USMV: 60-day return history, mean=0.0012, std=0.0170.

Question:
Asset: USMV
Daily returns (past 60 days): mean=0.0012, std=0.0170, min=-0.0253, max=0.0221
Market regime: sideways
Recent filing/news:
[Kaggle 2020-06-08] ["UBS Maintains Buy on Adobe, Raises Price Target to $450", "UBS Maintains Buy on Adobe, Raises Price Target to $450", "3 Top E-Commerce Stocks to Watch in June Many e-commerce businesses have seen tailwinds this year as conditions created by the novel coronavirus pandemic resulted in stores closing and spending migrating to digital channels. With many brick-and-mortar businesses beginning to reopen in conjunction with coronavirus restrictions being eased, June could provide valuable data about what the future of retail looks like. Investors interested in e-commerce stocks should keep an eye on Shopify (NYSE: SHOP), Baozun (NASDAQ: BZUN), and Adobe Systems (NASDAQ: ADBE) this month. Image source: Getty Images. 1. Shopify Shopify provides software that allows businesses to easily create and manage online-retail websites, and it's one of the e-commerce space's hottest stocks. Shares are crushing the market in 2020, climbing roughly 89.5% year to date after rallying 187% in 2019. SHOP data by YCharts. Shopify has posted torrid growth as it's brought more large companies on board its platform and become solidified as the category-leading e-commerce services provider for small-and-medium-size enterprises. The company saw heightened merchant-customer additions and shopper engagement as the novel coronavirus began disrupting brick-and-mortar retail operations in mid-March. Shopify stock hit a lifetime high in May, but shares have actually pulled back over the last couple of weeks despite the S&P 500 index climbing roughly 8% across the same stretch. The e-commerce company's valuation is currently down roughly 13% from the lifetime high it hit in May. With brick-and-mortar retail businesses beginning to reopen in the U.S. and other territories, Shopify's coronavirus-related momentum could be tested in June. Despite the potential for near-term volatility, the company's long-term growth outlook remains promising. E-commerce will only become more important for businesses, and pullback on the stock could present an entry point for long-term investors. 2. Baozun Baozun is sometimes referred to as \"the Shopify of China\" because it also provides website-creation tools and other e-commerce services. However, most of Baozun's customers are large companies, and its core business hinges on providing services for Western brands aiming to expand their presence in China's fast-growing e-commerce market. The stock is up roughly 4% year to date following Baozun's first-quarter earnings beat and encouraging Q2 guidance it published on June 2. Even with shares now in positive territory across 2020's trading, they're still down roughly 48% from their lifetime high two years ago due to slowing growth and tensions between the U.S. and China. Baozun is seeing business pick back up as the Chinese economy recovers from coronavirus-related conditions, but the country's increasingly fraught relationship with the U.S. could create obstacles to a sustained stock rebound. Phase on

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: -0.0253

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


LINK-USD: 60-day return history, mean=-0.0043, std=0.0407.

Question:
Asset: LINK-USD
Daily returns (past 60 days): mean=-0.0043, std=0.0407, min=-0.0981, max=0.1107
Market regime: sideways

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

Answer: -0.0619

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0619 (i.e., on a bad day with 5% probability, the loss exceeds 6.19%). CVaR(95%) = -0.0804.


VEA: 60-day return history, mean=-0.0001, std=0.0079.

Question:
Asset: VEA
Daily returns (past 60 days): mean=-0.0001, std=0.0079, min=-0.0274, max=0.0137
Market regime: sideways
Recent filing/news:
[Kaggle 2019-08-30] ["Nvidia Stock Is a Long-Term Winner Predicting what technologies will be prevalent in ten years is difficult. Who\u2019s to say whether the dominant smartphone will be Apple\u2019s (NASDAQ:) iPhone or Alphabet\u2019s (NASDAQ:, NASDAQ:GOOG) Pixel? But Nvidia (NASDAQ:), and Nvidia stock are easier to bet on because the company is powering the technological pillars of tomorrow. Source: Hairem / Shutterstock.com Many sectors, including agriculture, transportation, drones and cloud computing, are turning to artificial intelligence. Often referred to as A.I., this technology requires an insane amount of computing power. The company best suited to provide that computing power is Nvidia. As a result, NVDA and Nvidia stock are in prime position to be long-term winners. Earlier this year, I took a very . I suggest reading the column if you are curious about the company\u2019s long-term outlook. I would not necessarily say that the company\u2019s catalysts make NVDA stock a screaming buy, but they do make the shares worth considering for long-term investors. Valuing Nvidia Stock Nvidia stock was on an unsustainable flight path, rallying hundreds of percent in just a few years. In Oct. 2015, NVDA was changing hands in the $16 range. Now in the mid-$160s, NVDA is still up ten-fold from those levels. At its high near $300, NVDA stock had jumped almost 18 times from its late 2015 levels. Despite the pullback of Nvidia stock, Nvidia\u2019s core business hasn\u2019t been knocked off course. Previously, crypto miners were inflating demand for the company\u2019s products, but that trend has since slowed greatly, hurting Nvidia\u2019s results, Advanced Micro Devices (NASDAQ:) experienced a similar phenomenon, although that company has done a better job of sidestepping the pain. As it stands, AMD is forecast to have positive earnings and revenue growth this year and explosive growth next year. Unfortunately for Nvidia, it\u2019s not in the same boat. Analysts, on average, expect its sales to slump 8% this year and predict that its earnings will tumble 18.8% in 2019. Investors are already aware that this is a down year for NVDA and that there\u2019s not much to be done about it. But NVDA stock is treading higher in recent weeks, even as the trade war continues. The biggest risk facing Nvidia stock, in my view, is estimates for next year, Nvidia\u2019s fiscal 2021. Analysts, on average, expect its top line to jump nearly 20% to $12.91 billion and predict that its earnings per share will surge about 31% to $7.08. Those figures would surpass Nvidia\u2019s fiscal 2019 results and put it back on the path of growth. They would also makes its forward price-earnings ratio, which currently trading at 23.6, more reasonable. If the average estimates materialize, and the trailing 12 month P/E ratio of Nvidia stock stays around its current level of 38, its price would reach roughly $270. Trading NVDA Stock $270 does not seem like a great price for many investors, given that NVDA

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

Answer: -0.0107

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0107 (i.e., on a bad day with 5% probability, the loss exceeds 1.07%). CVaR(95%) = -0.0219.


VTI: 60-day return history, mean=0.0023, std=0.0107.

Question:
Asset: VTI
Daily returns (past 60 days): mean=0.0023, std=0.0107, min=-0.0335, max=0.0253
Market regime: sideways
Recent filing/news:
[Kaggle 2020-08-27] ["Tesla\u2019s Market Cap Hits $400 Billion The world\u2019s most valuable car company just hit another huge milestone.", "Podcast: Rental Prices Drop 1.7% Between First and Second Quarters U.S. manufacturers\u2019 inventories of civilian aircrafts and parts are up 6% since the beginning of the year. The impact of the pandemic has landlords lowering prices to keep tenants. And Salesforce\u2019s shares are on the rise.", "Which is better, the Honda Pilot or VW Atlas? One thing is for sure, they\u2019ve both got plenty of room for people and stuff Let\u2019s take a closer look at how these two people-haulers compare.", "Why Chinese Social Media Apps Are Increasingly Vital to Luxury Goods Makers If you\u2019re a luxury goods company, you want affluent, young Chinese consumers to share their love for your product. Here\u2019s who\u2019s winning.", "The stock market\u2019s rebound is nowhere near over, and midcap exposure is probably what you need Research into stock-market disruptions and recoveries shows conventional wisdom about large-cap stocks is wrong Research into stock market disruptions and recoveries shows conventional wisdom about large-cap stocks is wrong.", "Interest Rates Will Remain Low for Years. These High-Quality Stocks Might Offer the Income You Need. Stocks with ample and secure dividends could benefit as investors search for yield.", "Salesforce\u2019s 30% stock rally this week is a possible \u2018nightmare\u2019 scenario for the Dow committee As part of a shake-up in the stocks comprising the Dow Jones Industrial Average announced earlier this week, Salesforce.com Inc. was among a trio of companies included in the venerable benchmark, but now its stock is soaring.", "HP and Dell Report Earnings Thursday. Here\u2019s What To Expect. PC sales have been boosted by the stay-at-home trend. Why that might not be enough to lift Dell and HP shares.", "Smartphone shipments could drop almost 10% this year, says IDC Worldwide smartphone shipments could fall 9.5% this year given pressures from the pandemic, according to market-research company IDC. Shipments fell 17% from a year earlier in the second quarter, with the market showing \"visible signs of economic concerns.\" IDC said in a release that before the pandemic, analysts expected a return to growth in smartphone sales that is \"obviously not going to happen.\" While analysts predict a 9% year-over-year increase in volumes for 2021, \"that is only due to the large drop in 2020,\" said IDC research director Nabila Popal in the release. \"The real recovery won't happen until 2022 when smartphone volumes return to pre-COVID levels.\" Though there's some hype around 5G devices especially with Apple Inc. expected to introduce its first 5G-enabled iPhones later this year, IDC program vice president Ryan Reith said in the release that IDC analysts \"still believe that consumer demand for 5G is very low and when that is combined with the economic headwinds facing the market, the pressure to dr

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: -0.0116

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%) = -0.0282.


QQQ: 60-day return history, mean=-0.0013, std=0.0130.

Question:
Asset: QQQ
Daily returns (past 60 days): mean=-0.0013, std=0.0130, min=-0.0351, max=0.0285
Market regime: sideways
Recent filing/news:
[Kaggle 2016-01-22] ["Apple Pay Use Low, Says Piper, But It\u2019s Expected to Grow Apple\u2019s (AAPL) Apple Pay electronic payments system is the \u201cshare leader,\u201d writes Piper Jaffray\u2019s Gene Munster in a note to clients this evening, although usage in total \u201ccontinues to be low.\"Apple\u2019s Apple Pay lets a customer transaction at a retail point-of-sale by pressing the home button of the iPhone, or passing an Apple Watch by a contactless card reader at the register.Munster, who has an Overweight rating on Apple stock, and a $179 price target, writes that 2015 was the \u201cyear of adoption,\u201d and he\u2019s seen a surge in banks accepting Apple Pay even lately from 515 as of September of last year to 930 presently, 913 of which are in the U.S., with one in Canada and 1 in Australia.2016, he writes, will be a year of new features:", "Apple Looks Dirt Cheap; Why Stock Can Rise 50% With shares down 25% from last year\u2019s peak and its valuation \u201cnear a historical low\u201d Apple is priced to buy.", "Google shelling out $1 billion just to stay on Apple\u2019s iPhone: report Android generates $31 billion in revenue, says court transcript The search engine paid $1 billion to Apple in 2014 just to keep its Google search on iPhones, say court documents seen by Bloomberg News.", "Stressed out by this market? Why it\u2019s giving you a great opportunity \u2014 really Critical information before the U.S. market opens It\u2019s been an awful start to the year for markets, but there could be a silver lining, argues one financial blogger. Meanwhile, today\u2019s call suggests selling rallies and buying dips. Our chart shows the beating that the ruble\u2019s getting.", "Apple: Buy Side Too Pessimistic on iPhone, Says Stifel Stifel Nicolaus\u2019s Aaron Rakers this morning is the latest to weigh in with his thoughts on the debate over shipments of Apple\u2019s (AAPL) iPhone, which have received one after another markdown in recent weeks.The flashpoint has been the March-ending fiscal Q2 for Apple, where there have been the most cuts in estimates of late. Rakers thinks investors have become too pessimistic.Writes Rakers, who has a Buy rating on Apple stock, and a $140 price target, \"Given the continued debate on how investors are thinking about iPhone shipments into the March '16 quarter (we believe buy-side sentiment has moved into the mid-40M range) we wanted to provide a more thorough review / analysis of iPhone shipment trends on a geographical basis (utilizing Gartner\u2019s historical sell-thru estimates).\"", "It\u2019s not yet time to sell, but it is time to get defensive Many investors have been bailing on this market as quickly as they possibly could, but the best thing to do here is not panic.", "Apple\u2019s new massive underground auditorium, as seen in drone footage Drone footage takes you flying above the Apple Campus 2 Construction for Apple Inc.\u2019s new campus, dubbed Apple Campus 2, is well under way, as evidenced by the latest

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: -0.0237

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0237 (i.e., on a bad day with 5% probability, the loss exceeds 2.37%). CVaR(95%) = -0.0328.


IWM: 60-day return history, mean=-0.0024, std=0.0125.

Question:
Asset: IWM
Daily returns (past 60 days): mean=-0.0024, std=0.0125, min=-0.0326, max=0.0288
Market regime: sideways
Recent filing/news:
[Kaggle 2016-01-20] Commit To Buy American Electric Power Company At $45, Earn 5.7% Using Options Investors considering a purchase of American Electric Power Company, Inc. (Symbol: AEP) shares, but tentative about paying the going market price of $58.07/share, might benefit from considering selling puts among the alternative strategies at their disposal. One interesting put contract in particular, is the January 2018 put at the $45 strike, which has a bid at the time of this writing of $2.55. Collecting that bid as the premium represents a 5.7% return against the $45 commitment, or a 2.8% annualized rate of return (at Stock Options Channel we call this the YieldBoost ). Selling a put does not give an investor access to AEP's upside potential the way owning shares would, because the put seller only ends up owning shares in the scenario where the contract is exercised. And the person on the other side of the contract would only benefit from exercising at the $45 strike if doing so produced a better outcome than selling at the going market price. ( Do options carry counterparty risk? This and six other common options myths debunked ). So unless American Electric Power Company, Inc. sees its shares decline 23% and the contract is exercised (resulting in a cost basis of $42.45 per share before broker commissions, subtracting the $2.55 from $45), the only upside to the put seller is from collecting that premium for the 2.8% annualized rate of return. Below is a chart showing the trailing twelve month trading history for American Electric Power Company, Inc., and highlighting in green where the $45 strike is located relative to that history: The chart above, and the stock's historical volatility, can be a helpful guide in combination with fundamental analysis to judge whether selling the January 2018 put at the $45 strike for the 2.8% annualized rate of return represents good reward for the risks. We calculate the trailing twelve month volatility for American Electric Power Company, Inc. (considering the last 253 trading day closing values as well as today's price of $58.07) to be 20%. For other put options contract ideas at the various different available expirations, visit the AEP Stock Options page of StockOptionsChannel.com. In mid-afternoon trading on Wednesday, the put volume among S&P 500 components was 1.33M contracts, with call volume at 1.62M, for a put:call ratio of 0.82 so far for the day, which is unusually high compared to the long-term median put:call ratio of .65. In other words, there are lots more put buyers out there in options trading so far today than would normally be seen, as compared to call buyers. Find out which 15 call and put options traders are talking about today . Top YieldBoost Puts of the S&P 500 » The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc. The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect

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: -0.0226

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%) = -0.0277.


XLP: 29-day return history, mean=0.0008, std=0.0088.

Question:
Asset: XLP
Daily returns (past 29 days): mean=0.0008, std=0.0088, min=-0.0182, max=0.0170
Market regime: sideways
Recent filing/news:
[Kaggle 2015-02-13] ["London wants a piece of New York\u2019s startups U.K. led startup funding in Europe last month, raising $294 million The U.K. government launched a new initiative called HQUK this week to try and lure foreign businesses to the British isles.", "Goldman traded its reputation for quick profits It was once known as an investment bank but now it\u2019s a hedge fund It was once known as an investment bank but now it\u2019s a hedge fund, says David Weidner.", "Apple price target raised to $135 at BMO Capital Markets", "Apple price target raised to $150 at UBS", "Apple developing 'mega-ecosystem' as target raised to $150 NEW YORK (MarketWatch) - Apple Inc.'s price target was raised to $150 at UBS and to $135 at BMO Capital Markets on Friday, as analysts continue to grow more bullish on the iPhone maker's product line. On Thursday, Apple's stock closed at a record split-adjusted high of $126.46, valuing the company at more than $736 billion, the highest valuation of any U.S. company in history. UBS analyst Steven Milunovich, who rates Apple a buy, said Apple is creating a \"mega-ecosystem\" that is quickly turning the company into a platform, rather than just a device, company. \"Apple the platform company may take it to $1 trillion,\" he said. At $150, UBS is one of the most bullish brokerages on Apple's stock, behind just Cantor Fitzgerald, which has a $160 target on Apple. Meanwhile, BMO analyst Keith Bachman, who has an outperform rating on the stock, said he thinks Apple is adding \"far more users than are leaving the brand\" and that its fiscal 2015 iPhone unit forecast may be conservative. Shares of Apple edged 0.4% higher to $126.98 in premarket trade. To get to a $1 trillion market valuation, shares of Apple will have to reach $172.", "Apple\u2019s expanding \u2018Appleverse\u2019 will lure you in Apple creating mega-ecosystem as target raised to $150 at UBS Apple wants iOS to permeate all aspects of consumers\u2019 lives, more than it already does.", "Lovelorn single people should move to these cities Some singletons this Valentine\u2019s Day may be looking for love in all the wrong places (or cities).", "Week in Review: Musk, Holocaust Chic and Homer go into \u2018insane mode\u2019 Marek Fuchs reviews the top events of the week, including news from Elon Musk, Holocaust Chic and Homer Simpson.", "American Express: After Costco, the Deluge", "10 biggest financial-market events this week Rising oil prices, energy stocks, Greece and Ukraine led the news Rising oil prices, energy stocks, Greece and Ukraine led the news.", "Groupon rallies as Zynga sinks; Tesla struggles Apple shrugs off analysts\u2019 price target hikes Groupon, Zynga, Tesla, and Apple are among notable movers in Friday\u2019s session.", "David Tepper's Appaloosa slashes equity holdings; closes Apple, Facebook positions NEW YORK (MarketWatch) -- David Tepper's hedge fund Appaloosa Management disclosed that the value of its equity holdings were reduced by 40% late last year, accor

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: -0.0116

Explanation: Historical simulation VaR at 95%: sort the 29 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%) = -0.0149.


PALL: 60-day return history, mean=0.0034, std=0.0163.

Question:
Asset: PALL
Daily returns (past 60 days): mean=0.0034, std=0.0163, min=-0.0606, max=0.0381
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: -0.0191

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0191 (i.e., on a bad day with 5% probability, the loss exceeds 1.91%). CVaR(95%) = -0.0363.


XLP: 60-day return history, mean=0.0001, std=0.0071.

Question:
Asset: XLP
Daily returns (past 60 days): mean=0.0001, std=0.0071, min=-0.0250, max=0.0142
Market regime: sideways
Recent filing/news:
[Kaggle 2018-10-15] ["GoPro to Sell Curated Video Clips to the Adobe Stock Marketplace", "Adobe Sees FY19 Total Adobe Sales Growth ~20% Year Over Year, Sees Digital Media Annualized Recurring Sales ~$1.4B Of Net New ARR", "Adobe Reaffirms Q4 Sales, EPS Guidance", "UPDATE: Adobe Reaffirms Q4 Guidance: Sales ~$2.42B vs $2.43B Estimate, Adj. EPS $1.87 vs $1.89 Est.", "Adobe To Host Call Mon., Oct. 15, 2018 At 5 p.m. EDT To Discuss Numerous Drivers For Growth Of Total Addressable Market To Expand From ~$83M In 2020 To ~$108M By 2021", "Adobe shares are up 5.8% after the company reaffirmed Q4 guidance; The company sees 20% year-over-year sales growth in FY19.", "5 Stocks Moving In Tuesday's After-Hours Session", "5 Stocks Moving In Tuesday's After-Hours Session", "Adobe shares are up 5.8% after the company reaffirmed Q4 guidance; The company sees 20% year-over-year sales growth in FY19.", "Adobe To Host Call Mon., Oct. 15, 2018 At 5 p.m. EDT To Discuss Numerous Drivers For Growth Of Total Addressable Market To Expand From ~$83M In 2020 To ~$108M By 2021", "UPDATE: Adobe Reaffirms Q4 Guidance: Sales ~$2.42B vs $2.43B Estimate, Adj. EPS $1.87 vs $1.89 Est.", "Adobe Sees FY19 Total Adobe Sales Growth ~20% Year Over Year, Sees Digital Media Annualized Recurring Sales ~$1.4B Of Net New ARR", "Adobe Reaffirms Q4 Sales, EPS Guidance", "GoPro to Sell Curated Video Clips to the Adobe Stock Marketplace", "Factors Setting the Tone for SAP SE (SAP) in Q3 Earnings SAP SESAP is scheduled to report third-quarter 2018 results on Oct 18. Notably, the company has a mixed record of earnings surprises in the trailing four quarters, with an average beat of 5.6%. The company reported second-quarter 2018 non-IFRS earnings of \u20ac0.98 ($1.17) per share, up 4.3% on a year-over-year basis. However, the bottom line fell short of the Zacks Consensus Estimate of $1.18 per share. Total revenues, on non-IFRS basis, were \u20ac6.01 billion ($7.15 billion), up 4% year over year (up 10% at constant currency), exceeding the Zacks Consensus Estimate of $7.11 billion. A flourishing cloud business and strong growth of support revenues aided top-line growth in the last reported quarter. What to Expect? The Zacks Consensus Estimate for third-quarter earnings is pegged at $1.26 per share, indicating an increase of 5.9% on a year-over-year basis. Revenues are estimated to be around $6.97 billion, indicating a rise of 6.1% from the year-ago quarter. Let's see how things are shaping up for this announcement. Factor Influencing Q3 Results SAP's Cloud and Software business have been consistent growth drivers for quite some time. In fact, Cloud and software business revenues came in at \u20ac5.25 billion in the second quarter, up 4% year over year driven by Cloud subscriptions & support revenues of \u20ac1.30 billion, which surged 40% from the year-ago quarter. Further, the company's human capital management (''HCM'') applications continue to boost the top line, including the likes of SuccessFactors and SAP Fieldgl

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: -0.0108

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%) = -0.0175.


IYR: 60-day return history, mean=0.0001, std=0.0064.

Question:
Asset: IYR
Daily returns (past 60 days): mean=0.0001, std=0.0064, min=-0.0163, max=0.0121
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: -0.0107

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0107 (i.e., on a bad day with 5% probability, the loss exceeds 1.07%). CVaR(95%) = -0.0139.


IAU: 60-day return history, mean=-0.0017, std=0.0086.

Question:
Asset: IAU
Daily returns (past 60 days): mean=-0.0017, std=0.0086, min=-0.0238, max=0.0151
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: -0.0159

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0159 (i.e., on a bad day with 5% probability, the loss exceeds 1.59%). CVaR(95%) = -0.0211.


EEM: 60-day return history, mean=-0.0010, std=0.0103.

Question:
Asset: EEM
Daily returns (past 60 days): mean=-0.0010, std=0.0103, min=-0.0280, max=0.0204
Market regime: sideways
Recent filing/news:
[Kaggle 2021-07-27] ["Advanced Micro Devices Q2 21 Earnings Conference Call At 5:00 PM ET (RTTNews) - Advanced Micro Devices Inc. (AMD) will host a conference call at 5:00 PM ET on July 27, 2021, to discuss Q2 21 earnings results. Advanced Micro Devices is scheduled to report results on Tuesday, July 27, after market close. To access the live webcast, log on to http://ir.amd.com The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.", "Advanced Micro Devices (AMD) Q2 2021 Earnings Call Transcript Image source: The Motley Fool. Advanced Micro Devices (NASDAQ: AMD) Q2 2021 Earnings Call Jul 27, 2021, 5:00 p.m. ET Contents: Prepared Remarks Questions and Answers Call Participants Prepared Remarks: Operator Hello, and welcome to the AMD second-quarter 2021earnings conference call [Operator instructions] As a reminder, this conference is being recorded. It's now my pleasure to turn the call over to Laura Graves, corporate vice president of investor relations. Laura, please go ahead. Laura Graves -- Corporate Vice President of Investor Relations Thank you, and welcome to AMD's second-quarter 2021 financial results conference call. By now, we hope you have had the opportunity to review a copy of our earnings press release and slides. If you have not reviewed these documents yet, they can be found on the Investor Relations page of amd.com. Participants on today's conference call are Dr. Lisa Su, our president and chief executive officer; and Devinder Kumar, our executive vice president, chief financial officer, and treasurer. This is a live call and will be replayed via webcast on our website. Before we begin, I would like to note that Saeid Moshkelani, senior vice president and general manager of our client business; and Ruth Cotter, senior vice president of worldwide marketing, human resources, investor relations and strategy, will attend the Jefferies semiconductor and hardware summit on Tuesday, August 31. Devinder Kumar will attend the Deutsche Bank technology conference on Friday, September 10. 10 stocks we like better than Advanced Micro Devices When our award-winning analyst team has a stock tip, it can pay to listen. After all, the newsletter they have run for over a decade, Motley Fool Stock Advisor, has tripled the market.* They just revealed what they believe are the ten best stocks for investors to buy right now... and Advanced Micro Devices wasn't one of them! That's right -- they think these 10 stocks are even better buys. See the 10 stocks *Stock Advisor returns as of June 7, 2021 And our third-quarter 2021 quiet time is expected to begin at the close of business on Friday, September 10. Today's discussion contains forward-looking statements based on current beliefs, assumptions and expectations, speak only as of today and as such, involve risks and uncertainties that could cause actual results to differ materially from our current expectations. We refer to the cautionary statemen

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: -0.0193

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0193 (i.e., on a bad day with 5% probability, the loss exceeds 1.93%). CVaR(95%) = -0.0232.


CORN: 60-day return history, mean=0.0010, std=0.0161.

Question:
Asset: CORN
Daily returns (past 60 days): mean=0.0010, std=0.0161, min=-0.0326, max=0.0305
Market regime: sideways

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

Answer: -0.0311

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0311 (i.e., on a bad day with 5% probability, the loss exceeds 3.11%). CVaR(95%) = -0.0326.


MTUM: 60-day return history, mean=0.0005, std=0.0105.

Question:
Asset: MTUM
Daily returns (past 60 days): mean=0.0005, std=0.0105, min=-0.0270, max=0.0228
Market regime: sideways
Recent filing/news:
[Kaggle 2021-09-28] ["Logitech's MX Keys Mini is a compact keyboard for minimalists Logitech has unveiled the MX Keys Mini, a compact keyboard for minimalists who don't want mechanical switches.", "Ableton Live 11.1 beta available now with Apple M1 support Ableton Live 11.1 beta available now with Apple M1 support, a new pitch shifting device and more.", "How to Buy Used and Refurbished Cameras and Lenses \"But it's so expensive,\" is what everyone says when a new camera or lens goes on sale. And so I'd like to welcome you to the world of photography that Leica camera users have known about for years. There is a massive benefit to the used and refurbished market for this reason. Don't want to pay $3,000 for that new Sony lens? Do you think that the Canon R5 is way too much money? Well, hyper-focusing on the original price point, I think, is sometimes excessive. It gets in the way of you getting tha", "United States Natural Language Processing Market Report 2021 Featuring Google, IBM, Microsoft, Intel, Apple, AWS, Facebook, Inbenta Technologies, Veritone, SAS Institute Dublin, Sept. 28, 2021 (GLOBE NEWSWIRE) -- The \"United States Natural Language Processing Market, By Component (Solution and Services), By Deployment (On-Premise, Cloud), By Organization Size (SME's Vs Large Enterprises), By Type, By Application, By End User, By Region, Competition, Forecast & Opportunities, 2026\" report has been added to ResearchAndMarkets.com's offering. United States natural language processing market is expected to grow at an impressive rate over the forecast period Growing", "1Password can now randomly generate email addresses for logins The Masked Email feature allows you to create unique email addresses for your logins.", "1Password can now randomly generate email addresses for logins Since 2019, Sign in with Apple has allowed iPhone and Mac users to protect their privacy by allowing them to generate random email addresses when they need to access a new website, service or app. It\u2019s one of those small features that can have an outsized impact, and now something similar is coming to 1Password. Like its Apple counterpart, the tool allows you to create unique email addresses for your logins.", "Highnote emerges from stealth with $54M and a plan to take on Marqeta in the world of card issuing as a service Fintech startups have thrown a curve ball into the world of financial services, by building more flexible, cheaper and user-friendly tools to businesses and consumers, who in turn are walking away from older incumbents and taking their custom to newer providers. In the latest development, a startup called Highnote is launching with ambitions to make waves in the world of card issuing, by making it easy for any company of any size to provide virtual payment cards to their customers. Founded by PayPal alums, the company is exiting stealth mode today and also announcing $54 million in funding to take its first steps.", "IIROC Trading Resumption - STUV Trading resumes in:", "Wit

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

Answer: -0.0124

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0124 (i.e., on a bad day with 5% probability, the loss exceeds 1.24%). CVaR(95%) = -0.0219.


SOL-USD: 60-day return history, mean=-0.0094, std=0.0555.

Question:
Asset: SOL-USD
Daily returns (past 60 days): mean=-0.0094, std=0.0555, min=-0.1589, max=0.1630
Market regime: sideways
Recent filing/news:
[Kaggle 2022-02-03]

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

Answer: -0.0938

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0938 (i.e., on a bad day with 5% probability, the loss exceeds 9.38%). CVaR(95%) = -0.1279.


XLRE: 60-day return history, mean=0.0004, std=0.0121.

Question:
Asset: XLRE
Daily returns (past 60 days): mean=0.0004, std=0.0121, min=-0.0375, max=0.0314
Market regime: sideways
Recent filing/news:
[Kaggle 2020-03-05] ["Apple, Netflix are latest to pull out of SXSW over outbreak: reports Apple Inc. and Netflix Inc. are reportedly the latest tech companies to pull out of the upcoming South by Southwest festival and conference over coronavirus fears. Multiple news outlets, including Variety and the Hollywood Reporter, said the tech giants have canceled their plans for the giant Austin, Texas, gathering set to start next week. Apple had been scheduled to premiere three Apple TV+ originals at the 2020 SXSW Film Festival, Variety said, and Netflix was to show five new films, according to the Hollywood Reporter. On Sunday, SXSW lost one of its featured speakers, Twitter CEO Jack Dorsey, when the social-media company suspended all non-essential business travel. Amazon.com Inc. and Facebook Inc. have also pulled out of SXSW. The festival, which last year drew more than 400,000 visitors, is still scheduled to go on, despite a number of other tech conferences canceling their events due to the global coronavirus outbreak.", "These stocks soared the most after Biden burned Bernie on Super Tuesday Health-care stocks led the market rally after Biden took 10 of 14 states, becoming the Democratic front runner Health-care stocks led the market rally after Biden took 10 of 14 states, becoming the Democratic front runner.", "All 30 Dow stocks fall premarket, led by Goldman Sachs; only 1 stock is down less than 1% Shares of all 30 components of the Dow Jones Industrial Average are falling in premarket trading Thursday, with 29 losing more than 1%. The unanimous selloff comes as Dow futures tumbled 363 points, or 2.1%. The biggest decliner was Goldman Sachs Group Inc.'s stock, which dropped 3.2%, while the most-active stock was Apple Inc.'s , which fell 2.4%. The best performer was Johnson & Johnson's stock which slipped 0.8%.", "Will Coronavirus Push the World Into Recession? Sonal Desai Isn\u2019t Convinced. Sonal Desai, chief investment officer of Franklin Templeton\u2019s fixed income group, isn\u2019t convinced a global recession is inevitable.", "Coronavirus brings opportunities in gold \u2014 just like in the good, old days The conditions for gold are optimal The conditions for gold are optimal, says Nigam Arora.", "Apple price target trimmed at Deutsche Bank Apple Inc. could see a hit of nearly $5 billion due to COVID-19's spread in China, but signs point to supply issues easing next month, according to analysts at Deutsch Bank. In a note Thursday afternoon, analysts reduced their estimate for Apple's fiscal second quarter, which now stand at earnings of $2.69 a share on sales of $60.4 billion, down from $2.99 a share on sales of $65.1 billion. The reduction was due to the effects of the new coronavirus spreading through China and the resulting inaction in an important country for Apple's manufacturing and sales, but analysts said that reports from iPhone manufacturer Foxconn Technology Co. Ltd. suggest effects should decline after March. \"There has been an increasing flo

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: -0.0233

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0233 (i.e., on a bad day with 5% probability, the loss exceeds 2.33%). CVaR(95%) = -0.0293.


MTUM: 60-day return history, mean=-0.0026, std=0.0222.

Question:
Asset: MTUM
Daily returns (past 60 days): mean=-0.0026, std=0.0222, min=-0.0383, max=0.0314
Market regime: sideways
Recent filing/news:
[Kaggle 2020-04-08] ["iPhone Maker Foxconn To Produce Ventilators In US", "Hearing Piper Sandler Raised Apple Price Target From $260 To $300; Unconfirmed", "JP Morgan Maintains Overweight on Apple, Lowers Price Target to $335", "10 Biggest Price Target Changes For Wednesday", "Shares of several technology companies are trading higher amid overall market strength on optimism that US coronavirus cases could soon leveling off. NOTE: Some names in the sector have potentially benefited from recent work-at-home trends.", "Watching Apple Shares; Hearing Traders Circulating Word Of Earlier Article From China Publication Suggesting Apple Cut Orders From China Suppliers", "Global Payments Firm Papaya Global Publishes International COVID-19 Crisis Guides For Employers", "The Show Must Go On \u2013 Event Industry Rising To The Challenge Of COVID-19", "Netflix, YouTube, Disney+: Which Video Streaming Platform Do Teens Watch The Most?", "Disney Shares Climb 7% As Video On Demand Service Crosses 50M Subscribers", "Netflix, YouTube, Disney+: Which Video Streaming Platform Do Teens Watch The Most?", "The Show Must Go On \u2013 Event Industry Rising To The Challenge Of COVID-19", "Global Payments Firm Papaya Global Publishes International COVID-19 Crisis Guides For Employers", "Watching Apple Shares; Hearing Traders Circulating Word Of Earlier Article From China Publication Suggesting Apple Cut Orders From China Suppliers", "Shares of several technology companies are trading higher amid overall market strength on optimism that US coronavirus cases could soon leveling off. NOTE: Some names in the sector have potentially benefited from recent work-at-home trends.", "10 Biggest Price Target Changes For Wednesday", "JP Morgan Maintains Overweight on Apple, Lowers Price Target to $335", "Hearing Piper Sandler Raised Apple Price Target From $260 To $300; Unconfirmed", "iPhone Maker Foxconn To Produce Ventilators In US", "Disney Shares Climb 7% As Video On Demand Service Crosses 50M Subscribers", "Netflix, YouTube, Disney+: Which Video Streaming Platform Do Teens Watch The Most?", "The Show Must Go On \u2013 Event Industry Rising To The Challenge Of COVID-19", "Global Payments Firm Papaya Global Publishes International COVID-19 Crisis Guides For Employers", "Watching Apple Shares; Hearing Traders Circulating Word Of Earlier Article From China Publication Suggesting Apple Cut Orders From China Suppliers", "Shares of several technology companies are trading higher amid overall market strength on optimism that US coronavirus cases could soon leveling off. NOTE: Some names in the sector have potentially benefited from recent work-at-home trends.", "10 Biggest Price Target Changes For Wednesday", "JP Morgan Maintains Overweight on Apple, Lowers Price Target to $335", "Hearing Piper Sandler Raised Apple Price Target From $260 To $300; Unconfirmed", "iPhone Maker Foxconn To Produce Ventilators In US", "Mercedes-Benz GLS-Class: New full-size luxury SUV fits the bill A review of the all-new 2020 SUV

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

Answer: -0.0383

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0383 (i.e., on a bad day with 5% probability, the loss exceeds 3.83%). CVaR(95%) = -0.0383.


XLRE: 60-day return history, mean=-0.0011, std=0.0128.

Question:
Asset: XLRE
Daily returns (past 60 days): mean=-0.0011, std=0.0128, min=-0.0375, max=0.0314
Market regime: sideways
Recent filing/news:
[Kaggle 2022-09-20] ["Why Investors Found Apple Stock Tempting Today What happened Most investors are cool on tech stocks these days, but enough of them warmed to Apple (NASDAQ: AAPL) Tuesday to give an encouraging little rise to its share price. Thanks to some news about its global operations and positive comments from an analyst, the company's stock closed nearly 2% higher on the day, in contrast to the over 1% decline of the S&P 500 index. So what In an official company blog post, Apple revealed that will soon start raising prices in its App Store for certain regions and countries. These include all countries that use the euro as a currency, plus a clutch of other large and small markets in Europe, Asia, and South America. Non-eurozone countries that will see increases include Egypt, Chile, Japan, and South Korea. The hikes will start to take effect on Wednesday, Oct. 5, Apple said. The move comes as the U.S. dollar continues to be a strong currency when matched against peers like the euro or the Japanese yen. A strong dollar reduces the take for U.S.-based Apple from such currencies, hence the need to make adjustments. It should be noted that this isn't a unique, one-off move by the company. It periodically makes pricing adjustments based on factors like this. Meanwhile, noted Apple tracker Daniel Ives from Wedbush reiterated his outperform (read: buy) recommendation on Apple stock, at a $220 per share price target. In a new analyst note, Ives cited the \"brisk sales\" and lengthening customer wait times for the new iPhone 14 as a key reason for his continued optimism. Now what Apple's services business -- which includes the App Store and its massive inventory of titles -- has become increasingly important to the company. Compared to Apple's other revenue stream (products), it's growing more robustly, to the point where it comprised nearly $20 billion in revenue in the tech giant's most recently reported quarter. Meanwhile, Apple device owners tend to be relatively affluent and fond of their apps, so there shouldn't be too much resistance to the price hikes. 10 stocks we like better than Apple When our award-winning analyst team has a stock tip, it can pay to listen. After all, the newsletter they have run for over a decade, Motley Fool Stock Advisor, has tripled the market.* They just revealed what they believe are the ten best stocks for investors to buy right now... and Apple wasn't one of them! That's right -- they think these 10 stocks are even better buys. See the 10 stocks *Stock Advisor returns as of August 17, 2022 Eric Volkman has positions in Apple. The Motley Fool has positions in and recommends Apple. The Motley Fool recommends the following options: long March 2023 $120 calls on Apple and short March 2023 $130 calls on Apple. The Motley Fool has a disclosure policy. The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.", "The 7 Best Biotech Stocks to Buy InvestorPlace -

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: -0.0222

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0222 (i.e., on a bad day with 5% probability, the loss exceeds 2.22%). CVaR(95%) = -0.0300.


ETH-USD: 60-day return history, mean=-0.0020, std=0.0481.

Question:
Asset: ETH-USD
Daily returns (past 60 days): mean=-0.0020, std=0.0481, min=-0.1554, max=0.0854
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: -0.0935

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0935 (i.e., on a bad day with 5% probability, the loss exceeds 9.35%). CVaR(95%) = -0.1382.


EMB: 60-day return history, mean=0.0010, std=0.0037.

Question:
Asset: EMB
Daily returns (past 60 days): mean=0.0010, std=0.0037, min=-0.0097, max=0.0100
Market regime: sideways

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

Answer: -0.0041

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0041 (i.e., on a bad day with 5% probability, the loss exceeds 0.41%). CVaR(95%) = -0.0076.


XLI: 60-day return history, mean=0.0014, std=0.0106.

Question:
Asset: XLI
Daily returns (past 60 days): mean=0.0014, std=0.0106, min=-0.0310, max=0.0215
Market regime: sideways
Recent filing/news:
[Kaggle 2019-11-06] ["Robinhood glitch is letting users trade with unlimited amounts of borrowed cash Bug gives traders infinite leverage \u2014 but it\u2019s also a very bad idea to try A glitch in the stock-trading app Robinhood is allowing investors to trade with apparently unlimited amounts of borrowed money.", "Why Warren Buffett Should Buy Walgreens The Berkshire Hathaway CEO has been searching in vain for a large acquisition that could absorb a chunk of Berkshire\u2019s growing cash balance. Walgreens Boots Alliance could be it.", "Roku remains a promising stock even after this year\u2019s surge Roku is the most fairly valued pure play in the over-the-top space Roku is the most fairly valued pure play in the over-the-top space, writes Beth Kindig.", "Sonos could be the next hardware acquisition after Fitbit, says analyst D.A. Davidson analyst Tom Forte said Wednesday that Sonos Inc. looks well positioned to see its stock appreciate either due to improved investor perception or an acquisition, in the wake of Alphabet Inc.'s plans to purchase Fitbit Inc. \"On the bad block of hardware companies, we consider Sonos to be: 1) the best house on the block and 2) the one adjacent to the mansion on the neighboring block, Apple ,\" Forte wrote. He sees Sonos as similar to Apple due to his view that both companies make superior products with a focus on design and are able to charge more than competitors. \"We see Sonos as a natural acquisition target for Apple, given the similarities in: 1) product quality, 2) design acumen, and 3) premium brands,\" Forte wrote. \"Just as Fitbit fills a void for Google when it comes to healthcare-related data, acquiring Sonos could materially advance Apple's connected home efforts (an area we believe it needs improvement and where its own product, the HomePod, was a disappointment).\" Forte rates Sonos shares at buy with a $20 target price. The stock is up 37% so far this year as the S&P 500 has risen 23%, but it remains below its $15 initial-public-offering price from August 2018.", "Corporate tax avoidance demands a global solution The world should tax multinationals based on the destination of sales Multinational corporations have long avoided paying their full share of taxes, and time is running out to agree on a fair global solution.", "Apple Stock Is Up 65% This Year. More Gains Could Be Coming. The move has lifted the company\u2019s market valuation by $450 billion, to $1.114 trillion. Bank of America Merrill Lynch says the move can continue.", "How the Saudi Aramco IPO Will Affect Other Oil Giants When the world\u2019s largest oil producer goes public, it will surely mean a new dynamic for all the players in the oil industry.", "Apple expands privacy explanations on website, but actual policy remains unchanged The site updates are part of Apple\u2019s push to distinguish itself from data-hungry rivals Google and Facebook The site updates are part of Apple\u2019s push to distinguish itself from data-hungry rivals Google and Faceb

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: -0.0193

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0193 (i.e., on a bad day with 5% probability, the loss exceeds 1.93%). CVaR(95%) = -0.0275.


IWM: 60-day return history, mean=0.0017, std=0.0097.

Question:
Asset: IWM
Daily returns (past 60 days): mean=0.0017, std=0.0097, min=-0.0131, max=0.0303
Market regime: sideways
Recent filing/news:
[Kaggle 2017-01-09] ["The Medicines Co LDL-Lowering Drug Positive in Phase II The Medicines CompanyMDCO announced positive top-line results from a Day 180 interim analysis of the ongoing ORION-1 phase II study on its pipeline candidate, Inclisiran (formerly PCSK9si), for the treatment of hypercholesterolemia. The Medicines Company is developing Inclisiran under a collaboration agreement with Alnylam Pharmaceuticals, Inc. ALNY , which was inked in early 2013. The Medicines Company is solely responsible for the development and commercialization of the candidate. The Medicines Company's three-month share price movement shows that the stock has outperformed the Zacks classified Medical - Biomedical and Genetics industry. Specifically, the company lost 1.7%, while the industry lost 3.7%. ORION-1 is a placebo-controlled, double-blinded, randomized, dose-finding phase II study. It compares and evaluates the effect of various doses of single or multiple subcutaneous injections of Inclisiran. The study was conducted in a total of 501 patients with atherosclerotic cardiovascular disease (ASCVD) or ASCVD-risk equivalents (hypercholesterolemia). Interim data demonstrated that Inclisiran led to a significant and durable reduction of LDL (low-density lipoprotein) cholesterol up to Day 210. Inclisiran was well tolerated throughout the study, with infrequent and mild or moderate injection site reactions. Data from the study will be presented at the annual meeting of the American College of Cardiology, scheduled to be held in Mar 2017. The company expects to move Inclisiran into phase III development (OROPN-4 study) after discussions with regulatory authorities. Meanwhile, the company announced the initiation of ORION-2 for evaluating the efficacy, safety and tolerability of Inclisiran in patients with homozygous familial hypercholesterolemia (HoFH). Moreover, the company commenced enrollment of ORION-1 patients in the phase II ORION-3 extension study, which will evaluate the efficacy, safety and tolerability of long-term dosing of Inclisiran. Note that, apart from Inclisiran, The Medicines Company has several interesting pipeline candidates targeting key focus areas. Three of these candidates - MDCO-216 (atherosclerotic plaque burden), ABP-700 (general anesthesia for surgical care) and Carbavance (treatment of hospitalized patients with serious gram-negative bacterial infections) - have blockbuster potential. The Medicines Company Price The Medicines Company Price | The Medicines Company Quote Zacks Rank & Other Key Picks The Medicines Company currently carries a Zacks Rank #2 (Buy). A couple of other favorably placed stocks in the health care sector include Orexigen Therapeutics, Inc. OREX and Arbutus Biopharma Corporation ABUS . Both the stocks sport a Zacks Rank #1 (Strong Buy). You can see the complete list of today's Zacks #1 Rank stocks here . Orexigen's loss estimates widened from $8.93 to $8.17 for 2016 and from $5.19 to $2.17 for 2017 over the last 60 days. The company pos

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: -0.0123

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%) = -0.0128.


MATIC-USD: 60-day return history, mean=-0.0021, std=0.0516.

Question:
Asset: MATIC-USD
Daily returns (past 60 days): mean=-0.0021, std=0.0516, min=-0.1372, max=0.1508
Market regime: sideways

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

Answer: -0.0806

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0806 (i.e., on a bad day with 5% probability, the loss exceeds 8.06%). CVaR(95%) = -0.1083.


XLV: 60-day return history, mean=0.0015, std=0.0063.

Question:
Asset: XLV
Daily returns (past 60 days): mean=0.0015, std=0.0063, min=-0.0153, max=0.0138
Market regime: sideways
Recent filing/news:
[Kaggle 2021-09-07] ["3 Top Stocks to Buy in September It's been a topsy-turvy summer for investors, but things don't cool down just because fall is around the corner. September is often a sleepy period, but there are some interesting companies that are still expected to make waves this month. Adobe (NASDAQ: ADBE), fuboTV (NYSE: FUBO), and Walt Disney (NYSE: DIS) are three companies that have some potential catalysts kicking in this month. Let's take a closer look to see why they are some of the top stocks to buy in September. Image source: Getty Images. Adobe Earnings season has come and gone, but some companies like Adobe march to the beat of a different fiscal drummer. The desktop publishing giant reports fresh financials for its fiscal third quarter in two weeks. Adobe isn't just the company behind Photoshop and PDF files. Its Creative Cloud suite of digital publishing tools is the cloud-based standard for more than just creative types. Adobe is also also a major player in the booming e-signature market. This is also a far more consistent growth stock than you might think, with steady and growing subscription revenue now accounting for 92% of the top-line mix. It has rattled off six consecutive fiscal years of revenue growth of 15% or better. It's a strong bet to stretch that streak to seven after posting 26% and 23% top-line growth in its first two fiscal quarters. A master of the \"beat and raise\" game that is so rewarding to shareholders, it would be a shock if Adobe doesn't land ahead of Wall Street targets again in two weeks. It's also helping make its own luck on a per-share basis by perpetually buying back more shares than its prints out. Adobe's fiscal year-end share count has declined for five years. fuboTV The fastest-growing live TV streaming service has had a wild first year of trading. fuboTV stock has more than tripled since going public at $10 just 11 months ago, but it's trading for less than half of its late-December peak. The sports-heavy platform has seen its revenue accelerate throughout its brief tenure on the market, soaring 196% in its latest quarter. fuboTV isn't one of the handful of companies reporting financial results this month, but it is putting one important component of its master plan into action in September. Last week, fuboTV rolled real-time sporting event stats and free-to-play games out of beta, coinciding with the new round of South American Qatar World Cup 2022 qualifying matches. Subscribers can now opt to have their game screens resized to make room for its FanView stats. There are also predictive games that are free to play but with real cash prizes for the best prognosticators. With a small yet fast-growing sports-centric subscriber base of more than 680,000 premium accounts, all of this month's new toys are just the beginning. The real star will come later this year when fuboTV launches its own sportsbook through a dedicated smartphone app. fuboTV viewers already trust the platform for their programming and with thei

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

Answer: -0.0100

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0100 (i.e., on a bad day with 5% probability, the loss exceeds 1.00%). CVaR(95%) = -0.0125.


BNB-USD: 60-day return history, mean=0.0042, std=0.0416.

Question:
Asset: BNB-USD
Daily returns (past 60 days): mean=0.0042, std=0.0416, min=-0.1307, max=0.0907
Market regime: sideways
Recent filing/news:
[Kaggle 2022-08-10]

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: -0.0650

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0650 (i.e., on a bad day with 5% probability, the loss exceeds 6.50%). CVaR(95%) = -0.1067.


ETH-USD: 60-day return history, mean=0.0080, std=0.0451.

Question:
Asset: ETH-USD
Daily returns (past 60 days): mean=0.0080, std=0.0451, min=-0.0767, 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: -0.0522

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0522 (i.e., on a bad day with 5% probability, the loss exceeds 5.22%). CVaR(95%) = -0.0701.


VTI: 60-day return history, mean=0.0017, std=0.0042.

Question:
Asset: VTI
Daily returns (past 60 days): mean=0.0017, std=0.0042, min=-0.0066, max=0.0104
Market regime: sideways
Recent filing/news:
[Kaggle 2018-01-29] ["Alibaba, Foxconn lead big investment in Chinese electric-car maker Tech companies branch out into burgeoning industry Chinese e-commerce giant Alibaba Group Holding Ltd. and Foxconn Technology Group have co-led a 2.2 billion yuan ($348 million) funding round into Chinese electric-vehicle manufacturer Xiaopeng Motors, marking Alibaba\u2019s first big investment in a car maker", "Immersion enters settlement and license deal with Apple", "Immersion settles with Apple, reaches license agreements Immersion Corp. said Monday it has entered into settlement and license deals with Apple Inc. . Immersion, which develops touch feedback technology, had filed patent infringement lawsuits against Apple for technology used in iPhones and the trackpads used in MacBooks. Immersion said the terms of the agreements reached with Apple are confidential. The stock, which was still inactive in premarket trade, has tumbled 30% over the past 12 months, while the S&P 500 has gained 25%.", "Apple stock drops after report of iPhone X production cut Apple Inc. shares are down 0.5% in premarket trading Monday after a report in the Nikkei Asia Review said that the company planned to trim its iPhone X production target to 20 million for the March quarter, half of what it expected a few months ago. The Nikkei Asian Review attributes the production cut to lower-than-anticipated sales of the device. The phone's price tag of at least $999 could be a key reason for the demand issues, the publication said. Wall Street analysts have also been weighing in on the prospect of significantly weaker-than-expected iPhone X sales, with analysts at JP Morgan predicting last week that Apple would cut its build orders for the device by 50% in the March quarter, causing them to take a more cautious stance on a number of Apple suppliers. Apple shares are up 41% over the past 12 months, while the Dow Jones Industrial Average is up 30%.", "Robinhood\u2019s crypto biz has drawn nearly 1 million in user interest: Watch out Coinbase! Coinbase is the No. 1\u2013ranked U.S. crypto exchange platform over the past six months. Can Robinhood give it a run for its money in bitcoin, Ethereum trading? New-age brokerage platform Robinhood is jumping in on the cryptocurrency craze, declaring that it will allow trading in bitcoin and Ethereum\u2019s currency starting in February, with more virtual currencies expected to be added soon.", "This \u2018parabolic\u2019 move for stocks has some investors nervous, but should it? Critical information for the U.S. trading day Is this bull market finally starting to feel a bit top-heavy? According to official MarketWatch records, this marks the 698th time that very question has been asked in this space since Trump took office.", "\u2018Get Out\u2019 is headed back to theaters after its 4 Oscar nominations \u2018Get Out\u2019 grossed $254.7 million at box offices worldwide on just a $4.5 million production budget It has been almost a year since \u201cGet Out\u201d opened i

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: -0.0044

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0044 (i.e., on a bad day with 5% probability, the loss exceeds 0.44%). CVaR(95%) = -0.0055.


ITB: 60-day return history, mean=-0.0007, std=0.0357.

Question:
Asset: ITB
Daily returns (past 60 days): mean=-0.0007, std=0.0357, min=-0.0460, max=0.0472
Market regime: sideways

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

Answer: -0.0460

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0460 (i.e., on a bad day with 5% probability, the loss exceeds 4.60%). CVaR(95%) = -0.0460.


EEM: 60-day return history, mean=0.0035, std=0.0140.

Question:
Asset: EEM
Daily returns (past 60 days): mean=0.0035, std=0.0140, min=-0.0341, max=0.0317
Market regime: sideways
Recent filing/news:
[Kaggle 2020-08-05] Why MongoDB Stock Is Cheaper Than It Looks MongoDB, Inc. (NASDAQ: MDB) stock has climbed over 65% since the beginning of the year, trouncing the S&P 500's single-digit gains, and has attracted the attention of tech investors. MDB data by YCharts Along with the stock gains, the price-to-sales ratio has run up over 40%, causing some to flinch at its lofty valuation. But this cloud database specialist is worth the price. Let's take a deeper look at its business, the growth plans, and its valuation to see why this stock could be cheaper than it looks. The business of a cloud database MongoDB was founded in 2007 to create a database that could address the shortcomings of legacy relational databases in powering high-performance cloud-based applications. Since then, it has become a developer favorite, consistently ranked as the top non-relational database according to DB-Engines. This popularity has helped it reach $462 million in trailing 12-month revenues and serve more than 18,000 customers in 100 countries. Image source: Getty Images. Over the last three years, the company has had explosive growth, increasing its top line by a 61% compound annual growth rate from fiscal 2017 to its most recent fiscal year ending Jan. 31, 2020. This impressive trend continued into last quarter's 46% year-over-year top-line gain, but the company isn't profitable, as it's pouring its profits into growth efforts. A $977 million pile of cash and marketable securities provide the company with plenty of flexibility to operate this way for years. The company has two core products: MongoDB Enterprise Advanced (EA), its on-premise solution, and Atlas, its cloud-based offering. Atlas only made up 42% of its revenue last quarter, but it's growing faster at 75% year over year and is an important element in driving overall growth. Atlas is key to growth Atlas was released in 2016 as a way for software developers to experience the benefits of its product more easily. As a cloud-based subscription platform, developers just need a sign-on and a credit card to get started. This simple on-ramp allows information technology teams to experiment with the platform in non-mission-critical applications before committing to the technology to take over larger portions of the enterprise. This approach has been highly successful. Atlas customers have almost tripled from 5,700 in January 2018 to 16,800 in its most recent quarter ending April 30, 2020. What's even more exciting is that as a cloud product, the company can keep tabs on what developers are doing. This enables the company to better understand how the product is used, make improvements, and call on customers who've increased usage to discuss upselling opportunities. Although Atlas customers only average around $6,000 to $7,000 in revenue per year, it can be a path to its EA product that typically exceeds $100,000 annually. In its most recent quarter, MongoDB reported 780 customers spending more than $100,000 annually, up from 598 a ye

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: -0.0144

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0144 (i.e., on a bad day with 5% probability, the loss exceeds 1.44%). CVaR(95%) = -0.0240.


BNB-USD: 60-day return history, mean=-0.0061, std=0.0311.

Question:
Asset: BNB-USD
Daily returns (past 60 days): mean=-0.0061, std=0.0311, min=-0.0801, max=0.0621
Market regime: sideways

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: -0.0520

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0520 (i.e., on a bad day with 5% probability, the loss exceeds 5.20%). CVaR(95%) = -0.0780.


LQD: 60-day return history, mean=0.0008, std=0.0024.

Question:
Asset: LQD
Daily returns (past 60 days): mean=0.0008, std=0.0024, min=-0.0039, max=0.0068
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: -0.0034

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0034 (i.e., on a bad day with 5% probability, the loss exceeds 0.34%). CVaR(95%) = -0.0038.


XLRE: 60-day return history, mean=-0.0000, std=0.0104.

Question:
Asset: XLRE
Daily returns (past 60 days): mean=-0.0000, std=0.0104, min=-0.0240, max=0.0206
Market regime: sideways
Recent filing/news:
[Kaggle 2017-01-10] ["Snapchat to set up international HQ in London Snapchat owner Snap Inc. will make London its international headquarters and start booking overseas revenue in all the countries where it has offices, breaking from other tech firms whose headquarters in smaller European countries help them shift profit and lower their taxes.", "Here\u2019s how much ETFs are dominating on the trading floor Of the 15 most active securities in 2016, 14 were ETFs Only one of the 15 most heavily traded issues on the stock market in 2016 was actually a stock. The rest were ETFs,", "Charting a slow-motion breakout attempt: Dow back for another crack at 20,000 Focus: Apple\u2019s breakout attempt, Telecom pulls in to support, IYZ, AAPL, AGCO, VG, ON Technically speaking, the U.S. benchmarks\u2019 strong bull trend is firmly intact. Consider that the S&P 500 continues to press record territory, after briefly reaching all-time highs last week. Meanwhile, the Nasdaq Composite has broken out, confirming its uptrend, while the Dow Jones Industrial Average remains within striking distance of the marquee 20,000 mark.", "Tech Today: Trouble for T-Mo, Buy Twilio, Nvidia A Must-Have? Here are some things going on today in your world of tech:Craig Moffett of the eponymous MoffettNathanson, who has long been a bullish defender of T-Mobile US (TMUS), today cut his rating on the stock to Neutral from Buy, writing that there has been a return of subsidies, and that T-Mo\u2019s \u201cAll in\u201d pricing plan \u201copens yet another front in the battle over service plan pricing.\"\u201cTo be sure, we still see T-Mobile as the best-positioned operator,\u201d writes Moffett, \u201cbut after factoring in the impacts of T-Mobile\u2019s new pricing, our estimates for T-Mobile are now below consensus for the first time in four years.\"T-Mobile shares are up 91 cents, or 1.6%, at $57.58.Canaccord Genuity\u2019s Richard Davis writes \u201cthe time has come\u201d to raise his rating on Internet cloud services vendor Twilio (TWLO) to Buy from Hold, with a $35 price target.\"While you can never know where a precise bottom for a stock is,\u201d observes Davis, \"we believe the odds are in our favor that TWLO shares will be higher, perhaps materially so, by the end of this year.\"Twilio shares are up 24 cents, or 0.9%, at $28.34.", "Charting a slow-motion breakout attempt: Dow back for another crack at 20,000 Focus: Apple\u2019s breakout attempt, Telecom pulls in to support, IYZ, AAPL, AGCO, VG, ON Technically speaking, the U.S. benchmarks\u2019 strong bull trend is firmly intact. Consider that the S&P 500 continues to press record territory, after briefly reaching all-time highs last week. Meanwhile, the Nasdaq Composite has broken out, confirming its uptrend, while the Dow Jones Industrial Average remains within striking distance of the marquee 20,000 mark.", "Himax: Craig Hallum Cuts to Hold as Microsoft HoloLens Fails to Deliver Shares of display technology vendor Himax Technologies (HIMX) are own

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: -0.0178

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0178 (i.e., on a bad day with 5% probability, the loss exceeds 1.78%). CVaR(95%) = -0.0222.


IAU: 60-day return history, mean=0.0011, std=0.0059.

Question:
Asset: IAU
Daily returns (past 60 days): mean=0.0011, std=0.0059, min=-0.0132, max=0.0134
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: -0.0082

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0082 (i.e., on a bad day with 5% probability, the loss exceeds 0.82%). CVaR(95%) = -0.0114.


XLE: 60-day return history, mean=-0.0009, std=0.0083.

Question:
Asset: XLE
Daily returns (past 60 days): mean=-0.0009, std=0.0083, min=-0.0202, max=0.0198
Market regime: sideways
Recent filing/news:
[Kaggle 2017-03-07] ["LG Electronics Soars On Firm LCD Pricing, But Smartphone Business Drags LG Electronics (066570.Korea) soared 4.2% on Tuesday amid heavy buying after the latest LCD panel prices data alleviated market fears that the LCD panel cycle is peaking out soon.In the first week of March, LCD panel prices across different screen sizes stayed firm and the large-screen 65 inch TVs actually saw an increase in sales price.READ MORE.", "Go Long China, Short US: 5 Smart Stock Trades Concerns that U.S. stocks are overvalued may mean it\u2019s time to buy their cheaper Chinese rivals.", "Most Investors Already Bullish On Apple\u2019s iPhone 8: Any Upside Left? After meeting with over 150 investors globally, JP Morgan concluded that most investors are already on board with the Apple (AAPL) iPhone 8 super cycle trade.\"We agree that street expectations of ~100M units of new iPhone builds in 2H17 are now hard to exceed, but upside is likely to come from OLED iPhone mix and much higher ASPs. We have been advising investors to position into explicit OLED iPhone plays like Hon Hai, Samsung SDI or content gainers like WinSemi,LG Innotek and Lens Tech,\" reports JP Morgan.READ MORE.", "Which Tech Companies Will Win The Augmented Reality Race? Plenty of people have been wary of Snap Inc.'s (SNAP) worth as a social media company, but some may be buying the stock for its future as a camera company, and as a player in augmented reality (AR).Former Piper Jaffray analyst Gene Munster, who now works at AR and VR-focused venture capital firm writes that the question is broader than just Snap, however: With AR primed to come online in the next few years through existing operating systems, Munster has a new report out ranking how major tech players fare in the race to the new reality.", "House Republican Jason Chaffetz dangles Sophie\u2019s choice: Your iPhone or your health? \u2018Good morning to everyone except Jason Chaffetz\u2019 Republicans unveiled new legislation this week to replace Obamacare and fix what President Trump describes as \u201ca complete and total disaster.\u201d Some sacrifices may be required, says Jason Chaffetz.", "Wall Street is at the very heart of American innovation: author Top politicians, says writer William D. Cohan, have bipolar relationships with Wall Street \u2014 at best We need to understand Wall Street better, focusing not only on uncovering abuses but on the larger picture, placing even those probes into problem areas, which he said are often merited, into a broader context that includes Wall Street\u2019s manifold services and innovations, argues William D. Cohan, author of \u201cWhy Wall Street Matters.\u201d", "Threat Of US Protectionism Not Fully Priced Into Tech Markets: Morgan Stanley Morgan Stanley\u2019s Shawn Kim and team recently took a look at Asian technology companies, arguing that the risk of US protectionism isn\u2019t fully priced into markets.They write that the tech sector is very exposed to the risk that policies will punis

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

Answer: -0.0146

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0146 (i.e., on a bad day with 5% probability, the loss exceeds 1.46%). CVaR(95%) = -0.0180.


AVAX-USD: 60-day return history, mean=-0.0103, std=0.0804.

Question:
Asset: AVAX-USD
Daily returns (past 60 days): mean=-0.0103, std=0.0804, min=-0.1912, max=0.2320
Market regime: sideways

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: -0.1368

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.1368 (i.e., on a bad day with 5% probability, the loss exceeds 13.68%). CVaR(95%) = -0.1822.


LINK-USD: 60-day return history, mean=0.0048, std=0.0518.

Question:
Asset: LINK-USD
Daily returns (past 60 days): mean=0.0048, std=0.0518, min=-0.1284, max=0.1304
Market regime: sideways

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

Answer: -0.0724

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0724 (i.e., on a bad day with 5% probability, the loss exceeds 7.24%). CVaR(95%) = -0.1042.


VTI: 60-day return history, mean=-0.0002, std=0.0060.

Question:
Asset: VTI
Daily returns (past 60 days): mean=-0.0002, std=0.0060, min=-0.0324, max=0.0085
Market regime: sideways
Recent filing/news:
[Kaggle 2018-10-10] ["Stocks Which Set New 52-Week Low Yesterday, October 9th", "Applied Materials Option Alert: Nov 23 $37 Calls Sweep (41) near the Ask: 2165 @ $0.991 vs 60 OI; Earnings 11/15 After Close [est] Ref=$34.55", "Stocks That Made New 52-Week Lows So Far Today Include: Goldman Sachs, Morgan Stanley, eBay, International Paper, WestRock, Quanta Services, PPG Industries, Vulcan Materials, Illinois Tool Works, Pentair, Affiliated Managers Group, and Goodyear Tire", "Stocks That Made New 52-Week Lows So Far Today Include: Goldman Sachs, Morgan Stanley, eBay, International Paper, WestRock, Quanta Services, PPG Industries, Vulcan Materials, Illinois Tool Works, Pentair, Affiliated Managers Group, and Goodyear Tire", "Applied Materials Option Alert: Nov 23 $37 Calls Sweep (41) near the Ask: 2165 @ $0.991 vs 60 OI; Earnings 11/15 After Close [est] Ref=$34.55", "Stocks Which Set New 52-Week Low Yesterday, October 9th", "Why Applied Materials, Inc. Lost 10.2% in September What happened Applied Materials (NASDAQ: AMAT) stock fell 10.2% in September, according to data provided by S&P Global Market Intelligence . Shares lost ground amid a broader sell-off for chip stocks. AMAT data by YCharts Comments from Micron Technology 's chief financial officer indicating continued declines for NAND memory prices and a bearish note on the outlook for the memory-chip industry from Morgan Stanley analyst Shawn Kim resulted in steep sell-offs for Applied Materials and other related semiconductor companies on Sept. 6. The iShares Philadelphia Semiconductor ETF closed the month down 2.8%. So what Applied Materials' semiconductor systems segment accounted for 61% of the company's sales in its July quarter, and combined flash and DRAM memory business accounted for 60% of that revenue. The company has benefited from strong demand for memory chips over the last several years, with its earnings and stock price hitting record highs earlier this year; a downturn for the memory chip market is likely to have a significant, negative impact on performance. Now what Applied Materials' stock has continued to lose ground in October, with continued impact from the market's bearish shift on memory chips and combining with broader market sell-offs to push shares down roughly 11.4% in the month as of this writing. The stock now trades at roughly 7.5 times this year's expected earnings, but the company's profits have historically been tied to cyclical swings in the memory chip and data storage markets -- so investors shouldn't rely on that seemingly low multiple as an indication that the stock is near a bottom. AMAT data by YCharts Applied Materials is expected to report third-quarter earnings in mid-November and is guiding for earnings per share of $0.96 on sales of $4 billion -- targets that underwhelmed the market and led to double-digit sell-offs in August. 10 stocks we like better than Applied Materials When investing geniuses David and Tom Gardner have a stock tip, it can pay to listen. After all

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: -0.0079

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0079 (i.e., on a bad day with 5% probability, the loss exceeds 0.79%). CVaR(95%) = -0.0163.


BNB-USD: 60-day return history, mean=0.0028, std=0.0341.

Question:
Asset: BNB-USD
Daily returns (past 60 days): mean=0.0028, std=0.0341, min=-0.0702, max=0.0973
Market regime: sideways
Recent filing/news:
[Kaggle 2022-03-27]

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: -0.0566

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0566 (i.e., on a bad day with 5% probability, the loss exceeds 5.66%). CVaR(95%) = -0.0644.


AVAX-USD: 60-day return history, mean=0.0015, std=0.0946.

Question:
Asset: AVAX-USD
Daily returns (past 60 days): mean=0.0015, std=0.0946, min=-0.1912, max=0.2320
Market regime: sideways

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: -0.1485

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.1485 (i.e., on a bad day with 5% probability, the loss exceeds 14.85%). CVaR(95%) = -0.1701.


ICSH: 60-day return history, mean=0.0001, std=0.0006.

Question:
Asset: ICSH
Daily returns (past 60 days): mean=0.0001, std=0.0006, min=-0.0016, max=0.0016
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: -0.0008

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%) = -0.0015.


XLV: 60-day return history, mean=0.0002, std=0.0079.

Question:
Asset: XLV
Daily returns (past 60 days): mean=0.0002, std=0.0079, min=-0.0173, max=0.0142
Market regime: sideways
Recent filing/news:
[Kaggle 2021-11-02] Got $5,000? 3 Tech Stocks to Buy and Hold For the Long Term $5,000 might not seem like much in the tech sector, where stocks often cost hundreds or thousands of dollars per share. However, the best tech stocks can still transform a modest investment into a small fortune. To identify those long-term winners, investors should focus on companies that are led by visionary CEOs, routinely generate robust growth, and exercise killer competitive advantages. These three tech stocks check all three boxes: Adobe (NASDAQ: ADBE), Microsoft (NASDAQ: MSFT), and AMD (NASDAQ: AMD). 1. Adobe A decade ago, Adobe generated most of its revenue from desktop software. Today, nearly all of its revenue comes from cloud-based services. Adobe's entire business model evolved because CEO Shantanu Narayen pushed the company to transform all of its desktop-based creative software products -- including Photoshop, Illustrator, and Premiere Pro -- into subscription-based cloud services. Adobe also launched new cloud-based e-commerce, marketing, and analytics services for enterprise customers. Image source: Getty Images. This bold transformation locked in Adobe's customers, generated predictable recurring revenue, and widened its moat. As a result, Adobe's annual revenue surged from $4.1 billion in 2013 to $12.9 billion in 2020, while its adjusted earnings per share (EPS) soared from $1.34 to $10.10 per share. Those long-term returns are impressive, but Adobe hasn't run out of room to grow yet. Analysts expect Adobe's revenue to rise 22.5% this year and grow another 15% next year as its Digital Media (creative software) and Digital Experience (enterprise software) clouds continue to expand. Adobe doesn't face many meaningful competitors in the creative software market, its ecosystem is very sticky, and its enterprise-facing businesses should continue to benefit from the ongoing digitization and automation of older businesses. All those qualities make it a solid long-term investment. 2. Microsoft Microsoft also underwent a dramatic cloud-based transformation under a visionary CEO over the past seven years. Satya Nadella, who took over as Microsoft's third CEO in 2014, aggressively expanded the aging tech giant's cloud services with a "mobile first, cloud first" mantra. In 2015, Microsoft set a goal to grow its annualized cloud revenue from $6.3 billion to $20 billion by 2018. It hit that target in 2017, then went on to generate a whopping $69 billion in cloud revenue in fiscal 2021. That growth was led by Azure, which competes against Amazon's (NASDAQ: AMZN) Amazon Web Services (AWS) in the cloud platform market, as well as Office 365, Dynamics in the customer relationship management (CRM) market, and enterprise-oriented social network LinkedIn. Microsoft also continued to broaden its hardware portfolio with new Xbox consoles and Surface devices. Between fiscal 2014 and 2021, Microsoft's annual revenue soared from $86.8 billion to $168.1 billion, while its EPS jumped from $2.63 to

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

Answer: -0.0144

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0144 (i.e., on a bad day with 5% probability, the loss exceeds 1.44%). CVaR(95%) = -0.0160.


DOT-USD: 60-day return history, mean=-0.0115, std=0.0814.

Question:
Asset: DOT-USD
Daily returns (past 60 days): mean=-0.0115, std=0.0814, min=-0.1989, max=0.2810
Market regime: sideways

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

Answer: -0.1124

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.1124 (i.e., on a bad day with 5% probability, the loss exceeds 11.24%). CVaR(95%) = -0.1802.


BNB-USD: 60-day return history, mean=0.0001, std=0.0411.

Question:
Asset: BNB-USD
Daily returns (past 60 days): mean=0.0001, std=0.0411, min=-0.1010, max=0.0922
Market regime: sideways

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: -0.0650

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0650 (i.e., on a bad day with 5% probability, the loss exceeds 6.50%). CVaR(95%) = -0.0885.


XLP: 60-day return history, mean=0.0003, std=0.0066.

Question:
Asset: XLP
Daily returns (past 60 days): mean=0.0003, std=0.0066, min=-0.0179, max=0.0140
Market regime: sideways
Recent filing/news:
[Kaggle 2021-06-30] ["Ably raises $70 million for its developer platform that enables realtime features Ably is a Pub/Sub messaging platform that companies can use to develop realtime features in their products. The company just raised a $70 million Series B funding round co-led by Insight Partners and Dawn Capital. A popular system that lets you create realtime features is called Pub/Sub, as in publish-subscribe.", "LG's 'QNED' Mini LED TVs are coming to the US in July LG's lineup of QNED 4K and 8K TVs unveiled late last year will arrive in the US in July, the company has announced.", "Amazon\u2019s Halo app gets better with Movement Health update Amazon is rolling out its smartphone camera-driven service called Movement Health, which it announced earlier this month.", "Microsoft says a third of its government data requests have secrecy orders Microsoft's customer security chief says as many as one-third of all government demands that the company receives for customer data are issued with secrecy clauses that prevents it from disclosing the search to the subject of the warrant. The figure was disclosed in testimony by Microsoft's Tom Burt ahead of a House Judiciary Committee on Wednesday, as lawmakers weigh a legislative response to efforts by the Justice Department under the Trump administration to secretly obtain call and email records as part of an investigation into the leaks of classified information to reporters at The New York Times, The Washington Post, and CNN. Burt said that such secrecy orders \"have unfortunately become commonplace,\" and that Microsoft regularly receives \"boilerplate secrecy orders unsupported by any meaningful legal or factual analysis.\"", "Apple\u2019s developer problems are much bigger than Epic and \u2018Fortnite\u2019 The Epic v. Apple trial exacerbated the company's developer relations problem, and it could still get worse.", "Facebook\u2019s early antitrust win doesn't let it or Big Tech off the hook Facebook may have scored and early win in its antitrust battle with the FTC, but the war is far from over for the social networking giant, or the rest of Big Tech.", "The iOS 15, iPadOS 15 and watchOS 8 public betas are here The iOS 15 public beta is rolling out today. Here's how to get it.", "iOS 15 beta hands-on: A surprisingly complete preview iOS 15 features like SharePlay, Focus modes and Live Text are ready for testing.", "AT&T will soon enable RCS messaging for all Android phones Google Messages will be the default chat app for AT&T customers.", "watchOS 8 beta hands-on: Subtle but useful changes The watchOS 8 public beta might not be as big a change as iOS 15, but it still promises better integration with your iPhone, along with health and fitness updates.", "Lego should snap up this rapid-fire brick-finding iOS app Lego has worked extremely closely with Apple over the years, experimenting with unreleased iOS tech and demoing it onstage at launch events like WWDC; this has included some pretty heavy tinkering on the augmen

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: -0.0114

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%) = -0.0149.


SHY: 60-day return history, mean=0.0002, std=0.0007.

Question:
Asset: SHY
Daily returns (past 60 days): mean=0.0002, std=0.0007, min=-0.0021, max=0.0020
Market regime: sideways

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

Answer: -0.0010

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0010 (i.e., on a bad day with 5% probability, the loss exceeds 0.10%). CVaR(95%) = -0.0014.


BTC-USD: 60-day return history, mean=0.0139, std=0.0474.

Question:
Asset: BTC-USD
Daily returns (past 60 days): mean=0.0139, std=0.0474, min=-0.1328, 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: -0.0605

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0605 (i.e., on a bad day with 5% probability, the loss exceeds 6.05%). CVaR(95%) = -0.0904.


ADA-USD: 60-day return history, mean=-0.0081, std=0.0734.

Question:
Asset: ADA-USD
Daily returns (past 60 days): mean=-0.0081, std=0.0734, min=-0.1761, max=0.1849
Market regime: sideways
Recent filing/news:
[Kaggle 2022-06-22]

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

Answer: -0.1183

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.1183 (i.e., on a bad day with 5% probability, the loss exceeds 11.83%). CVaR(95%) = -0.1588.


QUAL: 60-day return history, mean=0.0025, std=0.0153.

Question:
Asset: QUAL
Daily returns (past 60 days): mean=0.0025, std=0.0153, min=-0.0339, max=0.0266
Market regime: sideways
Recent filing/news:
[Kaggle 2020-07-08] These 3 Tech Stocks Are Absurdly Overvalued Right Now Many of the most sought-after stocks on the market come from the tech sector. Over the last few decades, the tech industry has remained on the cutting edge, bringing new and innovative technologies to society. This has generated heavy demand in the market for some tech stocks. Consequently, some tech names have risen to absurd valuations. While these companies may prosper for years to come, their stock prices have increased to levels that could make earning long-term gains more difficult. In this respect, investors need to weigh the valuations of companies such as Bill.com Holdings (NYSE: BILL), Datadog, Inc. (NASDAQ: DDOG), and Shopify, Inc. (NYSE: SHOP) carefully before taking a chance on such stocks. Bill.com Bill.com is a software-as-a-service (SaaS) company that provides back-office financial services to small and medium-sized businesses (SMBs). It streamlines and automates billing and payment processes that most SMBs still perform manually. This work happens through Intuit's QuickBooks Online and other popular software packages that integrate with Bill.com's Simple Bill Pay. Image source: Getty Images. SMBs continue to increasingly embrace this service. In the most recent quarter, quarterly revenue growth increased by 46% year over year. Subscriptions and transactions revenue rose by 63% over the same period. Investors have taken notice. The stock's initial run-up following its December IPO came down amid the stock market swoon related to COVID-19. However, Bill.com moved higher as tech stocks bounced back, and it has almost quadrupled in value since the March lows. BILL data by YCharts Nonetheless, this could indicate the stock price has moved ahead of growth. With losses projected for the foreseeable future, Bill.com does not have a P/E ratio for now. Still, it trades at a price-to-sales (P/S) ratio of over 52. In comparison, Square, a high-growth company offering a wider array of financial services, trades at a sales multiple of 10.9. While Bill.com should continue to offer value to businesses, the stock could struggle to compete with Square or other fintech stocks. Datadog Datadog monitors cloud platforms on a high-level basis. It oversees the entire data stack, including the parts that come from third-party vendors. This allows IT departments to isolate potential issues. It also prevents and minimizes downtimes, helping to provide a smoother user experience. This value proposition helped send revenue higher in the previous quarter by 87% from year-ago levels and resulted in a quarterly profit of $0.02 per diluted share for that period. The company also reported a positive free cash flow of $19.31 million. However, this story has begun to capture more investor attention. Datadog stock began trading last September. It saw little upward movement in the stock price until right after tech stocks began their recovery in March. Since that time, it has more than tripled in value. DDOG data

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

Answer: -0.0261

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0261 (i.e., on a bad day with 5% probability, the loss exceeds 2.61%). CVaR(95%) = -0.0304.


MORT: 60-day return history, mean=-0.0010, std=0.0091.

Question:
Asset: MORT
Daily returns (past 60 days): mean=-0.0010, std=0.0091, min=-0.0214, max=0.0171
Market regime: sideways

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

Answer: -0.0169

Explanation: Historical simulation VaR at 95%: sort the 60 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%) = -0.0195.