LINK-USD: 60-day history, VaR(99%)=-0.1547, max drawdown threshold=10%.

Question:
Asset: LINK-USD
Daily returns (past 60 days): mean=0.0175, std=0.0800, worst_day=-0.1567
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 0.6463

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1547 (i.e., a 15.47% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1547 = 0.6463, capped at 1.0.
Maximum position size = 0.6463 (64.6% of portfolio).


XRP-USD: 60-day history, VaR(99%)=-0.0773, max drawdown threshold=10%.

Question:
Asset: XRP-USD
Daily returns (past 60 days): mean=0.0011, std=0.0344, worst_day=-0.1135
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0773 (i.e., a 7.73% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0773 = 1.2945, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLY: 60-day history, VaR(99%)=-0.0388, max drawdown threshold=10%.

Question:
Asset: XLY
Daily returns (past 60 days): mean=0.0025, std=0.0219, worst_day=-0.0388
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-08-08] ["US STOCKS-Wall St set for higher open after selloff on jobs data By Bansari Mayur Kamdar and Aniruddha Ghosh Aug 8 (Reuters) - U.S. stock indexes were set to open higher on Monday after last week's blockbuster jobs data soothed some fears about an economic slowdown, but investors remained cautious as it also added to expectations of a hawkish Federal Reserve. The focus this week will be on consumer prices data on Wednesday. The S&P 500 has bounced back 13% from its mid-June lows, but investors fear that signs of persistent inflation this week could further bolster the Fed's case for aggressive monetary policy tightening. \"While it's clear the Fed needs to continue tightening policy, there are still about six weeks until the next meeting and we remind investors that economic data can change very quickly,\" said Robert Schein, chief investment officer, Blanke Schein Wealth Management. \"The CPI data will help to confirm if the Fed's tightening efforts have been successful in starting to tame inflation or if continued Fed tightening is needed.\" U.S. rate futures have priced in a 68.5% chance of a 75-basis-point hike at the Fed's September meeting, up from about 41% before payrolls data on Friday beat market expectations. IRPR Banks that tend to benefit from a higher interest rate environment extended their gains in trading before the bell. Megacap growth and technology stocks edged higher, with Tesla TSLA.O up 2.3%. The U.S. electric-car maker signed contracts worth about $5 billion to buy materials for their batteries from nickel processing companies in Indonesia, according to a CNBC report. Other high-growth stocks such as Apple Inc AAPL.O and Amazon.com Inc AMZN.O gained as U.S. Treasury yields pulled back from sharp highs in the previous session. The benchmark 10-year yield declined 1.6% in early trading. Meanwhile, the U.S. Senate on Sunday passed a sweeping $430 billion bill intended to fight climate change, lower drug prices and raise some corporate taxes. \"All in all, it's a net positive. Biotech and pharma should rebound after some uncertainty because it (the bill) is less onerous than initially anticipated as it relates to negotiating drug prices,\" said Thomas Hayes, managing member, Great Hill Capital LLC, New York. Hayes added that a lot of companies might accelerate their stock buybacks as they now have incentive to aggressively initiate buybacks before the 1% tax kicks in, helping the equity markets overall. Nvidia Corp NVDA.O fell 7% on saying it expects second-quarter revenue of about $6.70 billion, down 19% from the prior quarter, largely hurt by weakness in its gaming business. Signify Health Inc SGFY.N jumped 15.1% on a media report that CVS Health Corp CVS.N was looking to buy the health technology company. Global Blood Therapeutics climbed 4.6% on Pfizer's PFE.N $5.4 billion deal for the blood disorder drugmaker. At 08:50 a.m. ET, Dow e-minis 1YMcv1 were up 164 points, or 0.50%, S&P 500 e-minis EScv1 were up 25.75 points,

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0388 (i.e., a 3.88% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0388 = 2.5763, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


USMV: 60-day history, VaR(99%)=-0.0168, max drawdown threshold=10%.

Question:
Asset: USMV
Daily returns (past 60 days): mean=0.0006, std=0.0083, worst_day=-0.0203
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2015-12-18] Adobe (ADBE) Attains a New 52-Week High on Solid Earnings Shares of Adobe Systems Inc.ADBE attained a new 52-week high of $96.42 on Dec 17, eventually closing at $94.20. The company returned 26.5% in the past one year and approximately 29.6% year-to-date. Average volume of shares traded over the last three months was roughly 3,453K. What is Driving Adobe Systems? One of the largest software companies in the world, Adobe Systems' massive customer base provides it with a distinct competitive edge. We believe that the company is being driven by continuous innovation in the Creative Cloud and Marketing Cloud businesses. The price appreciation may be attributed to Adobe's strong fundamentals, solid adoption of creative cloud and better-than-expected fourth-quarter fiscal 2015 results reported on Dec 10. Since then, the stock has gained 5.9%. In the fourth quarter, Adobe reported earnings of 47 cents per share, surpassing the Zacks Consensus Estimate of 45 cents. The growth was backed by strong adoption of creative cloud that led to a record sequential Creative Cloud ARR (Annualized Recurring Revenue) growth and strong revenues in the Creative product family. Adobe's revenues jumped 9.4% sequentially and 23.2% year over year to $1.31 billion. Revenues were at the higher end of the guidance range and in line with our expectations. We believe that the company will continue to be driven by innovation in its Creative suite businesses. In addition, the consistent adoption of the Adobe marketing cloud could serve as a potential catalyst, going forward. We expect significant synergies over the long term from the integration of Fotolia. Moreover, the solid adoption of Document Cloud, a new subscription package that enables users to sign documents on the cloud, will boost revenues. Additionally, Adobe Systems delivered an average positive earnings surprise of nearly 6.39% over the trailing four quarters. The company's solid market position, compelling product lines (including CS cloud initiative and digital media products), strong revenue growth, continued innovation and strong long-term growth potential position it favorably. Adobe Systems currently has a Zacks Rank #3 (Hold). Stocks to Consider Some well-ranked stocks in the same space are Citrix Systems, Inc. CTXS , Datawatch Corporation DWCH and Fleetmatics Group PLC FLTX , all sporting a Zacks Rank #1 (Strong Buy). Want the latest recommendations from Zacks Investment Research? Today, you can download 7 Best Stocks for the Next 30 Days . Click to get this free report >> Want the latest recommendations from Zacks Investment Research? Today, you can download 7 Best Stocks for the Next 30 Days. Click to get this free report CITRIX SYS INC (CTXS): Free Stock Analysis Report ADOBE SYSTEMS (ADBE): Free Stock Analysis Report FLEETMATICS GRP (FLTX): Free Stock Analysis Report DATAWATCH CORP (DWCH): Free Stock Analysis Report To read this article on Zacks.com click here. Zacks Investment Research The views and opin

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0168 (i.e., a 1.68% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0168 = 5.9466, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


HYG: 60-day history, VaR(99%)=-0.0051, max drawdown threshold=10%.

Question:
Asset: HYG
Daily returns (past 60 days): mean=0.0003, std=0.0022, worst_day=-0.0059
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0051 (i.e., a 0.51% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0051 = 19.5016, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


QQQ: 60-day history, VaR(99%)=-0.0123, max drawdown threshold=10%.

Question:
Asset: QQQ
Daily returns (past 60 days): mean=0.0022, std=0.0064, worst_day=-0.0151
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2019-12-30] Is North America Contribution To Amazon's Total Revenue 60%, 70%, Or 80%? Amazon‘s (NASDAQ:AMZN) North America business, consisting primarily of retail sales in the region, is expected to contribute $177.6 billion to Amazon’s 2019 revenues, making up 61.2% of Amazon’s $290.4 billion in expected revenues for 2019. The North America segment contribution is more than twice that from International business. Amazon is expected to add $154 billion in revenue between 2016 to 2019, out of which the North America segment is expected to provide $97 billion, that is 63% of the total expected increase. This North America revenue growth has been key to Amazon’s 160% price appreciation since 2016, further helped by increasing margins. We discuss Amazon’s valuation analysis in full, separately. Below we discuss Amazon’s business model, followed by sections that review past performance and 2019 expectations for Amazon’s revenue drivers and competitive comparisons of its Retail revenue with Walmart and Target. You can look at our interactive dashboard analysis ~ Amazon’s Revenues: How Does Amazon Make Money? ~ for more details. Amazon Business Model: What does Amazon offer: Amazon.com, Inc. was incorporated in 1994 in the state of Washington. The company is one of the largest online retailers, and also dabbles in a broad range of businesses including its core e-commerce operations, cloud services, digital advertising, groceries, and prescription drugs. They also sell products such as the Alexa personal assistant and ecosystem, and also gives access to content through subscription on its Amazon Prime platform. Has 3 major Operating Segments: North America: The North America segment primarily consists of amounts earned from retail sales of consumer products (including from sellers) and subscriptions through North America-focused online and physical stores. This segment includes export sales from these online stores. International: The International segment primarily consists of amounts earned from retail sales of consumer products (including from sellers) and subscriptions through internationally-focused online stores. This segment includes export sales from these internationally-focused online stores (including export sales from these online stores to customers in the U.S., Mexico, and Canada), but excludes export sales from the North America-focused online stores. AWS: The AWS segment consists of amounts earned from global sales of computing, storage, database, and other service offerings for start-ups, enterprises, government agencies, and academic institutions. What Are The Alternatives? Major competitors are Walmart, eBay, Alibaba, Google, Facebook, and Apple. What Is The Basis of Competition? The principal competitive factors in the retail businesses include selection, price, and convenience, including fast and reliable fulfillment. Additional competitive factors for the seller and enterprise services include the quality, speed, and reliability of their servi

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0123 (i.e., a 1.23% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0123 = 8.1560, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


ETH-USD: 60-day history, VaR(99%)=-0.1059, max drawdown threshold=10%.

Question:
Asset: ETH-USD
Daily returns (past 60 days): mean=0.0112, std=0.0501, worst_day=-0.1262
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 0.9447

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1059 (i.e., a 10.59% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1059 = 0.9447, capped at 1.0.
Maximum position size = 0.9447 (94.5% of portfolio).


ACWI: 60-day history, VaR(99%)=-0.0309, max drawdown threshold=10%.

Question:
Asset: ACWI
Daily returns (past 60 days): mean=-0.0006, std=0.0210, worst_day=-0.0309
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2020-05-20] ["Earnings Scheduled For May 20, 2020", "Analog Devices Q2 Adj. EPS $1.080 Beats $1.040 Estimate, Sales $1.317B Miss $1.330B Estimate", "Recap: Analog Devices Q2 Earnings", "Analog Devices shares are trading higher after the company reported better-than-expected Q2 EPS results.", "Analog Devices shares are trading higher after the company reported better-than-expected Q2 EPS results.", "Recap: Analog Devices Q2 Earnings", "Analog Devices Q2 Adj. EPS $1.080 Beats $1.040 Estimate, Sales $1.317B Miss $1.330B Estimate", "Earnings Scheduled For May 20, 2020", "BUZZ-U.S. STOCKS ON THE MOVE-Atossa, Kornit Digital, Xcel Brands Eikon search string for individual stock moves: STXBZ The Day Ahead newsletter: http://tmsnrt.rs/2ggOmBi The Morning News Call newsletter: http://tmsnrt.rs/2fwPLTh Wall Street's main indexes surged and the Nasdaq hit a three-month high on Wednesday, as investors clung to hopes of a recovery from a coronavirus-fueled slump amid signs of more stimulus for ailing sectors..N At 11:00 ET, the Dow Jones Industrial Average .DJI was up 1.56% at 24,585.21. The S&P 500 .SPX was up 1.80% at 2,975.58 and the Nasdaq Composite .IXIC was up 1.93% at 9,362.654. The top three S&P 500 .PG.INX percentage gainers: ** TechnipFMC PLC , up 8.5% ** Analog Devices Inc , up 7.9% ** Zions Bancorporation NA , up 7.5% The top three S&P 500 .PL.INX percentage losers: ** L Brands Inc , down 5.2% ** Gap Inc , down 3.5% ** Royal Caribbean Cruises Ltd , down 3.2% The top three NYSE .PG.N percentage gainers: ** AeroCentury Corp , up 76.7% ** Cheetah Mobile Inc , up 33.3% ** Carriage Services Inc , up 22.5% The top three NYSE .PL.N percentage losers: ** Pyxus International Inc , down 18.5% ** Aurora Cannabis Inc , down 13.8% ** Direxion Daily Semiconductor Bear 3X Shares , down 10.9 % The top three Nasdaq .PG.O percentage gainers: ** Aurora Cannabis Inc , up 33.7% ** Altimmune Inc , up 31.4% ** Surface Oncology Inc , up 29.7% The top three Nasdaq .PL.O percentage losers: ** Luckin Coffe Inc , down 36.2% ** Cryoprt Inc Warrnats , down 17% ** Shiftpixy Inc , down 17.2% ** Enzo Biochem Inc ENZ.N: up 4.3% BUZZ-Rises on launch of COVID-19 antibody test ** ForeScout Technologies Inc FSCT.O: down 8.5% BUZZ-Slumps after legal action against Advent International ** Kornit Digital Ltd KRNT.O: up 27.7% BUZZ-Set for best day as brokerages lift PT on positive H2 outlook ** Cryoport Inc CYRX.O: down 14.5% BUZZ-Slides on planned $100 mln convertible debt offering ** Atossa Therapeutics Inc ATOS.O: up 33.7% BUZZ-Surges after drug blocks COVID-19 infection in in-vitro testing ** Arconic Corp ARNC.N: up 14.0% BUZZ-CS starts coverage with 'outperform' rating ** Walmart Inc WMT.N: up 0.5% BUZZ-Street View: Walmart a clear retail winner in most challenging of times ** Pyxus International Inc PYX.N: down 18.5% BUZZ-Plunges on report of co seeking financing for possible bankruptcy ** Lowe's Companies Inc LOW.N: up 0.6% BUZZ-Rises as first-quarter results beat ** Baxter International Inc BA

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0309 (i.e., a 3.09% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0309 = 3.2314, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


QQQ: 60-day history, VaR(99%)=-0.0282, max drawdown threshold=10%.

Question:
Asset: QQQ
Daily returns (past 60 days): mean=0.0015, std=0.0097, worst_day=-0.0399
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2016-07-28] ["3M Stock Seen Edging Up to $186 Second-quarter margins expanded by about 50 basis points year-over-year, and should accelerate through the second half.", "An Aerospace Parts Maker That Can Fly 35% Higher Shares of airplane power systems supplier Astronics have lost altitude but could rise significantly.", "Cirrus Logic Surges 13%: Ride That iPhone Headset Plug! Shares of chip maker Cirrus Logic (CRUS), a prominent supplier to Apple (AAPL), are up $5.24, or 13%, at $47.01, after last night easily topping fiscal Q1 expectations and forecasting this quarter\u2019s revenue well ahead of consensus as well.And, indeed, a big part of last night\u2019s conference call with analysts was the company indirectly confirming a \u201cdigital\u201d jack for headsets for the next iPhone, presumably an \"iPhone 7,\u201d which many think will appear in September. All that headphone capability now in a USB or \u201clightning\u201d port, believe analysts, translates directly into higher revenue for Cirrus for each phone sold.The company\u2019s CEO, Jason Rhode, was asked by Needham & Co.\u2019s Rajvindra Gill what he sees as the general increase in using \u201cdigital,\u201d or \u201cUSB\u201d ports for headphones. Said Rhode:Well, like I referred to earlier, we are excited to see there's already models on the market that have switched over to USBC completely, and either ship with -- either ship with or have available accessory USBC headsets or adapters, one or the other, or both. The interesting thing is that as the core chipsets stand today, that's quite a painful thing to do, just the way the USBC stack is handled and routing of audio and uses of voice interface is kind of clumsy in the handsets themselves. So, we see that getting sorted out over the next 6 to 12 months in a way that makes it significantly easier for handset manufacturers to go that route, and so we would anticipate that would gain a lot of momentum over that timeframe. And, like I say, I think we're extremely well-positioned to capitalize on that.", "MasterCard profit, revenue beat expectations MasterCard Inc. said profit and revenue grew in the second quarter as transactions increased at the credit card company. Results topped expectations, and shares climbed 1.8% premarket. Like fellow card company Visa Inc., MasterCard charges fees to financial institutions for transactions that travel over their networks.", "Smartphone market stagnant for second straight quarter The global smartphone market struggled to grow in the second quarter. Vendors shipped 343.3 million smartphones, a 0.3% increase from 342.4 million in the year-earlier period, according to IDC. That was the second straight quarter of stagnant volumes. Samsung Electronics maintained its lead in the market, nabbing a 22.4% global share, versus 21.3% last year. Apple Inc.'s share declined slightly, to 11.8% from 13.9%, while smaller Asian vendors such as Huawei, OPPO and Vivo continued to steal a larger part of the pie. Anthony Scarsel

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0282 (i.e., a 2.82% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0282 = 3.5470, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLRE: 60-day history, VaR(99%)=-0.0375, max drawdown threshold=10%.

Question:
Asset: XLRE
Daily returns (past 60 days): mean=0.0008, std=0.0136, worst_day=-0.0375
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2019-01-10] ["Apple's stock slips 0.7% premarket, after rising 3.6% the past 2 sessions", "The stock market is too damaged for a sustained rally, strategist warns Morgan Stanley\u2019s Wilson: Too much resistance in stock market for a \u2018straight up\u2019 recovery The stock market is in the midst of its longest winning streak in months but at least one Wall Street strategist is not convinced that investors are out of the woods yet.", "Q&A with Cody Willard: Apple, Disney, Adobe and small-cap stocks Stocks are vulnerable to another leg down Stocks are vulnerable to another leg down.", "Many retail investors panicked and sold during last month\u2019s market meltdown (again) Yes, Main Street missed the latest rally, fund industry analyst says Yes, Main Street missed the latest rally, fund industry analyst says.", "Cisco Sees Its Chance as Internet Traffic Builds Cisco Systems used the Consumer Electronics Show as a place to tout its high-speed networks and security tools, products that will be more critical as the volume of data on the internet grows, and the flow speeds up.", "Elon Musk Goes to China at a Vital Time for Tesla and for the U.S. The backdrop of Musk\u2019s visit was hard not to notice: The U.S. and China this week wrapped up the latest round of talks that investors hope will stabilize trade relations.", "The sharpest investors use this simple tool to pick stocks Valuing a public company like a private business gives a more realistic picture of its potential Valuing a public company like a private business gives a more realistic picture of its potential, writes Vitaliy Katsenelson.", "Roaring U.S. jobs market, waning inflation give Fed room to pause on interest rates Consumer price index likely softened again at end of 2018 A gargantuan surge in new jobs in December, a recent lull in inflation and a more cautious Federal Reserve have dispelled fears that the U.S. faces a looming recession.", "High-end cars and other luxury goods join Apple in feeling effect of China\u2019s slowdown Jaguar Land Rover cites China demand as it cuts 4,500 jobs in the U.K. Automobile makers join luxury-goods companies in seeing demand dented as China\u2019s economy slows and Chinese consumers\u2019 mood takes a turn for the worse.", "Lenovo overtakes HP in PC sales as market contracts Overall worldwide PC sales declined for both the fourth quarter and year in 2018, while Lenovo Group Ltd. and Dell Technologies Inc.'s share of the market grew, according to research firm Gartner on Thursday. Global PC sales fell 4.3% to 68.6 million units in the fourth quarter, and 1.3% to 259.4 million in 2018, Gartner said. \"Just when demand in the PC market started seeing positive results, a shortage of CPUs (central processing units) created supply chain issues,\" said Mikako Kitagawa, senior principal analyst at Gartner, in a statement. \"After two quarters of growth in 2Q18 and 3Q18, PC shipments declined in the fourth quarter.\" Market share for Lenovo and Dell grew, however.

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0375 (i.e., a 3.75% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0375 = 2.6646, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XHB: 60-day history, VaR(99%)=-0.0284, max drawdown threshold=10%.

Question:
Asset: XHB
Daily returns (past 60 days): mean=0.0019, std=0.0138, worst_day=-0.0411
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0284 (i.e., a 2.84% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0284 = 3.5263, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


EMB: 60-day history, VaR(99%)=-0.0069, max drawdown threshold=10%.

Question:
Asset: EMB
Daily returns (past 60 days): mean=0.0009, std=0.0038, worst_day=-0.0091
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0069 (i.e., a 0.69% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0069 = 14.4529, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


AVAX-USD: 60-day history, VaR(99%)=-0.1510, max drawdown threshold=10%.

Question:
Asset: AVAX-USD
Daily returns (past 60 days): mean=0.0062, std=0.0799, worst_day=-0.1550
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 0.6623

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1510 (i.e., a 15.10% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1510 = 0.6623, capped at 1.0.
Maximum position size = 0.6623 (66.2% of portfolio).


LINK-USD: 60-day history, VaR(99%)=-0.1547, max drawdown threshold=10%.

Question:
Asset: LINK-USD
Daily returns (past 60 days): mean=0.0179, std=0.0799, worst_day=-0.1567
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 0.6463


ETH-USD: 60-day history, VaR(99%)=-0.1583, max drawdown threshold=10%.

Question:
Asset: ETH-USD
Daily returns (past 60 days): mean=-0.0099, std=0.0438, worst_day=-0.1593
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 0.6319

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1583 (i.e., a 15.83% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1583 = 0.6319, capped at 1.0.
Maximum position size = 0.6319 (63.2% of portfolio).


XLY: 60-day history, VaR(99%)=-0.0360, max drawdown threshold=10%.

Question:
Asset: XLY
Daily returns (past 60 days): mean=-0.0001, std=0.0204, worst_day=-0.0388
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-04-22] ["Smart Speaker Market: 20.87% Y-O-Y Growth Rate in 2021 | By End-user (residential users and commercial users) and Geography | Global Forecast to 2025 The Smart Speaker Market value is set to grow by USD 20.72 billion, progressing at a CAGR of 25.98% from 2020 to 2025, as per the latest report by Technavio.", "AB Klaipedos nafta audited Annual information for the year 2021 AB Klaip\u0117dos nafta, legal code 110648893, registered at Buri\u0173 str. 19, Klaip\u0117da (hereinafter \u2013 the Company), Annual General Meeting of Shareholders held on 22 April 2022 in between the other questions approved the audited consolidated financial statements for the financial year ended 31 December 2021. The Group of AB Klaip\u0117dos nafta (hereinafter \u2013 the Group) revenue for the year 2021 comprises EUR 61.8 million, 22.8% less compared to the year 2020 (EUR 80.1 million). Company\u2018s revenue comprises", "Engadget Podcast: We love the Playdate and BTS dance lessons on Apple Fitness+ This week's gadget news has been surprisingly pleasant, with the Playdate and a Pok\u00e9mon-themed foldable phone making headlines.", "Amazon's Eero Pro mesh routers are up to 25 percent off Amazon is offering steep discounts for Eero Pro mesh routers, including WiFi 6 models.", "iRobot's Roomba 694 drops to $180, plus the rest of the week's best tech deals This week's best tech deals include the Roomba 694 for $180, Apple's latest AirPods for $150 and the 10.2-inch iPad for $309.", "Coinbase CEO says Apple's crypto rules highlight 'potential antitrust issues' Brian Armstrong, the chief executive of Coinbase, believes Apple's App Store rules have hampered the company's product roadmap, accusing the iPhone-maker of banning features from their app and generally not being friendly with the cryptocurrency industry. \"Apple so far has not really played nice with crypto, they've actually banned a bunch of features that we would like to have in the app, but they just won't allow it -- so there's potential antitrust issues there,\" Armstrong said. In the episode of Superteam Podcast, which aired this week, the co-founder of the publicly listed firm discussed Apple's influence and floated the idea that smartphones may soon need to build crypto-specific hardware features.", "Motorola\u2019s endless rehashes will only make it less relevant Despite being having the third largest market share for smartphones in the US, Motorola's recent pattern of releasing too many low-quality handsets is becoming an issue.", "China Matters explores the promise of smart cities in Guiyang Why smart cities? From all perspectives, it ticks all the boxes: innovation, technology and new economy. On a day-to-day basis, it makes our urban environments more liveable, it saves energy, keeps traffic flowing and keeps us safe.", "'Borderlands 3' will finally add PlayStation cross-play support this spring 'Borderlands 3' is finally adding PlayStation cross-play years after Sony shot it down.", "Report reveals B

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0360 (i.e., a 3.60% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0360 = 2.7802, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


IGOV: 60-day history, VaR(99%)=-0.0084, max drawdown threshold=10%.

Question:
Asset: IGOV
Daily returns (past 60 days): mean=0.0008, std=0.0041, worst_day=-0.0096
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0084 (i.e., a 0.84% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0084 = 11.8837, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


MATIC-USD: 60-day history, VaR(99%)=-0.1741, max drawdown threshold=10%.

Question:
Asset: MATIC-USD
Daily returns (past 60 days): mean=0.0005, std=0.0728, worst_day=-0.2144
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 0.5745

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1741 (i.e., a 17.41% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1741 = 0.5745, capped at 1.0.
Maximum position size = 0.5745 (57.5% of portfolio).


^VIX: 60-day history, VaR(99%)=-0.0969, max drawdown threshold=10%.

Question:
Asset: ^VIX
Daily returns (past 60 days): mean=-0.0063, std=0.0583, worst_day=-0.0986
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-08-09] ["Down 47% in a Year, Time to Buy This Growth Stock? With a market cap of $8.3 billion, Cognex Corporation (NASDAQ: CGNX) is not a small-cap company. However, it's still a growth company trying to build out the adoption of technology with explosive growth potential. As the leader in machine vision, Cognex's strategic aim is to grow into a served market (estimated as being worth $4.2 billion in 2018) that management sees as growing at a 12% annual rate. The good news from 2022 is Cognex is achieving many of its strategic aims; the bad news is almost everything seems to be working against the company right now. Here's the lowdown. What a growth company needs If you are going to make up an informal list of objectives for a growth company, it will include the following: Win over some highly prominent and visible customers to demonstrate your technology's efficacy, expand revenue, win follow-up business, and sell to lower-tier players as they follow their industry leaders in adopting machine vision. Ensure you satisfy high-profile customers by investing in a high level of service. Continue establishing your technology in new growth markets. As alluded to earlier, Cognex is doing all three things. The company's three major machine vision markets are automotive, consumer electronics, and logistics/e-commerce. The biggest names in two of those three industries are Apple (named as a significant customer in a previous Cognex SEC filing) and Amazon.com (NASDAQ: AMZN). The latter was not named on Cognex's recentearnings call Still, Cognex's last 10-K filing referred to a large customer in the logistics industry that represented approximately 17% of their total revenue. When an analyst refers to \"the world's largest e-commerce customer,\" it's a reasonable bet that it's Amazon. One clear thing is that Cognex has won some very high-profile customers in the last five years, so you can tick off the first box on the checklist. Servicing customers and establishing new markets The other two boxes can be ticked off as well. Three sources indicate that Cognex is very careful in servicing its customers (an excellent quality in a growing company). First, back in 2014, when Cognex started working on Apple orders (its machine vision solutions help smartphone manufacturers fit screens), management significantly ramped its operating expenses to support the orders. Second, it was the same in 2021, with Cognex incurring an extra cost in providing a \"higher level of support on a large deployment by a customer in logistics.\" Third, back on the fourth-quarterearnings callin February, CEO Robert Willett disclosed Cognex had \"been prioritizing delivery during this time of global chip shortages that added incremental costs in 2021, due to the significant premiums we've paid to procure components through brokers, and for expedited freight.\" As for establishing new markets, the logistics market is a relatively new one for Cognex that's grown at a compound annual growth rate of

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0969 (i.e., a 9.69% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0969 = 1.0319, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


FXI: 60-day history, VaR(99%)=-0.0307, max drawdown threshold=10%.

Question:
Asset: FXI
Daily returns (past 60 days): mean=-0.0015, std=0.0127, worst_day=-0.0327
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2019-05-20] Credit Suisse Absolutely Is Right to Double Down on Pfizer Stock After upgrading Pfizer (NYSE:) to “Outperform” in January and raising its price target on Pfizer stock to $48 in May, one would think there’s nothing else Credit Suisse could so to bolster its bullish case, but there is. Source: Following a meeting with the pharmaceutical giant’s top brass just a few days ago, on Thursday, “top pick.” It was apparently one heck of a meeting. The specifics prompting the accolade weren’t made crystal clear, though Credit Suisse did note that the company’s prospects for new products was compelling. Translation: Whatever stoked Credit Suisse’s fires is likely to be in the company’s late-stage pipeline, which is admittedly more exciting than it has been in a long while. A Brief Look at Pfizer It’s not a story that needs a great deal of retelling. It was an unstoppable powerhouse when it had full patent protection of its erectile dysfunction drug Viagra and faced little competition. But, seeing the writing on the wall, the drugmaker allowed Teva Pharmaceutical Industries (NYSE:) to begin selling a generic version of the drug in 2017. In the meantime, consumer interest in ED drugs has broadly waned. Pfizer is about to lose ground with blockbuster neuropathic pain drug Lyrica too, which lost patent protection last year, threatening to once generic alternatives become available. It’s the same story that plays out over and over within the pharmaceutical industry; these organizations must constantly replenish their portfolios with patent-protected drugs, or risk losing ground. It’s something Pfizer hasn’t done especially well in recent years. Although Pfizer stock has made reliable if choppy progress since turning around with all other stocks in 2009, revenue growth hasn’t been overwhelming. The was not remarkable better than the $52.7 billion figure from a year earlier. “Pfizer has been working through a dark period with extensive patent expirations,” said in late January. “That period is now nearing an end.” Solid Pipeline What Pfizer told Credit Suisse at the meeting remains veiled, though when Divan upgraded Pfizer stock early this year he explicitly noted opportunities for several cancer and autoimmune disease drugs along with vaccinations. Two of the drugs Divan had in mind are (though they’re actually different doses of the same molecule), which combats the buildup for amyloid in the heart. Alnylam Pharmaceuticals (NASDAQ:) and Ionis Pharmaceuticals (NASDAQ:) already make similar rival drugs, but their versions are considerably more expensive. Divan foresees peak sales of $2 billion for Vyndaqel, but is willing to entertain a number “significantly larger than that if Pfizer is able to commercialize it successfully.” Pfizer has also partnered with Eli Lilly (NYSE:) on the development of a non-opioid arthritis treatment called tanezumab, another one of the 15 game-changing drugs Pfizer believes could be brought to the market within the next five years. So

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0307 (i.e., a 3.07% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0307 = 3.2527, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLY: 60-day history, VaR(99%)=-0.0388, max drawdown threshold=10%.

Question:
Asset: XLY
Daily returns (past 60 days): mean=-0.0010, std=0.0148, worst_day=-0.0388
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2020-03-10] ["123 Biggest Movers From Yesterday", "UBS Maintains Buy on Apple, Lowers Price Target to $335", "Shares of several technology companies are trading higher as markets look to rebound from Monday's selloff. The technology sector has been highly impacted by the coronavirus due to its China exposure and sensitivity to economic conditions.", "Airlines Continue Suffering As Delta, American Announce Schedule Cuts, But Crude Bounces", "Jedi Wars Between Amazon And Microsoft Are Still Very Much On", "The Main Challenges Faced By The Upcoming EV Era", "Morning Market Stats In 5 Minutes", "Peloton Shares Tick To Session Low As Hearing Report Apple Working On 'Guided Workout' Fitness App", "Peloton Shares Tick To Session Low As Hearing Report Apple Working On 'Guided Workout' Fitness App", "Morning Market Stats In 5 Minutes", "The Main Challenges Faced By The Upcoming EV Era", "Jedi Wars Between Amazon And Microsoft Are Still Very Much On", "Airlines Continue Suffering As Delta, American Announce Schedule Cuts, But Crude Bounces", "Shares of several technology companies are trading higher as markets look to rebound from Monday's selloff. The technology sector has been highly impacted by the coronavirus due to its China exposure and sensitivity to economic conditions.", "UBS Maintains Buy on Apple, Lowers Price Target to $335", "123 Biggest Movers From Yesterday", "Peloton Shares Tick To Session Low As Hearing Report Apple Working On 'Guided Workout' Fitness App", "Morning Market Stats In 5 Minutes", "The Main Challenges Faced By The Upcoming EV Era", "Jedi Wars Between Amazon And Microsoft Are Still Very Much On", "Airlines Continue Suffering As Delta, American Announce Schedule Cuts, But Crude Bounces", "Shares of several technology companies are trading higher as markets look to rebound from Monday's selloff. The technology sector has been highly impacted by the coronavirus due to its China exposure and sensitivity to economic conditions.", "UBS Maintains Buy on Apple, Lowers Price Target to $335", "123 Biggest Movers From Yesterday", "Has the coronavirus selloff created a stock-buying opportunity, or is it too early? Here\u2019s what analysts and strategists are advising Is it safe to go back into the water after stocks have been rocked by the COVID-19 outbreak?", "These 3 EVs are the lowest cost to own over 5 years The 5-Year Cost to Own equation includes insurance, fuel economy, interest rates, and depreciation\u2014the Nissan Leaf comes out on top The Nissan Leaf takes home KBB\u2019s Best EV 5-Year Cost to Own Award for the third year in a row.", "After markets plunge on fears of OPEC \u2018price war\u2019 and coronavirus \u2014 5 questions to ask your financial adviser right now Advisers say this is a \u2018great litmus test\u2019 to evaluate your risk tolerance, but they say retail investors should proceed cautiously Advisers say this is a \u2018great litmus test\u2019 to evaluate your risk tolerance, but they say retail investors should proceed ca

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0388 (i.e., a 3.88% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0388 = 2.5763, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


CPER: 60-day history, VaR(99%)=-0.0245, max drawdown threshold=10%.

Question:
Asset: CPER
Daily returns (past 60 days): mean=0.0014, std=0.0114, worst_day=-0.0292
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0245 (i.e., a 2.45% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0245 = 4.0845, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


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

Question:
Asset: QQQ
Daily returns (past 60 days): mean=0.0008, std=0.0161, worst_day=-0.0391
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2019-02-22] ["Pinnacle West's (PNW) Q4 Earnings Beat Estimates, Up Y/Y Pinnacle West Capital CorporationPNW delivered adjusted earnings per share of 23 cents in the fourth quarter of 2018, beating the Zacks Consensus Estimate of 17 cents by 35.3%. In the year-ago quarter, the company had reported adjusted earnings of 19 cents. Impressive operational performance and favorable Arizona economy supported the quarterly numbers. In 2018, Pinnacle West Capital generated earnings of $4.54 per share, up from $4.35 in 2017. Total Revenues In the quarter under review, total revenues of $756.4 million fell 0.4% on a year-over-year basis. In 2018, the company delivered revenues of $3.69 billion, up from $3.57 billion in 2017. Pinnacle West Capital Corporation Price, Consensus and EPS Surprise Pinnacle West Capital Corporation Price, Consensus and EPS Surprise | Pinnacle West Capital Corporation Quote Operational Highlights In fourth-quarter 2018, total Operating Expenses were $689.5 million, up 2.3% from the year-ago quarter's tally. Operating income declined 21.8% year over year to $66.9 million. Interest expenses rose to $55.9 million from $50.6 million in the year-ago quarter. Courtesy of the improving Arizona economy, customer volumes improved 1.7% year over year in 2018, resulting in an increase of 16 cents in the company's earnings compared with 2017. Guidance Management projects 2019 EPS in the range of $4.75-$4.95, whose mid-point of $4.85 is higher than the current Zacks Consensus Estimate of $4.84. Zacks Rank Pinnacle West currently carries a Zacks Rank #2 (Buy). You can see the complete list of today's Zacks #1 Rank (Strong Buy) stocks here . Other Utility Releases NextEra Energy, Inc. NEE delivered fourth-quarter 2018 adjusted earnings of $1.49 per share, which lagged the Zacks Consensus Estimate of $1.51 by 1.3%. American Electric Power Co., Inc. AEP generated fourth-quarter 2018 operating EPS of 72 cents, in line with the Zacks Consensus Estimate. Xcel Energy Inc. XEL posted fourth-quarter 2018 operating earnings of 42 cents per share, in line with the Zacks Consensus Estimate. Wall Street's Next Amazon Zacks EVP Kevin Matras believes this familiar stock has only just begun its climb to become one of the greatest investments of all time. It's a once-in-a-generation opportunity to invest in pure genius. Click for details >> Want the latest recommendations from Zacks Investment Research? Today, you can download 7 Best Stocks for the Next 30 Days. Click to get this free report NextEra Energy, Inc. (NEE): Free Stock Analysis Report Pinnacle West Capital Corporation (PNW): Free Stock Analysis Report American Electric Power Company, Inc. (AEP): Free Stock Analysis Report Xcel Energy Inc. (XEL): Free Stock Analysis Report To read this article on Zacks.com click here. Zacks Investment Research The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc. The views and opinions expressed herein

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0358 (i.e., a 3.58% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0358 = 2.7899, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLK: 60-day history, VaR(99%)=-0.0427, max drawdown threshold=10%.

Question:
Asset: XLK
Daily returns (past 60 days): mean=-0.0028, std=0.0232, worst_day=-0.0427
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-07-05] ["EU lawmakers pass landmark tech rules, but enforcement a worry By Foo Yun Chee BRUSSELS, July 5 (Reuters) - EU lawmakers gave the thumbs up on Tuesday to landmark rules to rein in tech giants such as Alphabet GOOGL.O unit Google, Amazon AMZN.O, Apple AAPL.O, Facebook FB.O and Microsoft MSFT.O, but enforcement could be hampered by regulators' limited resources. In addition to the rules known as the Digital Markets Act (DMA), lawmakers also approved the Digital Services Act (DSA), which requires online platforms to do more to police the internet for illegal content. Companies face fines of up to 10% of annual global turnover for DMA violations and 6% for DSA breaches. Lawmakers and EU states had reached a political deal on both rule books earlier this year, leaving some details to be ironed out. The European Commission has set up a taskforce, with about 80 officials expected to join up, which critics say is inadequate. Last month it put out a 12 million euro ($12.3 million) tender for experts to help in investigations and compliance enforcement over a four-year period. EU industry chief Thierry Breton sought to address enforcement concerns, saying various teams would focus on different issues such as risk assessments, interoperability of messenger services and data access during implementation of the rules. Regulators will also set up a European Centre for Algorithmic Transparency to attract data science and algorithm scientists to help with enforcement. \"We have started to gear the internal organisation to this new role, including by shifting existing resources, and we also expect to ramp up recruitment next year and in 2024 to staff the dedicated DG CONNECT team with over 100 full time staff,\" Breton said in a blogpost. DEEP POCKETS Lawmaker Andreas Schwab, who steered the issue through the European Parliament, has called for a bigger taskforce to counter Big Tech's deep pockets and array of lawyers. European Consumer Organisation (BEUC) echoed the same worries. \"We raised the alarm last week with other civil society groups that if the Commission does not hire the experts it needs to monitor Big Tech's practices in the market, the legislation could be hamstrung by ineffective enforcement,\" BEUC Deputy Director General Ursula Pachl said in a statement. The DMA is set to force changes in companies' businesses, requiring them to make their messaging services interoperable and provide business users access to their data. Business users would be able to promote competing products and services on a platform and reach deals with customers off the platforms. Companies will not be allow to favour their own services over rivals' or prevent users from removing pre-installed software or apps, two rules that will hit Google and Apple hard. The DSA bans targeted advertising aimed at children or based on sensitive data such as religion, gender, race and political opinions. Dark patterns, which are tactics that mislead people into giving personal data to c

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0427 (i.e., a 4.27% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0427 = 2.3410, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


SCHH: 60-day history, VaR(99%)=-0.0340, max drawdown threshold=10%.

Question:
Asset: SCHH
Daily returns (past 60 days): mean=0.0010, std=0.0120, worst_day=-0.0340
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0340 (i.e., a 3.40% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0340 = 2.9369, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


MATIC-USD: 60-day history, VaR(99%)=-0.1015, max drawdown threshold=10%.

Question:
Asset: MATIC-USD
Daily returns (past 60 days): mean=0.0070, std=0.0651, worst_day=-0.1305
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 0.9852

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1015 (i.e., a 10.15% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1015 = 0.9852, capped at 1.0.
Maximum position size = 0.9852 (98.5% of portfolio).


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

Question:
Asset: ACWI
Daily returns (past 60 days): mean=0.0020, std=0.0090, worst_day=-0.0149
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2016-05-09] Drug Stocks Reporting on May 10: XON, ARIA, CPRX & More How is the Earnings Picture Evolving now that a large part of the first-quarter 2016 earnings season has come through with 87.2% (as of May 6) of the S&P 500 members having already reported results? This season is likely to finish as the fourth straight quarter of earnings declines for the S&P 500 index. Moreover, this trend of earnings declines is expected to continue into the second quarter as well. With several pharma and major biotech companies having released their earnings results, our Q1 scorecard shows that 92.5% of the Medical sector has reported results with a blended beat of 65.3% (the percentage of companies that have beaten both EPS as well as revenue estimates). Notably, the Medical sector is anticipated to be one of the seven sectors to record earnings growth in the first quarter of 2016, as per our Earnings Trends report. The earnings picture for both the pharma and the biotech sector looks pretty mixed with beats and misses. While in the biotech sector, Amgen Inc. AMGN topped first-quarter earnings and revenues and even raised the outlook for the year, another well-known biotech name Gilead lagged both earnings and revenue estimates even though it kept its outlook for the year intact. Among the other biotech stocks, Biogen, Celgene, Alexion and AbbVie managed to post mixed results, while some others came up with disappointing results and outlook for the year. Pharma giants like Johnson & Johnson JNJ , Pfizer and Bristol-Myers Squibb surpassed first-quarter earnings and revenue expectations and also raised the outlook for the year. Eli Lilly raised its outlook for the year despite an earnings miss while Glaxo expects core earnings growth of 10-12% at constant exchange rate in 2016. With several medium and small-sized drug companies still to report first-quarter 2016 results, let's see what awaits these drug stocks when they report their first-quarter results on May 10. What Awaits these Drug Stocks? Jazz Pharmaceuticals plcJAZZ , a biopharmaceutical company, has a portfolio of offerings targeting sleep and hematology/oncology disorders. Focus will be on the performance of marketed products including Xyrem, Defitelio and Erwinaze among others along with that of commercialization plans for Defitelio in the U.S., and the company's business development plans. Jazz's Earnings ESP of +6.11% and a Zacks Rank #3 (Hold) make us confident of an earnings beat this quarter (read more: Jazz Q1 Earnings: A Beat in the Cards for the Stock ). Palo Alto, CA-based Anacor Pharmaceuticals, Inc.ANAC is a biopharmaceutical company focused on the discovery, development and commercialization of small-molecule therapeutics derived from its boron chemistry platform. Anacor's track record so far has been mixed with the company missing estimates in two of the trailing four quarters with an average negative surprise of 16.68%. The company's Zacks Rank #4 (Sell) when combined with an ESP -32.35% makes a b

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0146 (i.e., a 1.46% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0146 = 6.8337, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


EWJ: 60-day history, VaR(99%)=-0.0280, max drawdown threshold=10%.

Question:
Asset: EWJ
Daily returns (past 60 days): mean=0.0015, std=0.0136, worst_day=-0.0325
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2016-05-16] ["Uber China Rival Didi Targets New York IPO In 2017", "With Buffett Betting Big, Is Apple\u2019s Stock a Buy? With Warren Buffett\u2019s Berkshire Hathaway buying $1 billion in stock, see what the charts recommend.", "Japanese firms expect more strong-yen headwinds TOKYO--Faced with a stronger yen, Japanese companies are reporting lower annual profits for the first time in four years, and projecting tepid earnings growth for the current year. The results for the financial year ended in March underscore how the record profits that many companies enjoyed in recent years depended on a weaker currency.", "Warren Buffett's Berkshire Hathaway took new 9.8 mln share stake in Apple in Q1", "Apple shares up 2.2% in premarket trade", "Apple's stock surges after Warren Buffett discloses new share stake Apple Inc.'s stock surged 2% in premarket trade Monday, after Warren Buffett's Berkshire Hathaway Inc. disclosed in a regulatory filing that it took a new 9.8 million share stake in the technology giant during the first quarter. That would represent about 0.2% of Apple's shares outstanding, according to FactSet data. Other moves Berkshire made include selling 99% of its stake in Procter & Gamble Co. to just 315,400 shares, trimming its stake in Wal-Mart Stores Inc. by 1.7% to 55.2 million shares. Berkshire also boosted its stake in Phillips 66 by 23% to 75.6 million shares, increased its stake in Liberty Media Corp. to 30 million shares, and slightly raised its stake in Deere & Co. and International Business Machines Corp. .", "Warren Buffett's Apple shares could be down $181 million since March Warren Buffett's investment vehicle Berkshire Hathaway Inc.'s new investment in Apple Inc. could be worth about $181.2 million less than it was 6 1/2 weeks ago, at the end of the first quarter. Berkshire's 13F filing showed that it owned a new 9,811,747 stake in Apple as of March 31, when the stock closed at $108.99, or 20% above Friday's closing price of $90.52. The filing did not disclose at what prices the shares were bought. The volume-weighted average price of Apple's stock during the quarter was $99.59. At that price, if its position in Apple was unchanged, Berkshire could have lost about $89 million on its Apple stake through Friday.", "A.M. Funds Roundup: How Are Your Mad Money Picks Doing?", "Warren Buffett\u2019s Berkshire took new $1 billion Apple stake Legendary investor also sold entire AT&T position Warren Buffett\u2019s Berkshire Hathaway took a new stake in Apple during the first quarter, valued at about $1 billion as of March 31.", "Apple Inc. jumps 1.4% to $91.67 in early trade after Berkshire Hathaway reveals stake", "Berkshire Bought Apple, Dumped AT&T in 1Q Berkshire Hathaway (BRK.B) disclosed a new, roughly $1.1 billion stake in Apple in documents filed Monday morning with securities regulators. The filings show that Berkshire added 9.8 million Apple shares that were valued at $1.069 billion as of the end of March, when Apple's stock traded at $

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0280 (i.e., a 2.80% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0280 = 3.5730, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XRP-USD: 60-day history, VaR(99%)=-0.1007, max drawdown threshold=10%.

Question:
Asset: XRP-USD
Daily returns (past 60 days): mean=0.0019, std=0.0440, worst_day=-0.1031
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 0.9926

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1007 (i.e., a 10.07% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1007 = 0.9926, capped at 1.0.
Maximum position size = 0.9926 (99.3% of portfolio).


IVV: 60-day history, VaR(99%)=-0.0291, max drawdown threshold=10%.

Question:
Asset: IVV
Daily returns (past 60 days): mean=0.0025, std=0.0130, worst_day=-0.0328
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2020-07-23] ["Elon Musk doesn\u2019t want Tesla to be \u2018super profitable\u2019 as it soars toward a $300 billion valuation CEO says he wants to be \u2018slightly profitable\u2019 long-term while exaggerating timeline to full self-driving and counting on flagging solar business, but that doesn\u2019t stop the stock Tesla Inc. Chief Executive Elon Musk, who heads a company with a valuation approaching $300 billion, doesn\u2019t want his electric vehicle maker to be \u201csuper profitable.\u201d", "The Ariya is Nissan\u2019s new electric crossover SUV, and it will have some semiautonomous tech If it comes on the market in a timely fashion, it can offer some competition for the Tesla Model Y With 300 miles of driving range, it offers some competition to the Tesla Model Y and Toyota RAV4 Prime.", "Tesla Stock\u2019s Run-Up Isn\u2019t Over Yet. How to Play It With Less Risk. To manage risk without ceding exposure to higher highs, investors can consider a \u201cbull spread\u201d that positions them for continued advances without meaningful exposure to weakness in the stock.", "This index ETF is beating the S&P 500 by excluding \u2018losers\u2019 Eliminating weak companies has led to outperformance for the GraniteShares XOUT U.S. Large Cap ETF Eliminating weak companies has led to outperformance for the GraniteShares XOUT U.S. Large Cap ETF.", "Apple joins tech rivals with pledge to be 100% carbon neutral by 2030 Apple says it has improved technology to pull rare earth magnets from old iPhones and is backing a first-ever carbon-free aluminum smelting process for MacBooks Apple Inc. on Tuesday joined the ambitious aim of rival tech giants, believing it can reduce and offset emissions along its entire supply chain and in the production of its iPhones and other devices, all in less than 10 years.", "The doctor behind a cognitive test Trump took says \u2018it\u2019s supposed to be easy\u2019 The Montreal Cognitive Assessment, or MoCA, test discussed by President Trump and Chris Wallace is \u2018not an IQ test,\u2019 Dr. Ziad Nasreddine tells MarketWatch The Montreal Cognitive Assessment, or MoCA, test discussed by President Trump and Chris Wallace is \u2018not an IQ test,\u2019 Dr. Ziad Nasreddine tells MarketWatch", "Dow Inc., Travelers share losses lead Dow's nearly 150-point fall", "Hot Tech Stocks Show Signs of Cooling. Apple Could Be Next. With its stock up 33% year to date and sky-high Wall Street expectations for second quarter earnings, Apple could be the next disappointment.", "\u2018We want a stable dollar,\u2019 says U.S. Treasury Secretary Mnuchin: \u2018It is the reserve currency of the world and we\u2019re going to protect that\u2019 Treasury Secretary Steven Mnuchin says that a stable U.S. dollar is the goal of the Trump administration, while, separately, noting that some froth was percolating in the stock market that has surged since its coronavirus lows in late March", "Dow's 75-point fall led by losses in shares of Dow Inc., Travelers", "Dow, Nasda

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0291 (i.e., a 2.91% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0291 = 3.4354, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


BTC-USD: 60-day history, VaR(99%)=-0.0959, max drawdown threshold=10%.

Question:
Asset: BTC-USD
Daily returns (past 60 days): mean=-0.0025, std=0.0301, worst_day=-0.1006
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-09-29]

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0959 (i.e., a 9.59% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0959 = 1.0423, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


MATIC-USD: 60-day history, VaR(99%)=-0.1859, max drawdown threshold=10%.

Question:
Asset: MATIC-USD
Daily returns (past 60 days): mean=0.0023, std=0.0800, worst_day=-0.2144
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2022-12-19]

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

Answer: 0.5379

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1859 (i.e., a 18.59% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1859 = 0.5379, capped at 1.0.
Maximum position size = 0.5379 (53.8% of portfolio).


XLI: 60-day history, VaR(99%)=-0.0278, max drawdown threshold=10%.

Question:
Asset: XLI
Daily returns (past 60 days): mean=0.0009, std=0.0097, worst_day=-0.0336
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2016-07-13] ["SAP-APWorks Team Up to Accelerate Industrial 3D Printing Taking another step in its 3D printing initiative, German software solutions corporation SAP SESAP inked a co-innovation agreement with APWorks, to accelerate the adoption and standardization of industrial 3D printing. This follows a promising collaboration with UPS in May, which aimed to establish a U.S. wide on-demand 3D printing network, by integrating SAP's extended supply chain solutions with UPS's additive industrial manufacturing and logistics network. SAP's deal with UPS aimed to provide access to on-demand manufacturing to companies, thus streamlining their supply chains, enhancing cost efficiency and reducing time-to-market. The APWorks Deal APWorks, a subsidiary of Airbus Defense and Space GmbH, and SAP intend to work toward facilitating the adoption and standardization of industrial 3D printing for the aerospace and defense industry. APWorks will leverage SAP's 3D printing services network to facilitate the development of a bionics network that will connect experts to end users. Using SAP's technology, APWorks will manufacture 3D printed components, enhance fuel efficiency and reduce CO2 emissions, along with managing spare part orders in real time. This will help it deliver qualified products on time for safety-critical applications in industries like aerospace and defense. In essence, SAP will be working with APWorks to manage orders better as they manufacture 3D printed components to deliver to industries where safety and quality is critical. Evolution of 3D Printing 3D printing has evolved past simple industrial prototyping and is fast racing toward manufacturing industries which use multiple materials like metals, plastics, and ceramics in 3D printing. This technology is on its way to revolutionize traditional manufacturing and redefine conventional notions of the industrial supply chain. It makes great sense for industries such as aerospace, where 3D printing will allow users to print the parts they need, thus ensuring the removal of several costs associated with traditional manufacturing. SAP's Initiatives SAP's collaborations corroborate the shift in manufacturing supply chain that 3D printing is enabling. In fact, SAP recently said that it intends to rationalize the supply chain in terms of collaborating and delivering certification cloud services for industrial 3D printing, using their own SAP HANA Cloud Platform. They also plan to create an on-demand 3D printing manufacturing network. This is in line with SAP's plans with APWorks, which will offer manufacturing and logistical cost savings while eliminating supply chain issues. SAP AG ADR Price SAP AG ADR Price | SAP AG ADR Quote However, SAP's prospects in the near term look gloomy as it contends with headwinds like stiff competition in the IT services industry, persistent weakness in multiple end-markets like Latin America and Brazil, and escalating research and development expenses. SAP currently has a Zacks Rank

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0278 (i.e., a 2.78% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0278 = 3.5950, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


^VIX: 60-day history, VaR(99%)=-0.1003, max drawdown threshold=10%.

Question:
Asset: ^VIX
Daily returns (past 60 days): mean=-0.0037, std=0.0644, worst_day=-0.1005
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2020-09-11] Ambarella Stock Could See Further Downside Ambarella Incorporated stock (NASDAQ: AMBA) is down 22% since the beginning of this year, but at the current price of $47 per share, we believe that Ambarella stock has a significant downside. Why is that? Our belief stems from the fact that Ambarella’s stock has risen almost 35% from the low seen in early 2019. Our dashboard What Factors Drove 34% Change In Ambarella Inc. Stock Between 2018 And Now? provides the key numbers behind our thinking, and we explain more below. Ambarella is a semiconductor design company, manufacturing processors used across a variety of applications such as video compression, image processing, and computer vision. The stock rise over the past 2 years came despite a 22% drop in Ambarella’s revenues, which combined with a roughly unchanged outstanding share count, led to a 22% fall in revenue per share (RPS) from 2018 to 2020. However, Ambarella’s P/S ratio rose from about 3.9x at the end of 2018 to 8.7x at the end of 2019, but has dropped to 6.8x now. This fall came due to a drop in the company’s profitability, with EPS falling from $0.57 in 2018 to -$1.35 in 2020, on the back of falling revenues and gross margins. Also, given the volatility of the current situation, there is further possible downside for Ambarella’s multiple when compared to levels seen in the past years – P/S of 5.9x at the start of 2018, and 3.9x as recently as early 2019. So what’s the likely trigger and timing to this downside? The global spread of coronavirus, and the resulting lockdowns and quarantine has led to a drop in demand for computing devices. Further, the rise in competitors in the video compression and computer vision markets has led to a drop in selling prices, weighing down company revenue. Ambarella’s revenue for Q2 2021 came in at $50.1 million vs $56.4 million for the same period last year, and with expenses not dropping at the same rate, EPS came in at -$0.43 vs -$0.31. We expect this revenue drop to continue in the medium term. We believe Ambarella’s Q3 results in December will confirm this and will also likely accompany a lower 2021 guidance. Regardless, if there isn’t clear evidence of containment of the virus anytime soon, we believe the stock will see its P/S multiple decline from the current level of 6.8x to around 6x, which combined with a slight reduction in revenues and margins could result in the stock price shrinking to as low as $40. Want a more balanced portfolio instead? Here’s a top quality portfolio to outperform the market, with over 100% return since 2016, versus 55% for the S&P 500. Comprised of companies with strong revenue growth, healthy profits, lots of cash, and low risk. It has outperformed the broader market year after year, consistently. See all Trefis Price Estimates and Download Trefis Data here What’s behind Trefis? See How It’s Powering New Collaboration and What-Ifs For CFOs and Finance Teams | Product, R&D, and Marketing Teams The views and opinions expre

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

Answer: 0.9966

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1003 (i.e., a 10.03% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1003 = 0.9966, capped at 1.0.
Maximum position size = 0.9966 (99.7% of portfolio).


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

Question:
Asset: EFA
Daily returns (past 60 days): mean=0.0035, std=0.0178, worst_day=-0.0289
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2020-06-08] ["UBS Maintains Buy on Adobe, Raises Price Target to $450", "UBS Maintains Buy on Adobe, Raises Price Target to $450", "3 Top E-Commerce Stocks to Watch in June Many e-commerce businesses have seen tailwinds this year as conditions created by the novel coronavirus pandemic resulted in stores closing and spending migrating to digital channels. With many brick-and-mortar businesses beginning to reopen in conjunction with coronavirus restrictions being eased, June could provide valuable data about what the future of retail looks like. Investors interested in e-commerce stocks should keep an eye on Shopify (NYSE: SHOP), Baozun (NASDAQ: BZUN), and Adobe Systems (NASDAQ: ADBE) this month. Image source: Getty Images. 1. Shopify Shopify provides software that allows businesses to easily create and manage online-retail websites, and it's one of the e-commerce space's hottest stocks. Shares are crushing the market in 2020, climbing roughly 89.5% year to date after rallying 187% in 2019. SHOP data by YCharts. Shopify has posted torrid growth as it's brought more large companies on board its platform and become solidified as the category-leading e-commerce services provider for small-and-medium-size enterprises. The company saw heightened merchant-customer additions and shopper engagement as the novel coronavirus began disrupting brick-and-mortar retail operations in mid-March. Shopify stock hit a lifetime high in May, but shares have actually pulled back over the last couple of weeks despite the S&P 500 index climbing roughly 8% across the same stretch. The e-commerce company's valuation is currently down roughly 13% from the lifetime high it hit in May. With brick-and-mortar retail businesses beginning to reopen in the U.S. and other territories, Shopify's coronavirus-related momentum could be tested in June. Despite the potential for near-term volatility, the company's long-term growth outlook remains promising. E-commerce will only become more important for businesses, and pullback on the stock could present an entry point for long-term investors. 2. Baozun Baozun is sometimes referred to as \"the Shopify of China\" because it also provides website-creation tools and other e-commerce services. However, most of Baozun's customers are large companies, and its core business hinges on providing services for Western brands aiming to expand their presence in China's fast-growing e-commerce market. The stock is up roughly 4% year to date following Baozun's first-quarter earnings beat and encouraging Q2 guidance it published on June 2. Even with shares now in positive territory across 2020's trading, they're still down roughly 48% from their lifetime high two years ago due to slowing growth and tensions between the U.S. and China. Baozun is seeing business pick back up as the Chinese economy recovers from coronavirus-related conditions, but the country's increasingly fraught relationship with the U.S. could create obstacles to a sustained stock rebound. Phase on

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0289 (i.e., a 2.89% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0289 = 3.4601, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


BTC-USD: 60-day history, VaR(99%)=-0.0660, max drawdown threshold=10%.

Question:
Asset: BTC-USD
Daily returns (past 60 days): mean=-0.0001, std=0.0280, worst_day=-0.0775
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0660 (i.e., a 6.60% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0660 = 1.5144, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLRE: 60-day history, VaR(99%)=-0.0194, max drawdown threshold=10%.

Question:
Asset: XLRE
Daily returns (past 60 days): mean=0.0010, std=0.0085, worst_day=-0.0196
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2019-08-30] ["Nvidia Stock Is a Long-Term Winner Predicting what technologies will be prevalent in ten years is difficult. Who\u2019s to say whether the dominant smartphone will be Apple\u2019s (NASDAQ:) iPhone or Alphabet\u2019s (NASDAQ:, NASDAQ:GOOG) Pixel? But Nvidia (NASDAQ:), and Nvidia stock are easier to bet on because the company is powering the technological pillars of tomorrow. Source: Hairem / Shutterstock.com Many sectors, including agriculture, transportation, drones and cloud computing, are turning to artificial intelligence. Often referred to as A.I., this technology requires an insane amount of computing power. The company best suited to provide that computing power is Nvidia. As a result, NVDA and Nvidia stock are in prime position to be long-term winners. Earlier this year, I took a very . I suggest reading the column if you are curious about the company\u2019s long-term outlook. I would not necessarily say that the company\u2019s catalysts make NVDA stock a screaming buy, but they do make the shares worth considering for long-term investors. Valuing Nvidia Stock Nvidia stock was on an unsustainable flight path, rallying hundreds of percent in just a few years. In Oct. 2015, NVDA was changing hands in the $16 range. Now in the mid-$160s, NVDA is still up ten-fold from those levels. At its high near $300, NVDA stock had jumped almost 18 times from its late 2015 levels. Despite the pullback of Nvidia stock, Nvidia\u2019s core business hasn\u2019t been knocked off course. Previously, crypto miners were inflating demand for the company\u2019s products, but that trend has since slowed greatly, hurting Nvidia\u2019s results, Advanced Micro Devices (NASDAQ:) experienced a similar phenomenon, although that company has done a better job of sidestepping the pain. As it stands, AMD is forecast to have positive earnings and revenue growth this year and explosive growth next year. Unfortunately for Nvidia, it\u2019s not in the same boat. Analysts, on average, expect its sales to slump 8% this year and predict that its earnings will tumble 18.8% in 2019. Investors are already aware that this is a down year for NVDA and that there\u2019s not much to be done about it. But NVDA stock is treading higher in recent weeks, even as the trade war continues. The biggest risk facing Nvidia stock, in my view, is estimates for next year, Nvidia\u2019s fiscal 2021. Analysts, on average, expect its top line to jump nearly 20% to $12.91 billion and predict that its earnings per share will surge about 31% to $7.08. Those figures would surpass Nvidia\u2019s fiscal 2019 results and put it back on the path of growth. They would also makes its forward price-earnings ratio, which currently trading at 23.6, more reasonable. If the average estimates materialize, and the trailing 12 month P/E ratio of Nvidia stock stays around its current level of 38, its price would reach roughly $270. Trading NVDA Stock $270 does not seem like a great price for many investors, given that NVDA

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0194 (i.e., a 1.94% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0194 = 5.1570, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


BTC-USD: 60-day history, VaR(99%)=-0.0478, max drawdown threshold=10%.

Question:
Asset: BTC-USD
Daily returns (past 60 days): mean=0.0038, std=0.0228, worst_day=-0.0600
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0478 (i.e., a 4.78% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0478 = 2.0903, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


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

Question:
Asset: SCHP
Daily returns (past 60 days): mean=0.0002, std=0.0017, worst_day=-0.0041
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0034 (i.e., a 0.34% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0034 = 29.3204, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


VTI: 60-day history, VaR(99%)=-0.0256, max drawdown threshold=10%.

Question:
Asset: VTI
Daily returns (past 60 days): mean=0.0009, std=0.0078, worst_day=-0.0335
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2016-08-23] ["Applied Materials' EPS Growing Faster Than Its Stock Price", "Applied Materials' EPS Growing Faster Than Its Stock Price", "Nasdaq 100 Movers: MYL, AMAT In early trading on Tuesday, shares of Applied Materials topped the list of the day's best performing components of the Nasdaq 100 index, trading up 2.0%. Year to date, Applied Materials registers a 59.2% gain. And the worst performing Nasdaq 100 component thus far on the day is Mylan, trading down 2.9%. Mylan is lower by about 14.0% looking at the year to date performance. Two other components making moves today are Incyte, trading down 0.6%, and Bed, Bath & Beyond, trading up 1.9% on the day. VIDEO: Nasdaq 100 Movers: MYL, AMAT 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.", "After Hours Most Active for Aug 23, 2016 : ESRX, AAPL, LMT, WIX, CSCO, MSFT, EMC, AMAT, WFT, PFE, BAC, C The NASDAQ 100 After Hours Indicator is down -1.39 to 4,817.09. The total After hours volume is currently 25,228,394 shares traded. The following are the most active stocks for the after hours session : Express Scripts Holding Company ( ESRX ) is unchanged at $77.15, with 2,576,986 shares traded. Over the last four weeks they have had 10 up revisions for the earnings forecast, for the fiscal quarter ending Sep 2016. The consensus EPS forecast is $1.74. As reported in the last short interest update the days to cover for ESRX is 7.891486; this calculation is based on the average trading volume of the stock. Apple Inc. ( AAPL ) is -0.04 at $108.81, with 2,177,072 shares traded. Over the last four weeks they have had 8 up revisions for the earnings forecast, for the fiscal quarter ending Sep 2016. The consensus EPS forecast is $1.64. As reported by Zacks, the current mean recommendation for AAPL is in the \"buy range\". Lockheed Martin Corporation ( LMT ) is unchanged at $249.75, with 1,623,803 shares traded. LMT's current last sale is 96.06% of the target price of $260. Wix.com Ltd. ( WIX ) is -0.53 at $39.10, with 1,000,131 shares traded. Over the last four weeks they have had 3 up revisions for the earnings forecast, for the fiscal quarter ending Dec 2016. The consensus EPS forecast is $-0.15. , following a 52-week high recorded in today's regular session. Cisco Systems, Inc. ( CSCO ) is unchanged at $30.98, with 946,770 shares traded. As reported by Zacks, the current mean recommendation for CSCO is in the \"buy range\". Microsoft Corporation ( MSFT ) is +0.01 at $57.90, with 914,232 shares traded. As reported by Zacks, the current mean recommendation for MSFT is in the \"buy range\". EMC Corporation ( EMC ) is +0.05 at $28.68, with 818,256 shares traded. EMC's current last sale is 95.6% of the target price of $30. Applied Materials, Inc. ( AMAT ) is unchanged at $29.95, with 784,651 shares traded. O

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0256 (i.e., a 2.56% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0256 = 3.9103, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


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

Question:
Asset: EWJ
Daily returns (past 60 days): mean=0.0017, std=0.0059, worst_day=-0.0106
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2018-01-08] ["Activist shareholders want Apple to help kids kick iPhone addictions Jana, teachers group push for better corporate responsibility The iPhone has made Apple Inc. and Wall Street hundreds of billions of dollars. Now some big shareholders are asking at what cost, in an unusual campaign to make the company more socially responsible.", "Consumer Tech To Hit Record $351 Billion In 2018: CES The semi-annual industry report, released shortly before the start of the Consumer Electronics Show (CES) here, includes for the first time a projection for consumer spending on music and video-streaming services, which it says will account for $19.5 billion.", "Whirlpool appliances to communicate with Apple Watch in early 2018 Whirlpool Corp. said Monday it will activate Apple Watch functionality for its home appliances in early 2018. Consumers will be able to remotely communicate with ovens, washers and dryers via Apple Inc.'s Apple Watch, with the roll out to more than 20 Whirlpool brand appliances. \"Bringing intuitive technology and functionality to the appliance category that helps take the friction out of household chores is chief among our goals as we innovate for the smart home,\" said Brett Dibkey, vice president of brand strategy. \"Our consumers are sophisticated and expect their appliances to work smarter, not harder.\" Separately, Whirlpool said it was collaborating with Honeywell International Inc. , to allow consumers to connect smart appliances from Whirlpool to Honeywell's thermostats. Whirlpool's stock was still inactive in premarket trade, while Apple shares eased 0.1%. Over the past three months, Whirlpool's stock has dropped 7.1%, Apple shares have climbed 12.7%, Honeywell shares have tacked on 8.3% and the Dow Jones Industrial Average has rallied 11.1%.", "U.S. consumer electronics sales expected to reach record $351B in 2018 with help from streaming services The U.S. consumer technology industry is expected to reach record sales of $351 billion in 2018, up 3.9% from 2017, according to the Consumer Technology Association. This year's sales got a boost from the addition of on-demand video services like Netflix Inc. , Hulu and Sling TV, and on-demand audio services like Spotify, Pandora and Apple Music . The CTA included these services for the first time in order \"to better capture the full expanse of the ever-evolving and expanding consumer technology market.\" Without these services, 2018 growth would only be 2.2%. Some of the technologies expected to drive sales this year are smart speakers, with sales expected to grow 60% this year, smart home items like smart locks and doorbells, expected to grow 41%, and virtual reality headsets and eyewear, expected to be up 25%. The top five \"mature\" technologies, including smartphones, laptops and TVs are expected to make up 51% of revenue for the year. The Consumer Electronics Show will be Jan. 9 through Jan. 12.", "6 ways to make smartphones more humane \u2014 and less addictive 39% of millennia

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0104 (i.e., a 1.04% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0104 = 9.6426, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLK: 60-day history, VaR(99%)=-0.0291, max drawdown threshold=10%.

Question:
Asset: XLK
Daily returns (past 60 days): mean=-0.0014, std=0.0123, worst_day=-0.0300
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2016-01-20] Commit To Buy American Electric Power Company At $45, Earn 5.7% Using Options Investors considering a purchase of American Electric Power Company, Inc. (Symbol: AEP) shares, but tentative about paying the going market price of $58.07/share, might benefit from considering selling puts among the alternative strategies at their disposal. One interesting put contract in particular, is the January 2018 put at the $45 strike, which has a bid at the time of this writing of $2.55. Collecting that bid as the premium represents a 5.7% return against the $45 commitment, or a 2.8% annualized rate of return (at Stock Options Channel we call this the YieldBoost ). Selling a put does not give an investor access to AEP's upside potential the way owning shares would, because the put seller only ends up owning shares in the scenario where the contract is exercised. And the person on the other side of the contract would only benefit from exercising at the $45 strike if doing so produced a better outcome than selling at the going market price. ( Do options carry counterparty risk? This and six other common options myths debunked ). So unless American Electric Power Company, Inc. sees its shares decline 23% and the contract is exercised (resulting in a cost basis of $42.45 per share before broker commissions, subtracting the $2.55 from $45), the only upside to the put seller is from collecting that premium for the 2.8% annualized rate of return. Below is a chart showing the trailing twelve month trading history for American Electric Power Company, Inc., and highlighting in green where the $45 strike is located relative to that history: The chart above, and the stock's historical volatility, can be a helpful guide in combination with fundamental analysis to judge whether selling the January 2018 put at the $45 strike for the 2.8% annualized rate of return represents good reward for the risks. We calculate the trailing twelve month volatility for American Electric Power Company, Inc. (considering the last 253 trading day closing values as well as today's price of $58.07) to be 20%. For other put options contract ideas at the various different available expirations, visit the AEP Stock Options page of StockOptionsChannel.com. In mid-afternoon trading on Wednesday, the put volume among S&P 500 components was 1.33M contracts, with call volume at 1.62M, for a put:call ratio of 0.82 so far for the day, which is unusually high compared to the long-term median put:call ratio of .65. In other words, there are lots more put buyers out there in options trading so far today than would normally be seen, as compared to call buyers. Find out which 15 call and put options traders are talking about today . Top YieldBoost Puts of the S&P 500 » 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

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0291 (i.e., a 2.91% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0291 = 3.4309, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).