XLU: 60-day return history, mean=0.0008, std=0.0063.

Question:
Asset: XLU
Daily returns (past 60 days): mean=0.0008, std=0.0063, min=-0.0145, max=0.0159
Market regime: sideways
Recent filing/news:
[Kaggle 2017-05-16] ["Tech Today: Buffett Buys AAPL, Salesforce On Tap, AMD\u2019s Prospects Warren Buffett bought more Apple stock, but others were loading up on Snapchat maker Snap, while analysts looked ahead to Advanced Micro Devices's annual meeting tomorrow, and earnings reports later this week from Salesforce.com and Applied Materials.", "Retail rundown: Three winners and six losers in the age of Amazon Some retailers are staying alive, while many face existential threats Some retailers are staying alive, while many face existential threats. By Jeff Reeves.", "Berkshire Hathaway confirms Warren Buffett\u2019s Apple share purchase, IBM sale Berkshire more than doubled Apple holdings in first quarter to 129 million shares, worth $18.6 billion, as of March 31 Berkshire Hathaway Inc. sharply increased its holding of Apple Inc. and sold some of its stake in International Business Machines Corp. in the first quarter, according to a new securities filing.", "Apple stock price target raised to $180 from $165 at Canaccord Genuity", "Apple's stock price target gets a boost on increased iPhone sales estimates Apple Inc. stock price target was raised at Canaccord Genuity, citing increased estimates for iPhone sales. Analyst T. Michael Walkley lifted his target to $180, which is 16% above current levels, from $165. He increased his fiscal 2018 iPhone unit sales estimates to 248 million from 242 million. We anticipate a stronger upgrade cycle in C2018 with the 10-year anniversary iPhone 8, as our surveys indicate strong consumer interest in and anticipation for new iPhones anticipated to launch in September,\" Walkley wrote in a note to clients. Walkley's target is now tied for the third-highest price target among the 44 analysts surveyed by FactSet, behind Drexel Hamilton's $202 target and BTIG's $184 target, while Guggenheim Securities is also at $180, according to FactSet. Apple's stock slipped 0.1% in morning trade, but was just 0.4% below Friday's record close of $156.10. It has soared 34% year to date, while the Dow Jones Industrial Average has gained 6.3%.", "The \u2018ridiculous\u2019 reason tech stocks aren\u2019t in a bubble Critical information for the U.S. trading day Technology stocks have been on a monster run, and not everyone is feeling OK about that. But here\u2019s why investors, once again, have nothing to fear bubble-wise, says our call of the day..", "Fund managers say this is the \u2018most crowded trade\u2019 right now Technology stocks are looking awfully crowded, says the latest Bank of America Merrill Lynch fund-manager survey.", "Apple stock price target gets a big boost Canaccord\u2019s Walkley becomes 29th analyst of the 44 surveyed by FactSet to lift Apple\u2019s stock price target since May 2. Canaccord Genuity\u2019s T. Michael Walkley joined the parade of analysts who have lifted Apple\u2019s stock price target since May 2. Walkley\u2019s new target is tied for third highest among 44 analysts surveyed by FactSet.", "Google Made E-mail Free;

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: -0.0079

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0079 (i.e., on a bad day with 5% probability, the loss exceeds 0.79%). CVaR(95%) = -0.0115.


XLRE: 60-day return history, mean=0.0014, std=0.0078.

Question:
Asset: XLRE
Daily returns (past 60 days): mean=0.0014, std=0.0078, min=-0.0226, max=0.0133
Market regime: sideways
Recent filing/news:
[Kaggle 2018-07-05] ["PreMarket Prep Recap For July 5: Trading The Range In The S&P 500; Sean Udall Joins The Show", "PreMarket Prep Recap For July 5: Trading The Range In The S&P 500; Sean Udall Joins The Show", "Synopsys, Siemens Join Forces on EDA Interoperability Effort SynopsysSNPS is collaborating with Siemens PLM Software to jointly develop a wide range of electronic design automation (EDA) product interoperability projects. EDA is a category of tools used to analyze semiconductor devices. Many chip designers and manufacturers are opting for EDA, attracted by the reduced cost, errors and design time associated with its adoption. The increasing demand for EDA solutions are driven by growth in fast growing fields of cloud computing, Artificial Intelligence (AI), Internet of Things (IoT) and smart wearable devices. Collaboration to Boost Customer Base The synergistic collaboration between Synopsys and Siemens encompasses EDA domains from design to verification. The latest collaboration will help Synopsys address the needs of semiconductor and system-on-chip (SoC) manufacturing firms, which comprises the majority of its clientele. Moreover, the joint solution will enhance customers' digitization efforts. Further, the collaboration will ensure more effective EDA solutions for mutual customers. Notably, one major competitor of Synopsys was Mentor Graphics, which was recently acquired by Siemens. The companies have also settled all outstanding patent litigations Hence, we believe the collaboration with Siemens on EDA product interoperability solutions bodes well for Synopsys, as it will expand its penetration in the market. Synopsys, Inc. Revenue (TTM) Synopsys, Inc. Revenue (TTM) | Synopsys, Inc. Quote Extended Partner Base, New Solutions to Drive Growth We believe Synopsys will benefit from its expanding partner base. The company's extended relationships with the likes of AMD, Juniper, Realtek, Teradici, NetLogic Microsystems, Toshiba and Wolfson will continue to boost its top-line growth. Synopsys also collaborated with ARM Holdings plc which is expected to optimize the performance of its processors. The company is positive about its EDA design solutions which are helping in designing of new AI engines. The newly launched Fusion Technology has gained accolades from the Samsung, STMicroelectronics, Toshiba, and ANSYS. Further, strategic acquisitions have expanded the company's presence in the intensely competitive EDA market. Zacks Rank and Stocks to Consider Synopsys currently carries a Zacks Rank #3 (Hold). Some stocks worth considering in the broader Computer and Technology sector are Adobe ADBE , YY YY , and Verint VRNT . All three stocks sport a Zacks Rank #1 (Strong Buy). You can see the complete list of today's Zacks #1 Rank stocks here . Long-term earnings growth for Adobe, YY and Verint is projected to be 16.20%, 26.43% and 10%, respectively. Today's Stocks from Zacks' Hottest Strategies It's hard to believe, even for us at Zacks. But while the market gai

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

Answer: -0.0120

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0120 (i.e., on a bad day with 5% probability, the loss exceeds 1.20%). CVaR(95%) = -0.0189.


CORN: 60-day return history, mean=-0.0006, std=0.0081.

Question:
Asset: CORN
Daily returns (past 60 days): mean=-0.0006, std=0.0081, min=-0.0186, max=0.0192
Market regime: sideways

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

Answer: -0.0127

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0127 (i.e., on a bad day with 5% probability, the loss exceeds 1.27%). CVaR(95%) = -0.0154.


ICSH: 60-day return history, mean=-0.0000, std=0.0002.

Question:
Asset: ICSH
Daily returns (past 60 days): mean=-0.0000, std=0.0002, min=-0.0004, max=0.0006
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: -0.0004

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0004 (i.e., on a bad day with 5% probability, the loss exceeds 0.04%). CVaR(95%) = -0.0004.


IYR: 60-day return history, mean=0.0016, std=0.0081.

Question:
Asset: IYR
Daily returns (past 60 days): mean=0.0016, std=0.0081, min=-0.0175, max=0.0225
Market regime: sideways

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

Answer: -0.0107

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0107 (i.e., on a bad day with 5% probability, the loss exceeds 1.07%). CVaR(95%) = -0.0159.


XRP-USD: 60-day return history, mean=-0.0041, std=0.0391.

Question:
Asset: XRP-USD
Daily returns (past 60 days): mean=-0.0041, std=0.0391, min=-0.1004, max=0.0955
Market regime: sideways
Recent filing/news:
[Kaggle 2022-07-14]

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: -0.0601

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0601 (i.e., on a bad day with 5% probability, the loss exceeds 6.01%). CVaR(95%) = -0.0881.


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

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

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

Answer: -0.0001

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


REZ: 60-day return history, mean=0.0016, std=0.0085.

Question:
Asset: REZ
Daily returns (past 60 days): mean=0.0016, std=0.0085, min=-0.0192, max=0.0256
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: -0.0161

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0161 (i.e., on a bad day with 5% probability, the loss exceeds 1.61%). CVaR(95%) = -0.0177.


QUAL: 60-day return history, mean=-0.0008, std=0.0126.

Question:
Asset: QUAL
Daily returns (past 60 days): mean=-0.0008, std=0.0126, min=-0.0339, max=0.0266
Market regime: sideways
Recent filing/news:
[Kaggle 2015-10-12] Ameren Corp. (AEE) Raises Fourth Quarter Dividend by 3.7% Ameren CorporationAEE announced a 3.7% hike in its quarterly cash dividend, bringing the annualized payout to $1.70 per share, up from $1.64 paid earlier. The dividend increase will be effective from the fourth quarter of 2015. The raised dividend will amount to 42.5 cents per share from the prior payment of 41 cents. This amount will be paid on Dec 31, 2015, to shareholders of record as of Dec 9, 2015. With a market cap of $10.46 billion, this St. Louis-based company generates and distributes electricity and natural gas to residential, commercial, industrial and wholesale end markets in Missouri and Illinois. Utilities have been known to pay dividends consistently, thereby retaining the confidence of yield-hungry investors and proving the sector's defensive characteristics. Ameren is no exception to this trend. Ameren Corp. is also engaged in systematic investments in growth projects and infrastructure upgrade activities. In the first half of 2015, the company spent $556 million as capital expenditure, up 11% from the prior-year level. Ameren plans to complete several important projects in 2015, which include a new reactor vessel head at the Callaway Energy Center and an important substation in St. Louis. Under the Modernization Action Plan, the company intends to install around 140,000 electric and 73,000 gas meters at its service territory by 2015. Scheduled completion of these projects will enable the company to provide reliable services to its customers, besides meeting increasing demand. Ameren operates a rate-regulated business and has a stable earnings base serving 2.4 million electric customers and more than 900,000 natural gas customers in a 64,000-square-mile area. The company is expected to witness modest earnings growth at its core operations. Focus on its regulated utilities will help to meet the projected compound annualized earnings growth of 7-10% within a time span of 2013 to 2018. Zacks Rank AEE Corp. currently holds a Zacks Rank #2 (Buy). Other favorably placed stocks in the power sector are Brookfield Infrastructure Partners L.P. BIP , American Electric Power Co., Inc. AEP and Consolidated Edison, Inc. ED . While Brookfield sports a Zacks Rank #1 (Strong Buy), American Electric and Consolidated Edison carry 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 AMEREN CORP (AEE): Free Stock Analysis Report AMER ELEC PWR (AEP): Free Stock Analysis Report BROOKFIELD INFR (BIP): Free Stock Analysis Report CONSOL EDISON (ED): 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 opinions of the aut

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

Answer: -0.0225

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0225 (i.e., on a bad day with 5% probability, the loss exceeds 2.25%). CVaR(95%) = -0.0318.


VLUE: 60-day return history, mean=0.0001, std=0.0089.

Question:
Asset: VLUE
Daily returns (past 60 days): mean=0.0001, std=0.0089, min=-0.0282, max=0.0288
Market regime: sideways
Recent filing/news:
[Kaggle 2019-07-16] ["Notable Tuesday Option Activity: UVE, AMD, WDC Among the underlying components of the Russell 3000 index, we saw noteworthy options trading volume today in Universal Insurance Holdings Inc (Symbol: UVE), where a total of 1,150 contracts have traded so far, representing approximately 115,000 underlying shares. That amounts to about 52.3% of UVE's average daily trading volume over the past month of 219,995 shares. Especially high volume was seen for the $25 strike call option expiring August 16, 2019, with 1,125 contracts trading so far today, representing approximately 112,500 underlying shares of UVE. Below is a chart showing UVE's trailing twelve month trading history, with the $25 strike highlighted in orange: Advanced Micro Devices Inc (Symbol: AMD) options are showing a volume of 294,746 contracts thus far today. That number of contracts represents approximately 29.5 million underlying shares, working out to a sizeable 50.7% of AMD's average daily trading volume over the past month, of 58.1 million shares. Particularly high volume was seen for the $35 strike call option expiring July 19, 2019, with 36,309 contracts trading so far today, representing approximately 3.6 million underlying shares of AMD. Below is a chart showing AMD's trailing twelve month trading history, with the $35 strike highlighted in orange: And Western Digital Corp (Symbol: WDC) options are showing a volume of 37,907 contracts thus far today. That number of contracts represents approximately 3.8 million underlying shares, working out to a sizeable 49.6% of WDC's average daily trading volume over the past month, of 7.6 million shares. Particularly high volume was seen for the $50 strike put option expiring July 19, 2019, with 4,169 contracts trading so far today, representing approximately 416,900 underlying shares of WDC. Below is a chart showing WDC's trailing twelve month trading history, with the $50 strike highlighted in orange: For the various different available expirations for UVE options, AMD options, or WDC options, visit StockOptionsChannel.com. Today's Most Active Call & Put Options of the S&P 500 \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 AMD Stock Rally Has Gotten Way Too Advanced in Front of Earnings Shraes of Advanced Micro Devices (NASDAQ:) broke out to fresh multi-year highs yesterday. AMD stock finally closed above the $34 level after three previous failed tries. Momentum traders rejoiced, although shares did finish slightly off the highs of the day. Advanced Micro Devices has now added on over 30% since the lows near $26.50 in late May. All good things must come to an end, though. The red-hot rally in an overbought and overvalued AMD has come too far, too fast. Time to take some chips off the table. InvestorPlace contributor Jay Yao both the bullish and bearish case for AMD stock. He noted that AMD stock price was comparatively expensive, trading a

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.


EMB: 60-day return history, mean=0.0006, std=0.0092.

Question:
Asset: EMB
Daily returns (past 60 days): mean=0.0006, std=0.0092, min=-0.0155, max=0.0165
Market regime: sideways

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

Answer: -0.0152

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0152 (i.e., on a bad day with 5% probability, the loss exceeds 1.52%). CVaR(95%) = -0.0155.


HYG: 60-day return history, mean=0.0002, std=0.0014.

Question:
Asset: HYG
Daily returns (past 60 days): mean=0.0002, std=0.0014, min=-0.0028, max=0.0038
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: -0.0023

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0023 (i.e., on a bad day with 5% probability, the loss exceeds 0.23%). CVaR(95%) = -0.0025.


SOYB: 60-day return history, mean=0.0011, std=0.0112.

Question:
Asset: SOYB
Daily returns (past 60 days): mean=0.0011, std=0.0112, min=-0.0265, max=0.0280
Market regime: sideways

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

Answer: -0.0148

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0148 (i.e., on a bad day with 5% probability, the loss exceeds 1.48%). CVaR(95%) = -0.0213.


CORN: 60-day return history, mean=-0.0006, std=0.0117.

Question:
Asset: CORN
Daily returns (past 60 days): mean=-0.0006, std=0.0117, min=-0.0268, max=0.0253
Market regime: sideways

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

Answer: -0.0178

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0178 (i.e., on a bad day with 5% probability, the loss exceeds 1.78%). CVaR(95%) = -0.0235.


XHB: 60-day return history, mean=0.0015, std=0.0153.

Question:
Asset: XHB
Daily returns (past 60 days): mean=0.0015, std=0.0153, min=-0.0411, max=0.0350
Market regime: sideways

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

Answer: -0.0188

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0188 (i.e., on a bad day with 5% probability, the loss exceeds 1.88%). CVaR(95%) = -0.0310.


MORT: 60-day return history, mean=0.0021, std=0.0142.

Question:
Asset: MORT
Daily returns (past 60 days): mean=0.0021, std=0.0142, min=-0.0297, max=0.0315
Market regime: sideways

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

Answer: -0.0245

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0245 (i.e., on a bad day with 5% probability, the loss exceeds 2.45%). CVaR(95%) = -0.0293.


IYR: 60-day return history, mean=0.0009, std=0.0093.

Question:
Asset: IYR
Daily returns (past 60 days): mean=0.0009, std=0.0093, min=-0.0185, max=0.0195
Market regime: sideways

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

Answer: -0.0159

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0159 (i.e., on a bad day with 5% probability, the loss exceeds 1.59%). CVaR(95%) = -0.0184.


MATIC-USD: 60-day return history, mean=-0.0062, std=0.0490.

Question:
Asset: MATIC-USD
Daily returns (past 60 days): mean=-0.0062, std=0.0490, min=-0.1751, max=0.1042
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: -0.0894

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0894 (i.e., on a bad day with 5% probability, the loss exceeds 8.94%). CVaR(95%) = -0.1370.


VCIT: 60-day history, VaR(99%)=-0.0034, max drawdown threshold=10%.

Question:
Asset: VCIT
Daily returns (past 60 days): mean=0.0001, std=0.0015, worst_day=-0.0043
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0034 (i.e., a 0.34% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0034 = 28.9860, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLE: 60-day history, VaR(99%)=-0.0317, max drawdown threshold=10%.

Question:
Asset: XLE
Daily returns (past 60 days): mean=0.0026, std=0.0142, worst_day=-0.0429
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2016-05-20] ["Apple\u2019s iPhone 7 Will Likely Have Dual Cameras: Who Will Benefit? Citi Research believes that all new 5.5\" Apple (AAPL) iPhone 7's coming this fall will be equipped with dual rear cameras. The street currently thinks the new 5.5\" iPhone will come with two models, one with dual cameras and one without.Dual-camera is a major spec upgrade this year. Huawei's new flagship P9 and LG Electronics' G5 both have this feature.So if Citi is correct, which Asian suppliers will be the biggest beneficiaries?READ MORE.", "LG Innotek: Sony Is Behind Apple\u2019s iPhone7 Schedule, Nomura Raises To Buy LG Innotek(011070.Korea) is no longer a victim of AAPL (AAPL) weakness.Earlier today, I wrote that Citi Research now thinks all the new 5.5\" iPhones coming this fall will have dual cameras, contrary to street prediction that the new iPhone 7 will come in two models, one with dual camera and one without.Well, the street is moving over. Nomura Securities this morning also said \"the dual camera will be used in all new 5.5\u201d iPhones.\"READ MORE.", "Google\u2019s VR Push Boosts Applied Materials Higher computational needs for VR should continue to drive more powerful systems on chips.", "Here\u2019s everything billionaires like Soros and Buffett don\u2019t reveal in their 13F filings Data offers interesting peek, but take with grain of salt 13-F filings from hedge funds and other big investors can be entertaining and potentially profitable, but don\u2019t take it too far.", "Google Daydream Will Introduce Virtual Reality To The Masses: Piper Piper Jaffray believes that virtual reality (VR) is the \u201cstart of the next computing paradigm, and mixed reality (MR) will eventually replace the screen as we know it.\u201dThus, analyst Gene Munster and his team have started a new monthly VR & MR Reality Check series, talking about developments in the space. Of course this week was dominated by news from Google parent Alphabet\u2019s (GOOGL) I/O developer\u2019s conference, where the firm didn\u2019t show us a VR headset, but did say it was partnering with IMAX (IMAX) to make VR cameras.Read More \u00bb", "Moody\u2019s: Corporate Cash Holdings Continue to Grow With the ongoing slow growth economy and downturn in energy and segments of retail, you might think U.S. companies would have spent down some of the cash piles they accumulated in the long expansion.And some have. But a new report from Moody's Investors Service, which tallies the cash held by non-financial corporations in the U.S., found cash levels continued to grow in 2015. The total grew to $1.68 trillion by the end of last year -- up 1.8% from the end of 2014. Read More\u00bb", "Tech Companies Have The Most Cash; Apple Still King: Moody\u2019s Non-financial companies in the U.S. had a combined cash hoard of $1.68 trillion at the end of last year, a 1.8% year-over-year increase, according to a new report from Moody\u2019s Investors Service\u2014and tech led the way.U.S. companies had to have at least $6.

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0317 (i.e., a 3.17% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0317 = 3.1577, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


ITB: 60-day history, VaR(99%)=-0.0357, max drawdown threshold=10%.

Question:
Asset: ITB
Daily returns (past 60 days): mean=0.0005, std=0.0154, worst_day=-0.0379
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0357 (i.e., a 3.57% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0357 = 2.7990, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XHB: 60-day history, VaR(99%)=-0.0313, max drawdown threshold=10%.

Question:
Asset: XHB
Daily returns (past 60 days): mean=0.0028, std=0.0157, worst_day=-0.0404
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0313 (i.e., a 3.13% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0313 = 3.1986, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


QUAL: 60-day history, VaR(99%)=-0.0233, max drawdown threshold=10%.

Question:
Asset: QUAL
Daily returns (past 60 days): mean=0.0011, std=0.0098, worst_day=-0.0247
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2021-05-19] ["Analog Devices Guides Q3 In Line With Estimates, Declares Dividend - Quick Facts (RTTNews) - While reporting financial results for the second quarter on Wednesday, semiconductor company Analog Devices Inc. (ADI) provided earnings and revenue guidance for the third quarter, in line with analysts' expectations. For the third quarter, the company projects earnings in a range of $1.12 to $1.34 per share and adjusted earnings in a range of $1.50 to $1.72 per share on projected revenues between $1.63 billion and $1.77 billion. On average, analysts polled by Thomson Reuters expect the company to report earnings of $1.53 per share on revenues of $1.65 billion for the quarter. Analysts' estimates typically exclude special items. The company's Board of Directors also declared a quarterly cash dividend of $0.69 per outstanding share of common stock, payable on June 8, 2021 to all shareholders of record at the close of business on May 28, 2021. The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.", "Analog Devices shares rise after outlook, results beat expectations By Stephen Nellis May 19 (Reuters) - Shares of Analog Devices Inc ADI.O rose Wednesday after the chipmaker forecast third-quarter sales and profits above Wall Street expectations and as the company's chief executive said it had boosted spending on suppliers and its own factories to mitigate the effects of a chip shortage. ADI gave a fiscal third-quarter forecast with midpoints of $1.7 billion in sales and adjusted earnings of $1.61 per share, above estimates of $1.65 billion and $1.54 per share, according to IBES data from Refinitiv. Shares were up 3.8% at around 12:45 p.m. Eastern Time after the before-market-open results were released. For the fiscal second quarter, ADI reported sales of $1.66 billion and adjusted earnings of $1.54 per share versus analyst estimates of $1.61 billion and $1.45 per share, according to Refinitiv data. ADI makes some of its chips in its own factories and also sources some of them from outside factories. Chief Executive Officer Vincent Roche on Wednesday told Reuters the company has boosted capital expenditures with both to supply as many chips as possible and take advantage of growth opportunities. One emerging market for ADI is chips that manage the battery systems in electric vehicles. During the fiscal second quarter, the company signed Volvo as a customer for the chips, as well as what it described as a major European luxury automaker and two Asian brands. \"In the quarter that's just gone, we had an all-time record for shipments into the electric vehicle segment, particularly on the battery side,\" Roche said. \"We're represented in well over 50% of OEM battery systems.\" (Reporting by Stephen Nellis in San Francisco; Editing by David Gregorio) ((Stephen.Nellis@thomsonreuters.com; (415) 344-4934;)) The views and opinions expressed herein are the views and opinions of the author

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0233 (i.e., a 2.33% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0233 = 4.2898, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


UNG: 60-day history, VaR(99%)=-0.0858, max drawdown threshold=10%.

Question:
Asset: UNG
Daily returns (past 60 days): mean=-0.0039, std=0.0414, worst_day=-0.0858
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0858 (i.e., a 8.58% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0858 = 1.1659, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


ADA-USD: 60-day history, VaR(99%)=-0.1459, max drawdown threshold=10%.

Question:
Asset: ADA-USD
Daily returns (past 60 days): mean=0.0298, std=0.0861, worst_day=-0.1736
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 0.6852

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1459 (i.e., a 14.59% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1459 = 0.6852, capped at 1.0.
Maximum position size = 0.6852 (68.5% of portfolio).


XLU: 60-day history, VaR(99%)=-0.0339, max drawdown threshold=10%.

Question:
Asset: XLU
Daily returns (past 60 days): mean=-0.0006, std=0.0157, worst_day=-0.0339
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2020-07-14] ["S&P 500, Dow rise after mixed bank earnings; tech-heavy Nasdaq falls By Medha Singh and Devik Jain July 14 (Reuters) - The S&P 500 and Dow indexes edged higher in volatile trading on Tuesday as investors digested a mixed bag of quarterly earnings reports from U.S. lenders but technology stocks fell on worries over new business restrictions in California. JPMorgan Chase & Co JPM.N, the largest U.S. lender, was up 0.2% after it posted a smaller-than-expected 51% drop in second-quarter profit. Wells Fargo & Co WFC.N, however, fell 5.5% after booking a quarterly loss for the first time since the 2008 financial crisis. Citigroup Inc C.N was also down 2.5% as it reported a steep fall in quarterly profit. The S&P 500 banks index .SPXBK slumped 1.6% as the three banks set aside a combined $28 billion to cover potential losses on loans to borrowers hurt by the coronavirus pandemic. \"The choppiness is very natural as we've had our fair share of gains over the last two or three weeks now,\" said Luis Strohmeier, wealth advisor at Octavia in Los Angeles, California. \"There's a level of uncertainty due to California temporary shutting down indoors ... because we weren't prepared for a reversal in the opening.\" Wall Street has reclaimed most of its coronavirus-driven losses since March as a raft of monetary and fiscal stimulus and upbeat economic data raised hopes of a swift post-pandemic recovery. But a recent record surge in COVID-19 cases and new business restrictions, particularly in California, have sparked a selloff in tech stocks, with the Nasdaq pulling back about 6% from its intraday record high on Monday. Investors are bracing for what could be the sharpest drop in quarterly earnings for S&P 500 firms since the 2008 financial crisis, according to Refinitiv IBES data. At 12:55 p.m. ET, the Dow Jones Industrial Average .DJI was up 257.51 points, or 0.99%, at 26,343.31, the S&P 500 .SPX was up 7.03 points, or 0.22%, at 3,162.25. The Nasdaq Composite .IXIC was down 41.96 points, or 0.40%, at 10,348.88. Amazon.com Inc AMZN.O, Adobe Inc ADBE.O and Facebook Inc FB.O, all three of which hit record highs in intraday trading on Monday, were some of the biggest drags on the Nasdaq. Delta Air Lines Inc DAL.N fell 2.5% as it warned it will be more than two years before the industry sees a sustainable recovery from the \"staggering\" impact of the coronavirus pandemic, with demand largely tracking the curve of infections in different places. Moderna Inc MRNA.O rose 3.7% as it plans to start a late-stage clinical trial for its COVID-19 vaccine candidate on or around July 27. Advancing issues outnumbered decliners by a 1.41-to-1 ratio on the NYSE and for a 1.01-to-1 ratio on the Nasdaq. The S&P index recorded three new 52-week highs and no new low, while the Nasdaq recorded 23 new highs and 27 new lows. COVID-19's growing potential economic impacthttps://tmsnrt.rs/307zCt5 (Reporting by Medha Singh and Devik Jain in Bengaluru; Editing by Shounak Dasgupta and Ani

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0339 (i.e., a 3.39% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0339 = 2.9516, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


VLUE: 60-day history, VaR(99%)=-0.0356, max drawdown threshold=10%.

Question:
Asset: VLUE
Daily returns (past 60 days): mean=0.0021, std=0.0213, worst_day=-0.0356
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2020-06-23] ["9 Things Apple Announced at WWDC\u2014and 5 Things It Didn\u2019t iOS14, Car Play, and Apple Maps all got great upgrades, but what was missing from the lineup is just as interesting as what made the cut.", "Podcast: Apple Closes at Record High Amid Chip Announcement Blank-check companies are on pace to smash last year\u2019s record for IPOs. Gold futures are the highest they have been since 2012. And Apple gets into the computer chip game.", "Apple stock price target raised to $380 from $350 at Deutsche Bank", "UBS boosts 12-month Apple price target to $400 from $325 per share", "Apple's stock rallies 1.6% premarket, after surging 2.6% on Monday to a record close", "The Dow Is Rising Because China Trade Deal Is \u2018Fully Intact\u2019 All three major U.S. stock indexes were solidly higher after a volatile evening. Apple gained on news that it will move away from Intel-designed processors and develop its own chips.", "Barron\u2019s Daily: A Look at Today\u2019s Primaries; U.S.-China Trade Deal Remains \u2018Intact\u2019 Trade deal with China still \u201cintact,\u201d May home sales took a dive, cases continue to surge in the U.S., and other news to start your day.", "Trump Suspends H-1B Visas. Tech Companies Aren\u2019t Happy. On Monday, the president took another swipe at the tech giants by suspending the issuance of visas for foreign workers. Tech companies fired back.", "Apple stock price target raised to $400 from $325 at UBS", "Merck, Apple Inc. share gains contribute to Dow's nearly 150-point jump", "Dow's 225-point jump led by gains for shares of Apple Inc., Nike", "Charting a bullish summer start, Nasdaq takes flight to record territory Focus: Gold challenges seven-year highs, Biotech sector reaches record territory, Apple asserts bullish continuation pattern, GLD, XBI, AAPL, SPLK, HOLX Technically speaking, the U.S. benchmarks\u2019 bigger-picture backdrop remains bullish, on balance, despite increasingly uneven market price action. On a headline basis, the Nasdaq Composite has taken flight \u2014 reaching record highs, atop the 10,000 mark \u2014 while the S&P 500 remains range-bound, digesting a sharp reversal from the June low.", "Crude Oil Is Trading Above a Key Level U.S. producers still have a long to go, however. Only Hess has gained since the last time oil traded above $40.", "Apple Stock Extends Rally as Analysts Gush Over Conference Speech The stock has now rallied about 60% from its March lows, a move that has lifted the company\u2019s market valuation by close to $600 billion.", "Charting a bullish summer start, Nasdaq takes flight to record territory Focus: Gold challenges seven-year highs, Biotech sector reaches record territory, Apple asserts bullish continuation pattern, GLD, XBI, AAPL, SPLK, HOLX Technically speaking, the U.S. benchmarks\u2019 bigger-picture backdrop remains bullish, on balance, despite increasingly uneven market price action, writes Michael Ashbaugh.", "Mercedes-Benz and Nvidia Sign a Deal to Make Car

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0356 (i.e., a 3.56% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0356 = 2.8129, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


BTC-USD: 60-day history, VaR(99%)=-0.0812, max drawdown threshold=10%.

Question:
Asset: BTC-USD
Daily returns (past 60 days): mean=0.0069, std=0.0455, worst_day=-0.1050
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0812 (i.e., a 8.12% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0812 = 1.2308, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLY: 60-day history, VaR(99%)=-0.0299, max drawdown threshold=10%.

Question:
Asset: XLY
Daily returns (past 60 days): mean=0.0025, std=0.0114, worst_day=-0.0388
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2020-08-31] ["Apple's stock rallies as 4-for-1 split set to take effect Shares of Apple Inc. rallied 1.4% in premarket trading Monday, paring earlier gains, as the 4-for-1 stock split is set to become official after the opening bell. Given Friday's close was $499.23, the split-adjusted close is now $124.81. The stock would be adding roughly 11 points to the Dow Jones Industrial Average's price. The last after-hours trade at the pre-split-adjusted price was the equivalent of $501.90, representing a 0.5% gain, while the first premarket trade Monday at the split-adjusted price was $128.00, reflecting a gain of 2.6%. The Aug. 26 record close has been adjusted to $126.52, while the Aug. 24 all-time intraday high during regular-session hours has been adjusted to $128.79.", "Cruise operators took a deep bruising from COVID-19, but history says they will recover Cruise companies in the age of COVID-19: Industry with a history of disease outbreaks would appear to be doomed in a post-COVID world, but history says a loyal fan base has a short memory The cruise industry seemed doomed by the COVID-19 pandemic, given its history of onboard disease outbreaks. But it\u2019s exactly that history that suggests this time won\u2019t be different, and cruising will eventually flourish again.", "Five things you should know about Tesla ahead of its 5-for-1 stock split Tesla hopes to make ownership of its stock \u2018more accessible\u2019 Tesla Inc.shares will start trading Monday after a 5-for-1 stock split. Here are five things to know about the Silicon Valley electric-car maker.", "Three things you need to know about Apple\u2019s stock split The fifth split in the company\u2019s history led to changes for the Dow Jones Industrial Average that will also take place before trading begins Monday Apple Inc.\u2019s stock price will appear quite a bit lower Monday morning, but investors shouldn\u2019t fret.", "Barron\u2019s Daily: Nestle Just Bought a Biotech Company. Here\u2019s Why. Man dies after Portland protests turn violent, Dems clash with Trump administration over election security briefings, Apple and Tesla shares set for post-split trading, and other news to start your day.", "Tesla Stock, Apple Gain, and the Dow Is Rising U.S. stocks were poised to open higher, moving closer to completing their strongest August performances in decades.", "Apple stock's surges 2.1% as stock split takes effect", "Apple stock's first trade on Nasdaq at 9:30 a.m. ET after split adjustment was $127.62", "Apple\u2019s Stock Split 4-for-1. Here\u2019s What It Means for Investors. Morgan Stanley analyst Katy Huberty says Apple shares have historically outperformed the S&P 500 in the months both leading up to stock splits, and following them.", "Tesla Stock Split 5-for-1. What That Means for Investors. Shares of the electric-car company have gained 63% since the 5-for-1 split was announced on Aug. 11.", "Apple Split Its Stock. Analysts Stay Bullish and the Rally Continues. Investors take stock splits

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0299 (i.e., a 2.99% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0299 = 3.3437, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLV: 60-day history, VaR(99%)=-0.0103, max drawdown threshold=10%.

Question:
Asset: XLV
Daily returns (past 60 days): mean=0.0005, std=0.0055, worst_day=-0.0108
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2017-11-22] ["Apple Could Offer \u2018iPhone 8s\u2019 With Large, non-OLED Screen, Says Rosenblatt Apple may offer an \"iPhone 8s\" next year that ditches the AMOLED display but offers a larger screen in 2018, speculates analyst Jun Zhang with Rosenblatt Securities.", "\u2018League of Legends\u2019 owner Tencent is closing in on Amazon Tencent\u2019s shares trade on the Pinks sheets, but the Hong Kong-based company is now more valuable than Facebook Pink sheets-listed Tencent Holding\u2019s market value passed Facebook, and is now closing in on Amazon.", "Apple and big tech will drive total 2017 corporate cash stockpile up to $1.9 trillion Tech sector\u2019s slice of all corporate cash approaches 50%, with its offshore stash only growing: Moody\u2019s Led by Apple, technology companies continue to boast strong cash flow generation, leaving a select five firms atop a corporate cash heap that will only grow more this year, Moody\u2019s Investors Service data out Monday showed.", "Apple has acquired augmented reality headset maker Vrvana: TechCrunch Apple Inc. has acquired Vrvana, maker of an augmented reality headset called Totem, for about $30 million, TechCrunch reported, citing two unnamed sources. The headset got strong reviews, but never shipped, the website reported. Apple declined to comment, but did not deny the story, said TechCrunch. Apple is reported to be preparing to ship an AR headset by 2020. Apple shares were slightly higher in premarket trade, and have gained 49% in 2017, while the Dow Jones Industrial Average has gained 19% and the S&P 500 has gained 16%.", "Samsung accidentally confirms its making a Galaxy X\u2014and it\u2019s not what you\u2019d expect New device is Samsung\u2019s first bendable smartphone The Galaxy X is Samsung\u2019s first bendable smartphone, a device that\u2019s so complicated it might see a limited launch before Samsung is able to manufacture it en-masse.", "These stocks are primed for their seasonal breakout \u2014 and this time it\u2019s a humdinger Critical information for the U.S. trading day Investors have gobbled up just about every corner of this market that has been performing well for them this year. Is there no hidden corner? Yes, says our call of the day, who is looking for small-caps to outperform in the next few months.", "Follow this pattern to make money outside FAANG stocks Wal-Mart, Intel, Cisco and Applied Materials can compete as investments with the likes of Facebook, Amazon and the other FAANG stocks Wal-Mart, Intel, Cisco and Applied Materials can compete as investments with the likes of Facebook, Amazon and the other FAANG stocks. By Nigam Arora.", "Forget AT&T. Time Warner Could Pair With Disney, CBS, Fox Even if the AT&T deal doesn't go through, it makes sense for Time Warner to partner up.", "Bring Out the Bulls: Stocks Gain More Tailwinds Hold the turkey: Thanksgiving is usually bullish. Stocks are up on earnings, tax hopes and seasonal cycles.", "Nvidia: VC Firm Loup Ventures Lauds Potentia

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0103 (i.e., a 1.03% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0103 = 9.6652, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XRP-USD: 60-day history, VaR(99%)=-0.0985, max drawdown threshold=10%.

Question:
Asset: XRP-USD
Daily returns (past 60 days): mean=-0.0043, std=0.0387, worst_day=-0.1086
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0985 (i.e., a 9.85% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0985 = 1.0156, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


EWJ: 60-day history, VaR(99%)=-0.0248, max drawdown threshold=10%.

Question:
Asset: EWJ
Daily returns (past 60 days): mean=0.0009, std=0.0085, worst_day=-0.0251
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2019-10-15] 2 Cheap Dividend Stocks You Can Buy Right Now The technology sector has become a great place to look for dividend stocks, as the 3.2% average yield offered by companies in this sector is more than double the S&P 500's average dividend yield of 1.5%. What's more, dividend-paying technology companies offer investors the potential to benefit from fast-growing trends and the associated stock price upside. This is why we are going to take a closer look at Applied Materials (NASDAQ: AMAT) and Xilinx (NASDAQ: XLNX) -- two stocks that are sitting on notable opportunities and trade at very attractive valuations. Image Source: Getty Images Applied Materials could give its dividend a nice hike next year Applied Materials' 1.65% forward dividend yield might be lower than the technology sector's average, but there's a lot to like about the company. First, the stock has shot up over 50% so far in 2019 despite a muted financial performance lately, which shows its resilience and investors' faith in the company's long-term prospects. The rally doesn't seem to be misplaced as it is a solid bet on the rise of the semiconductor industry. It supplies chip fabrication equipment to semiconductor companies, so the demand for its products stands to rise in the future on the back of emerging technology trends -- 5G networks, the Internet of Things, artificial intelligence, and autonomous driving, among others -- that will create the need for more complex chips. The semiconductor industry is going through a lean patch right now, but the company sees a turnaround taking place next year. CEO Gary Dickerson pointed this out on the latest earnings conference call: "Taking these factors into account, our view of overall wafer fab equipment spending for 2019 remains the same down mid-to-high teens on a percentage basis relative to last year. We see 2020 is a more positive set up for the industry in Applied with the start of a recovery and memory investment and sustained strength in foundry logic spending." The next reason to buy Applied Materials is valuation. Despite the rally, the stock continues to trade at an affordable valuation. Its trailing price-to-earnings (P/E) ratio of 15.7 is lower than the company's five-year average multiple of 18. So, now would be a good time to go long on the stock as a turnaround next year could encourage the company to give its dividend a nice bump. I'm saying that because Applied Materials had doubled its quarterly dividend payout in early 2018 thanks to a favorable financial performance and its tradition of returning around 90% of the free cash flow back to investors. It has stuck to that tradition despite a fall in its free cash flow over the past year, having returned $724 million to shareholders (share repurchases and dividend payments combined) in the fiscal third quarter when its free cash flow came in at $694 million. AMAT total dividends paid (quarterly) data by YCharts. Applied Materials' dividend payout was $196 million during the qu

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0248 (i.e., a 2.48% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0248 = 4.0387, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


QUAL: 60-day history, VaR(99%)=-0.0230, max drawdown threshold=10%.

Question:
Asset: QUAL
Daily returns (past 60 days): mean=0.0008, std=0.0080, worst_day=-0.0339
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2016-08-01] ["Tech Turbocharged By Earnings, Chart Breakouts Last week\u2019s killer earnings from Facebook, Alphabet and Apple paced an already energized tech sector.", "The drive behind Uber and Didi\u2019s odd billions Ride-hailing services battle for China with cash that isn\u2019t coming from venture capital Two ride-hailing giants are bringing in billions of dollars from untraditional sources, and the goals seem clear.", "The complicated web of companies that will determine the future of cars Race with tech giants to autonomous services pushes partnerships between carmakers and ride-hailing startups Auto makers, ride-hailing companies and tech companies are all part of an intricate web of partnerships and investments working toward an autonomous future.", "Sony: Could Have 54% Upside; Four Reasons to Be Bullish Japanese electronics giant Sony (6758.JP) is making investors believe in the stock again. Shares are up 2.2% this morning following the company\u2019s stunning June quarter earnings beat last Friday. The stock has rebounded 12% this year after having plummeted 35% in the second half ofSony unveiled a JPY56 billion operating profit for the June quarter, which is well above the JPY3 billion operating loss analysts were expecting. Revenues of JPY1.6 trillion were down 11% year-on-year although the fall narrows to 3% after adjusting for the stronger yen.READ MORE>>", "Didi Chuxing reaches deal to buy Uber\u2019s China operations Uber, investors in UberChina unit will own 20% of Didi; Chinese ride-hailing company will invest $1 billion in Uber Global ride-hailing giant Uber Technologies Inc. has given up its costly battle for China\u2019s riders, swapping its local operations there for a minority stake in the country\u2019s homegrown champion, Didi Chuxing Technology Co.", "Earnings signal a bear market: \u2018Sell the house, sell the car, sell the kids\u2019 Critical intelligence before the U.S. market opens Investors are certainly looking for something to light a fire under this market, considering the S&P 500 over the past 11 days has been stuck in the narrowest range in 45 years.", "Worldwide tablet shipments plunge 12% in second quarter: IDC", "VirnetX's stock plunges 46% premarket after disappointing court ruling on Apple patent suits", "Apple grows share of total tablet market despite sales decline Worldwide shipments of tablets fell 12% in the second quarter, according to a new report from IDC. Roughly 65% of tablets shipped this past quarter were run on Alphabet Inc.'s Android operating system, followed by Apple Inc.'s ioS, which captured 26% of the market. Apple's shipments fell by 9% year-over-year, but the launch of a new iPad Pro earlier this year helped to increase average selling prices for iPads, lifting Apple's total share of the market from 25% last year. Samsung Electronics Co.'s share decreased to 15.6% from 18.2% a year ago, as its shipments plunged 25% during the quarter. Lenovo, Huawei and Amazon.com Inc. rounded out the top fi

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0230 (i.e., a 2.30% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0230 = 4.3464, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


REZ: 60-day history, VaR(99%)=-0.0138, max drawdown threshold=10%.

Question:
Asset: REZ
Daily returns (past 60 days): mean=0.0003, std=0.0060, worst_day=-0.0169
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0138 (i.e., a 1.38% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0138 = 7.2646, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLF: 60-day history, VaR(99%)=-0.0277, max drawdown threshold=10%.

Question:
Asset: XLF
Daily returns (past 60 days): mean=0.0003, std=0.0110, worst_day=-0.0337
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2021-11-29] ["Is Autodesk Stock a Buy? Autodesk's (NASDAQ: ADSK) stock plunged 15% on Nov. 24 after the design software maker posted its third-quarter earnings report. Its revenue rose 18% year-over-year to $1.13 billion, which beat estimates by $10 million. Its adjusted earnings grew 28% to $1.33 per share, which also topped expectations by seven cents. Autodesk's headline numbers looked healthy, but its profit guidance for the fourth quarter slightly missed analysts' expectations. Did the market overreact and create an attractive buying opportunity? Image source: Getty Images. Its core businesses are still growing Autodesk organizes its software portfolio into four main segments: AEC (Architecture, Engineering, and Construction), AutoCAD and AutoCAD LT, MFG (Manufacturing), and M&E (Media and Entertainment). During the third quarter, it generated 45% of its revenue from the AEC segment, 28% from the AutoCAD segment, 20% from the MFG segment, and 6% from the M&E segment. All four segments have generated accelerating year-over-year growth over the past two quarters: REVENUE GROWTH (YOY) Q3 2021 Q4 2021 Q1 2022 Q2 2022 Q3 2022 AEC 17% 18% 16% 21% 22% AutoCAD 14% 11% 9% 12% 14% MFG 7% 17% 8% 12% 16% M&E 7% 14% 5% 10% 17% Total 13% 16% 12% 16% 18% Source: Autodesk. YOY = Year-over-year. Autodesk's businesses remained resilient throughout the pandemic because it had previously transformed its desktop software into cloud-based subscription services. That strategy, which closely mirrors Adobe's (NASDAQ: ADBE) transformation of its creative software into cloud-based services, locked in Autodesk's customers with sticky subscriptions. Just as Adobe's suite of creative software services are considered indispensable to many graphic designers and media professionals, Autodesk's software products are considered industry-standard tools for architects, engineers, designers, and other professionals. That \"best in breed\" reputation gives it a wide moat with plenty of pricing power. That pricing power and tighter cost controls boosted its adjusted operating margin year-over-year -- from 29% to 31% -- in the first nine months of fiscal 2022. It also expects to post an adjusted operating margin of approximately 31% for the full year, compared to 29% in fiscal 2021. Was Autodesk's guidance that bad? Autodesk expects that growth to continue. CFO Debbie Clifford said the market's \"demand was robust\" throughout the third quarter, and should \"remain so\" in the fourth quarter. However, the midpoints of Autodesk's revenue and earnings guidance for the fourth quarter slightly missed Wall Street's expectations, even though its full-year guidance still matched their estimates: METRIC (YOY) AUTODESK: ANALYSTS: Q4 2022 Revenue Growth 14%-15% 15% Q4 2022 Adjusted EPS Growth 19%-25% 25% FY 2022 Revenue Growth 15% 15% FY 2022 Adjusted EPS Growth 23%-24% 23% Source: Autodesk. Clifford attributed its slowdown in the fourth quarter to the \"supply chain disruption and resulting inflationar

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0277 (i.e., a 2.77% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0277 = 3.6131, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


ACWI: 60-day history, VaR(99%)=-0.0305, max drawdown threshold=10%.

Question:
Asset: ACWI
Daily returns (past 60 days): mean=-0.0003, std=0.0131, worst_day=-0.0309
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-10-05] ["After Hours Most Active for Oct 5, 2022 : DKNG, BTRS, X, AAPL, TQQQ, FDX, QQQ, SHY, STOR, C, TMX, T The NASDAQ 100 After Hours Indicator is down -5.07 to 11,568.11. The total After hours volume is currently 56,919,551 shares traded. The following are the most active stocks for the after hours session: DraftKings Inc. (DKNG) is +0.02 at $16.72, with 4,538,767 shares traded. As reported by Zacks, the current mean recommendation for DKNG is in the \"buy range\". BTRS Holdings Inc. (BTRS) is unchanged at $9.30, with 3,054,891 shares traded. As reported in the last short interest update the days to cover for BTRS is 7.073858; this calculation is based on the average trading volume of the stock. United States Steel Corporation (X) is -0.04 at $20.15, with 2,353,442 shares traded. X's current last sale is 79.02% of the target price of $25.5. Apple Inc. (AAPL) is -0.03 at $146.37, with 1,812,454 shares traded. As reported by Zacks, the current mean recommendation for AAPL is in the \"buy range\". ProShares UltraPro QQQ (TQQQ) is -0.02 at $22.56, with 1,517,812 shares traded. This represents a 17.01% increase from its 52 Week Low. FedEx Corporation (FDX) is +0.01 at $156.88, with 1,504,179 shares traded. FDX's current last sale is 78.83% of the target price of $199. Invesco QQQ Trust, Series 1 (QQQ) is +0.09 at $282.07, with 1,464,731 shares traded. This represents a 5.6% increase from its 52 Week Low. iShares 1-3 Year Treasury Bond ETF (SHY) is +0.03 at $81.26, with 1,197,338 shares traded. This represents a .32% increase from its 52 Week Low. STORE Capital Corporation (STOR) is +0.05 at $31.48, with 1,160,148 shares traded. STOR's current last sale is 97.61% of the target price of $32.25. Citigroup Inc. (C) is unchanged at $43.84, with 1,073,662 shares traded. C's current last sale is 73.07% of the target price of $60. Terminix Global Holdings, Inc. (TMX) is -0.05 at $40.34, with 986,921 shares traded. TMX's current last sale is 91.68% of the target price of $44. AT&T Inc. (T) is +0.03 at $15.96, with 892,397 shares traded. T's current last sale is 71.73% of the target price of $22.25. The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.", "US STOCKS-Wall St slides as Fed's hawkish talk snuffs two-day rally By Herbert Lash, Ankika Biswas and Bansari Mayur Kamdar Oct 5 (Reuters) - Wall Street stocks slid on Wednesday, ending the biggest two-day rally since 2020, after data showed U.S. labor demand remained strong and as Federal Reserve officials stuck to their hawkish message that interest rates will stay higher for longer. U.S. private employers stepped up hiring in September, the ADP National Employment report on Wednesday showed, suggesting rising rates and tighter financial conditions have yet to curb labor demand as the Fed battles high inflation. The Institute for Supply Management's services industry employment gauge shot up in another sign labor remains strong as t

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0305 (i.e., a 3.05% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0305 = 3.2746, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


MORT: 60-day history, VaR(99%)=-0.0305, max drawdown threshold=10%.

Question:
Asset: MORT
Daily returns (past 60 days): mean=0.0026, std=0.0134, worst_day=-0.0363
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0305 (i.e., a 3.05% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0305 = 3.2783, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


VLUE: 60-day history, VaR(99%)=-0.0064, max drawdown threshold=10%.

Question:
Asset: VLUE
Daily returns (past 60 days): mean=0.0021, std=0.0053, worst_day=-0.0069
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2018-01-26] ["Qualcomm Fined by EC, Signs MoU With 4 Handset Developers", "Semiconductors finish week strong on Intel earnings", "Semiconductors finish week strong on Intel earnings", "Qualcomm Fined by EC, Signs MoU With 4 Handset Developers", "Qualcomm Fined by EC, Signs MoU With 4 Handset Developers Qualcomm Inc.QCOM recently signed a memorandum of understanding with four leading Chinese handset developers, namely, Lenovo Mobile Communication Technology, Ltd., Guangdong OPPO Mobile Telecommunications Corp., Ltd., vivo Communication Technology Co., Ltd. and Xiaomi Communications Co., Ltd., for a multi-year sale of RF Front-End solutions. The value of the deal is more than $2 billion. Notably, China is the most important market for Qualcomm after the United States. However, the company also received a bad news. The EC (European Commission), the regulatory authority of the European Union, has slapped a fine of \u20ac997 million (approximately $1.24 billion) on Qualcomm over anticompetitive practices related to mobile chipset sale. The EC claims that an iPhone/iPad modem exclusivity deal between Qualcomm and Apple Inc. AAPL , which lasted from 2011 to the end of 2016, amounted to anti-competitive behavior. Qualcomm abused its dominant market position for 4G LTE chipset and payed significantly to Apple to secure modem exclusivity. Another Major Recent Development Only a week ago, in a major relief to Qualcomm, the EC gave its nod to the company for the acquisition of NXP Semiconductors NV NXPI with some restrictive conditions. At the same time, South Korea's Fair Trade Commission also gave its nod for the deal. Notably, the deal has already been approved by the U.S. antitrust authorities. Only China is left to give its approval, which Qualcomm believes it will get very soon. The major positive of the contract is that it will enable Qualcomm to diversify its business model. The company is a leader in the mobile chipset market for smartphones and tablets. NXP, on the other hand, manufactures chips for next-generation automotive, industrial and Internet of Things (IoT) segments. Therefore, its acquisition of NXP will help Qualcomm to diversify into highly lucrative end markets such as auto, secured devices, connectivity and secure payments. These segments offer high-margin businesses with strong potential for future growth. The takeover will also push Qualcomm up the ranks to the second position after Intel Corp. INTC in terms of sales in the broader global semiconductor market. Moreover, the combined entity will emerge a formidable challenger to other large semiconductor firms like Broadcom Ltd. AVGO , Analog Devices Inc. ADI and ARM Holdings. Likely Effect on Broadcom's Hostile Bid On Nov 6, 2017, Broadcom submitted a bid to acquire Qualcomm for a consideration of $130 billion (including $25 billion in net debt). On Nov 13, Qualcomm's board of directors turned down the offer on grounds of inadequacy, as it is currently the largest mobile chipset maker globally.

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0064 (i.e., a 0.64% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0064 = 15.6269, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XRP-USD: 60-day history, VaR(99%)=-0.1380, max drawdown threshold=10%.

Question:
Asset: XRP-USD
Daily returns (past 60 days): mean=0.0085, std=0.0810, worst_day=-0.1449
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 0.7249

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1380 (i.e., a 13.80% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1380 = 0.7249, capped at 1.0.
Maximum position size = 0.7249 (72.5% of portfolio).


BNB-USD: 60-day history, VaR(99%)=-0.1320, max drawdown threshold=10%.

Question:
Asset: BNB-USD
Daily returns (past 60 days): mean=0.0015, std=0.0471, worst_day=-0.1581
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2021-10-27]

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

Answer: 0.7576

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1320 (i.e., a 13.20% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1320 = 0.7576, capped at 1.0.
Maximum position size = 0.7576 (75.8% of portfolio).


BTC-USD: 60-day history, VaR(99%)=-0.1005, max drawdown threshold=10%.

Question:
Asset: BTC-USD
Daily returns (past 60 days): mean=0.0042, std=0.0385, worst_day=-0.1106
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 0.9951

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1005 (i.e., a 10.05% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1005 = 0.9951, capped at 1.0.
Maximum position size = 0.9951 (99.5% of portfolio).


BNDX: 60-day history, VaR(99%)=-0.0040, max drawdown threshold=10%.

Question:
Asset: BNDX
Daily returns (past 60 days): mean=0.0004, std=0.0022, worst_day=-0.0041
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0040 (i.e., a 0.40% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0040 = 25.0127, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


MATIC-USD: 60-day history, VaR(99%)=-0.1092, max drawdown threshold=10%.

Question:
Asset: MATIC-USD
Daily returns (past 60 days): mean=0.0046, std=0.0598, worst_day=-0.1198
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-09-14]

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

Answer: 0.9160

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1092 (i.e., a 10.92% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1092 = 0.9160, capped at 1.0.
Maximum position size = 0.9160 (91.6% of portfolio).


XRP-USD: 60-day history, VaR(99%)=-0.0801, max drawdown threshold=10%.

Question:
Asset: XRP-USD
Daily returns (past 60 days): mean=-0.0073, std=0.0271, worst_day=-0.1135
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0801 (i.e., a 8.01% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0801 = 1.2478, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


EEM: 60-day history, VaR(99%)=-0.0290, max drawdown threshold=10%.

Question:
Asset: EEM
Daily returns (past 60 days): mean=0.0002, std=0.0114, worst_day=-0.0341
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2016-10-31] ["Music industry still plagued by pirated CDs Even in the digital era there are plenty of music fans who still buy old-fashioned compact discs for more than $10 a pop. But the money that shoppers have been spending on CDs lately hasn't necessarily been going to the artists and record labels who created the music.", "Apple hikes U.K. prices 20% \u2014 blame Brexit Consumer confidence in the U.K. slides in October Apple becomes the latest corporate giant to raise prices in the U.K. to address the pound plunge and the moves are starting to squeeze British households.", "Apple\u2019s underwhelming Mac event was lacking in innovation Opinion: Incremental improvements and annoying changes Apple Inc. hosted one of its most boring product launch events in recent years, one that is not likely to give investors confidence that innovation is alive and well at Apple", "Apple demolished by Microsoft at their respective PC events Microsoft hailed as the winner over Apple following back-to-back events Apple\u2019s PC event was underwhelming compared with Microsoft\u2019s, and many designers are for the first time turning to Windows over iOS.", "\u2018Game changer\u2019 could derail a traditionally great stretch for stocks Critical information ahead of the U.S. market\u2019s open Thanks to the FBI\u2019s fresh probe into Hillary\u2019s emails, it looks like that volatility traders have been missing is back, and there\u2019s nothing to suggest we won\u2019t see more of the same as we careen toward Election Day", "Nomura Ups Qualcomm To Buy, Praises NXP Semi Deal Qualcomm (QCOM) is rising Monday, after Nomura analyst Romit Shah gave the NXP Semi (NXPI) deal his blessing and upgraded the stockShah raised his rating on the stock from Neutral to Buy and boosted his price target from $55 to $80, writing that NXP is a good business that will add \u201ca ton\u201d of scale for Qualcomm, expanding its total addressable market and creating new opportunities for its Snapdragon suite of chips.", "Four Key Takeaways From Apple\u2019s 10K RBC Capital Markets\u2019 Amit Daryanani reviewed Apple\u2019s (AAPL) recently released 10K filing, and reiterated an Outperform rating and $125 price target on the stock Monday.He writes that there are a number of key findings from the stock, including the fact that initial fiscal 2017 capex spending is forecast up 26% year over year and total manufacturing and purchase commitments are up 3% year over year. The company has already spent some $133 billion of its $175 billion share repurchase authorization as well.", "Is buying a pair of Ivanka Trump shoes a political endorsement? A new survey found more than half of millennial women would still buy her shoes A new survey found more than half of millennial women would still buy shoes from the daughter of current Republican presidential candidate.", "Has Apple become a value play? In the wake of its earnings report, the stock may be flashing a buy signal.", "Could Apple Buy Time Warner? Would

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0290 (i.e., a 2.90% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0290 = 3.4456, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


BTC-USD: 60-day history, VaR(99%)=-0.0642, max drawdown threshold=10%.

Question:
Asset: BTC-USD
Daily returns (past 60 days): mean=0.0092, std=0.0378, worst_day=-0.0686
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0642 (i.e., a 6.42% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0642 = 1.5585, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


EWJ: 60-day history, VaR(99%)=-0.0202, max drawdown threshold=10%.

Question:
Asset: EWJ
Daily returns (past 60 days): mean=0.0000, std=0.0079, worst_day=-0.0228
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2019-07-26] ["SoftBank launches another tech megafund, backed by Apple, Microsoft Second Vision Fund, with about $108 billion secured, will invest in AI SoftBank Group Corp. said it would start a second technology megafund and has secured $108 billion in commitments from investors including Apple Inc., Japanese banks, Taiwanese investors and Kazakhstan\u2019s sovereign-wealth fund.", "SoftBank Unveils Plans For $108 Billion Vision Fund 2 The Japanese holding company said investors in the new fund include Apple, Microsoft, Foxconn, and others.", "Asian markets pull back as Japan-South Korea trade tensions escalate Japan reportedly will diminish South Korea\u2019s trade status Asian shares were lower Friday as investors continued to watch the brewing trade conflict between China and the U.S., and any signs of what\u2019s in store from central banks.", "Tesla\u2019s key executive departures, in one handy list News that Tesla\u2019s Chief Technology Officer J.B. Straubel is stepping down from that role is just the latest move in a long list The departure of Tesla Inc.\u2019s J.B. Straubel is a song Tesla has heard before \u2014 numerous times.", "Even Intel doesn\u2019t seem to know what\u2019s going to happen with Intel Amid sale of modem-chip business to Apple and a forecast flip-flop, Intel seems to be unsure of path for it, or the chip industry, in second half In the semiconductor industry, \u201cmixed signal\u201d usually refers to chips that combine digital and analog circuitry. When referring to Intel Corp. right now, though, the standard definition of that phrase is more apt.", "Alphabet earnings show Google revenue growth rebounding, stock pops higher Profit and revenue beat expectations amid reported antitrust scrutiny Alphabet Inc. shares jumped 7% in after-hours trading Thursday after the online giant announced better-than-expected financial results.", "Facebook tops Amazon and Google in second-quarter lobbying spending Partisan split means \u2018we see little room for any legislation to actually materialize in the near term,\u2019 analysts say Facebook spent $4.1 million on lobbying Washington in the second quarter, topping the outlays by other so-called FAANG companies and keeping the tech giant on pace for another record year of spending to influence lawmakers and regulators.", "Google Needs to Buy Back Even More Stock Wall Street cheered the latest numbers, but Alphabet\u2019s repurchase program barely exceed its stock-based compensation, which totaled $5.5 billion in the first half of 2019.", "Are you a \u2018zombie eater\u2019? It could be bad for your health Distracted diners who stare at screens tend to eat more calories and choose fattier foods Distracted diners who stare at screens tend to eat more calories and choose fattier foods.", "Intel\u2019s earnings beat gets fairly cold reception from analysts Surprise rise in PC sales overshadowed by new chip rollout pace, AMD challenges Intel Corp. shares slip Friday following a big earnings beat

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0202 (i.e., a 2.02% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0202 = 4.9469, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


^VIX: 60-day history, VaR(99%)=-0.1798, max drawdown threshold=10%.

Question:
Asset: ^VIX
Daily returns (past 60 days): mean=-0.0007, std=0.0903, worst_day=-0.1825
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2016-03-02] ["Why Are Stocks Rising? Bond Market Has Answer Equities jumped 9% in two weeks, thanks to credit bounce. But debt can backfire, as energy sector shows.", "What to buy as the bulls get to partying again Critical information ahead of the U.S. market\u2019s open The happy-clappy start to this month has left investors wondering if it\u2019s actually OK to celebrate. If March is going to keep looking like a party for stock bulls, here\u2019s how to join in.", "Apple Pay Most Requested By Merchants Adopting Mobile Wallets: Piper Jaffray Piper Jaffray\u2019s Gene Munster has an update on Apple\u2019s (AAPL) Apple Pay, writing that as merchants integrate mobile wallets, Apple Pay is the most requested.Munster surveyed more than 500 merchant processing channel partners, and found that 44% of their point of sale merchant customers are using or have requested information about mobile wallet solutions, and 67% of those wanted Apple Pay.That figure dwarfs the 18% that requested Android Pay/Google Wallet (GOOGL), 8% for PayPal (PYPL) and 7% for Samsung Pay.Read More \u00bb", "Tech Today: Apple Pay Popularity, WhatsApp Ending BBRY Support, Zynga CEO Leaves Here are some things going on in your world of tech:Apple (AAPL) is lower, although Piper Jaffray writes that Apple Pay is the most requested mobile wallet from merchants.The FBI and Apple continue to testify before Congress in their battle over an encrypted iPhone used by a California shooter; the government agency admits it made a mistake early in the investigation. Microsoft (MSFT) spoke out again in support of Apple today.Read More \u00bb", "Charting the U.S. markets\u2019 March breakout Focus: The traditional sector leaders, XLF, QQQ, IYT, AAPL, ETN, KND, CMI The major U.S. benchmarks have broken out to start March, though with a move that gets low style marks. Nonetheless, each index has reached less-charted territory, placing distance atop its 50-day moving average.", "S&P Ups Technology Sector To Buy; Likes Apple, Google S&P Global Intelligence\u2019s Scott Kessler and his team upgrade the tech sector from Marketweight to Overweight , writing that solid fundamentals, attractive valuations and strong balance sheets make tech names a buy.Kessler writes that while tech stocks have been punished of late, much of the selloff is an overreaction, as concerns about the global economy and technology growth are already more than reflected in stocks.S&P\u2019s own data shows that S&P 500 IT Sector earnings rose 5% in 2015, even with the impact of a higher U.S. dollar to its large overseas business, and the highest net margins of any sector. Tech is projected to climb 2.8% this year, once again trumping the broader market. Yet its 2016 P/E is just 15.6 times, compared to 16.3 times for the S&P 500 as a whole.Read More \u00bb", "Money managers selling off more popular stocks, creating new positions Apple only widely held stock seeing increased position Money managers are looking for a few new stock ideas as funds

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

Answer: 0.5562

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1798 (i.e., a 17.98% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1798 = 0.5562, capped at 1.0.
Maximum position size = 0.5562 (55.6% of portfolio).


VTI: 60-day history, VaR(99%)=-0.0129, max drawdown threshold=10%.

Question:
Asset: VTI
Daily returns (past 60 days): mean=0.0009, std=0.0064, worst_day=-0.0141
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2018-07-02] ["Why there may never be a Netflix of videogames Years into parallel efforts to deliver videogame streams from the cloud, latency \u2014 and doubts \u2014 persist Plenty of companies, from multibillion-dollar tech titans to startups, are trying to develop a streaming service for videogames that could do to consoles and individual videogame sales what Netflix did to DVDs and the cable bundle. But the issues that stand in the way could keep it from ever happening as imagined.", "Tech Today: Can Tesla Keep It Up? Dell Going Public, Facebook\u2019s Instagram Numbers Tesla says it hit its goal of 5,000 Model 3s per week although some wonder if it's sustainable, Dell is going public again via a stock swap and CEO Michael Dell says the company will exploit a broad IT infrastructure spending trend, Lumentum is set to ride the expansion of \"augmented reality\" in Apple iPhones and other devices, and Facebook can see a big boost in revenue as its Instagram unit closes the pricing gap with other properties according to Ken Sena of Wells Fargo.", "Nasdaq supported by rebound in tech stocks; Apple up 0.8%", "NBA Veteran Jason Kidd Takes a Swing at Tech Investing Basketball legend Jason Kidd, like a growing number of other retired and current professional athletes, has invested in a tech startup. The appeal of making a bet on tech is proving to be irresistible. He cites the two-time defending NBA champion Golden State Warriors, whose players are dabbling in tech startups while lending star brand recognition to those companies.", "Taiwan Semi to Ride Wave of Custom AI Chips, Says Susquehanna Taiwan Semi has been the contract manufacturer to Apple and Qualcomm and Nvidia and others for a long time, but it has a new opportunity to make revenue off of the emerging industry of artificial intelligence chips, says Susquehanna's Mehdi Hosseini.", "U.S. stocks end higher as tech shares stage late-session rally U.S. stocks ended higher on Monday, reversing an early decline as a rebound in technology shares helped to offset ongoing uncertainty surrounding trade policy. The Dow Jones Industrial Average rose 0.1%. The S&P 500 ended 0.3% higher. The Nasdaq Composite Index gained 0.8%. Major indexes had opened lower in a broad decline, but equities improved throughout the session, and seven of the 11 primary S&P 500 sectors ended in positive territory. Leading the move higher was technology stocks, which rose 1% as the top-performing industry group of the day. Among the notable gainers, Apple Inc. added 1.1% while Microsoft Corp. was up 1.4%. Nvidia Corp. popped 2.3%.", "Tech sector contributed all of the stock market gains so far in 2018 Amazon.com accounted for more than a third of S&P 500 gains The equity markets\u2019 story of 2018, much like last year, was and still is the one of FAANGs\u2014high-flying large technology companies", "Why Apple stock is still a buy \u2014 even at $200 a share Three key valuation measures prove the stock\u2019s long-term value Three key v

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0129 (i.e., a 1.29% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0129 = 7.7385, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


TLH: 60-day history, VaR(99%)=-0.0065, max drawdown threshold=10%.

Question:
Asset: TLH
Daily returns (past 60 days): mean=0.0000, std=0.0040, worst_day=-0.0078
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0065 (i.e., a 0.65% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0065 = 15.4273, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


LINK-USD: 39-day history, VaR(99%)=-0.1712, max drawdown threshold=10%.

Question:
Asset: LINK-USD
Daily returns (past 39 days): mean=0.0168, std=0.0964, worst_day=-0.1767
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 0.5840

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1712 (i.e., a 17.12% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1712 = 0.5840, capped at 1.0.
Maximum position size = 0.5840 (58.4% of portfolio).


VTI: 60-day history, VaR(99%)=-0.0098, max drawdown threshold=10%.

Question:
Asset: VTI
Daily returns (past 60 days): mean=0.0004, std=0.0045, worst_day=-0.0141
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2017-04-13] ["CEO average pay climbed more than $1 million in 2016 Warren Buffett was the lowest-earning CEO on the list, though his company was the top in revenue The Equilar 100 annual survey found that 2016 was a good year for CEO pay, with average compensation of $16.6 million.", "BlackBerry will likely spend surprise $815 million arbitration award on acquisitions Analysts say the Canadian device maker will pocket the entire sum from a binding arbitration decision against Qualcomm Canadian mobile device maker will pocket the entire sum awarded in a dispute with Qualcomm and it will bolster its balance sheet, analysts agree.", "Apple loses top spot on Laptop Magazine\u2019s best brands ranking for 2017 Lenovo takes top spot, followed by Asus, Dell and HP Apple drew only \u2018modest\u2019 reviews for its laptop lineup, because of its expensive products and lack of ports.", "Our Review of Apple's New Video Editor The \"Clips\" video-editing app has some of the magic you'd expect from Apple.", "PC companies must sell to businesses or die, but what about Apple? Opinion: First-quarter PC shipment reports warn that relying on consumers won\u2019t work, except for one company Personal computer makers not involved in the corporate market are likely to face consolidation or some other form of death, as consumers are dramatically slowing their purchases of PCs.", "An Apple buyout of Disney is 'logical,' has 'greater than 0%' probability--RBC Capital", "Why Apple should buy Disney, says RBC It would be \"logical\" for Apple Inc. to buy Walt Disney Co. , as it would allow Apple to replicate its music-iTunes strategy in the content-media space, said analyst Amit Daryanani at RBC Capital. While the odds of deal are \"low,\" Daryanani said he sees a \"confluence of events that make an acquisition of [Disney] a 'greater than 0%' probability event.\" He suggested the odds could increase if Apple is able to access the more-than $200 billion in cash it has overseas through a repatriation tax holiday. Disney's market capitalization was about $178.7 billion, according to FactSet. Daryanani said a deal would accelerate Apple's push into services and content, with Apple instantly leapfrogging Netflix Inc. , Amazon.com Inc. and Alphabet Inc.'s YouTube in content. \"There are plenty of factors to consider, but such a deal would create a tech/media juggernaut like no other and instantly scale [Apple's] services, content and media portfolio, which would make the case for a higher valuation,\" Daryanani wrote in a note to clients. Apple's stock slipped 0.3% and Disney shares inched up 0.1% in premarket trade. Year to date, Apple's stock has soared 22%, Disney shares have climbed 8.5% and the Dow Jones Industrial Average has gained 4.7%.", "Apple: A $237B Bid for Disney Not a Bad Idea, Says RBC RBC Capital\u2019s Amit Daryanani, who covers Apple (AAPL), today reflects on the chances the company might try to buyWalt Disney (DIS), arguing there is a better than 0% chance, because Appl

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0098 (i.e., a 0.98% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0098 = 10.1968, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


^VIX: 60-day history, VaR(99%)=-0.1226, max drawdown threshold=10%.

Question:
Asset: ^VIX
Daily returns (past 60 days): mean=-0.0078, std=0.0615, worst_day=-0.1261
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2019-11-25] ["Noteworthy ETF Outflows: TQQQ, CMCSA, CSCO, ADBE Looking today at week-over-week shares outstanding changes among the universe of ETFs covered at ETF Channel, one standout is the ProShares ProShares UltraPro QQQ (Symbol: TQQQ) where we have detected an approximate $92.8 million dollar outflow -- that's a 2.5% decrease week over week (from 49,850,000 to 48,600,000). Among the largest underlying components of TQQQ, in trading today Comcast Corp (Symbol: CMCSA) is off about 1.9%, Cisco Systems Inc (Symbol: CSCO) is up about 1%, and Adobe Inc (Symbol: ADBE) is higher by about 1.1%. For a complete list of holdings, visit the TQQQ Holdings page \u00bb The chart below shows the one year price performance of TQQQ, versus its 200 day moving average: Looking at the chart above, TQQQ's low point in its 52 week range is $30.32 per share, with $76.47 as the 52 week high point \u2014 that compares with a last trade of $76.36. 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 experienced notable outflows \u00bb The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.", "Why Adobe's Revenue Growth Rate Looks Poised To Increase In 2020 Adobe\u00c2 (NASDAQ: ADBE)\u00c2 makes money by selling software for creative content and marketing purposes with a focus on user experience. The company\u00e2\u0080\u0099s products are offered as subscription-based service and through licenses.\u00c2 Adobe competes with Apple, Autodesk, Avid, Corel, Microsoft, Affinity, Quark in its Digital Media offerings, and Google, IBM, Oracle, salesforce.com, SAP, SAS, Teradata, Shopify in its Digital Experience segment. Adobe\u2019s strong results for the third quarter highlight the resilience of its revenue streams despite an uncertain macro-environment.\u00c2 We highlight trends in Adobe\u2019s Revenues over the years along with our forecast for 2019 and 2020 in an interactive dashboard. We believe that the company\u2019s\u00c2 2 core operating segments \u2013 Digital Media as well as Digital Experience \u2013 have significant growth prospects, which will help revenues

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

Answer: 0.8154

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1226 (i.e., a 12.26% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1226 = 0.8154, capped at 1.0.
Maximum position size = 0.8154 (81.5% of portfolio).