VTI: 60-day return history, mean=0.0006, std=0.0078.

Question:
Asset: VTI
Daily returns (past 60 days): mean=0.0006, std=0.0078, min=-0.0256, max=0.0222
Market regime: sideways
Recent filing/news:
[Kaggle 2019-07-26] ["SoftBank launches another tech megafund, backed by Apple, Microsoft Second Vision Fund, with about $108 billion secured, will invest in AI SoftBank Group Corp. said it would start a second technology megafund and has secured $108 billion in commitments from investors including Apple Inc., Japanese banks, Taiwanese investors and Kazakhstan\u2019s sovereign-wealth fund.", "SoftBank Unveils Plans For $108 Billion Vision Fund 2 The Japanese holding company said investors in the new fund include Apple, Microsoft, Foxconn, and others.", "Asian markets pull back as Japan-South Korea trade tensions escalate Japan reportedly will diminish South Korea\u2019s trade status Asian shares were lower Friday as investors continued to watch the brewing trade conflict between China and the U.S., and any signs of what\u2019s in store from central banks.", "Tesla\u2019s key executive departures, in one handy list News that Tesla\u2019s Chief Technology Officer J.B. Straubel is stepping down from that role is just the latest move in a long list The departure of Tesla Inc.\u2019s J.B. Straubel is a song Tesla has heard before \u2014 numerous times.", "Even Intel doesn\u2019t seem to know what\u2019s going to happen with Intel Amid sale of modem-chip business to Apple and a forecast flip-flop, Intel seems to be unsure of path for it, or the chip industry, in second half In the semiconductor industry, \u201cmixed signal\u201d usually refers to chips that combine digital and analog circuitry. When referring to Intel Corp. right now, though, the standard definition of that phrase is more apt.", "Alphabet earnings show Google revenue growth rebounding, stock pops higher Profit and revenue beat expectations amid reported antitrust scrutiny Alphabet Inc. shares jumped 7% in after-hours trading Thursday after the online giant announced better-than-expected financial results.", "Facebook tops Amazon and Google in second-quarter lobbying spending Partisan split means \u2018we see little room for any legislation to actually materialize in the near term,\u2019 analysts say Facebook spent $4.1 million on lobbying Washington in the second quarter, topping the outlays by other so-called FAANG companies and keeping the tech giant on pace for another record year of spending to influence lawmakers and regulators.", "Google Needs to Buy Back Even More Stock Wall Street cheered the latest numbers, but Alphabet\u2019s repurchase program barely exceed its stock-based compensation, which totaled $5.5 billion in the first half of 2019.", "Are you a \u2018zombie eater\u2019? It could be bad for your health Distracted diners who stare at screens tend to eat more calories and choose fattier foods Distracted diners who stare at screens tend to eat more calories and choose fattier foods.", "Intel\u2019s earnings beat gets fairly cold reception from analysts Surprise rise in PC sales overshadowed by new chip rollout pace, AMD challenges Intel Corp. shares slip Friday following a big earnings beat

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: -0.0129

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0129 (i.e., on a bad day with 5% probability, the loss exceeds 1.29%). CVaR(95%) = -0.0189.


SCHP: 60-day return history, mean=0.0004, std=0.0028.

Question:
Asset: SCHP
Daily returns (past 60 days): mean=0.0004, std=0.0028, min=-0.0071, max=0.0048
Market regime: sideways

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

Answer: -0.0042

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0042 (i.e., on a bad day with 5% probability, the loss exceeds 0.42%). CVaR(95%) = -0.0059.


BTC-USD: 60-day return history, mean=0.0095, std=0.0378.

Question:
Asset: BTC-USD
Daily returns (past 60 days): mean=0.0095, std=0.0378, min=-0.0686, 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: -0.0473

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0473 (i.e., on a bad day with 5% probability, the loss exceeds 4.73%). CVaR(95%) = -0.0636.


INDS: 60-day return history, mean=0.0009, std=0.0095.

Question:
Asset: INDS
Daily returns (past 60 days): mean=0.0009, std=0.0095, min=-0.0240, max=0.0233
Market regime: sideways

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for INDS. 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%) = -0.0203.


ETH-USD: 60-day return history, mean=-0.0113, std=0.0548.

Question:
Asset: ETH-USD
Daily returns (past 60 days): mean=-0.0113, std=0.0548, min=-0.1593, max=0.1364
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: -0.0884

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0884 (i.e., on a bad day with 5% probability, the loss exceeds 8.84%). CVaR(95%) = -0.1351.


BTC-USD: 60-day return history, mean=0.0066, std=0.0308.

Question:
Asset: BTC-USD
Daily returns (past 60 days): mean=0.0066, std=0.0308, min=-0.0842, max=0.0878
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: -0.0383

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0383 (i.e., on a bad day with 5% probability, the loss exceeds 3.83%). CVaR(95%) = -0.0553.


QUAL: 60-day return history, mean=0.0005, std=0.0065.

Question:
Asset: QUAL
Daily returns (past 60 days): mean=0.0005, std=0.0065, min=-0.0128, max=0.0169
Market regime: sideways
Recent filing/news:
[Kaggle 2018-07-02] ["Why there may never be a Netflix of videogames Years into parallel efforts to deliver videogame streams from the cloud, latency \u2014 and doubts \u2014 persist Plenty of companies, from multibillion-dollar tech titans to startups, are trying to develop a streaming service for videogames that could do to consoles and individual videogame sales what Netflix did to DVDs and the cable bundle. But the issues that stand in the way could keep it from ever happening as imagined.", "Tech Today: Can Tesla Keep It Up? Dell Going Public, Facebook\u2019s Instagram Numbers Tesla says it hit its goal of 5,000 Model 3s per week although some wonder if it's sustainable, Dell is going public again via a stock swap and CEO Michael Dell says the company will exploit a broad IT infrastructure spending trend, Lumentum is set to ride the expansion of \"augmented reality\" in Apple iPhones and other devices, and Facebook can see a big boost in revenue as its Instagram unit closes the pricing gap with other properties according to Ken Sena of Wells Fargo.", "Nasdaq supported by rebound in tech stocks; Apple up 0.8%", "NBA Veteran Jason Kidd Takes a Swing at Tech Investing Basketball legend Jason Kidd, like a growing number of other retired and current professional athletes, has invested in a tech startup. The appeal of making a bet on tech is proving to be irresistible. He cites the two-time defending NBA champion Golden State Warriors, whose players are dabbling in tech startups while lending star brand recognition to those companies.", "Taiwan Semi to Ride Wave of Custom AI Chips, Says Susquehanna Taiwan Semi has been the contract manufacturer to Apple and Qualcomm and Nvidia and others for a long time, but it has a new opportunity to make revenue off of the emerging industry of artificial intelligence chips, says Susquehanna's Mehdi Hosseini.", "U.S. stocks end higher as tech shares stage late-session rally U.S. stocks ended higher on Monday, reversing an early decline as a rebound in technology shares helped to offset ongoing uncertainty surrounding trade policy. The Dow Jones Industrial Average rose 0.1%. The S&P 500 ended 0.3% higher. The Nasdaq Composite Index gained 0.8%. Major indexes had opened lower in a broad decline, but equities improved throughout the session, and seven of the 11 primary S&P 500 sectors ended in positive territory. Leading the move higher was technology stocks, which rose 1% as the top-performing industry group of the day. Among the notable gainers, Apple Inc. added 1.1% while Microsoft Corp. was up 1.4%. Nvidia Corp. popped 2.3%.", "Tech sector contributed all of the stock market gains so far in 2018 Amazon.com accounted for more than a third of S&P 500 gains The equity markets\u2019 story of 2018, much like last year, was and still is the one of FAANGs\u2014high-flying large technology companies", "Why Apple stock is still a buy \u2014 even at $200 a share Three key valuation measures prove the stock\u2019s long-term value Three key v

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: -0.0100

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0100 (i.e., on a bad day with 5% probability, the loss exceeds 1.00%). CVaR(95%) = -0.0120.


PALL: 60-day return history, mean=-0.0027, std=0.0133.

Question:
Asset: PALL
Daily returns (past 60 days): mean=-0.0027, std=0.0133, min=-0.0436, max=0.0355
Market regime: sideways

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for PALL. 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%) = -0.0311.


XRP-USD: 60-day return history, mean=-0.0120, std=0.0710.

Question:
Asset: XRP-USD
Daily returns (past 60 days): mean=-0.0120, std=0.0710, min=-0.1719, max=0.1852
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: -0.1151

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.1151 (i.e., on a bad day with 5% probability, the loss exceeds 11.51%). CVaR(95%) = -0.1470.


QQQ: 60-day return history, mean=0.0002, std=0.0135.

Question:
Asset: QQQ
Daily returns (past 60 days): mean=0.0002, std=0.0135, min=-0.0329, max=0.0340
Market regime: sideways
Recent filing/news:
[Kaggle 2018-06-06] The 3 Rules of a Bull Market When I talk to investors about the stock market, I still hear all the reasons that it's time to be cautious and the end is near. But all my experience tells me differently. And while I have often thought this year that the market must be in its 6th or 7th inning, I have few fundamental reasons to believe that it couldn't keep making new highs for another two to three years. So as I look back at the portfolios and the body of content I've created over the years to help investors profit, I wondered if I could simplify the message even further. I often prefer not to over-simplify, leaning instead toward parsing out the complexities and nuances of economic matters. But my work does have the same persistent themes. And so I realized, I could very easily crystallize them into 3 rules, and just ten words total. In the video that accompanies this article, I go back over some of those messages from the past nine years of this bull market. Then I summarize them all with my "3 Rules." My hope is that this video becomes teaching tool for investors age 8 to 88 because its lessons will certainly stand the test of time in the next bull market, and the one after that too. In the video, I also promise some useful links... For a review of my latest fundamental update on BABA in case you missed it, here was my May ZU Strategy Session presentation. It's the last clip at minute 44:20... May ZUSS: Top Stock Pick BABA at 44:20 Even then after awesome earnings and growth guidance, I reminded investors "If you can get in under $200, do it!" The Moral of the Bull's Story Got a minute? I can think of no better way to sum up the moral of this story than with a 1-minute video I recorded last year over at the CBOE. TV host Angela Miles asked me for my favorite "trader's tip" and I knew instantly that if I only had a minute to share with thousands of investors, I would choose this one core idea... Follow the Smart Money Finally, here was the message I offered on Tracey Ryniec's MarketEdge podcast back in January... Cooker's Melt-Up Recipe Three ingredients for a "melt-up recipe" that investors can profit from. 1. Multiple Expansion Is Under Control: We may be in the 6th inning of this bull market, but multiple expansion isn't yet as high as it was at the peak of other bull rallies like 1999-2000. There could still be more upside to go. 2. Competition: There's less stock and more investors. Additionally, Wall Street, unlike most retail investors, has to buy, but doesn't have to sell. 3. No global macro worries: Whatever happened to the Eurozone crisis or China having a hard landing? For the first time in a decade, the global economy is in sync and growing at the same time with virtually no economic crises looming. (end of excerpt from MarketEdge podcast) Granted, the market headed into a 10% correction right after that. But I also warned Zacks Ultimate members about that 2 weeks prior. Despite my long-term bullishness, I'm always ready with "dry pow

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: -0.0254

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0254 (i.e., on a bad day with 5% probability, the loss exceeds 2.54%). CVaR(95%) = -0.0296.


PDBC: 60-day return history, mean=0.0002, std=0.0070.

Question:
Asset: PDBC
Daily returns (past 60 days): mean=0.0002, std=0.0070, min=-0.0160, max=0.0181
Market regime: sideways

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for PDBC. 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%) = -0.0148.


XRP-USD: 60-day return history, mean=-0.0014, std=0.0296.

Question:
Asset: XRP-USD
Daily returns (past 60 days): mean=-0.0014, std=0.0296, min=-0.0599, max=0.0706
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: -0.0530

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0530 (i.e., on a bad day with 5% probability, the loss exceeds 5.30%). CVaR(95%) = -0.0573.


MTUM: 60-day return history, mean=0.0003, std=0.0095.

Question:
Asset: MTUM
Daily returns (past 60 days): mean=0.0003, std=0.0095, min=-0.0204, max=0.0217
Market regime: sideways
Recent filing/news:
[Kaggle 2016-01-06] ["Apple iPhone Production Cuts? Suppliers Largan, Catcher Miss December Sales", "Bad day for Fitbit and its jittery investors Opinion: Lower price should expand reach, but margins may suffer Fitbit Inc. investors headed for the exits on Tuesday after the company unveiled the Blaze, a wearable device with many smartwatch features that fueled immediate comparisons with the Apple Watch and a looming battle with the consumer electronics juggernaut.", "AAC Tech Tumbles On Apple iPhone Production Cut: Not A Reason To Sell, Says Jefferies Along with other Apple (AAPL) iPhone suppliers, AAC Technologies (2018.Hong Kong) slipped 5.2% in Hong Kong after a Nikkei report that Apple would cut its iPhone production by a third in the March quarter.Jefferies' Ken Hui is pounding the table this morning saying iPhone's weakness is an opportunity to buy - not a reason to sell, because Apple is not AAC's only customers. Hui wrote:READ MORE.", "Samsung\u2019s new smartwatch to be compatible with Apple\u2019s iOS Gear 2 announcement may signal more inclusive approach Samsung Electronics Co. said it would make its latest smartwatch compatible with rival Apple Inc.\u2019s operating system, marking the latest wrinkle in a complex relationship between the world\u2019s two biggest smartphone makers.", "Apple scaling back iPhone production Reduction in orders likely reflects lower-than-expected sales Apple Inc. is scaling back orders for its iPhones, sending ripples throughout the multibillion-dollar industry that supplies and builds the company\u2019s phones.", "Fears About North Korea, Apple Are Overstated Several financial writers make a case for taking a chill pill about recent troubling news.", "Self-driving cars will kill the auto industry Europe has the most to lose if its companies can\u2019t adapt to disruptive technology Self-driving cars will disrupt the auto industry, creating lots of new winners and losers. The biggest losers will be in Europe, says Matthew Lynn.", "Asian markets mostly slip as North Korea bomb test sends shivers China shares bucks trend with 2.3% rise The yen reaches a near-three-month high and most shares in Asia trade lower, though Shanghai bucks the trend, on news of a possible nuclear test in North Korea and lingering worries about China.", "Apple shares down 2.2% premarket", "Apple reports biggest holiday season for app store Apple Inc. reported record-breaking sales for the holiday season, with customers spending more than $1.1 billion on apps and in-app purchases. This was the biggest holiday season for the App Store and Jan. 1, 2016 broke the store's single-day record with customers spending more than $144 million. The most popular purchase categories were gaming, social networking and entertainment, including apps such as Minecraft, Snapchat and Clash of Clans as well as Netflix. \"We are excited that our customers downloaded and enjoyed so many incredible apps for iPhone, iPad, Mac, Apple Watch and Apple TV, spending over $20 billion

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: -0.0165

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0165 (i.e., on a bad day with 5% probability, the loss exceeds 1.65%). CVaR(95%) = -0.0181.


XHB: 60-day return history, mean=0.0014, std=0.0089.

Question:
Asset: XHB
Daily returns (past 60 days): mean=0.0014, std=0.0089, min=-0.0194, max=0.0294
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: -0.0107

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%) = -0.0144.


ICSH: 31-day return history, mean=-0.0001, std=0.0010.

Question:
Asset: ICSH
Daily returns (past 31 days): mean=-0.0001, std=0.0010, min=-0.0020, max=0.0028
Market regime: sideways

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

Answer: -0.0016

Explanation: Historical simulation VaR at 95%: sort the 31 daily returns and take the 5th percentile. VaR(95%) = -0.0016 (i.e., on a bad day with 5% probability, the loss exceeds 0.16%). CVaR(95%) = -0.0017.


TIP: 60-day return history, mean=-0.0001, std=0.0007.

Question:
Asset: TIP
Daily returns (past 60 days): mean=-0.0001, std=0.0007, min=-0.0015, max=0.0022
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: -0.0012

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0012 (i.e., on a bad day with 5% probability, the loss exceeds 0.12%). CVaR(95%) = -0.0014.


SOL-USD: 60-day return history, mean=-0.0052, std=0.0889.

Question:
Asset: SOL-USD
Daily returns (past 60 days): mean=-0.0052, std=0.0889, min=-0.2453, max=0.2870
Market regime: sideways

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

Answer: -0.1532

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.1532 (i.e., on a bad day with 5% probability, the loss exceeds 15.32%). CVaR(95%) = -0.1945.


XLB: 60-day return history, mean=0.0005, std=0.0095.

Question:
Asset: XLB
Daily returns (past 60 days): mean=0.0005, std=0.0095, min=-0.0208, max=0.0240
Market regime: sideways
Recent filing/news:
[Kaggle 2021-10-21] ["Customer engagement platform Batch raises $23 million after years of bootstrapping If you\u2019ve been working in the French tech ecosystem, you may remember a startup called AppGratis. From the team that brought you AppGratis, Batch is a customer engagement platform that has been operating under the radar for many years. It\u2019s a customer engagement platform that competes with Braze as well as big enterprise solutions from Salesforce, Adobe, Oracle, IBM and Microsoft.", "Apple will require unvaccinated employees to test for COVID-19 daily Apple will require all unvaccinated corporate employees to be tested for COVID-19 every time they have to work in the office.", "The Morning After: Will Facebook change its name? Today\u2019s headlines: Some Windows 11 users can start testing Android apps, Netflix CEO says he 'screwed up' on Dave Chappelle as employees walk out, \u2018Cyberpunk 2077' PS5 and Xbox Series X/S upgrades delayed until 2022.", "Apple will require unvaccinated employees to test for COVID-19 daily Apple has yet to issue a mandate similar to Google's that would require all employees to be vaccinated, but it's tightening its COVID-19 protocols nonetheless. According to Bloomberg, the tech giant will start requiring all unvaccinated corporate employees to be tested for COVID-19 every time they have to work in the office instead of working from home. Back in September, Bloomberg reported that Apple asked employees to share their vaccination status voluntarily.", "Apple's AirTags are 10 percent off at Woot today Apple's AirTags are down to $26 each when you buy them from Woot today only.", "Meet the 2021 Women in Technology Hall of Fame Inductees Female Executives and Leaders to be Honored for Their Impact and Achievements Featured Image for WITI - Women in Technology International Featured Image for WITI - Women in Technology International LOS ANGELES, Oct. 21, 2021 (GLOBE NEWSWIRE) -- Women in Technology International (WITI), the leading organization for the advancement and inclusion of women in business and technology, today announced its eight inductees into the 2021 Women in Technology Hall of Fame. The honorees will be inducted dur", "Product Marketing Alliance: From $0 to $1M+ ARR in 12 months: product marketing is the world's fastest-growing job role The role of product marketing is on the rise. It's no longer seen as a nice-to-have, it's a company commodity for forward-thinking, fast-growing, market-dominating organizations worldwide.", "Google lowers Play Store fees to 15% on subscription apps, as low as 10% for media apps Google is lowering commissions on all subscription-based businesses on the Google Play Store, the company announced today. Previously, the company had followed Apple's move by reducing commissions from 30% to 15% on the first $1 million of developer earnings. Instead of charging them 30% in the first year, which lowers to 15% in year two and beyond, Google says developers will only be charged 15% from day o

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: -0.0126

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0126 (i.e., on a bad day with 5% probability, the loss exceeds 1.26%). CVaR(95%) = -0.0186.


LQD: 60-day return history, mean=0.0002, std=0.0027.

Question:
Asset: LQD
Daily returns (past 60 days): mean=0.0002, std=0.0027, min=-0.0076, max=0.0053
Market regime: sideways

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

Answer: -0.0038

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0038 (i.e., on a bad day with 5% probability, the loss exceeds 0.38%). CVaR(95%) = -0.0056.


LINK-USD: 60-day return history, mean=0.0002, std=0.0563.

Question:
Asset: LINK-USD
Daily returns (past 60 days): mean=0.0002, std=0.0563, min=-0.1212, max=0.1799
Market regime: sideways

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

Answer: -0.0926

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0926 (i.e., on a bad day with 5% probability, the loss exceeds 9.26%). CVaR(95%) = -0.1062.


MTUM: 60-day return history, mean=0.0011, std=0.0123.

Question:
Asset: MTUM
Daily returns (past 60 days): mean=0.0011, std=0.0123, min=-0.0341, max=0.0314
Market regime: sideways
Recent filing/news:
[Kaggle 2020-12-28] ["Stand By Chip Champ Advanced Micro Devices Even at Higher Price Points InvestorPlace - Stock Market News, Stock Advice & Trading Tips For investors in Advanced Micro Devices (NASDAQ:AMD), the temptation to take profits is understandable. Anyone who bought AMD stock early in 2020 can easily declare himself/herself a winner and cash out. AMD) logo outside of a corporate building\" width=\"300\" height=\"169\"> Source: Sundry Photography / Shutterstock.com After all, AMD is a stock that more than doubled from mid-March to December. Skeptics might wonder how much further AMD stock can possibly go after a run like that. As we\u2019ll discover, the concerns over valuation are understandable. An argument can be made in favor of taking some chips off the table when it comes to AMD stock. On the other hand, it\u2019s also possible to assess the company\u2019s progress and choose to hold on to one\u2019s AMD shares. Perhaps the bull run can continue into 2021. So, let\u2019s home in on the AMD stock price and consider whether the stock\u2019s valuation is a deal breaker. A Closer Look at AMD Stock At its lowest point in March of 2020, AMD stock bottomed out at $36.75. Even a tech stock like AMD wasn\u2019t impervious to the Covid-19 crisis at that time. 7 Undervalued Stocks That Could Soar in 2021 Yet, by the middle of April, AMD stock had already returned to its pre-pandemic price. The swift recovery was likely due to the market\u2019s belief that the technology sector could thrive during lockdowns. AMD stock took another big leg up during the summer of 2020. During that time, the stock quickly rocketed to the $85 level. Then the bulls took a much-needed breather for a couple of months. In December, the AMD stock bulls came back and began to push the share price beyond the $90 level. In fact, on Dec. 23, AMD shares hovered near $92 or $93. At that time, however, the trailing 12-month price-to-earnings ratio reached 125. Meanwhile, the trailing 12-month price-to-earnings ratio of rival Intel\u2019s (NASDAQ:INTC) stock was around 9. Therefore, value-focused investors will need to be convinced that AMD stock is worth its price tag. Undeniable Revenue Growth If any AMD shareholders have been concerned about the stock\u2019s valuation, a glance at the company\u2019s fiscal stats should help to put them at ease. Suffice it to say that Advanced Micro Devices\u2019 third quarter was an absolute blockbuster. Even the most optimistic commentators might not have expected the quarterly results that the company posted. Here are the bullet points for Advanced Micro Devices\u2019 third quarter: $2.8 billion in revenues, up 56% year-over-year and 45% quarter-over-quarter Revenues from the computing and graphics segment totaled $1.67 billion, up 31% year-over-year and 22% quarter-over-quarter Net income was $390 million, a huge improvement over the $120 million posted a year ago and $157 million recorded in the prior quarter Diluted earnings per share came to 32 cents,

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: -0.0235

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0235 (i.e., on a bad day with 5% probability, the loss exceeds 2.35%). CVaR(95%) = -0.0294.


USMV: 60-day return history, mean=0.0011, std=0.0103.

Question:
Asset: USMV
Daily returns (past 60 days): mean=0.0011, std=0.0103, min=-0.0253, max=0.0190
Market regime: sideways
Recent filing/news:
[Kaggle 2020-11-16] ["A Covid Vaccine Is Coming. Here\u2019s What It Means for the Stock Market. After years of disappointment, a rotation into value-oriented investments from growth could gain traction. International stocks, small-caps, and gold could also climb.", "What GM Recall of the Bolt Electric Vehicle Means for the Stock The recall is tied to a battery charging issue. Recalls don\u2019t usually hit auto maker shares, but this one is worth watching.", "Intel Can Shine Again Repeated manufacturing delays have dented Intel\u2019s reputation. Why the stock is down but not out.", "Facebook Stock Will Continue to Benefit from Online Advertising\u2019s Rebound The online advertising market appears on pace for continued acceleration through the fourth quarter, a J.P. Morgan analyst says.", "Dow, S&P 500 end at record highs Monday as stock market rallies amid further vaccine progress U.S. stocks book a round of fresh records Monday, as a rally fueled by optimism on the COVID-19 vaccine front overshadowed skyrocketing case numbers.", "Warren Buffett\u2019s Berkshire Hathaway Confirms Apple Stock Sale, Buys of Pfizer, Merck Warren Buffett\u2019s Berkshire Hathaway trimmed holdings in Apple, in line with our estimate. It also initiated positions in drug giants AbbVie, Pfizer, and Merck. Berkshire Hathaway also slashed its JPMorgan investment.", "Samsung's latest monitor is a smart TV with PC features It\u2019s the brand\u2019s first smart TV with built-in WiFi, Bluetooth and Wireless DeX capability.", "Ambu A/S: Reporting of transactions made by persons discharging managerial responsibilities Please see attached file. Attachment * 16_11_2020_Michael H\u00f8jgaard II", "How FlyBy Auto Transport Rises to the Top of Its Competitive Industry LOS ANGELES, CA / ACCESSWIRE / November 16, 2020 / Amid the heavily competitive and saturated auto transport market, it all boils down to a company's reliability and performance, leading people to give their trust.", "Moderna reports its COVID-19 vaccine is 94.5% effective in first data from Phase 3 trial Following fast on the heels of Pfizer's announcement of its COVID-19 vaccine efficacy, Moderna is also sharing positive results from its Phase 3 trial on Monday. The biotech company says that its COVID-19 vaccine candidate has shown efficacy of 94.5% in its first interim data analysis, which covers 95 confirmed COVID cases among its study participants, of which 90 were given the placebo, and only 5 received Moderna's mRNA-based vaccine. Further, of 11 severe cases of COVID-19, none were found among those who received the actual vaccine candidate.", "The Morning After: Updating to macOS Big Sur is messing up some MacBook Pros Engadget's daily tech news bulletin.", "Techfugees non-profit brings on new CEO to engage tech industry with refugee issues Techfugees, the global non-profit which advocates the use of technology to aid refugees and displaced people, has appointed tech entrepreneur and Raj Burman as its new CEO. Burman succeeds Jo

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: -0.0163

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0163 (i.e., on a bad day with 5% probability, the loss exceeds 1.63%). CVaR(95%) = -0.0231.


EEM: 60-day return history, mean=-0.0027, std=0.0163.

Question:
Asset: EEM
Daily returns (past 60 days): mean=-0.0027, std=0.0163, min=-0.0341, max=0.0317
Market regime: sideways
Recent filing/news:
[Kaggle 2015-09-15] ["Chip Stocks Up Despite Falling Semiconductor Billings", "Chip Stocks Up Despite Falling Semiconductor Billings", "Is Apple, Inc.'s \"3D Touch\" Supplier a Buy? As expected, the headline selling feature in Apple 's new iPhone 6s and 6s Plus models will be 3D Touch, the rebranded technology that integrates pressure sensitivity into the display to unlock a whole new slew of interface interactions. Seeing as how investing in Apple component suppliers is a popular investing trend these days, investors can't help wondering if Analog Devices is worth looking at, since the smaller analog-chip maker is reportedly the exclusive supplier of the microcontroller that drives the 3D Touch display. Is Analog Devices a buy? The Street has been busy tackling this very question. Last month before earnings, BlueFin Research Partners estimated that overall Force/3D Touch revenues could add up to an additional $500 million in fiscal 2016. The firm notes that Analog Devices has had some trouble finding customers willing to pay for its superior performance, but Apple fits the bill quite nicely. Seeing as how the iPhone 6s and 6s Plus production ramp likely started a few months ago, it was no surprise when Analog then reported record revenues of $863 million in its fiscal third quarter. It was also pretty obvious where the strength was coming from as well. Source: SEC filings. In no uncertain terms, the consumer segment stole the show. Naturally, Analog Devices has to speak vaguely when referring to Apple on the conference all, but it's pretty clear who it is. Here's CFO David Zinsner: Not only were the quarter's results better than expected, but Analog Devices also issued upbeat guidance. In the coming quarter, revenue is expected in the range of $880 million to $940 million, which utterly crushed the consensus forecast of $876 million. There's more where that came from Following the strong results, SunTrust Robinson Humphrey boosted its rating on Analog Devices to \"buy\" while increasing its price target from $68 to $71. The firm believes that Apple Force/3D Touch will proliferate throughout Apple's lineup in the coming quarters, and Analog Devices will be a key beneficiary as the incremental revenue adds up. This is an entirely reasonable conjecture, since Apple tends to introduce innovative new technologies in one major product before bringing it to the rest of the product portfolio. Usually, Apple does this with the iPhone first, but this time around it introduced Force Touch first in Apple Watch and the new MacBooks before the iPhone (Analog Devices supplies the chips in both of these devices). That being said, I fully expect the iPad to get 3D Touch next, although it'll take more time to implement the technology on such large displays. RBC Capital also rates Analog Devices \"outperform\" with a $70 price target. It seems that the Street is mostly bullish on Analog Devices as Apple ramps up Force/3D Touch. Even though Apple is contributing heavily to the near-te

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

Answer: -0.0314

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0314 (i.e., on a bad day with 5% probability, the loss exceeds 3.14%). CVaR(95%) = -0.0341.


FXI: 60-day return history, mean=0.0013, std=0.0123.

Question:
Asset: FXI
Daily returns (past 60 days): mean=0.0013, std=0.0123, min=-0.0225, max=0.0333
Market regime: sideways
Recent filing/news:
[Kaggle 2019-03-11] ["Apple\u2019s iPhone Woes Could Hurt Supplier Credit Ratings S&P Ratings predicts that Apple\u2019s iPhone revenue will drop by around 15% in fiscal 2019, and a continuing decline continues, it would hurt the creditworthiness of its suppliers.", "The folly of Elizabeth Warren\u2019s wealth tax Most fortunes are the earned by entrepreneurs cashing in on their great ideas, not the idle rich of Democrats\u2019 fantasies Democrats like Sanders and Warren want to tax the goose that lays the golden eggs.", "Apple Investors Are \u2018Too Pessimistic\u2019 About Its Hardware \u2014 and Its Stock \u2014 Analyst Says Bank of America Merrill Lynch upgraded the tech giant\u2019s stock Monday.", "The Dow Bounces Back Because Stock Trading Isn\u2019t Just About Boeing The Dow Jones Industrial Average moved into positive territory despite a loss for Boeing. The S&P 500 and Nasdaq Composite achieved larger gains.", "Trump Today: President reopens border-wall fight with new budget, endorses permanent daylight-saving time Trump tweets explanation of \u2018Tim Apple\u2019 President Donald Trump renewed a fight for border-wall funding as he released his 2020 budget on Monday, and endorsed making daylight-saving time permanent a day after most Americans set their clocks ahead an hour.", "Stocks snap 5-day losing streak as tech shares rally Boeing stock has worst day in nearly 5 months after Ethiopian Airlines crash U.S. stocks snap a five-day losing streak to close higher Monday as technology shares rallied, offsetting some of the gloom from Boeing Co.\u2019s woes after the second deadly crash in about six months involving the company\u2019s 737 Max 8 aircraft.", "The \u2018smart money\u2019 prefers Alibaba over Amazon, Intel over AMD, and Google over Apple The change came after popular tech stocks were sold short late last year The change came after popular tech stocks were sold short late last year.", "This is why Trump now says he called Apple CEO Tim Cook \u2018Tim Apple\u2019 Trump says he didn't slip up and was trying to \u2018save time & words\u2019 Trump says he didn't slip up and was trying to \u2018save time & words.\u2019", "Dow Gains 200 Points to Break Five-Day Losing Streak U.S. stocks reversed some of last week\u2019s losses and closed in the solid black on Monday", "Apple Sets March 25 to Announce Its Next Big Thing The company\u2019s annual spring product announcement is likely to reflect a shift to services with a new streaming TV offering and a revamped Apple News.", "Amazon\u2019s Alexa has 80,000 Apps-and No Runaway Hit Deakin and his coworkers at the U.K.\u2019s Musicplode Media Ltd. created a version of their music trivia game for Alexa, chasing the opportunity to hitch a ride on what they correctly predicted would be one of the hottest trends in consumer technology. Like many developers, they found working with voice", "Why people think their phones are listening to them A surprising number of people falsely think their smartphones, smart spe

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: -0.0175

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0175 (i.e., on a bad day with 5% probability, the loss exceeds 1.75%). CVaR(95%) = -0.0204.


XRP-USD: 60-day return history, mean=-0.0064, std=0.0398.

Question:
Asset: XRP-USD
Daily returns (past 60 days): mean=-0.0064, std=0.0398, min=-0.1256, max=0.0712
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: -0.0782

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0782 (i.e., on a bad day with 5% probability, the loss exceeds 7.82%). CVaR(95%) = -0.1099.


IVV: 60-day return history, mean=0.0008, std=0.0043.

Question:
Asset: IVV
Daily returns (past 60 days): mean=0.0008, std=0.0043, min=-0.0080, max=0.0092
Market regime: sideways
Recent filing/news:
[Kaggle 2018-10-03] Adobe Unveils Major Document Updates, Enhances PDF Experience Adobe Systems IncorporatedADBE is firing on all cylinders to enhance presence in the document management system market on the back of its robust tools and software. The company has recently added useful updates to its Adobe Document Cloud, enabling the users to share and edit portable document format (PDF) files seamlessly and securely. Adobe aims to enrich the PDF user experience with its latest advances in order to gain further traction in this data driven world where e-documentation is of primary importance. Coming to the price performance, shares of Adobe have returned 55.3% on a year-to-date basis, outperforming the industry 's rally of 28.6%. New Updates to Drive Growth The company has introduced central document hub and home view in Acrobat DC which will allow the users of Acrobat DC desktop app, Acrobat Reader mobile app and the new Adobe Document Cloud web app to access the files and documents from one single point. Further, the new updates will offer cross-platform capabilities which will enable the users of Acrobat Pro DC to edit their documents on tablets with touch sensor of the devices similar to desktops. Additionally, the combination of Adobe's Sensei, Adobe Scan and Acrobat DC will aid in filling forms and scanning business cards. Further, with the help of modified Adobe Sign, people can electronically sign PDFs in Acrobat DC. Furthermore, an improvised content review process will help in tracking the activities related to a PDF file such as info on who is sharing the file with how many reviewers. This will ease the collection of feedbacks. Moreover, the new updates will assist in solving the feedbacks within the PDF itself. All these new useful features are likely to strengthen the company's product portfolio. Further, they will attract more users to the company's platform, thus expanding the adoption rate of Adobe Document Cloud. This will aid the subscription revenues, consequently aiding the company's top- line. Adobe Systems Incorporated Revenue (TTM) Adobe Systems Incorporated Revenue (TTM) | Adobe Systems Incorporated Quote Market Opportunities Per a report from MarketsandMarkets, the global document management system market is expected to reach $6.78 billion by 2023 at a CAGR of 11.17% between 2017 and 2023. Adobe's latest updates in Acrobat which offers a set of a cloud-based document and collaboration subscription services, supports centralized online file sharing and contract signing solutions, will aid it in reaping benefits from this potential market. Further, the company's robust Document Cloud will aid the company to rapidly penetrate the document-centric collaboration software market which as per a report from Technavio, is projected to witness a CAGR of more than 10% between 2017 and 2021. Notably, all these will help Adobe to fortify its presence in the rapidly growing cloud market in today's world. Zacks Rank & Stocks to Consider Currently, Adobe car

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: -0.0065

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0065 (i.e., on a bad day with 5% probability, the loss exceeds 0.65%). CVaR(95%) = -0.0075.


EWJ: 60-day return history, mean=-0.0019, std=0.0120.

Question:
Asset: EWJ
Daily returns (past 60 days): mean=-0.0019, std=0.0120, min=-0.0286, max=0.0204
Market regime: sideways
Recent filing/news:
[Kaggle 2022-07-06] ["Beyond Crypto: This Is the Secret Sauce to Retiring a Millionaire While many would agree that the stock market has been the best tool historically to building long-term wealth, cryptocurrencies have taken that title in the past several years. Bitcoin and Ethereum, for example, have produced trailing five-year returns of 700% and 310%, respectively, compared with the S&P 500's total return of only 73% during that time. But with cryptocurrencies getting absolutely hammered over the past few months, now is a good time to reassess your investment philosophy and the path you want to take to achieve adequate financial returns. And if you want to retire a millionaire, a valid argument can be made that avoiding crypto altogether might be the right course of action now. Image source: Getty Images. Don't chase the shiny object With stories of individuals becoming millionaires virtually overnight by trading digital assets, a fear of missing out can no doubt be the feeling many non-crypto investors have been experiencing. It's human nature. We see others having incredible success doing something and we immediately want to copy that behavior. The problem, however, is that it completely goes against what a rational person should do. What really matters is how much a person is consistently saving, the time until retirement, and their risk tolerance. Building a financial plan that helps one achieve personal goals is the ultimate objective. While some cryptocurrencies have crushed stocks in recent years, they are not the right investment for everyone. For starters, digital assets are ridiculously volatile with daily moves greater than 10% a normal occurrence. And because the sector as a whole just started its teenage years -- Bitcoin was launched in January 2009 -- the potential range of outcomes for the still-nascent asset class is extremely wide. This is too much uncertainty for most to stomach. Furthermore, the lack of regulation with cryptocurrencies, something that is not an issue in the traditional financial system, adds to the level of risk. There are countless stories of scams. And even with legitimate projects, the total risk involved with different crypto enterprises is simply unknown. We're seeing this play out right now, with major crypto hedge fund Three Arrows Capital filing for bankruptcy protection and Voyager Digital, a large crypto brokerage, suspending all trading because of market conditions. It can certainly be tempting to buy into the hype of cryptocurrencies, especially given the monster returns some speculators have achieved by buying digital assets, but a safer approach is to just focus on owning stocks for the long haul. Do this instead There really is no secret to retiring a millionaire. It's actually quite simple. People should start investing at a young age and let compounding take care of the rest. But what's the right way to invest? If you have the time to study and research different businesses, then actively picking stocks might

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: -0.0217

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%) = -0.0282.


ACWI: 60-day return history, mean=0.0003, std=0.0058.

Question:
Asset: ACWI
Daily returns (past 60 days): mean=0.0003, std=0.0058, min=-0.0143, max=0.0098
Market regime: sideways
Recent filing/news:
[Kaggle 2018-08-28] ["Here\u2019s What Blockchain Technology Means for IBM Stock InvestorPlace - Stock Market News, Stock Advice & Trading Tips IBM (NYSE: IBM ) has been in a prolonged restructuring, and the results have been mixed at best. This is particularly aggravating since various other old-line tech giants like Microsoft (NASDAQ: MSFT ), Cisco (NASDAQ: CSCO ) and Adobe (NASDAQ: ADBE ), have staged strong turnarounds. But I think investors should not give up on IBM stock. The fact is that the company is making progress. More important, it has been investing heavily in next-generation technologies. Just look at the blockchain category. The roots of this technology go back to 2009, with the creation of the bitcoin cryptocurrency. The blockchain technology was the foundation of it, acting as a powerful ledger system. This meant that the transactions were stored in a decentralized database and only accessible by private key cryptography - making it highly secure. 21 Beverage Stocks to Buy for the Contrarian-Minded Since then, the interest in blockchain has certainly gotten more and more intense. But the applications are much wider than just cryptocurrency. Blockchain really represents a new way of storing any kind of critical information. And this is ideal for a company like IBM. In fact, the company has already made significant strides. IBM Stock and the Blockchain An example of this is TradeLens, which involves an alliance with Maersk, a major integrated container logistics company. The platform leverages blockchain technology to track transactions across the shipping supply chain. So far, there are 94 organizations in the program that account for 234 marine gateways worldwide. TradeLens provides transparency, which is often lacking in global trade. But there is also the use of sophisticated IoT (Internet-of-Things) sensor data to provide real-time access. To get a sense of the power of this platform, it has helped reduce the transit times of shipments of packing materials to the U.S. by as much as 40% . Keep in mind that global shipping represents about four trillion dollars in goods every year. But TradeLens is not the only initiative. For example, there is LedgerConnect , which helps financial institutions to create their own blockchain apps. Some of the partners include Barclays (NYSE: BCS ) and Citigroup (NYSE: C ). Some of the core functions of LedgerConnect include collateral management, sanctions screening and derivatives processing. Although, the technology should also help promote standards in the financial industry and also make it easier to develop new innovations. And as the system gets more traction, there is likely to be the benefit of network effects, which should lead to strong barriers to entry. The Bottom Line on IBM Stock When it comes to IBM stock, blockchain technology is still in the early stages, but it should have a pervasive impact in the coming years. What's more, IBM's efforts show that the company is focused on innovation and taking

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: -0.0119

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0119 (i.e., on a bad day with 5% probability, the loss exceeds 1.19%). CVaR(95%) = -0.0127.


XRP-USD: 60-day return history, mean=0.0116, std=0.0633.

Question:
Asset: XRP-USD
Daily returns (past 60 days): mean=0.0116, std=0.0633, min=-0.1902, max=0.1895
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: -0.0782

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0782 (i.e., on a bad day with 5% probability, the loss exceeds 7.82%). CVaR(95%) = -0.1204.


VLUE: 60-day return history, mean=-0.0019, std=0.0108.

Question:
Asset: VLUE
Daily returns (past 60 days): mean=-0.0019, std=0.0108, min=-0.0356, max=0.0205
Market regime: sideways
Recent filing/news:
[Kaggle 2018-11-23] ["50 Biggest Movers From Wednesday", "Argus Upgrades Autodesk to Buy, Announces $160 Price Target", "Argus Upgrades Autodesk to Buy, Announces $160 Price Target", "50 Biggest Movers From Wednesday", "Company News For Nov 23, 2018 Foot Locker Inc.'s FL shares jumped 14.9% after the company posted fiscal third-quarter 2018 adjusted earnings per share of $0.95, surpassing the Zacks Consensus Estimate of $0.92 Shares of Autodesk Inc. ADSK surged 9.7% after reporting third quarter fiscal 2019 adjusted earnings per share of $0.29, outpacing the Zacks Consensus Estimate of $0.26 LATAM Airlines Group S.A. LTM shares climbed 5.9% after the company reported third-quarter adjusted earnings per share of $0.09, beating the Zacks Consensus Estimate by 1 cent. Shares of BJ's Wholesale Club Holdings Inc. BJ soared 11.2% after posting fiscal third-quarter 2018 adjusted earnings per share of $0.39, surpassing the Zacks Consensus Estimate of $0.34 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 Autodesk, Inc. (ADSK): Free Stock Analysis Report LATAM Airlines Group S.A. (LTM): Free Stock Analysis Report Foot Locker, Inc. (FL): Free Stock Analysis Report BJ's Wholesale Club Holdings, Inc. (BJ): Free Stock Analysis Report To read this article on Zacks.com click here. The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc. The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.", "Autodesk (ADSK) Soars: Stock Adds 9.7% in Session Autodesk, Inc.ADSK was a big mover last session, as the company saw its shares rise nearly 10% on the day. The move came on solid volume too with far more shares changing hands than in a normal session. This stock, which remained volatile and traded within the range of $123.05 -$140.61 in the past one-month time frame, witnessed a sharp increase on Wednesday. The move came after the company announced that it will acquire PlanGrid for $875 million. The company has seen a mixed track record when it comes to estimate revision of one increase and no decrease over the past few weeks, while the Zacks Consensus Estimate for the current quarter remained unchanged. The recent price action is encouraging though, so make sure to keep a close watch on this firm in the near future. Autodesk currently has a Zacks Rank #3 (Hold) while its Earnings ESP is positive. Autodesk, Inc. Price Autodesk, Inc. Price | Autodesk, Inc. Quote Investors interested in the Computer - Software industry may consider ACI Worldwide, Inc. ACIW , which has a Zacks Rank #1 (Strong Buy). You can see the complete list of today's Zacks #1 Rank stocks here. Is ADSK going up? Or down? Predict to see what others think: Up or Down Will You Make a Fortune on the Shift to Electric Cars? Here's another stock idea to consider. Much like

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: -0.0235

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0235 (i.e., on a bad day with 5% probability, the loss exceeds 2.35%). CVaR(95%) = -0.0289.


XHB: 60-day return history, mean=0.0016, std=0.0143.

Question:
Asset: XHB
Daily returns (past 60 days): mean=0.0016, std=0.0143, min=-0.0344, max=0.0343
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: -0.0233

Explanation: Historical simulation VaR at 95%: sort the 60 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%) = -0.0289.


IWM: 60-day return history, mean=-0.0009, std=0.0141.

Question:
Asset: IWM
Daily returns (past 60 days): mean=-0.0009, std=0.0141, min=-0.0371, max=0.0282
Market regime: sideways
Recent filing/news:
[Kaggle 2022-01-14] ["3 Downtrodden Stocks to Sell Before It Gets Worse InvestorPlace - Stock Market News, Stock Advice & Trading Tips Downtrends are multiplying across the land, and bears\u2019 ranks are swelling. Despite the fact that the Nasdaq Composite still sitting a stone\u2019s throw from its peak, some 40% of the index has been cut in half. There\u2019s trouble beneath the surface, making for narrowing leadership and, ultimately, more vulnerability. I scanned my watchlist of the downtrodden and discovered three ugly stocks to sell before they get worse. And you don\u2019t need to perform any mental gymnastics to grasp why lower prices are in the offing. The stocks below are stuck in nasty downtrends. And that matters greatly because trend direction is the most important of all technical signals. It sits atop the hierarchy of charting, demanding deference from all who employ technical analysis. In short, you\u2019re far better off betting with the trend than against it. 7 Undervalued Stocks to Buy Before Wall Street Catches On That said, here are three struggling stocks that are poised for lower prices. PayPal (NASDAQ:PYPL) Snapchat (NYSE:SNAP) Adobe (NASDAQ:ADBE) Let\u2019s review each chart in greater detail and map out a smart options trade you can use to bank on further weakness. Downtrodden Stocks to Sell: PayPal (PYPL) Source: The thinkorswim\u00ae platform from TD Ameritrade Distance from Peak: -43% PayPal could still fall a great distance despite getting cut nearly in half. Going into the 2020 pandemic, PYPL was sitting at $125, another $50 lower from here. Over the past six weeks, the daily downtrend has slowed and formed a sideways trading range. But instead of powering to the top side and building a compelling bullish breakout, it\u2019s knocking heavily on the lower-end. The $177 support shelf has held long enough to where its failure would prove a significant breakdown. If previous support breaks are any indication, we could see a swift move down to $160 if sellers press their bets. Given the higher volatility of the stock, I suggest using a spread trade over buying puts outright. The Trade: Buy the Feb $175/$160 put vertical for $4.75. You\u2019re risking $4.75 to make $10.25 if PYPL stock falls to $160 by expiration. Snap (SNAP) Source: The thinkorswim\u00ae platform from TD Ameritrade Distance from Peak: -56% Snap\u2019s unraveling following last quarter\u2019s earnings report has been deathly. For a single announcement to cause the stock to drop over 50% within a single quarter is horrific and speaks to just how much the Street hated the numbers. Prices are now submerged deep beneath all major moving averages. Once again, it\u2019s tempting to argue SNAP stock is down so much that it can\u2019t go lower. But like PayPal, it was way, way lower before the pandemic. Shareholders are hoping the quarterly report on Feb. 3 saves them. For now, I think the downtrend continues. Prices are down big over the past three days, so if you want to wait for

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: -0.0228

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0228 (i.e., on a bad day with 5% probability, the loss exceeds 2.28%). CVaR(95%) = -0.0315.


XLK: 60-day return history, mean=0.0020, std=0.0089.

Question:
Asset: XLK
Daily returns (past 60 days): mean=0.0020, std=0.0089, min=-0.0392, max=0.0196
Market regime: sideways
Recent filing/news:
[Kaggle 2016-08-15] ["Two Chip Picks to Play iPhone, Galaxy Demand Broadcom and InvenSense both could benefit with the launch of the iPhone 7 and Galaxy Note 7.", "Stock bulls keep making it look easy \u2014 which is getting hard to fathom Critical information ahead of the U.S. market\u2019s open Another week, another slew of record highs splashed across the major indexes. This whole stock market thing ... pretty easy, right? Don\u2019t tell that to hedge funder Crispin Odey, the one-time billionaire who has seen his fortunes gutted.", "Twitter shares trading at 7-month high after report of potential deal with Apple Shares of Twitter Inc. were up 4% Monday, trading at a seven-month high, after a New York Times report that the company has been talking with Apple Inc about putting a Twitter app on Apple TV. The move would add to Twitter's recent partnership with the National Football League. Shares of Apple were up 1%. In the past month to date, shares of Twitter have gained 23% compared to the S&P 500's gain of 1%.", "Apple CEO Tim Cook: \u2018We\u2019re not a tax dodger\u2019 The amount of money stashed abroad by U.S. multinationals doubled between 2008 and 2014 to more than $2 trillion Apple leads the way, but the amount of money stashed overseas by U.S. multinationals has exploded in recent years, doubling into the trillions between 2008 and 2014. For some perspective on the numbers, cost-estimating website HowMuch.net crunched the most recent data and created a telling interactive chart.", "Tiger Global: Sells 18M Shares of Netflix, Continues to Cut Apple Netflix (NFLX) lost a friend today. Tiger Global Management disclosed in a 13F filing today that it no longer owns the tech giant in its portfolio as of June 30 after selling almost 18 million shares during the second quarter. The hedge fund also continued to slash its exposure to Apple (AAPL).", "Twitter shares soar after report of Apple TV talks Beleaguered social stock reaches highest prices since January Shares of Twitter Inc. jumped more than 7% in midday trading Monday, hitting a seven-month high after an unconfirmed report in the New York Times that the company was in talks with Apple Inc. to put its app on Apple TV.", "Twitter\u2019s \u2018Live Streams\u2019 Can Ride TV\u2019s Fleeing Ad Budgets, Says Boenning & Scattergood", "Apple: Despite iPhone Decline, Smartphones to Rise in 2016, says Canalys There are a couple of upbeat tidbits for the beleaguered smartphone market today, in particular, the report of research firm Canalys that phone shipments will rise this year, even though Apple (AAPL) is projected to see its first-ever annual decline in iPhone shipments.Canalys projects shipments this calendar year of 1.4 billion units, a 5% year-over-year increase. Apple is expected by Wall Street to see a 9% decline in unit shipments of the iPhone in the fiscal year ending in September, being seeing its sales lift again in fiscal \u201917 by 5%.Given that outlook, the market get a little lift from a forthcomi

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: -0.0079

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0079 (i.e., on a bad day with 5% probability, the loss exceeds 0.79%). CVaR(95%) = -0.0236.


DOT-USD: 60-day return history, mean=0.0158, std=0.0743.

Question:
Asset: DOT-USD
Daily returns (past 60 days): mean=0.0158, std=0.0743, min=-0.1117, max=0.2810
Market regime: sideways

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

Answer: -0.0900

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0900 (i.e., on a bad day with 5% probability, the loss exceeds 9.00%). CVaR(95%) = -0.0990.


VTI: 60-day return history, mean=0.0008, std=0.0083.

Question:
Asset: VTI
Daily returns (past 60 days): mean=0.0008, std=0.0083, min=-0.0335, max=0.0182
Market regime: sideways
Recent filing/news:
[Kaggle 2016-08-04] ["Top Dogs (And Stocks In The Dog House) - Cramer's Mad Money (8/3/16)", "Tracking William Von Mueffling's Cantillon Capital Management Portfolio - Q2 2016 Update", "Tracking William Von Mueffling's Cantillon Capital Management Portfolio - Q2 2016 Update", "Top Dogs (And Stocks In The Dog House) - Cramer's Mad Money (8/3/16)", "Vipshop Holdings (VIPS) Q2 Earnings: What's in the Cards? Vipshop Holdings LimitedVIPS ) is set to report second-quarter 2016 results on Aug 8, after the market closes . Last quarter, this Chinese online lifestyle product retailer posted a negative surprise of 6.67%. In the last four quarters, the company missed estimates in two, posted in-line results in one and topped expectations in one with an average positive surprise 1.86%. Let's see how things are shaping up for this announcement. VIPSHOP HOLDNGS Price and EPS Surprise VIPSHOP HOLDNGS Price and EPS Surprise | VIPSHOP HOLDNGS Quote Factors at Play Vipshop Holdings ramped up its marketing efforts and started offering substantial discounts in 2015. This helped the company expand and target new users across a wide age group. We expect the trend to continue in the to-be-reported quarter, thereby boosting the company's top line. Moreover, the company enhanced its logistics to improve customers' shopping experience. It also expanded the product assortment at its stores during the first half of 2016, which should aid top-line growth in the to-be-reported quarter. The financing program for customers launched during the first quarter is expected to boost customer spending. This should help the company increase consumer loyalty and enhance the overall consumer experience, while boosting the average spend per customer. Such an initiative is expected to increase the company's market share as well as boost revenues in the second quarter. However, the discounts offered by the company are expected to adversely impact margins. Further, the ongoing macroeconomic slowdown in China and increasing competition in the retail space are headwinds. Earnings Whispers Our proven model does not conclusively show that Vipshop Holdings will beat earnings this quarter. That is because a stock needs to have both a positive Earnings ESP and a Zacks Rank #1 (Strong Buy), 2 (Buy) or 3 (Hold) for this to happen. That is not the case here as you will see below. Zacks ESP : Both the Most Accurate estimate and the Zacks Consensus Estimate stand at 14 cents per share. Hence, the difference is 0.00%. Zacks Rank : Vipshop Holdings carries a Zacks Rank #4 (Sell). We caution against stocks with a Zacks Rank #4 or 5 (Sell-rated stocks) going into the earnings announcement, especially when the company is seeing negative estimate revisions momentum. Stocks to Consider Here are some computer and technology stocks with a positive Earnings ESP and a favorable Zacks Rank: Analog Devices ADI with an Earnings ESP of +2.63% and a Zacks Rank #2. Digital Turbine APPS with an Earnings ESP of +12.50% and a Zacks Rank #3. Di

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: -0.0092

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0092 (i.e., on a bad day with 5% probability, the loss exceeds 0.92%). CVaR(95%) = -0.0213.


SOYB: 60-day return history, mean=0.0022, std=0.0083.

Question:
Asset: SOYB
Daily returns (past 60 days): mean=0.0022, std=0.0083, min=-0.0210, max=0.0272
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: -0.0114

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0114 (i.e., on a bad day with 5% probability, the loss exceeds 1.14%). CVaR(95%) = -0.0154.


PPLT: 60-day return history, mean=0.0011, std=0.0151.

Question:
Asset: PPLT
Daily returns (past 60 days): mean=0.0011, std=0.0151, min=-0.0436, max=0.0399
Market regime: sideways

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

Answer: -0.0247

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0247 (i.e., on a bad day with 5% probability, the loss exceeds 2.47%). CVaR(95%) = -0.0342.


QQQ: 60-day return history, mean=0.0002, std=0.0078.

Question:
Asset: QQQ
Daily returns (past 60 days): mean=0.0002, std=0.0078, min=-0.0174, max=0.0235
Market regime: sideways
Recent filing/news:
[Kaggle 2017-01-03] ["Seven highly valued tech startups that could IPO in 2017 Unicorns like Snap and Spotify are expected to reach Wall Street in 2017, but what about Uber, Lyft, Airbnb, Dropbox and Palantir? After a dismal year for IPOs, investors expects to see more billion dollar startups test the public market or at least make moves in that direction.", "Go after these long-term stock plays in 2017 \u2014 don\u2019t chase what already happened Critical information for the U.S. trading day The new year has kicked off with what looks like a bright start for stocks, but investors should check their desire to chase the market at the door. Our call of the day offers these ideas for investing in some themes that will deliver.", "Intel seeks German digital-map venture stake BERLIN-- Intel Corp. is positioning itself to join BMW AG, Daimler AG and Volkswagen AG's Audi unit in developing navigation technology for self-driving cars. The U.S. tech bellwether filed a request for regulatory approval in Germany to make a strategic acquisition of a minority stake in the digital-mapping service Here International B.V., the Berlin-based company that Germany's big-three car makers bought from Nokia in 2015 for about EUR2.5 billion ($2.6 billion).", "CES 2017: Can Virtual Reality Finally Go Mainstream? For VR, 2016 was supposed to be the year when everything came together. But VR headsets remain bulky, expensive, and nausea inducing. What to expect in 2017.", "Virtual Reality Fertile Ground for Loup Ventures Despite Failures Thus Far A couple weeks ago I spoke by phone with former analyst , who left the firm after many years being a star analyst on (AAPL) to become a venture capitalist, along with colleagues and .Their firm, , will invest in four areas, , , , and , which they sees as among the most promising tech trends of the next several years. They want to combin investment with dissemination of research notes like they have done as sell-side analysts.More info is available on their Web site.I was interested to talk with the trio because my own experience with virtual reality, related in this space, is that it's at best immature as a consumer product, and at worst, it just plain sucks.", "As India Investment Slumps, Will GDP Follow? Announcements about new investments in India declined in the quarter ending December 30, continuing a stubborn quarterly trend.Add demonetization to the mix, and one has to ask if expectations for India's economy are too elevated. Read More>>", "Intel buys 15% stake in German digital-map co. Intel Corp. is acquiring a 15% stake in Here International B.V. for an undisclosed sum, joining the digital mapmaker's core shareholders BMW AG, Daimler AG and Volkswagen AG's Audi unit in developing navigation technology for self-driving cars.", "Apple\u2019s Key Risk: Nokia Litigation The beginning of the year will likely be quiet in terms of legal outcomes, but the second half could bring volatility.", "Meet the world\u2019s friendliest home robot Kuri, deve

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: -0.0123

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%) = -0.0160.


XLY: 60-day return history, mean=-0.0003, std=0.0064.

Question:
Asset: XLY
Daily returns (past 60 days): mean=-0.0003, std=0.0064, min=-0.0244, max=0.0139
Market regime: sideways
Recent filing/news:
[Kaggle 2016-10-07] What's Next for Alnylam Pharmaceuticals, Inc. After Its Phase 3 Failure? Image source: Getty Images. Another once-promising drug has failed. Alnylam Pharmaceuticals (NASDAQ: ALNY) announced on Oct. 5 that it was discontinuing development of revusiran in treating hereditary ATTR amyloidosis with cardiomyopathy (hATTR-CM). The drug had been in a late-stage study and mid-stage study. The company said that its independent committee monitoring the late-stage study recommended that the benefits of the drug didn't outweigh the risks after several patients died and other patients experienced worsening nerve damage in the phase 2 study. The market reacted immediately to the bad news. Alnylam's stock plunged more than 46% in early trading the morning after the announcement. What's next for the biotech after this huge setback? What could have been Analysts had been projecting that revusiran could reach peak annual sales of more than $1 billion. Alnylam wouldn't have received all of the revenue had things gone better, though; the company licensed the rights for the drug outside of North America and Western Europe to Sanofi . Still, Alnylam would have potentially raked in hundreds of millions of dollars per year if revusiran had been successful. All of this theoretical revenue has now gone up in smoke. The market sell-off after Alnylam's announcement wiped out around $3 billion of the biotech's market cap. That doesn't seem overblown considering the peak sales projections for revusiran. Alnylam CEO John Maraganore said that the company would continue to analyze the data from the late-stage study to try to determine the potential cause for the safety issues. However, the bottom line is that the game is over for revusiran -- and Alnylam must deal with the financial repercussions. Next in line Probably the biggest question on investors' minds was: How does this affect Alnylam's other hereditary ATTR amyloidosis drug, patisiran? The company stated that the decision to discontinue development for revusiran won't change anything for plans related to patisiran, which is in a late-stage study for the treatment of hereditary ATTR amyloidosis with polyneuropathy (hATTR-PN). Both revusiran and patisiran use RNA interference, a revolutionary method of turning genes off and on. Through RNA interference, the drugs attempt to silence specific messenger RNA and prevent proteins that cause hATTR from being made. While the two drugs use the same underlying approach, there are key differences in how they are administered and accomplish RNA interference in the liver. Alnylam conducted a review of the safety data for patisiran and found no evidence of drug-related nerve dysfunction. That's at least a sliver of good news for the biotech. Analysts estimate that patisiran could achieve peak annual sales of over $750 million. As with revusiran, though, Alnylam must split any revenue with Sanofi. The French drugmaker has commercialization rights for patisiran outside of North America

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: -0.0113

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0113 (i.e., on a bad day with 5% probability, the loss exceeds 1.13%). CVaR(95%) = -0.0179.


SCHP: 60-day return history, mean=0.0001, std=0.0019.

Question:
Asset: SCHP
Daily returns (past 60 days): mean=0.0001, std=0.0019, min=-0.0047, max=0.0042
Market regime: sideways

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

Answer: -0.0031

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0031 (i.e., on a bad day with 5% probability, the loss exceeds 0.31%). CVaR(95%) = -0.0036.


EEM: 60-day return history, mean=0.0001, std=0.0092.

Question:
Asset: EEM
Daily returns (past 60 days): mean=0.0001, std=0.0092, min=-0.0176, max=0.0207
Market regime: sideways
Recent filing/news:
[Kaggle 2015-06-19] ["Maxim Integrated, others named as potential Texas Instruments target", "Maxim Integrated, others named as potential Texas Instruments target", "Analog Devices Inc. Reportedly Wins a Design Inside the Next Apple Inc. iPhone According to Barron's , Citigroup analyst Chris Danely said chipmaker Analog Devices has \"likely won a slot in Apple 's next iPhone.\" This win could positively impact Analog Devices' revenue and profit in 2016, according to the report. Let's take a closer look at what Danely had to say. What's this design win worth? Danely said this win could be worth $160 million in revenue to Analog Devices in 2016, adding about 4% to the company's expected top line for the year. The analyst estimated the deal's operating margin at 23.5%, lower than the 32.4% company-wide operating profit margin he expects for the full year. To explain his relatively low margin expectation for the deal, Danely said margins from \"high volume consumer products and large customers such as Apple\" are generally lower than \"high-performance analog products for industrial applications.\" At any rate, the deal is still expected to be accretive to both revenue and earnings. Concordant with that view, Danely raised his 2016 earnings-per-share estimate for Analog by about 2.7%, from $2.98 to $3.06. A \"low-quality\" win? Danely noted that although the iPhone win should \"boost revenue and [earnings per share] in a meaningful and material way\" for Analog, that Citi has \"a lot of concern on the long-term quality\" of this new revenue. \"Apple is notorious for giving and taking away large design wins,\" Danely wrote in his research note. He added that Analog Devices has previously had \"large design wins\" with Apple that \"ended abruptly.\" Those design-outs eventually led to \"downside to Consensus estimates and the stock selling off,\" he noted. This isn't the first time we've heard of this win, though Analog Devices is up \"just\" 1.44% following the publication of this research note as of this writing. The Nasdaq index is up 1.35% and the iShares PHLX Semiconductor ETF is up 1.5%, meaning Analog Devices shares aren't outperforming the relevant indices due to this news. This is likely because the Apple win for future iPhones -- and possibly also iPads -- was already reported by analysts at Barclays (via MarketWatch) back in March. Analog Devices shares rallied by about 10% following that initial report. Additionally, at that time the Barclays analyst claimed that the wins at Apple for \"high accuracy\" analog-to-digital converters inside next-generation iPhones and iPads to enable Force Touch would add \"at least\" $0.80 to the company's 2016 earnings per share. It's not surprising, then, that a separate confirmation of news that is already \"known\" wouldn't move the stock much, if at all. Investment takeaway It seems as though Analog Devices has won a spot inside the next-generation iPhone. I'd argue that winning this spot is good, although the company will

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

Answer: -0.0153

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0153 (i.e., on a bad day with 5% probability, the loss exceeds 1.53%). CVaR(95%) = -0.0163.


XLB: 60-day return history, mean=0.0037, std=0.0131.

Question:
Asset: XLB
Daily returns (past 60 days): mean=0.0037, std=0.0131, min=-0.0337, max=0.0270
Market regime: sideways
Recent filing/news:
[Kaggle 2020-08-18] ["How Companies Are Working To Reduce The Size of Their Carbon Footprint \u201cScientific evidence for warming of the climate system is unequivocal.\u201d ~ Intergovernmental Panel on Climate Change The Earth\u2019s natural greenhouse continues to change. Over the years, the concentration of greenhouse gases (GHG) in the atmosphere has increased, resulting in catastrophic changes in the climate. July 2019 was the warmest month in recorded history for the globe. The GHG emissions are traced in the form of a carbon footprint, which is the total amount of GHG generated by human activities. Here\u2019s a look at how these GHG emissions are at the country level and how are corporates are committing to lower their carbon footprint. At the country level, China is the largest contributor to CO2 emissions with 28% (10.06GT) followed by the U.S. at 15% (5.41GT), India at 7% (2.65GT), and Russia at 5% (1.71GT). However, in terms of per capita emissions, Saudi Arabia is the largest emitter with 18.48T of per capital emissions, followed by Kazakhstan, Australia, the U.S., Canada, and South Korea at 17.6T, 16.92T, 16.56T, 15.32T, and 12.89T, respectively. According to the U.S. Energy Information Administration, the burning of fossil fuels was responsible for 76% of U.S. greenhouse gas emissions. Fossil fuels were the source of about 75% of total U.S. anthropogenic greenhouse gas emissions in 2018. One landmark environmental accord towards cutting emissions was the Paris Agreement signed by nearly every nation to address climate change and its negative impacts. The deal aims to substantially reduce global greenhouse gas emissions and includes commitments from all major emitting countries to cut their climate-altering pollution. As climate change and sustainability take center stage, many companies have set emission reduction targets for the next five, ten, twenty, and thirty years. For the last ten years, Microsoft (MSFT) has made significant investments to reduce its historic carbon footprint. In January 2020, they announced their goal to be carbon negative by 2030, and ultimately remove its carbon footprint (has emitted either directly or by electrical consumption) since it was founded in 1975 by 2050. BMW has been making efforts to reduce CO2 emissions and ensure sustainability over the years. The company has recently set new targets for the phase up to 2030. It includes the first-ever CO2 goals for full lifecycle up to 2030 and lowering of carbon emissions from production and sites by 80% per vehicle. In July 2020, Apple (AAPL) unveiled its plan to become carbon neutral across its entire business, which will ensure that every Apple device sold by 2030 will have a net zero climate impact. Apple has set a target to reduce emissions by 75% by 2030 while developing innovative carbon removal solutions for the remaining 25% of its footprint. In June, Cisco (CSCO) signed its first long-term wind energy power purchase agreement (PPA) as a part of its overall strate

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: -0.0197

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0197 (i.e., on a bad day with 5% probability, the loss exceeds 1.97%). CVaR(95%) = -0.0285.


TLT: 60-day return history, mean=-0.0003, std=0.0080.

Question:
Asset: TLT
Daily returns (past 60 days): mean=-0.0003, std=0.0080, min=-0.0226, max=0.0171
Market regime: sideways

Using the historical simulation method, compute the 1-day VaR at 95% confidence level for TLT. 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%) = -0.0183.


VNQI: 60-day return history, mean=-0.0001, std=0.0077.

Question:
Asset: VNQI
Daily returns (past 60 days): mean=-0.0001, std=0.0077, min=-0.0246, max=0.0169
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: -0.0123

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%) = -0.0167.


SCHH: 60-day return history, mean=-0.0007, std=0.0124.

Question:
Asset: SCHH
Daily returns (past 60 days): mean=-0.0007, std=0.0124, min=-0.0302, max=0.0263
Market regime: sideways

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

Answer: -0.0198

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0198 (i.e., on a bad day with 5% probability, the loss exceeds 1.98%). CVaR(95%) = -0.0268.


QUAL: 60-day return history, mean=0.0003, std=0.0083.

Question:
Asset: QUAL
Daily returns (past 60 days): mean=0.0003, std=0.0083, min=-0.0339, max=0.0164
Market regime: sideways
Recent filing/news:
[Kaggle 2016-07-15] ["Apple Supplier Largan Precision Soars 8% On Profit Beat, Dual-Cam Outlook Apple (AAPL) lens supplier Largan Precision (3008.Taiwan) has no plans to stop outperforming.Largan Precision already rallied 37% this year on expectation that Apple will adopt dual cameras for its high-end iPhone 7 models this fall. This morning, Largan jumped another 8.5% as its second-quarter profit beat analysts' forecasts and its management painted a sunny outlook on its sales in the second-half.READ MORE.", "Big Pharma Q2 Earnings Preview Johnson & Johnson will report on July 19 with Lilly, Bristol-Myers, Merck and AbbVie to follow.", "Samsung vs LG: There\u2019s Only One Stock to Buy Analysts see 20% upside for Samsung on demand for the Galaxy Note 7, while LG shares may fall 20%.", "Tech industry bashes Donald Trump in open letter Letter signed by Qualcomm, Box, Yelp CEOs, and dozens more The technology industry said it opposes Donald Trump because of its immigration policies.", "BMO Says Qualcomm Can Fall To $50 On Negative Catalysts Qualcomm (QCOM) is up nearly 10% so far in 2016, but BMO Capital Markets doesn\u2019t expect the rally to last.Analyst Tim Long cut his rating on the stock from Market Perform to Underperform, with a $50 target price. He writes that although the company\u2019s dividend and cash flow yields are providing support at the moment for the stock, he\u2019s concerned about negative catalysts on the horizon.", "Raymond James Up Jabil To Strong Buy, Inflection Points Overshadowed Jabil Circuit (JBL) is climbing Friday, thanks to a bullish endorsement from Raymond James.Analyst Brian Alexander raised his rating on the stock to Strong Buy from Outperform, with a $26 price target. He writes that there is \u201cmeaningful\u201d cash flow and capital return inflection at the firm, but that the market hasn\u2019t taken notice because it\u2019s focused on volatility with its top customer\u2014Apple (AAPL), which accounts for nearly a quarter of sales\u2014that\u2019s been driving subpar earnings. However, Alexander writes that with fundamentals hitting a trough, sentiment should improve going into the company\u2019s analyst day in September, where investors could be heartened by messages about diversification and discipline.", "Barclays Trims Apple Target, Calls Smartphone Demand \u2018Tenuous\u2019 Barclays\u2019 Mark Moskowitz cut his estimates for Apple (AAPL) again Friday, the third cut ahead of the company\u2019s earnings report later this month.He\u2019s still an Apple bull, reiterating an Overweight rating on the stock, but he lowered his price target from $121 to $115, a process he calls \u201ctedious\u201d but necessary, as it\u2019s larger than his previous cuts. Nonetheless he writes that Apple can still work after any post-earnings weakness, given the iPhone 7 launch is expected this fall. Still, he expects 2017 to be Apple\u2019s big year, when it skips to the iPhone 8 to reveal major changes, so volatility for the rest of this year coul

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: -0.0095

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0095 (i.e., on a bad day with 5% probability, the loss exceeds 0.95%). CVaR(95%) = -0.0200.


LINK-USD: 60-day return history, mean=-0.0017, std=0.0800.

Question:
Asset: LINK-USD
Daily returns (past 60 days): mean=-0.0017, std=0.0800, min=-0.1934, max=0.1577
Market regime: sideways

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

Answer: -0.1322

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.1322 (i.e., on a bad day with 5% probability, the loss exceeds 13.22%). CVaR(95%) = -0.1661.


IWM: 60-day return history, mean=-0.0009, std=0.0174.

Question:
Asset: IWM
Daily returns (past 60 days): mean=-0.0009, std=0.0174, min=-0.0371, max=0.0349
Market regime: sideways
Recent filing/news:
[Kaggle 2022-10-27] ["Apple (AAPL) Q4 2022 Earnings Call Transcript Image source: The Motley Fool. Apple (NASDAQ: AAPL) Q4 2022 Earnings Call Oct 27, 2022, 5:00 p.m. ET Contents: Prepared Remarks Questions and Answers Call Participants Prepared Remarks: Operator Good day, and welcome to the Apple Q4 fiscal year 2022earnings conference call For your information, today's call is being recorded. At this time, for opening remarks and introductions, I would like to turn the call over to Tejas Gala, director of investor relations and corporate finance. Please go ahead. Tejas Gala -- Director of Investor Relations and Corporate Finance Speaking first today is Apple's CEO, Tim Cook; and he'll be followed by CFO, Luca Maestri. After that, we'll open the call to questions from analysts. Before turning the call over to Tim, I would like to remind you that approximately once every six years, we add a week to the December quarter to realign our fiscal periods with the December calendar. So this December quarter will span 14 weeks rather than the usual 13 and will end on December 31. Please note that some of the information you'll hear during our discussion today will consist of forward-looking statements, including, without limitation, those regarding revenue, gross margin, operating expense, other income and expense, taxes, capital allocation, and future business outlook, including the potential impact of COVID-19 on the company's business and results of operations. These statements involve risks and uncertainties that may cause actual results or trends to differ materially from our forecast. For more information, please refer to the risk factors discussed in Apple's most recently filed annual report on Form 10-K and the Form 8-K filed with the SEC today, along with the associated press release. Apple assumes no obligation to update any forward-looking statements or information, which speak as of their respective dates. 10 stocks we like better than Apple When our award-winning analyst team has 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.* They just revealed what they believe are the ten best stocks for investors to buy right now... and Apple 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 September 30, 2022 I'd now like to turn the call over to Tim for introductory remarks. Tim Cook -- Chief Executive Officer Thank you, Tejas. Good afternoon, everyone, and thank you for joining the call today. Over the past year, despite a range of challenges facing the world, our teams have come together in incredible ways to drive unparalleled innovation and deliver again and again for our customers.For the September quarter, we reported record revenue of $90.1 billion, which was better than we anticipated despite stronger-than-expected foreign currency headwinds. We set an all-time revenue record for Mac and S

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: -0.0273

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0273 (i.e., on a bad day with 5% probability, the loss exceeds 2.73%). CVaR(95%) = -0.0334.


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

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

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

Answer: -0.0002

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


STIP: 60-day return history, mean=0.0003, std=0.0013.

Question:
Asset: STIP
Daily returns (past 60 days): mean=0.0003, std=0.0013, min=-0.0039, max=0.0031
Market regime: sideways

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

Answer: -0.0015

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0015 (i.e., on a bad day with 5% probability, the loss exceeds 0.15%). CVaR(95%) = -0.0032.


^VIX: 60-day return history, mean=-0.0005, std=0.0503.

Question:
Asset: ^VIX
Daily returns (past 60 days): mean=-0.0005, std=0.0503, min=-0.1424, max=0.1248
Market regime: sideways
Recent filing/news:
[Kaggle 2017-11-30] ["High-flying tech stocks fall back toward earth, chip makers suffer worst day of year Tech stocks lead S&P 500 to a loss despite gains for nine of 11 sectors Tech stocks, admittedly the best performers of the year, took a big step back Wednesday to close sharply lower, led by a selloff of chip makers.", "Apple's stock gains as analyst sees 'super-long cycle' of iPhone X upgrades Apple Inc. shares rose 0.5% in premarket trading Thursday, after an analyst suggested that the latest iPhone technology will drive a multi-year wave of device upgrades. Piper Jaffray analyst Michael Olson wrote Thursday that Apple could come out with slightly enhanced version of the iPhone X next fall, including a larger-screen option, and cut the price of the original model that was released in early November. The combination of these factors could drive a \"super-long cycle\" of upgrades, beyond the single-year \"super-cycle\" investors were hoping for. \"We believe an elongated iPhone cycle in FY18, followed by a wider array of iPhone X 'offspring' in Fall 2018, along with growing awareness and interest in augmented reality (fueled by developers populating the App Store with new use cases and, longer-term, addition of rear facing 3D sensor), will all push out the need for Apple to answer the question of 'what's next?'\" Olson wrote. With overall global smartphone sales expanding slowly, Apple has been under some pressure to find new avenues for growth. Apple's stock is up 46% so far in 2017, compared with a 21% rise for the Dow Jones Industrial Average .", "Apple\u2019s Delayed \u2018Super-Long Cycle\u2019 Will Be All the Better, Says Piper Apple's \"super cycle,\" the focus of investors for most of this year, hasn't quite lived up to the hype, thanks to delays in the iPhone X. But that's going to lead to a \"super-long cycle\" in subsequent years, according to Piper Jaffray's Michael Olson, who advises clients to stick with the stock as Apple's OLED-based iPhones lead to rising prices.", "Fitbit, Xiaomi knock Apple down to 3rd in wearables shipments Fitbit Inc. and China-based Xiaomi Inc. led the pack in terms of wearables shipments for the latest quarter, according to research firm IDC, knocking Apple Inc. down to third place from second. Both Fitbit and Xiaomi shipped 3.6 million devices in the quarter, IDC said, while overall shipments rose 7.3%, to 26.3 million units. Fitbit released its first full-fledged smartwatch, the Ionic, earlier this fall, and hopes the device will reinvigorate its fortunes as consumers gravitate away from simple fitness tracking bands. Fitbit's shares have lost two thirds of their value since the company's 2015 IPO, and its shipments for the third quarter declined 33% relative to a year earlier, according to IDC. The firm wrote that Apple's shipments of 2.7 million devices reflect the fact that the company launched its new cellular-enabled Apple Watch 3 late in the quarter. \"The introduction of a cellular-connected version should spur i

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: -0.0913

Explanation: Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0913 (i.e., on a bad day with 5% probability, the loss exceeds 9.13%). CVaR(95%) = -0.1248.