.0001, std=0.0001, min=-0.0002, max=0.0005
Market regime: sideways

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

Answer: -0.0001

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0001 (i.e., on a bad day with 5% probability, the loss exceeds 0.01%). CVaR(95%) = -0.0002.


BNO: 60-day return history, mean=0.0043, std=0.0229.

Question:
Asset: BNO
Daily returns (past 60 days): mean=0.0043, std=0.0229, min=-0.0619, max=0.0542
Market regime: sideways

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

Answer: -0.0354

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0354 (i.e., on a bad day with 5% probability, the loss exceeds 3.54%). CVaR(95%) = -0.0518.


XLU: 60-day return history, mean=-0.0001, std=0.0063.

Question:
Asset: XLU
Daily returns (past 60 days): mean=-0.0001, std=0.0063, min=-0.0138, max=0.0147
Market regime: sideways
Recent filing/news:
[Kaggle 2019-12-13] ["5 Stocks To Watch For December 13, 2019", "A Peek Into The Markets: US Stock Futures Climb Ahead Of Economic Reports", "20 Stocks Moving in Friday's Pre-Market Session", "Credit Suisse Reiterates Outperform on Adobe, Raises Price Target to $350", "Wells Fargo Reiterates Equal-Weight on Adobe, Raises Price Target to $315", "Barclays Maintains Overweight on Adobe, Raises Price Target to $350", "Adobe shares are trading higher after the company reported better-than-expected Q4 EPS and sales results.", "PiperJaffray Maintains Overweight on Adobe, Raises Price Target to $360", "Wedbush Maintains Neutral on Adobe, Raises Price Target to $315", "Stifel Maintains Buy on Adobe, Raises Price Target to $350", "10 Biggest Price Target Changes For Friday", "Adobe Did Good \u2013 And Stock Is Headed To A Record High", "Nomura Maintains Buy on Adobe, Raises Price Target to $318", "Stifel Nicolaus Maintains Buy on Adobe, Raises Price Target to $350", "Canaccord Genuity Maintains Buy on Adobe, Raises Price Target to $350", "UPDATE: Credit Suisse Maintains Outperform On Adobe, Raises Target To $350 Notes 'While some may harp on the F1Q20 guide, we believe the outperformance in F4Q19 and reiteration of FY20 net new ARR likely signals upside to Digital Media'", "Mid-Morning Market Update: Markets Mixed; Adobe Earnings Beat Estimates", "Stocks That Hit 52-Week Highs On Friday", "UPDATE: Wells Fargo Maintains Outperform On Adobe, Raises Target To $315 As Firm Believes Believes The Stock's Current Valuation Reflects Co's 'successful transition to subscription and ability to increase its total addressable market'", "UPDATE: Nomura Maintains Buy On Adobe, Raises Target To $318 Notes 'After underwhelming bookings momentum around both Marketo (mid-market) and Analytics Cloud subscriptions in 3Q, things seem to have gained some positive traction in the quarter'", "36 Stocks Moving In Friday's Mid-Day Session", "Mid-Day Market Update: Crude Oil Rises Over 1%; Sarepta Therapeutics Shares Spike Higher", "The Street Reviews Adobe's 2019: 'Record Year'", "The Street Reviews Adobe's 2019: 'Record Year'", "Mid-Day Market Update: Crude Oil Rises Over 1%; Sarepta Therapeutics Shares Spike Higher", "36 Stocks Moving In Friday's Mid-Day Session", "UPDATE: Nomura Maintains Buy On Adobe, Raises Target To $318 Notes 'After underwhelming bookings momentum around both Marketo (mid-market) and Analytics Cloud subscriptions in 3Q, things seem to have gained some positive traction in the quarter'", "UPDATE: Wells Fargo Maintains Outperform On Adobe, Raises Target To $315 As Firm Believes Believes The Stock's Current Valuation Reflects Co's 'successful transition to subscription and ability to increase its total addressable market'", "Stocks That Hit 52-Week Highs On Friday", "Mid-Morning Market Update: Markets Mixed; Adobe Earnings Beat Estimates", "UPDATE: Credit Suisse Maintains Outperform On Adobe, Raises Target To $350 Notes 'While some may harp on the F1Q20 guide, we believe the outper

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

Answer: -0.0129

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0129 (i.e., on a bad day with 5% probability, the loss exceeds 1.29%). CVaR(95%) = -0.0136.


SLV: 60-day return history, mean=0.0000, std=0.0143.

Question:
Asset: SLV
Daily returns (past 60 days): mean=0.0000, std=0.0143, min=-0.0452, max=0.0396
Market regime: sideways

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

Answer: -0.0227

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0227 (i.e., on a bad day with 5% probability, the loss exceeds 2.27%). CVaR(95%) = -0.0322.


LQD: 60-day return history, mean=-0.0017, std=0.0073.

Question:
Asset: LQD
Daily returns (past 60 days): mean=-0.0017, std=0.0073, min=-0.0133, max=0.0111
Market regime: sideways

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

Answer: -0.0133

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


USMV: 60-day return history, mean=0.0010, std=0.0038.

Question:
Asset: USMV
Daily returns (past 60 days): mean=0.0010, std=0.0038, min=-0.0076, max=0.0093
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

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

Answer: -0.0056

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0056 (i.e., on a bad day with 5% probability, the loss exceeds 0.56%). CVaR(95%) = -0.0067.