QQQ: 60-day history, VaR(99%)=-0.0180, max drawdown threshold=10%.

Question:
Asset: QQQ
Daily returns (past 60 days): mean=0.0024, std=0.0077, worst_day=-0.0209
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2020-02-14] ["Applied Materials (AMAT): Strong Industry, Solid Earnings Estimate Revisions", "Tiger Management Buys Amazon.com Inc, NXP Semiconductors NV, CommScope Holding Co Inc, Sells ...", "Company News for Feb 14, 2020", "Top Research Reports for VMware, Applied Materials & Equinix", "Thames Capital Management Llc Buys Citigroup Inc, Applied Materials Inc, NVIDIA Corp, Sells ...", "Composite Rating For Applied Materials Jumps To 98", "Top Research Reports for VMware, Applied Materials & Equinix", "Thames Capital Management Llc Buys Citigroup Inc, Applied Materials Inc, NVIDIA Corp, Sells ...", "Composite Rating For Applied Materials Jumps To 98", "Company News for Feb 14, 2020", "Tiger Management Buys Amazon.com Inc, NXP Semiconductors NV, CommScope Holding Co Inc, Sells ...", "Applied Materials (AMAT): Strong Industry, Solid Earnings Estimate Revisions", "Ex-Dividend Reminder: Consolidated Edison, AFLAC and Applied Materials Looking at the universe of stocks we cover at Dividend Channel, on 2/18/20, Consolidated Edison Inc (Symbol: ED), AFLAC Inc (Symbol: AFL), and Applied Materials, Inc. (Symbol: AMAT) will all trade ex-dividend for their respective upcoming dividends. Consolidated Edison Inc will pay its quarterly dividend of $0.765 on 3/16/20, AFLAC Inc will pay its quarterly dividend of $0.28 on 3/2/20, and Applied Materials, Inc. will pay its quarterly dividend of $0.21 on 3/11/20. As a percentage of ED's recent stock price of $93.85, this dividend works out to approximately 0.82%, so look for shares of Consolidated Edison Inc to trade 0.82% lower \u2014 all else being equal \u2014 when ED shares open for trading on 2/18/20. Similarly, investors should look for AFL to open 0.53% lower in price and for AMAT to open 0.31% lower, all else being equal. Below are dividend history charts for ED, AFL, and AMAT, showing historical dividends prior to the most recent ones declared. Consolidated Edison Inc (Symbol: ED): AFLAC Inc (Symbol: AFL): Applied Materials, Inc. (Symbol: AMAT): In general, dividends are not always predictable, following the ups and downs of company profits over time. Therefore, a good first due diligence step in forming an expectation of annual yield going forward, is looking at the history above, for a sense of stability over time. This can help in judging whether the most recent dividends from these companies are likely to continue. If they do continue, the current estimated yields on annualized basis would be 3.26% for Consolidated Edison Inc, 2.13% for AFLAC Inc, and 1.25% for Applied Materials, Inc.. In Friday trading, Consolidated Edison Inc shares are currently up about 0.2%, AFLAC Inc shares are up about 0.1%, and Applied Materials, Inc. shares are up about 0.1% on the day. Click here to learn which 25 S.A.F.E. dividend stocks should be on your radar screen \u00bb The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.", "Top Research Reports for VMwa

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 = 0.0180 (i.e., a 1.80% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0180 = 5.5590, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLU: 60-day history, VaR(99%)=-0.0191, max drawdown threshold=10%.

Question:
Asset: XLU
Daily returns (past 60 days): mean=0.0010, std=0.0097, worst_day=-0.0197
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2021-05-11] ["2 Stocks to Invest in Virtual and Augmented Reality Augmented reality (AR) and virtual reality (VR) promise to change the world by enabling new types of immersive experiences. While still in the nascent stages today, both of these technologies could become as common as smartphones over the next decade. According to Boston Consulting Group, the AR/VR market will expand by 113% each year through 2024, reaching $297 billion. That incredible growth rate offers investors a potentially big opportunity. So how can they capitalize on it? The best strategy is to invest in companies that enable or benefit from these technologies, especially those that use AR or VR to differentiate their business. Specifically, investors should consider Adobe Systems (NASDAQ: ADBE) and Microsoft (NASDAQ: MSFT). Here's why. Image source: Getty Images Adobe Adobe has deep roots in creative content. For instance, it released the first version of its Photoshop software in 1990. And in the three decades since, the company has become a $230 billion software titan. Today, Adobe Creative Cloud offers a range of tools for artistic professionals: Photoshop for image editing, Illustrator for graphic design, Premiere Pro for film editing, and After Effects for motion graphics. Notably, all of these are considered industry standards, as are many other Adobe applications. In 2019, the company launched a new Creative Cloud product: Adobe Aero. This application makes it possible to blend the physical and digital worlds, allowing creators to build and share immersive AR experiences without a single program. Moreover, Aero supports integrations with other Adobe products. For example, creators can build 3D objects in Adobe Dimension, paint and texturize the objects with Adobe Substance, then upload the object into Adobe Aero. Alternatively, Adobe Medium allows creators to design 3D models in a VR environment, powered by Facebook's Oculus Rift headset. Adobe is also experimenting with other use cases for AR technology. For instance, Project Glasswing is a display prototype -- picture a clear pane of glass -- that combines tools like Photoshop and After Effects with the real world. For instance, the Glasswing display could be placed in front of an object, allowing the viewer to overlay digital Photoshop edits or After Effects graphics on the physical world. Here's the takeaway: Given Adobe's history of excellence in creative content, it seems likely that this company will play a significant role in the AR and VR industries. Microsoft Microsoft is one of the largest enterprises in the world. Its Office software suite has an incredible 90% market share, and its collaboration platform -- Microsoft Teams -- has seen significant adoption during the pandemic, reaching 145 million daily active users in the most recent quarter. Currently, Teams powers interaction through text, voice, and video, and it allows users to share and edit files in real time using apps like Word or PowerPoint. But the compan

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 = 0.0191 (i.e., a 1.91% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0191 = 5.2334, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


LINK-USD: 60-day history, VaR(99%)=-0.1681, max drawdown threshold=10%.

Question:
Asset: LINK-USD
Daily returns (past 60 days): mean=-0.0059, std=0.0746, worst_day=-0.1934
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: 0.5948

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1681 (i.e., a 16.81% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1681 = 0.5948, capped at 1.0.
Maximum position size = 0.5948 (59.5% of portfolio).


LINK-USD: 60-day history, VaR(99%)=-0.1669, max drawdown threshold=10%.

Question:
Asset: LINK-USD
Daily returns (past 60 days): mean=0.0145, std=0.0800, worst_day=-0.1817
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: 0.5990

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1669 (i.e., a 16.69% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1669 = 0.5990, capped at 1.0.
Maximum position size = 0.5990 (59.9% of portfolio).


VLUE: 60-day history, VaR(99%)=-0.0302, max drawdown threshold=10%.

Question:
Asset: VLUE
Daily returns (past 60 days): mean=-0.0012, std=0.0132, worst_day=-0.0356
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2019-02-08] ["If you own Apple, Amazon, Facebook or AMD, look out below Those shares have been bid up by the average investor, but buying could slow or even reverse Those shares have been bid up by the average investor, but buying could slow or even reverse.", "Hasbro Falls, Trade Worries Worsen, and Dow Is in Line for Another Loss U.S. stock markets were poised to open lower for a third consecutive day.", "The stock market dip? Keep buying, says Bank of America Merrill Lynch Critical information for the U.S. trading day Stocks are on track to end the week on a sour note. If you\u2019re a fan of the \u2018buy-the-dip\u2019 strategy, our call of the day from Bank of America Merrill Lynch, along with our chart of a stoic S&P says now is not the time to give up.", "Cody Willard: I\u2019m most bullish on Apple, Alphabet and Verizon Also reviewed today: Amazon, Intel, Palo Alto Networks, Facebook and Nvidia Also reviewed today: Amazon, Intel, Palo Alto Networks, Facebook and Nvidia.", "Amazon Investors Are Worried About Bezos Blackmail Case Shares of the e-commerce giant are down nearly 3% on Friday, in the wake of CEO Jeff Bezos\u2019 startling revelations.", "GoPro predicts profit, thanks to years of massive layoffs Company expects to flip to profit in 2019 despite single-digit revenue growth, after chopping expenses with layoffs in 2017 and 2018 GoPro Inc. executives have been sounding bullish in the last two months, and Wednesday\u2019s fourth quarter conference call was no exception, with a forecast for profitability in 2019 for the action camera maker, but its results were helped by past cost cutting and company layoffs.", "3 Stocks Bucking the Earnings Slowdown Most companies these days seem to beat earnings estimates. This is a screen for stocks whose earnings estimates have been rising in the first quarter. Boeing and two more favorites.", "AT&T\u2019s 5G Act Is Bad for Everyone Wireless phone service is full of confusing labels, but AT&T\u2019s latest \u201c5GE\u201d is raising new ire from consumers and industry rivals.", "Apple Gives New Retail Head Stock Grants Worth About $8 Million The Cupertino, California-based technology giant gave O\u2019Brien two sets of 23,922 restricted stock units -- one group that will vest across three years beginning Aug. 5, 2021, and the other based on the company\u2019s performance that may vest on Oct. 1, 2021, according to a regulatory filing. Each set is", "Apple isn't too happy about apps that secretly record your phone's screen Following TechCrunch's report that certain iOS apps are using technology from a company called Glassbox to record everything a user does within the app, Apple has started telling app developers that they either need to disclose this to users or face getting banned from the App Store. \"Our App", "Dow Jones Rout: The Cat is in the Bag, the Bag is in Trump\u2019s Hand Friday started off badly for the Dow Jones industrial average, with all major stock indexes trading markedly lower right out o

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 = 0.0302 (i.e., a 3.02% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0302 = 3.3154, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


EEM: 60-day history, VaR(99%)=-0.0236, max drawdown threshold=10%.

Question:
Asset: EEM
Daily returns (past 60 days): mean=0.0013, std=0.0134, worst_day=-0.0263
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2019-01-31] ["Apple may soup up cameras, boost AR capabilities in new iPhones: report With iPhone growth slowing, Apple Inc. hopes to reboot sales by significantly upgrading the smartphone's cameras and augmented-reality capabilities, Bloomberg News reported Wednesday. The 2019 phone could have three rear cameras, compared to the current two, and the 2020 model may have a rear 3D camera system, whereas the current version only has a front 3D camera, the report said. The new cameras for 2019 would also have a more powerful zoom, better resolution and a wider field of vision than the current iPhone's cameras. The 2020 version would reportedly include a laser-powered 3D camera that would improve depth perception to render more accurate augmented-reality overlays. Bloomberg reported Apple is in talks with Sony Corp. over sensors for the new 3D camera, and the 2020 phone could lead to a long-awaited AR headset. Bloomberg also said Apple is testing USB-C connectors with the 2019 iPhone, suggesting an eventual replacement to the Lightning port.", "Chip shortages cut into Microsoft's gains Microsoft Corp. said computer-chip shortages sliced expected sales of its Windows operating system in the last three months of 2018, and that the scarcity will likely continue to hurt sales in the months ahead.", "Qualcomm says disputes are weighing on revenue Qualcomm Inc. said revenue dropped 20% in its latest quarter and is likely to fall by a smaller amount in the current period, as disputes with customers including Apple Inc. continue to take a toll on the maker of communications chips.", "Will free Apple Music make us hate flying less? The wackiest new in-flight perks Airlines work to turn time wasted on flights into an opportunity Airlines work to turn time wasted on flights into an opportunity.", "Here are the biggest stock winners on the day the Fed went soft on interest rates A policy reversal by the central bank excites investors A policy reversal by the central bank excites investors.", "Amazon Earnings Will Highlight the Threat It Poses to Cloud and Ad Rivals Earnings figures, due out Thursday, will show how worried companies such as Netflix and Google should be as Amazon pushes into their turf.", "3 ETF Picks With Dividends You Can Trust These funds focus on Dividend Aristocrat indexes that feature long-term payout growth.", "Facebook faces more privacy questions, even as it announces record profit The social-media giant has admitted to monitoring the online activity of children The social-media giant has admitted to monitoring the online activity of children.", "The U.S. economy is fundamentally strong \u2014 for now Job growth is great, the Fed is patient, and Trump may be ready to make a deal with China The fundamentals in the U.S. economy look strong, now that the shutdown has ended and the Fed has eased off, writes Tim Mullaney.", "Debt Could Hurt Netflix, GM, and CBS Stock, Bernstein Says Companies have become a lot less creditworthy over the past two decades,

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 = 0.0236 (i.e., a 2.36% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0236 = 4.2306, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


QQQ: 60-day history, VaR(99%)=-0.0102, max drawdown threshold=10%.

Question:
Asset: QQQ
Daily returns (past 60 days): mean=0.0019, std=0.0064, worst_day=-0.0111
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2021-09-03] ["Zip acquisition of Payflex means Africa is ripe for BNPL disruption Australian buy now, pay later (BNPL) company Zip this week acquired South Africa-based BNPL player Payflex for an undisclosed amount. It's a piece of news that once again highlights the hype around BNPL services and the quest for global dominance among the leading players. This year we have covered BNPL services from the likes of Afterpay, Klarna and Affirm.", "Apple faces probe from US labor board over complaints of hostile working conditions The US National Labor Relations Board is looking into cases filed against the tech giant by two of the main voices accusing the company of permitting a hostile work environment.", "Apple leads the way as smartwatches dominate the wearable band market The wearable market as a whole grew 5.6 percent last quarter, but that was largely due to sales of smartwatches at the expense of basic bands.", "The Apple Watch Series 6 falls back to $249 Amazon and Best Buy are giving you another chance to grab a 40mm Apple Watch Series 6 for its lowest price on the websites yet.", "The best Labor Day tech sales we could find The best Labor Day 2021 tech sales include $150 off Apple's MacBook Air M1, $60 off AirPods Pro and $20 off Google's Nest Audio smart speaker.", "Engadget Podcast: Satellite on iPhone, Windows 11, Neill Blomkamp on 'Demonic' This week, Devindra chats with Senior Editor Daniel Cooper about the iPhone potentially getting satellite phone connectivity, as well as the upcoming launch of Windows 11.", "Apple delays plans to roll out CSAM detection in iOS 15 Apple has delayed plans to roll out its child sexual abuse (CSAM) detection technology that it chaotically announced last month, citing feedback from customers and policy groups. The Electronic Frontier Foundation said this week it had amassed more than 25,000 signatures from consumers. On top of that, close to 100 policy and rights groups, including the American Civil Liberties Union, also called on Apple to abandon plans to roll out the technology.", "What to expect from the iPhone 13 Here's what to expect when Apple announces its next flagship phone: the iPhone 13.", "Apple is delaying its child safety features Privacy advocates criticized the CSAM detection tools, which were supposed to arrive alongside the iOS 15 update.", "Cristopher Rogel Blanquet Reveals the Painful Cost of Pesticide Use \u201cSebasti\u00e1n's father told me that when he was born, the doctors told him that his life expectancy would be a maximum of five years,\u201d the photojournalist Cristopher Rogel Blanquet tells me. \u201cThis year, he turns 19.\u201d Blanquet met Sebasti\u00e1n and his family while covering the human cost of agrochemical use in Villa Guerrero, Mexico, where 70% of the population works in the flower industry. Born with hydrocephalus, Sebasti\u00e1n is one of several people in the community who will have to contend with health", "SIMBA Chain Raises $25 Million in Series A Funding South Bend, I

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 = 0.0102 (i.e., a 1.02% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0102 = 9.7575, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


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

Question:
Asset: ACWI
Daily returns (past 60 days): mean=0.0001, std=0.0109, worst_day=-0.0309
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2018-05-02] ["AMD the underdog bites back, as Intel and Qualcomm struggle in their own ways The chip companies\u2019 quarterly reports show a divergent path: AMD is growing quickly, Intel is trying to kick-start innovation, and Qualcomm is bogged down in licensing deals The chip companies\u2019 quarterly reports show a divergent path: AMD is growing quickly, Intel is trying to kick-start innovation, and Qualcomm is bogged down in licensing deals.", "Apple earnings were saved by the company\u2019s new MVP Opinion: With iPhone unit sales struggling for growth, Apple now depends on all the money iPhone users are spending on apps Apple Inc.\u2019s quarterly results were saved by stronger revenue of its software, services and its other products category, amid disappointing iPhone sales.", "Apple stock buybacks spiked to a new high as shares suffered a correction Apple spent more than $22 billion on repurchases before announcing $100 billion more is coming Apple Inc. bought back more shares in the most recent quarter than it ever has in a three-month period, as the stock was suffering a correction and executives were preparing to pump a record $100 billion more into repurchases.", "Apple's stock surge helps push Dow futures into positive territory Shares of Apple Inc. surged 4.4% in premarket trade Wednesday, to help push futures of the Dow Jones Industrial Average into positive territory, on the back of a better-than-expected earnings report. The price gain would add about 52 points to the Dow's price, and Dow futures are up 12 points. The price gain would also add about $38.0 billion to Apple's market capitalization; Apple was already the most valuable U.S. company with a market cap of $858.0 billion as of Tuesday's close, well above second-place Amazon.com Inc. at $767.8 billion. Apple's stock had slipped 0.1% year to date through Tuesday, while the Dow had lost 2.5%.", "Once-hated energy stocks are now too popular \u2014 here\u2019s when to plunge in Critical information for the U.S. trading day Apple\u2019s quarterly report could help give the market a win today, though the Federal Reserve\u2019s latest signals might end up spoiling the mood. Our call of the day says don\u2019t go with energy stocks, if you\u2019re looking to make buys.", "Apple stock price target raised to $208 from $200 at Canaccord Genuity", "Asian markets locked in narrow range, await upcoming economic data Singapore stocks gain, Nikkei down slightly Asia-Pacific stock moves were muted in early trading Wednesday, after most overseas benchmarks saw little change the previous day.", "Apple stock price target raised to $171 from $166 at BMO Capital", "Apple's stock adds about 40 points to Dow but broader market sees muted trade ahead of Fed U.S. stock-index benchmarks traded mostly flat Wednesday at at the open, as investors weighed a blowout quarter at Apple Inc. [a: AAPL] against worries about global trade and an expected policy statement from the Federal Reserve's rate-setting committee a

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 = 0.0268 (i.e., a 2.68% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0268 = 3.7271, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


ETH-USD: 60-day history, VaR(99%)=-0.0789, max drawdown threshold=10%.

Question:
Asset: ETH-USD
Daily returns (past 60 days): mean=-0.0051, std=0.0390, worst_day=-0.0847
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-01-13]

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: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0789 (i.e., a 7.89% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0789 = 1.2675, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLP: 60-day history, VaR(99%)=-0.0240, max drawdown threshold=10%.

Question:
Asset: XLP
Daily returns (past 60 days): mean=-0.0004, std=0.0067, worst_day=-0.0250
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2020-02-27] ["Apple's stock drops 2.8% premarket, after rising 1.6% Wednesday to snap 4-day losing streak", "With Microsoft\u2019s coronavirus warning, PC and hardware makers are probably next The refrain about a \u2018better second half\u2019 will probably start up again Now that Microsoft, the world\u2019s most valuable tech giant, has warned investors that its PC business will not meet its recent guidance because of the impact of the coronavirus on the supply chain, the rest of the PC universe will likely follow suit.", "Tesla crash report may lack enforcement power, but implications are real, analysts say Lawsuits, temporary Autopilot halt some of the possibilities, Evercore says Tesla Autopilot is often misused, and recent report by a government agency on a fatal crash involving the feature may lack real enforcement power, but the implications for Tesla Inc. could be far reaching, analysts at Evercore ISI said in a note Wednesday.", "Why the Fed can\u2019t defend the economy against the coronavirus outbreak Rate cuts are effective against weak demand \u2014 not shocks to global supply When people can\u2019t go to work, the goods and services they normally produce can\u2019t be supplied to a global market. The Fed can\u2019t do a lot about that.", "Dow Inc., Walt Disney share losses lead Dow's nearly 550-point fall", "There\u2019s not a lot the Fed can do about a coronavirus recession Lowering interest rates here won\u2019t get factories back to work in China Calls for the Federal Reserve to cut interest rates in response to the coronavirus epidemic are misplaced at best and more likely downright dangerous.", "Coronavirus Is Slamming Stocks. The Jury Is Still Out on M&A Activity. Coronavirus fears are clearly weighing on the broad market, but it is still too soon to tell whether the disease will affect mergers and acquisitions, bankers said.", "Dow's 720-point drop led by losses for Boeing, Apple Inc. stocks", "U.S. economy grew a mild 2.1% in 4th quarter, but coronavirus threatens to reduce GDP even further Business investment was already weak before viral outbreak The economy expanded at a 2.1% pace at the end of 2019, but the U.S. might struggle to achieve even that modest rate of growth in the months ahead if a new strain of coronavirus isn\u2019t contained.", "Nokia Stock Gives Back Gains as Skepticism Over Deal Talk Grows Nokia shares spiked 6.1% yesterday after Bloomberg reported that Nokia could consider merging or joining with Ericsson. Analysts who follow the company find the deal implausible.", "Dow down 618 points on losses in shares of Apple Inc., Dow Inc.", "Dow Inc., Apple Inc. share losses contribute to Dow's 237-point fall", "Dow's 560-point fall led by losses in Dow Inc., Apple Inc. shares", "Here\u2019s why you\u2019ll never see a bad guy with an iPhone in the movies \u2018Knives Out\u2019 director Rian Johnson alleges Apple has strict product placement standards \u2018Knives Out\u2019 director Rian Johnson alleges Apple has strict pro

Determine the maximum fraction of total portfolio capital that should be allocated to XLP, 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 = 0.0240 (i.e., a 2.40% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0240 = 4.1637, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLF: 60-day history, VaR(99%)=-0.0332, max drawdown threshold=10%.

Question:
Asset: XLF
Daily returns (past 60 days): mean=0.0002, std=0.0154, worst_day=-0.0372
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-10-07] ["US STOCKS-Wall Street slips as jobs growth boosts rate hike bets For a Reuters live blog on U.S., UK and European stock markets, click LIVE/ or type LIVE/ in a news window. U.S. adds more-than-expected jobs in September U.S. unemployment rate falls to 3.5% AMD leads chipmakers lower after revenue warning Technology leads sectoral declines on S&P 500 Indexes: Dow 1.63%, S&P 2.14%, Nasdaq 2.80% Updates prices at open, adds comments By Shreyashi Sanyal and Ankika Biswas Oct 7 (Reuters) - Wall Street slid on Friday as solid job growth and a drop in the unemployment rate last month gave more room for the Federal Reserve to stick to jumbo-sized interest rate hikes, while a revenue warning from Advanced Micro Devices hit chipmakers. The Labor Department's closely watched employment report showed nonfarm payrolls increased by 263,000 jobs last month after rising 315,000 in August. The report also showed the jobless rate fell to 3.5% in September, lower than expectations of 3.7%. Traders now see a 92% chance of 75 basis-point hike by the Fed, up from 83.4% before data. Aggressive rise in borrowing costs have stoked fears of slowing economic growth and a hit to corporate profits, but with the labor market remaining tight, the Fed was likely to continue with its monetary tightening plan. \"The markets are worried that the Fed is going to rely on information like this that's really a month old and they're going to overshoot and kill the economy,\" said Kim Forrest, chief investment officer at Bokeh Capital Partners. \"Investors don't have confidence in a soft landing because the Fed continues to have to ramp higher and higher to begin to slow the economy down.\" The Philadelphia Semiconductor SE index .SOX shed 4.2%, and was set for its biggest one-day percentage decline in nearly a month as a revenue warning from Advanced Micro Devices Inc AMD.O signaled the chip slump could be worse than expected. AMD fell 7.97% as its third-quarter revenue estimates were about a billion dollars less than previously forecast. Peers Qualcomm Inc QCOM.O, Intel Corp INTC.O, ON Semiconductors ON.O, Lam Research LRCX.O, and Nvidia Corp NVDA.O shed between 2.65% and 4.88%. \"People who had been hoping for some kind of turnaround in the chips are starting to give up that hope,\" said Robert Pavlik, senior portfolio manager at Dakota Wealth in Fairfield, Connecticut. The S&P 500 technology sector .SPLRCT index fell 3.1%, leading declines among the 11 major sector indexes. At 10:02 a.m. ET, the Dow Jones Industrial Average .DJI was down 488.84 points, or 1.63%, at 29,438.10, the S&P 500 .SPX was down 80.05 points, or 2.14%, at 3,664.47, and the Nasdaq Composite .IXIC was down 309.86 points, or 2.80%, at 10,763.45. All three main Wall Street indexes are still set to snap a three-week losing streak, heading for their biggest weekly gain in almost a month. With the benchmark 10-year Treasury yield US10YT=RR rising to 3.8875%, most rate-sensitive technology and growth stocks such as

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 = 0.0332 (i.e., a 3.32% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0332 = 3.0139, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLV: 60-day history, VaR(99%)=-0.0203, max drawdown threshold=10%.

Question:
Asset: XLV
Daily returns (past 60 days): mean=0.0008, std=0.0109, worst_day=-0.0206
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-04-14] ["Mercury Systems (MRCY) Clinches $14M SiP Assemblies Contract Mercury Systems MRCY has been awarded a $14-million contract by a leading defense prime contractor for providing system-in-package (SiP) assemblies for an airborne secure processing application. The order, received in the third quarter of fiscal 2022, is anticipated to be delivered over the next few quarters. The latest agreement showcases the credibility of Mercury's advanced SiP assemblies across the defense sector. The high-performance solution will enable new sensor processing applications for various defense platforms and programs. It reflects the company\u2019s deep commitment toward transforming the U.S Department of Defense while ensuring commercial technology\u2019s availability across the sector. Back-to-Back Deals Mercury has been steadily winning multiple development contracts from the federal government. Recently, it won a $6.9-million contract from a leading defense prime contractor for providing OpenVPX digital signal processing systems for a manned airborne radar application. In March, it secured a $165-million indefinite delivery/indefinite quantity contract from the United States Air Force to provide flight data recorders to support a secure mission data system of the air services' F-16 fleet. Mercury Systems Inc Price and Consensus Mercury Systems Inc price-consensus-chart | Mercury Systems Inc Quote Prior to that, in January, the company received a $17-million contract to provide crucial multi-channel radiofrequency microelectronics to the United States and its allies for the enhancement of missile capabilities. In August 2021, Mercury received a $17-million order from the U.S. Naval Air Warfare Center's Aircraft Division. In July, it teamed up with CoreAVI, winner of the Military and Aerospace Electronics 2017 Innovators Platinum Award, to provide its aerospace and defense customers CoreAVI's safety-certified graphics, video and GPU compute solutions. In June 2021, Mercury achieved a significant milestone with the delivery of more than 1,000 NanoSWITCH rugged network switches to Oshkosh Defense for its Joint Light Tactical Vehicle program. Mercury's total bookings at the fiscal second-quarter end were $236.9 million, reflecting a book-to-bill ratio of 1.08. The company ended the quarter with a backlog of $953.7 million, up $8.4 million from a year ago. From this backlog, products worth $572.4 million are expected to be shipped within the next 12 months. Modernization in radar, EW and C4I is rapid, thus providing the company with new opportunities in weapon systems, space, avionics processing, and mission computing, as well as embedded rugged services. Mercury's domain expertise in analog and digital integration has helped it build a solid business relationship with defense prime contractors. However, pandemic-induced modernization delays and changes in administration and customer execution issues are likely to continue impacting the company's organic revenue growt

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 = 0.0203 (i.e., a 2.03% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0203 = 4.9232, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


SOL-USD: 60-day history, VaR(99%)=-0.1932, max drawdown threshold=10%.

Question:
Asset: SOL-USD
Daily returns (past 60 days): mean=0.0093, std=0.1022, worst_day=-0.2453
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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: 0.5177

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1932 (i.e., a 19.32% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1932 = 0.5177, capped at 1.0.
Maximum position size = 0.5177 (51.8% of portfolio).


XLI: 60-day history, VaR(99%)=-0.0115, max drawdown threshold=10%.

Question:
Asset: XLI
Daily returns (past 60 days): mean=0.0012, std=0.0073, worst_day=-0.0129
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2016-12-30] ["Which Wall Street Firm Made The Best Stock Picks Of 2016?", "Which Wall Street Firm Made The Best Stock Picks Of 2016?", "7 Stocks Near 52 Week-High with More Room to Run The year 2016 will likely be remembered as one of the most eventful ones. An unexpected regime change, a long overdue interest rate hike and one of the fastest economic growth in recent times have surely made a mark. With President-elect Donald Trump taking office in 2017, the year is slated to be one wild roller coaster ride that can reward some and punish others. Meanwhile, the growing presence of high-valued stocks has made the market overvalued. In such a scenario, it may be na\u00efve to invest in value stocks. Also, the prolonged slowdown in the global economy restricts the chances of further growth in the near term. At this point, it would be prudent to stack up on great momentum stocks. One such trend is spotting stocks that are at or above the 52-week high mark. The 52-week investment strategy is one of the relatively new entries in the investing rulebook. Borrowing from the basics of Momentum investing, this technique bets on the principle of buying high and selling higher. A wide group of investors today favor winning stocks with prospects of scaling higher. These investors have mastered the art of finding stocks that have strong upside potential and are still undervalued. Clubbing 52-week high stocks with the correct set of parameters is all you need to turn the tide in your favor. How Does it Work? Stocks near 52-week highs often instill the presumptive \"adjustment and anchoring bias\" in the minds of investors. This principle works on the belief that investors use the 52-week high price as a reference point and value stocks against this anchor. Many a times such stocks are prevented from scaling higher despite robust potential, due to the psychological bias of investors who fear that the stocks are overvalued and a price crash is impending. A few of the stocks remain undervalued due to prolonged under reaction on part of investors despite bullish growth drivers. Meanwhile, news pertaining to robust sales, surging profit levels, bullish earnings prospects and strategic acquisitions can drive the stock higher. However, when a string of positive developments start dominating the market, investors find their under-reaction unwarranted and the renewed interest might drive stocks beyond the 52-week high bar. Wall Street's fast paced trading makes it imperative for investors to step in before the market gets a whiff of it. Meanwhile, market gurus believe that the current price level rather than past changes in prices better reflect a stock's momentum. This implies that if a stock is trading close to its 52-week high range, chances are that it will perform better in the subsequent period. The Parameters to Rely on Our diligent screening technique has been deployed to find 52-week high stocks that hold tremendous potential compared to their respective industries. The add

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 = 0.0115 (i.e., a 1.15% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0115 = 8.6885, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


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

Question:
Asset: BTC-USD
Daily returns (past 60 days): mean=0.0039, std=0.0141, worst_day=-0.0332
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 = 0.0268 (i.e., a 2.68% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0268 = 3.7310, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


WEAT: 60-day history, VaR(99%)=-0.0379, max drawdown threshold=10%.

Question:
Asset: WEAT
Daily returns (past 60 days): mean=-0.0014, std=0.0191, worst_day=-0.0405
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to WEAT, 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 = 0.0379 (i.e., a 3.79% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0379 = 2.6397, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


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

Question:
Asset: DBB
Daily returns (past 60 days): mean=0.0008, std=0.0107, worst_day=-0.0243
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to DBB, 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 = 4.9532, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


SOL-USD: 60-day history, VaR(99%)=-0.1697, max drawdown threshold=10%.

Question:
Asset: SOL-USD
Daily returns (past 60 days): mean=-0.0014, std=0.0743, worst_day=-0.1811
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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: 0.5894

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1697 (i.e., a 16.97% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1697 = 0.5894, capped at 1.0.
Maximum position size = 0.5894 (58.9% of portfolio).


^VIX: 60-day history, VaR(99%)=-0.1809, max drawdown threshold=10%.

Question:
Asset: ^VIX
Daily returns (past 60 days): mean=-0.0078, std=0.0828, worst_day=-0.1825
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2021-04-19] ["The Station: A chat with Scale AI's Alexandr Wang, the NYC scooter winners and TuSimple goes public The Station is a weekly newsletter dedicated to all things transportation. Sign up here \u2014 just click The Station \u2014 to receive it every weekend in your inbox. This is The Station, a weekly newsletter dedicated to all the ways people and packages move (today and in the future) from Point A to Point B.", "FleetPride Acquires Steubenville Truck Center, Continues Parts and Service Expansion FleetPride, Inc. announced today that it has acquired the assets of Steubenville Truck Center in Steubenville, Ohio. For nearly 70 years, Steubenville Truck Center has been providing outstanding truck parts and service to customers in eastern Ohio, northern West Virginia, and western Pennsylvania. The company has been in its current location since 1998 and is managed by Larry Remp.", "Verizon starts C-Band equipment deployment What you need to know: Basebands, radios and antennas from Ericsson and Samsung are currently being deployed in the Verizon network.The arrival of RAN equipment in combination with Verizon\u2019s recent tower agreements will speed deployment of 5G Ultra Wideband on existing infrastructure using C-band spectrum.100 million customers will have access to the game-changing 5G Ultra Wideband service using C-band spectrum by the end of the first quarter in 2022 NEW YORK, April 19, 2021 (GLOBE NEWSWIRE) -- Verizon recently began installation of C-band equipment from Ericsson and Samsung Electronics Co., Ltd to speed deployment of its 5G Ultra Wideband and fixed wireless broadband service on its recently acquired C-band spectrum. Verizon secured an average of 161 MHz of C-band spectrum nationwide in the recent FCC auction, which will allow the company to offer expanded mobility and broadband services to millions more consumers and businesses. C-band spectrum provides a valuable middle ground between capacity and coverage for 5G networks, and will enable 5G Ultra Wideband speeds and coverage for both mobility, home broadband and business internet solutions. Deploying 5G Ultra Wideband on this spectrum requires new network equipment including basebands, radios and antennas to be placed on existing towers. Verizon tapped Ericsson and Samsung to supply the Radio Access Network (RAN) equipment for this massive deployment. Although the initial spectrum won\u2019t be cleared until the end of this year, Verizon and its vendor partners have already begun the work to ensure the super-fast 5G Ultra Wideband service using C-band is deployed to 100 million customers by March 2022. \u201cWe\u2019re moving fast, with cooperation from our equipment partners, to have everything in place as soon as this C-band spectrum is cleared for use,\u201d said Kyle Malady, Chief Technology Officer at Verizon. \u201cThis is a massive undertaking designed to add this game-changing capability as quickly as possible to the network our customers already rely on for consiste

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: 0.5528

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1809 (i.e., a 18.09% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1809 = 0.5528, capped at 1.0.
Maximum position size = 0.5528 (55.3% of portfolio).


EWJ: 60-day history, VaR(99%)=-0.0183, max drawdown threshold=10%.

Question:
Asset: EWJ
Daily returns (past 60 days): mean=0.0025, std=0.0084, worst_day=-0.0198
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2015-04-08] ["Jabil a Buy Even if Business With Apple Ebbs Raymond James is upgrading the electronics supplier to Outperform with a price target of $27, about 16% above current levels.", "Apple cut to hold from buy at Societe Generale", "Apple's stock slips 0.3% in premarket trade after Societe Generale downgrade", "Apple's stock slips after Societe Generale downgrade NEW YORK (MarketWatch) -- Shares of Apple Inc. slipped 0.3% in premarket trade Wednesday, after Societe Generale downgraded the technology giant, citing concerns over smartphone selling prices and the negative effects of currency movements. Analyst Andy Perkins cut his rating to hold, after being at buy for the last 10 months, but kept his stock price target at $130, which is 3.2% above Tuesday's closing price or $126.01. He estimates that average selling prices of iPhones declined to $651 each during the March quarter from $687 in the December quarter, as the number of iPhone 6 and iPhone 6 Plus models declined as a percentage of total units sold. Perkins also said his breakdown of handset sales by country implies a 5% currency headwind given the U.S. dollar's strength during the quarter. Regarding the Apple Watch, Perkins expects sales to represent just 1.7% of total sales for fiscal 2015, compared with 63% for handsets, so he wrote in a note to clients that \"investors' focus should remain firmly on handsets, at least for now.\" The stock has run up 14% year to date, while the S&P 500 has gained 0.9%.", "Sideways market looks to Fed minutes, earnings kickoff for direction Critical intelligence before the U.S. market opens Earnings season gets under way this afternoon, and investors aren\u2019t exactly buzzing over the prospects.", "Apple edges down 0.2% in wake of SocGen downgrade", "Apple hit by rare analyst downgrade Soc Gen analyst plays down importance of Apple Watch Apple\u2019s stock was downgraded by an analyst at Soci\u00e9t\u00e9 G\u00e9n\u00e9rale, who cited concerns over future iPhone sales and played down the importance of the much-hyped Apple Watch, which goes on sale this month.", "Amazon hints at smart home future through Echo device Amazon informed Echo owners about some new services in an email Wednesday.", "Apple Watch Draws Raves for Sophistication, Functionality; Software Updates on The Way", "When it comes to stocks vs. cash, follow Buffett\u2019s lead When volatility crops up in the market, many people decide to head for the exit, but if you were Warren Buffett, you\u2019d be doing something else.", "U.S. stocks finish slightly higher after release of Fed minutes Stocks choppy as investors digest minutes against recent data U.S. stocks close slightly higher Wednesday in volatile trading following the release of Fed meeting minutes where several Federal Reserve officials had favored a June rate hike.", "Alcoa shares decline as revenue falls short of Street view Zynga shares drop on CEO departure Alcoa shares decline in the extended session Wednesday after the aluminum ma

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 = 0.0183 (i.e., a 1.83% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0183 = 5.4701, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


SCHH: 60-day history, VaR(99%)=-0.0289, max drawdown threshold=10%.

Question:
Asset: SCHH
Daily returns (past 60 days): mean=0.0005, std=0.0129, worst_day=-0.0299
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to SCHH, 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 = 0.0289 (i.e., a 2.89% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0289 = 3.4627, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


FXI: 60-day history, VaR(99%)=-0.0434, max drawdown threshold=10%.

Question:
Asset: FXI
Daily returns (past 60 days): mean=-0.0019, std=0.0243, worst_day=-0.0438
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-11-23] ["Paramount (PARA) to Stream Top Gun: Maverick on Paramount+ Paramount Global PARA recently announced that it will be streaming Top Gun: Maverick on Paramount+ from Dec 22 in the United States, Canada, Australia, Germany, Switzerland, Austria, Italy, the U.K. and Latin America. In South Korea and France, it will be available from 2023. Top Gun: Maverick had a blockbuster performance across theatres as it remained in the top five on domestic box office charts for 14 of the 15 weeks since release in America. The film also set a holiday record with its $160.5 million debut and became Tom Cruise\u2019s first movie to surpass $100 million in a single weekend, as well as his first to cross $1 billion in worldwide ticket sales. The movie gained traction and received huge support from fans on the big screen and the same is anticipated as it now heads towards its OTT launch. Paramount+ Aids Growth Paramount has been focused on setting a strong pipeline of movies and shows for its viewers on the streaming platform. The company recently unveiled its plans to celebrate the 50th anniversary of hip hop music and culture, for which Paramount+ will offer 50 of the most iconic episodes of MTV Entertainment\u2019s original series Yo! MTV Raps for the first time since it premiered and episodes from the home-makeover series, Hip Hop My House. Paramount+ also announced the revival of the popular FBI drama, Criminal Minds. This is expected to fuel its fan base, which will pay even bigger returns after adding 4.6 million subscribers in the third quarter of 2022 and gaining 95% in revenues year over year. Paramount Global Price and Consensus Paramount Global price-consensus-chart | Paramount Global Quote Paramount also entered a new multi-year distribution agreement with Virgin Media, under which, Paramount+ will debut on Virgin TV in 2023 and Pluto TV will be more widely distributed on Virgin TV 360 and stream services. Besides expanding the content library, Paramount+ has also been expanding its footprints globally. It has plans to introduce Paramount+ in Germany, Austria and Switzerland and in France with Canal+ this year. What Lies Ahead for Paramount? Despite the wide expansion, Paramount faces certain headwinds. Advertisers continue to deal with macroeconomic challenges like inflation, higher interest rates and unfavourable forex with the U.S. dollar strengthening. This has led to cutbacks in their spending and has hindered the company\u2019s top-line growth. Paramount is facing stiff competition from the likes of Disney DIS and Apple AAPL in the streaming market, which is currently dominated by Netflix NFLX. Netflix reported better-than-expected third-quarter 2022 subscriber numbers. It gained 2.41 million paid subscribers globally, higher than its estimate of gaining one million users. Disney lost 37.9% shares year to date. Disney+ added 12.1 million subscribers in fourth-quarter fiscal 2022. Both Netflix and Disney are set to launch their ad-tier subscriptions

Determine the maximum fraction of total portfolio capital that should be allocated to FXI, 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 = 0.0434 (i.e., a 4.34% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0434 = 2.3066, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


ADA-USD: 60-day history, VaR(99%)=-0.1586, max drawdown threshold=10%.

Question:
Asset: ADA-USD
Daily returns (past 60 days): mean=-0.0173, std=0.0775, worst_day=-0.1761
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: 0.6304

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1586 (i.e., a 15.86% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1586 = 0.6304, capped at 1.0.
Maximum position size = 0.6304 (63.0% of portfolio).


XLF: 60-day history, VaR(99%)=-0.0199, max drawdown threshold=10%.

Question:
Asset: XLF
Daily returns (past 60 days): mean=0.0003, std=0.0078, worst_day=-0.0244
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2015-07-06] The Zacks Analyst Blog Highlights: Automatic Data Processing, Marriott Vacations Worldwide, Carnival and SkyWest - Press Releases For Immediate Release Chicago, IL - July 06, 2015 - 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 the Automatic Data Processing, Inc. ( ADP ), Marriott Vacations Worldwide Corp. ( VAC ), Carnival Corporation ( CCL ) and SkyWest Inc. ( SKYW ). Today, Zacks is promoting its ''Buy'' stock recommendations. Get #1Stock of the Day pick for free . Here are highlights from Thursday's Analyst Blog: 3 Travel Stocks for Summertime Fun Independence Day travel weekend is poised to be the busiest for holidaymakers since 2007. According to the American Automobile Association (AAA), around 41.9 million travelers are projected to travel 50 miles or more during the weekend. Cheaper gasoline prices, an upbeat labor market and a rise in consumer confidence are prompting more number of people to plan a holiday getaway this weekend. The Independence Day weekend is usually the busiest summer holiday travel period. Fourth of July Weekend Travel to Rise Independence Day Weekend travel is anticipated to increase 0.7% from 41.6 million people who traveled last year. Additionally, estimates for travelers during the Independence Day weekend is 13% higher compared to the forecasted Memorial Day weekend travelers. (Read: Memorial Day Weekend Travel to Hit 10-Yr High: 3 Choices ) Almost 85% or 35.5 million travelers are expected to drive, an increase of 0.7% over last year's Independence Day weekend. This would also be the highest since 2000. Travelers, in general, are already driving more. According to the Federal Highway Administration, travelers drove 987.8 billion miles for the first four months of 2015, topping 2007's record of 965.5 billion. Air travel is expected to account for 7.7% of all Independence Day holiday travel. About 3.21 million leisure travelers will take to the sky, which is 1.5% higher than year ago level. Additionally, a record number of travelers are expected to fly this summer season surpassing the pre-recession high in 2007, according to Airlines for America. (Read: Airlines Expect Busiest Summer Ever: 2 Stock Picks ) Meanwhile, travel by other modes of transport including cruises, trains and buses are expected to increase 0.5% to 3.2 million this Independence Day holiday. However, travelers will have to bear moderately higher lodging costs this Independence Day. According to AAA's Leisure Travel Index, average stay in a Three Diamond hotel will cost 9% higher this year at $195, while the cost of a Two Diamond hotel will be 6% higher this year at $145. Additionally, airfares for the top 40 domestic flights may also rise 6% to $227 this year. Nevertheless, cheap gasoline prices and rise in wages are expected to boost disposable income, w

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 = 0.0199 (i.e., a 1.99% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0199 = 5.0158, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


BTC-USD: 60-day history, VaR(99%)=-0.0588, max drawdown threshold=10%.

Question:
Asset: BTC-USD
Daily returns (past 60 days): mean=0.0017, std=0.0258, worst_day=-0.0927
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-11-06]

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 = 0.0588 (i.e., a 5.88% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0588 = 1.7018, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


EEM: 60-day history, VaR(99%)=-0.0325, max drawdown threshold=10%.

Question:
Asset: EEM
Daily returns (past 60 days): mean=-0.0024, std=0.0131, worst_day=-0.0341
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-10-25] ["Why Is Everyone Talking About Apple? Apple's (NASDAQ: AAPL) stock has fallen about 10% since mid-September. The leading causes for the dip have been numerous reports that sales for its base-model iPhone 14 and 14 Plus have been underwhelming and an overall slowdown of consumer demand in the tech market. As the highest-valued company in the world, with a market cap of $2.37 trillion, Apple is one of the world's most scrutinized companies. The last two months have been no different as analysts pick apart the company's September iPhone launch and its 2022 iPad lineup unveiling in mid-October. Understanding the strategy behind Apple's recently announced products can be a great way to predict how far your investment will go. So, here's why Apple's new products have been making headlines. A confusing iPad launch On Oct. 18, Apple unveiled its 2022 iPad refresh by introducing a newly designed base iPad and upgraded iPad Pros. Time will tell how the new Apple tablets fare with consumers, but the media has been quick to criticize the devices. Bloomberg has called the new iPad lineup \"perplexing,\" while Techradar said its \"software and now hardware is a mess.\" The primary reason for the confusion lies in upgrades to the entry-level iPads, but not the Pro versions. The base iPads received a redesign with new colors, relocation of the front-facing camera to the landscape's edge, and a revamped Magic Keyboard accessory. Meanwhile, the 2022 iPad Pro models received the smallest update in their history. They were bumped up to the M2 chip, making them 15% faster than their predecessors, along with other minor performance upgrades. However, the higher-cost versions didn't receive the same optimal camera relocation or the redesigned Magic Keyboard. The Pro models didn't even receive the customary camera or display improvements that consumers have come to expect year to year. As a result, Apple has given consumers little reason to upgrade to the 2022 iPad Pro and created confusion by omitting features given to the base iPad. Moreover, despite the base iPad's more enticing improvements, it has not been left unscathed by criticism. The tablet has undergone a significant redesign, including its charging port going from lightning to the market-preferred USB-C. However, it is still only compatible with the 2015 Apple Pencil accessory that charges via lightning rather than the redesigned 2018 version that charges magnetically along the side of higher-tiered iPads. As a result, users need to use an adapter to charge their Apple Pencil with the new base iPad. iPhone 14 Plus is a bust In addition to a confusing iPad lineup, Apple has reportedly faced dismal demand for its iPhone 14 Plus, which hit stores on Oct. 7. The base-model iPhone was announced on Sept. 7, along with two new Pro models and a standard-sized base model. Apple had high hopes for the larger iPhone 14 as it signified a shakeup in the lineup. There hasn't been a Plus-sized base model since 2017's iPho

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 = 0.0325 (i.e., a 3.25% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0325 = 3.0808, 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=-0.0025, std=0.0177, worst_day=-0.0335
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-06-27] ["CEOs will look past abortion bans, too Reuters Reuters NEW YORK (Reuters Breakingviews) - The demolition of the constitutionally protected right to an abortion in the United States is historic. But for companies doing business in America, the cost-benefit analysis it provokes will feel familiar. Corporate bosses will end up viewing America\u2019s illiberal states the way they do any emerging market. Each state will be left to decide how and whether to regulate abortion after the Supreme Court on Friday decided that protections of \u201clife, liberty, or property\u201d don\u2019t include ending a pregnancy as a right. At least eight states had already banned the procedure by Monday, and around half of the 50 are primed to outlaw it under statutes already in place. Removing access to abortion could increase maternal deaths https://read.dukeupress.edu/demography/article/58/6/2019/265968/The-Pregnancy-Related-Mortality-Impact-of-a-Total by over one-fifth, according to Duke University, and Black maternal deaths by one-third. Recognizing the anxiety, companies have moved to reassure their staff: Facebook owner Meta Platforms and Goldman Sachs are among those offering to fund travel costs for employees who need to go out of state for healthcare and reproductive services. But if the majority of Americans https://www.cbsnews.com/news/americans-react-to-roe-v-wade-overturn-opinion-poll-2022-06-26 who oppose the overturning of Roe vs. Wade hope their large, powerful employers will do more, they will be disappointed. Multinationals long ago made peace with setting up shop in locations where freedoms taken for granted in some countries are limited in the name of stability or ideology. Foreign direct investment into China surged by a third to $344 billion last year, according to Peterson Institute for International Economics. Net foreign investment in Saudi Arabia jumped more than threefold in 2021, according to state media. China and states like Texas are in that way somewhat similar. The Lone Star state offers low taxes, good universities, rich natural resources, and scale. Accepting bans on abortion is simply the cost of doing business for companies like Goldman Sachs and Apple. So is turning a blind eye to the governing Texas Republican Party\u2019s recent declaration that \u201chomosexuality\u201d is \u201can abnormal lifestyle choice https://texasgop.org/wp-content/uploads/2022/06/6-Permanent-Platform-Committee-FINAL-REPORT-6-16-2022.pdf,\u201d an awkward reality for companies that trumpet their commitment to diversity. Emerging-market attitudes don\u2019t always create economic success for nations \u2013 or states. Mississippi, for example, has no Fortune 500 companies headquartered within its borders. It\u2019s also the state with the least well-functioning healthcare system https://www.commonwealthfund.org/publications/scorecard/2022/jun/2022-scorecard-state-health-system-performance in the country, according to the Commonwealth Fund. Even then, the

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).


BNO: 60-day history, VaR(99%)=-0.0373, max drawdown threshold=10%.

Question:
Asset: BNO
Daily returns (past 60 days): mean=0.0023, std=0.0157, worst_day=-0.0504
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to BNO, 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 = 0.0373 (i.e., a 3.73% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0373 = 2.6815, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLE: 60-day history, VaR(99%)=-0.0350, max drawdown threshold=10%.

Question:
Asset: XLE
Daily returns (past 60 days): mean=-0.0024, std=0.0184, worst_day=-0.0360
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2021-09-21] ["Over 2 Billion Devices Will be Shipped with a Dedicated Chipset for Ambient Sound or Natural Language Processing By 2026 Natural Language Processing (NLP) and ambient sound processing are traditionally considered exclusive cloud technologies and this has restricted their adoption in markets where security, privacy, and service continuity are critical elements for deployment. However, the advancements in deep learning compression technologies and edge Artificial Intelligence (AI) chipsets are now enabling these technologies to be integrated at the end-device level, which could mitigate security and privacy concerns", "PDMR Shareholding Notification of Transactions by Persons Discharging Managerial Responsibilities and Persons Closely Associated with them [This form is required for disclosure of transactions under Article 19 of Regulation (EU) No 596/2014 of the European Parliament and of the Council of 16 April 2014 on market abuse (Market Abuse Regulation)] 1Details of the person discharging managerial responsibilities/person closely associated a)NameAndrew Sheen 2Reason for the notification a)Position/statusPDMR / Managing D", "Apple adds new personalized recommendations in Podcasts' Listen Now page Apple has introduced new sharing and personalized recommendation features for Podcasts on iOS 15.", "Google\u2019s updated iOS 15 apps support Focus Mode and iPad widgets One of those is Google, which detailed today the iOS 15-related enhancements you can expect from its apps. The biggest change involves how Gmail, Meet, Tasks, Maps, Home and many of Google's other applications will handle notifications. Should you have iOS 15\u2019s new Focus Mode enabled, Google says prompts that don\u2019t require your immediate attention will go to the Notifications Center where you can deal with them later.", "iPhone 13 and 13 mini review Should you get the iPhone 13 and 13 mini? Depends on how badly you want the new camera features and upgraded battery.", "Marvel shows are now available through Apple Podcast subscriptions Marvel and SiriusXM have opened a new Apple Podcasts channel, which includes a paid tier. The free Marvel channel includes Marvel's Wolverine: The Long Night and the sequel, Marvel's Wolverine: The Lost Trail. You'll be able to listen to Marvel/Method, in which Method Man interviews celebrities about Marvel, and This Week in Marvel, a weekly show about the latest news in the company's ecosystem.", "The iPhone 13 Pro goes to Disneyland This year\u2019s iPhone review goes back to Disneyland for the first time in a couple of years for, uh, obvious reasons. One of the major reasons I keep bringing these iPhones back to Disneyland is that it\u2019s pretty much the perfect place to test the improvements Apple claims it is making in an intense real-world setting. In my testing, most of Apple\u2019s improvements actually had a visible impact on the quality of life of my trip, though in some cases not massive.", "Dynamic head tracking is now availabl

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 = 0.0350 (i.e., a 3.50% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0350 = 2.8547, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLB: 60-day history, VaR(99%)=-0.0314, max drawdown threshold=10%.

Question:
Asset: XLB
Daily returns (past 60 days): mean=0.0012, std=0.0133, worst_day=-0.0337
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2020-10-26] ["Apple, Amazon, Boeing, Visa, Pfizer, and Other Stocks to Watch This Week Microsoft, Apple, Alphabet, Facebook, Amazon, AMD, Caterpillar, Comcast, GE, Ford, Pfixer, Visa, UPS, Exxon Mobil, Twitter, and more companies report third-quarter results.", "Apple earnings will be missing the usual star attraction The end of Apple Inc.'s fiscal year usually leads to a game of \"How is the new iPhone doing,\" but that gets a little harder in 2020.", "Ready for another Big Tech hearing/earnings doubleheader? Three months ago, Big Tech's biggest names traipsed into a Congressional hearing to be berated by politicians for their business dominance, then paraded in front of Wall Street a day later to be cheered for their financial dominance. Somebody must have enjoyed that, because it is about to happen all over again.", "Facebook earnings: Cleaning up content has been focus before elections As Facebook prepares to report its third-quarter results on Oct. 29, the company finds itself navigating the Beltway as much as Wall Street.", "Alphabet earnings: Antitrust charges cast long shadow over Google The historic lawsuit will be an underlying theme, both in the short- and long-term, when Google announces third-quarter results on Oct. 29 --- the same day as Facebook Inc., Amazon.com Inc., Apple Inc., and a raft of other tech companies.", "Big Tech Companies Report Third Quarter Earnings This Week The raft of earnings comes as large technology platform companies have come under increased scrutiny from regulators and politicians.", "Barron\u2019s Daily: Dunkin\u2019 Brands May Be Bought Out. Why Covid Has Boosted M&A. Europe tightens restrictions in desperate race against Covid second wave, Pence will continue campaign after aides\u2019 positive Covid tests, Barrett set to be confirmed to Supreme Court, and other news to start your day.", "9 Promising Stocks From Emerging Markets Selection is key. But in overseas markets, there are a number of internet and health-care companies that are still in their growth trajectories, offering big opportunities.", "Dow Slumps as Election, Stimulus, Covid-19 and Earnings Worries Spike Earnings from SAP were added to an already combustible mix, helping to send the market sharply lower.", "All 30 Dow stocks are falling, led by American Express and Boeing Shares of all 30 components of they Dow Jones Industrial Average are falling in midday trading Monday, with 29 of them losing more than 1%, as the recent surge in new COVID-19 cases and the lack of progress on stimulus talks shook investor confidence. The Dow tumbled 682 points, or 2.4%, Among the Dow's biggest percentage losers, shares of American Express Co. shed 4.1%, Boeing Co. gave up 3.8% and Salesforce.com Inc. slid 3.5%. The biggest price decliners were shares of Saleforce, down $8.71, and UnitedHealth Group Inc. , down $8.15; combined, those stocks shaved about 111 points off the Dow's price. The Dow's best performer, and the lone stock that was down more than 1%, was Appl

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 = 0.0314 (i.e., a 3.14% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0314 = 3.1835, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


BTC-USD: 60-day history, VaR(99%)=-0.0924, max drawdown threshold=10%.

Question:
Asset: BTC-USD
Daily returns (past 60 days): mean=-0.0014, std=0.0310, worst_day=-0.1140
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 = 0.0924 (i.e., a 9.24% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0924 = 1.0819, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


CPER: 60-day history, VaR(99%)=-0.0297, max drawdown threshold=10%.

Question:
Asset: CPER
Daily returns (past 60 days): mean=-0.0000, std=0.0149, worst_day=-0.0313
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 = 0.0297 (i.e., a 2.97% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0297 = 3.3726, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLRE: 60-day history, VaR(99%)=-0.0104, max drawdown threshold=10%.

Question:
Asset: XLRE
Daily returns (past 60 days): mean=0.0004, std=0.0057, worst_day=-0.0108
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2017-10-06] ["IYW, ADBE, CRM, CTSH: Large Outflows Detected at ETF Looking today at week-over-week shares outstanding changes among the universe of ETFs covered at ETF Channel , one standout is the iShares U.S. Technology ETF (Symbol: IYW) where we have detected an approximate $98.7 million dollar outflow -- that's a 2.6% decrease week over week (from 24,600,000 to 23,950,000). Among the largest underlying components of IYW, in trading today Adobe Systems Inc (Symbol: ADBE) is up about 0.5%, Salesforce.com Inc (Symbol: CRM) is up about 0.7%, and Cognizant Technology Solutions Corp. (Symbol: CTSH) is higher by about 0.6%. For a complete list of holdings, visit the IYW Holdings page \u00bb The chart below shows the one year price performance of IYW, versus its 200 day moving average: Looking at the chart above, IYW's low point in its 52 week range is $114.68 per share, with $151.91 as the 52 week high point - that compares with a last trade of $151.86. 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. The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.", "MKSI Instruments Looks Bullish on Robust Growth Drivers We issued an updated research report on premium scientific and technical instruments company, MKS Instruments, Inc.MKSI , on Oct 6. In the last month, shares of this Zacks Rank #2 (Buy) stock have yielded a return of 91.2%, outperforming 57.4% growth recorded by the industry . Notably, the attractiveness of this stock as a current investment choice is further accentuated by its favorable VGM Score B. Also, the stock's projected sales growth is 41.8% and earnings per share growth is 79.5% for 2017 compared to the respective tallies of 10.7% and 57.1% estimated for the industry. Moreover, the company's earnings are projected to be up 15.7% in the next three to five years. Why Should You Grab the Stock? MKS Instruments has a well-balanced technology portfolio and in

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 = 0.0104 (i.e., a 1.04% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0104 = 9.6220, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLE: 60-day history, VaR(99%)=-0.0403, max drawdown threshold=10%.

Question:
Asset: XLE
Daily returns (past 60 days): mean=0.0022, std=0.0174, worst_day=-0.0411
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-01-25] ["7 Best Technology Stocks to Buy After the Big Dip InvestorPlace - Stock Market News, Stock Advice & Trading Tips So far, 2022 is a huge bummer for technology stocks. But that won\u2019t last forever. Technology stocks are taking an oversized beating to start the year. While the Dow Jones Industrial Average is down 7.5% year-to-date (YTD), the more tech-heavy Nasdaq composite is down 14.3% YTD. Exchange-traded funds like the Technology Select Sector SPDR Fund (NYSEARCA:XLK) are suffering, as well. The XLK is down more than 9% since Jan. 1. Tech stocks are the worst-performing sector in the S&P 500, according to the Wall Street Journal. Tech stocks in particular are being pressured as investors are turning instead to rising yields offered by government-backed bonds. Deutsche Bank analyst Jim Reid says so far, 2022 has been \u201ca perfect negative storm for tech.\u201d But here\u2019s the thing about storms \u2014 the clouds eventually part and the sun comes out again. And for technology stocks, that means a return to growth and profits. 7 Dividend Stocks to Profit off the Hot Real Estate Market When that happens, you\u2019ll want to own these seven technology stocks: Microsoft (NASDAQ:MSFT) Nvidia (NASDAQ:NVDA) Visa (NYSE:V) Adobe (NASDAQ:ADBE) Broadcom (NASDAQ:AVGO) Salesforce (NYSE:CRM) PayPal (NASDAQ:PYPL) Best Technology Stocks to Buy: Microsoft (MSFT) MSFT) logo above the entrance.\" width=\"300\" height=\"169\"> Source: NYCStock / Shutterstock.com Microsoft was in the news lately with its announcement that it will buy video game publisher Activision Blizzard (NASDAQ:ATVI) for $68.7 billion. It would be the biggest tech deal ever. But that\u2019s par for the course. Microsoft never does anything small. With its fingers in cloud, gaming and consumer businesses, MSFT has a market cap of $2.16 trillion these days. The stock rose more than 50% in 2021. Revenue jumped by 18% for the year, and earnings per share rose by 40%. But 2022 has been rough so far. MSFT stock is down 15.8% since Jan. 1 and Wall Street will eagerly be watching the company\u2019s earnings report on Jan. 25. Analysts are calling for Microsoft to report revenues of $50.88 billion and earnings per share of $2.31. That would be a great way for Microsoft to start the year. The average price estimate for MSFT stock is $373.24, which represents a more than 25% upside from current levels. Nvidia (NVDA) Source: michelmond / Shutterstock.com Nvidia was another high-flyer in 2021 that has come down to earth. At one point last year, NVDA stock was up by more than 125% on a year-to-date basis. And even after it started falling in November, Nvidia still managed a 2021 gain of more than 70%. Over the last five years, Nvidia is up nearly 900%. You can\u2019t ask for anything more from a stock. But 2022 has been a different story so far. Nvidia dropped 24% since the calendar turned in January. With a market cap of $555.86 billion, Nvidia is too much of a powerhouse and growth engine to falt

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 = 0.0403 (i.e., a 4.03% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0403 = 2.4800, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLRE: 60-day history, VaR(99%)=-0.0198, max drawdown threshold=10%.

Question:
Asset: XLRE
Daily returns (past 60 days): mean=0.0003, std=0.0093, worst_day=-0.0227
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2017-02-06] ["Apple, Google among nearly 100 tech firms fighting Trump\u2019s travel ban in court Companies claim president\u2019s immigration order harms U.S. business, innovation and growth In a joint amicus brief filed in the Ninth U.S. Circuit Court of Appeals on Sunday, the firms challenge President Donald Trump\u2019s executive order which temporarily restricts citizens of seven Muslim-majority countries from entering the U.S.", "Expect even more good news about Apple Analysts are likely to continue upping their estimates of Apple\u2019s EPS Analysts are likely to continue upping their estimates of Apple\u2019s per-share earnings.", "Trump rips polls as \u2018fake news\u2019 | Tech companies call travel ban unlawful Republicans\u2019 Obamacare tax decision President Trump rips polls as \u2018fake news\u2019; tech companies call travel ban unlawful; Republicans\u2019 Obamacare tax decision; and more.", "My dad talked me out of the decade\u2019s best investment, but he wasn\u2019t wrong Netflix is up about 3,400% over the past nine years, and I missed it The worst financial advice I ever got also happened to be correct.", "Apple Building \u2018iPhone 8\u2032 Earlier Than Normal, It Would Appear, Says BlueFin Boutique research firm BlueFin Research Partners\u2019s John Donovan and Steve Mullane this morning write that they are seeing some indication Apple is ramping up production of its next iPhone, presumably an \"iPhone 8,\u201d earlier than expected, thought it\u2019s not clear if that means there will be any change in the release date of the device.\"Early indication AAPL trying to pull in next generation iPhone builds as much as possible,\u201d write the authors.The most intriguing data points that we have uncovered suggests that AAPL is ramping the next generation iPhones earlier than historical norms, although we have no indication that there has been any change in release plans for the iPhone 8/X. Builds have been pulled in a few months while aggregate next generation forecasts have increased 10% from last month to 122M. Additionally, AAPL has adjusted iPhone 7, 7 Plus, and SE production downward in preparation for the next generation launch.Without citing specific sources, the authors say they\u2019re seeing indications of the iPhone 8 in the supply chain plans for June, earlier than usual:", "Tech Today: High Bar for Nvidia, Good Times for Chips, Snap\u2019s Youth Trap Here are some things going on today in your world of tech:Reflecting on the chip market, Wells Fargo\u2019s David Wong writes this morning that an 18% jump in chip sales in December, reported by the Semiconductor Industry Association, reinforces his view \u201cthe chip industry has entered the first stages of a recovery, which we expect to last through 2017.\"He raises his semi revenue growth projection to 11% to 17% for this year from an 8% to 14% level. Wong has Outperform ratings on AMD (AMD) and Micron Technology (MU), among others.On a similar note, B. Riley\u2019s Craig Elli

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 = 0.0198 (i.e., a 1.98% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0198 = 5.0601, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLF: 60-day history, VaR(99%)=-0.0358, max drawdown threshold=10%.

Question:
Asset: XLF
Daily returns (past 60 days): mean=-0.0016, std=0.0175, worst_day=-0.0368
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-07-20] ["US STOCKS-Nasdaq rises on positive earnings signals as inflation concerns loom By Echo Wang July 20 (Reuters) - The tech-heavy Nasdaq climbed over 1% on Wednesday as investors digest the latest earnings as positive signals of the economy, albeit rising concerns on inflation and a tightening Fed. The S&P 500 edged up 0.39% while the Dow Jones Industrial Average slipped 0.12%. Netflix Inc's NFLX.O shares jumped 6% after the company predicted it would return to customer growth during the third quarter, while posting a smaller-than-expected 1 million drop in subscribers in the second quarter. Other high-growth stocks extended gains following the forecast from the streaming service provider. Shares of Apple Inc AAPL.O, Amazon.com Inc AMZN.O, Microsoft Corp MSFT.O and Meta Platforms Inc META.O added between 1% and 3.6%. The S&P 500 technology sector index .SPLRCT rose 1.3%. \u201cInflation remains a very strong consideration on investors\u2019 minds\u2026 what we are seeing today are some positive earnings announcements allowing investors to hang their hats on some positive news that should bode better for the remainder of Q3, and 2022,\u201d said Greg Bassuk, chief executive at AXS Investments in Port Chester, New York. \u201cFor Tesla, and Netflix and some of these bellwether companies \u2026 investors are looking for messaging on the outlook that these companies have on the balance of 2022.\u201d Electric vehicle maker Tesla Inc TSLA.O added 0.6% ahead of its earnings report after market close. Analysts expect aggregate year-on-year S&P 500 profit to grow 5.9% in this reporting season, down from the 6.8% estimate at the start of the quarter, according to Refinitiv data. Runaway inflation initially led markets to price in a full 100-basis-point hike in interest rates at the Fed's upcoming meeting next week, until some policymakers signaled a 75-basis-point increase. At 1:45 p.m. ET, the Dow Jones Industrial Average .DJI fell 37.45 points, or 0.12%, to 31,789.6, the S&P 500 .SPX gained 15.19 points, or 0.39%, to 3,951.88 and the Nasdaq Composite .IXIC added 145.44 points, or 1.24%, to 11,858.59. Trading remained volatile in thin volumes, with the CBOE Volatility index .VIX last down 24.05 points to its lowest in over a month. \"Low volumes accentuate market moves historically and even though we've wiped off $10 or $15 trillion from global equities this year, there's still a lot of excess liquidity. So low volume on excess liquidity can still accentuate moves,\" John Lynch, chief investment officer for Comerica Wealth Management, said. Health insurer Elevance Health Inc ELV.N plunged 9% as the largest S&P percentage loser, as the company\u2019s medical costs failed to decrease in line with rival UnitedHealth Group Inc. Baker Hughes Co BKR.O tumbled 7.8% as the oilfield services provider reported a bigger second-quarter loss, while its adjusted profit also missed estimates. Advancing issues outnumbered declining ones on the NYSE by a 1.55-to-1 ratio;

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 = 0.0358 (i.e., a 3.58% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0358 = 2.7966, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


ICSH: 60-day history, VaR(99%)=-0.0006, max drawdown threshold=10%.

Question:
Asset: ICSH
Daily returns (past 60 days): mean=0.0001, std=0.0003, worst_day=-0.0006
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to ICSH, 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 = 0.0006 (i.e., a 0.06% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0006 = 166.9237, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


UNG: 60-day history, VaR(99%)=-0.0384, max drawdown threshold=10%.

Question:
Asset: UNG
Daily returns (past 60 days): mean=0.0045, std=0.0188, worst_day=-0.0432
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 = 0.0384 (i.e., a 3.84% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0384 = 2.6027, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


IVV: 60-day history, VaR(99%)=-0.0328, max drawdown threshold=10%.

Question:
Asset: IVV
Daily returns (past 60 days): mean=0.0016, std=0.0187, worst_day=-0.0328
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2020-06-11] ["Can the all-new Cadillac CT5 take on its European competitors? Review: It\u2019s meant to compete with European big boys like the BMW 3 Series and the Audi A4 The 2020 Cadillac CT5 review: The price is well below its in-segment competitors, but it doesn\u2019t raise the bar.", "American muscle: We compare a Chevy Camaro to Dodge Challenger Take a look at the differences and similarities between the Challenger and the Camaro and see which one is right for you Dare to compare: The Challenger and Camaro are direct competitors in American muscle cars.", "Apple stock gets an upgrade at HSBC on services optimism Apple Inc. has a big opportunity to leverage its installed base of devices to drive services growth, HSBC analyst Nicolas Cote-Colisson wrote in a Wednesday note to clients. He upgraded Apple's stock to hold from sell in the report, writing that while he still has macroeconomic concerns about the company's overall business, there's also potential for the company to \"sustain innovation\" that could drive further momentum for its services segment, particularly around health care. \"The pandemic will, in our view, create more demand for health-related tools and Apple could play a large role in addressing that demand,\" Cote-Colisson wrote. Health represents \"the first or second largest sector in the economy\" depending on countries, he said, though Apple could face challenges getting regulatory clearance to collect health data. Cote-Colisson raised his price target on Apple to $295 from $225 in the report. Wells Fargo's Aaron Rakers took a more upbeat view, boosting his target to $385 from $315 in a Thursday note. \" Despite the strong [year-to-date] outperformance we have seen in shares of Apple...we continue to believe investors will view this as a favored high-quality large cap name given continued evidence of a post-COVID recovery in smartphone demand, coupled with an expectation of a positive 5G cycle materializing into late-2020/2021,\" Rakers wrote, even if that cycle is delayed by a month or two due to the pandemic. Apple shares are down 1.5% in premarket trading Thursday, though they've gained 12% over the past month as the Dow Jones Industrial Average has added 11%.", "Apple stock price target raised to $390 from $340 at BofA Securities", "As Apple Stock Hits Record Prices, Analysts See Higher Highs Ahead Three more Wall Street pundits turned incrementally more positive on the prospects for the company, which yesterday crossed the $1.5 trillion market capitalization level for the first time ever.", "Picking Winners and Losers as Video Streaming and Cord-Cutting Grow Consumers have finally hit a ceiling on how much money they\u2019re willing to spend on video content\u2014and the market is headed for a period of deep disruption that will only exaggerate recent trends in cord-cutting and subscription services.", "Apple to devote $100 Million to racial-justice initiative \u2018Things must change\u2019 Apple Chief Executive Tim Cook said

Determine the maximum fraction of total portfolio capital that should be allocated to IVV, 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 = 0.0328 (i.e., a 3.28% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0328 = 3.0503, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


MATIC-USD: 60-day history, VaR(99%)=-0.1267, max drawdown threshold=10%.

Question:
Asset: MATIC-USD
Daily returns (past 60 days): mean=0.0082, std=0.0595, worst_day=-0.1465
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: 0.7892

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1267 (i.e., a 12.67% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1267 = 0.7892, capped at 1.0.
Maximum position size = 0.7892 (78.9% of portfolio).


DOT-USD: 60-day history, VaR(99%)=-0.1259, max drawdown threshold=10%.

Question:
Asset: DOT-USD
Daily returns (past 60 days): mean=-0.0018, std=0.0397, worst_day=-0.1400
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-11-15]

Determine the maximum fraction of total portfolio capital that should be allocated to DOT-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: 0.7942

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1259 (i.e., a 12.59% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1259 = 0.7942, capped at 1.0.
Maximum position size = 0.7942 (79.4% of portfolio).