IWM: 60-day history, VaR(99%)=-0.0311, max drawdown threshold=10%.

Question:
Asset: IWM
Daily returns (past 60 days): mean=0.0018, std=0.0140, worst_day=-0.0371
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[SEC 10-K UNH 2024-02-28] unh-20231231 false 2023 FY 0000731766 12/31 10 50 http://fasb.org/us-gaap/2023#OtherLiabilities P4Y P4Y P5Y P3Y 1/1/2026 1/1/2042 1/1/2024 1/1/2043 0.038 0.046 0.019 0.043 0.007 0.012 0.297 0.306 0.306 0.308 0.292 0.298 0.013 0.015 0.012 0.012 0.013 0.015 4.605251141552511 4.702283105022831 4.802054794520548 5.502739726027397 4.202283105022831 5.502739726027397 1.2993150684931507 0000731766 2023-01-01 2023-12-31 0000731766 2023-06-30 iso4217:USD 0000731766 2024-01-31 xbrli:shares 0000731766 2023-12-31 0000731766 2022-12-31 iso4217:USD xbrli:shares 0000731766 2022-01-01 2022-12-31 0000731766 2021-01-01 2021-12-31 0000731766 us-gaap:ProductMember 2023-01-01 2023-12-31 0000731766 us-gaap:ProductMember 2022-01-01 2022-12-31 0000731766 us-gaap:ProductMember 2021-01-01 2021-12-31 0000731766 us-gaap:ServiceMember 2023-01-01 2023-12-31 0000731766 us-gaap:ServiceMember 2022-01-01 2022-12-31 0000731766 us-gaap:ServiceMember 2021-01-01 2021-12-31 0000731766 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us-gaap:MortgageBackedSecuritiesIssuedByUSGovernmentSponsoredEnterprisesMember 2022-12-31 0000731766 us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnt [...TRUNCATED...] d long-term debt can be found in Note 8 of the Notes to the Consolidated Financial Statements included in Part II, Item 8, “Financial Statements and Supplementary Data.” Long-term debt obligations of the parent company do not include other financing obligations at subsidiaries which totaled $ 1.1 billion and $ 0.9 billion at December 31, 2023 and 2022. Maturities of short-term borrowings and long-term debt for the years ending December 31 are as follows: (in millions) 2024 $ 4,088   2025 3,050   2026 2,500   2027 2,925   2028 3,000   Thereafter 47,002   UnitedHealth Group’s parent company had notes payable to subsidiaries of $ 9.9 billion and $ 8.7 billion as of December 31, 2023 and 2022, respectively, which included on-demand features. 4. Commitments and Contingencies Certain regulated subsidiaries are guaranteed by UnitedHealth Group’s parent company in the event of insolvency. UnitedHealth Group’s parent company also provides guarantees related to its service level under certain contracts. None of the amounts accrued, paid or charged to income for service level guarantees were material as of December 31, 2023, 2022 or 2021. For a summary of commitments and contingencies, see Note 12 of the Notes to the Consolidated Financial Statements included in Part II, Item 8, “Financial Statements and Supplementary Data.” ITEM  16.    FORM 10-K SUMMARY None. 79 Table of Contents SIGNATURES Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Dated: February 28, 2024   UNITEDHEALTH GROUP INCORPORATED By /s/    A NDREW W ITTY   Andrew Witty Chief Executive Officer Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.   Signature Title Date /s/ A NDREW W ITTY Director and Chief Executive Officer (principal executive officer) February 28, 2024 Andrew Witty /s/ J OHN R EX Executive Vice President and Chief Financial Officer (principal financial officer) February 28, 2024 John Rex /s/ T HOMAS R OOS Senior Vice President and Chief Accounting Officer (principal accounting officer) February 28, 2024 Thomas Roos * Director February 28, 2024 Charles Baker * Director February 28, 2024 Timothy Flynn * Director February 28, 2024 Paul Garcia * Director February 28, 2024 Kristen Gil * Director February 28, 2024 Stephen Hemsley * Director February 28, 2024 Michele Hooper * Director February 28, 2024 F. William McNabb III * Director February 28, 2024 Valerie Montgomery Rice, M.D. * Director February 28, 2024 John Noseworthy, M.D.   *By /s/ R UPERT B ONDY   Rupert Bondy As Attorney-in-Fact 80

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0311 (i.e., a 3.11% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0311 = 3.2110, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLP: 60-day history, VaR(99%)=-0.0176, max drawdown threshold=10%.

Question:
Asset: XLP
Daily returns (past 60 days): mean=-0.0003, std=0.0080, worst_day=-0.0250
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-03-20] ["Kremlin tells officials to stop using iPhones - Kommersant newspaper Adds Kremlin quote, recasts lead MOSCOW, March 20 (Reuters) - The Kremlin told officials involved in preparations for Russia's 2024 presidential election to stop using Apple AAPL.O iPhones because of concerns that the devices are vulnerable to Western intelligence agencies, the Kommersant newspaper reported. At a Kremlin-organised seminar for officials involved in domestic politics, Sergei Kiriyenko, first deputy head of the presidential administration, told officials to change their phones by April 1, Kommersant said, citing unidentified sources. \"It's all over for the iPhone: either throw it away or give it to the children,\" Kommersant quoted one of the participants of the meeting as saying. \"Everyone will have to do it in March.\" When asked about the issue on Monday, Kremlin spokesman Dmitry Peskov said he could not confirm the report. \"Smartphones should not be used for official business,\" Peskov told reporters. \"Any smartphone has a fairly transparent mechanism, no matter what operating system it has \u2013 Android or iOS. Naturally, they are not used for official purposes.\" Apple did not immediately respond to a request for comment. The Kremlin may provide other devices with different operating systems to replace the iPhones, Kommersant said, adding that the order to cease using iPhones had been directed at those involved in domestic politics - for which Kiriyenko is responsible. President Vladimir Putin has always said he has no smartphone, though Peskov has said Putin does use the Internet from time to time. Shortly after Russia sent its troops into Ukraine last year, U.S. and British spies claimed a scoop by uncovering - and going public with - intelligence that Putin was planning to invade. It is unclear how the spies obtained such intelligence. (Reporting by Guy Faulconbridge; Editing by Mark Trevelyan and Gareth Jones) ((guy.faulconbridge@thomsonreuters.com; 07825218698;)) The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.", "Apple (AAPL) Outpaces Stock Market Gains: What You Should Know Apple (AAPL) closed at $157.40 in the latest trading session, marking a +1.55% move from the prior day. This move outpaced the S&P 500's daily gain of 0.89%. At the same time, the Dow added 1.2%, and the tech-heavy Nasdaq lost 0.68%. Coming into today, shares of the maker of iPhones, iPads and other products had gained 1.61% in the past month. In that same time, the Computer and Technology sector gained 2.42%, while the S&P 500 lost 3.9%. Investors will be hoping for strength from Apple as it approaches its next earnings release. On that day, Apple is projected to report earnings of $1.44 per share, which would represent a year-over-year decline of 5.26%. Our most recent consensus estimate is calling for quarterly revenue of $93.39 billion, down 4% from the year-ago period. Looking at the ful

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0176 (i.e., a 1.76% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0176 = 5.6663, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


ADA-USD: 60-day history, VaR(99%)=-0.0871, max drawdown threshold=10%.

Question:
Asset: ADA-USD
Daily returns (past 60 days): mean=-0.0036, std=0.0432, worst_day=-0.0889
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-08-03]

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0871 (i.e., a 8.71% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0871 = 1.1479, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


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

Question:
Asset: BNB-USD
Daily returns (past 60 days): mean=-0.0007, std=0.0185, worst_day=-0.0575
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-08-27]

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0434 (i.e., a 4.34% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0434 = 2.3034, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


ICSH: 60-day history, VaR(99%)=-0.0002, max drawdown threshold=10%.

Question:
Asset: ICSH
Daily returns (past 60 days): mean=0.0002, std=0.0003, worst_day=-0.0002
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0002 (i.e., a 0.02% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0002 = 500.5482, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


ADA-USD: 60-day history, VaR(99%)=-0.0459, max drawdown threshold=10%.

Question:
Asset: ADA-USD
Daily returns (past 60 days): mean=0.0074, std=0.0249, worst_day=-0.0651
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-11-19]

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0459 (i.e., a 4.59% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0459 = 2.1777, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


BNB-USD: 60-day history, VaR(99%)=-0.0397, max drawdown threshold=10%.

Question:
Asset: BNB-USD
Daily returns (past 60 days): mean=0.0051, std=0.0277, worst_day=-0.0405
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-12-19]

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0397 (i.e., a 3.97% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0397 = 2.5213, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


USMV: 60-day history, VaR(99%)=-0.0105, max drawdown threshold=10%.

Question:
Asset: USMV
Daily returns (past 60 days): mean=0.0006, std=0.0048, worst_day=-0.0109
Maximum acceptable portfolio drawdown: 10%
Market regime: bull
Recent filing/news:
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blk:InvestmentsRelatedToDeferredCashCompensationPlansMember 2023-12-31 0001364742 us-gaap:CollateralizedLo [...TRUNCATED...] hat the Board of Directors authorized the repurchase of an additional seven million shares under the Company’s existing share repurchase program, for a total of up to approximately 7.9 million shares of BlackRock common stock. 64   Item 6. Exh ibits Exhibit No.   Description       4.1(1)   Indenture, dated March 14, 2024, among BlackRock Funding, Inc., BlackRock, Inc. and The Bank of New York Mellon, as trustee.       4.2(1)   First Supplemental Indenture, dated March 14, 2024, among BlackRock Funding, Inc., BlackRock, Inc. and The Bank of New York Mellon, as trustee.       4.3(1)   Form of Note for the 4.700% Notes due 2029 (included in Exhibit 4.2).       4.4(1)   Form of Note for the 5.000% Notes due 2034 (included in Exhibit 4.2).       4.5(1)   Form of Note for the 5.250% Notes due 2054 (included in Exhibit 4.2).       10.1(2)   Amendment No. 14, dated as of March 12, 2024, by and among BlackRock, Inc., certain of its subsidiaries, Wells Fargo Bank, National Association, as administrative agent, a swingline lender, an issuing lender, L/C agent and a lender, and the banks and other financial institutions referred to therein.       22.1(3)   Subsidiary Issuer of Guaranteed Securities.       31.1   Section 302 Certification of Chief Executive Officer       31.2   Section 302 Certification of Chief Financial Officer       32.1   Section 906 Certification of Chief Executive Officer and Chief Financial Officer       101.INS   Inline XBRL Instance Document – the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document       101.SCH   Inline XBRL Taxonomy Extension Schema with Embedded Linkbases Document       104   Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101)         (1) Incorporated by reference to BlackRock’s Current Report on Form 8-K filed on March 14, 2024. (2) Incorporated by reference to BlackRock's Current Report on Form 8-K filed on March 15, 2024. (3) Incorporated by reference to BlackRock's Registration Statement on Form S-3 (Registration No. 333-278583) filed on April 9, 2024. 65   SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.       BLACKROCK, INC.     (Registrant)             By: /s/ Martin S. Small Date: May 7, 2024        Martin S. Small          Senior Managing Director & Chief Financial Officer    (Principal Financial Officer)   66

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 = 0.0105 (i.e., a 1.05% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0105 = 9.5095, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLP: 60-day history, VaR(99%)=-0.0163, max drawdown threshold=10%.

Question:
Asset: XLP
Daily returns (past 60 days): mean=-0.0003, std=0.0073, worst_day=-0.0199
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-11-28] ["AAPL Quantitative Stock Analysis Below is Validea's guru fundamental report for APPLE INC (AAPL). Of the 22 guru strategies we follow, AAPL rates highest using our Twin Momentum Investor model based on the published strategy of Dashan Huang. This momentum model looks for a combination of fundamental momentum and price momentum. APPLE INC (AAPL) is a large-cap growth stock in the Communications Equipment industry. The rating using this strategy is 94% based on the firm\u2019s underlying fundamentals and the stock\u2019s valuation. A score of 80% or above typically indicates that the strategy has some interest in the stock and a score above 90% typically indicates strong interest. The following table summarizes whether the stock meets each of this strategy's tests. Not all criteria in the below table receive equal weighting or are independent, but the table provides a brief overview of the strong and weak points of the security in the context of the strategy's criteria. FUNDAMENTAL MOMENTUM: PASS TWELVE MINUS ONE MOMENTUM: PASS FINAL RANK: PASS Detailed Analysis of APPLE INC AAPL Guru Analysis AAPL Fundamental Analysis More Information on Dashan Huang Dashan Huang Portfolio About Dashan Huang: Dashan Huang is an Assistant Professor of Finance at the Lee Kong Chian School of Business at Singapore Management University. His paper \"Twin Momentum\" looked at combining traditional price momentum with improving fundamentals to generate market outperformance. In the paper, he identified seven fundamental variables (earnings, return on equity, return on assets, accrual operating profitability to equity, cash operating profitability to assets, gross profit to assets and net payout ratio) that he combined into a single fundamental momentum measure. He showed that stocks in the top 20% of the universe according to that measure outperformed the market going forward. When he combined that measure with price momentum, he was able to double its outperformance. Additional Research Links Top NASDAQ 100 Stocks Top Technology Stocks Top Large-Cap Growth Stocks High Momentum Stocks High Insider Ownership Stocks About Validea: Validea is aninvestment researchservice that follows the published strategies of investment legends. Validea offers both stock analysis and model portfolios based on gurus who have outperformed the market over the long-term, including Warren Buffett, Benjamin Graham, Peter Lynch and Martin Zweig. For more information about Validea, click here The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.", "Apple to end credit-card partnership with Goldman Sachs - WSJ Adds details on the contract in paragraph 2 Nov 28 (Reuters) - Apple AAPL.O is pulling the plug on its credit-card partnership with Goldman Sachs Group GS.N, the Wall Street Journal reported on Tuesday. The tech giant recently sent a proposal to the Wall Street bank to exit the contract in the next roughly 12

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0163 (i.e., a 1.63% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0163 = 6.1459, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLB: 60-day history, VaR(99%)=-0.0181, max drawdown threshold=10%.

Question:
Asset: XLB
Daily returns (past 60 days): mean=0.0008, std=0.0074, worst_day=-0.0183
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
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2023-03-31 0001364742 us-gaap:EquitySecuritiesMember blk:ConsolidatedVotingRightsEntitiesMember 2024-03-31 0001364742 us-gaap:FairValueInputsLevel2Member us-gaap:FairValueMeasurementsRecurringMember 2024-03-31 0001364742 us-gaap:EquitySecuritiesMember us-gaap:VariableInterestEntityPrimaryBeneficiaryMember 2024-03-31 0001364742 us-gaap:ForeignExchangeForwardMember 2023-12-31 0001364742 blk:OnePointNineZeroPercentNotesDueTwoThousandThirtyOneMember 2024-03-31 0001364742 blk:EquityFixedIncomeAndMultiAssetMutualFundsMember us-gaap:FairValueMeasurementsRecurringMember 2023-12-31 0001364742 2022-10-01 2022-12-31 0001364742 us-gaap:FairValueMeasurementsRecurringMember us-gaap:PortionAtOtherThanFairValueFairValueDisclosureMember 2024-03-31 0001364742 blk:AlternativeInvestmentsProductsMember us-gaap:InvestmentPerformanceMember 2024-01-01 2024-03-31 0001364742 srt:AmericasMember 2023-12-31 0001364742 us-gaap:FairValueInputsLevel1Member us-gaap:FairValueMeasurementsRecurringMember blk:InvestmentsRelatedToDeferredCashCompensationPlansMember 2023-12-31 0001364742 us-gaap:CollateralizedLo [...TRUNCATED...] hat the Board of Directors authorized the repurchase of an additional seven million shares under the Company’s existing share repurchase program, for a total of up to approximately 7.9 million shares of BlackRock common stock. 64   Item 6. Exh ibits Exhibit No.   Description       4.1(1)   Indenture, dated March 14, 2024, among BlackRock Funding, Inc., BlackRock, Inc. and The Bank of New York Mellon, as trustee.       4.2(1)   First Supplemental Indenture, dated March 14, 2024, among BlackRock Funding, Inc., BlackRock, Inc. and The Bank of New York Mellon, as trustee.       4.3(1)   Form of Note for the 4.700% Notes due 2029 (included in Exhibit 4.2).       4.4(1)   Form of Note for the 5.000% Notes due 2034 (included in Exhibit 4.2).       4.5(1)   Form of Note for the 5.250% Notes due 2054 (included in Exhibit 4.2).       10.1(2)   Amendment No. 14, dated as of March 12, 2024, by and among BlackRock, Inc., certain of its subsidiaries, Wells Fargo Bank, National Association, as administrative agent, a swingline lender, an issuing lender, L/C agent and a lender, and the banks and other financial institutions referred to therein.       22.1(3)   Subsidiary Issuer of Guaranteed Securities.       31.1   Section 302 Certification of Chief Executive Officer       31.2   Section 302 Certification of Chief Financial Officer       32.1   Section 906 Certification of Chief Executive Officer and Chief Financial Officer       101.INS   Inline XBRL Instance Document – the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document       101.SCH   Inline XBRL Taxonomy Extension Schema with Embedded Linkbases Document       104   Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101)         (1) Incorporated by reference to BlackRock’s Current Report on Form 8-K filed on March 14, 2024. (2) Incorporated by reference to BlackRock's Current Report on Form 8-K filed on March 15, 2024. (3) Incorporated by reference to BlackRock's Registration Statement on Form S-3 (Registration No. 333-278583) filed on April 9, 2024. 65   SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.       BLACKROCK, INC.     (Registrant)             By: /s/ Martin S. Small Date: May 7, 2024        Martin S. Small          Senior Managing Director & Chief Financial Officer    (Principal Financial Officer)   66

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0181 (i.e., a 1.81% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0181 = 5.5396, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XRP-USD: 60-day history, VaR(99%)=-0.0936, max drawdown threshold=10%.

Question:
Asset: XRP-USD
Daily returns (past 60 days): mean=-0.0004, std=0.0515, worst_day=-0.1180
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-08-07]

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 = 0.0936 (i.e., a 9.36% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0936 = 1.0683, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


BNB-USD: 60-day history, VaR(99%)=-0.0397, max drawdown threshold=10%.

Question:
Asset: BNB-USD
Daily returns (past 60 days): mean=0.0046, std=0.0277, worst_day=-0.0405
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-12-19]

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

Answer: 1.0000


ICSH: 60-day history, VaR(99%)=-0.0002, max drawdown threshold=10%.

Question:
Asset: ICSH
Daily returns (past 60 days): mean=0.0003, std=0.0003, worst_day=-0.0002
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0002 (i.e., a 0.02% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0002 = 502.7867, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


JNK: 60-day history, VaR(99%)=-0.0086, max drawdown threshold=10%.

Question:
Asset: JNK
Daily returns (past 60 days): mean=-0.0001, std=0.0032, worst_day=-0.0093
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to JNK, 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 = 0.0086 (i.e., a 0.86% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0086 = 11.6758, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


MTUM: 60-day history, VaR(99%)=-0.0162, max drawdown threshold=10%.

Question:
Asset: MTUM
Daily returns (past 60 days): mean=0.0006, std=0.0077, worst_day=-0.0171
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-07-18] ["Spain antitrust watchdog fines Amazon, Apple $218 million Adds CNMC quotes, detail throughout MADRID, July 18 (Reuters) - Spain's antitrust watchdog on Tuesday said it had imposed fines worth a total 194.1 million euros ($218.03 million) on Amazon AMZN.O and Apple AAPL.O for colluding to limit the online sale of devices from Apple and competitors in Spain. The two contracts the companies signed on Oct. 31, 2018 granting Amazon the status of authorized Apple dealer included anti-competitive clauses that affected the online market for electronic devices in Spain, CNMC, as the watchdog is known, said in a statement. \"The two companies restricted without justification the number of sellers of Apple products on the Amazon website in Spain,\" it said. More than 90% of the existing retailers who were using Amazon's market place to sell Apple devices were blocked as a result, CNMC added. Amazon also reduced the capacity of retailers in the European Union based outside Spain to access Spanish customers, the regulator said. It also restricted the advertising Apple's competitors were allowed to place on its website when users searched for Apple products, CNMC said. Following the deal between the two tech giants, the prices of Apple devices sold online rose in Spain, it added. Apple was fined 143.6 million euros and Amazon 50.5 million euros. The two companies have two months to appeal the decision. Representatives for Apple and Amazon did not immediately respond to requests for comment. ($1 = 0.8902 euros) (Reporting by Inti Landauro; Editing by David Latona and Jan Harvey) ((Inti.Landauro@thomsonreuters.com;)) The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.", "AAPL Quantitative Stock Analysis - Warren Buffett Below is Validea's guru fundamental report for APPLE INC (AAPL). Of the 22 guru strategies we follow, AAPL rates highest using our Patient Investor model based on the published strategy of Warren Buffett. This strategy seeks out firms with long-term, predictable profitability and low debt that trade at reasonable valuations. APPLE INC (AAPL) is a large-cap growth stock in the Communications Equipment industry. The rating using this strategy is 100% based on the firm\u2019s underlying fundamentals and the stock\u2019s valuation. A score of 80% or above typically indicates that the strategy has some interest in the stock and a score above 90% typically indicates strong interest. The following table summarizes whether the stock meets each of this strategy's tests. Not all criteria in the below table receive equal weighting or are independent, but the table provides a brief overview of the strong and weak points of the security in the context of the strategy's criteria. EARNINGS PREDICTABILITY: PASS DEBT SERVICE: PASS RETURN ON EQUITY: PASS RETURN ON TOTAL CAPITAL: PASS FREE CASH FLOW: PASS USE OF RETAINED EARNINGS: PASS SHARE REPURCHASE: PASS INITIAL RATE OF RETURN:

Determine the maximum fraction of total portfolio capital that should be allocated to MTUM, 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 = 0.0162 (i.e., a 1.62% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0162 = 6.1834, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


BNB-USD: 60-day history, VaR(99%)=-0.0338, max drawdown threshold=10%.

Question:
Asset: BNB-USD
Daily returns (past 60 days): mean=-0.0000, std=0.0180, worst_day=-0.0341
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-08-15]

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0338 (i.e., a 3.38% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0338 = 2.9579, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


LINK-USD: 60-day history, VaR(99%)=-0.0713, max drawdown threshold=10%.

Question:
Asset: LINK-USD
Daily returns (past 60 days): mean=0.0018, std=0.0303, worst_day=-0.0854
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-01-15]

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0713 (i.e., a 7.13% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0713 = 1.4019, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


CSHI: 60-day history, VaR(99%)=-0.0013, max drawdown threshold=10%.

Question:
Asset: CSHI
Daily returns (past 60 days): mean=0.0002, std=0.0006, worst_day=-0.0014
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to CSHI, 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 = 0.0013 (i.e., a 0.13% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0013 = 75.6589, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLP: 60-day history, VaR(99%)=-0.0161, max drawdown threshold=10%.

Question:
Asset: XLP
Daily returns (past 60 days): mean=-0.0001, std=0.0076, worst_day=-0.0250
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-04-04] ["Wall Street Analysts Think Apple (AAPL) Is a Good Investment: Is It? The recommendations of Wall Street analysts are often relied on by investors when deciding whether to buy, sell, or hold a stock. Media reports about these brokerage-firm-employed (or sell-side) analysts changing their ratings often affect a stock's price. Do they really matter, though? Before we discuss the reliability of brokerage recommendations and how to use them to your advantage, let's see what these Wall Street heavyweights think about Apple (AAPL). Apple currently has an average brokerage recommendation (ABR) of 1.35, on a scale of 1 to 5 (Strong Buy to Strong Sell), calculated based on the actual recommendations (Buy, Hold, Sell, etc.) made by 24 brokerage firms. An ABR of 1.35 approximates between Strong Buy and Buy. Of the 24 recommendations that derive the current ABR, 18 are Strong Buy and three are Buy. Strong Buy and Buy respectively account for 75% and 12.5% of all recommendations. Brokerage Recommendation Trends for AAPL Check price target & stock forecast for Apple here>>> The ABR suggests buying Apple, but making an investment decision solely on the basis of this information might not be a good idea. According to several studies, brokerage recommendations have little to no success guiding investors to choose stocks with the most potential for price appreciation. Do you wonder why? As a result of the vested interest of brokerage firms in a stock they cover, their analysts tend to rate it with a strong positive bias. According to our research, brokerage firms assign five \"Strong Buy\" recommendations for every \"Strong Sell\" recommendation. This means that the interests of these institutions are not always aligned with those of retail investors, giving little insight into the direction of a stock's future price movement. It would therefore be best to use this information to validate your own analysis or a tool that has proven to be highly effective at predicting stock price movements. Zacks Rank, our proprietary stock rating tool with an impressive externally audited track record, categorizes stocks into five groups, ranging from Zacks Rank #1 (Strong Buy) to Zacks Rank #5 (Strong Sell), and is an effective indicator of a stock's price performance in the near future. Therefore, using the ABR to validate the Zacks Rank could be an efficient way of making a profitable investment decision. Zacks Rank Should Not Be Confused With ABR Although both Zacks Rank and ABR are displayed in a range of 1-5, they are different measures altogether. The ABR is calculated solely based on brokerage recommendations and is typically displayed with decimals (example: 1.28). In contrast, the Zacks Rank is a quantitative model allowing investors to harness the power of earnings estimate revisions. It is displayed in whole numbers -- 1 to 5. It has been and continues to be the case that analysts employed by brokerage firms are overly optimistic with their recommendations. Because o

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0161 (i.e., a 1.61% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0161 = 6.1996, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


SOL-USD: 60-day history, VaR(99%)=-0.0712, max drawdown threshold=10%.

Question:
Asset: SOL-USD
Daily returns (past 60 days): mean=0.0071, std=0.0385, worst_day=-0.0730
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-12-19]

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0712 (i.e., a 7.12% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0712 = 1.4037, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLB: 60-day history, VaR(99%)=-0.0170, max drawdown threshold=10%.

Question:
Asset: XLB
Daily returns (past 60 days): mean=-0.0001, std=0.0083, worst_day=-0.0190
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
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aapl:A1.375NotesDue2029Member 2023-10-01 2024-06-29 0000320193 aapl:A3.050NotesDue2029Member 2023-10-01 2024-06-29 0000320193 aapl:A0.500Notesdue2031Member 2023-10-01 2024-06-29 0000320193 aapl:A3.600NotesDue2042Member 2023-10-01 2024-06-29 0000320193 2024-07-19 0000320193 us-gaap:ProductMember 2024-03-31 2024-06-29 0000320193 us-gaap:ProductMember 2023-04-02 2023-07-01 0000320193 us-gaap:ProductMember 2023-10-01 2024-06-29 0000320193 us-gaap:ProductMember 2022-09-25 2023-07-01 0000320193 us-gaap:ServiceMember 2024-03-31 2024-06-29 0000320193 us-gaap:ServiceMember 2023-04-02 2023-07-01 0000320193 us-gaap:ServiceMember 2023-10-01 2024-06-29 0000320193 us-gaap:ServiceMember 2022-09-25 2023-07-01 0000320193 2024-03-31 2024-06-29 0000320193 2023-04-02 2023-07-01 0000320193 2022-09-25 2023-07-01 0000320193 2024-06-29 0000320193 2023-09-30 0000320193 2024-03-30 0000320193 2023-04-01 0000320193 2022-09-24 0000320193 us-gaap:CommonStockIncludingAdditionalPaidInCapitalMember 2024-03-30 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us-gaap:AccumulatedOtherComprehensiveIncomeMember 2024-06-29 0000320193 us-gaap:AccumulatedOtherComprehensiveIncomeMember 2023-07-01 0000320193 2023-07-01 0000320193 aapl:IPhoneMember 2024-03-31 2024-06-29 0000320193 aapl:IPhoneMember 2023-04-02 2023-07-01 0000320193 aapl:IPhoneMember 2023-10-01 2024-06-29 0000320193 aapl:IPhoneMember 2022-09-25 2023-07-01 0000320193 aapl:MacMember 2024-03-31 2024-06-29 0000320193 aapl:MacMember 2023-04-02 2023-07-01 0000320193 aapl:MacMember 2023-10-01 2024-06-29 0000320193 aapl:MacMember 2022-09-25 2023-07-01 0000320193 aapl:IPadMember 2024-03-31 2024-06-29 0000320193 aapl:IPadMember 2023-04-02 2023-07-01 0000320193 aapl:IPadMember 2023-10-01 2024-06-29 0000320193 aapl:IPadMember 2022-09-25 2023-07-01 0000320193 aapl:WearablesHomeandAccessoriesMember 2024-03-31 2024-06-29 0000320193 aapl:WearablesHomeandAccessoriesMember 2023-04-02 2023-07-01 0000320193 aapl:WearablesHomeandAccessoriesMember 2023-10-01 2024-06-29 0000320193 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us-gaap:CommercialPaperMember 2024-06-29 0000320193 us-gaap:FairValueInputsLevel2Member us-gaap:CorporateDebtSecuritiesMember 2024-06-29 0000 [...TRUNCATED...] purchases 45,690  $ 169.74  45,690  May 5, 2024 to June 1, 2024: Open market and privately negotiated purchases 51,729  $ 188.38  51,729  June 2, 2024 to June 29, 2024: Open market and privately negotiated purchases 41,354  $ 205.54  41,354  Total 138,773  $ 114,074  (1) On May 4, 2023, the Board of Directors authorized the purchase of up to $90 billion of the Company’s common stock under a share repurchase program. As of June 29, 2024, remaining availability under the May 2023 program was $4.1 billion. On May 2, 2024, the Board of Directors authorized an additional program to repurchase up to $110 billion of the Company’s common stock. The programs do not obligate the Company to acquire a minimum amount of shares. Under the programs, shares may be repurchased in privately negotiated or open market transactions, including under plans complying with Rule 10b5-1 under the Exchange Act. Item 3.    Defaults Upon Senior Securities None. Item 4.    Mine Safety Disclosures Not applicable. Item 5.    Other Information Insider Trading Arrangements On May 24, 2024 , Tim Cook , the Company’s Chief Executive Officer , entered into a trading plan intended to satisfy the affirmative defense conditions of Rule 10b5-1(c) under the Exchange Act. The plan provides for the sale, subject to certain price limits, of shares vesting during the duration of the plan pursuant to certain equity awards granted to Mr. Cook, excluding shares withheld by the Company to satisfy income tax withholding and remittance obligations. Mr. Cook’s plan will expire on May 24, 2026, subject to early termination in accordance with the terms of the plan. Apple Inc. | Q3 2024 Form 10-Q | 20 Item 6.    Exhibits Incorporated by Reference Exhibit Number Exhibit Description Form Exhibit Filing Date/ Period End Date 31.1* Rule 13a-14(a) / 15d-14(a) Certification of Chief Executive Officer. 31.2* Rule 13a-14(a) / 15d-14(a) Certification of Chief Financial Officer. 32.1** Section 1350 Certifications of Chief Executive Officer and Chief Financial Officer. 101* Inline XBRL Document Set for the condensed consolidated financial statements and accompanying notes in Part I, Item 1, “Financial Statements” of this Quarterly Report on Form 10-Q. 104* Inline XBRL for the cover page of this Quarterly Report on Form 10-Q, included in the Exhibit 101 Inline XBRL Document Set. *    Filed herewith. **    Furnished herewith. Apple Inc. | Q3 2024 Form 10-Q | 21 SIGNATURE Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized. Date: August 1, 2024 Apple Inc. By: /s/ Luca Maestri Luca Maestri Senior Vice President, Chief Financial Officer Apple Inc. | Q3 2024 Form 10-Q | 22

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0170 (i.e., a 1.70% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0170 = 5.8963, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


ETH-USD: 60-day history, VaR(99%)=-0.0901, max drawdown threshold=10%.

Question:
Asset: ETH-USD
Daily returns (past 60 days): mean=-0.0027, std=0.0389, worst_day=-0.1002
Maximum acceptable portfolio drawdown: 10%
Market regime: bull
Recent filing/news:
[Kaggle 2023-12-19]

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0901 (i.e., a 9.01% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0901 = 1.1103, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


BNB-USD: 60-day history, VaR(99%)=-0.0556, max drawdown threshold=10%.

Question:
Asset: BNB-USD
Daily returns (past 60 days): mean=0.0019, std=0.0275, worst_day=-0.0652
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-12-19]

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0556 (i.e., a 5.56% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0556 = 1.7994, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


DOT-USD: 60-day history, VaR(99%)=-0.1303, max drawdown threshold=10%.

Question:
Asset: DOT-USD
Daily returns (past 60 days): mean=0.0105, std=0.0694, worst_day=-0.1824
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-12-19]

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

Answer: 0.7673

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1303 (i.e., a 13.03% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1303 = 0.7673, capped at 1.0.
Maximum position size = 0.7673 (76.7% of portfolio).


FXI: 60-day history, VaR(99%)=-0.0361, max drawdown threshold=10%.

Question:
Asset: FXI
Daily returns (past 60 days): mean=-0.0007, std=0.0183, worst_day=-0.0438
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-06-20] ["Got $10,000? Here Are 3 Stocks to Buy There is no better time to invest than now, as the saying goes. Starting as soon as you can ensures that you not only compound your wealth over time, but also start accumulating a dividend stream that will provide you with useful passive income. Rather than segregate investors into either growth or income, I believe you can enjoy the best of both worlds by setting up your investment portfolio with a healthy mix of each type of stock. You should adhere to a set of criteria when choosing suitable stocks for your portfolio. Companies should have a strong brand or competitive moat ensuring they can continue to draw customers. They should also possess a long growth runway and be innovative in launching new products and services that generate customer loyalty. It also does not hurt if a company has a strong track record of growing its dividends as this means it can likely continue doing so. So if you have $10,000 to spare, here are three stocks you might want to consider accumulating. Image source: Getty images. Apple Apple (NASDAQ: AAPL) needs no introduction -- it's a pioneer in the smartphone industry armed with a plethora of useful gadgets and devices that many cannot do without. Its iconic iPhone, iPad, and Apple Watch have set the standard for many competitors, and the company has a large and loyal following of customers that eagerly await each new product launch. Despite being a trillion-dollar company, Apple posted revenue growth of 7.8% year over year for its fiscal 2022, along with a 5.4% year-over-year increase in net income. For the first six months of fiscal 2023, Apple posted a rare 4.2% year-over-year revenue decline, with net income slipping by 9.2% year over year to $54.2 billion. The drop was because of supply chain woes amid the U.S.-China spat, but many investors believe that this is merely a blip for the company. Despite the weaker numbers, there is now palpable excitement over Apple as the company launches its first major piece of hardware in nearly a decade, the Vision Pro. The new headset promises to blend the real and virtual worlds using a mix of virtual and augmented reality, and promises a new level of immersion and clarity, all with a price tag of $3,500. Apple is also thinking of shifting around 18% of its global iPhone production to India by 2025, reducing its reliance on China and possibly enjoying better margins as costs are lower in India compared with China. Meanwhile, investors can also enjoy quarterly dividends fof $0.24 per share, a slight year-over-year increase from the $0.23 paid out a year earlier. Polaris Polaris (NYSE: PII) is a manufacturer of power sports vehicles, such as off-road vehicles, snowmobiles, and motorcycles. The company has remained resilient through the pandemic as its vehicles continue to find a ready market. Sales rose from $7 billion in 2020 to $8.6 billion in 2020, with net income (excluding exceptional and one-off items) climbing from $504 million t

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 = 0.0361 (i.e., a 3.61% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0361 = 2.7664, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


VLUE: 60-day history, VaR(99%)=-0.0151, max drawdown threshold=10%.

Question:
Asset: VLUE
Daily returns (past 60 days): mean=0.0016, std=0.0094, worst_day=-0.0175
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2024-01-09] ["Is iShares Semiconductor ETF (SOXX) a Strong ETF Right Now? The iShares Semiconductor ETF (SOXX) was launched on 07/10/2001, and is a smart beta exchange traded fund designed to offer broad exposure to the Technology ETFs category of the market. What Are Smart Beta ETFs? The ETF industry has long been dominated by products based on market cap weighted indexes, a strategy created to reflect the market or a particular market segment. Market cap weighted indexes offer a low-cost, convenient, and transparent way of replicating market returns, and are a good option for investors who believe in market efficiency. However, some investors believe in the possibility of beating the market through exceptional stock selection, and choose a different type of fund that tracks non-cap weighted strategies: smart beta. Based on specific fundamental characteristics, or a combination of such, these indexes attempt to pick stocks that have a better chance of risk-return performance. The smart beta space gives investors many different choices, from equal-weighting, one of the simplest strategies, to more complicated ones like fundamental and volatility/momentum based weighting. However, not all of these methodologies have been able to deliver remarkable returns. Fund Sponsor & Index The fund is managed by Blackrock, and has been able to amass over $9.93 billion, which makes it one of the largest ETFs in the Technology ETFs. SOXX, before fees and expenses, seeks to match the performance of the PHLX SOX Semiconductor Sector Index. The ICE Semiconductor Index measures the performance of U.S. traded securities of companies engaged in the semiconductor business. Cost & Other Expenses Investors should also pay attention to an ETF's expense ratio. Lower cost products will produce better results than those with a higher cost, assuming all other metrics remain the same. Operating expenses on an annual basis are 0.35% for SOXX, making it one of the least expensive products in the space. It's 12-month trailing dividend yield comes in at 0.81%. Sector Exposure and Top Holdings Even though ETFs offer diversified exposure that minimizes single stock risk, investors should also look at the actual holdings inside the fund. Luckily, most ETFs are very transparent products that disclose their holdings on a daily basis. Representing 100% of the portfolio, the fund has heaviest allocation to the Information Technology sector. Taking into account individual holdings, Advanced Micro Devices Inc (AMD) accounts for about 9.48% of the fund's total assets, followed by Broadcom Inc (AVGO) and Intel Corporation Corp (INTC). SOXX's top 10 holdings account for about 59.63% of its total assets under management. Performance and Risk So far this year, SOXX has lost about -2.88%, and was up about 55.09% in the last one year (as of 01/09/2024). During this past 52-week period, the fund has traded between $373.83 and $581.45. The ETF has a beta of 1.37 and standard deviation of 34.63% for the trailin

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0151 (i.e., a 1.51% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0151 = 6.6298, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


ETH-USD: 60-day history, VaR(99%)=-0.0568, max drawdown threshold=10%.

Question:
Asset: ETH-USD
Daily returns (past 60 days): mean=-0.0013, std=0.0230, worst_day=-0.0724
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-12-19]

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0568 (i.e., a 5.68% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0568 = 1.7613, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


QUAL: 60-day history, VaR(99%)=-0.0177, max drawdown threshold=10%.

Question:
Asset: QUAL
Daily returns (past 60 days): mean=0.0003, std=0.0085, worst_day=-0.0191
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-11-29] ["3 Unstoppable Growth Stocks to Buy if There's a Stock Market Sell-Off The stock market has been on a nice run of late. At the time of this writing, the S&P 500 has gained 7% over the past month while the Nasdaq Composite has risen by 8%. While it's always great to see green in your brokerage account, with higher prices come higher valuations. Paying too much for even a great growth stock can significantly cut into investor returns. However, it is inevitable that the market will eventually turn and stocks will fall. That can be difficult to endure, but it will also provide buying opportunities for the best businesses in the world. Let's take a look at three growth companies with stocks to buy if there's a sell-off in the market. Nvidia Semiconductor chip developer Nvidia (NASDAQ: NVDA) has been in the news lately for very good reasons. Driven by the rush into artificial intelligence (AI), Nvidia has seen mind-boggling results in the last two quarters. Consider the year-over-year revenue growth and net income over the latest two quarters of its fiscal 2024 (ended Oct. 29, 2023). METRIC Q2 2024 Q3 2024 Revenue growth (YOY) 101% 206% Net income (YOY) 843% 1,259% Data source: Nvidia. Management expects this trend to continue at least for another quarter. Fourth-quarter 2024 revenue is projected to be $20 billion. That would represent a 231% increase over Q4 2023. The majority of this growth has been in Nvidia's data center business and it's because of the interest in chips that can help with artificial intelligence. Even if the AI revolution is upon us, it's unlikely Nvidia will see this level of growth over the long term. As one might expect, the valuation of Nvidia shares is a reflection of the recent results. Nvidia currently trades for 115 times trailing earnings. Compare that to the S&P 500's price-to-earnings (P/E) ratio of 25 and it's clear that investors may be better off waiting for the stock to pull back before buying shares. Apple Apple (NASDAQ: AAPL) is a great company and still is likely to show periods of growth ahead, but the current valuation suggests it may be best to wait before buying shares. Apple is trading for a P/E multiple of 31, which is well above the market average. What makes that more concerning from the standpoint of potential returns is that the results over the last few quarters are showing signs of slowing momentum. In the most recently reported fiscal quarter, revenue growth declined by 1% year over year. This was the fourth consecutive quarter with a decline in year-over-year revenue growth. Both revenue and free cash flow have been trending down over the last year. AAPL Free Cash Flow (Quarterly) data by YCharts There's every chance that this is a temporary lull in Apple's growth story. However, the current valuation doesn't match the results. There's a chance that Apple's growth reaccelerates from here, rewarding shareholders who buy today. However, the more likely scenario is that results from today's valuation

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0177 (i.e., a 1.77% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0177 = 5.6593, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


TLH: 60-day history, VaR(99%)=-0.0141, max drawdown threshold=10%.

Question:
Asset: TLH
Daily returns (past 60 days): mean=0.0001, std=0.0065, worst_day=-0.0176
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to TLH, 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 = 0.0141 (i.e., a 1.41% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0141 = 7.1170, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


^VIX: 60-day history, VaR(99%)=-0.0920, max drawdown threshold=10%.

Question:
Asset: ^VIX
Daily returns (past 60 days): mean=-0.0006, std=0.0503, worst_day=-0.0925
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-08-28] ["What's Going On With Apple Stock? Fool.com contributor Parkev Tatevosian reviews the latest quarterly update from Apple (NASDAQ: AAPL) to offer insights to everyday investors. *Stock prices used were the afternoon prices of Aug. 25, 2023. The video was published on Aug. 27, 2023. 10 stocks we like better than Apple When our analyst team has a stock tip, it can pay to listen. After all, the newsletter they have run for over a decade, Motley Fool Stock Advisor, has tripled the market.* They just revealed what they believe are the ten best stocks for investors to buy right now... and Apple wasn't one of them! That's right -- they think these 10 stocks are even better buys. See the 10 stocks *Stock Advisor returns as of August 21, 2023 Parkev Tatevosian, CFA has positions in Apple. The Motley Fool has positions in and recommends Apple. The Motley Fool has a disclosure policy. Parkev Tatevosian is an affiliate of The Motley Fool and may be compensated for promoting its services. If you choose to subscribe through his link, he will earn some extra money that supports his channel. His opinions remain his own and are unaffected by The Motley Fool. The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.", "New Zealand plans digital services tax for multinationals from 2025 Aug 29 (Reuters) - New Zealand said on Tuesday it would introduce legislation for a digital services tax on large multinational companies from 2025 after talks for a global rollout did not reach consensus at the Organization for Economic Cooperation and Development (OECD). More than 140 countries were supposed to start implementing next year a 2021 deal overhauling decades-old rules on how governments tax multinationals that are widely considered to be outdated as digital giants like Apple AAPL.O or Amazon AMZN.O can book profits in low-tax countries. But the proposal was pushed back last month after countries with digital services taxes, with the exception of Canada, agreed to hold off applying them for at least another year. \"While we will keep working to support a multilateral agreement, we are not prepared to simply wait around until then to find out,\" Finance Minister Grant Robertson said in a statement. \"We don't think it's fair that everyday Kiwis pay their fair share of taxes but there's no tax liability for large multinationals.\" The proposed digital services tax will target multinational businesses that earn income from New Zealand users of social media platforms, search engines, and online marketplaces. The tax would be payable by businesses that make over 750 million euros ($812 million) a year from global digital services and over NZ$3.5 million a year from digital services provided to New Zealand users. It is expected to generate NZ$222 million over four years. The tax would be applied at 3% on gross taxable New Zealand digital services revenue, a similar rate adopted by comparable countrie

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 = 0.0920 (i.e., a 9.20% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0920 = 1.0867, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


^VIX: 60-day history, VaR(99%)=-0.1245, max drawdown threshold=10%.

Question:
Asset: ^VIX
Daily returns (past 60 days): mean=0.0007, std=0.0588, worst_day=-0.1284
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-04-12] ["Wall Street rises as inflation data soothes rate-hike jitters By Sruthi Shankar and Ankika Biswas April 12 (Reuters) - U.S. stock indexes were higher on Wednesday after data showed consumer prices cooled faster than expected in March, raising hopes that the Federal Reserve could hit pause on its interest rate hiking cycle soon. The Labor Department data showed headline and core CPI in March rose 0.1% and 0.4%, respectively, on a month-on-month basis. Economists were expecting a rise of 0.2% and 0.4%, respectively. On a year-over-year basis, the headline number rose 5% against economists' estimates of a 5.2% rise, while the core measure, which strips out volatile food and energy prices, climbed 5.6% in-line with consensus estimates. \"Today's CPI takes some heat off the Fed, for now. Moderating price pressures combined with signs of cooling in the labor market will offer a temporary reprieve to markets,\" said Ronald Temple, chief market strategist at Lazard. \"While this is good news, it does not mean tightening is over. Core inflation remains far above the Fed's target, and the path to 2% will be bumpy.\" Stubbornly high rents kept underlying inflation pressures simmering, likely ensuring that the U.S. central bank will raise interest rates again next month. Traders mostly stuck to bets that the Fed will hike rates by 25 basis points next month, with Fed fund futures pricing in a 70% chance of such a move. After the banking turmoil last month, investors were betting that the Fed will soon end its aggressive monetary tightening campaign and also start cutting rates in the back half of the year amid growing concerns of a recession. Major technology and other growth stocks such as Microsoft Corp MSFT.O, Tesla Inc TSLA.O and Apple Inc AAPL.O edged higher as Treasury yields slipped. US/ Minutes from the U.S. central bank's policy meeting in March will also be watched closely by investors later in the day for further clues on the trajectory of interest rates. The Fed raised rates by 25 bps last month and signaled it was on the verge of pausing further rate hikes. Investors are also awaiting the first-quarter earnings season, which begins in earnest on Friday with results from three major banks, Citigroup Inc C.N, JPMorgan Chase & Co JPM.N and Wells Fargo & Co WFC.N. At 9:58 a.m. ET, the Dow Jones Industrial Average .DJI was up 155.96 points, or 0.46%, at 33,840.75, the S&P 500 .SPX was up 13.20 points, or 0.32%, at 4,122.14, and the Nasdaq Composite .IXIC was up 9.36 points, or 0.08%, at 12,041.24. American Airlines Group Inc AAL.O dropped 7.1% as it forecast a lower-than-expected profit for the first quarter as the carrier battles high fuel costs. The wider airlines index .SPLRCALI fell nearly 4%. U.S.-listed shares of Chinese firms Alibaba Group Holding Ltd BABA.N and JD.com Inc JD.O fell almost 4% each as investors weighed rising geopolitical tensions. Taiwan said on Wednesday it had successfully urged China to drastically narrow its plan to clos

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: 0.8030

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1245 (i.e., a 12.45% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1245 = 0.8030, capped at 1.0.
Maximum position size = 0.8030 (80.3% of portfolio).


EMB: 60-day history, VaR(99%)=-0.0089, max drawdown threshold=10%.

Question:
Asset: EMB
Daily returns (past 60 days): mean=0.0008, std=0.0045, worst_day=-0.0102
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 = 0.0089 (i.e., a 0.89% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0089 = 11.2871, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


DOT-USD: 60-day history, VaR(99%)=-0.0653, max drawdown threshold=10%.

Question:
Asset: DOT-USD
Daily returns (past 60 days): mean=-0.0032, std=0.0237, worst_day=-0.0915
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-06-21]

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0653 (i.e., a 6.53% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0653 = 1.5322, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


LINK-USD: 60-day history, VaR(99%)=-0.0979, max drawdown threshold=10%.

Question:
Asset: LINK-USD
Daily returns (past 60 days): mean=-0.0050, std=0.0450, worst_day=-0.1260
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-12-19]

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0979 (i.e., a 9.79% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0979 = 1.0216, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


MTUM: 60-day history, VaR(99%)=-0.0212, max drawdown threshold=10%.

Question:
Asset: MTUM
Daily returns (past 60 days): mean=0.0008, std=0.0113, worst_day=-0.0231
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-01-03] ["US STOCKS-Wall St starts the year with a dip; Apple, Tesla shares drag By Sin\u00e9ad Carew and Amruta Khandekar Jan 3 (Reuters) - Wall Street's main indexes closed lower on the first trading day of 2023 with the biggest drags from Tesla and Apple, while investors worried about the Federal Reserve's interest-rate hiking path as they awaited minutes from its December meeting. Shares in electric vehicle maker Tesla Inc TSLA.O closed down 12% after hitting their lowest level since August 2020 and put pressure on the consumer discretionary sector .SPLRCD following a miss on Wall Street estimates for fourth-quarter deliveries. Apple Inc AAPL.O shares sank 3.7%, with the iPhone maker hitting its lowest level since June 2021, after a report from Nikkei Asia pointed to weaker demand. In addition, an analyst downgraded their rating of the stock due to production cuts in COVID-19-hit China. The energy sector .SPNY, which logged stellar gains in 2022, closed down 3.6% in the year's first trading day as oil prices fell on bleak business activity data from China and concerns about the global economic outlook. O/R. The main U.S. stock indexes in 2022 showed their steepest annual losses since 2008 following the Fed's fastest pace of rate hikes since the 1980s to stamp out decades-high inflation. \"2022 was a terrible year for equity markets. Some of the reasons for that haven't dissipated because we turned the calendar,\" said Michael James, managing director of equity trading at Wedbush Securities in Los Angeles. \"There's still elevated anxiety, uncertainty about the Fed and inflation. Until there's clarity on that, it's going to be tough to make any upside headway in equity markets.\" Given Apple and Tesla's clout in the market, James also cited specific concerns about them for broader S&P weakness Tuesday. The Dow Jones Industrial Average .DJI fell 10.88 points, or 0.03%, to 33,136.37; the S&P 500 .SPX lost 15.36 points, or 0.40%, to 3,824.14; and the Nasdaq Composite .IXIC dropped 79.50 points, or 0.76%, to 10,386.99. The S&P 500 had shed 19.4% in 2022, marking a roughly $8 trillion decline in market capitalization, while the Nasdaq fell 33.1%, dragged down by growth stocks. Among the S&P 500's 11 major sectors, behind energy, technology was the second biggest decliner, losing 1%, with Apple hastening the decline as it ended the day with a market valuation below $2 trillion for the first time since March 2021. Tesla's biggest daily percentage drop since September 2020 helped make the consumer discretionary index .SPLRCD the S&P's third weakest sector on the day with a 0.6% drop. The benchmark's biggest gainer on the day was communications services .SPLRCL, with Facebook parent Meta Platforms Inc META.O leading the advancers there with a gain of 3.7%. Investors on Wednesday will closely monitor the minutes of the Fed's December policy meeting, when the central bank raised interest rates by 50 basis points after four straight 75 basis points hikes and sign

Determine the maximum fraction of total portfolio capital that should be allocated to MTUM, 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 = 0.0212 (i.e., a 2.12% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0212 = 4.7147, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


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

Question:
Asset: BTC-USD
Daily returns (past 60 days): mean=0.0079, std=0.0274, worst_day=-0.0501
Maximum acceptable portfolio drawdown: 10%
Market regime: bull
Recent filing/news:
[Kaggle 2023-12-19]

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 = 0.0427 (i.e., a 4.27% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0427 = 2.3413, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


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

Question:
Asset: AVAX-USD
Daily returns (past 60 days): mean=-0.0025, std=0.0272, worst_day=-0.0684
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-08-20]

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: 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 = 1.5151, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


AVAX-USD: 60-day history, VaR(99%)=-0.1065, max drawdown threshold=10%.

Question:
Asset: AVAX-USD
Daily returns (past 60 days): mean=-0.0080, std=0.0318, worst_day=-0.1516
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-06-18]

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: 0.9387

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1065 (i.e., a 10.65% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1065 = 0.9387, capped at 1.0.
Maximum position size = 0.9387 (93.9% of portfolio).


IVV: 60-day history, VaR(99%)=-0.0132, max drawdown threshold=10%.

Question:
Asset: IVV
Daily returns (past 60 days): mean=0.0017, std=0.0075, worst_day=-0.0160
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-07-19] ["Technology Sector Update for 07/19/2023: AAPL, U, MSFT, ATVI Tech stocks were lower Wednesday afternoon with the Technology Select Sector SPDR Fund (XLK) decreasing 0.5% and the Philadelphia Semiconductor index falling 1.1%. In company news, Apple (AAPL) has been working on generative artificial intelligence tools to catch up with rivals, but it hasn't decided yet how to release the new technology to consumers, Bloomberg reported Wednesday. Apple shares were adding 0.5%. Unity Software (U) was up 1.7% after the company launched its beta program for visionOS, the operating system that powers Apple's Vision Pro. Microsoft (MSFT) and Activision Blizzard (ATVI) revised some terms of their planned deal and extended the time period by which the companies must close the deal as they seek to resolve the remaining regulatory hurdles. Microsoft shares fell1.9% and Activision dropped 0.5%. The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.", "Apple tests generative AI tools to rival OpenAI's ChatGPT - Bloomberg News Updates shares, adds details from the report and background July 19 (Reuters) - Apple AAPL.O is working on artificial intelligence(AI) offerings similar to OpenAI's ChatGPT and Google's Bard, Bloomberg News reported on Wednesday, sending its shares up as much as 2% to a record high. The iPhone maker has built its own framework, known as \"Ajax\", to create large language models (LLMs) and is also testing a chatbot that some engineers call \"Apple GPT\", the report said,citing people with knowledge of the matter. The company did not respond to a Reuters request for comment. Apple has so far held back from any big moves in AI and even avoided mentioning the buzzword at its developer conference in June - in stark contrast to other tech giants such as Alphabet GOOGL.O and Microsoft MSFT.Owhich have made bold moves to incorporate the breakthrough technology. Shares of Microsoft, Nvidia NVDA.O and Alphabet dropped more than 1% after the report. Apple has, however, subtly pushed advanced AI in some of its products such as Apple Photos, on device texting, and the recently launched mixed-reality headset Vision Pro. Still, analysts say the company is behind peers in incorporating the new technology. Apple's core AI product, voice assistant Siri, has also stagnated over the years. The Bloomberg report said several teams are involved in the latest AI effort, which is led by John Giannandrea, the company's head of machine learning and AI, andCraig Federighi, Apple's top software engineering executive. Apple's new virtual assistant summarizes text and answers questions based on data it has been trained with, and is being used internally for product prototyping, according to the report. Employees say the tool essentially replicates Bard, ChatGPT and Bing AI, and works as a web application. Apple does not yet have a concrete plan for the tools it is developing, but it is aiming

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 = 0.0132 (i.e., a 1.32% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0132 = 7.5751, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


MATIC-USD: 60-day history, VaR(99%)=-0.0912, max drawdown threshold=10%.

Question:
Asset: MATIC-USD
Daily returns (past 60 days): mean=0.0057, std=0.0405, worst_day=-0.0973
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-12-19]

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: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0912 (i.e., a 9.12% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0912 = 1.0969, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


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

Question:
Asset: DOT-USD
Daily returns (past 60 days): mean=0.0024, std=0.0231, worst_day=-0.0418
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-08-14]

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0379 (i.e., a 3.79% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0379 = 2.6413, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


BNB-USD: 60-day history, VaR(99%)=-0.0868, max drawdown threshold=10%.

Question:
Asset: BNB-USD
Daily returns (past 60 days): mean=0.0126, std=0.0424, worst_day=-0.0885
Maximum acceptable portfolio drawdown: 10%
Market regime: bull
Recent filing/news:
[Kaggle 2023-12-19]

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0868 (i.e., a 8.68% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0868 = 1.1519, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).