QUAL: 60-day history, VaR(99%)=-0.0110, max drawdown threshold=10%.

Question:
Asset: QUAL
Daily returns (past 60 days): mean=0.0011, std=0.0049, worst_day=-0.0128
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2018-09-17] ["New Apple Watch doesn\u2019t have the feature most consumers want Price is the key factor for Apple smartwatch sales, analyst says, so most will buy older models instead of Apple Watch Series 4 \u2018We continue to expect the lowest price option will account for the bulk of Watch volume on a global basis,\u2019 says an analyst.", "Jeff Bezos\u2019 fortune is growing even faster than he can give it away Bezos\u2019 personal wealth has grown by about $4 billion this week The Amazon founder and CEO, the richest man in modern history, on Thursday stepped up his plans for major philanthropic giving by pledging $2 billion to set up the charitable \u201cBezos Day One Fund.\u201d", "Trade-war fears to loom large over stocks Bove: The Fed\u2019s interest-rate hikes could trigger a recession The single biggest fear dogging the financial markets is not the possible unraveling of emerging markets or the U.S. midterm elections but the specter of a full blown trade war, according to some strategists.", "Apple's stock could be blamed for all of the Dow's decline Shares of Apple Inc. dropped 1.7% in morning trade Monday, enough to pace the Dow Jones Industrial Average's decliners and to pull the blue-chip barometer down into negative territory. Apple's price decline shaved about 26 points off the Dow's price, which was down 19 points. Instinet analyst Jeffrey Kvaal reiterated his neutral rating on the stock, saying his analysis of weekend orders for Apple's new iPhones suggests shipments are tracking in line with expectations. Apple's stock was still up 16.5% over the past three months while the Dow was up 4.1%.", "Tech stocks haven't had a losing month since March and that may change as Nasdaq suffers September slump The Nasdaq Composite Index slumped late-morning Monday, with the day's slide helping to push the technology-and-internet focused gauge to its first monthly loss since March, according to FactSet data. The Nasdaq in late-morning trade was down about 80 points, or 1%, at 7,931. Worries that the U.S. trade clash with China was on the verge of escalating this week has kept investors on edge, particularly in tech, because that sector could be harmed by another round of tech-focused tariffs, market participants said. The Trump administration is planning to unveil new import duties on $200 billion in Chinese goods. The Nasdaq was on pace to shed 2.1% in September, which would be the index's worst monthly and only decline since a 2.9% fall. Beyond tariffs, industry watchers also have feared that shares within the group have gotten rich. Meanwhile, the Dow Jones Industrial Average was experiencing a less-severe slide on Monday, down 0.1% at 26,132, while the S&P 500 index was down 0.3% at 2,895. Notably, shares of Apple Inc. and Amazon.com Inc. , two of the world's most highly valued companies, were trading sharply lower on Monday, weighing on the broader market. Technically, Amazon is classified as a consumer-discretionary company and not tech in major b

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 = 0.0110 (i.e., a 1.10% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0110 = 9.0855, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


QUAL: 60-day history, VaR(99%)=-0.0169, max drawdown threshold=10%.

Question:
Asset: QUAL
Daily returns (past 60 days): mean=0.0015, std=0.0065, worst_day=-0.0174
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2019-11-26] 5 Momentum Stocks to Buy on the Rebound In early September, we saw an unprecedented shift in the investment landscape from momentum stocks to value stocks. This came amid a recovery in economic fundamentals and a sharp rise in interest rates. By mid-September, the the iShares Momentum Factor ETF (BATS:) was down more than 1%, while the iShares Value Factor ETF (BATS:) was up more than 7%. This big divergence prompted me to write a piece on InvestorPlace outlining . The logic was simple. These sharp momentum-to-value shifts don’t happen often. But, when they do, it’s when the things are getting better. See late 2016. It is investors voting with their money that the coast is clear to buy stocks that require a good economy to head higher. As such, these shifts are normally temporary, and a harbinger of a broader market rally. When they end, both value and momentum stocks power higher alongside a rising economy. Thus, I reasoned that the September weakness in momentum stocks presented a solid buying opportunity into 2020, when all stocks would power higher supported by easing trade tensions, re-accelerated global capital investment and economic activity, revamped corporate profit growth, healthy labor markets and supportive central bank policy. Fast forward two months. Since then, both the Momentum Factor ETF and Value Factor ETF are up more than 3%, five of the seven momentum stocks I recommended are up more than 8%, and three of them are up more than 20%. I think this momentum stock rebound will continue. As such, let’s take a deeper look at five of my favorite momentum stocks that have shown impressive strength since mid-September. Momentum Stocks to Buy on the Rebound: The Trade Desk (TTD) Source: Shutterstock % Gain Since Sept. 16: 20% At one point in time, programmatic advertising leader The Trade Desk (NASDAQ:) was one of the biggest losers in the mid-2019 momentum-to-value shift. Shares had shed almost a quarter of their value by mid-September. But, since then, shares have soared 20%. This big rebound in TTD stock will persist for a few reasons. First, the long-term fundamentals are favorable here. Programmatic advertising is “smart” advertising, which leverages algorithms, data and machine learning to transform ad transactions and ad spend allocations from a guess-and-check process, to an automated and optimized process. The whole ad industry is pivoting into programmatic advertising, yet only a small portion of global ad dollars are transacted programmatically today. The Trade Desk is at the center of this pivot. Thus, as more ad dollars flow into the programmatic channel over the next few years, TTD’s revenues and profits will continue to roar higher. Second, the valuation remains reasonable. By my numbers, The Trade Desk will net $12 in earnings per share by fiscal 2025, behind 20%-plus annual revenue growth, steady profit margin expansion and 25%-plus profit growth. Based on an exit multiple of 35-times forward earnings (which is average

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 = 0.0169 (i.e., a 1.69% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0169 = 5.9219, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


MATIC-USD: 60-day history, VaR(99%)=-0.1770, max drawdown threshold=10%.

Question:
Asset: MATIC-USD
Daily returns (past 60 days): mean=0.0349, std=0.1149, worst_day=-0.1846
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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: 0.5650

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1770 (i.e., a 17.70% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1770 = 0.5650, capped at 1.0.
Maximum position size = 0.5650 (56.5% of portfolio).


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

Question:
Asset: XLRE
Daily returns (past 60 days): mean=-0.0000, std=0.0102, worst_day=-0.0297
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2018-11-14] ["Apple stock swings lower after Goldman cuts target, another supplier slashes guidance Shares fall to 3 1/2-month low after seesaw session, suffer fourth straight decline Apple shares swung back to losses after a downbeat report from Goldman Sachs and another revenue warning from a supplier of smartphone components fueled concerns over deteriorating iPhone demand.", "Apple downgraded to neutral from buy at Guggenheim", "Apple's stock falls after Guggenheim downgrades, cuts earnings outlook Shares of Apple Inc. fell 0.4% in premarket trade Wednesday, which puts them in danger of a fifth-straight decline, after the technology giant was downgraded by analyst Rob Cihra at Guggenheim Securities, who said rising average selling prices (ASPs) was \"no longer enough\" to offset declining iPhone units. Cihra cut his fiscal 2019 earnings estimate to $12.97 a share from $13.41--the FactSet consensus is $13.44--and his revenue estimate to $273 billion from $281 billion. \"Over the past 10 years, Apple's iPhone ASP has increased a dramatic +$220, or 40%, reflecting its growing value to both consumer and business markets, but nearly half of all that just came in [fiscal year 2018] alone, making a period of digestion now likely,\" Cihra wrote in a note to clients. Apple's stock has tumbled 8.4% over the past four sessions to close at a 3 1/2-month low amid growing concerns over slowing iPhone demand. It was still up 13.6% year to date, while the Dow Jones Industrial Average has gained 2.3%.", "Oil, Apple, and More to Think About as the Dow Presses On Global equity markets are still under pressure. Worry over demand for Apple iPhones and the price of oil are dragging on stocks.", "Apple's stock turns higher, rallies 0.8% in premarket trade", "Apple\u2019s iPhone Revenue Is Poised to Fall Next Year, Analyst Says Demand for iPhones is likely to fall next year, and Apple\u2019s revenue from its key product is poised to decline, according to Guggenheim Securities.", "Here\u2019s how to easily reduce your investment risk just at the right time Mike Loewengart of E-Trade discusses equal-weighted and bond ETFs, and actively managed funds for diversification Mike Loewengart of E-Trade discusses equal-weighted and bond ETFs, and actively managed funds for diversification.", "The Dow Sinks Because There\u2019s More to Worry About Than Oil and Apple The Dow Jones Industrial Average was lower Wednesday as investors balanced largely positive news on inflation against Chinese data and worries about Brexit.", "Apple's stock falls 2.1%, as market-cap drops below $900 bln", "Podcast: PowerPoint Fatigue This week on The Readback, Alex Eule speaks with Al Root about the possible connection between the lenght of a company\u2019s earnings presentation and its stock.", "These two chart patterns tell the real story of the stock market Bullish and bearish patterns are of low quality Bullish and bearish patterns are of low quality.", "Dow's 205-point drop marks longest skid for blue ch

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0277 (i.e., a 2.77% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0277 = 3.6072, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


BTC-USD: 60-day history, VaR(99%)=-0.1026, max drawdown threshold=10%.

Question:
Asset: BTC-USD
Daily returns (past 60 days): mean=0.0032, std=0.0456, 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: 0.9749

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1026 (i.e., a 10.26% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1026 = 0.9749, capped at 1.0.
Maximum position size = 0.9749 (97.5% of portfolio).


EMB: 60-day history, VaR(99%)=-0.0057, max drawdown threshold=10%.

Question:
Asset: EMB
Daily returns (past 60 days): mean=0.0011, std=0.0034, worst_day=-0.0066
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to EMB, 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 = 0.0057 (i.e., a 0.57% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0057 = 17.3919, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLE: 60-day history, VaR(99%)=-0.0316, max drawdown threshold=10%.

Question:
Asset: XLE
Daily returns (past 60 days): mean=0.0006, std=0.0134, worst_day=-0.0335
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2016-10-04] ["Software-As-A-Service Competition Heats Up For Microsoft", "Software-As-A-Service Competition Heats Up For Microsoft", "Tech Stock Roundup: MSFT Deals, CRM Objections, TWTR Buy It was an eventful week for tech stocks in general and Microsoft MSFT in particular. The software giant entered into important alliances with Adobe ADBE , Workday WDAY , Dell, HP Enterprise HPE and got attacked by Salesforce CRM . Here's a quick look at the top stories: Microsoft Deal Week: Adobe, Workday, Renault Microsoft's alliances last week were notable. HP Enterprise and Dell, which officially joined Azure last week at its Ignite Conference in Atlanta, have everything to gain from the alliance. That's because Microsoft is the only one of the top cloud infrastructure providers that continues to bet on the hybrid cloud. Unlike Amazon AMZN and Alphabet's GOOGL Google, Microsoft expects companies to initially (and perhaps also later) use the public cloud for some operations while housing some sensitive operations on owned hardware. Therefore an alliance with Microsoft brings together the companies that can make this happen. Also at Ignite, the company announced a major collaboration with Adobe that will have the PDF software maker run its Adobe Marketing Cloud, Adobe Creative Cloud and Adobe Document Cloud on Azure. In return, Microsoft will make Adobe's marketing cloud the preferred marketing service for Dynamics 365, its own CRM solution. The combination of sales software from Microsoft and marketing software from Adobe will help users run Microsoft analytics on Adobe-stored data, thus putting up some solid competition for Salesforce's Sales Cloud and Marketing Cloud. What's more, the companies will cross-promote products. While Adobe will continue to work with Amazon's AWS for customers that want it, Adobe CEO Shantanu Narayen has said, \"We're going to be focusing our innovation and efforts on Azure.\" The company's alliance with Workday, intended to roll out this quarter, is intended to integrate Workdays' HR and finance software with Microsoft's Office 365 productivity solutions. The combined resources are expected to help customers \"simplify their business processes, enhance collaboration, and infuse more intelligence into their organizations,\" according to Microsoft CEO Nadella. There will also be employee-related analytics, such as how employee time is used. Renault and Nissan, that have gotten together to develop self driving car technology have now chosen Microsoft's Azure to provide advanced navigation, predictive maintenance and vehicle centric services, remote monitoring of car features, external mobile experiences and over-the-air updates. They also intend to collaborate on next-generation connected services for cars that will be powered by Azure services. SalesForce Opposes Microsoft-LinkedIn Deal After losing out in the bidding war to acquire LinkedIn, Salesforce is now trying to do what's second best. The main concern for the company is LinkedIn's d

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 = 0.0316 (i.e., a 3.16% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0316 = 3.1667, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


VTI: 60-day history, VaR(99%)=-0.0335, max drawdown threshold=10%.

Question:
Asset: VTI
Daily returns (past 60 days): mean=-0.0001, std=0.0171, worst_day=-0.0335
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
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srt:MinimumMember us-gaap:BuildingAndBuildingImprovementsMember 2021-07-0 [...TRUNCATED...] 60;                 104   Cover page formatted as Inline XBRL and contained in Exhibit 101   X                                 * Indicates a management contract or compensatory plan or arrangement. ** Furnished, not filed.     107 PART IV Item 16     ITEM 16. FORM 10-K SUMMARY None.     108     SIGNATURES Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned; thereunto duly authorized, in the City of Redmond, State of Washington, on July 28, 2022.   M ICROSOFT C ORPORATION   /s/ A LICE L. J OLLA Alice L. Jolla Corporate Vice President and Chief Accounting Officer (Principal Accounting Officer)   109     Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of Registrant and in the capacities indicated on July 28, 2022.   Signature   Title       /s/ S ATYA N ADELLA           Satya Nadella   Chairman and Chief Executive Officer (Principal Executive Officer)     /s/ R EID H OFFMAN              Reid Hoffman   Director     /s/ H UGH F. J OHNSTON            Hugh F. Johnston   Director     /s/  T ERI L. L IST   Teri L. List   Director     /s/  S ANDRA E. P ETERSON   Sandra E. Peterson   Director       /s/ P ENNY S. P RITZKER   Penny S. Pritzker   Director     /s/ C ARLOS A. R ODRIGUEZ   Director Carlos A. Rodriguez         /s/  C HARLES W. S CHARF           Charles W. Scharf   Director     /s/  J OHN W. S TANTON           John W. Stanton   Director       /s/ J OHN W. T HOMPSON           Lead Independent Director John W. Thompson         /s/ E MMA N. W ALMSLEY           Emma N. Walmsley   Director     /s/  P ADMASREE W ARRIOR   Padmasree Warrior   Director     /s/ A MY E. H OOD           Amy E. Hood   Executive Vice President and Chief Financial Officer (Principal Financial Officer)     /s/ A LICE L. J OLLA   Alice L. Jolla   Corporate Vice President and Chief Accounting Officer (Principal Accounting Officer)     110

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 = 0.0335 (i.e., a 3.35% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0335 = 2.9889, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLU: 60-day history, VaR(99%)=-0.0188, max drawdown threshold=10%.

Question:
Asset: XLU
Daily returns (past 60 days): mean=0.0010, std=0.0080, worst_day=-0.0220
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2019-07-12] ["Tlwm Buys Marathon Petroleum Corp, UnitedHealth Group Inc, HCP Inc, Sells Invesco S&P ...", "Will Hot Growth Stocks Break Out From These 5 Leading Industry Groups?", "Tigress Financial Analyst Ivan Feinseth Comments On Semiconductors Strength, Tell Benzinga 'Positive trends in US-China trade negotiations is lifting all the chip stocks.'", "UPDATE: Cassidy Also Tells Benzinga 'Japan / Korea trade issues may drive up the prices of memory devices following a year of memory prices in free fall. Prices for memory increased w/w for the first time in over a year.'", "Stifel Nicolaus Analyst Kevin Cassidy On Semiconductors Strength, Tells Benzinga 'The fed signaling lower interest rates and Trump loosening the ban on Huawei are both huge news for semiconductor companies.'", "Shares of several semiconductor companies are trading higher amid positive trends in US-China trade negotiations, Trump loosening the Huawei ban and the Fed signaling a rate cut. Japan/Korea trade tensions could also drive up memory prices.", "Shares of several semiconductor companies are trading higher amid positive trends in US-China trade negotiations, Trump loosening the Huawei ban and the Fed signaling a rate cut. Japan/Korea trade tensions could also drive up memory prices.", "UPDATE: Cassidy Also Tells Benzinga 'Japan / Korea trade issues may drive up the prices of memory devices following a year of memory prices in free fall. Prices for memory increased w/w for the first time in over a year.'", "Stifel Nicolaus Analyst Kevin Cassidy On Semiconductors Strength, Tells Benzinga 'The fed signaling lower interest rates and Trump loosening the ban on Huawei are both huge news for semiconductor companies.'", "Tigress Financial Analyst Ivan Feinseth Comments On Semiconductors Strength, Tell Benzinga 'Positive trends in US-China trade negotiations is lifting all the chip stocks.'", "Tlwm Buys Marathon Petroleum Corp, UnitedHealth Group Inc, HCP Inc, Sells Invesco S&P ...", "Will Hot Growth Stocks Break Out From These 5 Leading Industry Groups?", "Shares of several semiconductor companies are trading higher amid positive trends in US-China trade negotiations, Trump loosening the Huawei ban and the Fed signaling a rate cut. Japan/Korea trade tensions could also drive up memory prices.", "UPDATE: Cassidy Also Tells Benzinga 'Japan / Korea trade issues may drive up the prices of memory devices following a year of memory prices in free fall. Prices for memory increased w/w for the first time in over a year.'", "Stifel Nicolaus Analyst Kevin Cassidy On Semiconductors Strength, Tells Benzinga 'The fed signaling lower interest rates and Trump loosening the ban on Huawei are both huge news for semiconductor companies.'", "Tigress Financial Analyst Ivan Feinseth Comments On Semiconductors Strength, Tell Benzinga 'Positive trends in US-China trade negotiations is lifting all the chip stocks.'", "Tlwm Buys Marathon Petroleum Corp, UnitedHealth Group Inc, HCP Inc, Sells Invesco S&P ...", "Will H

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 = 0.0188 (i.e., a 1.88% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0188 = 5.3284, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


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

Question:
Asset: XLF
Daily returns (past 60 days): mean=0.0003, std=0.0070, worst_day=-0.0161
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2015-06-09] Amgen's Repatha Briefing Document Gives Mixed Review - Analyst Blog Amgen Inc. 's AMGN PCSK9 inhibitor, Repatha (evolocumab), is set to face the FDA's Endocrinologic and Metabolic Drugs Advisory Committee (EMDAC) on Jun 10, 2015. The FDA released briefing documents ahead of the advisory committee's meeting. Amgen is looking to get Repatha approved for the treatment of adult patients suffering from primary (non-familial) or heterozygous familial hypercholesterolemia and patients ≥12 years with homozygous familial hypercholesterolemia. In its briefing documents, the FDA noted that both dosing regimens (140 mg once every 2 weeks/Q2W and 420 mg once monthly) of Repatha resulted in a statistically significant reduction in LDL-C ("bad" cholesterol) of approximately 60% after 12 and 52 weeks of treatment. But concerns have been raised regarding the appropriate patient population likely to benefit from this drug given the lack of safety and efficacy data for the 420 mg Q2W dose since this dosing regimen could potentially be used in children aged 12 years or older. Moreover, the FDA recommended that, if approved, potential safety issues, including pancreatitis, serious renal disorders and a possible increased incidence of new onset diabetes in certain patients should be adequately addressed in the drug's labeling and appropriately monitored by health care providers. The regulatory agency also mentioned that these issues should be comprehensively assessed in ongoing studies. We note that last month, Repatha had gained a positive opinion from the European Medicines Agency's Committee for Medicinal Products for Human Use recommending its approval in the EU for cholesterol management. PCSK9 inhibitors work by inhibiting PCSK9, a protein that reduces the liver's ability to remove "bad" cholesterol from the blood. However, Amgen is not the only company working on bringing a PCSK9 inhibitor to market. We remind investors that Sanofi SNY and Regeneron REGN are also seeking EU and U.S. approval for their PCSK9 inhibitor Praluent. The FDA's EMDAC is scheduled to review the candidate today. We note that the FDA action date for Praluent is Jul 24, which is ahead of the FDA action date of Aug 27 for Repatha. Investor focus will remain on the outcome of the FDA advisory panel meetings. Amgen currently carries a Zacks Rank #2 (Buy). Gilead Sciences GILD is also a well-ranked stock in the health care sector sporting a Zacks Rank #1 (Strong 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 REGENERON PHARM (REGN): Free Stock Analysis Report SANOFI-AVENTIS (SNY): Free Stock Analysis Report GILEAD SCIENCES (GILD): Free Stock Analysis Report AMGEN INC (AMGN): Free Stock Analysis Report To read this article on Zac

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 = 0.0146 (i.e., a 1.46% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0146 = 6.8358, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLU: 60-day history, VaR(99%)=-0.0206, max drawdown threshold=10%.

Question:
Asset: XLU
Daily returns (past 60 days): mean=0.0003, std=0.0103, worst_day=-0.0256
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-03-11] ["Notable Friday Option Activity: UNH, ADBE, MCD Looking at options trading activity among components of the S&P 500 index, there is noteworthy activity today in UnitedHealth Group Inc (Symbol: UNH), where a total volume of 15,484 contracts has been traded thus far today, a contract volume which is representative of approximately 1.5 million underlying shares (given that every 1 contract represents 100 underlying shares). That number works out to 48.7% of UNH's average daily trading volume over the past month, of 3.2 million shares. Especially high volume was seen for the $440 strike put option expiring April 14, 2022, with 1,640 contracts trading so far today, representing approximately 164,000 underlying shares of UNH. Below is a chart showing UNH's trailing twelve month trading history, with the $440 strike highlighted in orange: Adobe Inc (Symbol: ADBE) options are showing a volume of 17,235 contracts thus far today. That number of contracts represents approximately 1.7 million underlying shares, working out to a sizeable 45.3% of ADBE's average daily trading volume over the past month, of 3.8 million shares. Especially high volume was seen for the $460 strike call option expiring March 18, 2022, with 1,226 contracts trading so far today, representing approximately 122,600 underlying shares of ADBE. Below is a chart showing ADBE's trailing twelve month trading history, with the $460 strike highlighted in orange: And McDonald's Corp (Symbol: MCD) saw options trading volume of 18,089 contracts, representing approximately 1.8 million underlying shares or approximately 44.8% of MCD's average daily trading volume over the past month, of 4.0 million shares. Especially high volume was seen for the $225 strike put option expiring March 11, 2022, with 1,147 contracts trading so far today, representing approximately 114,700 underlying shares of MCD. Below is a chart showing MCD's trailing twelve month trading history, with the $225 strike highlighted in orange: For the various different available expirations for UNH options, ADBE options, or MCD 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.", "Implied PWB Analyst Target Price: $84 Looking at the underlying holdings of the ETFs in our coverage universe at ETF Channel, we have compared the trading price of each holding against the average analyst 12-month forward target price, and computed the weighted average implied analyst target price for the ETF itself. For the Invesco Dynamic Large Cap Growth ETF (Symbol: PWB), we found that the implied analyst target price for the ETF based upon its underlying holdings is $83.61 per unit. With PWB trading at a recent price near $67.17 per unit, that means that analysts see 24.47% upside for this ETF looking through to the average analyst targets of the underlying holdings. Three

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 = 0.0206 (i.e., a 2.06% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0206 = 4.8571, 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=0.0003, std=0.0078, worst_day=-0.0228
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2019-07-03] ["Why Microsoft Stock Owners Shouldn\u2019t Worry About Linux Normally, a competitor\u2019s increased presence, especially in one\u2019s own turf, represents serious trouble. And under this context, consumer technology giant Microsoft (NASDAQ:) should be worried. Recently, a developer for the open-source platform Linux accidentally revealed that Linux-based operating systems had greater presence in Microsoft\u2019s Azure cloud network than Microsoft-based OS\u2019. Does this signal a dumping opportunity for Microsoft stock? Source: Shutterstock At first glance, the suddenly of Linux may startle stakeholders of Microsoft stock. After all, Linux is a free and open-source collaboration, meaning that it\u2019s impossible to profit from its mere existence. Of course, that philosophy runs counter to Microsoft\u2019s legacy revenue channels, where it sold programs and updates to those programs. By all accounts, it was an extremely profitable venture. But this latest bit of Microsoft news demonstrates that we\u2019re no longer in the 20th century. And despite the optics, the Linux development is a long-term positive for MSFT stock. How so? Because MSFT is, when it comes to software-related ventures, moving firmly toward the Software as a Solution (SaaS) model. Not only that, but the rise of Linux helps shift the narrative to the concept that Microsoft stock will now trade on the fundamentals of service offerings, not standalone products. For management, it doesn\u2019t really matter that Linux is the go-to choice for Azure users. For one thing, there\u2019s the fact that Azure is cheaper to run on Linux than on any other platform. Even Microsoft benefited from Linux\u2019s streamlined and efficient architecture to power its Internet of Things (IoT) devices. In other words, MSFT stock wins as long as Microsoft is somehow involved in the process. Office 2019 Offers Insight Into \u201cNew\u201d MSFT Stock When Microsoft 2019 launched during last year\u2019s fall season, it many observers. By that time, the tech firm had decisively entered the SaaS arena, and for good reasons. Namely, SaaS makes perfect sense for MSFT stock on multiple levels. First, subscription-based models utilize an ongoing contractual relationship. While the subscriber has to pay constantly, they also have access to the SaaS entity\u2019s service umbrella. Thus, when the need for updates arise \u2014 and that need perpetually exists \u2014 the platform automatically refreshes with relevant features. Second, the subscription model can quickly convert prospective buyers due to their much cheaper initial cost outlay. Once subs are on board, companies have greater chances to convert them to higher-margin services. Such strategies have rejuvenated Microsoft stock in the past. They\u2019ve also done wonders for Adobe (NASDAQ:). So when MSFT launched Office 2019, the computing public viewed it as one of the strangest pieces of Microsoft news. Unlike Office 365, Office 2019 was not an SaaS plat

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).


ETH-USD: 60-day history, VaR(99%)=-0.1176, max drawdown threshold=10%.

Question:
Asset: ETH-USD
Daily returns (past 60 days): mean=-0.0055, std=0.0483, worst_day=-0.1190
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 0.8501

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1176 (i.e., a 11.76% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1176 = 0.8501, capped at 1.0.
Maximum position size = 0.8501 (85.0% of portfolio).


XLB: 60-day history, VaR(99%)=-0.0258, max drawdown threshold=10%.

Question:
Asset: XLB
Daily returns (past 60 days): mean=0.0004, std=0.0102, worst_day=-0.0274
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2018-06-28] ["These top-rated funds reveal some of the world\u2019s hottest tech stocks All have beaten the S&P 500 tech sector for five years, and the holdings include less well-known companies such as Walsin Technology and Sino-American Silicon Products All have beaten the S&P 500 tech sector for five years, and the holdings include less well-known companies such as Walsin Technology and Sino-American Silicon Products.", "Ocasio-Cortez withholds support of Pelosi as House speaker | Trump to officiate at Foxconn groundbreaking McConnell vows vote on Supreme Court nominee before midterm elections Alexandria Ocasio-Cortez withholds support for Nancy Pelosi as House speaker; President Trump will officiate at a Foxconn facility groundbreaking on Thursday; and more.", "Here\u2019s how much stock investors could lose in a \u2018zero-sum\u2019 trade war Critical information for the U.S. trading day The trade-war talk isn\u2019t slowing down and our call of the day says global stocks could be set back years if this spat blows up.", "Cody Willard: I have more cash and hedges today than at any time in the past decade A trade war will knock the economy off-kilter A trade war will knock the economy off-kilter.", "DC Entertainment to launch digital subscription service in August DC Entertainment has begun accepting sign-ups for a beta version of its digital subscription service, dubbed DC Universe, the company announced Thursday. The beta version will launch in August, and a full launch will follow later in the fall. DC Entertainment is a subsidiary of Time Warner Inc., which was recently acquired by AT&T and renamed WarnerMedia. The subscription service will give fans access to new live-action and animated series, previously-released TV series and films and a curated, rotating selection of digital comic books, the company said. The platform will feature a social-media element where fans can connect with each other, earn rewards and participate in sweepstakes and contests. There will be shopping opportunities, as well. DC has not announced pricing yet, but is planning to launch DC Universe on iOS, Android, Roku, Apple TV, Amazon Fire TV, Android TV and the web, the company said. Shares of AT&T have fallen 18.3% so far this year, while the S&P 500 has gained 1.3%.", "Tech Today: Google vs Amazon, Buying Tesla, Lattice\u2019s Turnaround Amazon's acquisition of pharmacy startup PillPack freaks out pharmacy stocks while its offer to help start small delivery businesses could be key to Whole Foods' expansion, Alphabet's Google needs to give away its home speaker to combat Amazon according to Morgan Stanley analyst Brian Nowak, now is the time to buy Tesla stock ahead of next week's Model 3 numbers according to Baird's Brian Kallo, T-Mobile's chances of getting Sprint are looking a little better to Wells Fargo's Jennifer Fritzsche, Lattice semiconductor may bounce back with new management and activist input thinks Dougherty's Charles Anderson, Square is no Amazon so says SunT

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0258 (i.e., a 2.58% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0258 = 3.8799, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


QQQ: 60-day history, VaR(99%)=-0.0158, max drawdown threshold=10%.

Question:
Asset: QQQ
Daily returns (past 60 days): mean=0.0010, std=0.0095, worst_day=-0.0166
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2016-05-11] ["WhatsApp launches desktop version for Mac, Windows Popular mobile messaging app rivals Skype, Apple\u2019s iMessage WhatsApp, the massively popular smartphone messaging app owned by Facebook Inc., is now available in a familiar place: your computer\u2019s desktop.", "Justice Inquiry Reveals Wall Street\u2019s Dirty Secret Firms profit by trading against individual investors, who they consider \u201cdumb money.\u201d", "Neither Trump nor Clinton can do much for the job market Technology and demographics are driving change, and the best that politicians can do is help retrain displaced workers Technology and demographics are driving change, and the best that politicians can do is help retrain displaced workers, says Howard Gold.", "Axel Springer looks to U.S. for digital growth BERLIN--German media giant Axel Springer SE says its U.S.-focused push into digital media is starting to pay off. One of Europe's biggest digital publishers, the old-line tabloid giant was once known for its Bild and Die Welt newspapers. It has worked for years to shed its reliance on print and boost online revenue.", "Apple: iPhone Upgrades Slowing, Stock is \u2018Range Bound,\u2019 Says UBS UBS\u2019s Steve Milunovich today reiterates a Buy rating on Apple (AAPL) shares, while trimming his price target to $115 from $120, writing that he\u2019s trimming his estimates for Apple\u2019s iPhone sales and profit after accepting the device is going to see longer upgrade cycles for the foreseeable future.His verdict on the shares: \u201cThe stock is likely range bound for now with low multiples acting as downside support and lack of demand catalysts an upper ceiling.\"The company will benefit from some increase in upgrade sales in 2017, but only to match what happened in 2015:We now expect iPhone unit growth of about 4% in F17 with upgrade growth offsetting a decline in new users. Strong sales in F15 stole from F16 but upgrades should hit in F17 or F18. Earnings only get back to the F15 level in our model, so new products may be required to excite investors beyond a trade. Apple has both annuity and hardware hits aspects, but we think the best way to understand the company is as a platform deserving of valuation b", "Apple suppliers in Taiwan struggling amid weaker iPhone demand Taiwan Semiconductor faces slowdown due to weak demand for premium phones like the iPhone: Nikkei Apple\u2019s A10 chip supplier Taiwan Semiconductor Manufacturing Co. faces a slowdown in the second-half of the year", "Apple: \u2018Value Trap\u2019 as Margins Come Under Pressure, Says Former Berenberg Analyst Adnaan Ahmad, who used to be a stock analyst with Berenberg Bank covering Apple (AAPL), until last year, today issues a missive to \u2014 well, I\u2019m not sure if he has clients at this point, but to anyone out there, in which he continues to press the deeply negative view of Apple shares, for which he offers a Sell rating and an $80 price target.Although the stock below $100 \u2014 it\u2019s at $

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0158 (i.e., a 1.58% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0158 = 6.3382, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLI: 60-day history, VaR(99%)=-0.0292, max drawdown threshold=10%.

Question:
Asset: XLI
Daily returns (past 60 days): mean=-0.0001, std=0.0090, worst_day=-0.0327
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2018-10-12] ["Here\u2019s a dividend-investment strategy designed to outperform in down markets The Reality Shares DIVCON Leaders Dividend ETF screens for quality, based on the likelihood of large-cap companies raising payouts to shareholders The Reality Shares DIVCON Leaders Dividend ETF screens for quality, based on the likelihood of large-cap companies raising payouts to shareholders.", "All 30 Dow stocks rally premarket, led by Microsoft The 257-point rally in Dow Jones Industrial Average futures is unanimous early Friday, as all 30 components are trading higher in the premarket. Among the biggest gainers, shares of Microsoft Corp. ran up 2.9%, Visa Inc. climbed 2.6% and Cisco Systems Inc. rose 2.5%. The most active stock was Apple Inc.'s , which gained 2.3%. The Dow's bounce follows a 1,378-point drubbing the past two sessions. Microsoft's stock had shed 5.7% the past two sessions, as part of a sharp pullback in technology stocks.", "JPMorgan Jumps, Netflix Flies as Dow Steps Away From the Abyss The Nasdaq was up 1.7% as stocks like Microsoft, Fitbit and others got upgraded.", "How one investor sidestepped this week\u2019s stock-market decline Holding cash and hedges protects you from losing money Holding cash and hedges protects you from losing money.", "Cody Willard: I\u2019m adding Snap to the portfolio The shares have been hit so hard, it\u2019s time to bite The shares have been hit so hard, it\u2019s time to bite.", "Charting a dead-cat bounce, S&P 500 retests 200-day average from underneath Focus: 10-year yield tags 200-month moving average, Gold and gold miners take flight, Apple weathers the October downdraft, General Electric\u2019s backdrop strengthens? U.S. stocks are higher early Friday, rising from deeply oversold conditions amid the damaging October market downdraft.", "Flanked by musicians, Trump signs music copyright bill into law Joined by Kid Rock, original Beach Boys member Mike Love, and other stars, President Trump signed the Music Modernization Act on Thursday to close loopholes in existing copyright legislation.", "Netflix Earnings Are Coming. Here\u2019s What Matters As positive as the outlook for streaming video is, with tech stocks under fire investors will still focus on Netflix\u2019s quarterly subscriber growth", "Netflix and PayPal Execs Brace for Earnings After Market Tumble A more candid earnings season looms. First up: Netflix, PayPal, and Lam Research.", "Stocks rally to close higher but log worst week since March S&P 500 snaps 6-day losing streak U.S. stock market rallies on Friday, with equities rising broadly in a partial rebound from a multiday rout that slashed about 1,400 points from the Dow Jones Industrial Average and left the Nasdaq on the precipice of a correction.", "Tech Stocks Could Rebound Again but the Risks Are Growing Tech stocks are likely to rebound after their latest drubbing, but the selloff suggests that investors are paying more attention to the sector\u2019s challenges.", "The Momentum Trade Is D

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0292 (i.e., a 2.92% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0292 = 3.4238, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


IGOV: 46-day history, VaR(99%)=-0.0134, max drawdown threshold=10%.

Question:
Asset: IGOV
Daily returns (past 46 days): mean=-0.0010, std=0.0052, worst_day=-0.0136
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to IGOV, 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 = 0.0134 (i.e., a 1.34% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0134 = 7.4428, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


EEM: 60-day history, VaR(99%)=-0.0217, max drawdown threshold=10%.

Question:
Asset: EEM
Daily returns (past 60 days): mean=0.0017, std=0.0107, worst_day=-0.0254
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2020-11-27] ["Coronavirus Stock Investing: 4 Industry Transformations That Are Just Getting Started The coronavirus pandemic has changed the world. But it has also accelerated certain technological trends that investors should be tapped into. From automation to genomics, these advancements are here to stay and there are many growth stocks that are just getting started. ProShares' Executive Director of Thematic Investing Scott Helfstein sat down with The Motley Fool to dive into some of the intriguing stocks in their new ETF: ProShares MSCI Transformational Changes ETF (NYSEMKT: ANEW). He shared plenty of tips that all kinds of investors can apply to their own portfolios. 10 stocks we like better than ProShares Trust-ProShares MSCI Transformational Changes ETF When investing geniuses David and Tom Gardner have a stock tip, it can pay to listen. After all, the newsletter they have run for over a decade, Motley Fool Stock Advisor, has tripled the market.* David and Tom just revealed what they believe are the ten best stocks for investors to buy right now... and ProShares Trust-ProShares MSCI Transformational Changes ETF wasn't one of them! That's right -- they think these 10 stocks are even better buys. See the 10 stocks *Stock Advisor returns as of November 20, 2020 Corinne Cardina: Hi, everybody. I am Corinne Cardina. I'm the Bureau Chief of Healthcare and Cannabis on fool.com. Before we get started, I'd like our viewers to know we're using a question and answer service called Slido. You can open that up in your browser. There's also an app. Our code is MFLive. You can submit questions, upvote other people's questions for the ones you want to see answered. I'm so excited to welcome Scott Helfstein, like I just said, Executive Director, Thematic Investing at ProShares. Hi, Scott, how are you? Scott Helfstein: Hey, Corinne. I'm well. How are you? Cardina: I'm good. Fools, for the next 30 minutes we are going to talk about ProShares' new ETF. It is called ANEW. I'm going to drop the ticker in the chat, and it tackles four transformational changes that are being accelerated by COVID-19. Scott, can you give us the highlights of what those four transformational changes are? Helfstein: Sure. It really has to do with how we've spent our time and our lives have changed over the months of the pandemic, and if we think about the hours of our day, if we're fortunate enough, we work, we try and to take care of ourselves. The way we consume has changed, the way we connect has changed. How many of us had FaceTime or Facebook (NASDAQ: FB) apps open at holiday tables at some point in the last nine months? So really, what we wanted to do was put together a set of companies that really spoke to how our lives have changed, but more importantly, how those changes were already in place and were accelerating. Really, there's four of them that we focused on. The first is the future of work. So we have, for example, things like video conference, but we're also focused on how the chan

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 = 0.0217 (i.e., a 2.17% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0217 = 4.6003, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


ADA-USD: 60-day history, VaR(99%)=-0.1041, max drawdown threshold=10%.

Question:
Asset: ADA-USD
Daily returns (past 60 days): mean=0.0125, std=0.0616, worst_day=-0.1163
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: 0.9604

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1041 (i.e., a 10.41% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1041 = 0.9604, capped at 1.0.
Maximum position size = 0.9604 (96.0% of portfolio).


EEM: 60-day history, VaR(99%)=-0.0312, max drawdown threshold=10%.

Question:
Asset: EEM
Daily returns (past 60 days): mean=0.0004, std=0.0106, worst_day=-0.0341
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2019-09-11] ["Asian markets gain ahead of ECB meeting Nikkei, Hang Seng edge up as stocks in mainland China dip Asian markets mostly gained in early trading Wednesday, ahead of expected further monetary easing by the European Central Bank.", "Welcome to Borrower\u2019s Paradise. How Long Can It Last? Stocks have returned to within a percent or two of their record highs, while bond yields have fallen to near-record lows, making equities\u2019 valuations more attractive while also helping to fund share buybacks.", "Podcast: Apple Goes Head-to-Head With Netflix 3 numbers to help you navigate the market\u2014in just two minutes.", "It\u2019s \u2018Too Soon to Bail\u2019 on Apple, Amazon, and Other Top Tech Stocks For investors interested in the big FAANG tech stocks, it\u2019s late in the game\u2014but not too late to benefit, an analyst says.", "Apple iPhone event reveals a dramatic change in strategy Apple is now competing on price, after years of focusing on high margins One of the most surprising elements of Apple Inc.\u2019s September iPhone launch was its aggressive pricing on many products, especially its new streaming service.", "Apple drops price on new iPhone 11, undercuts Netflix and Disney on streaming At annual event, Apple unveils three new iPhones, prices for streaming services Apple Inc. tried to make cameras the focus of its iPhone launch event on Tuesday, but the company\u2019s most striking announcements concerned the prices of its phones and streaming offerings.", "Apple's stock gains 0.4% premarket after rising 1.2% on Tuesday", "Shift into value stocks could fuel a solid rally, says J.P. Morgan Critical information for the U.S. trading day J.P. Morgan quant strategists Marko Kolanovic and Bram Kaplan say this switch to value stocks seen lately could be promising.", "Apple stock price target raised to $250 from $240 at BofA Merrill Lynch", "Dow's nearly 75-point jump highlighted by gains for Apple Inc., Walgreens Boots shares", "Apple on the verge of reaching $1 trillion in market cap for first time in 10 months Shares of Apple Inc. rallied 1.7% toward a 10-month high in morning trading Wednesday, after rising 1.2% the previous sessions on the back of the technology behemoth's iPhone launch event. With the stock's recent rally, Apple is on the verge of getting back to being a trillion dollar company, something it hasn't been since Nov. 1, 2018; Apple's market capitalization is currently $995.4 billion. The stock only needs to rise another 0.5% to close at or above $221.28 for Apple's market cap to top $1 trillion, based on the latest disclosed 4.52 billion shares outstanding as of July 19. Getting back to being a trillion-dollar company would complete a recovery from a market-cap low of about $672.5 billion on Jan. 3, when the stock closed at a 21-month low of $142.19. Since then, Apple's stock has run up 55%, while the Dow Jones Industrial Average has gained 19%. Apple's market cap is still behind first-place Microsoft Corp. at $1.04 trilli

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 = 0.0312 (i.e., a 3.12% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0312 = 3.2004, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


EFA: 60-day history, VaR(99%)=-0.0186, max drawdown threshold=10%.

Question:
Asset: EFA
Daily returns (past 60 days): mean=-0.0000, std=0.0060, worst_day=-0.0209
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2020-01-31] ["Why it can pay to buy the stocks of companies you love to hate Start your search for diamonds in the rough by looking through the list of the most despised companies Start your search for diamonds in the rough by looking through the list of the most despised companies.", "Amazon\u2019s record holiday sales send stock soaring toward $1 trillion valuation Amazon demolishes its own disappointing forecast and returns to earnings growth after previous quarter's decline Amazon.com Inc. defied its own disappointing forecast and returned to earnings growth in the holiday quarter with more than $3 billion in profit, sending shares soaring toward a $1 trillion valuation in the extended session Thursday.", "One Medical is going public: 5 things to know about the primary-care startup The pitch is convenience, as company looks to \u2018delight\u2019 working-age adults who get health insurance through their jobs and live in urban centers like New York City and San Francisco One Medical, a direct primary-care provider, has filed for its initial public offering, trading under the name 1Life Healthcare Inc.", "Amazon Soars to $1 Trillion Value After Earnings Crush Estimates Amazon reported fourth-quarter earnings $6.47 a share, versus analysts\u2019 $4.03 estimate.", "McDonald\u2019s is acting more like a FAANG, and investors should love it Here\u2019s why the stock price should climb Here\u2019s why the stock price should climb.", "Amazon's stock surges to set new all-time intraday high after blowout earnings Shares of Amazon.com Inc. rocketed to a new intraday record before paring some gains, but was still on track to leapfrog Google-parent Alphabet Inc. into third place as the largest U.S. company based on market capitalization after the e-commerce and cloud giant reported blowout fourth-quarter results. The was up as much as 9.9% to an intraday high of $2,055.72, above the previous intraday record of $2,050.50 on Sept. 4, 2018. The stock, now up 8.1%, is currently below the Sept. 4, 2018 record close of $2,039.51. The market cap is at $1.002 trillion, fractionally above Alphabet's, but still well below Microsoft Corp. at $1.306 trillion and Apple Inc. at $1.402 trillion.", "MedMen\u2019s Colorful Pioneer of Cannabis, Adam Bierman, Resigns as CEO The chief executive\u2019s lavish spending antagonized colleagues and torched bonfires of cash, dropping MedMen stock nearly 90% in the past year.", "Google-parent Alphabet's stock falls enough to knock market cap below the trillion-dollar mark Shares of Google-parent Alphabet Inc. dropped 1.4% in midday trading, putting the internet giant in danger of dropping out of the trillion-dollar club for the second time since it joined two weeks ago. Alphabet's market capitalization was now at $989.4 billion, which currently makes it the fourth-most valuable U.S. company. Amazon.com Inc. leapfrogged Alphabet to third place on Thursday, as the e-commerce and cloud giant's stock soared 8.9% to lift the market cap to $1.01 tri

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0186 (i.e., a 1.86% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0186 = 5.3644, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


LINK-USD: 60-day history, VaR(99%)=-0.0607, max drawdown threshold=10%.

Question:
Asset: LINK-USD
Daily returns (past 60 days): mean=0.0109, std=0.0436, worst_day=-0.0691
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0607 (i.e., a 6.07% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0607 = 1.6482, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


ITB: 60-day history, VaR(99%)=-0.0447, max drawdown threshold=10%.

Question:
Asset: ITB
Daily returns (past 60 days): mean=-0.0004, std=0.0171, worst_day=-0.0460
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 = 0.0447 (i.e., a 4.47% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0447 = 2.2356, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


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

Question:
Asset: XLB
Daily returns (past 60 days): mean=0.0009, std=0.0153, worst_day=-0.0337
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-05-27] ["5 Growth Stocks For Your June 2022 Watchlist Are These The Best Growth Stocks To Buy Right Now? There\u2019s no question that the stock market has taken quite a beating in recent months. And many of the top growth stocks are down along with it. Thus, some may find investing in these growth names less appealing compared to when the pandemic first started. Now, with the Fed taking a more aggressive stance on both interest rate hikes and tapering, it\u2019s natural that investors are bearish on these stocks. But that doesn\u2019t mean these are not great investments. Perhaps, what you need is a longer investment horizon. Investing in growth stocks involves having a long-term mindset. And adopting a long-term mindset will help you sift through the noise in the stock market and focus on the underlying business instead of the volatility of stock prices. With so much uncertainty continuing to loom over the stock market today, finding the best growth stocks to buy can be challenging. With the Nasdaq solidly in bear market territory and the S&P 500 dipping more than 15% from its record high, would now be a good time to put money into these stocks? If you believe so, here are five growth stocks to watch right now. Growth Stocks To Watch In June 2022 NVIDIA Corporation (NASDAQ: NVDA) Shopify Inc. (NYSE: SHOP) Sea Ltd. (NYSE: SE) Upstart Holdings Inc. (NASDAQ: UPST) Adobe Inc. (NASDAQ: ADBE) Nvidia When looking for top growth stocks to buy, graphics specialist Nvidia would often come to mind. The semiconductor giant reported better-than-expected figures earlier this week. From the latest quarterly report, revenue came in 46% higher at $8.29 billion. While the growth rate is lower than the previous quarter\u2019s 53%, revenue still beat expectations of $8.1 billion. All in all, the company cites continuous strength in its gaming section. In detail, sales were driven by the GeForce RTX 30 Series, which remains the company\u2019s best gaming product cycle in history. What\u2019s more, reports said Cathie Wood purchased nearly 250,000 shares of NVDA stock across three ETFs, with the bulk of shares going towards her flagship fund. If anything, her latest investment in Nvidia may signal that this may be a good time to initiate a position for a long-term hold. Considering the upbeat quarter and Wood\u2019s latest investment, would you be doing the same? [Read More] Best Stocks To Invest In Right Now? 5 Value Stocks To Watch This Week Shopify E-commerce innovator Shopify emerged as the pandemic darling, but its first-quarter report sent its shares falling. But before we give this stock a pass, let\u2019s take a closer look at the most recent fiscal report. For the quarter, revenue came in 22% higher year-over-year to $1.2 billion. Additionally, its monthly recurring revenue also improved to $105.2 million, up 17% year-over-year. Admittedly, these figures may not be as exhilarating as those during the early stages of the pandemic. However, it does not change the fa

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

Answer: 1.0000

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


CPER: 60-day history, VaR(99%)=-0.0392, max drawdown threshold=10%.

Question:
Asset: CPER
Daily returns (past 60 days): mean=-0.0009, std=0.0165, worst_day=-0.0392
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to CPER, 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 = 0.0392 (i.e., a 3.92% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0392 = 2.5519, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


SOL-USD: 60-day history, VaR(99%)=-0.1358, max drawdown threshold=10%.

Question:
Asset: SOL-USD
Daily returns (past 60 days): mean=-0.0087, std=0.0523, worst_day=-0.1589
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-02-14]

Determine the maximum fraction of total portfolio capital that should be allocated to SOL-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: 0.7363

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1358 (i.e., a 13.58% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1358 = 0.7363, capped at 1.0.
Maximum position size = 0.7363 (73.6% of portfolio).


IWM: 60-day history, VaR(99%)=-0.0153, max drawdown threshold=10%.

Question:
Asset: IWM
Daily returns (past 60 days): mean=0.0017, std=0.0097, worst_day=-0.0184
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2016-12-27] The Zacks Analyst Blog Highlights: IBM, BP, Disney, Adobe and Cisco For Immediate Release Chicago, IL - December 27, 2016 - Zacks.com announces the list of stocks featured in the Analyst Blog. Every day the Zacks Equity Research analysts discuss the latest news and events impacting stocks and the financial markets. Stocks recently featured in the blog include IBM (NYSE: IBM - Free Report ), BP (NYSE: BP - Free Report ), Disney (NYSE: DIS - Free Report ), Adobe (NASDAQ: ADBE - Free Report ) and Cisco (NASDAQ: CSCO - Free Report ). Today, Zacks is promoting its ''Buy'' stock recommendations. Get #1Stock of the Day pick for free. Here are highlights from Friday's Analyst Blog: Stock Research Reports for Tuesday: IBM, BP, DIS Today's Research Daily features new research reports on 16 major stocks, including IBM (NYSE: IBM - Free Report ), BP (NYSE: BP - Free Report ) and Disney (NYSE: DIS - Free Report ). IBM shares lagged the technology space and the S&P 500 index over the last few years as the company struggled to reposition its business to the evolving business landscape. But the stock turned around this year (up +21.4% in the year-to-date period vs. +9.3% for the Zacks Technology sector) on greater appreciation for the company's outlook. The Zacks analyst likes IBM's strategic growth initiatives, including its Big Data & business analytics, cloud computing, mobile and social business. The company is expected to report Q4 results on January 17th. (You can read the full research report on IBM here >>> ) The turnaround in oil prices this year has benefited all oil players, BP included. BP shares have gained in excess of +18% this year, modestly below the Zacks Oil Integrated industry's +19.1% gain. The Zacks analyst likes the company's major expense reductions over the last four quarters, which is expected to remain a focus in the coming quarters as well. BP is scheduled to report Q4 results on February 7th, with the oil giant expected to report $0.50 per share on $52.2 billion in revenues. While upstream volumes are expected to be modestly up from the Q3 level, the refining business could be under pressure. (You can read the full research report on BP here >>> ) Disney shares have struggled this year, weighed down by concerns about ESPN whose future growth has been clouded by the evolving media landscape as a result of 'cord cutting' and the steady migration of subscribers to online and digital platforms. However, management anticipates reporting modest earnings growth in fiscal 2017 and a "more robust growth" in fiscal 2018. The Zacks analyst likes Disney's movie business and the parks & resorts division. The company is expected to report Q4 results on February 14th. (You can read the full research report on Disney here >>> ) Other noteworthy reports we are featuring today include Adobe (NASDAQ: ADBE - Free Report ) and Cisco (NASDAQ: CSCO - Free Report ). You can check all of today's research reports here >>> Today's Long-Term Buys & Sells Today

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0153 (i.e., a 1.53% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0153 = 6.5514, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLB: 60-day history, VaR(99%)=-0.0227, max drawdown threshold=10%.

Question:
Asset: XLB
Daily returns (past 60 days): mean=-0.0018, std=0.0094, worst_day=-0.0236
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2015-08-13] ["Earnings Scheduled For August 13, 2015", "10 Stocks You Should Be Watching Today", "Option Alert: Applied Materials Sep $18 Call; 2000 Contracts @Ask @$0.32; Now $17.04", "Applied Materials Reports Q3 Adj. EPS $0.33, Inline, Sales $2.49B vs $2.54B Est.", "Applied Materials Expecting Q4 Adj. EPS $0.27-$0.31 vs $0.33 Est.", "UPDATE: Applied Materials Sees Q4 Sales Down 7% to Flat QoQ", "Nordstrom, El Pollo LoCo, King Digital Lead Thursday's After-Hours", "Applied Materials Posts In-Line Q3 Earnings, But Sales Miss Estimates", "Applied Materials Posts In-Line Q3 Earnings, But Sales Miss Estimates", "Nordstrom, El Pollo LoCo, King Digital Lead Thursday's After-Hours", "UPDATE: Applied Materials Sees Q4 Sales Down 7% to Flat QoQ", "Applied Materials Expecting Q4 Adj. EPS $0.27-$0.31 vs $0.33 Est.", "Applied Materials Reports Q3 Adj. EPS $0.33, Inline, Sales $2.49B vs $2.54B Est.", "Option Alert: Applied Materials Sep $18 Call; 2000 Contracts @Ask @$0.32; Now $17.04", "10 Stocks You Should Be Watching Today", "Earnings Scheduled For August 13, 2015", "Interesting AMAT Put And Call Options For October 2nd Investors in Applied Materials, Inc. (Symbol: AMAT) saw new options begin trading today, for the October 2nd expiration. At Stock Options Channel , our YieldBoost formula has looked up and down the AMAT options chain for the new October 2nd contracts and identified one put and one call contract of particular interest. The put contract at the $17.00 strike price has a current bid of 68 cents. If an investor was to sell-to-open that put contract, they are committing to purchase the stock at $17.00, but will also collect the premium, putting the cost basis of the shares at $16.32 (before broker commissions). To an investor already interested in purchasing shares of AMAT, that could represent an attractive alternative to paying $17.17/share today. Because the $17.00 strike represents an approximate 1% discount to the current trading price of the stock (in other words it is out-of-the-money by that percentage), there is also the possibility that the put contract would expire worthless. The current analytical data (including greeks and implied greeks) suggest the current odds of that happening are 55%. Stock Options Channel will track those odds over time to see how they change, publishing a chart of those numbers on our website under the contract detail page for this contract . Should the contract expire worthless, the premium would represent a 4.00% return on the cash commitment, or 29.20% annualized - at Stock Options Channel we call this the YieldBoost . Below is a chart showing the trailing twelve month trading history for Applied Materials, Inc., and highlighting in green where the $17.00 strike is located relative to that history: Turning to the calls side of the option chain, the call contract at the $17.50 strike price has a current bid of 55 cents. If an investor was to purchase shares of AMAT stock at the current price level of $17.17/share, and

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0227 (i.e., a 2.27% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0227 = 4.3991, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


QQQ: 60-day history, VaR(99%)=-0.0399, max drawdown threshold=10%.

Question:
Asset: QQQ
Daily returns (past 60 days): mean=0.0017, std=0.0227, worst_day=-0.0399
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2020-06-02] ["American Pie", "Tech Giants Dare Antitrust Deal Watchdogs", "MoneyGram Shares Jump 50% As Western Union Reportedly Looks For Acquisition", "Apple Cuts iPhone Prices in China To Push Sales As Country Reopens Economy", "Pepper Spray, Books On Racism, 'I Can't Breathe' Merchandise Are Top Sellers On Amazon As Protests Rage", "A Peek Into The Markets: US Stock Futures Up; Crude Oil Rises Over 2%", "Tesla CEO Musk Says Other Three Officers Should Be Charged In Floyd's Murder Case", "Hearing Susquehanna Check Suggests Total iPhone 12 Builds Tracking To 10M, Below Firm's Expectation Of 25M; Unconfirmed", "MoneyGram Shares Jump 50% As Western Union Reportedly Looks For Acquisition", "'Apple is tracking iPhones stolen by looters' -Earlier NY Post Article", "'Apple is tracking iPhones stolen by looters' -Earlier NY Post Article", "MoneyGram Shares Jump 50% As Western Union Reportedly Looks For Acquisition", "Hearing Susquehanna Check Suggests Total iPhone 12 Builds Tracking To 10M, Below Firm's Expectation Of 25M; Unconfirmed", "Tesla CEO Musk Says Other Three Officers Should Be Charged In Floyd's Murder Case", "A Peek Into The Markets: US Stock Futures Up; Crude Oil Rises Over 2%", "Pepper Spray, Books On Racism, 'I Can't Breathe' Merchandise Are Top Sellers On Amazon As Protests Rage", "American Pie", "Tech Giants Dare Antitrust Deal Watchdogs", "MoneyGram Shares Jump 50% As Western Union Reportedly Looks For Acquisition", "'Apple is tracking iPhones stolen by looters' -Earlier NY Post Article", "MoneyGram Shares Jump 50% As Western Union Reportedly Looks For Acquisition", "Hearing Susquehanna Check Suggests Total iPhone 12 Builds Tracking To 10M, Below Firm's Expectation Of 25M; Unconfirmed", "Tesla CEO Musk Says Other Three Officers Should Be Charged In Floyd's Murder Case", "A Peek Into The Markets: US Stock Futures Up; Crude Oil Rises Over 2%", "Pepper Spray, Books On Racism, 'I Can't Breathe' Merchandise Are Top Sellers On Amazon As Protests Rage", "American Pie", "Tech Giants Dare Antitrust Deal Watchdogs", "MoneyGram Shares Jump 50% As Western Union Reportedly Looks For Acquisition", "Here\u2019s why the \u2018unloved but welcome\u2019 U.S. stock market rally from March lows won\u2019t last, Goldman says Brief hopes that U.S.-China trade tensions may subside appear to have been dashed.", "Apple's stock slips 0.3% premarket, reversing earlier gains of as much as 0.7%", "How Apple Could Soar to a Valuation of $2 Trillion Apple is the world\u2019s most highly valued company, with a market capitalization of $1.389 trillion. It is near the record closing level of $327.20 it hit in February, but Evercore ISI analyst Amit Daryanani thinks the stock can go higher.", "A semiconductor \u2018cold war\u2019 is heating up between the U.S. and China The world runs on semiconductors, most of which pass through Taiwan The world runs on semiconductors, most of which pass through Taiwan.", "Why Protests Rarely Rattle Markets The U.S. is experiencing painful civil

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0399 (i.e., a 3.99% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0399 = 2.5054, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


BNB-USD: 60-day history, VaR(99%)=-0.0962, max drawdown threshold=10%.

Question:
Asset: BNB-USD
Daily returns (past 60 days): mean=-0.0020, std=0.0411, worst_day=-0.1114
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0962 (i.e., a 9.62% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0962 = 1.0397, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


ADA-USD: 60-day history, VaR(99%)=-0.1755, max drawdown threshold=10%.

Question:
Asset: ADA-USD
Daily returns (past 60 days): mean=-0.0078, std=0.0682, worst_day=-0.1761
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-06-05]

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: 0.5698

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1755 (i.e., a 17.55% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1755 = 0.5698, capped at 1.0.
Maximum position size = 0.5698 (57.0% of portfolio).


XLF: 60-day history, VaR(99%)=-0.0209, max drawdown threshold=10%.

Question:
Asset: XLF
Daily returns (past 60 days): mean=0.0012, std=0.0081, worst_day=-0.0213
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2019-12-10] Beware the Valuation Risks of Red-Hot DocuSign Stock E-signature pioneer DocuSign (NASDAQ:) delivered strong third-quarter earnings in early December. In response, DOCU stock rallied to all-time highs. Source: Sundry Photography / Shutterstock.com Everything in the report looked great. The company’s customer growth was robust, as more and more businesses around the globe start to digitize and automate their contracts. The company’s revenue growth was even more robust, as DocuSign’s “foot in the door and grow” model is working, and current customers are spending more on DocuSign’s suite of Cloud Agreement products. Its gross margins held steady at an impressive 80%, while its strong revenue growth increased its profitability. As a result, its third-quarter profit was sizable, versus its tiny profit during the same period a year earlier. On top of all that, the company provided healthy Q4 guidance which indicated that all of these positive dynamics will persist into the end of the year. In other words, the 7% pop of DOCU stock after the Q3 results made sense, right? After all, its numbers were great, its growth outlook is healthy, and all signs point to “GO”… right? Wrong. While DocuSign is a great company and DOCU stock is a long-term winner, there is one big red flag now which warrants caution. That red flag is the valuation of DocuSign stock. I understand DOCU is a growth company that deserves a premium valuation. But, even aggressively assuming that the company will grow rapidly for the next decade, it’s still tough to justify the current price of DOCU stock. As a result, I think DOCU stock is riddled with valuation risks. The stock may brush off those risks in the near-term, thanks to the momentum from its earnings. But, at some point, these risks will rear their ugly head. DocuSign Is a Great Company To be clear, I think DocuSign is a great company. The whole growth outlook of DocuSign centers around the digitization and automation of the contract process. That is, the traditional contract process involves a ton of paper (which is bulky and sometimes costly) and requires that paper to be sent back and forth between various parties multiple times In other words, the traditional contractual process is antiquated, lengthy, and costly. DocuSign fixes all those problems by digitizing and automating the contract process. Among other things, it makes all the documents and the signing process digital, eliminating all the paper involved in those processes. DOCU also transforms the transit, record-keeping, and enforcement of contracts into digital processes. It basically makes the whole contractual process digital, causing it to become modern, fast, and affordable. For corporations, that’s a good deal. That’s why DocuSign has grown its enterprise and commercial customer base from 23,000 in 2015 to what will be north of 70,000 by the end of 2019. Still, at 70,000, DocuSign’s customer base pales in comparison to the millions of businesses in the world, s

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 = 0.0209 (i.e., a 2.09% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0209 = 4.7823, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLRE: 60-day history, VaR(99%)=-0.0268, max drawdown threshold=10%.

Question:
Asset: XLRE
Daily returns (past 60 days): mean=-0.0016, std=0.0094, worst_day=-0.0375
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2016-10-11] ["Why Samsung Could Hit Record Profit Even If It Terminates Galaxy Note 7 Samsung Electronics (005930.Korea/SSNLF) said on Monday that it would stop selling Galaxy Note 7 phones worldwide and advised consumers to \"power down and stop using the device\" as the company investigates its new flagship phone's production issues. Computer science experts now question if Galaxy Note 7's problem goes beyond faulty lithium-ion batteries.READ MORE.", "Don\u2019t go into debt to pay for these 5 things Going into debt for material things isn\u2019t going to change your life In some cases, borrowing money helps build wealth. Most people need a mortgage to buy a home, for instance, and student loans allow many people get an education that leads to a career.", "Apple's stock climbs 1.2% in premarket trade", "Apple's stock on track to open at highest level since Dec. 9, 2015", "Who can save Twitter? Only a Wall Street barbarian Critical information before the U.S. market\u2019s open The rustle of crisp sell orders, the gabble of analysts defending their overly rosy calls \u2014 it\u2019s earnings season again, with Alcoa kicking it off. It\u2019s also still peak season for guessing at what\u2019s next for Twitter. Bankers should buy it, today\u2019s call says.", "Apple's stock extends gain, rises 1.9% premarket as it heads for sixth-straight gain", "How to keep your smartphone from exploding Smartphone battery explosions are rare, but there are steps you can take to keep it from happening Jurica Dujmovi\u0107 says smartphone battery explosions are rare, but there are steps you can take to keep it from happening.", "Apple Inc. shares jump 2.1% at $118.50 to lead Dow gainers as Samsung terminates Galaxy Note 7", "Apple Rising: Samsung \u2018Note 7\u2032 Collapse Means Another 8M iPhone 7 Sales, Says Drexel Samsung Electronics\u2019s (005930KS) pain with its \"Note 7\" \u2014 it first said it would stop making them, temporarily, and subsequently said it would permanently stop production of the device \u2014 continues to be Apple\u2019s (AAPL) gain, according to Drexel Hamilton\u2019s Brian White.White, who has a Buy rating on Apple shares, and a $185 price target, thinks Apple could pick up 8 million more units of iPhone sales before this calendar year is out, thanks to the Note 7\u2019s collapse:With original market expectations for approximately 10-14 million Galaxy Note 7 units in H2:2016 (availability began on August 19), we believe Apple has an opportunity to pick up at least 8 million incremental units in CY:16. Moreover, this fiasco could permanently damage the Samsung brand in the smartphone market, a big opportunity for Apple to gain market share.", "Twitter could sell for up to $15 billion, if there\u2019s still a buyer Salesforce could still be a buyer, reports say Amid rumors that Twitter\u2019s buyers may have backed out of the bidding process, an analyst from Monness, Crespi, Hardt is putting the lingering possibility of a sale at $11 billion to $15 b

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0268 (i.e., a 2.68% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0268 = 3.7257, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


VLUE: 60-day history, VaR(99%)=-0.0303, max drawdown threshold=10%.

Question:
Asset: VLUE
Daily returns (past 60 days): mean=-0.0004, std=0.0098, worst_day=-0.0356
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2018-11-05] ["When the going gets tough, Apple hides its numbers Apple will stop reporting unit sales for its largest businesses as iPhone sales stall Apple Inc. dropped a bomb on Thursday, but it wasn\u2019t the weak forecast for the holiday quarter: It was the fact that it will no longer disclose unit sales of its products for investors, as it has for more than a decade.", "Apple predicts record holiday sales, but that isn\u2019t enough to save stock Apple falls in late trading despite earnings beat, thanks to forecast that appears cautious for several reasons Apple Inc. revealed a blockbuster September quarter Thursday and predicted record revenue for the holiday season. That wasn\u2019t good enough for investors, though.", "Apple stock suffers worst day in more than four years after \u2018Houdini-like move\u2019 with earnings \u2018The uncertainty that speculation breeds is rarely positive,\u2019 BTIG writes of decision to eliminate unit-sales disclosures Apple shares dropped Friday, after the smartphone manufacturer beat expectations with its latest results but delivered a disappointing forecast and announced that it would no longer be providing unit-sales figures for the iPhone and other hardware products.", "Apple's stock falls 0.9% premarket, after tumbling 6.6% on Friday", "In sweeping interview, Elon Musk says Tesla will be cash-flow positive \u2018all quarters going forward\u2019 \u2018Some people use their hair to express themselves; I use Twitter,\u2019 Musk says Up until September, it was do or die for Silicon Valley car maker, Elon Musk says.", "Apple curbs plans for additional iPhone XR production lines: report Apple Inc. has told companies that assemble its smartphones to halt plans for new production lines that would add iPhone XR capacity, the Nikkei Asian Review reported Monday. The report, which cites multiple unnamed sources, said that Apple has given these instructions to Hon Hai Precision Industry Co. Ltd. , better known as Foxconn, and Pegatron. Apple increased orders for the iPhone 8 and iPhone 8 Plus, two cheaper devices that launched a year ago, according to sources. The report comes a few days after Apple delivered a disappointing December-quarter earnings outlook and disclosed that it would stop reporting unit-sales figures for its various product lines. The company didn't immediately respond to a MarketWatch request for comment. Apple shares are off 1.6% in premarket trading, and they're down 7.5% over the past month. The Dow Jones Industrial Average has slipped 4.5% in that time.", "Berkshire Hathaway Climbs, but Dow Slips Because Even Warren Buffett Can\u2019t Lift the Market by Himself U.S. stocks weakened ahead of the open as jitters continue despite an earnings season that is turning out to be more or less as good as in the second quarter.", "Amazon discussions fuel speculation that northern Virginia is \u2018HQ2\u2019 front runner Sources say detailed talks have focused on Crystal City, Va. Sources tell the Washington Pos

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 = 0.0303 (i.e., a 3.03% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0303 = 3.2962, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).