XLRE: 60-day return history, mean=0.0002, std=0.0217.

Question:
Asset: XLRE
Daily returns (past 60 days): mean=0.0002, std=0.0217, min=-0.0375, max=0.0314
Market regime: sideways
Recent filing/news:
[Kaggle 2020-06-24] ["European stocks in the red as investors fret about rising U.S. Covid-19 infections Cluster of M&A news and weakness by drug groups marks trading European stocks traded lower on Wednesday, as markets struggled to gain traction against a backdrop of rising coronavirus cases in the U.S. Technology stocks were a bright spot after another record session for the Nasdaq Composite", "Apple's stock slips 0.7% premarket, after rallying 4.8% the past 2 days to Tuesday's record close", "Apple Chip Supplier Upgrades Outlook on Lockdown Demand Apple chip supplier Dialog Semiconductor raised its revenue outlook on Wednesday, citing strong demand for tablets and wearable products", "Barron\u2019s Daily: Even the Nasdaq Is Falling as Covid Spike Spurs Demand for Stay-at-Home Stocks A new stimulus bill could pass in July, Covid-19 testing will increase in the U.S., tech stocks reach new highs, and other news to start your day.", "Apple stock falls after report says Justice Department looking at App Store investigation Apple Inc. could face heightened antitrust scrutiny in the U.S. as the Department of Justice and state attorneys general are looking at an investigation that would focus on the company's App Store, according to a Politico report. European regulators also have investigations underway that look into Apple's App Store and Apple Pay practices. Apple takes a cut of revenue when users make in-app purchases of digital services through third-party apps, which some developers have criticized as anticompetitive and arbitrary. The European investigation of Apple Pay will examine Apple's control over the NFC reader on iPhones, which enables contactless payments. The company has restricted the way third parties can tap into this technology. Apple shares are off 0.6% in premarket trading Wednesday. The stock has gained 48% over the past three months as the Dow Jones Industrial Average has risen 26%.", "Facebook, Microsoft, Zoom, More Software Stocks Get a Lift Goldman Sachs technology analyst Heather Bellini does a deep dive on valuation for the stocks she covers, in the process lifting her targets for a slew of familiar software names.", "Apple acquires security company Fleetsmith Apple Inc. has acquired security company Fleetsmith, according to a blog post on the Fleetsmith website. Fleetsmith helps with device setup and security patching for Apple devices including Macs and iPhones that are used in enterprise settings. The company's tools help businesses automatically set up Apple devices for new employees and manage fleet-wide issues in a single place. \"Our shared values of putting the customer at the center of everything we do without sacrificing privacy and security, means we can truly meet our mission, delivering Fleetsmith to businesses and institutions of all sizes, around the world,\" Fleetsmith said of the Apple deal. Apple didn't immediately respond to a MarketWatch request for comment. Terms of the deal weren't disclosed in the Fleetsmith post. App

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

Answer: -0.0375

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0375 (i.e., on a bad day with 5% probability, the loss exceeds 3.75%). CVaR(95%) = -0.0375.


VLUE: 60-day return history, mean=-0.0000, std=0.0158.

Question:
Asset: VLUE
Daily returns (past 60 days): mean=-0.0000, std=0.0158, min=-0.0356, max=0.0296
Market regime: sideways
Recent filing/news:
[Kaggle 2022-11-15] ["US STOCKS-Wall Street jumps on growing evidence of easing inflation By Amruta Khandekar and Ankika Biswas Nov 15 (Reuters) - Wall Street's main indexes jumped on Tuesday as growing evidence of cooling inflation bolstered hopes of smaller rate hikes by the Federal Reserve, while Walmart's upbeat forecast powered gains in retail sector. Data showed U.S. producer prices increased less than expected, rising 8% in the 12 months through October against an estimated 8.3% rise, according to a Reuters poll of economists. The report follows a softer-than-expected consumer prices reading late last week, which sparked a massive rally on hopes that the Fed would tone down its aggressive monetary policy approach that has roiled markets this year. Following the latest data, traders' bets of a 50-basis points rate hike in December surged to 91% compared with 71.5% last week. FEDWATCH \"Going into the final months of the year, this (the inflation data) gives the Fed a chance to go from at least 75 to 50 basis points and potentially even further,\" said Phil Blancato, chief executive of Ladenburg Thalmann Asset Management in New York. Shares of Walmart Inc WMT.N jumped 7% after the top U.S. retailer lifted its annual sales and profit forecasts, benefiting from a steady demand for groceries despite higher prices. Its results boosted stocks of other major retailers, including Target Corp TGT.N and Costco COST.O. Target will report results on Wednesday. Home Depot Inc HD.Nleft its annual forecasts unchanged, but the home improvement chain's results exceeded Wall Street expectations and shares rose 1.6% amid a jump in shares of retailers. Among the S&P 500 sectors, consumer staples was up .SPLRCS 1.2%, while the consumer discretionary .SPLRCD index jumped 1.9%. Boosting the Nasdaq .IXIC, shares of megacap technology and other growth stocks such as Apple AAPL.O, Microsoft Corp MSFT.O and Alphabet GOOGL.O rose between 1% and 3%. Focus was also on comments from policymakers, after Fed Vice Chair Lael Brainard and Governor Christoper Waller in recent days emphasized on the need to keep raising rates to rein in inflation. Atlanta President Raphael Bostic echoed the views, saying he sees little evidence that the central bank's aggressive monetary policy tightening is slowing inflation. At 12:41 a.m. ET, the Dow Jones Industrial Average .DJI was up 164.48 points, or 0.49%, at 33,701.18, the S&P 500 .SPX was up 51.46 points, or 1.30%, at 4,008.71, and the Nasdaq Composite .IXIC was up 253.48 points, or 2.26%, at 11,449.70. U.S.-listed shares of Chinese firms including JD.Com JD.O, Alibaba Group Holding BABA.N rose between 7% and 12% after President Joe Biden and Chinese leader Xi Jinping's meeting on Monday where they pledged more frequent communications. U.S.-listed shares of Taiwan Semiconductor Manufacturing TSM.N jumped 12.2% after Warren Buffett's Berkshire Hathaway BRKa.Nbought more than $4.1 billion of stock in the company. Advancing issues outnumbered decliners by a

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

Answer: -0.0217

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0217 (i.e., on a bad day with 5% probability, the loss exceeds 2.17%). CVaR(95%) = -0.0306.


BTC-USD: 60-day return history, mean=0.0127, std=0.0470.

Question:
Asset: BTC-USD
Daily returns (past 60 days): mean=0.0127, std=0.0470, min=-0.1328, max=0.1157
Market regime: sideways

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

Answer: -0.0605

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


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

Question:
Asset: USMV
Daily returns (past 60 days): mean=0.0010, std=0.0037, min=-0.0072, max=0.0079
Market regime: sideways
Recent filing/news:
[Kaggle 2020-01-27] ["All 30 Dow stocks are falling, with Apple and Boeing the biggest drags All 30 of the Dow Jones Industrial Average's components are falling in premarket trading Monday, as the anxiety grows over the spreading of the corovnavirus that originated from China. Dow future tumbled 424 points. The biggest drags on the Dow, which is a price-weighted index, are the selloffs in the shares of Apple Inc. and Boeing Co. . Apple's stock fell 2.5%, while the implied price decline was shaving about 54 points off the Dow's price. Boeing's stock dropped 2.2%, and was reducing the Dow's price by about 48 points. There have been reports about events surrounding a Boeing-built plane in Afghanistan, but the company has not immediately responded to a request for comment.", "Apple stock price target raised to $290 from $280 at Deutsche Bank", "Apple's price target raised at Deutsche Bank, but it implies a 9% decline Apple Inc.'s stock price target was raised to $290 from $280 at Deutsche Bank, but that new target is still 8.9% below Friday's closing price of $318.31, as analyst Jeriel Ong reiterated his hold rating. Ong said he raised his price target because he expects iPhone unit demand to be better than Wall Street currently expects. \"However, the significant intra-quarter stock price move...is unlikely to be matched commensurately by the improved fundamentals, and we expect [Apple] to normalize at a higher valuation,\" Ong wrote in a note to clients. \"In our view, such a setup bodes poorly for investors who consider what to do with their [Apple] holdings from present levels.\" He said the recent sharp run up in the stock creates a setup where risks remain balanced with the potential reward. Apple shares have run up 29.1% over the past three months through Friday, while the Dow Jones Industrial Average has gained 7.5%. Apple's stock fell 2.0% in premarket trading, amida sharp selloff in the broader market, with Dow futures down set to open down over 400 points.", "This money manager says growth stocks are still your best play, and he has the math to back it up Tom Plumb of Wisconsin Capital Management says growth-stock valuations aren\u2019t overly high and expects investors to keep paying up for the most successful companies Tom Plumb of Wisconsin Capital Management says growth-stock valuations aren\u2019t overly high and expects investors to keep paying up for the most successful companies.", "Apple stock price target raised to $300 from $296 at J.P. Morgan", "Dow down 414 points on losses for American Express, UnitedHealth stocks", "Coronavirus Fears Are Hitting the Dow Hard. Travel Stocks, Chip Makers Are Plunging. U.S. stocks slumped as investors evaluate the latest news about China\u2019s coronavirus outbreak. Haven investments such as gold are getting a boost.", "Your 6-point plan to navigating a choppy stock market Investors have been excessively bullish and overconfident Investors have been excessively bullish and overconfident, so when bad news surprises

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

Answer: -0.0050

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0050 (i.e., on a bad day with 5% probability, the loss exceeds 0.50%). CVaR(95%) = -0.0071.


QUAL: 60-day return history, mean=0.0011, std=0.0158.

Question:
Asset: QUAL
Daily returns (past 60 days): mean=0.0011, std=0.0158, min=-0.0339, max=0.0266
Market regime: sideways
Recent filing/news:
[Kaggle 2022-08-08] ["US STOCKS-Wall St set for higher open after selloff on jobs data By Bansari Mayur Kamdar and Aniruddha Ghosh Aug 8 (Reuters) - U.S. stock indexes were set to open higher on Monday after last week's blockbuster jobs data soothed some fears about an economic slowdown, but investors remained cautious as it also added to expectations of a hawkish Federal Reserve. The focus this week will be on consumer prices data on Wednesday. The S&P 500 has bounced back 13% from its mid-June lows, but investors fear that signs of persistent inflation this week could further bolster the Fed's case for aggressive monetary policy tightening. \"While it's clear the Fed needs to continue tightening policy, there are still about six weeks until the next meeting and we remind investors that economic data can change very quickly,\" said Robert Schein, chief investment officer, Blanke Schein Wealth Management. \"The CPI data will help to confirm if the Fed's tightening efforts have been successful in starting to tame inflation or if continued Fed tightening is needed.\" U.S. rate futures have priced in a 68.5% chance of a 75-basis-point hike at the Fed's September meeting, up from about 41% before payrolls data on Friday beat market expectations. IRPR Banks that tend to benefit from a higher interest rate environment extended their gains in trading before the bell. Megacap growth and technology stocks edged higher, with Tesla TSLA.O up 2.3%. The U.S. electric-car maker signed contracts worth about $5 billion to buy materials for their batteries from nickel processing companies in Indonesia, according to a CNBC report. Other high-growth stocks such as Apple Inc AAPL.O and Amazon.com Inc AMZN.O gained as U.S. Treasury yields pulled back from sharp highs in the previous session. The benchmark 10-year yield declined 1.6% in early trading. Meanwhile, the U.S. Senate on Sunday passed a sweeping $430 billion bill intended to fight climate change, lower drug prices and raise some corporate taxes. \"All in all, it's a net positive. Biotech and pharma should rebound after some uncertainty because it (the bill) is less onerous than initially anticipated as it relates to negotiating drug prices,\" said Thomas Hayes, managing member, Great Hill Capital LLC, New York. Hayes added that a lot of companies might accelerate their stock buybacks as they now have incentive to aggressively initiate buybacks before the 1% tax kicks in, helping the equity markets overall. Nvidia Corp NVDA.O fell 7% on saying it expects second-quarter revenue of about $6.70 billion, down 19% from the prior quarter, largely hurt by weakness in its gaming business. Signify Health Inc SGFY.N jumped 15.1% on a media report that CVS Health Corp CVS.N was looking to buy the health technology company. Global Blood Therapeutics climbed 4.6% on Pfizer's PFE.N $5.4 billion deal for the blood disorder drugmaker. At 08:50 a.m. ET, Dow e-minis 1YMcv1 were up 164 points, or 0.50%, S&P 500 e-minis EScv1 were up 25.75 points,

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

Answer: -0.0309

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0309 (i.e., on a bad day with 5% probability, the loss exceeds 3.09%). CVaR(95%) = -0.0339.


XLB: 60-day return history, mean=0.0009, std=0.0130.

Question:
Asset: XLB
Daily returns (past 60 days): mean=0.0009, std=0.0130, min=-0.0316, max=0.0297
Market regime: sideways
Recent filing/news:
[Kaggle 2015-12-18] Adobe (ADBE) Attains a New 52-Week High on Solid Earnings Shares of Adobe Systems Inc.ADBE attained a new 52-week high of $96.42 on Dec 17, eventually closing at $94.20. The company returned 26.5% in the past one year and approximately 29.6% year-to-date. Average volume of shares traded over the last three months was roughly 3,453K. What is Driving Adobe Systems? One of the largest software companies in the world, Adobe Systems' massive customer base provides it with a distinct competitive edge. We believe that the company is being driven by continuous innovation in the Creative Cloud and Marketing Cloud businesses. The price appreciation may be attributed to Adobe's strong fundamentals, solid adoption of creative cloud and better-than-expected fourth-quarter fiscal 2015 results reported on Dec 10. Since then, the stock has gained 5.9%. In the fourth quarter, Adobe reported earnings of 47 cents per share, surpassing the Zacks Consensus Estimate of 45 cents. The growth was backed by strong adoption of creative cloud that led to a record sequential Creative Cloud ARR (Annualized Recurring Revenue) growth and strong revenues in the Creative product family. Adobe's revenues jumped 9.4% sequentially and 23.2% year over year to $1.31 billion. Revenues were at the higher end of the guidance range and in line with our expectations. We believe that the company will continue to be driven by innovation in its Creative suite businesses. In addition, the consistent adoption of the Adobe marketing cloud could serve as a potential catalyst, going forward. We expect significant synergies over the long term from the integration of Fotolia. Moreover, the solid adoption of Document Cloud, a new subscription package that enables users to sign documents on the cloud, will boost revenues. Additionally, Adobe Systems delivered an average positive earnings surprise of nearly 6.39% over the trailing four quarters. The company's solid market position, compelling product lines (including CS cloud initiative and digital media products), strong revenue growth, continued innovation and strong long-term growth potential position it favorably. Adobe Systems currently has a Zacks Rank #3 (Hold). Stocks to Consider Some well-ranked stocks in the same space are Citrix Systems, Inc. CTXS , Datawatch Corporation DWCH and Fleetmatics Group PLC FLTX , all sporting a Zacks Rank #1 (Strong Buy). Want the latest recommendations from Zacks Investment Research? Today, you can download 7 Best Stocks for the Next 30 Days . Click to get this free report >> Want the latest recommendations from Zacks Investment Research? Today, you can download 7 Best Stocks for the Next 30 Days. Click to get this free report CITRIX SYS INC (CTXS): Free Stock Analysis Report ADOBE SYSTEMS (ADBE): Free Stock Analysis Report FLEETMATICS GRP (FLTX): Free Stock Analysis Report DATAWATCH CORP (DWCH): Free Stock Analysis Report To read this article on Zacks.com click here. Zacks Investment Research The views and opin

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

Answer: -0.0202

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0202 (i.e., on a bad day with 5% probability, the loss exceeds 2.02%). CVaR(95%) = -0.0263.


XLRE: 60-day return history, mean=-0.0002, std=0.0074.

Question:
Asset: XLRE
Daily returns (past 60 days): mean=-0.0002, std=0.0074, min=-0.0174, max=0.0142
Market regime: sideways
Recent filing/news:
[Kaggle 2019-11-11] ["Goldman Sachs and Apple Face Criticism Over Card, While Trade and Hong Kong Protest Drag Down Stock Futures Macroeconomic news is dominating early on Veterans Day. More back and forth on trade as well as continuing protests in Hong Kong are putting pressure on Asian stock markets.", "Big Tech can avoid a real crackdown because of Congress\u2019s chaotic efforts, analysts say \u2018The existence of so many disparate critiques complicates making progress on any one issue\u2019 While Congress has Big Tech in its crosshairs, that doesn\u2019t mean any of the bills targeting Silicon Valley actually will become law soon, according Capital Alpha analysts, who suggest there are just too many measures coming at once.", "Apple, Facebook, Google and Amazon are putting billions of dollars toward affordable housing \u2014 but that money may be too little, too late Housing prices have skyrocketed in cities like San Francisco and Seattle, and tech companies are scrambling to ensure there\u2019s an affordable place to live for their workforces Housing prices have skyrocketed in cities like San Francisco and Seattle, and tech companies are scrambling to ensure there\u2019s an affordable place to live for their workforces.", "Apple co-founder Steve Wozniak also alleges that the Apple Card discriminated against his wife Wozniak says his Apple Card limit is 10x higher than his wife\u2019s, despite their finances being identical Wozniak says his Apple Card limit is 10 times higher than his wife\u2019s, despite their finances being identical.", "Qualcomm Stock Gets Downgraded on Potential 5G Risks A Morgan Stanley analyst says a recent rally by the chip maker makes its shares look less appealing.", "Regulator Will Investigate Goldman Sachs After Apple Card Controversy The New York State Department of Financial Services said it would investigate whether the algorithm used by Goldman Sachs to make credit-limit decisions for the Apple card violated state laws against discrimination.", "Netflix's stock surges as Disney's rival service set to launch; Apple's stock hits record high Shares of Netflix Inc. rallied 1.5% toward an 8-week high, as investors appear to be taking Tuesday's launch of Walt Disney Co.'s rival Disney+ streaming service in stride. Netflix's stock has now gained 3.0% this month, which also included the launch of Apple Inc.'s rival service Apple TV+ on Nov. 1. Apple's stock rallied 0.6%, putting them on track to close at a record high, and has climbed 5.2% this month. Disney's stock fell 1.1%, but had run up 3.8% on Friday on the back of upbeat third-quarter results. Disney shares have tacked on 5.0% this month.", "Dow closes at record after Boeing surges on report of 737 Max early return Treasury markets are closed in observance of Veterans Day but the stock market stays open U.S. stock market benchmarks came off intraday lows on Monday after Boeing said its grounded 737 Max fleet could see a return to service early next year", "Secret Google project i

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

Answer: -0.0123

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0123 (i.e., on a bad day with 5% probability, the loss exceeds 1.23%). CVaR(95%) = -0.0149.


VTI: 57-day return history, mean=0.0002, std=0.0088.

Question:
Asset: VTI
Daily returns (past 57 days): mean=0.0002, std=0.0088, min=-0.0173, max=0.0175
Market regime: sideways
Recent filing/news:
[Kaggle 2015-03-26] ["The Zacks Analyst Blog Highlights: Biogen, Prothena, Vertex, Gilead and Amgen - Press Releases For Immediate Release Chicago, IL - March 26, 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 Biogen ( BIIB - Free Report ), Prothena ( PRTA - Free Report ), Vertex ( VRTX - Free Report ), Gilead ( GILD - Free Report ) and Amgen ( AMGN - Free Report ). Today, Zacks is promoting its ''Buy'' stock recommendations. Get #1Stock of the Day pick for free. Here are highlights from Wednesday's Analyst Blog: Biotech Stock Roundup: Biogen Soars It's been an eventful week on the pipeline front with companies like Biogen ( BIIB - Free Report ), Prothena ( PRTA - Free Report ) and Vertex ( VRTX - Free Report ) coming out with data. Meanwhile, Gilead ( GILD - Free Report ) was back in the news once again due to its hepatitis C virus (HCV) franchise. Recap of the Week's Most Important Stories 1. Hopes for a new Alzheimer's treatment are up with Biogen reporting positive data from a pre-specified interim analysis of a phase Ib study on aducanumab (BIIB037). Aducanumab was found to have an acceptable safety profile and the candidate delivered positive results on radiologic and clinical measurements in patients with prodromal or mild Alzheimer's disease (AD). Aducanumab showed a statistically significant reduction on amyloid plaque as well as a statistically significant slowing of clinical impairment in patients with prodromal or mild disease - this is promising news in the field of Alzheimer's disease. While Biogen's shares were up on the data and the news resulted in a lot of excitement among the investor and medical community, we note that the data is from an early-stage study. Moreover, developing treatments for Alzheimer's is pretty challenging with quite a few companies failing in late-stages of development (read more: Biogen Gains on Positive Alzheimer's Drug Interim Results ). 2. It's been a mixed week for Vertex - the company gained FDA approval for yet another label expansion for Kalydeco (read more: Vertex's Kalydeco Gets FDA Nod for Additional Indication ) but failed to impress the investment community with phase II data on its Kalydeco-VX-661 combination (read more: Vertex Falls on Disappointing Kalydeco+VX-661 Combo Data ). 3. Amgen's ( AMGN - Free Report ) efforts to block the entry of Novartis' Zarxio, a biosimilar of the former's blockbuster drug Neupogen, were hit by a roadblock with a judge in the U.S. denying the company's motion. Sandoz, Novartis' generic arm, gained FDA approval for Zarxio earlier this month in what was a landmark decision marking the approval of the first biosimilar in the U.S. It remains to be seen when Novartis will launch its biosimilar and what the impact on the launch on Neupogen sales will be. Meanwhile, Amgen is now looking t

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

Answer: -0.0142

Explanation: Historical simulation VaR at 95%: sort the 57 daily returns and take the 5th percentile. VaR(95%) = -0.0142 (i.e., on a bad day with 5% probability, the loss exceeds 1.42%). CVaR(95%) = -0.0161.


XLK: 60-day return history, mean=0.0024, std=0.0077.

Question:
Asset: XLK
Daily returns (past 60 days): mean=0.0024, std=0.0077, min=-0.0185, max=0.0164
Market regime: sideways
Recent filing/news:
[Kaggle 2019-12-30] Is North America Contribution To Amazon's Total Revenue 60%, 70%, Or 80%? Amazon‘s (NASDAQ:AMZN) North America business, consisting primarily of retail sales in the region, is expected to contribute $177.6 billion to Amazon’s 2019 revenues, making up 61.2% of Amazon’s $290.4 billion in expected revenues for 2019. The North America segment contribution is more than twice that from International business. Amazon is expected to add $154 billion in revenue between 2016 to 2019, out of which the North America segment is expected to provide $97 billion, that is 63% of the total expected increase. This North America revenue growth has been key to Amazon’s 160% price appreciation since 2016, further helped by increasing margins. We discuss Amazon’s valuation analysis in full, separately. Below we discuss Amazon’s business model, followed by sections that review past performance and 2019 expectations for Amazon’s revenue drivers and competitive comparisons of its Retail revenue with Walmart and Target. You can look at our interactive dashboard analysis ~ Amazon’s Revenues: How Does Amazon Make Money? ~ for more details. Amazon Business Model: What does Amazon offer: Amazon.com, Inc. was incorporated in 1994 in the state of Washington. The company is one of the largest online retailers, and also dabbles in a broad range of businesses including its core e-commerce operations, cloud services, digital advertising, groceries, and prescription drugs. They also sell products such as the Alexa personal assistant and ecosystem, and also gives access to content through subscription on its Amazon Prime platform. Has 3 major Operating Segments: North America: The North America segment primarily consists of amounts earned from retail sales of consumer products (including from sellers) and subscriptions through North America-focused online and physical stores. This segment includes export sales from these online stores. International: The International segment primarily consists of amounts earned from retail sales of consumer products (including from sellers) and subscriptions through internationally-focused online stores. This segment includes export sales from these internationally-focused online stores (including export sales from these online stores to customers in the U.S., Mexico, and Canada), but excludes export sales from the North America-focused online stores. AWS: The AWS segment consists of amounts earned from global sales of computing, storage, database, and other service offerings for start-ups, enterprises, government agencies, and academic institutions. What Are The Alternatives? Major competitors are Walmart, eBay, Alibaba, Google, Facebook, and Apple. What Is The Basis of Competition? The principal competitive factors in the retail businesses include selection, price, and convenience, including fast and reliable fulfillment. Additional competitive factors for the seller and enterprise services include the quality, speed, and reliability of their servi

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

Answer: -0.0098

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0098 (i.e., on a bad day with 5% probability, the loss exceeds 0.98%). CVaR(95%) = -0.0155.


ETH-USD: 60-day return history, mean=0.0112, std=0.0501.

Question:
Asset: ETH-USD
Daily returns (past 60 days): mean=0.0112, std=0.0501, min=-0.1262, max=0.1382
Market regime: sideways

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

Answer: -0.0658

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0658 (i.e., on a bad day with 5% probability, the loss exceeds 6.58%). CVaR(95%) = -0.0982.


MATIC-USD: 60-day return history, mean=0.0120, std=0.0564.

Question:
Asset: MATIC-USD
Daily returns (past 60 days): mean=0.0120, std=0.0564, min=-0.1130, max=0.1666
Market regime: sideways

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

Answer: -0.0740

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0740 (i.e., on a bad day with 5% probability, the loss exceeds 7.40%). CVaR(95%) = -0.1086.


ETH-USD: 60-day return history, mean=-0.0063, std=0.0680.

Question:
Asset: ETH-USD
Daily returns (past 60 days): mean=-0.0063, std=0.0680, min=-0.1575, max=0.1560
Market regime: sideways

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

Answer: -0.1231

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.1231 (i.e., on a bad day with 5% probability, the loss exceeds 12.31%). CVaR(95%) = -0.1436.


VNQI: 60-day return history, mean=0.0017, std=0.0096.

Question:
Asset: VNQI
Daily returns (past 60 days): mean=0.0017, std=0.0096, min=-0.0212, max=0.0246
Market regime: sideways

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

Answer: -0.0133

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0133 (i.e., on a bad day with 5% probability, the loss exceeds 1.33%). CVaR(95%) = -0.0186.


XHB: 60-day return history, mean=0.0014, std=0.0154.

Question:
Asset: XHB
Daily returns (past 60 days): mean=0.0014, std=0.0154, min=-0.0411, max=0.0364
Market regime: sideways

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

Answer: -0.0231

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0231 (i.e., on a bad day with 5% probability, the loss exceeds 2.31%). CVaR(95%) = -0.0335.


XLK: 60-day return history, mean=-0.0004, std=0.0156.

Question:
Asset: XLK
Daily returns (past 60 days): mean=-0.0004, std=0.0156, min=-0.0356, max=0.0334
Market regime: sideways
Recent filing/news:
[Kaggle 2021-05-13] Can DocuSign Fend Off Adobe's E-Signature Product? There's plenty of competition for DocuSign's (NASDAQ: DOCU) flagship e-signature product, but the digital agreement software continues to lead in the market. On a Fool Live episode recorded on April 28, Fool contributors Brian Feroldi and Brian Withers discuss the e-signature specialist's biggest competitor and how investors should think about this rivalry. 10 stocks we like better than DocuSign When investing geniuses David and Tom Gardner have a stock tip, it can pay to listen. After all, the newsletter they have run for over a decade, Motley Fool Stock Advisor, has tripled the market.* David and Tom just revealed what they believe are the ten best stocks for investors to buy right now... and DocuSign wasn't one of them! That's right -- they think these 10 stocks are even better buys. See the 10 stocks *Stock Advisor returns as of February 24, 2021 Brian Feroldi: I do see a question here that I do want to take. It's from MS Regular saying, "Is there any competitor for DocuSign?" Yes. There's a lot of competitors for DocuSign. The number one competitor is a little company called Adobe. Adobe is not a company that should be overlooked because they have deep relationships, and they have a growing marketing and sales business that is focused on business services and it is winning. Their e-signature solution is part of their product. But look at the results, what are the results clearly say? Clearly, there's plenty of customers that are choosing DocuSign, and DocuSign is the top dog, and first mover in this space. Moreover, DocuSign has hundreds upon hundreds of integrations directly with some of the leading products that are out there. DocuSign works directly with Microsoft's products, with salesforce.com, etc. Don't overlook that as a competitive advantage. Finally, I always think about what is the value of this thing compared to the costs to a company. The productivity gains that you get from using an e-signature solution are just so massive compared to the costs of it. I don't think once you adopt DocuSign that you're going to be going away from it. Competition is something to watch, but DocuSign is basically a verb at this point and they have clearly done a great job about staying the lead husky. Brian Withers: Yeah. I wanted to tag onto that, Brian. DocuSign has got like 70 percent-plus market share, Adobe is in the single digits. But do you have to remember and I think you stated it well, is people don't necessarily go to Adobe to buy the e-signature product they go to buy more of a holistic solution. Recently there was an announcement that I saw that "Adobe partners with all 50 states to modernize digital experience for citizens", and really if you read through the documentation what they're doing is they're putting together websites and experiences for customers and some small part of that is a signature process. Maybe they're building online forms for people, or questionnaires to allow the

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

Answer: -0.0257

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0257 (i.e., on a bad day with 5% probability, the loss exceeds 2.57%). CVaR(95%) = -0.0308.


ETH-USD: 60-day return history, mean=0.0180, std=0.0599.

Question:
Asset: ETH-USD
Daily returns (past 60 days): mean=0.0180, std=0.0599, min=-0.1593, max=0.1560
Market regime: sideways

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

Answer: -0.0767

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0767 (i.e., on a bad day with 5% probability, the loss exceeds 7.67%). CVaR(95%) = -0.1254.


XRP-USD: 60-day return history, mean=-0.0061, std=0.0568.

Question:
Asset: XRP-USD
Daily returns (past 60 days): mean=-0.0061, std=0.0568, min=-0.1449, max=0.2539
Market regime: sideways

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

Answer: -0.0813

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


^VIX: 60-day return history, mean=0.0069, std=0.0856.

Question:
Asset: ^VIX
Daily returns (past 60 days): mean=0.0069, std=0.0856, min=-0.1825, max=0.2508
Market regime: sideways
Recent filing/news:
[Kaggle 2018-11-21] ["Apple could provide veterans with access to electronic medical records Partnership with VA could streamline veterans\u2019 hospital visits Apple Inc. is in discussions with the Department of Veterans Affairs to provide portable electronic health records to military veterans, a partnership that would simplify patients\u2019 hospital visits and allow the technology giant to tap millions of new customers, according to people familiar with the effort and emails reviewed by The Wall Street Journal.", "Asian markets mixed, retreating then recovering as tech and energy stocks lead Nikkei nears 1-month low Asian stock markets mostly fell early but improved from the worst levels of the day, as the region\u2019s trading tracked the drubbing Tuesday for U.S. stocks and oil futures. Both equities and oil markets indicated a Wednesday rebound was in order.", "Apple's stock gains 1.1% premarket, after falling 4.8% Tuesday to close in bear-market territory", "Corporate America Is Ready to Pay Down Its Debt. That\u2019s Bad News for Stocks. Companies have borrowed record amounts of debt in recent years, in part to buy back record amounts of stock. These borrowers are now starting to pay down debt and reduce leverage.", "The tech-stock selloff is a golden opportunity to buy Amazon, Apple, Netflix and Tesla If a technology is fundamentally disruptive enough, that fact will always overwhelm the noise of the day about valuation If a technology is fundamentally disruptive enough, that fact will always overwhelm the noise of the day about valuation.", "This Apple true believer just sold all of his firm\u2019s shares Slower growth, mature products, and faster competition pressure the stock Slower growth, mature products, and faster competition pressure Apple stock, writes Vitaliy Katsenelson.", "There\u2019s a darker message for investors in the FAANG selloff Gloom for Facebook, Amazon, Apple, Netflix and Google parent Alphabet Big Tech is facing the kind of scrutiny it hasn\u2019t had since the Microsoft Monopoly era.", "Misguided share buybacks are hollowing out companies\u2019 balance sheets and will lead to even bigger stock-market trouble GE\u2019s troubles are a reliable signal of trouble ahead for U.S. companies No bubble in today\u2019s stock market is as overblown and as unjustified as the one in share buybacks.", "Apple's stock and the other FAANGs bounce after previous session's drubbing Shares of Apple Inc. rallied 1.3% in premarket trade Wednesday, bouncing from the previous session's tumble that kicked off what many chart watchers define as a bear market. The stock fell 4.8% Tuesday, to close 23.7% below its Oct. 3 record close of $232.07. Many on Wall Street define a bear market as a decline of 20% or more from a bull-market high. The new bear market started Tuesday is the first since it came out of the last bear market on Aug. 9, 2016. The other FAANG stocks, which were already in bear markets, were also bouncing ahead of the open. Shares of Facebook

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

Answer: -0.0997

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0997 (i.e., on a bad day with 5% probability, the loss exceeds 9.97%). CVaR(95%) = -0.1746.


XLF: 60-day return history, mean=-0.0006, std=0.0152.

Question:
Asset: XLF
Daily returns (past 60 days): mean=-0.0006, std=0.0152, min=-0.0310, max=0.0362
Market regime: sideways
Recent filing/news:
[Kaggle 2016-03-17] ["Progress is being made in the war on \u2018St. Patty\u2019s Day\u2019 The likes of Google and Apple have been conscripted On the one hand, St. Patrick\u2019s Day is a patriotic celebration of Irish heritage. On the other hand, alas, are the clovers masquerading as shamrocks; the unbridled commercialization; the beer that looks like lime Jell-O; and, of particular significance to the Northern Ireland\u2013raised web developer Marcus Campbell, the saint\u2019s name being corrupted as \u201cPatty.\u201d", "Apple will lead surge in wearable shipments through 2020 Shipments of wearable devices are expected to jump by more than 38% this year to 110 million, and surpass 200 million by 2019, according to new data from industry tracker IDC. The industry's growth is expected to be led by smartwatches, as manufacturers advance their capabilities and they become operational on their own without the need to be tethered to third-party devices like smartphones. Smartwatches like Apple Inc.'s watch and Alphabet Inc.'s Android Wear are expected to account for one-third of all of all wearables by 2020. The market is also expected to be lifted by the emergence of higher-end smartwatch brands from luxury designers, which could slightly eat into Apple's share, though Apple is expected to remain the dominant brand for the foreseeable future, IDC said. The proliferation of new and different types of wearable product categories, such as connected clothes and eyewear, are also expected to contribute to the industry's growth.", "Apple Switching to Google Cloud? Market Big Enough for All, Says Pac Crest Shares of Alphabet (GOOGL) are up $4.07, or half a percent, at $761.43, while Amazon.com (AMZN) is down $11.56, or 2%, at $562.71, after Kevin McLaughlin and Joseph Tsidulko late yesterday wrote that Alphabet has signed up Apple (AAPL) as a customer for its \u201cGoogle Cloud Platform\u201d computing service, citing multiple unnamed sources.The move means Apple has \u201csignificantly reduced its reliance on Amazon Web Services,\u201d the authors write, perhaps giving Google $500 million to $600 million with Google Cloud.However, Mark Bergen with Re/code, reinforcing the speculation with another set of unnamed sources, wrote later in the day that Apple has a team building out data centers of its own to store its various media libraries, again citing an unnamed source:Apple already has a team working on this; it\u2019s known internally as \u201cMcQueen,\u201d as in Steve. It\u2019s unclear if that project will materialize or when. But a source tells Re/code that the codename refers to Apple\u2019s intent sometime in the next few years to break its reliance on all three outside cloud providers in favor of its own soup-to-nuts infrastructure.In a note to clients this morning, Evan Wilson of Pacific Crest, citing the CRN report,", "Intel: Taking Qualcomm Apple Biz at Zero Profit Means Nothing, Says Citi Citigroup\u2019s chip analyst, Christopher Danely, is the latest to weigh

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

Answer: -0.0264

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0264 (i.e., on a bad day with 5% probability, the loss exceeds 2.64%). CVaR(95%) = -0.0292.


IWM: 60-day return history, mean=-0.0023, std=0.0143.

Question:
Asset: IWM
Daily returns (past 60 days): mean=-0.0023, std=0.0143, min=-0.0326, max=0.0323
Market regime: sideways
Recent filing/news:
[Kaggle 2016-02-22] ["China bans foreign publishing content online All online content must be on servers hosted within China China has issued broad new rules for online publishing that formalize the government\u2019s already strict control of the Internet and seek to expand the scope of online content stored inside its borders.", "Samsung\u2019s Flagship Galaxy S7 Disappoints At the annual Mobile World Congress in Barcelona, whereas LG Electronics (066570.Korea) got good reviews for its new module smartphone G5, Samsung Electronics' (005930.Korea/SSNLF) flagship Galaxy S7 turns out lackluster.Year-to-date, Samsung fell 6.3%, broadly in line with competitor Apple's (AAPL) 8.8% decline.Galaxy S7 offers few new bells and whistles, reviewedThe Wall Street Journal colleagues Jonathan Cheng and Min-Jeong Lee:The high-end Galaxy S7 and its curved-screen companion, the Galaxy S7 Edge, released on the sidelines of the Mobile World Congress trade show Sunday, look strikingly similar to their predecessors and lack fresh features to set them apart in a crowded field of Android handsets.The smartphones come with an improved camera and longer battery life, in addition to two features that had been dropped from the Galaxy S6 last year: removable memory storage and water resistance.Morgan Stanley's Shawn Kim agrees:READ MORE.", "FBI boss to Apple backers: \u2018Stop saying the world is ending\u2019 James Comey argues agency won\u2019t \u2018set a master key loose\u2019 Protesters worldwide plan to blast the FBI for trying to break into a terror suspect\u2019s iPhone, and the public looks like it\u2019s mostly with Apple in this fight. Meanwhile, the FBI\u2019s director, James Comey, says everyone should essentially chill out.", "Samsung\u2019s Faster Charging without Wires", "Looking for bottoms in oil prices and the stock market? Keep looking Critical intelligence before the U.S. market opens The final dispatches of an already-dead earnings season and another batch of Fed blather may sway investors\u2019 mood in the week ahead. But perhaps even more relevant to the stock market\u2019s odds of building on last week\u2019s big push \u2014 the best of the year so far \u2014 is oil\u2019s next move.", "Apple holds firm against FBI, calls for expert panel to discuss encryption Tim Cook posts his own Q&A over San Bernardino phone Apple renews its defense for why it has refused to help law enforcement unlock the phone of a shooter in the San Bernardino terror attack and suggests the government form a commission to address the thorny problems posed by the growing use of encryption.", "Apple still giving the FBI advice on how to crack San Bernardino shooter\u2019s phone The tech giant says it\u2019s done everything within its power to help The tech giant says it\u2019s done everything within its power to help.", "What Apple and the head of the FBI agree on The tech giant and authorities have some common ground The tech giant and authorities have some common ground.", "Read the letter Tim C

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

Answer: -0.0236

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0236 (i.e., on a bad day with 5% probability, the loss exceeds 2.36%). CVaR(95%) = -0.0292.


QQQ: 60-day return history, mean=0.0022, std=0.0075.

Question:
Asset: QQQ
Daily returns (past 60 days): mean=0.0022, std=0.0075, min=-0.0209, max=0.0226
Market regime: sideways
Recent filing/news:
[Kaggle 2020-02-05] ["Stocks That Hit 52-Week Highs On Wednesday", "Stocks That Hit 52-Week Highs On Wednesday", "Adobe Stock Could Head Higher, but Tread Carefully With shares up 31% since Nov. 1, is Adobe (NASDAQ:) stock a buy at the current price level? After December\u00c3\u00a2\u00c2\u0080\u00c2\u0099s earning beat, the company could see its impressive level of growth continue \u00c3\u00a2\u00c2\u0080\u00c2\u0094 and push ADBE stock even higher. Source: r.classen / Shutterstock.com Currently sitting at , Adobe shares sell at a rich valuation. In this runaway bull market, that hardly seems to matter. So, with the company\u00c3\u00a2\u00c2\u0080\u00c2\u0099s growth story continuing, shares could reach new highs in the near-term. Furthermore, it\u00c3\u00a2\u00c2\u0080\u00c2\u0099s safe to say that with ADBE stock, you are buying a business with a tremendous economic moat. The company\u00c3\u00a2\u00c2\u0080\u00c2\u0099s software offerings are invaluable assets. Whether we are talking about the unit, Document Cloud unit or , the company plays a heavy role in the new economy. However, is buying Adobe stock today a smart play long term? It may pay to be patient, and wait for a dip to accumulate shares. That said, let\u00c3\u00a2\u00c2\u0080\u00c2\u0099s dive in, and see why buying later is the best call for ADBE stock. ADBE Stock Has Gotten Ahead of Itself As InvestorPlace\u00c3\u00a2\u00c2\u0080\u00c2\u0099s Luke Lango discussed Dec. 19, the company\u00c3\u00a2\u00c2\u0080\u00c2\u0099s revenue growth justified a price target of . But now, shares trade above that price target and are closer to the $365 level. It\u00c3\u00a2\u00c2\u0080\u00c2\u0099s tough to say the recent rise of ADBE stock is due to fundamentals. After December\u00c3\u00a2\u00c2\u0080\u00c2\u0099s earnings beat, much of Adobe\u00c3\u00a2\u00c2\u0080\u00c2\u0099s future upside was priced into shares. So, what\u00c3\u00a2\u00c2\u0080\u00c2\u0099s driving the recent run-up? Mr. Market, or specifically, Mr. Broad Market. Major indices are even after the coronavirus panic, so it\u00c3\u00a2\u00c2\u0080\u00c2\u0099s no mystery why ADBE stock keeps climbing higher. With its de facto monopoly on digital design, Adobe should be christened a Nasdaq Composite blue chip. Given major tech names like Microsoft (NASDAQ:) are ripping to new highs, there\u00c3\u00a2\u00c2\u0080\u00c2\u0099s no reason to leave out Adobe shares from the fun. However, outside of the broad market, what could send ADBE stock lower? How about the company\u00c3\u00a2\u00c2\u0080\u00c2\u0099s projected revenue growth slowdown? As this Seeking Alpha contributor discussed, it\u00c3\u00a2\u00c2\u0080\u00c2\u0099s hard to justify Adobe\u00c3\u00a2\u00c2\u0080\u00c2\u0099s high forward price-to-earnings (P/E) ratio when the company\u00c3\u00a2\u00c2\u0080\u00c2\u0099s growth rate is expected to drop below the . Once investors get back to using fundamentals \u00c3\u00a2\u00c2\u0080\u00c2\u0094 not momentum \u00c3\u00a2\u00c2\u0080\u00c2\u0094 to

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

Answer: -0.0093

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0093 (i.e., on a bad day with 5% probability, the loss exceeds 0.93%). CVaR(95%) = -0.0157.


XLY: 60-day return history, mean=0.0021, std=0.0221.

Question:
Asset: XLY
Daily returns (past 60 days): mean=0.0021, std=0.0221, min=-0.0388, max=0.0338
Market regime: sideways
Recent filing/news:
[Kaggle 2022-08-09] ["Down 47% in a Year, Time to Buy This Growth Stock? With a market cap of $8.3 billion, Cognex Corporation (NASDAQ: CGNX) is not a small-cap company. However, it's still a growth company trying to build out the adoption of technology with explosive growth potential. As the leader in machine vision, Cognex's strategic aim is to grow into a served market (estimated as being worth $4.2 billion in 2018) that management sees as growing at a 12% annual rate. The good news from 2022 is Cognex is achieving many of its strategic aims; the bad news is almost everything seems to be working against the company right now. Here's the lowdown. What a growth company needs If you are going to make up an informal list of objectives for a growth company, it will include the following: Win over some highly prominent and visible customers to demonstrate your technology's efficacy, expand revenue, win follow-up business, and sell to lower-tier players as they follow their industry leaders in adopting machine vision. Ensure you satisfy high-profile customers by investing in a high level of service. Continue establishing your technology in new growth markets. As alluded to earlier, Cognex is doing all three things. The company's three major machine vision markets are automotive, consumer electronics, and logistics/e-commerce. The biggest names in two of those three industries are Apple (named as a significant customer in a previous Cognex SEC filing) and Amazon.com (NASDAQ: AMZN). The latter was not named on Cognex's recentearnings call Still, Cognex's last 10-K filing referred to a large customer in the logistics industry that represented approximately 17% of their total revenue. When an analyst refers to \"the world's largest e-commerce customer,\" it's a reasonable bet that it's Amazon. One clear thing is that Cognex has won some very high-profile customers in the last five years, so you can tick off the first box on the checklist. Servicing customers and establishing new markets The other two boxes can be ticked off as well. Three sources indicate that Cognex is very careful in servicing its customers (an excellent quality in a growing company). First, back in 2014, when Cognex started working on Apple orders (its machine vision solutions help smartphone manufacturers fit screens), management significantly ramped its operating expenses to support the orders. Second, it was the same in 2021, with Cognex incurring an extra cost in providing a \"higher level of support on a large deployment by a customer in logistics.\" Third, back on the fourth-quarterearnings callin February, CEO Robert Willett disclosed Cognex had \"been prioritizing delivery during this time of global chip shortages that added incremental costs in 2021, due to the significant premiums we've paid to procure components through brokers, and for expedited freight.\" As for establishing new markets, the logistics market is a relatively new one for Cognex that's grown at a compound annual growth rate of

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

Answer: -0.0388

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0388 (i.e., on a bad day with 5% probability, the loss exceeds 3.88%). CVaR(95%) = -0.0388.


SOYB: 60-day return history, mean=-0.0018, std=0.0077.

Question:
Asset: SOYB
Daily returns (past 60 days): mean=-0.0018, std=0.0077, min=-0.0221, max=0.0280
Market regime: sideways

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

Answer: -0.0124

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0124 (i.e., on a bad day with 5% probability, the loss exceeds 1.24%). CVaR(95%) = -0.0170.


MTUM: 60-day return history, mean=-0.0003, std=0.0134.

Question:
Asset: MTUM
Daily returns (past 60 days): mean=-0.0003, std=0.0134, min=-0.0383, max=0.0314
Market regime: sideways
Recent filing/news:
[Kaggle 2020-03-10] ["123 Biggest Movers From Yesterday", "UBS Maintains Buy on Apple, Lowers Price Target to $335", "Shares of several technology companies are trading higher as markets look to rebound from Monday's selloff. The technology sector has been highly impacted by the coronavirus due to its China exposure and sensitivity to economic conditions.", "Airlines Continue Suffering As Delta, American Announce Schedule Cuts, But Crude Bounces", "Jedi Wars Between Amazon And Microsoft Are Still Very Much On", "The Main Challenges Faced By The Upcoming EV Era", "Morning Market Stats In 5 Minutes", "Peloton Shares Tick To Session Low As Hearing Report Apple Working On 'Guided Workout' Fitness App", "Peloton Shares Tick To Session Low As Hearing Report Apple Working On 'Guided Workout' Fitness App", "Morning Market Stats In 5 Minutes", "The Main Challenges Faced By The Upcoming EV Era", "Jedi Wars Between Amazon And Microsoft Are Still Very Much On", "Airlines Continue Suffering As Delta, American Announce Schedule Cuts, But Crude Bounces", "Shares of several technology companies are trading higher as markets look to rebound from Monday's selloff. The technology sector has been highly impacted by the coronavirus due to its China exposure and sensitivity to economic conditions.", "UBS Maintains Buy on Apple, Lowers Price Target to $335", "123 Biggest Movers From Yesterday", "Peloton Shares Tick To Session Low As Hearing Report Apple Working On 'Guided Workout' Fitness App", "Morning Market Stats In 5 Minutes", "The Main Challenges Faced By The Upcoming EV Era", "Jedi Wars Between Amazon And Microsoft Are Still Very Much On", "Airlines Continue Suffering As Delta, American Announce Schedule Cuts, But Crude Bounces", "Shares of several technology companies are trading higher as markets look to rebound from Monday's selloff. The technology sector has been highly impacted by the coronavirus due to its China exposure and sensitivity to economic conditions.", "UBS Maintains Buy on Apple, Lowers Price Target to $335", "123 Biggest Movers From Yesterday", "Has the coronavirus selloff created a stock-buying opportunity, or is it too early? Here\u2019s what analysts and strategists are advising Is it safe to go back into the water after stocks have been rocked by the COVID-19 outbreak?", "These 3 EVs are the lowest cost to own over 5 years The 5-Year Cost to Own equation includes insurance, fuel economy, interest rates, and depreciation\u2014the Nissan Leaf comes out on top The Nissan Leaf takes home KBB\u2019s Best EV 5-Year Cost to Own Award for the third year in a row.", "After markets plunge on fears of OPEC \u2018price war\u2019 and coronavirus \u2014 5 questions to ask your financial adviser right now Advisers say this is a \u2018great litmus test\u2019 to evaluate your risk tolerance, but they say retail investors should proceed cautiously Advisers say this is a \u2018great litmus test\u2019 to evaluate your risk tolerance, but they say retail investors should proceed ca

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

Answer: -0.0281

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0281 (i.e., on a bad day with 5% probability, the loss exceeds 2.81%). CVaR(95%) = -0.0349.


FXI: 60-day return history, mean=0.0017, std=0.0123.

Question:
Asset: FXI
Daily returns (past 60 days): mean=0.0017, std=0.0123, min=-0.0212, max=0.0333
Market regime: sideways
Recent filing/news:
[Kaggle 2019-02-22] ["Pinnacle West's (PNW) Q4 Earnings Beat Estimates, Up Y/Y Pinnacle West Capital CorporationPNW delivered adjusted earnings per share of 23 cents in the fourth quarter of 2018, beating the Zacks Consensus Estimate of 17 cents by 35.3%. In the year-ago quarter, the company had reported adjusted earnings of 19 cents. Impressive operational performance and favorable Arizona economy supported the quarterly numbers. In 2018, Pinnacle West Capital generated earnings of $4.54 per share, up from $4.35 in 2017. Total Revenues In the quarter under review, total revenues of $756.4 million fell 0.4% on a year-over-year basis. In 2018, the company delivered revenues of $3.69 billion, up from $3.57 billion in 2017. Pinnacle West Capital Corporation Price, Consensus and EPS Surprise Pinnacle West Capital Corporation Price, Consensus and EPS Surprise | Pinnacle West Capital Corporation Quote Operational Highlights In fourth-quarter 2018, total Operating Expenses were $689.5 million, up 2.3% from the year-ago quarter's tally. Operating income declined 21.8% year over year to $66.9 million. Interest expenses rose to $55.9 million from $50.6 million in the year-ago quarter. Courtesy of the improving Arizona economy, customer volumes improved 1.7% year over year in 2018, resulting in an increase of 16 cents in the company's earnings compared with 2017. Guidance Management projects 2019 EPS in the range of $4.75-$4.95, whose mid-point of $4.85 is higher than the current Zacks Consensus Estimate of $4.84. Zacks Rank Pinnacle West currently carries a Zacks Rank #2 (Buy). You can see the complete list of today's Zacks #1 Rank (Strong Buy) stocks here . Other Utility Releases NextEra Energy, Inc. NEE delivered fourth-quarter 2018 adjusted earnings of $1.49 per share, which lagged the Zacks Consensus Estimate of $1.51 by 1.3%. American Electric Power Co., Inc. AEP generated fourth-quarter 2018 operating EPS of 72 cents, in line with the Zacks Consensus Estimate. Xcel Energy Inc. XEL posted fourth-quarter 2018 operating earnings of 42 cents per share, in line with the Zacks Consensus Estimate. Wall Street's Next Amazon Zacks EVP Kevin Matras believes this familiar stock has only just begun its climb to become one of the greatest investments of all time. It's a once-in-a-generation opportunity to invest in pure genius. Click for details >> Want the latest recommendations from Zacks Investment Research? Today, you can download 7 Best Stocks for the Next 30 Days. Click to get this free report NextEra Energy, Inc. (NEE): Free Stock Analysis Report Pinnacle West Capital Corporation (PNW): Free Stock Analysis Report American Electric Power Company, Inc. (AEP): Free Stock Analysis Report Xcel Energy Inc. (XEL): Free Stock Analysis Report To read this article on Zacks.com click here. Zacks Investment Research The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc. The views and opinions expressed herein

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

Answer: -0.0167

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0167 (i.e., on a bad day with 5% probability, the loss exceeds 1.67%). CVaR(95%) = -0.0198.


XLV: 60-day return history, mean=-0.0011, std=0.0141.

Question:
Asset: XLV
Daily returns (past 60 days): mean=-0.0011, std=0.0141, min=-0.0294, max=0.0244
Market regime: sideways
Recent filing/news:
[Kaggle 2022-07-05] ["EU lawmakers pass landmark tech rules, but enforcement a worry By Foo Yun Chee BRUSSELS, July 5 (Reuters) - EU lawmakers gave the thumbs up on Tuesday to landmark rules to rein in tech giants such as Alphabet GOOGL.O unit Google, Amazon AMZN.O, Apple AAPL.O, Facebook FB.O and Microsoft MSFT.O, but enforcement could be hampered by regulators' limited resources. In addition to the rules known as the Digital Markets Act (DMA), lawmakers also approved the Digital Services Act (DSA), which requires online platforms to do more to police the internet for illegal content. Companies face fines of up to 10% of annual global turnover for DMA violations and 6% for DSA breaches. Lawmakers and EU states had reached a political deal on both rule books earlier this year, leaving some details to be ironed out. The European Commission has set up a taskforce, with about 80 officials expected to join up, which critics say is inadequate. Last month it put out a 12 million euro ($12.3 million) tender for experts to help in investigations and compliance enforcement over a four-year period. EU industry chief Thierry Breton sought to address enforcement concerns, saying various teams would focus on different issues such as risk assessments, interoperability of messenger services and data access during implementation of the rules. Regulators will also set up a European Centre for Algorithmic Transparency to attract data science and algorithm scientists to help with enforcement. \"We have started to gear the internal organisation to this new role, including by shifting existing resources, and we also expect to ramp up recruitment next year and in 2024 to staff the dedicated DG CONNECT team with over 100 full time staff,\" Breton said in a blogpost. DEEP POCKETS Lawmaker Andreas Schwab, who steered the issue through the European Parliament, has called for a bigger taskforce to counter Big Tech's deep pockets and array of lawyers. European Consumer Organisation (BEUC) echoed the same worries. \"We raised the alarm last week with other civil society groups that if the Commission does not hire the experts it needs to monitor Big Tech's practices in the market, the legislation could be hamstrung by ineffective enforcement,\" BEUC Deputy Director General Ursula Pachl said in a statement. The DMA is set to force changes in companies' businesses, requiring them to make their messaging services interoperable and provide business users access to their data. Business users would be able to promote competing products and services on a platform and reach deals with customers off the platforms. Companies will not be allow to favour their own services over rivals' or prevent users from removing pre-installed software or apps, two rules that will hit Google and Apple hard. The DSA bans targeted advertising aimed at children or based on sensitive data such as religion, gender, race and political opinions. Dark patterns, which are tactics that mislead people into giving personal data to c

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

Answer: -0.0262

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0262 (i.e., on a bad day with 5% probability, the loss exceeds 2.62%). CVaR(95%) = -0.0284.


QUAL: 60-day return history, mean=0.0015, std=0.0061.

Question:
Asset: QUAL
Daily returns (past 60 days): mean=0.0015, std=0.0061, min=-0.0130, max=0.0141
Market regime: sideways
Recent filing/news:
[Kaggle 2021-08-23] ["Global Cider Market Report 2021-2027: Market to Reach $16.6 Billion - Heineken Revels in Cider Business while C&C Languishes Dublin, Aug. 23, 2021 (GLOBE NEWSWIRE) -- The \"Cider - Global Market Trajectory & Analytics\" report has been added to ResearchAndMarkets.com's offering. Global Cider Market to Reach $16.6 Billion by 2027Amid the COVID-19 crisis, the global market for Cider estimated at US$12.2 Billion in the year 2020, is projected to reach a revised size of US$16.6 Billion by 2027, growing at a CAGR of 4.4% over the analysis period 2020-2027. Apple Flavored, one of the segments analyzed in the report, is projec", "The Morning After: WhatsApp might finally launch an iPad app Today\u2019s headlines: Google has already discontinued the Pixel 5 and Pixel 4a with 5G, A more powerful Apple Mac mini might land this fall and four new games come to the... Atari Lynx.", "Water Ways Announces Its Shares Being Quoted for Trading on the Frankfurt Stock Exchange NOT FOR DISTRIBUTION TO U.S. NEWSWIRE SERVICES OR DISSEMINATION IN THE UNITED STATES TORONTO, Aug. 23, 2021 (GLOBE NEWSWIRE) -- Water Ways Technologies Inc. (TSXV: WWT) (\"Water Ways\" or the \"Company\"), a global provider of Israeli-based agriculture technology, providing water irrigation solutions to agricultural producers, is pleased to announce its shares being quoted for trade on the Frankfurt Stock Exchange (FSE) under the symbol 977. Ohad Haber Water Ways' CEO and Chairman, commented: \"We ar", "T-Mobile is giving customers a free year of Apple TV+ For a few years now, wireless carriers in the US have offered their customers all manner of video and music freebies. Verizon (Engadget's parent company) has offered free subscriptions to Disney+, Apple Music and AMC+ recently, while T-Mobile has long offered its customers free Netflix access. Today, T-Mobile is adding another freebie to its offerings: Apple TV+. Starting on August 25th, customers on the carrier's Magenta or Magenta Max plans (as well as some Sprint legacy plans) will get one year of free Apple TV+ access.", "Video: Jamie Windsor Shares the Truth on Being Successful on YouTube ly concerned about views and popularity, some industry members reject their credibility as skilled photographers. But that can hardly be fair. Surely there's more depth to a photographer who makes YouTube content? I was eager to find out. So I invited popular YouTuber Jamie Windsor on to The Phoblographer's official podcast: Inside The Photographers Mind.", "Apple employees are organizing to push for 'real change' at the company A group of current and former Apple employees are calling on their colleagues to publicly share stories of discrimination, harassment and retaliation they experienced while working at the company.", "Enjoy Technology Announces Second Quarter and First Half 2021 Financial Results Enjoy Technology, Inc., (\"Enjoy\"), a technology-powered service platform reinventing \"Commerce at Home,\" today reported its financial results for

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

Answer: -0.0086

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0086 (i.e., on a bad day with 5% probability, the loss exceeds 0.86%). CVaR(95%) = -0.0126.


FXI: 46-day return history, mean=-0.0004, std=0.0135.

Question:
Asset: FXI
Daily returns (past 46 days): mean=-0.0004, std=0.0135, min=-0.0275, max=0.0314
Market regime: sideways
Recent filing/news:
[Kaggle 2015-03-11] ["How to Get a 6.2% Yield On a Blue Chip Stock Enhance AT&T\u2019s already juicy yield by selling puts while waiting to see how market reacts to Dow ejection.", "It would take 2.5 years of Foxconn wages to afford $10,000 Apple Watch $10,000 watch underscores gap between suppliers, customers While Apple has pledged to improve supply-chain working conditions, China Labor Watch says problems persist", "Elon Musk wants you to know that Tesla\u2019s priciest Model S is a badass on ice In Norway, the pricey P85D is a winner on the ice Could a Tesla Model S race across a frozen Norwegian lake help put the sexy back into shares? Can\u2019t blame Elon Musk for trying.", "Which is the better value play, Qualcomm or Apple? By forgetting about the actual price of the stock and focusing on both trailing and forward earnings when trying to determine whether or a stock is properly priced brings a much clearer picture when making such a choice.", "This 15-year-old bear market will be around a while longer A generation comes of age learning that stocks have miserable returns Major stock market indexes are finally back to 2000 levels, but the psychological bear market is likely to be with us for a long time to come, writes Matthew Lynn.", "A stock market versus a market of stocks The latest issue of Hulbert On Markets One of the longest-lived debates on Wall Street is between those who think it\u2019s a \u201cstock market\u201d and those who consider it to be a \u201cmarket of stocks.\u201d Mark Hulbert discusses who\u2019s winning this debate right now, and what it means for your investments.", "Apple\u2019s app stores are knocked out of commission iTunes store is temporarily out of commission.", "Apple\u2019s App Stores Out of Order", "Ericsson to cut 2,200 jobs Telecom-equipment giant Ericsson AB said Wednesday it will shed 2,200 jobs, the latest move by Chief Executive Hans Vestberg to transition the company from a hardware provider into a global leader in mobile-network software.", "Apple's stock falls behind AT&T since Dow changes announced NEW YORK (MarketWatch) -- The curse of new Dow Jones Industrial Average components may be taking a bite out of Apple Inc.'s shares , as they have fallen behind AT&T since it was announced that the technology giant will replace the telecom company within the blue-chip index . Apple's stock dropped 1.8% on Wednesday to close at a one-month low. It has now lost 3.4% since Friday, the day S&P S&P Dow Jones Indices said Apple would join the Dow after the March 18 close. Meanwhile, AT&T's stock has lost just 2.6% this week. The last three stocks to be booted from the Dow have outperformed their respective replacements since those changes went into effect. Separately, Apple's stock now suffered the biggest two-session drop--3.9%--since it fell 4.6% in the two days ending Sept. 25, when reports of bending iPhones made the rounds.", "Drug dealer in China says he only did it to buy an Apple Watch The high price tag of the Apple Wat

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

Answer: -0.0233

Explanation: Historical simulation VaR at 95%: sort the 46 daily returns and take the 5th percentile. VaR(95%) = -0.0233 (i.e., on a bad day with 5% probability, the loss exceeds 2.33%). CVaR(95%) = -0.0259.


EWJ: 60-day return history, mean=0.0019, std=0.0132.

Question:
Asset: EWJ
Daily returns (past 60 days): mean=0.0019, std=0.0132, min=-0.0325, max=0.0263
Market regime: sideways
Recent filing/news:
[Kaggle 2016-05-09] Drug Stocks Reporting on May 10: XON, ARIA, CPRX & More How is the Earnings Picture Evolving now that a large part of the first-quarter 2016 earnings season has come through with 87.2% (as of May 6) of the S&P 500 members having already reported results? This season is likely to finish as the fourth straight quarter of earnings declines for the S&P 500 index. Moreover, this trend of earnings declines is expected to continue into the second quarter as well. With several pharma and major biotech companies having released their earnings results, our Q1 scorecard shows that 92.5% of the Medical sector has reported results with a blended beat of 65.3% (the percentage of companies that have beaten both EPS as well as revenue estimates). Notably, the Medical sector is anticipated to be one of the seven sectors to record earnings growth in the first quarter of 2016, as per our Earnings Trends report. The earnings picture for both the pharma and the biotech sector looks pretty mixed with beats and misses. While in the biotech sector, Amgen Inc. AMGN topped first-quarter earnings and revenues and even raised the outlook for the year, another well-known biotech name Gilead lagged both earnings and revenue estimates even though it kept its outlook for the year intact. Among the other biotech stocks, Biogen, Celgene, Alexion and AbbVie managed to post mixed results, while some others came up with disappointing results and outlook for the year. Pharma giants like Johnson & Johnson JNJ , Pfizer and Bristol-Myers Squibb surpassed first-quarter earnings and revenue expectations and also raised the outlook for the year. Eli Lilly raised its outlook for the year despite an earnings miss while Glaxo expects core earnings growth of 10-12% at constant exchange rate in 2016. With several medium and small-sized drug companies still to report first-quarter 2016 results, let's see what awaits these drug stocks when they report their first-quarter results on May 10. What Awaits these Drug Stocks? Jazz Pharmaceuticals plcJAZZ , a biopharmaceutical company, has a portfolio of offerings targeting sleep and hematology/oncology disorders. Focus will be on the performance of marketed products including Xyrem, Defitelio and Erwinaze among others along with that of commercialization plans for Defitelio in the U.S., and the company's business development plans. Jazz's Earnings ESP of +6.11% and a Zacks Rank #3 (Hold) make us confident of an earnings beat this quarter (read more: Jazz Q1 Earnings: A Beat in the Cards for the Stock ). Palo Alto, CA-based Anacor Pharmaceuticals, Inc.ANAC is a biopharmaceutical company focused on the discovery, development and commercialization of small-molecule therapeutics derived from its boron chemistry platform. Anacor's track record so far has been mixed with the company missing estimates in two of the trailing four quarters with an average negative surprise of 16.68%. The company's Zacks Rank #4 (Sell) when combined with an ESP -32.35% makes a b

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

Answer: -0.0168

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0168 (i.e., on a bad day with 5% probability, the loss exceeds 1.68%). CVaR(95%) = -0.0264.


VLUE: 60-day return history, mean=-0.0006, std=0.0095.

Question:
Asset: VLUE
Daily returns (past 60 days): mean=-0.0006, std=0.0095, min=-0.0356, max=0.0158
Market regime: sideways
Recent filing/news:
[Kaggle 2016-06-27] ["FedEx, Oracle, Adobe and Alcoa are part of Zacks Earnings Preview: For Immediate Release Chicago, IL -June 27, 2016 - Zacks.com releases the list of companies likely to issue earnings surprises. This week's list includes FedEx ( FDX ), Oracle ( ORCL ), Adobe ( ADBE ) and Alcoa ( AA ). To see more earnings analysis, visit https://at.zacks.com/?id=3207 . Every day, Zacks.com makes their Bull Stock of the Day available, free of charge. To see it, click here . Q2 Earnings Season Gets Underway No one is expected to pay attention to earnings given the unexpected Brexit vote, but the Q2 earnings season has gotten underway, with results from 10 S&P 500 members already out. All of these early reporters, which includes major operators like FedEx ( FDX ), Oracle ( ORCL ) and Adobe ( ADBE ), have fiscal quarters ending in May, but get clubbed as part of the June quarter tally. We have another 11 index members with fiscal quarters ending in May on deck to report results this week. All in all, we will have seen Q2 results from almost two dozen S&P 500 members by the time Alcoa ( AA ) comes out with its results on July 11 th . We are about three weeks away from the reporting cycle really ramping up. Expectations for the Quarter Total earnings for the 10 index members that have reported results are up +4.1% on +4.2% higher revenues, with 60% beating EPS estimates and equal proportion coming ahead of top-line expectations. Comparison of the Q2 results thus far with prior periods offers a mixed picture. But it's likely too small a sample to draw any conclusions from in any case. For Q2 as a whole, total earnings for the S&P 500 are expected to be down -6.1% on -0.7% lower revenues, with growth in negative territory for 9 of the 16 Zacks sectors. As has been the pattern in other recent periods, the Energy sector remains the biggest drag on the aggregate growth picture, with total earnings for the sector expected to be down -78.9% on -27.1% lower revenues. Excluding the Energy sector, earnings for the rest of the index would be down -2.7%. Estimates for Q2 faithfully followed the well-trodden path of previous quarters. As negative as this revisions trend looks, it is nevertheless an improvement over what we had seen in the comparable period(s) in other recent quarters. The improved commodity-price backdrop and the reduced dollar drag are some of the explanations for this development. It will be interesting to see if this trend of decelerated negative revisions will continue this earnings season. But we will have to wait a few more weeks to get a better read on this development after companies start reporting June quarter results and guide towards Q3 estimates. Current estimates for Q3 are showing flat growth from the year-earlier level. Expectations Beyond Q2 Growth is expected to be negative in 2016 Q2 and flat in the following quarter. The only meaningful positive earnings growth this year is expected to come from the last quarter of the year, which is then expe

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

Answer: -0.0142

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0142 (i.e., on a bad day with 5% probability, the loss exceeds 1.42%). CVaR(95%) = -0.0256.


IVV: 60-day return history, mean=0.0012, std=0.0075.

Question:
Asset: IVV
Daily returns (past 60 days): mean=0.0012, std=0.0075, min=-0.0122, max=0.0238
Market regime: sideways
Recent filing/news:
[Kaggle 2016-05-16] ["Uber China Rival Didi Targets New York IPO In 2017", "With Buffett Betting Big, Is Apple\u2019s Stock a Buy? With Warren Buffett\u2019s Berkshire Hathaway buying $1 billion in stock, see what the charts recommend.", "Japanese firms expect more strong-yen headwinds TOKYO--Faced with a stronger yen, Japanese companies are reporting lower annual profits for the first time in four years, and projecting tepid earnings growth for the current year. The results for the financial year ended in March underscore how the record profits that many companies enjoyed in recent years depended on a weaker currency.", "Warren Buffett's Berkshire Hathaway took new 9.8 mln share stake in Apple in Q1", "Apple shares up 2.2% in premarket trade", "Apple's stock surges after Warren Buffett discloses new share stake Apple Inc.'s stock surged 2% in premarket trade Monday, after Warren Buffett's Berkshire Hathaway Inc. disclosed in a regulatory filing that it took a new 9.8 million share stake in the technology giant during the first quarter. That would represent about 0.2% of Apple's shares outstanding, according to FactSet data. Other moves Berkshire made include selling 99% of its stake in Procter & Gamble Co. to just 315,400 shares, trimming its stake in Wal-Mart Stores Inc. by 1.7% to 55.2 million shares. Berkshire also boosted its stake in Phillips 66 by 23% to 75.6 million shares, increased its stake in Liberty Media Corp. to 30 million shares, and slightly raised its stake in Deere & Co. and International Business Machines Corp. .", "Warren Buffett's Apple shares could be down $181 million since March Warren Buffett's investment vehicle Berkshire Hathaway Inc.'s new investment in Apple Inc. could be worth about $181.2 million less than it was 6 1/2 weeks ago, at the end of the first quarter. Berkshire's 13F filing showed that it owned a new 9,811,747 stake in Apple as of March 31, when the stock closed at $108.99, or 20% above Friday's closing price of $90.52. The filing did not disclose at what prices the shares were bought. The volume-weighted average price of Apple's stock during the quarter was $99.59. At that price, if its position in Apple was unchanged, Berkshire could have lost about $89 million on its Apple stake through Friday.", "A.M. Funds Roundup: How Are Your Mad Money Picks Doing?", "Warren Buffett\u2019s Berkshire took new $1 billion Apple stake Legendary investor also sold entire AT&T position Warren Buffett\u2019s Berkshire Hathaway took a new stake in Apple during the first quarter, valued at about $1 billion as of March 31.", "Apple Inc. jumps 1.4% to $91.67 in early trade after Berkshire Hathaway reveals stake", "Berkshire Bought Apple, Dumped AT&T in 1Q Berkshire Hathaway (BRK.B) disclosed a new, roughly $1.1 billion stake in Apple in documents filed Monday morning with securities regulators. The filings show that Berkshire added 9.8 million Apple shares that were valued at $1.069 billion as of the end of March, when Apple's stock traded at $

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

Answer: -0.0115

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0115 (i.e., on a bad day with 5% probability, the loss exceeds 1.15%). CVaR(95%) = -0.0121.


BNB-USD: 60-day return history, mean=0.0134, std=0.0518.

Question:
Asset: BNB-USD
Daily returns (past 60 days): mean=0.0134, std=0.0518, min=-0.1244, max=0.1396
Market regime: sideways

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

Answer: -0.0776

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0776 (i.e., on a bad day with 5% probability, the loss exceeds 7.76%). CVaR(95%) = -0.1103.


IEF: 60-day return history, mean=0.0002, std=0.0026.

Question:
Asset: IEF
Daily returns (past 60 days): mean=0.0002, std=0.0026, min=-0.0062, max=0.0075
Market regime: sideways

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

Answer: -0.0040

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0040 (i.e., on a bad day with 5% probability, the loss exceeds 0.40%). CVaR(95%) = -0.0057.


XLE: 60-day return history, mean=0.0015, std=0.0213.

Question:
Asset: XLE
Daily returns (past 60 days): mean=0.0015, std=0.0213, min=-0.0481, max=0.0434
Market regime: sideways
Recent filing/news:
[Kaggle 2022-09-29] ["After Hours Most Active for Sep 29, 2022 : MCHI, MU, QQQ, AMZN, AAPL, BEKE, FDMT, FE, NKE, GE, T, DIS The NASDAQ 100 After Hours Indicator is down -7.41 to 11,157.37. The total After hours volume is currently 80,336,294 shares traded. The following are the most active stocks for the after hours session: iShares MSCI China ETF (MCHI) is -0.1142 at $42.77, with 4,285,006 shares traded., following a 52-week high recorded in today's regular session. Micron Technology, Inc. (MU) is +0.1 at $50.11, with 3,651,914 shares traded. Smarter Analyst Reports: Micron to Unveil Memory Design Center in Atlanta Invesco QQQ Trust, Series 1 (QQQ) is +0.27 at $272.14, with 3,310,772 shares traded. This represents a 1.06% increase from its 52 Week Low. Amazon.com, Inc. (AMZN) is +0.1 at $114.90, with 2,292,612 shares traded. As reported by Zacks, the current mean recommendation for AMZN is in the \"buy range\". Apple Inc. (AAPL) is -0.18 at $142.30, with 2,280,068 shares traded. As reported by Zacks, the current mean recommendation for AAPL is in the \"buy range\". KE Holdings Inc (BEKE) is unchanged at $16.26, with 2,243,117 shares traded. As reported by Zacks, the current mean recommendation for BEKE is in the \"buy range\". 4D Molecular Therapeutics, Inc. (FDMT) is unchanged at $8.22, with 1,998,543 shares traded. As reported in the last short interest update the days to cover for FDMT is 7.734705; this calculation is based on the average trading volume of the stock. FirstEnergy Corp. (FE) is unchanged at $37.18, with 1,597,393 shares traded. FE's current last sale is 83.55% of the target price of $44.5. Nike, Inc. (NKE) is -3.18 at $92.15, with 1,143,383 shares traded. As reported by Zacks, the current mean recommendation for NKE is in the \"buy range\". General Electric Company (GE) is -0.39 at $62.34, with 1,119,674 shares traded. As reported by Zacks, the current mean recommendation for GE is in the \"buy range\". AT&T Inc. (T) is -0.02 at $15.51, with 1,021,939 shares traded., following a 52-week high recorded in today's regular session. Walt Disney Company (The) (DIS) is -0.0501 at $97.40, with 1,013,168 shares traded. As reported by Zacks, the current mean recommendation for DIS is in the \"buy range\". The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.", "Lions Gate (LGF.A) Set to Rebrand Starzplay as Lionsgate+ Lions Gate Entertainment (LGF.A) recently announced that it is going to be rebranding Starzplay as Lionsgate+ in 35 countries outside the United States and Canada. The new brand look with a graphics package, color palette and design elements is expected to bring a differentiated identity and build on the brand equity for Lionsgate. Though Lions Gate retains its Starz brand in the United States and Canada along with Starzplay Arabia and south and southeast Asia's Lionsgate Play. Strong Portfolio of Movies & Shows to Boost Subscriber Growth Lionsgate benefits from th

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

Answer: -0.0294

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0294 (i.e., on a bad day with 5% probability, the loss exceeds 2.94%). CVaR(95%) = -0.0401.


XLV: 60-day return history, mean=0.0016, std=0.0118.

Question:
Asset: XLV
Daily returns (past 60 days): mean=0.0016, std=0.0118, min=-0.0214, max=0.0244
Market regime: sideways
Recent filing/news:
[Kaggle 2022-12-19] ["US STOCKS-Wall Street falls fourth straight day as recession worries nag By Sin\u00e9ad Carew and Sruthi Shankar Dec 19 (Reuters) - Wall Street closed lower on Monday for a fourth straight session with Nasdaq leading declines as investors shied away from riskier bets, worried the Federal Reserve's tightening campaign could push the U.S. economy into a recession. The three major U.S. stock indexes have been under pressure since Wednesday, when Fed Chair Jerome Powell took a hawkish tone while the central bank raised interest rates. Powell promised further rate increases even as data showed signs of a weakening economy. The S&P 500 .SPX, the Dow Jones industrials .DJI and the Nasdaq have sold off sharply for December and are on track for their biggest annual declines since the 2008 financial crisis. While U.S. Treasury yields gained, investors ran from stocks, eyeing prospects of safer bets as they worried about the likelihood of a recession in 2023 according to Brian Overby, senior markets strategist at Ally. \"Investors are asking why do I want to take those risks going into 2023 with the Fed's stance still aggressive when I can get such a good yield on the fixed income market place,\" he said. The Dow Jones Industrial Average .DJI fell 162.92 points, or 0.49%, to 32,757.54, the S&P 500 .SPX lost 34.7 points, or 0.90%, to 3,817.66 and the Nasdaq Composite .IXIC dropped 159.38 points, or 1.49%, to 10,546.03. The biggest decliners among S&P industry sectors were communications services .SPLRCL, which fell 2.2%, consumer discretionary .SPLRCD, down 1.7% and technology .SPLRCT, which lost 1.4%. Energy .SPNY outperformed, closing up 0.13% as the sole industry out of 11 to manage a gain. Market heavyweights such as Apple Inc AAPL.O, Microsoft Corp MSFT.O and Amazon.com Inc AMZN.O created some of the biggest drags on the market. Trading in Tesla Inc TSLA.Owas volatile with the electric carmaker closing down 0.24% after falling as much as 2.8% during the session. This was after a Twitter poll that showed a majority of respondents want Tesla Chief Executive Elon Musk to step down as CEO of the social media platform. Meta Platforms META.O shares finished down 4.1% after the European Commission said it could impose a fine of up to 10% of the tech conglomerate's annual global turnover if evidence showed an infringement of the EU's antitrust laws. L3Harris Technologies Inc LHX.N lost 3.6% after the U.S. defense contractor said it would buy hypersonic engine manufacturer Aerojet Rocketdyne Holdings Inc AJRD.N for $4.7 billion. Aerojet added 1.3%. Shares of casino operatorsMelco Resorts & EntertainmentMLCO.O tumbled just under 8% and Wynn Resorts WYNN.O lost 5.2% while Las Vegas Sands Corp LVS.Nfell 2.3% after Macau said on Friday that six casino firms will invest around $15 billion as part of new 10-year contracts they signed to operate in the world's biggest gambling hub. Declining issues outnumbered advancing ones on the NYSE by a 2.80-to-1 ratio; on Nasda

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

Answer: -0.0148

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0148 (i.e., on a bad day with 5% probability, the loss exceeds 1.48%). CVaR(95%) = -0.0190.


ACWI: 60-day return history, mean=-0.0004, std=0.0073.

Question:
Asset: ACWI
Daily returns (past 60 days): mean=-0.0004, std=0.0073, min=-0.0235, max=0.0202
Market regime: sideways
Recent filing/news:
[Kaggle 2016-11-11] ["Trumped: Apple, Home Depot, Nike\u2019s Asian Suppliers Tumble", "Why the Nasdaq was alone among stock markets in sliding lower The weakness in the Nasdaq on Thursday is important to understand. There are two major factors at play, in explaining both the isolated weakness and the broader strength.", "Apple and Trump: Can a tax cut for overseas cash heal wounds? Cook to employees: we must move forward together Apple could benefit from repatriation-tax holiday president-elect Donald Trump has proposed, but it may have to fight the new White House on immigration.", "U.S. stocks open lower as post-election rally stalls U.S. stocks retreated on Friday as a dramatic postelection rally ran out of steam. The S&P 500 index fell 5 points, or 0.2%, to 2,163. The Dow Jones Industrial Average , which surged to record highs on Thursday, slid 18 points, or 0.1%, to 18,793. The Nasdaq Composite Index shed 21 points, or 0.3%, to 5,193. Oil prices moved sharply lower, weighing on energy shares. Amazon.con Inc. weighed on the technology sector as the tech giant was on track for a fifth straight weekly loss. Other big tech losers were Chinese e-commerce giant Baidu Inc. and Apple Inc. . The S&P was on track for its best week since October 2014, while the Dow was on track for its best week since December 2011.", "Foxconn profit declines on Sharp Corp. losses HONG KONG -- Foxconn Technology Group, the world's biggest assembler of Apple Inc. gadgets, reported a decline in third-quarter net profit, weighed by losses at recently acquired Japanese electronics maker Sharp Corp.", "A.M. Funds Roundup: Buffett Bullish On Stocks; Loeb Buys Big Apple Stake; Trumping Gold", "Dan Loeb\u2019s Third Point: In With AAPL, BABA; Out With ATVI Billionaire hedge fund manager Dan Loeb has snapped up large stakes in Apple (AAPL) and Alibaba (BABA), and continued to expand his stake in Facebook (FB). But he has turned his back on Activision Blizzard (ATVI).", "Dow knifes to uncharted territory, Nasdaq treads water amid post-election volatility Focus: Technology sector treads water, Retail comes to life, Steel and industrial metals take flight, Apple violates major support From a strictly technical standpoint, the U.S. benchmarks\u2019 post-election price action remains firmly bullish. On a headline basis, the Dow Jones Industrial Average has spiked 990 points across five sessions, reaching all-time highs, while the S&P 500 has extended its breakout, rising within striking distance of record territory.", "UPDATED: Why Alibaba Singles Day Could Boost Revenue 48% Alibaba Group Holdings (BABA) declared another sales record on its biggest shopping day of the year, Singles Day on Nov. 11.But the Chinese internet retailer's shares were down more than 2% in Friday. Read More>>", "Apple\u2019s Tax Holiday, Western\u2019s Trump Risk, Per Morgan Stanley Apple (AAPL) stands to benefit the most from any U.S. tax holiday on overseas cash, writes Morgan Stanley\u2019s Katy Huberty, while disk drive ma

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

Answer: -0.0107

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0107 (i.e., on a bad day with 5% probability, the loss exceeds 1.07%). CVaR(95%) = -0.0184.


TIP: 60-day return history, mean=0.0002, std=0.0010.

Question:
Asset: TIP
Daily returns (past 60 days): mean=0.0002, std=0.0010, min=-0.0031, max=0.0032
Market regime: sideways

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

Answer: -0.0014

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0014 (i.e., on a bad day with 5% probability, the loss exceeds 0.14%). CVaR(95%) = -0.0020.


QUAL: 60-day return history, mean=0.0010, std=0.0110.

Question:
Asset: QUAL
Daily returns (past 60 days): mean=0.0010, std=0.0110, min=-0.0339, max=0.0167
Market regime: sideways
Recent filing/news:
[Kaggle 2020-09-11] Ambarella Stock Could See Further Downside Ambarella Incorporated stock (NASDAQ: AMBA) is down 22% since the beginning of this year, but at the current price of $47 per share, we believe that Ambarella stock has a significant downside. Why is that? Our belief stems from the fact that Ambarella’s stock has risen almost 35% from the low seen in early 2019. Our dashboard What Factors Drove 34% Change In Ambarella Inc. Stock Between 2018 And Now? provides the key numbers behind our thinking, and we explain more below. Ambarella is a semiconductor design company, manufacturing processors used across a variety of applications such as video compression, image processing, and computer vision. The stock rise over the past 2 years came despite a 22% drop in Ambarella’s revenues, which combined with a roughly unchanged outstanding share count, led to a 22% fall in revenue per share (RPS) from 2018 to 2020. However, Ambarella’s P/S ratio rose from about 3.9x at the end of 2018 to 8.7x at the end of 2019, but has dropped to 6.8x now. This fall came due to a drop in the company’s profitability, with EPS falling from $0.57 in 2018 to -$1.35 in 2020, on the back of falling revenues and gross margins. Also, given the volatility of the current situation, there is further possible downside for Ambarella’s multiple when compared to levels seen in the past years – P/S of 5.9x at the start of 2018, and 3.9x as recently as early 2019. So what’s the likely trigger and timing to this downside? The global spread of coronavirus, and the resulting lockdowns and quarantine has led to a drop in demand for computing devices. Further, the rise in competitors in the video compression and computer vision markets has led to a drop in selling prices, weighing down company revenue. Ambarella’s revenue for Q2 2021 came in at $50.1 million vs $56.4 million for the same period last year, and with expenses not dropping at the same rate, EPS came in at -$0.43 vs -$0.31. We expect this revenue drop to continue in the medium term. We believe Ambarella’s Q3 results in December will confirm this and will also likely accompany a lower 2021 guidance. Regardless, if there isn’t clear evidence of containment of the virus anytime soon, we believe the stock will see its P/S multiple decline from the current level of 6.8x to around 6x, which combined with a slight reduction in revenues and margins could result in the stock price shrinking to as low as $40. Want a more balanced portfolio instead? Here’s a top quality portfolio to outperform the market, with over 100% return since 2016, versus 55% for the S&P 500. Comprised of companies with strong revenue growth, healthy profits, lots of cash, and low risk. It has outperformed the broader market year after year, consistently. See all Trefis Price Estimates and Download Trefis Data here What’s behind Trefis? See How It’s Powering New Collaboration and What-Ifs For CFOs and Finance Teams | Product, R&D, and Marketing Teams The views and opinions expre

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

Answer: -0.0243

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0243 (i.e., on a bad day with 5% probability, the loss exceeds 2.43%). CVaR(95%) = -0.0291.