VLUE: 60-day return history, mean=0.0001, std=0.0091.

Question:
Asset: VLUE
Daily returns (past 60 days): mean=0.0001, std=0.0091, min=-0.0282, max=0.0288
Market regime: sideways
Recent filing/news:
[Kaggle 2019-07-31] ["Asian markets fall on diminished hopes of U.S.-China trade deal Nikkei, Hang Seng slump as investors await possible Fed rate cut Asian markets fell in early trading Wednesday, after President Donald Trump poured cold water over optimism for a trade deal as negotiations between the U.S. and China resumed.", "Apple heads back toward $1 trillion territory after earnings beat, optimistic forecast China revenue falls while Americas revenue ticks up Apple Inc. shares gained in late trading Tuesday after the company gave an upbeat forecast for the current quarter, putting the stock is on pace to notch a $1 trillion valuation once again.", "Apple surges toward trillion-dollar status again after an unlikely performer saves the day Wearables category extends its lead on the iPad business, which analysts say underscores success in diversification strategy Even as Apple Inc.\u2019s iPhone revenue once again disappointed, the company was able to lean on an unexpected star.", "The Dow Is Gaining as Apple and GE Get a Lift After Earnings Hope that the Federal Reserve will lower interest rates this afternoon is boosting spirits, along with strong earnings from some high-profile companies.", "Stocks open slightly higher as investors await Fed decision Stocks opened slightly higher on Wednesday, with investors focused on the outcome of a Federal Reserve policy meeting later in the session that's widely expected to produce the central bank's first rate cut in more than a decade. The Dow Jones Industrial Average rose 47 points or 0.2%, to 27,245, while the S&P 500 rose 2 points, or 0.1%, to 3,015. The Nasdaq Composite advanced 13 points, or 0.2%, to 8,287. Traders view a quarter-point rate cut as virtually assured when the Fed releases its decision at 2 p.m. Eastern, but investors will focus closely on the language in the statement and in Fed Chairman Jerome Powell's subsequent news conference for indications about the scope for further easing. Meanwhile, the Dow was lifted by shares of iPhone maker Apple Inc. , which rose 4.3% after it reported results late Tuesday that topped consensus forecasts for both earnings and revenue.", "Apple Inc., Travelers share gains lead Dow's 68-point jump", "Here\u2019s how the Fed could rattle the market instead of calm it down Critical information for the U.S. trading day All eyes on the Fed. Well, and Apple. And a raft of economic data too.", "Alphabet Should Take Note of Apple\u2019s Stock Buyback The massive Apple stock-buyback program ought to be a model for the Google parent, whose tepid share repurchases barely make a dent in its total shares outstanding.", "Apple stock price target raised to $240 from $230 at BofA Merrill Lynch", "Spotify goes back to school on student plans, Qualcomm earnings come with another legal cloud Earnings Watch: Even a raised outlook couldn\u2019t help GE\u2019s stock Spotify Technology SA has learned that students need things spelled out for them.", "15 Takeaways From Apple Earnings and Guidanc

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

Answer: -0.0137

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0137 (i.e., on a bad day with 5% probability, the loss exceeds 1.37%). CVaR(95%) = -0.0215.


MATIC-USD: 60-day return history, mean=0.0034, std=0.0857.

Question:
Asset: MATIC-USD
Daily returns (past 60 days): mean=0.0034, std=0.0857, min=-0.2144, max=0.2701
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: -0.1080

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.1080 (i.e., on a bad day with 5% probability, the loss exceeds 10.80%). CVaR(95%) = -0.1992.


XLI: 60-day return history, mean=0.0018, std=0.0143.

Question:
Asset: XLI
Daily returns (past 60 days): mean=0.0018, std=0.0143, min=-0.0336, max=0.0303
Market regime: sideways
Recent filing/news:
[Kaggle 2020-12-10] ["Adobe Guides Q1, FY21 Above Estimates - Quick Facts (RTTNews) - While reporting financial results for the fourth quarter and fiscal 2020 on Thursday, software company Adobe, Inc. (ADBE) initiated earnings and revenue guidance for the first quarter and full-year 2021. For the first quarter, the company expects earnings of about $2.19 per share and adjusted earnings about $2.78 per share on revenues about $3.75 billion. On average, analysts polled by Thomson Reuters expect the company to report earnings of $2.59 per share on revenues of $3.50 billion for the quarter. Analysts' estimates typically exclude special items. For the fiscal 2021, the company now projects earnings of about $8.57 per share and adjusted earnings about $11.20 per share on revenues about $15.15 billion. The Street is looking for earnings of $11.17 per share on revenues of $14.78 billion for the year. The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.", "Adobe Approves Repurchase Of Up To $15 Billion In Common Stock Through 2024 - Quick Facts (RTTNews) - Ahead of its virtual financial analyst meeting with investors and financial analysts on Thursday, software company Adobe, Inc. (ADBE) announced that its board of directors has approved a new stock repurchase authority, granting the company additional authority to repurchase up to $15 billion in common stock through its fiscal year 2024. The previous program authorizing the repurchase of up to $8 billion in common stock through fiscal year 2021 is expected to be exhausted in the first half of 2021. The new program is expected to be funded from Adobe's future cash flows from operations and is incorporated into the company's fiscal year 2021 financial targets. Adobe also said its total addressable market has expanded to approximately $147 billion by 2023. This is based on its proven ability to create new categories and consistently innovate across our creativity, digital documents and customer experience management businesses. The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.", "Adobe Systems Inc. Q4 adjusted earnings Beat Estimates (RTTNews) - Adobe Systems Inc. (ADBE) released earnings for its fourth quarter that advanced from the same period last year. The company's bottom line came in at $2.25 billion, or $4.64 per share. This compares with $0.85 billion, or $1.74 per share, in last year's fourth quarter. Excluding items, Adobe Systems Inc. reported adjusted earnings of $1.36 billion or $2.81 per share for the period. Analysts had expected the company to earn $2.66 per share, according to figures compiled by Thomson Reuters. Analysts' estimates typically exclude special items. The company's revenue for the quarter rose 14.4% to $3.42 billion from $2.99 billion last year. Adobe Systems Inc. earnings at a glance: -Earnings (Q4): $1.36 Bln. vs. $1.12 Bln. last yea

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: -0.0223

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0223 (i.e., on a bad day with 5% probability, the loss exceeds 2.23%). CVaR(95%) = -0.0308.


HYG: 60-day return history, mean=0.0009, std=0.0038.

Question:
Asset: HYG
Daily returns (past 60 days): mean=0.0009, std=0.0038, min=-0.0067, max=0.0085
Market regime: sideways

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

Answer: -0.0049

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0049 (i.e., on a bad day with 5% probability, the loss exceeds 0.49%). CVaR(95%) = -0.0060.


REZ: 60-day return history, mean=-0.0011, std=0.0081.

Question:
Asset: REZ
Daily returns (past 60 days): mean=-0.0011, std=0.0081, min=-0.0231, max=0.0165
Market regime: sideways

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

Answer: -0.0173

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0173 (i.e., on a bad day with 5% probability, the loss exceeds 1.73%). CVaR(95%) = -0.0197.


XRP-USD: 60-day return history, mean=0.0072, std=0.0369.

Question:
Asset: XRP-USD
Daily returns (past 60 days): mean=0.0072, std=0.0369, min=-0.0854, max=0.1328
Market regime: sideways

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

Answer: -0.0369

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0369 (i.e., on a bad day with 5% probability, the loss exceeds 3.69%). CVaR(95%) = -0.0652.


BIL: 60-day return history, mean=-0.0000, std=0.0001.

Question:
Asset: BIL
Daily returns (past 60 days): mean=-0.0000, std=0.0001, min=-0.0002, max=0.0002
Market regime: sideways

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

Answer: -0.0002

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0002 (i.e., on a bad day with 5% probability, the loss exceeds 0.02%). CVaR(95%) = -0.0002.


SOL-USD: 60-day return history, mean=-0.0099, std=0.0681.

Question:
Asset: SOL-USD
Daily returns (past 60 days): mean=-0.0099, std=0.0681, min=-0.2453, max=0.2683
Market regime: sideways
Recent filing/news:
[Kaggle 2022-11-21]

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: -0.1096

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.1096 (i.e., on a bad day with 5% probability, the loss exceeds 10.96%). CVaR(95%) = -0.1801.


LINK-USD: 60-day return history, mean=0.0120, std=0.0802.

Question:
Asset: LINK-USD
Daily returns (past 60 days): mean=0.0120, std=0.0802, min=-0.1934, max=0.1799
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: -0.1131

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.1131 (i.e., on a bad day with 5% probability, the loss exceeds 11.31%). CVaR(95%) = -0.1621.


IVV: 60-day return history, mean=0.0006, std=0.0051.

Question:
Asset: IVV
Daily returns (past 60 days): mean=0.0006, std=0.0051, min=-0.0137, max=0.0093
Market regime: sideways
Recent filing/news:
[Kaggle 2018-09-06] ["7 Lucrative Biotech Stocks With Up to 300% Upside InvestorPlace - Stock Market News, Stock Advice & Trading Tips Forget market dynamics. These biotechs are playing to their own tune. According to the Street's top analysts this can be a very lucrative path. Biotech stocks can spike massively on positive news - be it key trial results or regulatory approvals. Of course, the opposite is also true and the biotech sector can crash just as quickly on unexpected disappointments. But the key point remains: Biotechs provide an outlet away from the rest of the market to potentially make serious money. That's especially welcome in the month of September - a notoriously tricky time for the markets. Indeed, September has been the worst performing month of the year for the Dow Jones Industrial Average and the S&P 500 since 1950. Your Chance to Cash In With Legal Sports Betting With that in mind, let's now turn to these seven strong buy biotechs now. I used TipRanks to ensure two crucial points: 1) big support from the Street, especially from top-performing analysts and 2) eye-watering upside potential ahead. Now let's see how these stocks tick these two boxes: Biotech Stocks to Buy: ObsEva (OBSV) ObsEva (NASDAQ: OBSV ) is developing best-in-class drug candidates to improve women's reproductive health. The lead is Linzagolix (OBE2109), a potentially best-in-class orally-dosed GnRH antagonist to treat symptoms of endometriosis (Ph2b) and uterine fibroids (Ph3). Top HC Wainwright analyst Ram Selvaraju ( Profile & Recommendations ) is very bullish on the stock's potential. He has just reiterated his \"buy\" rating with a $44 price target. From current levels that indicates massive upside potential of 237%! He notes that just-released data from AbbVie Inc (NYSE: ABBV ) reduces the risk for OBSV's Linzagolix. \"In our view, the long-term efficacy for elagolix should bode well for future development of linzagolix in uterine fibroids, since both drugs are GnRH receptor antagonists and have shown comparable potency in clinical studies.\" However, one of the key advantages for Linzagolix is the potential to be administered in certain patients without needing add-back therapy (ABT). This is the addition of a small amount of the hormones estrogen and/or progesterone to reduce undesirable effects of GnRH. Overall, six analysts have published back-to-back buy ratings on OBSV stock. This is with a $32 price target (147% upside potential). See what other Top Analysts are saying about OBSV . Biotech Stocks to Buy: Tocagen Inc (TOCA) This cutting-edge biotech stock is at the forefront of cancer therapy. Tocagen Inc (NASDAQ: TOCA ) is developing an RRV platform that can selectively deliver therapeutic genes into the DNA of cancer cells. Right now, all eyes are on Toca 511 and Toca FC. These drugs are in pivotal Phase 3 trials for recurrent high-grade gliomas (HGGs), with data due in 1H19. These are extremely difficult to treat cancers. \"Given the robustness of overall dataset

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

Answer: -0.0075

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0075 (i.e., on a bad day with 5% probability, the loss exceeds 0.75%). CVaR(95%) = -0.0101.


ADA-USD: 60-day return history, mean=0.0008, std=0.0396.

Question:
Asset: ADA-USD
Daily returns (past 60 days): mean=0.0008, std=0.0396, min=-0.1203, max=0.1010
Market regime: sideways
Recent filing/news:
[Kaggle 2022-09-01]

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: -0.0605

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%) = -0.0889.


^VIX: 60-day return history, mean=0.0131, std=0.1145.

Question:
Asset: ^VIX
Daily returns (past 60 days): mean=0.0131, std=0.1145, min=-0.1825, max=0.2508
Market regime: sideways
Recent filing/news:
[Kaggle 2020-04-16] ["Software Rises Above Semiconductors And Hardware As Tech Heads Into Earnings Season", "'Apple's only retail store in South Korea reopening April 18' -9to5Mac", "Morgan Stanley Misses On EPS, But Shows Strong Trading Results For Q1 As Banks Wrap Up", "Deutsche Bank Maintains Buy on Apple, Raises Price Target to $285", "Apple shares are trading higher after Deutsche Bank maintained its Buy rating on the stock and raised its price target from $270 to $285 per share.", "Comcast's Peacock Takes Well-Timed Flight", "Apple's Tim Cook Tells Staff Mgmt. Is Unclear When Employees Will Be Able To Return To Offices, Says Offices Will Likely Have Temperature Checks, Social Distancing Efforts", "S&P 500 Futures Up 3.2% After Hours; Many Other Stocks Moving Higher With Futures; Investors Reacting Favorably To White Phase Guidelines On Reopening Economy", "Big Stocks Moving After Hours As Market Cheers Gilead, 'Reopening' Updates", "Big Stocks Moving After Hours As Market Cheers Gilead, 'Reopening' Updates", "S&P 500 Futures Up 3.2% After Hours; Many Other Stocks Moving Higher With Futures; Investors Reacting Favorably To White Phase Guidelines On Reopening Economy", "Apple's Tim Cook Tells Staff Mgmt. Is Unclear When Employees Will Be Able To Return To Offices, Says Offices Will Likely Have Temperature Checks, Social Distancing Efforts", "Comcast's Peacock Takes Well-Timed Flight", "Apple shares are trading higher after Deutsche Bank maintained its Buy rating on the stock and raised its price target from $270 to $285 per share.", "Deutsche Bank Maintains Buy on Apple, Raises Price Target to $285", "Morgan Stanley Misses On EPS, But Shows Strong Trading Results For Q1 As Banks Wrap Up", "'Apple's only retail store in South Korea reopening April 18' -9to5Mac", "Big Stocks Moving After Hours As Market Cheers Gilead, 'Reopening' Updates", "S&P 500 Futures Up 3.2% After Hours; Many Other Stocks Moving Higher With Futures; Investors Reacting Favorably To White Phase Guidelines On Reopening Economy", "Apple's Tim Cook Tells Staff Mgmt. Is Unclear When Employees Will Be Able To Return To Offices, Says Offices Will Likely Have Temperature Checks, Social Distancing Efforts", "Comcast's Peacock Takes Well-Timed Flight", "Apple shares are trading higher after Deutsche Bank maintained its Buy rating on the stock and raised its price target from $270 to $285 per share.", "Deutsche Bank Maintains Buy on Apple, Raises Price Target to $285", "Morgan Stanley Misses On EPS, But Shows Strong Trading Results For Q1 As Banks Wrap Up", "'Apple's only retail store in South Korea reopening April 18' -9to5Mac", "Apple stock price target raised to $285 from $270 at Deutsche Bank", "Apple is working on high-end over-the-ear headphones: report Apple Inc. has seen considerable success with its AirPods earphones and now the company is looking to make high-end over-the-ear wireless headphones to add to its product lineup, according to a Bloomberg report Thursday. The story, which cites mult

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

Answer: -0.1406

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.1406 (i.e., on a bad day with 5% probability, the loss exceeds 14.06%). CVaR(95%) = -0.1686.


ICSH: 60-day return history, mean=0.0000, std=0.0001.

Question:
Asset: ICSH
Daily returns (past 60 days): mean=0.0000, std=0.0001, min=-0.0003, max=0.0004
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: -0.0002


EFA: 60-day return history, mean=-0.0025, std=0.0139.

Question:
Asset: EFA
Daily returns (past 60 days): mean=-0.0025, std=0.0139, min=-0.0289, max=0.0259
Market regime: sideways
Recent filing/news:
[Kaggle 2022-06-30] ["Apple Allows App Developers To Use 3rd-party Payment Systems In South Korea (RTTNews) - Tech giant Apple Inc. (AAPL) on Thursday announced that it will allow developers in South Korea to use a third-party payment system. \"To comply with the new South Korean law, developers can use the StoreKit External Purchase Entitlement,\" the company said in a developer update. \"This entitlement allows apps distributed on the App Store solely in South Korea the ability to provide an alternative in-app payment processing option\". Last year, the South Korean National Assembly passed a bill that restricted tech giants like Google (GOOG) and Apple from forcing developers to make use of only their in-app billing systems, while developing applications for their flagship app stores. Meanwhile, the new provision from Apple comes with few riders, as few features like Ask to Buy and Family Sharing will not be available. \"If you're considering using this entitlement, it's important to understand that some App Store features, such as Ask to Buy and Family Sharing, will not be available to your users, in part because we cannot validate payments that take place outside of the App Store's private and secure payment system,\" the company said. The benefit to qualifying developers is that instead of paying Apple 30% of every transaction, Apple will now only charge 26%. \"Apple will charge a 26% commission on the price paid by the user, gross of any value-added taxes,\" says the further detailed developer documentation. \"This is a reduced rate that excludes value related to payment processing and related activities.\" Developers will have to report all sales monthly. \"Please note that Apple has audit rights pursuant to the entitlement's terms and conditions,\" says Apple's documentation. \"Failure to pay Apple's commission could result in the offset of proceeds owed to you in other markets,\" it continues, \"removal of your app from the App Store or removal from the Apple Developer program.\" The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.", "After Hours Most Active for Jun 30, 2022 : MU, TAL, AAPL, IUSV, MRK, QQQ, EQT, AMZN, GSK, MSFT, WFC, ZYME The NASDAQ 100 After Hours Indicator is down -8.1 to 11,495.62. The total After hours volume is currently 96,787,908 shares traded. The following are the most active stocks for the after hours session: Micron Technology, Inc. (MU) is -1.51 at $53.77, with 4,341,269 shares traded. Smarter Analyst Reports: Micron to Unveil Memory Design Center in Atlanta TAL Education Group (TAL) is unchanged at $4.87, with 4,100,757 shares traded. TAL's current last sale is 90.19% of the target price of $5.4. Apple Inc. (AAPL) is +0.06 at $136.78, with 4,048,733 shares traded. As reported by Zacks, the current mean recommendation for AAPL is in the \"buy range\". iShares Core S&P U.S. Value ETF (IUSV) is -0.0259 at $66.85, with 3,840,000 shares traded. This re

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

Answer: -0.0284

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0284 (i.e., on a bad day with 5% probability, the loss exceeds 2.84%). CVaR(95%) = -0.0289.


LINK-USD: 60-day return history, mean=0.0003, std=0.1065.

Question:
Asset: LINK-USD
Daily returns (past 60 days): mean=0.0003, std=0.1065, min=-0.1934, max=0.1799
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: -0.1610

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.1610 (i.e., on a bad day with 5% probability, the loss exceeds 16.10%). CVaR(95%) = -0.1830.


^VIX: 60-day return history, mean=-0.0053, std=0.0736.

Question:
Asset: ^VIX
Daily returns (past 60 days): mean=-0.0053, std=0.0736, min=-0.1825, max=0.2508
Market regime: sideways
Recent filing/news:
[Kaggle 2021-01-29] Dolby Laboratories Stock Could Drop To $75 Dolby Laboratories stock (NYSE: DLB) is up around 35% since the beginning of 2020, and at the current price around $90 per share, we believe that Dolby Laboratories stock has over 15% potential downside. Why is that? Our belief stems from the fact that DLB stock is up 2x its low in March this year, while the S&P has moved a little over 70% in comparison. Further, after posting weak Q4 2020 numbers, and with demand struggling to rise to pre-Covid levels, we believe Dolby stock could slide lower. Our dashboard What Factors Drove 51% Change In Dolby Laboratories Stock Between 2018 And Now? provides the key numbers behind our thinking, and we explain more below. Dolby Laboratories specializes in audio noise reduction and audio encoding/compression software and hardware, licensing its technology to sound system manufacturers. Dolby’s price rise since 2018 came due to a 13% rise in revenue per share (RPS), driven by a 10% rise in revenue combined with a 3% drop in the outstanding share count. Further, DLB’s P/S (price-to-sales) ratio shrank from 6.1x in 2018 to 5.6x in 2019, but has since jumped to 8.1x, riding the rally in technology stocks. We believe that given Dolby’s weak Q4 ’20 performance, there is a possible downside risk for the P/S multiple. So what’s the likely trigger and timing to this downside? The global spread of coronavirus and the resulting lockdowns have led to a drop in demand for medium to large scale sound systems, as theaters have remained closed and large-scale events are not as frequent, due to the pandemic. This has led to a drop in demand for Dolby’s products, which is evident from their Q4 2020 results, where revenue came in at $1.16 billion vs $1.24 billion in 2019. Products and services revenue dropped almost 40% from $134 million to $83 million over this period. Further, as operating expenses didn’t drop at the same rate as revenue, operating margins fell to 18.8% in FY’20 vs 20.7% in FY ’19. Despite a lower effective tax rate, EPS came in lower at $2.30 vs $2.51 in 2019. Going forward, we expect revenues to stay weak in the near to medium term, and if the company is not able to control expenses, we believe the stock will see its P/S multiple decline from the current level of 8.1x to around 7x, which combined with a reduction in revenues and margins could result in the stock price shrinking to as low as $75, a downside of more than 15% from the current price near $90. may have moved, 2020 has created many pricing discontinuities which can offer attractive trading opportunities. For example, you'll be surprised how counter-intuitive the stock valuation is for Intel vs Cisco. \n\nBased on article theme, variations to \"While may have moved\" can be (a) While may be overvalued (or undervalued) (b) While can move (c) Although may not be attractive (d) While is worth considering"}" data-sheets-userformat="{"2":1049345,"3":{"1":0},"11":4,"12":0,"23":1}" data-sheets-textstyleruns="{"1":

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

Answer: -0.1043

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.1043 (i.e., on a bad day with 5% probability, the loss exceeds 10.43%). CVaR(95%) = -0.1596.


MTUM: 60-day return history, mean=-0.0025, std=0.0136.

Question:
Asset: MTUM
Daily returns (past 60 days): mean=-0.0025, std=0.0136, min=-0.0341, max=0.0314
Market regime: sideways
Recent filing/news:
[Kaggle 2022-01-24] ["Buy Smart With Software Stocks on the Dip InvestorPlace - Stock Market News, Stock Advice & Trading Tips Technology stocks are getting crushed right now, and software stocks in particular are bearing the brunt of the selling. Year-to-date, the tech-heavy Nasdaq is off 12% \u2014 marking its fourth worst start to a year ever. Worse yet, the Invesco Dynamic Software ETF (NYSEARCA:PSJ) is down nearly 18% in just three weeks. Source: Shutterstock Ouch! But as the old saying goes, it\u2019s often best to be greedy when others are fearful. This time around, that saying is especially true because the stocks getting hit the hardest \u2014 software stocks \u2014 are the market\u2019s best. Technology is taking over the world. You know that. I know that. We all know that. New tech products and services are redefining every aspect of our personal and professional lives. This trend won\u2019t stop anytime soon. By 2030, the world will be run by tech. And these days, most of that tech is software \u2014 not hardware. That\u2019s because from a single piece of hardware, like a phone or computer, you can access an infinite number of software applications. Big picture: Software will inevitably run the world one day. That\u2019s just a fact. And consequently, software stocks will be the market\u2019s biggest winners. So\u2026 when faced with a short-term pullback in a group of long-term winners \u2014 like we\u2019re seeing today in software stocks \u2014 the best thing to do is buy the dip. But be careful \u2014 because while some software stocks look like they\u2019ve bottomed and are ready to rocket higher, the ones you\u2019re probably thinking about buying have further yet to fall. Avoid Overvaluation The biggest software growth stocks in the market \u2014 household companies making software that you and I use every day, with businesses growing at 10%-plus every year and gross margins above 60% \u2014 are still overvalued. I\u2019m talking Microsoft (NASDAQ:MSFT), Adobe (NASDAQ:ADBE), Intuit (NASDAQ:INTU), Autodesk (NASDAQ:ADSK), Fortinet (NASDAQ:FTNT), Illumina (NASDAQ:ILMN) and more. I\u2019ve put together an index of the 10 most important software growth stocks in the market and tracked their price-to-sales multiples over the past five years. Before the pandemic \u2014 before interest rates got cut to zero, before Treasury yields plunged and before enormous globs of fiscal stimulus hit the economy \u2014 these stocks were trading around 10 to 12 times trailing sales. That should be considered a \u201cnormal\u201d valuation for high-margin software growth stocks. During the pandemic, though, those multiples ballooned to record highs. Now, even after the recent tech meltdown, the \u201cBig Software 10\u201d (as I like to call them) are still trading at 16 times trailing sales \u2014 a huge premium to their valuations prior to the pandemic. Source: InvestorPlace In other words, those stocks still have a lot of room to fall if the Fed does hike interest rat

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: -0.0256

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0256 (i.e., on a bad day with 5% probability, the loss exceeds 2.56%). CVaR(95%) = -0.0296.


ETH-USD: 60-day return history, mean=0.0003, std=0.0464.

Question:
Asset: ETH-USD
Daily returns (past 60 days): mean=0.0003, std=0.0464, min=-0.1365, max=0.0965
Market regime: sideways

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

Answer: -0.0776

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


LINK-USD: 60-day return history, mean=-0.0030, std=0.0466.

Question:
Asset: LINK-USD
Daily returns (past 60 days): mean=-0.0030, std=0.0466, min=-0.1040, max=0.1071
Market regime: sideways
Recent filing/news:
[Kaggle 2022-04-11]

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: -0.0794

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0794 (i.e., on a bad day with 5% probability, the loss exceeds 7.94%). CVaR(95%) = -0.0925.


BNB-USD: 60-day return history, mean=0.0022, std=0.0472.

Question:
Asset: BNB-USD
Daily returns (past 60 days): mean=0.0022, std=0.0472, min=-0.1581, max=0.1050
Market regime: sideways
Recent filing/news:
[Kaggle 2021-10-29]

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: -0.0614

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0614 (i.e., on a bad day with 5% probability, the loss exceeds 6.14%). CVaR(95%) = -0.1154.


XLP: 60-day return history, mean=0.0003, std=0.0092.

Question:
Asset: XLP
Daily returns (past 60 days): mean=0.0003, std=0.0092, min=-0.0250, max=0.0211
Market regime: sideways
Recent filing/news:
[Kaggle 2022-04-08] ["Top Stock Reports for Costco, AstraZeneca & Medtronic Friday, April 8, 2022 The Zacks Research Daily presents the best research output of our analyst team. Today's Research Daily features new research reports on 16 major stocks, including Costco Wholesale Corporation (COST), AstraZeneca PLC (AZN), and Medtronic plc (MDT). These research reports have been hand-picked from the roughly 70 reports published by our analyst team today. You can see all of today\u2019s research reports here >>> Shares of Costco have outperformed the Zacks Retail - Discount Stores industry over the past year (+69.5% vs. +23.7%), reflecting the company's growth strategies, better price management, decent membership trend, and increasing penetration of e-commerce business. The strategy to sell products at discounted prices has helped draw customers seeking both value and convenience. These factors have been aiding in registering impressive sales and earnings numbers. Costco put up a decent performance in second-quarter fiscal 2022, wherein both the top and the bottom lines improved year over year. Also, Costco has been witnessing stellar comps sales run. While the aforementioned factors raise optimism. However, supply chain bottlenecks and higher labor and freight costs remain concerns. Any deleverage in SG&A rate may hurt margins. (You can read the full research report on Costco here >>>) Shares of AstraZeneca have outperformed the Zacks Large Cap Pharmaceuticals industry over the past year (+47% vs. +38.5%). The Zacks analyst believes that the company\u2019s newer drugs, mainly cancer medicines, Lynparza, Tagrisso and Imfinzi should keep driving revenues. Its pipeline is strong with several phase III data readouts lined up. AstraZeneca has also engaged in external acquisitions and strategic collaborations to boost its pipeline while investing in geographic areas of high growth like emerging markets. Cost-cutting efforts should drive earnings. The Alexion buyout strengthens its immunology franchise, adding several drugs that can boost its top line. However, AstraZeneca\u2019s diabetes franchise faces stiff competition while pricing pressure is hurting sales in the respiratory unit. Sales of some medicines are being hurt due to COVID-19. Sales are slowing down in key markets, China, due to pricing pressure. (You can read the full research report on AstraZeneca here >>>) Shares of Medtronic have outperformed the Zacks Medical - Products industry over the year-to-date period (+9.3% vs. -7.3%). Medtronic has registered organic growth in the Cardiovascular, Neuroscience and Diabetes segments. The company claims share gains in 60% of its businesses. However, the sluggish top-line results reflect the unfavorable market impact of COVID-19 and health system labor shortages. CRDN sales decreased in the mid-single digits, given the impact of COVID-19 on PCI procedures. Also, there have been low double-digit organic declines in RGR with sales of ventilators declining in the high-fif

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: -0.0147

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0147 (i.e., on a bad day with 5% probability, the loss exceeds 1.47%). CVaR(95%) = -0.0203.


ETH-USD: 60-day return history, mean=0.0087, std=0.0479.

Question:
Asset: ETH-USD
Daily returns (past 60 days): mean=0.0087, std=0.0479, min=-0.1365, max=0.1147
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: -0.0662

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0662 (i.e., on a bad day with 5% probability, the loss exceeds 6.62%). CVaR(95%) = -0.1125.


QQQ: 60-day return history, mean=-0.0026, std=0.0212.

Question:
Asset: QQQ
Daily returns (past 60 days): mean=-0.0026, std=0.0212, min=-0.0399, max=0.0340
Market regime: sideways
Recent filing/news:
[Kaggle 2022-05-06] ["The Technology Select Sector SPDR Fund Experiences Big Inflow Looking today at week-over-week shares outstanding changes among the universe of ETFs covered at ETF Channel, one standout is the The Technology Select Sector SPDR Fund (Symbol: XLK) where we have detected an approximate $248.0 million dollar inflow -- that's a 0.6% increase week over week in outstanding units (from 300,610,000 to 302,360,000). Among the largest underlying components of XLK, in trading today Visa Inc (Symbol: V) is off about 1.5%, Mastercard Inc (Symbol: MA) is down about 2.6%, and Adobe Inc (Symbol: ADBE) is lower by about 2.2%. For a complete list of holdings, visit the XLK Holdings page \u00bb The chart below shows the one year price performance of XLK, versus its 200 day moving average: Looking at the chart above, XLK's low point in its 52 week range is $130.958 per share, with $177.04 as the 52 week high point \u2014 that compares with a last trade of $140.65. Comparing the most recent share price to the 200 day moving average can also be a useful technical analysis technique -- learn more about the 200 day moving average \u00bb. Exchange traded funds (ETFs) trade just like stocks, but instead of ''shares'' investors are actually buying and selling ''units''. These ''units'' can be traded back and forth just like stocks, but can also be created or destroyed to accommodate investor demand. Each week we monitor the week-over-week change in shares outstanding data, to keep a lookout for those ETFs experiencing notable inflows (many new units created) or outflows (many old units destroyed). Creation of new units will mean the underlying holdings of the ETF need to be purchased, while destruction of units involves selling underlying holdings, so large flows can also impact the individual components held within ETFs. Click here to find out which 9 other ETFs had notable inflows \u00bb The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.", "Shopify Stock: Bull vs. Bear My fellow Texans know that Cinco de Mayo is one of the best holidays of the year. And for many of my neighbors, it's as important as July 4th. Filled with dancing, laughter, and history -- raising a Topo Chico mineral water in the heat of May is a nice reprieve from the scorching Texas sun. However, a much more serious event was hosted by our neighbors to the north on May 5. It was on that day when Ottawa-based Shopify (NYSE: SHOP) reported its first-quarter earnings. Shares were down nearly 20% in reaction the report, setting a bearish tone for the year as the young company weans off its pandemic-induced growth spurt and dives into the abyss of rising interest rates and a potential recession. Here's a breakdown that will give you a glimpse into the bull case and bear case for Shopify so you can better understand what's pressuring the stock right now. Image source: Getty Images. The bear case Shopify is a battleground stock

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: -0.0376

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0376 (i.e., on a bad day with 5% probability, the loss exceeds 3.76%). CVaR(95%) = -0.0394.


^VIX: 59-day return history, mean=-0.0070, std=0.0768.

Question:
Asset: ^VIX
Daily returns (past 59 days): mean=-0.0070, std=0.0768, min=-0.1743, max=0.2323
Market regime: sideways
Recent filing/news:
[Kaggle 2019-02-19] After Hours Most Active for Feb 19, 2019 : SIRI, PFE, CHK, MO, VER, FDC, ZAYO, WBA, PYPL, AGNC, ADBE, SHY The NASDAQ 100 After Hours Indicator is up 1.03 to 7,067.64. The total After hours volume is currently 51,827,821 shares traded. The following are the most active stocks for the after hours session : Sirius XM Holdings Inc. ( SIRI ) is unchanged at $6.00, with 3,769,562 shares traded. As reported in the last short interest update the days to cover for SIRI is 8.93504; this calculation is based on the average trading volume of the stock. Pfizer, Inc. ( PFE ) is -0.2 at $42.40, with 2,262,941 shares traded. PFE's current last sale is 94.22% of the target price of $45. Chesapeake Energy Corporation ( CHK ) is unchanged at $2.68, with 1,818,617 shares traded. Over the last four weeks they have had 5 up revisions for the earnings forecast, for the fiscal quarter ending Dec 2018. The consensus EPS forecast is $0.17. CHK's current last sale is 89.33% of the target price of $3. Altria Group ( MO ) is +0.13 at $49.12, with 1,447,860 shares traded. Over the last four weeks they have had 3 up revisions for the earnings forecast, for the fiscal quarter ending Jun 2019. The consensus EPS forecast is $1.07. MO's current last sale is 83.97% of the target price of $58.5. VEREIT Inc. ( VER ) is unchanged at $8.26, with 1,314,873 shares traded.VER is scheduled to provide an earnings report on 2/21/2019, for the fiscal quarter ending Dec2018. The consensus earnings per share forecast is 0.17 per share, which represents a 18 percent increase over the EPS one Year Ago First Data Corporation ( FDC ) is +0.03 at $25.53, with 1,273,073 shares traded. Over the last four weeks they have had 3 up revisions for the earnings forecast, for the fiscal quarter ending Mar 2019. The consensus EPS forecast is $0.27. FDC's current last sale is 102.12% of the target price of $25. Zayo Group Holdings, Inc. ( ZAYO ) is +0.1198 at $25.57, with 1,218,521 shares traded. Over the last four weeks they have had 3 up revisions for the earnings forecast, for the fiscal quarter ending Mar 2019. The consensus EPS forecast is $0.18. As reported by Zacks, the current mean recommendation for ZAYO is in the "buy range". Walgreens Boots Alliance, Inc. ( WBA ) is +0.4 at $74.83, with 991,822 shares traded. WBA's current last sale is 99.77% of the target price of $75. PayPal Holdings, Inc. ( PYPL ) is -0.02 at $95.00, with 877,652 shares traded. As reported by Zacks, the current mean recommendation for PYPL is in the "buy range". AGNC Investment Corp. ( AGNC ) is +0.01 at $17.70, with 813,667 shares traded. AGNC's current last sale is 98.33% of the target price of $18. Adobe Inc. ( ADBE ) is -0.0077 at $257.80, with 795,058 shares traded. As reported by Zacks, the current mean recommendation for ADBE is in the "buy range". iShares 1-3 Year Treasury Bond ETF ( SHY ) is unchanged at $83.74, with 792,213 shares traded. This represents a 1.1% increase from its 52 Week Low. The views and opinions expre

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

Answer: -0.1108

Explanation: Historical simulation VaR at 95%: sort the 59 daily returns and take the 5th percentile. VaR(95%) = -0.1108 (i.e., on a bad day with 5% probability, the loss exceeds 11.08%). CVaR(95%) = -0.1583.


MTUM: 60-day return history, mean=0.0007, std=0.0162.

Question:
Asset: MTUM
Daily returns (past 60 days): mean=0.0007, std=0.0162, min=-0.0383, max=0.0314
Market regime: sideways
Recent filing/news:
[Kaggle 2020-11-12] ["Better Buy: Slack vs. Adobe Slack (NYSE: WORK) and Adobe (NASDAQ: ADBE) are both forward-thinking companies that are changing how people work. Slack's enterprise communication platform reduced the need for clumsy email chains and time-consuming phone calls. It also recently expanded its platform with Slack Connect, which allows companies to communicate and collaborate securely with external partners. Adobe transformed its desktop software into cloud-based services that locked in customers with subscriptions and eliminated the need for local software installations and periodic upgrades. Adobe also expanded its cloud ecosystem with additional services for enterprise customers. Slack went public via a direct listing in June 2019. But after a few wild swings, its stock is still hovering near its initial reference price of $26. Meanwhile, Adobe's stock has surged nearly 60% just since Slack's public debut. Let's see why Adobe outperformed Slack, and if it will remain the faster-growing stock for the foreseeable future. Image source: Getty Images. Slack: A first mover with a shrinking moat Slack operates a \"freemium\" business model. Paying businesses gain unlimited messages and integrated tools, better security, more cloud storage, automation services for repetitive tasks, and other services. Slack was founded seven years ago, and it enjoys a first mover's advantage in its disruptive niche. However, Microsoft's (NASDAQ: MSFT) Teams, which was launched in 2017, copied many of Slack's features and was subsequently bundled into Office 365 subscriptions as a free service. In response, Slack filed an antitrust complaint against Microsoft in Europe earlier this year, alleging the tech giant was \"force installing\" a \"weak, copycat product\" onto \"millions\" of users. Slack continued to grow as Microsoft expanded Teams, but that competitive threat cast a long shadow over the underdog's future. Adobe: An evolving tech giant with an expanding ecosystem Adobe splits its business into two main divisions: the Digital Media unit, which provides its creativity and productivity software as cloud-based services; and the Digital Experience unit, which hosts its enterprise tools. The Digital Media unit's Creative Cloud hosts industry-standard software like Adobe Photoshop, Premiere Pro, Illustrator, After Effects, and Acrobat. Most of these software products dominate their respective markets. The Digital Experience unit, which hosts cloud-based advertising, analytics, advertising, and e-commerce tools, faces much tougher competition. salesforce.com (NYSE: CRM) competes against most of Adobe's enterprise-oriented services, while Shopify competes against Adobe's Magento e-commerce services. Which company is growing faster? Slack's revenue grew 57% year over year to $630 million in fiscal 2020, which ended on Jan. 30. Its GAAP net loss widened from $141 million to $571 million last year, but its non-GAAP net loss narrowed slightly from $116 million to $113 million.

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: -0.0297

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0297 (i.e., on a bad day with 5% probability, the loss exceeds 2.97%). CVaR(95%) = -0.0369.


UNG: 60-day return history, mean=0.0004, std=0.0155.

Question:
Asset: UNG
Daily returns (past 60 days): mean=0.0004, std=0.0155, min=-0.0394, max=0.0356
Market regime: sideways

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

Answer: -0.0273

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0273 (i.e., on a bad day with 5% probability, the loss exceeds 2.73%). CVaR(95%) = -0.0326.


BTC-USD: 60-day return history, mean=0.0070, std=0.0353.

Question:
Asset: BTC-USD
Daily returns (past 60 days): mean=0.0070, std=0.0353, min=-0.1142, 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: -0.0432

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0432 (i.e., on a bad day with 5% probability, the loss exceeds 4.32%). CVaR(95%) = -0.0840.


BTC-USD: 60-day return history, mean=0.0077, std=0.0480.

Question:
Asset: BTC-USD
Daily returns (past 60 days): mean=0.0077, std=0.0480, 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: -0.0653

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0653 (i.e., on a bad day with 5% probability, the loss exceeds 6.53%). CVaR(95%) = -0.0964.


BTC-USD: 60-day return history, mean=0.0084, std=0.0353.

Question:
Asset: BTC-USD
Daily returns (past 60 days): mean=0.0084, std=0.0353, min=-0.0873, 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: -0.0455

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0455 (i.e., on a bad day with 5% probability, the loss exceeds 4.55%). CVaR(95%) = -0.0645.


BTC-USD: 60-day return history, mean=0.0014, std=0.0294.

Question:
Asset: BTC-USD
Daily returns (past 60 days): mean=0.0014, std=0.0294, min=-0.0873, max=0.0746
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: -0.0468

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0468 (i.e., on a bad day with 5% probability, the loss exceeds 4.68%). CVaR(95%) = -0.0685.


ACWI: 60-day return history, mean=-0.0009, std=0.0127.

Question:
Asset: ACWI
Daily returns (past 60 days): mean=-0.0009, std=0.0127, min=-0.0284, max=0.0250
Market regime: sideways
Recent filing/news:
[Kaggle 2019-01-11] ["Friday's ETF with Unusual Volume: SIZE The iShares Edge MSCI USA Size Factor ETF is seeing unusually high volume in afternoon trading Friday, with over 314,000 shares traded versus three month average volume of about 32,000. Shares of SIZE were down about 0.2% on the day. Components of that ETF with the highest volume on Friday were General Electric, trading off about 0.1% with over 39.2 million shares changing hands so far this session, and Advanced Micro Devices, up about 0.5% on volume of over 37.5 million shares. General Motors is the component faring the best Friday, higher by about 8.3% on the day, while Vail Resorts is lagging other components of the iShares Edge MSCI USA Size Factor ETF, trading lower by about 13%. VIDEO: Friday's ETF with Unusual Volume: SIZE The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc. The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.", "Noteworthy ETF Inflows: SOXX, NVDA, AMD, XLNX Looking today at week-over-week shares outstanding changes among the universe of ETFs covered at ETF Channel , one standout is the iShares PHLX Semiconductor ETF (Symbol: SOXX) where we have detected an approximate $88.9 million dollar inflow -- that's a 8.2% increase week over week in outstanding units (from 6,700,000 to 7,250,000). Among the largest underlying components of SOXX, in trading today NVIDIA Corp (Symbol: NVDA) is off about 0.6%, Advanced Micro Devices Inc (Symbol: AMD) is off about 0.6%, and Xilinx, Inc. (Symbol: XLNX) is lower by about 0.3%. For a complete list of holdings, visit the SOXX Holdings page \u00bb The chart below shows the one year price performance of SOXX, versus its 200 day moving average: Looking at the chart above, SOXX's low point in its 52 week range is $144.79 per share, with $198.84 as the 52 week high point - that compares with a last trade of $163.35. Comparing the most recent share price to the 200 day moving average can also be a useful technical analysis technique -- learn more about the 200 day moving average \u00bb . Exchange traded funds (ETFs) trade just like stocks, but instead of ''shares'' investors are actually buying and selling ''units''. These ''units'' can be traded back and forth just like stocks, but can also be created or destroyed to accommodate investor demand. Each week we monitor the week-over-week change in shares outstanding data, to keep a lookout for those ETFs experiencing notable inflows (many new units created) or outflows (many old units destroyed). Creation of new units will mean the underlying holdings of the ETF need to be purchased, while destruction of units involves selling underlying holdings, so large flows can also impact the individual components held within ETFs. Click here to find out which 9 other ETFs had notable inflows \u00bb The views and opinions expressed herein are the views and opi

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for ACWI. 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%) = -0.0253.


USO: 60-day return history, mean=0.0026, std=0.0193.

Question:
Asset: USO
Daily returns (past 60 days): mean=0.0026, std=0.0193, min=-0.0498, max=0.0557
Market regime: sideways

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

Answer: -0.0270

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0270 (i.e., on a bad day with 5% probability, the loss exceeds 2.70%). CVaR(95%) = -0.0367.


MTUM: 60-day return history, mean=-0.0012, std=0.0129.

Question:
Asset: MTUM
Daily returns (past 60 days): mean=-0.0012, std=0.0129, min=-0.0313, max=0.0217
Market regime: sideways
Recent filing/news:
[Kaggle 2016-02-19] ["IDACORP (IDA) Misses on Q4 Earnings, Gives '16 Guidance IDACORP, Inc.IDA recorded operating earnings of 63 cents per share in the fourth quarter of 20Array5, lagging the Zacks Consensus Estimate of 64 cents by Array.56%. Quarterly earnings were down 8.7% year over year. Full-year 20Array5 operating earnings per share came in at $3.87, beating the Zacks Consensus Estimate of $3.86 and increasing from the year-ago figure of $3.85. Idacorp Inc. - Earnings Surprise | FindTheBest Total Revenue Quarterly revenues came in at $285.4 million, 22.7% lower than the year-ago level. IDACORP's 20Array5 revenues of $Array,270.3 million lagged year-ago revenues and the Zacks Consensus Estimate of $Array,282.5 million and $Array,286 million, respectively. Quarterly Highlights Total operating expenses decreased 3.9% year over year to $988.2 million in 20Array5. Costs shrunk primarily due to lower purchased power and fuel expenses compared with the prior year. Operating income increased ArrayArray.2% year over year to $282.Array million in 20Array5. Interest expenses increased 2.6% year over year to $8Array.9 million in 20Array5. Financial Update Cash & cash equivalents as of Dec 3Array, 20Array5, were $ArrayArray4.8 million compared with $56.8 million as of Dec 3Array, 20Array4. Long-term debt as of Dec 3Array, 20Array5, was $Array.73 billion compared with $Array.59 billion as of Dec 3Array, 20Array4. Cash from operating activities in 20Array5 was $353.2 million compared with $364.3 million in the year-ago period. 20Array6 Guidance IDACORP provided 20Array6 earnings guidance in the range of $3.80 to $3.95 per diluted share. The company also stated that its operating and maintenance expense guidance for 20Array6 is in the range of $350 million to $360 million. Other Utility Releases DTE Energy Company DTE reported fourth-quarter 20Array5 operating earnings per share of $Array.0Array, surpassing the Zacks Consensus Estimate of 97 cents by 4.Array%. NextEra Energy NEE announced fourth-quarter 20Array5 adjusted earnings of $Array.Array7 per share, lagging the Zacks Consensus Estimate of $Array.ArrayArray by 5.4%. American Electric Power Co., Inc. AEP reported fourth-quarter 20Array5 operating earnings of 48 cents per share, missing the Zacks Consensus Estimate of 50 cents by 4%. Zacks Rank IDACORP Corp. currently carries a Zacks Rank #2 (Buy). Want the latest recommendations from Zacks Investment Research? Today, you can download 7 Best Stocks for the Next 30 Days.Click to get this free report >> Want the latest recommendations from Zacks Investment Research? Today, you can download 7 Best Stocks for the Next 30 Days. Click to get this free report AMER ELEC PWR (AEP): Free Stock Analysis Report NEXTERA ENERGY (NEE): Free Stock Analysis Report DTE ENERGY CO (DTE): Free Stock Analysis Report IDACORP INC (IDA): Free Stock Analysis Report To read this article on Zacks.com click here. Zacks Investment Research The views and opinions expressed herein are the views and opi

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: -0.0226

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%) = -0.0283.


LINK-USD: 60-day return history, mean=0.0120, std=0.0480.

Question:
Asset: LINK-USD
Daily returns (past 60 days): mean=0.0120, std=0.0480, min=-0.1137, max=0.1653
Market regime: sideways

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

Answer: -0.0507

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0507 (i.e., on a bad day with 5% probability, the loss exceeds 5.07%). CVaR(95%) = -0.0796.


VEA: 60-day return history, mean=0.0004, std=0.0092.

Question:
Asset: VEA
Daily returns (past 60 days): mean=0.0004, std=0.0092, min=-0.0195, max=0.0201
Market regime: sideways
Recent filing/news:
[Kaggle 2015-12-21] ["Ericsson shares up 6% after settling patent litigation with Apple", "Ericsson jumps 7% after settling mobile patent dispute with Apple Shares in L.M. Ericsson Telefon AB climbed 7% on Monday in Stockholm after the Swedish maker of telecom equipment said it had settled litigation with Apple Inc. , which has agreed to pay royalties for use of Ericsson's mobile technology patents. The two have signed a global patent license agreement that resolves \"all pendingpatent-infringement litigation between the companies\" and covers \"patents relating to both companies' standard-essential patents (includingthe GSM, UMTS and LTE cellular standards),\" Ericsson said in a news release. Apple will make an initial payment toEricsson and then make on-going royalties as part of the seven-year deal, Ericsson said, adding that other deal details are confidential.", "Why this \u2018insane\u2019 year in markets is poised for a wild finish Everything you need to know before the market opens So much for a relaxing market farewell to 2015. Last week was all over the place, with four days moving in excess of 1% in either direction on the S&P 500, while the Dow had three, including that nasty exclamation point on Friday.", "Fitbit's stock surges after Pacific Crest says sales have been 'exploding' Fitbit Inc.'s stock surged 3.4% in premarket trade Monday, after Pacific Crest Securities analyst Brad Erickson said the fitness-band maker's holiday sales have been \"exploding\" since a weak Black Friday performance. Erickson said his in-store checks suggest a \"substantial increase\" in sales volumes from a month ago, nearly a third of stores have seen temporary sell outs and market share remains dominant. \"We are obviously encouraged by seeing in-store demand come back so strongly as a proxy for overall demand,\" Erickson wrote in a note to clients. He said he was also encouraged that competitors, such as Garmin Ltd. and Apple Inc. , have been discounting their fitness products while Fitbit has not. Erikson said expected new products, to be introduced at the Consumer Electronics Show in Las Vegas in early January, could provide a sales boost. Fitbit's stock has tumbled 27% over the past three months through Friday, while the S&P 500 has gained 2%.", "Ericsson, Apple settle tech patent dispute STOCKHOLM--Swedish telecom company Ericsson and U.S. tech giant Apple Inc. have signed a global license agreement that puts an end to an almost year-long patent dispute between the two companies. Ericsson said that under the seven-year accord it will be paid an initial amount by Apple along with ongoing royalties.", "A new Apple iPhone and a Tesla rival mark the most anticipated products of 2016 Virtual reality, left for dead, might stage a big comeback Virtual reality, left for dead, might stage a big comeback, says Jurica Dujmovi\u0107.", "Stocks: Is There Life After FANG? Morgan Stanley's Adam Parker and team argued there's life outside of Facebook (FB), Amazon.com (AMZN), Netflix

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: -0.0122

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0122 (i.e., on a bad day with 5% probability, the loss exceeds 1.22%). CVaR(95%) = -0.0176.


ACWI: 60-day return history, mean=0.0009, std=0.0100.

Question:
Asset: ACWI
Daily returns (past 60 days): mean=0.0009, std=0.0100, min=-0.0309, max=0.0194
Market regime: sideways
Recent filing/news:
[Kaggle 2020-09-24] ["AppFolio Deep Dive: Is This Real Estate SaaS Company Worth Buying? In this week's episode of Industry Focus: Financials, host Jason Moser and Fool.com contributor Matt Frankel, CFP, take a closer look at AppFolio (NASDAQ: APPF), a software-as-a-service company that offers a subscription-based solution for the property management industry. Plus, hear why Matt has Bank of America (NYSE: BAC) at the top of his watch list this week, while Jason is looking closely at Darden Restaurants (NYSE: DRI) ahead of earnings. To catch full episodes of all The Motley Fool's free podcasts, check out our podcast center. To get started investing, check out our quick-start guide to investing in stocks. A full transcript follows the video. 10 stocks we like better than\u00c2 Walmart When investing geniuses David and Tom Gardner have an investing tip, it can pay to listen. After all, the newsletter they have run for over a decade, Motley Fool Stock Advisor, has tripled the market.* David and Tom just revealed what they believe are the\u00c2 ten best stocks for investors to buy right now... and Walmart 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 2/1/20 This video was recorded on September 21, 2020. Jason Moser: It's Monday, September 21st. I'm your host Jason Moser. On this week's Financial show, we're going to dig a little bit deeper into a company called AppFolio. A software company targeting the real estate and legal markets. We've also got a couple of stocks for you to keep an eye on this week. As always, joining me this week, it's Certified Financial Planner, Mr. Matt Frankel. Matt, how's everything going? Matt Frankel: Just fine. I mean, it's not as great here as my sunny Florida background might suggest. But it's 70 and sunny in South Carolina; I can't go wrong. Moser: Yeah, I was going to say it, I mean, that doesn't sound like that's all that different. So, you know, hey, listen ... Frankel: There's no ocean right next to me. Moser: Now, well, yeah. Well, that just makes the ocean better for when you want to go visit, right? If you're around the ocean all-day every day, it kind of gets boring and mundane. Well, I guess people like to believe that, but I grew up on the water down in Charleston and I can verify that it never really got boring and mundane, I always really [laughs] enjoyed being on the water, so. [laughs] Hey, so, Matt, we're going to dig into a company today that you and I haven't really talked a whole heck of a lot about on the show. You know, I've seen it in passing and I've looked a little bit into it just because of the type of business that it is. But I'm excited about today, because we're going to learn a lot more about this business. And hopefully, our listeners as well will learn a lot more about it too. And this is a company called AppFolio. And, Matt, this company that IPO'd back in June 2015, so it's not one of these more recent IPOs that is still

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

Answer: -0.0150

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0150 (i.e., on a bad day with 5% probability, the loss exceeds 1.50%). CVaR(95%) = -0.0245.


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

Question:
Asset: IWM
Daily returns (past 60 days): mean=0.0003, std=0.0075, min=-0.0273, max=0.0191
Market regime: sideways
Recent filing/news:
[Kaggle 2017-07-21] ["XLU, EXC, PCG, AEP: Large Inflows Detected at ETF Looking today at week-over-week shares outstanding changes among the universe of ETFs covered at ETF Channel , one standout is the Utilities Select Sector SPDR Fund (Symbol: XLU) where we have detected an approximate $156.0 million dollar inflow -- that's a 2.1% increase week over week in outstanding units (from 139,774,160 to 142,724,160). Among the largest underlying components of XLU, in trading today Exelon Corp (Symbol: EXC) is down about 0.2%, PG&E Corp (Symbol: PCG) is up about 0.1%, and American Electric Power Company, Inc. (Symbol: AEP) is higher by about 0.3%. For a complete list of holdings, visit the XLU Holdings page \u00bb The chart below shows the one year price performance of XLU, versus its 200 day moving average: Looking at the chart above, XLU's low point in its 52 week range is $45.33 per share, with $54.63 as the 52 week high point - that compares with a last trade of $52.93. Comparing the most recent share price to the 200 day moving average can also be a useful technical analysis technique -- learn more about the 200 day moving average \u00bb . Exchange traded funds (ETFs) trade just like stocks, but instead of ''shares'' investors are actually buying and selling ''units''. These ''units'' can be traded back and forth just like stocks, but can also be created or destroyed to accommodate investor demand. Each week we monitor the week-over-week change in shares outstanding data, to keep a lookout for those ETFs experiencing notable inflows (many new units created) or outflows (many old units destroyed). Creation of new units will mean the underlying holdings of the ETF need to be purchased, while destruction of units involves selling underlying holdings, so large flows can also impact the individual components held within ETFs. Click here to find out which 9 other ETFs had notable inflows \u00bb The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc. The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.", "Friday Sector Leaders: Utilities, Consumer Products Looking at the sectors faring best as of midday Friday, shares of Utilities companies are outperforming other sectors, up 0.3%. Within that group, FirstEnergy Corp (Symbol: FE) and American Electric Power Company, Inc. (Symbol: AEP) are two large stocks leading the way, showing a gain of 1.4% and 1.1%, respectively. Among utilities ETFs , one ETF following the sector is the Utilities Select Sector SPDR ETF (Symbol: XLU), which is up 0.2% on the day, and up 10.82% year-to-date. FirstEnergy Corp, meanwhile, is up 4.55% year-to-date, and American Electric Power Company, Inc. is up 12.17% year-to-date. Combined, FE and AEP make up approximately 7.2% of the underlying holdings of XLU. The next best performing sector is the Consumer Products sector, higher by 0.1%. Among l

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: -0.0103

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0103 (i.e., on a bad day with 5% probability, the loss exceeds 1.03%). CVaR(95%) = -0.0180.


XLU: 60-day return history, mean=0.0008, std=0.0103.

Question:
Asset: XLU
Daily returns (past 60 days): mean=0.0008, std=0.0103, min=-0.0219, max=0.0271
Market regime: sideways
Recent filing/news:
[Kaggle 2020-10-15] Adobe's Stock To Continue Growing? Despite more than a 63% rise from its March lows of this year, at the current price near $502 per share, we believe Adobe’s stock (NASDAQ: ADBE) is still undervalued. ADBE stock has increased from $307 to $502 since March 23rd compared to the S&P 500 which increased almost 55% from its recent lows. The stock has outperformed the market and was at a 52 week high in early September. The company has benefited from a subscription-based business model which helps with continuous revenue flow. In the first nine months (ended August 2020) of FY 2020 Adobe saw revenue grow to $9.4 billion, up by 15% y-o-y while earnings were recorded at $6.25 compared to $4.31 in the same period of the previous year. Our dashboard What Factors Drove 179% Change In Adobe Systems Stock Between 2017 And Now? provides the key numbers behind our thinking. The 175% rise in ADBE stock price between FY 2017 to FY 2019 is justified by significant growth in earnings during those two years. Adobe’s Revenue increased 53% from $7.2 billion in FY2017 to $11.2 billion in FY2020 (FY ends in November). This effect was amplified by margins increasing from 23.2% to 26.4% during this period. On a per share basis, earnings went up from $3.43 to $6.07. Higher revenue and margins were driven by overall industry growth and innovative solutions. During the same period, the P/E multiple declined slightly from 52x to 51x. This was because the rise in stock price was lower than the growth in EPS. The P/E jumped in 2020 following the outbreak of coronavirus pandemic as more and more organizations were switching to remote working and faster digital transformations. Currently the multiple stands at 83x and is likely to see a modest upside as the current crisis abates. Where Is The Stock Headed? The global spread of coronavirus led to lockdown in various cities across the globe, which affected industrial and economic activity. With the majority of people working from home, the demand for Adobe’s solutions has increased. This was evident to a certain extent from the recently released Q3 2020 results of ADBE for the quarter ending August 2020. Revenue increased by 14% while earnings increased by 22% on a y-o-y basis. Remaining Performance obligation surpassed $10 billion at the end of the quarter. The actual recovery and its timing hinge on the broader containment of the coronavirus spread. Our dashboard Trends In U.S. Covid-19 Cases provides an overview of how the pandemic has been spreading in the U.S. and contrasts with trends in Brazil and Russia. With investors focusing their attention on 2021 results, the valuations become important in finding value. Expectations of revenue and earnings rising due to the continuous digital transformation initiatives and with investors’ focus shifting to the 2021 numbers, Adobe’s stock could see an upside in the near term. As per Adobe’s valuation by Trefis, we have a price estimate of $554 per share for ADBE’s stock, reflecting al

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

Answer: -0.0156

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0156 (i.e., on a bad day with 5% probability, the loss exceeds 1.56%). CVaR(95%) = -0.0190.


VTI: 60-day return history, mean=0.0009, std=0.0043.

Question:
Asset: VTI
Daily returns (past 60 days): mean=0.0009, std=0.0043, min=-0.0083, max=0.0134
Market regime: sideways
Recent filing/news:
[Kaggle 2017-03-17] ["5 Stocks To Watch For March 17, 2017", "Wunderlich Upgrades Adobe Systems to Buy, Raises Price Target to $145.00", "A Peek Into The Markets: U.S. Stock Futures Edge Higher Ahead Of Consumer Sentiment Data", "Adobe's Premium Valuation Is Warranted; Wunderlich Upgrades To Buy", "20 Stocks Moving In Friday's Pre-Market Session", "The Market In 5 Minutes", "Benzinga's Top Upgrades, Downgrades For March 17, 2017", "This Is What Makes Adobe The Best Large-Cap Stock In Its Space", "Adobe Makes New All-Time High", "Success Stories With Facebook, T-Mobile And Others Keep Adobe Stock A Core Holding", "8 Biggest Price Target Changes For Friday", "15 Biggest Mid-Day Gainers For Friday", "Analyst: Good Q1 For Adobe, But Valuation Already Reflects Most Potential For Growth", "Analyst: Good Q1 For Adobe, But Valuation Already Reflects Most Potential For Growth", "15 Biggest Mid-Day Gainers For Friday", "8 Biggest Price Target Changes For Friday", "Success Stories With Facebook, T-Mobile And Others Keep Adobe Stock A Core Holding", "Adobe Makes New All-Time High", "This Is What Makes Adobe The Best Large-Cap Stock In Its Space", "Benzinga's Top Upgrades, Downgrades For March 17, 2017", "The Market In 5 Minutes", "20 Stocks Moving In Friday's Pre-Market Session", "Adobe's Premium Valuation Is Warranted; Wunderlich Upgrades To Buy", "A Peek Into The Markets: U.S. Stock Futures Edge Higher Ahead Of Consumer Sentiment Data", "Wunderlich Upgrades Adobe Systems to Buy, Raises Price Target to $145.00", "5 Stocks To Watch For March 17, 2017", "3 Big Stock Charts for Friday: Adobe Systems Incorporated (ADBE), Netflix, Inc. (NFLX) and International Business Machines Corp. (IBM) InvestorPlace - Stock Market News, Stock Advice & Trading Tips Earnings and upgrades are moving stocks in the technology sector today. Adobe Systems Incorporated (NASDAQ: ADBE ) announced better than expected earnings while Netflix, Inc. (NASDAQ: NFLX ) is seeing some cautious comments from the analyst community and International Business Machines Corp. (NYSE: IBM ) saw an upgrade to its price target from Morgan Stanley yesterday. All three of these stocks were already operating in strong bullish trends, but the recent price activity is signalling that the bulls are getting ready to engage these stocks again. Adobe Systems Incorporated (ADBE) Adobe announced earnings this morning, surprising the Street with better-than-expected results. ADBE shares are trading more than 5% higher after the news. Adobe shares have been trying to break into another volatility rally for the last week, but had failed to move above their top Bollinger Band. Today's news will change that as ADBE stock will open outside of the bands and likely see a further surge. 10 Monthly Dividend Stocks to Buy to Pay the Bills We saw a 9% reduction in the short interest on Adobe ahead of the earnings announcement, indicating that the short selling crowd has already started trying to get out of the way of ADBE shares breaking to new

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: -0.0045

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0045 (i.e., on a bad day with 5% probability, the loss exceeds 0.45%). CVaR(95%) = -0.0072.


MATIC-USD: 60-day return history, mean=0.0005, std=0.0355.

Question:
Asset: MATIC-USD
Daily returns (past 60 days): mean=0.0005, std=0.0355, min=-0.0744, max=0.1246
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: -0.0537

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0537 (i.e., on a bad day with 5% probability, the loss exceeds 5.37%). CVaR(95%) = -0.0670.


BNB-USD: 60-day return history, mean=0.0033, std=0.0459.

Question:
Asset: BNB-USD
Daily returns (past 60 days): mean=0.0033, std=0.0459, min=-0.1588, max=0.1160
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: -0.0759

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0759 (i.e., on a bad day with 5% probability, the loss exceeds 7.59%). CVaR(95%) = -0.1059.


IWM: 60-day return history, mean=-0.0027, std=0.0139.

Question:
Asset: IWM
Daily returns (past 60 days): mean=-0.0027, std=0.0139, min=-0.0371, max=0.0286
Market regime: sideways
Recent filing/news:
[Kaggle 2018-12-07] ["What the Arrest of a Chinese Executive Means for the Stock Market A massive drop in the Dow Jones Industrial Average was spurred by the arrest of Huawei CFO Meng Wanzhou. And it was a confirmation that tensions between the U.S. and China are about more than trade.", "These 5 stocks are surprising winners amid the market\u2019s wild swings Scana, Newell Brands, McCormick, Spirit Airlines, Dr. Reddy\u2019s Impressive gains for investors so far this quarter.", "Morgan Stanley gets less bullish on Apple due to China demand woes Morgan Stanley analyst Katy Huberty cut her price target on Apple Inc. shares to $236 from $253 on Friday, citing weakness in the China market. She said that her supply-chain conversations in Asia suggest that the smartphone market is weakening in China. The country is \"following in the footsteps of the U.S. with replacement cycles lengthening after a structurally shorter cycle over the last decade,\" Huberty wrote. Rising average selling prices and overall better smartphone quality are leading people to keep their current devices for longer, according to Huberty. She also sees \"some risk of churn\" at the low end of Apple's customer base in China, given that some local manufacturers are offering phones with new features such as a triple camera. Huberty kept her overweight rating on the stock and said that wearables and services revenues could help the company amid a weak stretch for iPhones. Apple's shares are off 0.2% in Friday morning trading, and they're down 21% over the past three months. The Dow Jones Industrial Average has dropped 3.4% in that time.", "Apple\u2019s iPhone Sales in China Will Slip, Says Morgan Stanley Analyst Katy Huberty cut her price target on Apple to $236 from $253 but reiterated an Outperform rating for the services business.", "All 30 Dow industrials stocks and the 20 Dow transport stocks are falling As the Dow Jones Industrial Average tumbles 659 points, or 2.6%, in afternoon trade, all 30 of its components are losing ground. Of the biggest decliners, shares of Microsoft Corp. dropped 4.4%, Caterpillar Inc. shed 4.3% and Intel Corp. declined 4.3%. The most active Dow stock was Apple Inc. , which shed 3.5% toward the lowest close since April 30. Elsewhere, the Dow Jones Transportation Average lost 4.2%, with all 20 components falling. Meanwhile, the defensive Dow Jones Utility Average rose 0.5%, with 14 of 15 components gaining ground.", "Online Holiday Sales Are Soaring Adobe Analytics expects a record $124.1 billion in domestic online holiday sales through Dec. 31, up 15% from $108.2 billion a year ago.", "Apple iPhones Won\u2019t See Major Redesigns in 2019, Says Analyst The new iPhones in the second half of fiscal 2019 will likely have the same body size and displays as the current iPhone XR, XS, and XS Max models, according to Nomura\u2019s Anne Lee.", "Older Consumers Are a Lucrative Market By 2030, seniors will be one billion strong globally and account for half of all consumer spending

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: -0.0222

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%) = -0.0344.


XRP-USD: 60-day return history, mean=-0.0078, std=0.0552.

Question:
Asset: XRP-USD
Daily returns (past 60 days): mean=-0.0078, std=0.0552, min=-0.1449, max=0.2539
Market regime: sideways

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

Answer: -0.0813

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0813 (i.e., on a bad day with 5% probability, the loss exceeds 8.13%). CVaR(95%) = -0.1272.


BIL: 60-day return history, mean=0.0000, std=0.0001.

Question:
Asset: BIL
Daily returns (past 60 days): mean=0.0000, std=0.0001, min=-0.0001, max=0.0003
Market regime: sideways

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

Answer: -0.0001

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


XRP-USD: 60-day return history, mean=0.0055, std=0.1017.

Question:
Asset: XRP-USD
Daily returns (past 60 days): mean=0.0055, std=0.1017, min=-0.2138, max=0.3257
Market regime: sideways

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

Answer: -0.1244

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.1244 (i.e., on a bad day with 5% probability, the loss exceeds 12.44%). CVaR(95%) = -0.1867.


QQQ: 60-day return history, mean=-0.0012, std=0.0150.

Question:
Asset: QQQ
Daily returns (past 60 days): mean=-0.0012, std=0.0150, min=-0.0399, max=0.0340
Market regime: sideways
Recent filing/news:
[Kaggle 2018-11-14] ["Apple stock swings lower after Goldman cuts target, another supplier slashes guidance Shares fall to 3 1/2-month low after seesaw session, suffer fourth straight decline Apple shares swung back to losses after a downbeat report from Goldman Sachs and another revenue warning from a supplier of smartphone components fueled concerns over deteriorating iPhone demand.", "Apple downgraded to neutral from buy at Guggenheim", "Apple's stock falls after Guggenheim downgrades, cuts earnings outlook Shares of Apple Inc. fell 0.4% in premarket trade Wednesday, which puts them in danger of a fifth-straight decline, after the technology giant was downgraded by analyst Rob Cihra at Guggenheim Securities, who said rising average selling prices (ASPs) was \"no longer enough\" to offset declining iPhone units. Cihra cut his fiscal 2019 earnings estimate to $12.97 a share from $13.41--the FactSet consensus is $13.44--and his revenue estimate to $273 billion from $281 billion. \"Over the past 10 years, Apple's iPhone ASP has increased a dramatic +$220, or 40%, reflecting its growing value to both consumer and business markets, but nearly half of all that just came in [fiscal year 2018] alone, making a period of digestion now likely,\" Cihra wrote in a note to clients. Apple's stock has tumbled 8.4% over the past four sessions to close at a 3 1/2-month low amid growing concerns over slowing iPhone demand. It was still up 13.6% year to date, while the Dow Jones Industrial Average has gained 2.3%.", "Oil, Apple, and More to Think About as the Dow Presses On Global equity markets are still under pressure. Worry over demand for Apple iPhones and the price of oil are dragging on stocks.", "Apple's stock turns higher, rallies 0.8% in premarket trade", "Apple\u2019s iPhone Revenue Is Poised to Fall Next Year, Analyst Says Demand for iPhones is likely to fall next year, and Apple\u2019s revenue from its key product is poised to decline, according to Guggenheim Securities.", "Here\u2019s how to easily reduce your investment risk just at the right time Mike Loewengart of E-Trade discusses equal-weighted and bond ETFs, and actively managed funds for diversification Mike Loewengart of E-Trade discusses equal-weighted and bond ETFs, and actively managed funds for diversification.", "The Dow Sinks Because There\u2019s More to Worry About Than Oil and Apple The Dow Jones Industrial Average was lower Wednesday as investors balanced largely positive news on inflation against Chinese data and worries about Brexit.", "Apple's stock falls 2.1%, as market-cap drops below $900 bln", "Podcast: PowerPoint Fatigue This week on The Readback, Alex Eule speaks with Al Root about the possible connection between the lenght of a company\u2019s earnings presentation and its stock.", "These two chart patterns tell the real story of the stock market Bullish and bearish patterns are of low quality Bullish and bearish patterns are of low quality.", "Dow's 205-point drop marks longest skid for blue ch

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: -0.0263

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0263 (i.e., on a bad day with 5% probability, the loss exceeds 2.63%). CVaR(95%) = -0.0369.


EEM: 60-day return history, mean=0.0012, std=0.0076.

Question:
Asset: EEM
Daily returns (past 60 days): mean=0.0012, std=0.0076, min=-0.0178, max=0.0258
Market regime: sideways
Recent filing/news:
[Kaggle 2017-04-12] ["Six Reasons Cirrus Won\u2019t See Apple Insourcing It\u2019s unlikely Apple will insource Cirrus\u2019 audio codec or amplifier, based on a long relationship, for starters.", "BlackBerry Surges 17% on Award of $815M from Qualcomm Shares of BlackBerry (BBRY) are up $1.29, or 17%, at $8.99, in early trading the company announced it was awarded roughly $815 million from Qualcomm (QCOM) for having overpaid the latter in royalties, as a result of arbitration between the two. The final terms of the aware await a May 30th hearing. BlackBerry CEO John Chen said his company and Qualcomm are still \u201cvalued technology partners.\"The award comes as Qualcomm is counter-suing Apple (AAPL) in a dispute over royalties.The refunds come because BlackBerry in recent years fell below the rate of smartphone shipments it had originally expected under its deal with Qualcomm.Mike Walkley of Raymond James, who has a Hold rating on BlackBerry stock, raises his price target today to $9.50 from $8.", "Apple May Have Consequences for Hampering Qualcomm Contracts, Says Wells The Street continues to assess Qualcomm\u2019s (QCOM) 134-page brief in its countersuit against Apple (AAPL) yesterday.Today\u2019s note comes from Maynard Um of Wells Fargo, who has a Market Perform rating on shares of Apple.Um deems something new in Qualcomm\u2019s paperwork: Apple has put suppliers in a position where they may be breaching their own agreements with Qualcomm, which could have consequences for Apple:", "Apple: Whose Chips Will They Dump Next? Asks Pac Crest Pacific Crest semiconductor analyst John Vinh this morning reflects on rumors in recent weeks that Apple (AAPL) is looking to dump chips it uses from Dialog Semiconductor (DGLNF) and Imagination Technologies (IGZ), and ponders who might be next.He concludes the risk to wireless chip vendors such as Broadcom (AVGO), Skyworks Solutions (SWKS) and Qorvo (QRVO) is \u201clow,\u201d the risk to audio chip provider Cirrus Logic (CRUS) is \u201clow to medium,\u201d and the risk to Synaptics (SYNA) is \u201cmedium to high.\"\"In light of concerns over Imagination Technologies graphics chips and Dialog Semiconductor power management chips being insourced at Apple, we believe the risk of Synaptics being displaced is medium to high,\u201d writes Vinh.", "Apple: Rosenblatt, Needham Debate 3-D Sensing (Update) Yesterday, I wrote that Needham & Co. chip analyst Rajvindra Gill opined a technology called \"3-D sensing\u201d might be missing from Apple's (AAPL) next iPhone, presumably the 10th anniversary \u201ciPhone 8,\u201d or \u201ciPhone X.\u201dAnother analyst, Jun Zhang, today calls that bunk.Gill in his note yesterday cited conversations with companies in the supply chain, in particular. In particular, Gill spoke with one James Wong, who is the COO of Truly Holdings, a company that does assembly work for a variety of smartphone makers.From those talks he learned there have been problems with incorporating 3-D sensing into the iPhone, whic

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: -0.0098

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0098 (i.e., on a bad day with 5% probability, the loss exceeds 0.98%). CVaR(95%) = -0.0136.


TLH: 60-day return history, mean=0.0001, std=0.0032.

Question:
Asset: TLH
Daily returns (past 60 days): mean=0.0001, std=0.0032, min=-0.0069, max=0.0108
Market regime: sideways

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

Answer: -0.0039

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0039 (i.e., on a bad day with 5% probability, the loss exceeds 0.39%). CVaR(95%) = -0.0051.


ADA-USD: 60-day return history, mean=0.0088, std=0.0441.

Question:
Asset: ADA-USD
Daily returns (past 60 days): mean=0.0088, std=0.0441, min=-0.1263, max=0.1197
Market regime: sideways

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

Answer: -0.0440

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0440 (i.e., on a bad day with 5% probability, the loss exceeds 4.40%). CVaR(95%) = -0.0796.


SLV: 60-day return history, mean=-0.0017, std=0.0158.

Question:
Asset: SLV
Daily returns (past 60 days): mean=-0.0017, std=0.0158, min=-0.0452, max=0.0380
Market regime: sideways

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

Answer: -0.0265

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0265 (i.e., on a bad day with 5% probability, the loss exceeds 2.65%). CVaR(95%) = -0.0352.


XLU: 60-day return history, mean=0.0009, std=0.0085.

Question:
Asset: XLU
Daily returns (past 60 days): mean=0.0009, std=0.0085, min=-0.0253, max=0.0152
Market regime: sideways
Recent filing/news:
[Kaggle 2016-05-25] ["Today\u2019s Top 5 Stock Picks: Bargains in U.S. and Asia Danton Goei, portfolio manager at Davis Advisors, explains how you can buy Tencent at a discount.", "Goldman Revives HTC: VR Is The Next Big Product And HTC Is The New Apple Will virtual reality toys be as dominant as smartphones today and HTC Corp. (2498.Taiwan) be the next Apple (AAPL)?Goldman Sachs thinks so.HTC soared 8.8% in Taipei after Goldman initiated its coverage with a \"conviction\" buy. Its price target of 95 new Taiwan dollars implies 41% upside (before the market open), \"the most in our coverage [of stocks],\" pumped the bank.READ MORE.", "LG Innotek Jumps On Sony Exit: Any Upside Left To The Dual Camera Story? Korea's LG Innotek (011070.Korea) jumped 6.8% to 87,800 won after Sony Corp. (6758.Japan/SNE) said at its earnings briefing yesterday that it would \"terminate the development and manufacturing of high-functionality camera modules for external sales.\" LG Innotek competes with Sony for Apple's (AAPL) camera module business.So now unless a third competitor appears, LG Innotek is poised to become the sole camera module supplier for Apple.READ MORE.", "Twitter\u2019s stock tumble belies bullish chart patterns Shares fall, but momentum, RSI, MACD indicators trend higher Twitter\u2019s stock hits all-time intraday low, but Class A \u201cbullish divergence\u201d in a number of momentum indicators suggest a sharp short-term bounce may be just around the corner.", "What it will take to get the S&P 500 above 2,100 again Critical information ahead of the U.S. market\u2019s open Technical signals have been pointing to trouble for the S&P 500, but a turn of fortunes may be in the cards if gains keep up Wednesday. Plus, our chart of the day is on a commodity set to benefit from Tesla\u2019s popularity", "Microsoft to cut 1,850 smartphone workers Microsoft Corp., struggling to restart its mobile strategy after multiple misfires, early on Wednesday morning announced a further step in dismantling the mobile-phone operations it acquired from Nokia Corp.", "Can India Steal iPhone Share From China, Taiwan? Just After Apple CEO Tim Cook visited India, now comes word that Apple (AAPL) must source components in India to expand there.The government is clearly digging in its heels through a very public negotiation.READ MORE>>", "Universal Display: Needham Ups Target to $69 on Expected Industry Acceleration Shares of organic light-emitting diode technology maker Universal Display (OLED) are up $1.35, or 2%, at $65.74, following yet another mention in the past few days, this time from Needham & Co.\u2019s James Ricchiuti, who raised his price target on the stock to $69 from $62, and reiterated his Buy rating, after reaching greater confidence in his belief OLED technology will accelerate in displays for mobile phones and such.Ricchiuti writes of having met with management at Universal recently and attended the \u201cSociety for Information Displays\u201d conference in San Francisco, known a

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

Answer: -0.0189

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0189 (i.e., on a bad day with 5% probability, the loss exceeds 1.89%). CVaR(95%) = -0.0218.


XLU: 60-day return history, mean=0.0006, std=0.0051.

Question:
Asset: XLU
Daily returns (past 60 days): mean=0.0006, std=0.0051, min=-0.0113, max=0.0095
Market regime: sideways
Recent filing/news:
[Kaggle 2017-09-08] ["Amazon headed for $1.6 trillion market cap, analyst suggests Predicted growth of retail, cloud-computing businesses would push Bezos\u2019s stake to more than $250 billion Amazon.com Inc. could be worth $1.6 trillion in less than a decade, an investment analyst predicted Thursday, a move that would make Chief Executive Jeff Bezos\u2019s stake worth more than $250 billion.", "Roku is launching its own free, ad-supported movie channel News comes after Roku unveiled plans for an IPO with the aim of raising up to $100 million Streaming device maker Roku Inc. on Wednesday said it has launched its own channel on the Roku platform.", "Fitbit shares close up 10% on diabetes-monitoring partnership in new smartwatch Fitness-tracker company shares hit highest prices since January after detailing collaboration with DexCom glucose monitors Fitbit Inc. shares rally Thursday to close at levels not seen since late January after the fitness-tracker company announces a collaboration with glucose-monitoring device company DexCom Inc. to allow diabetics to monitor their blood sugar through Fitbit\u2019s new smartwatch.", "Facebook is ponying up to spend $1 billion in its push for video The social-media giant\u2019s investment pits it against traditional broadcasters such as HBO and deep-pocketed tech companies such as Amazon and Netflix Facebook Inc. is loosening its purse strings in its drive to become a major hub for video.", "Media: Arms Race For Content Continues As Ad Sales Shrivel Skinny bundles are also still all the rage, while the NFL ad season has gotten off to a sluggish start.", "Finisar Falls: Big Apple iPhone Sensing Deal Delayed, Not Lost, Say Bulls Finisar shares are down 6% after it Thursday afternoon missed with its quarterly revenue outlook, saying it experienced a delay in selling parts for 3-D sensing, which most observers believe are destined for Apple's next iPhone. Finisar told analysts the shortfall is merely a delay, not a case of lost business, as it had to adjust its manufacturing techniques to improve the part. Analysts seemed to give CEO Jerry Rawls the benefit of the doubt, although they cut their price targets on Finisar.", "Get ready for the \u2018voice revolution\u2019 in stocks Cody Willard shares details of his new book Cody Willard shares details of his new book.", "Competition Ramps Up In Machine Learning Chips More companies are offering more options as the space heats up.", "Verizon's stock set to suffer longest losing streak in 12 years, but BTIG says it looks 'attractive' Shares of telecom giant Verizon Communications Inc. slumped 0.5% in afternoon trade, putting them on track to suffer a ninth-straight loss. That would be the longest losing streak since the nine-session stretch ending Oct. 13, 2005. There have been four eight-session losing streaks since then, in May 2017, October 2012, January 2012 and February 2009. Analyst Walter Piecyk at BTIG warned investors against selling into the weakness, saying the stock's rela

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

Answer: -0.0081

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0081 (i.e., on a bad day with 5% probability, the loss exceeds 0.81%). CVaR(95%) = -0.0101.