IWM: 60-day history, VaR(99%)=-0.0303, max drawdown threshold=10%.

Question:
Asset: IWM
Daily returns (past 60 days): mean=0.0011, std=0.0147, worst_day=-0.0337
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-01-17] ["FAANG Stocks Look Ready to Soar Later This Month. Here's Why. FAANG stocks got crushed last year as a combination of slowing growth and compressing valuations hit even the mightiest tech stocks like Amazon (NASDAQ: AMZN), Alphabet (NASDAQ: GOOGL) (NASDAQ: GOOG), and Apple (NASDAQ: AAPL). 2023 offers investors the chance at a new beginning, and stocks jumped out of the gate on data showing that inflation is cooling while the economy remains stable. Looking ahead to earnings season, there's another reason why the stock market, and especially FAANG stocks, could get a boost. The dollar has weakened substantially over the last few months, which makes international revenue more valuable. Image source: Getty Images. The FX effect When big tech stocks reported third-quarter earnings nearly three months ago, a stronger dollar was a major headwind because all of these companies derive a significant percentage of their revenue from outside the U.S. In Amazon's third-quarter earnings report, the company reported 15% revenue growth, but it rose 19% in constant currency. Alphabet reported 6% revenue growth in its third quarter, or 11% in constant currency, and Netflix's (NASDAQ: NFLX) revenue rose 6%, or 13% in constant currency. As you can see from the chart below, the dollar index hit a 10-year high a few months ago, but the dollar cooled rapidly since then as interest rates have fallen and investors expect the Fed to stop hiking interest rates soon. ^DJFXCMD data by YCharts The chart below shows that the dollar plateaued in late September and October before falling sharply when the CPI report came out in November showing inflation falling faster than expected. It's continued to fall since then and now is the lowest it's been since last May. ^DJFXCMD data by YCharts Most multinational companies expected currency headwinds to strengthen from the third quarter to the fourth quarter. However, based on the chart above and the year-over-year comparisons, those currency headwinds seem to have actually weakened from the third quarter to the fourth, though they'll still weigh on results. That's a good indicator that FAANG results will beat guidance since these companies made their forecasts based on the value of the dollar in late October. Amazon, for example, called for 460 basis points of currency headwinds in its fourth quarter, but currency headwinds will almost certainly be more favorable than that. Similarly, Netflix, which gets most of its revenue from outside the U.S., expected nearly 8 percentage points of currency headwinds. Not only will these companies benefit from the weaker dollar in the fourth quarter, but their guidance is also likely to get a lift from the falling dollar. In fact, currency exchange could become a tailwind within a couple of quarters and for 2023 as a whole if the dollar continues to weaken. The weakening dollar is also a tailwind because of its impact on the bottom line. These companies typically have most of their expenses in U.

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 = 0.0303 (i.e., a 3.03% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0303 = 3.2990, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLE: 60-day history, VaR(99%)=-0.0408, max drawdown threshold=10%.

Question:
Asset: XLE
Daily returns (past 60 days): mean=0.0010, std=0.0176, worst_day=-0.0481
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-01-18] ["AAPL September 2024 Options Begin Trading Investors in Apple Inc (Symbol: AAPL) saw new options become available today, for the September 2024 expiration. One of the key inputs that goes into the price an option buyer is willing to pay, is the time value, so with 611 days until expiration the newly available contracts represent a potential opportunity for sellers of puts or calls to achieve a higher premium than would be available for the contracts with a closer expiration. At Stock Options Channel, our YieldBoost formula has looked up and down the AAPL options chain for the new September 2024 contracts and identified one put and one call contract of particular interest. The put contract at the $135.00 strike price has a current bid of $15.20. If an investor was to sell-to-open that put contract, they are committing to purchase the stock at $135.00, but will also collect the premium, putting the cost basis of the shares at $119.80 (before broker commissions). To an investor already interested in purchasing shares of AAPL, that could represent an attractive alternative to paying $136.98/share today. Because the $135.00 strike represents an approximate 1% discount to the current trading price of the stock (in other words it is out-of-the-money by that percentage), there is also the possibility that the put contract would expire worthless. The current analytical data (including greeks and implied greeks) suggest the current odds of that happening are 99%. Stock Options Channel will track those odds over time to see how they change, publishing a chart of those numbers on our website under the contract detail page for this contract. Should the contract expire worthless, the premium would represent a 11.26% return on the cash commitment, or 6.73% annualized \u2014 at Stock Options Channel we call this the YieldBoost. Below is a chart showing the trailing twelve month trading history for Apple Inc, and highlighting in green where the $135.00 strike is located relative to that history: Turning to the calls side of the option chain, the call contract at the $140.00 strike price has a current bid of $22.40. If an investor was to purchase shares of AAPL stock at the current price level of $136.98/share, and then sell-to-open that call contract as a \"covered call,\" they are committing to sell the stock at $140.00. Considering the call seller will also collect the premium, that would drive a total return (excluding dividends, if any) of 18.56% if the stock gets called away at the September 2024 expiration (before broker commissions). Of course, a lot of upside could potentially be left on the table if AAPL shares really soar, which is why looking at the trailing twelve month trading history for Apple Inc, as well as studying the business fundamentals becomes important. Below is a chart showing AAPL's trailing twelve month trading history, with the $140.00 strike highlighted in red: Considering the fact that the $140.00 strike represents an approximate 2%

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0408 (i.e., a 4.08% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0408 = 2.4508, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


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

Question:
Asset: BTC-USD
Daily returns (past 60 days): mean=0.0070, std=0.0261, worst_day=-0.0394
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 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 = 0.0379 (i.e., a 3.79% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0379 = 2.6420, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


MTUM: 60-day history, VaR(99%)=-0.0220, max drawdown threshold=10%.

Question:
Asset: MTUM
Daily returns (past 60 days): mean=0.0012, std=0.0127, worst_day=-0.0258
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
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0000104169 us-gaap:FairValueInputsLevel12And3Member 2021-02-01 2022-01-31 00001 [...TRUNCATED...] sentation Linkbase Document 104 Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101) * Filed herewith as an Exhibit. ** Furnished herewith as an Exhibit. (C) This Exhibit is a management contract or compensatory plan or arrangement (P) This Exhibit was originally filed in paper format. Accordingly, a hyperlink has not been provided. (1) Certain instruments defining the rights of holders of long-term debt securities of the Registrant are omitted pursuant to Item 601(b)(4)(iii) of Regulation S-K. The Company hereby undertakes to furnish to the SEC, upon request, copies of any such instruments. (c)    Financial Statement Schedules: None. ITEM 16. FORM 10-K SUMMARY None. 85 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.   Walmart Inc. Date: March 15, 2024   By   /s/ C. Douglas McMillon     C. Douglas McMillon     President and 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: Date: March 15, 2024   By   /s/ C. Douglas McMillon     C. Douglas McMillon     President and Chief Executive Officer and Director     (Principal Executive Officer) Date: March 15, 2024   By   /s/ Gregory B. Penner     Gregory B. Penner     Chairman of the Board and Director Date: March 15, 2024   By   /s/ John David Rainey     John David Rainey     Executive Vice President and Chief Financial Officer (Principal Financial Officer) Date: March 15, 2024   By   /s/ David M. Chojnowski     David M. Chojnowski     Senior Vice President and Controller (Principal Accounting Officer) Signature Page to Walmart Inc. Form 10-K for the Fiscal Year Ended January 31, 2024 86 Date: March 15, 2024   By   /s/ Cesar Conde     Cesar Conde     Director Date: March 15, 2024 By /s/ Timothy P. Flynn Timothy P. Flynn Director Date: March 15, 2024 By /s/ Sarah Friar Sarah Friar Director Date: March 15, 2024 By /s/ Carla A. Harris Carla A. Harris Director Date: March 15, 2024 By /s/ Thomas W. Horton Thomas W. Horton Director Date: March 15, 2024 By /s/ Marissa A. Mayer Marissa A. Mayer Director Date: March 15, 2024 By /s/ Randall L. Stephenson Randall L. Stephenson Director Date: March 15, 2024   By   /s/ S. Robson Walton     S. Robson Walton     Director Date: March 15, 2024   By   /s/ Steuart L. Walton     Steuart L. Walton     Director Signature Page to Walmart Inc. Form 10-K for the Fiscal Year Ended January 31, 2024 87

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 = 0.0220 (i.e., a 2.20% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0220 = 4.5524, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


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

Question:
Asset: EEM
Daily returns (past 60 days): mean=0.0013, std=0.0120, worst_day=-0.0288
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[SEC 10-Q WMT 2024-08-30] wmt-20240731 0000104169 1/31 2025 Q2 false xbrli:shares iso4217:USD iso4217:USD xbrli:shares xbrli:pure iso4217:JPY wmt:state wmt:county wmt:defendant wmt:case wmt:classAction wmt:securitiesClassAction wmt:shareholder wmt:order wmt:pharmacist wmt:segment 0000104169 2024-02-01 2024-07-31 0000104169 wmt:CommonStockparvalue0.10pershareMember 2024-02-01 2024-07-31 0000104169 wmt:A2.550NotesDue2026Member 2024-02-01 2024-07-31 0000104169 wmt:A1050NotesDue2026Member 2024-02-01 2024-07-31 0000104169 wmt:A1500NotesDue2028Member 2024-02-01 2024-07-31 0000104169 wmt:A4875NotesDue2029Member 2024-02-01 2024-07-31 0000104169 wmt:A5750NotesDue2030Member 2024-02-01 2024-07-31 0000104169 wmt:A1800NotesDue2031Member 2024-02-01 2024-07-31 0000104169 wmt:A5625NotesDue2034Member 2024-02-01 2024-07-31 0000104169 wmt:A5250NotesDue2035Member 2024-02-01 2024-07-31 0000104169 wmt:A4875NotesDue2039Member 2024-02-01 2024-07-31 0000104169 2024-08-28 0000104169 2024-05-01 2024-07-31 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0000104169 us-gaap:AccumulatedTranslationAdjustmentMember 2023-02-01 2023-04-30 0000104169 us [...TRUNCATED...] acts, assumptions not being realized or other factors, the actual results relating to the subject matter of any forward-looking statement in this Quarterly Report on Form 10-Q may differ materially from the anticipated results expressed or implied in that forward-looking statement. The forward-looking statements included in this Quarterly Report on Form 10-Q are made only as of the date of this report, and Walmart undertakes no obligation to update any such statements to reflect subsequent events or circumstances. 34 Table of Contents Item 6. Exhibits The following documents are filed as an exhibit to this Quarterly Report on Form 10-Q: Exhibit 3.1(a) Restated Certificate of Incorporation of the Company dated February 1, 2018 is incorporated herein by reference to Exhibit 3.1 to the Report on Form 8-K filed by the Company on February 1, 2018 Exhibit 3.1(b) Certificate of Amendment to the Restated Certificate of Incorporation of the Company, effective February 23, 2024 is incorporated herein by reference to Exhibit 3.1 to the Report on Form 8-K filed by the Company on February 23, 2024 Exhibit 3.2 Amended and Restated Bylaws of the Company dated November 10, 2022 are incorporated herein by reference to Exhibit 3.1 to the Report on Form 8-K filed by the Company on November 16, 2022 Exhibit 31.1* Chief Executive Officer Section 302 Certification Exhibit 31.2* Chief Financial Officer Section 302 Certification Exhibit 32.1** Chief Executive Officer Section 906 Certification Exhibit 32.2** Chief Financial Officer Section 906 Certification Exhibit 99.1* Opioids-Related Litigation Case Citations and Currently Scheduled Trial Dates Exhibit 101.INS* Inline XBRL Instance Document Exhibit 101.SCH* Inline XBRL Taxonomy Extension Schema Document Exhibit 101.CAL* Inline XBRL Taxonomy Extension Calculation Linkbase Document Exhibit 101.DEF* Inline XBRL Taxonomy Extension Definition Linkbase Document Exhibit 101.LAB* Inline XBRL Taxonomy Extension Label Linkbase Document Exhibit 101.PRE* Inline XBRL Taxonomy Extension Presentation Linkbase Document Exhibit 104 The cover page from the Company's Quarterly Report on Form 10-Q for the quarter ended July 31, 2024, formatted in Inline XBRL (included in Exhibit 101) * Filed herewith as an Exhibit. ** Furnished herewith as an Exhibit. 35 Table of Contents 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.   WALMART INC. Date: August 30, 2024 By: /s/ C. Douglas McMillon C. Douglas McMillon President and Chief Executive Officer (Principal Executive Officer) Date: August 30, 2024 By: /s/ John David Rainey John David Rainey Executive Vice President and Chief Financial Officer (Principal Financial Officer) Date: August 30, 2024 By: /s/ David M. Chojnowski David M. Chojnowski Senior Vice President and Controller (Principal Accounting Officer) 36

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

Answer: 1.0000

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.0236 (i.e., a 2.36% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0236 = 4.2346, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


VTI: 60-day history, VaR(99%)=-0.0257, max drawdown threshold=10%.

Question:
Asset: VTI
Daily returns (past 60 days): mean=0.0005, std=0.0105, worst_day=-0.0298
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[SEC 10-Q WMT 2024-08-30] wmt-20240731 0000104169 1/31 2025 Q2 false xbrli:shares iso4217:USD iso4217:USD xbrli:shares xbrli:pure iso4217:JPY wmt:state wmt:county wmt:defendant wmt:case wmt:classAction wmt:securitiesClassAction wmt:shareholder wmt:order wmt:pharmacist wmt:segment 0000104169 2024-02-01 2024-07-31 0000104169 wmt:CommonStockparvalue0.10pershareMember 2024-02-01 2024-07-31 0000104169 wmt:A2.550NotesDue2026Member 2024-02-01 2024-07-31 0000104169 wmt:A1050NotesDue2026Member 2024-02-01 2024-07-31 0000104169 wmt:A1500NotesDue2028Member 2024-02-01 2024-07-31 0000104169 wmt:A4875NotesDue2029Member 2024-02-01 2024-07-31 0000104169 wmt:A5750NotesDue2030Member 2024-02-01 2024-07-31 0000104169 wmt:A1800NotesDue2031Member 2024-02-01 2024-07-31 0000104169 wmt:A5625NotesDue2034Member 2024-02-01 2024-07-31 0000104169 wmt:A5250NotesDue2035Member 2024-02-01 2024-07-31 0000104169 wmt:A4875NotesDue2039Member 2024-02-01 2024-07-31 0000104169 2024-08-28 0000104169 2024-05-01 2024-07-31 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2024-04-30 0000104169 us-gaap:RetainedEarningsMember 2024-04-30 0000104169 us-gaap:AccumulatedOtherComprehensiveIncomeMember 2024-04-30 0000104169 us-gaap:ParentMember 2024-04-30 0000104169 us-gaap:NoncontrollingInterestMember 2024-04-30 0000104169 2024-04-30 0000104169 us-gaap:RetainedEarningsMember 2024-05-01 2024-07-31 0000104169 us-gaap:ParentMember 2024-05-01 2024-07-31 0000104169 us-gaap:NoncontrollingInterestMember 2024-05-01 2024-07-31 0000104169 us-gaap:AccumulatedOtherComprehensiveIncomeMember 2024-05-01 2024-07-31 0000104169 us-gaap:CommonStockMember 2024-05-01 2024-07-31 0000104169 us-gaap:AdditionalPaidInCapitalMember 2024-05-01 2024-07-31 0000104169 us-gaap:CommonStockMember 2024-07-31 0000104169 us-gaap:AdditionalPaidInCapitalMember 2024-07-31 0000104169 us-gaap:RetainedEarningsMember 2024-07-31 0000104169 us-gaap:AccumulatedOtherComprehensiveIncomeMember 2024-07-31 0000104169 us-gaap:ParentMember 2024-07-31 0000104169 us-gaap:NoncontrollingInterestMember 2024-07-31 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srt:MinimumMember 2024-07-31 0000104169 srt:MaximumMember 2024-07-31 0000104169 us-gaap:AccumulatedTranslationAdjustmentMember 2024-01-31 0000104169 us-gaap:AccumulatedGainLossNetCashFlowHedgeParentMember 2024-01-31 0000104169 us-gaap:AccumulatedTranslationAdjustmentMember 2024-02-01 2024-04-30 0000104169 us-gaap:AccumulatedGainLossNetCashFlowHedgeParentMember 2024-02-01 2024-04-30 0000104169 us-gaap:AccumulatedTranslationAdjustmentMember 2024-04-30 0000104169 us-gaap:AccumulatedGainLossNetCashFlowHedgeParentMember 2024-04-30 0000104169 us-gaap:AccumulatedTranslationAdjustmentMember 2024-05-01 2024-07-31 0000104169 us-gaap:AccumulatedGainLossNetCashFlowHedgeParentMember 2024-05-01 2024-07-31 0000104169 us-gaap:AccumulatedTranslationAdjustmentMember 2024-07-31 0000104169 us-gaap:AccumulatedGainLossNetCashFlowHedgeParentMember 2024-07-31 0000104169 us-gaap:AccumulatedTranslationAdjustmentMember 2023-01-31 0000104169 us-gaap:AccumulatedGainLossNetCashFlowHedgeParentMember 2023-01-31 0000104169 us-gaap:AccumulatedTranslationAdjustmentMember 2023-02-01 2023-04-30 0000104169 us [...TRUNCATED...] acts, assumptions not being realized or other factors, the actual results relating to the subject matter of any forward-looking statement in this Quarterly Report on Form 10-Q may differ materially from the anticipated results expressed or implied in that forward-looking statement. The forward-looking statements included in this Quarterly Report on Form 10-Q are made only as of the date of this report, and Walmart undertakes no obligation to update any such statements to reflect subsequent events or circumstances. 34 Table of Contents Item 6. Exhibits The following documents are filed as an exhibit to this Quarterly Report on Form 10-Q: Exhibit 3.1(a) Restated Certificate of Incorporation of the Company dated February 1, 2018 is incorporated herein by reference to Exhibit 3.1 to the Report on Form 8-K filed by the Company on February 1, 2018 Exhibit 3.1(b) Certificate of Amendment to the Restated Certificate of Incorporation of the Company, effective February 23, 2024 is incorporated herein by reference to Exhibit 3.1 to the Report on Form 8-K filed by the Company on February 23, 2024 Exhibit 3.2 Amended and Restated Bylaws of the Company dated November 10, 2022 are incorporated herein by reference to Exhibit 3.1 to the Report on Form 8-K filed by the Company on November 16, 2022 Exhibit 31.1* Chief Executive Officer Section 302 Certification Exhibit 31.2* Chief Financial Officer Section 302 Certification Exhibit 32.1** Chief Executive Officer Section 906 Certification Exhibit 32.2** Chief Financial Officer Section 906 Certification Exhibit 99.1* Opioids-Related Litigation Case Citations and Currently Scheduled Trial Dates Exhibit 101.INS* Inline XBRL Instance Document Exhibit 101.SCH* Inline XBRL Taxonomy Extension Schema Document Exhibit 101.CAL* Inline XBRL Taxonomy Extension Calculation Linkbase Document Exhibit 101.DEF* Inline XBRL Taxonomy Extension Definition Linkbase Document Exhibit 101.LAB* Inline XBRL Taxonomy Extension Label Linkbase Document Exhibit 101.PRE* Inline XBRL Taxonomy Extension Presentation Linkbase Document Exhibit 104 The cover page from the Company's Quarterly Report on Form 10-Q for the quarter ended July 31, 2024, formatted in Inline XBRL (included in Exhibit 101) * Filed herewith as an Exhibit. ** Furnished herewith as an Exhibit. 35 Table of Contents 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.   WALMART INC. Date: August 30, 2024 By: /s/ C. Douglas McMillon C. Douglas McMillon President and Chief Executive Officer (Principal Executive Officer) Date: August 30, 2024 By: /s/ John David Rainey John David Rainey Executive Vice President and Chief Financial Officer (Principal Financial Officer) Date: August 30, 2024 By: /s/ David M. Chojnowski David M. Chojnowski Senior Vice President and Controller (Principal Accounting Officer) 36

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 = 0.0257 (i.e., a 2.57% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0257 = 3.8985, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


AVAX-USD: 60-day history, VaR(99%)=-0.1243, max drawdown threshold=10%.

Question:
Asset: AVAX-USD
Daily returns (past 60 days): mean=-0.0071, std=0.0355, worst_day=-0.1516
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-06-11]

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: 0.8048

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1243 (i.e., a 12.43% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1243 = 0.8048, capped at 1.0.
Maximum position size = 0.8048 (80.5% of portfolio).


SOL-USD: 60-day history, VaR(99%)=-0.0564, max drawdown threshold=10%.

Question:
Asset: SOL-USD
Daily returns (past 60 days): mean=0.0002, std=0.0325, worst_day=-0.0616
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-10-05]

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 = 0.0564 (i.e., a 5.64% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0564 = 1.7735, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


AVAX-USD: 60-day history, VaR(99%)=-0.0558, max drawdown threshold=10%.

Question:
Asset: AVAX-USD
Daily returns (past 60 days): mean=-0.0046, std=0.0222, worst_day=-0.0684
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-10-02]

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 = 0.0558 (i.e., a 5.58% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0558 = 1.7912, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


DOT-USD: 60-day history, VaR(99%)=-0.0634, max drawdown threshold=10%.

Question:
Asset: DOT-USD
Daily returns (past 60 days): mean=-0.0028, std=0.0228, worst_day=-0.0870
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-06-04]

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 = 0.0634 (i.e., a 6.34% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0634 = 1.5768, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


ADA-USD: 60-day history, VaR(99%)=-0.1241, max drawdown threshold=10%.

Question:
Asset: ADA-USD
Daily returns (past 60 days): mean=-0.0079, std=0.0409, worst_day=-0.1409
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 ADA-USD, given the drawdown constraint. Report as a decimal between 0.00 and 1.00 (e.g., 0.25 = 25%; maximum is 1.00 = 100% of portfolio).

Answer: 0.8057

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1241 (i.e., a 12.41% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1241 = 0.8057, capped at 1.0.
Maximum position size = 0.8057 (80.6% of portfolio).


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

Question:
Asset: ^VIX
Daily returns (past 60 days): mean=-0.0010, std=0.0498, worst_day=-0.0925
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-09-01] ["Should You Buy the Dow Stock Outperforming Apple? When you think of top-performing Dow stocks to buy, you might automatically think of Apple (AAPL) - it's the world\u2019s most valuable company, a favorite of legendary investor Warren Buffett, and a leader in consumer technology. But what if we told you there is another Dow Jones Industrial Average ($DOWI) component that has been crushing Apple on the charts over several time frames - and it's not even a tech stock? That stock is none other than Caterpillar (CAT), the world\u2019s largest manufacturer of construction and mining equipment and a true old-school industrial name. And while CAT hasn't exactly collected AI stock-sized gains in 2023, it's worth taking a look at the stock's performance from a few different perspectives to get a sense of its real technical muscle. CAT's Long-Term Technical Dominance To be sure, Apple stock is outpacing comfortably CAT on a year-to-date basis - but let's not forget how much room for recovery Apple and its tech stock peers had after a brutal finish to 2022. Looking over the past 52 weeks, Caterpillar stock has gained nearly 60%, while AAPL is only 20% higher. The broader Dow, for perspective, is up about 10% in this time frame. www.barchart.com More recently, focusing in on the last three months, AAPL's impressive momentum from the first half of 2023 has slowed considerably, with the shares netting a return of less than 5% over this period. Meanwhile, CAT has gained more than 25%, powered in part by well-received Q2 earnings (by contrast, Apple missed iPhone sales estimates in its recent quarterly report). www.barchart.com So with CAT clearly holding its own against this tech powerhouse on the charts, let's take a look at the fundamentals. CAT\u2019s Earnings Beat Expectations In its second-quarter earnings report, CAT reported revenue of $14.4 billion, marking a 29% surge compared to the previous year. Earnings per share also impressed, up 74% year-over-year to reach $5.55. Notably, both figures outperformed analysts' expectations, which were projected at $13.9 billion and $4.51 per share, respectively. Caterpillar also raised its full-year revenue and earnings guidance, and the stock led Dow gainers after the report with a rally of more than 8%. www.barchart.com CAT attributed its results to a global increase in infrastructure spending and investment. This surge in demand spanned all segments, with its construction, resource, and energy and transportation divisions all posting significant growth. The construction segment reported a 45% revenue increase, buoyed by higher sales volume and the introduction of new products like the electric mini excavator and autonomous dozer. At the same time, resource segment revenue was up 41%, driven by elevated sales volume in mining and entry into emerging markets like lithium and rare earths. Plus, the energy and transportation segment contributed 16% revenue growth, propelled by increased sales volume and innovative

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).


SOYB: 60-day history, VaR(99%)=-0.0222, max drawdown threshold=10%.

Question:
Asset: SOYB
Daily returns (past 60 days): mean=-0.0014, std=0.0094, worst_day=-0.0257
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to SOYB, 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 = 0.0222 (i.e., a 2.22% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0222 = 4.4965, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


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

Question:
Asset: IVV
Daily returns (past 60 days): mean=0.0015, std=0.0065, worst_day=-0.0141
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-08-02] ["Mediocre Earnings After the Bell; Selloff Continues Markets had a hard time today reconciling the first U.S. credit rating downgrade in 12 years, when Fitch Ratings \u2014 one of the \u201cbig three\u201d credit rating agencies \u2014 lowered its rating from the usual AAA to AA+. The reason for the move is the same as it was a dozen years ago: Congress is kicking the can on increasing its debt ceiling, which, if not raised, would cause the U.S. to default on its debts. Last time, it was also a Democratic White House and a Republican-led House of Representatives that saw this issue emerge. In any case, market indices were down across the board today. All the majors opened normal trading in the red and stayed there, closing off session lows, but not by much. The Dow shed -331 points, -0.93%, while the Nasdaq dropped -309 points, -2.17%. The S&P 500 and small-cap Russell 2000 were down -1.39% and -1.37%, respectively. So far, August looks to be giving back a significant amount of July gains, just in the first two days of the new month\u2019s trading. Qualcomm QCOM is the latest major company to post mixed results in its quarterly report this afternoon: while fiscal Q3 earnings of $1.87 per share bettered the $1.81 in the Zacks consensus, revenues of $8.45 billion came up short of the $8.51 billion. Revenue guidance for fiscal Q4 are for a range of $8.1-8.9 billion, with a midpoint lower than the consensus $8.69 billion. A -25% drop in handset chip sales year over year and a slower recovery in China contributed to the performance. Shares are down -4.5% on the release. MGM Resorts MGM, however, outperformed estimates on both top and bottom lines, with earnings of 59 cents per share beating the 53 cents expected, and sales of $3.94 billion in the quarter easily surpassing the $3.76 billion consensus. Its MGM China business in Macau has surprised to the upside, notching +5% growth over 2019 (pre-Covid) levels, +21% on the key EBITDAR metric. However, after cranking +48% higher year to date, investors are selling this news; MGM is -7% in today\u2019s after-market. PayPal PYPL reported in-line earnings at $1.16 per share on $7.29 billion in quarterly revenues, up nearly +7% year over year. Guidance for Q3 looks to be slightly above previous estimates, as Payment Volume grew +11% year over year. That said, Operating Margin of +21.4% in the quarter missed consensus expectations of +22%, and this may be adding fuel to the -7.5% selloff in today\u2019s late trading. PayPal has also been an underperformer year to date. Etsy ETSY posted beats on both top and bottom lines this afternoon, with earnings of 45 cents per share improving by 4 cents over the Zacks consensus, on revenues of $629 million in the quarter. Gross merchandising came in at $3.01 billion, -20% year to date, even as the company noted Etsy Active Buyers reached an all-time high in the quarter. Shares are selling off -5% after normal hours. Closing on a positive note, DoorDash DASH shares are u

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 = 0.0123 (i.e., a 1.23% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0123 = 8.1591, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


IVV: 60-day history, VaR(99%)=-0.0164, max drawdown threshold=10%.

Question:
Asset: IVV
Daily returns (past 60 days): mean=0.0017, std=0.0078, worst_day=-0.0169
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-06-15] ["US STOCKS-Wall St edges up as yields slip after economic data By Shristi Achar A and Sruthi Shankar June 15 (Reuters) - Wall Street's main indexes inched higher on Thursday as megacap stocks rose on lower Treasury yields, lifting investor sentiment soured by Federal Reserve's hawkish comments on interest rate hikes this year. U.S. retail sales unexpectedly rose in May as consumers spent on a range of goods including vehicles, which could help support the economy this quarter. Another set of numbers showed initial claims for state unemployment benefits were steady at a seasonally adjusted 262,0000 for the week ended June 10. Economists polled by Reuters had forecast 249,000 claims for the latest week. U.S. Treasury yields pulled back, lifting shares of rate-sensitive growth stocks. Apple AAPL.O, Microsoft MSFT.O and Meta Platforms META.O gained between 0.8% and 1.3%. US/ The Fed left rates unchanged at the 5%-5.25% range on Wednesday, but indicated they could rise by at least half a percentage point this year as inflation remains stubbornly persistent and the U.S. economy stays resilient. \"What has been encouraging is that the rate market has significantly reassessed the trajectory of expected interest rates but the equity market has largely ignored that and, if anything, continued to rise on the belief that the Fed is at or near the end of the rate hike cycle,\" said Ronald Temple, chief market strategist at Lazard. \"Yesterday's message was a bit of a splash of cold water on equity markets.\" Traders see a nearly 65% chance of a 25-basis-point rate hike in July, up from around 60% a day earlier, according to the CME Fedwatch tool. Energy stocks .SPNY led gains among the 11 major S&P 500 sectors, up 1.4%, tracking higher crude prices. O/R At 10:06 a.m. ET, the Dow Jones Industrial Average .DJI was up 188.05 points, or 0.55%, at 34,167.38, the S&P 500 .SPX was up 16.85 points, or 0.39%, at 4,389.44, and the Nasdaq Composite .IXIC was up 25.76 points, or 0.19%, at 13,652.23. Kroger CoKR.N dropped 3.9% after the big-box retailer missed first-quarter revenue estimates. Kohls Corp KSS.N added 3.1% after TD Cowen upgraded the department store operator to \"outperform\" from \"market perform\". U.S.-listed shares of Chinese companies including Alibaba Group BABA.N and JD.com JD.O rose almost 3% after the People's Bank of China cut the borrowing cost for its medium-term policy loans for the first time in 10 months. Advancing issues outnumbered decliners by a 1.90-to-1 ratio on the NYSE and a 1.46-to-1 ratio on the Nasdaq. The S&P index recorded 20 new 52-week highs and no new low, while the Nasdaq recorded 32 new highs and 38 new lows. (Reporting by Shristi Achar A and Sruthi Shankar in Bengaluru Editing by Vinay Dwivedi) ((Shristi.AcharA@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.", "US STOCKS-Wall Street rallies as yields slip after econom

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 = 0.0164 (i.e., a 1.64% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0164 = 6.1081, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


SGOV: 60-day history, VaR(99%)=0.0001, max drawdown threshold=10%.

Question:
Asset: SGOV
Daily returns (past 60 days): mean=0.0002, std=0.0001, worst_day=0.0000
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to SGOV, 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 = 0.0001 (i.e., a 0.01% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0001 = 1708.0905, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


DOT-USD: 60-day history, VaR(99%)=-0.1228, max drawdown threshold=10%.

Question:
Asset: DOT-USD
Daily returns (past 60 days): mean=-0.0024, std=0.0408, worst_day=-0.1359
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 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: 0.8146

Explanation:
Step 1: Compute |VaR(99%)| from historical returns = 0.1228 (i.e., a 12.28% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.1228 = 0.8146, capped at 1.0.
Maximum position size = 0.8146 (81.5% of portfolio).


LINK-USD: 60-day history, VaR(99%)=-0.0706, max drawdown threshold=10%.

Question:
Asset: LINK-USD
Daily returns (past 60 days): mean=0.0005, std=0.0333, worst_day=-0.0940
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-05-15]

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 = 0.0706 (i.e., a 7.06% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0706 = 1.4161, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


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

Question:
Asset: USMV
Daily returns (past 60 days): mean=0.0004, std=0.0072, worst_day=-0.0138
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-05-08] ["Is Apple Stock a Buy Right Now? Apple (NASDAQ: AAPL) has demonstrated an ability to create innovative products consumers are willing to pay premium prices for. Fool.com contributor and finance professor Parkev Tatevosian considers whether Apple's stock is a buy right now. *Stock prices used were the afternoon prices of May 4, 2023. The video was published on May 6, 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 May 1, 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.", "Invest Like Warren Buffett With These 3 Stocks Warren Buffett, also commonly called the Oracle of Omaha, is a name that jumps to the forefront of many minds when thinking of the financial world. As we\u2019re all aware, many mimic his portfolio moves. And just over the weekend, Berkshire Hathaway hosted its annual shareholder meeting, putting the Oracle of Omaha and his go-to man, Charlie Munger, in full focus. With the legendary investing icon making headlines following the meeting, let\u2019s take a look at three companies that Buffett has placed big bets on. Apple (AAPL) Apple is a long-time favorite of Buffett, reflecting the largest holding of Berkshire. Over the weekend, the icon spoke positively about the iPhone\u2019s rock-solid status among consumers, a big reason why he believes in the company. Apple\u2019s quarterly results took the spotlight last week, with the tech titan delivering a positive 5.6% EPS surprise and reporting revenue nearly 2% above expectations. The company also announced a 4% increase to its quarterly cash dividend, payable on May 18th. Image Source: Zacks Investment Research In addition, the company posted solid iPhone results; iPhone revenue throughout the reported quarter totaled $51.3 billion, 4% above the Zacks Consensus Estimate and improving 1.5% from the year-ago period. As we can see from the chart below, the better-than-expected iPhone results snapped a streak of back-to-back negative surprises. Suprise (%) - iPhone Revenue Image Source: Zacks Investment Research Bank of America (BAC) Despite the recent turmoil within banking, Buffett still remains

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 = 0.0132 (i.e., a 1.32% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0132 = 7.5579, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


VEA: 60-day history, VaR(99%)=-0.0140, max drawdown threshold=10%.

Question:
Asset: VEA
Daily returns (past 60 days): mean=0.0019, std=0.0084, worst_day=-0.0180
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 VEA, 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 = 0.0140 (i.e., a 1.40% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0140 = 7.1650, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


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

Question:
Asset: EFA
Daily returns (past 60 days): mean=0.0005, std=0.0096, worst_day=-0.0269
Maximum acceptable portfolio drawdown: 10%
Market regime: bull
Recent filing/news:
[SEC 10-Q NVDA 2024-08-28] nvda-20240728 0001045810 1/26 2025 Q2 FALSE http://fasb.org/us-gaap/2024#AccruedLiabilitiesCurrent http://fasb.org/us-gaap/2024#AccruedLiabilitiesCurrent 0 455 xbrli:shares iso4217:USD iso4217:USD xbrli:shares xbrli:pure nvda:brief nvda:segment 0001045810 2024-01-29 2024-07-28 0001045810 2024-08-23 0001045810 2024-04-29 2024-07-28 0001045810 2023-05-01 2023-07-30 0001045810 2023-01-30 2023-07-30 0001045810 2024-07-28 0001045810 2024-01-28 0001045810 us-gaap:CommonStockMember 2024-04-28 0001045810 us-gaap:AdditionalPaidInCapitalMember 2024-04-28 0001045810 us-gaap:AccumulatedOtherComprehensiveIncomeMember 2024-04-28 0001045810 us-gaap:RetainedEarningsMember 2024-04-28 0001045810 2024-04-28 0001045810 us-gaap:RetainedEarningsMember 2024-04-29 2024-07-28 0001045810 us-gaap:AccumulatedOtherComprehensiveIncomeMember 2024-04-29 2024-07-28 0001045810 us-gaap:CommonStockMember 2024-04-29 2024-07-28 0001045810 us-gaap:AdditionalPaidInCapitalMember 2024-04-29 2024-07-28 0001045810 us-gaap:CommonStockMember 2024-07-28 0001045810 us-gaap:AdditionalPaidInCapitalMember 2024-07-28 0001045810 us-gaap:AccumulatedOtherComprehensiveIncomeMember 2024-07-28 0001045810 us-gaap:RetainedEarningsMember 2024-07-28 0001045810 us-gaap:CommonStockMember 2023-04-30 0001045810 us-gaap:AdditionalPaidInCapitalMember 2023-04-30 0001045810 us-gaap:AccumulatedOtherComprehensiveIncomeMember 2023-04-30 0001045810 us-gaap:RetainedEarningsMember 2023-04-30 0001045810 2023-04-30 0001045810 us-gaap:RetainedEarningsMember 2023-05-01 2023-07-30 0001045810 us-gaap:AccumulatedOtherComprehensiveIncomeMember 2023-05-01 2023-07-30 0001045810 us-gaap:CommonStockMember 2023-05-01 2023-07-30 0001045810 us-gaap:AdditionalPaidInCapitalMember 2023-05-01 2023-07-30 0001045810 us-gaap:CommonStockMember 2023-07-30 0001045810 us-gaap:AdditionalPaidInCapitalMember 2023-07-30 0001045810 us-gaap:AccumulatedOtherComprehensiveIncomeMember 2023-07-30 0001045810 us-gaap:RetainedEarningsMember 2023-07-30 0001045810 2023-07-30 0001045810 us-gaap:CommonStockMember 2024-01-28 0001045810 us-gaap:AdditionalPaidInCapitalMember 2024-01-28 0001045810 us-gaap:AccumulatedOtherComprehensiveIncomeMember 2024-01-28 0001045810 us-gaap:RetainedEarningsMember 2024-01-28 0001045810 us-gaap:RetainedEarningsMember 2024-01-29 2024-07-28 0001045810 us-gaap:AccumulatedOtherComprehensiveIncomeMember 2024-01-29 2024-07-28 0001045810 us-gaap:CommonStockMember 2024-01-29 2024-07-28 0001045810 us-gaap:AdditionalPaidInCapitalMember 2024-01-29 2024-07-28 0001045810 us-gaap:CommonStockMember 2023-01-29 0001045810 us-gaap:AdditionalPaidInCapitalMember 2023-01-29 0001045810 us-gaap:AccumulatedOtherComprehensiveIncomeMember 2023-01-29 0001045810 us-gaap:RetainedEarningsMember 2023-01-29 0001045810 2023-01-29 0001045810 us-gaap:RetainedEarningsMember 2023-01-30 2023-07-30 0001045810 us-gaap:AccumulatedOtherComprehensiveIncomeMember 2023-01-30 2023-07-30 0001045810 us-gaap:CommonStockMember 2023-01-30 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us-gaap:SellingGeneralAndAdministrativeExpensesMember 2023-05-01 2023-07-30 0001045810 us-gaap:SellingGeneralAndAdministrativeExpensesMember 2024-01-29 2024-07-28 0001045810 us-gaap:SellingGeneralAndAdministrativeExpensesMember 2023-01-30 2023-07-30 0001045810 nvda:RSUsPSUsandMarketbasedPSUsMember 2024-01-28 0001045810 nvda:RSUsPSUsandMarketbasedPSUsMember 2024-01-29 2024-07-28 0001045810 nvda:RSUsPSUsandMarketbasedPSUsMember 2024-07-28 0001045810 us-gaap:EmployeeStockMember 2024-01-29 2024-07-28 0001045810 us-gaap:USTreasurySecuritiesMember 2024-07-28 0001045810 us-gaap:CorporateDebtSecuritiesMember 2024-07-28 0001045810 us-gaap:MoneyMarketFundsMember 2024-07-28 0001045810 us-gaap:USGovernmentAgenciesDebtSecuritiesMember 2024-07-28 0001045810 us-gaap:CertificatesOfDepositMember 2024-07-28 0001045810 nvda:MarketableSecuritiesWithFairValueAdjustmentsRecordedInOtherComprehensiveIncomeMember 2024-07-28 0001045810 nvda:PubliclyHeldEquitySecuritiesMember 2024-07-28 0001045810 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nvda:PubliclyHeldEquitySecuritiesMember 2024-01-28 0001045810 us-gaap:FairValueInputsLevel2Member us-gaap:US [...TRUNCATED...] it basis through July 11, 2025 . 100,110 shares were sold under the plan prior to termination. 40 Item 6. Exhibits Incorporated by Reference Exhibit No.  Exhibit Description Schedule/Form Exhibit Filing Date 3.1 Amendment to Restated Certificate of Incorporation of NVIDIA Corporation 8-K 3.1 6/7/2024 10.1+* Amended and Restated 2007 Equity Incentive Plan 10.2+* Amended and Restated 2012 Employee Stock Purchase Plan 31.1* Certification of Chief Executive Officer as required by Rule 13a-14(a) of the Securities Exchange Act of 1934 31.2* Certification of Chief Financial Officer as required by Rule 13a-14(a) of the Securities Exchange Act of 1934 32.1#* Certification of Chief Executive Officer as required by Rule 13a-14(b) of the Securities Exchange Act of 1934 32.2#* Certification of Chief Financial Officer as required by Rule 13a-14(b) of the Securities Exchange Act of 1934 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 Document 101.CAL* Inline XBRL Taxonomy Extension Calculation Linkbase Document 101.DEF* Inline XBRL Taxonomy Extension Definition Linkbase Document 101.LAB* Inline XBRL Taxonomy Extension Labels Linkbase Document 101.PRE* Inline XBRL Taxonomy Extension Presentation Linkbase Document 104 Cover Page Interactive Data File - the cover page interactive data file does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document. + Management contract or compensatory plan or arrangement. * Filed herewith. # In accordance with Item 601(b)(32)(ii) of Regulation S-K and SEC Release Nos. 33-8238 and 34-47986, Final Rule: Management's Reports on Internal Control Over Financial Reporting and Certification of Disclosure in Exchange Act Periodic Reports, the certifications furnished in Exhibits 32.1 and 32.2 hereto are deemed to accompany this Quarterly Report on Form 10-Q and will not be deemed “filed” for purpose of Section 18 of the Exchange Act. Such certifications will not be deemed to be incorporated by reference into any filing under the Securities Act or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Copies of above exhibits not contained herein are available to any shareholder upon written request to: Investor Relations: NVIDIA Corporation, 2788 San Tomas Expressway, Santa Clara, CA 95051. 41 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 28, 2024   NVIDIA Corporation  By:    /s/ Colette M. Kress   Colette M. Kress   Executive Vice President and Chief Financial Officer (Duly Authorized Officer and Principal Financial Officer) 42

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 = 0.0240 (i.e., a 2.40% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0240 = 4.1616, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLP: 60-day history, VaR(99%)=-0.0204, max drawdown threshold=10%.

Question:
Asset: XLP
Daily returns (past 60 days): mean=0.0002, std=0.0086, worst_day=-0.0250
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-02-06] ["A Rare Earnings Miss Couldn\u2019t Stop Apple Stock (NASDAQ:AAPL) Shares of Apple (NASDAQ:AAPL) are fresh off a quarterly earnings miss, with sales slipping 5% year-over-year, marking the worst quarterly top-line decline in years. Still, Apple stock was resilient following the disappointing number, closing off Friday's session up 2.4% in a bloody day for tech stocks. I remain bullish as Apple stock shrugs off its forgettable quarter and moves on from headwinds that are bound to fade in time. The recent round of quarterly results themselves was nothing to write home about (weakness was broadly spread across categories). It was likely the words of management that helped soothed investor nerves, helping Apple stock outperform some FAANG rivals that also reported the previous day. The company didn't give formal guidance for Fiscal 2023 due to macro uncertainty. It's noteworthy that the words \"macro headwinds\" were used quite a bit throughout the conference call. In any case, I think it's only prudent not to attempt to provide any sort of concrete guidance with recession headwinds up ahead. Despite the lack of guidance, management didn't leave investors in the dark. CEO Tim Cook called for year-over-year sales growth to be \"similar to the December quarter.\" Such words, I believe, set the bar quite low for the coming quarter and could set the stage to impress. He also stated that \"from a supply chain point of view, we're now at a point where production is what we need it to be.\" That alone was likely enough to help Apple investors breathe a sigh of relief. Apple: The Worst of the Production Issues May Have Passed My takeaway from Cook's comments was that the worst of production headwinds may already be in the rearview mirror. Indeed, the next quarter could see iPhone revenue growth in the red. However, the second half could see Apple make up for lost time as production gets up to full speed while Apple users finally look to upgrade. Indeed, Apple can afford to have some sizeable supply-side hiccups without losing too much business. At the end of the day, customer loyalty is unparalleled, with many Apple users that will opt not to switch to a competing product, even if it means having to endure longer wait times. Lockdowns in China have weighed heavily on operations. Still, I am confident that Cook can promptly bring production back in order. The man is an operational genius who's effectively ironed out supply-chain wrinkles in the past. Once Apple moves past the current barrage of headwinds, it'll likely be right back to gaining meaningful market share in the smartphone market again. Further, amping up efforts to expand into India, a market where Apple is reportedly enjoying double-digit growth, could help fuel such market gains. Apple's Rough Quarter is Easy to Forgive There's no question that Apple was up against it going into what many expected would be a rough quarter. Going into the quarter, estimates were muted, thanks in part to manufact

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 = 0.0204 (i.e., a 2.04% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0204 = 4.9096, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


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

Question:
Asset: IYR
Daily returns (past 60 days): mean=-0.0000, std=0.0086, worst_day=-0.0220
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to IYR, 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 = 5.6627, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


BNB-USD: 60-day history, VaR(99%)=-0.0426, max drawdown threshold=10%.

Question:
Asset: BNB-USD
Daily returns (past 60 days): mean=-0.0024, std=0.0150, worst_day=-0.0575
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-10-11]

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 = 0.0426 (i.e., a 4.26% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0426 = 2.3495, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


USMV: 60-day history, VaR(99%)=-0.0081, max drawdown threshold=10%.

Question:
Asset: USMV
Daily returns (past 60 days): mean=0.0006, std=0.0048, worst_day=-0.0085
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-08-22] ["Apple\u2019s Buyback Blunder: 3 Reasons It\u2019s Not a Win for AAPL Shareholders InvestorPlace - Stock Market News, Stock Advice & Trading Tips If there\u2019s one thing that feels like Christmas to Warren Buffett is when Apple (NASDAQ:AAPL) repurchases AAPL stock. After all, the more Apple stock the iPhone maker buys back, the more significant percentage of Apple Berkshire Hathaway (NYSE:BRK.B) owns. In Berkshire\u2019s 2021 shareholder letter, Buffett mentions that his company spent no money to increase its ownership stake to 5.5% from 5.39% in 2020. Share repurchases by Apple in 2021 added $1.1 billion in earnings controlled by Berkshire\u2019s investment. \u201cIt\u2019s important to understand that only dividends from Apple are counted in the GAAP earnings Berkshire reports \u2013 and last year, Apple paid us $785 million of those. Yet our \u2018share\u2019 of Apple\u2019s earnings amounted to a staggering $5.6 billion,\u201d Berkshire\u2019s 2021 shareholder letter stated. \u201cMuch of what the company retained was used to repurchase Apple shares, an act we applaud.\u201d Warren Buffett might like the Apple buybacks, but the average investor has three reasons to consider why it\u2019s not a win for regular AAPL stock investors. It Significantly Overpaid for AAPL Stock Source: Shutterstock Apple has spent more than $500 billion in share repurchases since 2012. The company had 929.4 million shares as of Oct. 14, 2011. On Oct. 14, 2023, it had 15.91 billion shares. Apple\u2019s stock has split on two occasions over this period \u2014 a 7-for-1 split on June 9, 2014, and a 4-for-1 split on Aug. 28, 2020 \u2014 which increased the share count. Considering the two splits, it reduced its share count by 39% [929.4M x 7 x 4 minus 15.91B divided by 26.02B]. That seems like a great deal for Apple shareholders. Have you ever considered what it could have paid for these shares? In fiscal 2022, the company repurchased $90.2 billion of its stock at an average price of $158.52. It is the most repurchased in a single year in the company\u2019s history. Based on its current share price, it has a 10.1% return on its investment. In the 12 months between Sept. 22, 2021, and Sept. 23, 2022, Apple\u2019s high was $182.94 in January 2022, while its low was $129.04 in June 2022. The average of the high and low during the year was $155.99. It paid $2.53 more per share than the average. Conservatively, that\u2019s over $1 billion too much. I would bet dollars to donuts; it\u2019s done this every year since 2012. Reinvestment of Funds Used Could Have Developed a New Killer Product Source: Vit-Mar/Shutterstock Despite the possibility of a virtual reality (VR) headset and driverless car, the iPhone remains Apple\u2019s key product and revenue generator. ZDNet reminded its readers in September 2022 that only 11.2 million VR headsets were shipped in 2021 compared to 1.3 billion smartphones. That\u2019s 116x as many. In June this year, AAPL stock launched the Apple Vis

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 = 0.0081 (i.e., a 0.81% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0081 = 12.3386, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


LINK-USD: 60-day history, VaR(99%)=-0.0608, max drawdown threshold=10%.

Question:
Asset: LINK-USD
Daily returns (past 60 days): mean=0.0031, std=0.0281, worst_day=-0.0715
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-10-19]

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 = 0.0608 (i.e., a 6.08% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0608 = 1.6451, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


MATIC-USD: 60-day history, VaR(99%)=-0.0844, max drawdown threshold=10%.

Question:
Asset: MATIC-USD
Daily returns (past 60 days): mean=-0.0043, std=0.0432, worst_day=-0.0853
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 = 0.0844 (i.e., a 8.44% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0844 = 1.1848, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


VCIT: 60-day history, VaR(99%)=-0.0081, max drawdown threshold=10%.

Question:
Asset: VCIT
Daily returns (past 60 days): mean=0.0001, std=0.0038, worst_day=-0.0089
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways

Determine the maximum fraction of total portfolio capital that should be allocated to VCIT, 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 = 0.0081 (i.e., a 0.81% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0081 = 12.3954, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


XLY: 60-day history, VaR(99%)=-0.0174, max drawdown threshold=10%.

Question:
Asset: XLY
Daily returns (past 60 days): mean=0.0029, std=0.0109, worst_day=-0.0200
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-07-05] ["MORNING BID ASIA-Yellen in China By Jamie McGeever July 6 (Reuters) - A look at the day ahead in Asian markets from Jamie McGeever, financial markets columnist. U.S. Treasury Secretary Janet Yellen touches down in Beijing on Thursday for a three-day visit just as trade tensions between the world's two superpowers ratchet up another notch, while a Malaysian interest rate decision tops the region's economic calendar. Australian trade data and Taiwanese inflation figures are on tap too, and equity investors will digest a mixed earnings report from Taiwan's Foxconn2317.TW, a major iPhone assembler for Apple Inc AAPL.O. Asian stocks go into Thursday's session on the defensive, underperforming on Wednesday after figures showed that China's service sector activity expanded at the slowest pace in five months in June. Foxconn's results may help lift the gloom, after the firm on Wednesday forecast a brighter third quarter ahead of peak shopping season at the end of the year. But that is only relative to a near 14% drop in Q2 revenue year-on-year. China remains front and center for investors. U.S.-China trade tensions appear to be intensifying by the day - the latest flare up coming over Beijing's restrictions on exports of some metals - not the best backdrop for Yellen's visit on Thursday. U.S. officials says they expect \"candid\" discussions, and Washington has said it \"firmly\" opposes the new export controls on gallium and germanium, which go into producing semiconductors and other electronics. However well - or otherwise - Yellen's visit goes, there will be no quick fix. Former Vice Commerce Minister Wei Jianguo said the controls are \"just a start\". In Malaysia, meanwhile, the central bank on Thursday is expected to leave key rates unchanged at 3.00% and keep them there for the rest of the year, putting it in line with regional peers in India, South Korea, Indonesia and New Zealand who have already ended their tightening cycles. Headline inflation eased to a one-year low of 2.8% in May, but core inflation moderated only a bit to 3.5%, suggesting Bank Negara Malaysia (BNM) will hold its key rate higher for longer. The central bank delivered a surprise hike in May. Last week, it said it would intervene in the foreign exchange market to stabilize the ringgit to counter what it said were \"excessive\" recent losses. The ringgit was one of Asia's worst-performing currencies in the first half of the year, losing almost 6% of its value against the dollar. Here are key developments that could provide more direction to markets on Thursday: - U.S. Treasury Secretary Janet Yellen visits China - Australia trade (May) - Taiwan inflation (June) Malaysian interest rates https://tmsnrt.rs/3XBEzYx Asian FX vs U.S. dollar this year https://tmsnrt.rs/3NYLzvp (By Jamie McGeever; Editing by Lisa Shumaker) ((jamie.mcgeever@thomsonreuters.com; Reuters Messaging: jamie.mcgeever.thomsonreuters.com@reuters.net, Twitter: @ReutersJamie)) The views and opinions expressed her

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 = 0.0174 (i.e., a 1.74% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0174 = 5.7393, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).


IWM: 60-day history, VaR(99%)=-0.0219, max drawdown threshold=10%.

Question:
Asset: IWM
Daily returns (past 60 days): mean=-0.0019, std=0.0095, worst_day=-0.0229
Maximum acceptable portfolio drawdown: 10%
Market regime: sideways
Recent filing/news:
[Kaggle 2023-10-16] ["US STOCKS-Wall St jumps 1% to kick-start earnings and data-heavy week, megacaps rise By Ankika Biswas and Shashwat Chauhan Oct 16 (Reuters) - Wall Street's main indexes jumped more than 1% on Monday as megacaps rose to kick-start a week packed with corporate earnings and economic data, while investors also monitored the Israel-Hamas conflict. The Dow touched a near four-week high and was on course for its best day in more than two months, while the S&P 500 and the Nasdaq were headed for their best days in nearly two weeks. Megacaps Microsoft MSFT.O, Meta Platforms META.O, Alphabet GOOGL.O and Amazon.com AMZN.O rose between 1% and 2%. Consumer discretionary .SPLRCD and materials .SPLRCM led the gains across major S&P 500 sectors, while utilities .SPLRCU and energy stocks .SPNY lagged behind. \"There's a little bit of risk-on sentiment coming from a pretty solid start to their earnings season,\" said Ross Mayfield, investment strategy analyst at Baird. \"It says that what the economic data is also saying, which is that the economy is stronger than we were giving it credit for at the year's start, certainly not recessionary.\" Results from large banks Goldman Sachs GS.N, Bank of America BAC.N, Morgan Stanley MS.N, pharmaceutical giant Johnson & Johnson JNJ.N, EV maker Tesla TSLA.O and video-streaming pioneer Netflix NFLX.O are due this week. Third-quarter earnings for S&P 500 companies are estimated to grow 2.2% year-on-year, LSEG data showed on Friday. Long-dated Treasury yields rose amid increased U.S. government debt issuance while a possible Israeli ground offensive in Gaza has led to uncertainty in the bond market. Investors also await economic data including retail sales for September and the Philly Fed Business Index for October later this week. Latest data showed the NY Fed's \"Empire State\" index, a gauge of manufacturing activity in New York State, fell to -4.60 in October, against expectations of a drop to -7. The Dow Jones Transport Average index .DJT, seen as an indicator of economic prosperity, was on track for its best day in nearly three months. Investors are focused on Federal Reserve Chair Jerome Powell's comments on Thursday, before Fed officials enter a blackout period starting Oct. 21 ahead of their policy meeting. Philadelphia Fed President Patrick Harker reiterated his view from Friday that the U.S. central bank was likely done with its rate-hike cycle. Among stocks, Apple AAPL.O bucked the trend among its growth peers, dipping 0.1% on a report the company's iPhones were off to a disappointing start in China. Lululemon AthleticaLULU.O added 9.6% as the sportswear apparel maker is set to join the S&P 500 index this week, replacing Activision Blizzard ATVI.O. ModernaMRNA.O reaffirmed its forecast of $6 billion to $8 billion in COVID vaccine sales for the year. The company's shares fell 5.0%. Charles SchwabSCHW.N jumped 4.8% as the brokerage posted a smaller-than-expected drop in quarterly profit. Advancing issues outnumbered

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 = 0.0219 (i.e., a 2.19% loss in the worst 1% of days).
Step 2: Fixed-fractional formula: f* = 10% / 0.0219 = 4.5595, capped at 1.0.
Maximum position size = 1.0000 (100.0% of portfolio).