id stringlengths 20 20 | template stringclasses 6
values | complexity int64 1 3 | split stringclasses 1
value | market_regime stringclasses 1
value | asset_class stringclasses 1
value | assets listlengths 1 4 | decision_date timestamp[s]date 2015-02-05 00:00:00 2022-12-28 00:00:00 | context_summary stringlengths 52 153 | question stringlengths 245 9.63k | answer stringlengths 2 63 | answer_numeric float64 -3.07 9.2 | explanation stringlengths 100 240 | metadata unknown |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
T4_all_20211029_0061 | T4 | 2 | train | sideways | all | [
"QUAL",
"ETH-USD"
] | 2021-10-29T00:00:00 | QUAL σ=0.0075, ETH-USD σ=0.0480, ρ=0.096. Min-variance weights: QUAL=0.991, ETH-USD=0.009. | Assets: QUAL, ETH-USD
QUAL: annualized_mean_return=0.1008, daily_std=0.0075
ETH-USD: annualized_mean_return=1.4868, daily_std=0.0480
Minimum required portfolio return (annualized): 0.1063
Market regime: sideways
Compute portfolio weights (w_QUAL, w_ETH-USD) that minimize portfolio variance while satisfying the minimum... | w_QUAL=0.9910, w_ETH-USD=0.0090 | 0.991 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.002308 - 0.000035) / (0.000056 + 0.002308 - 0.000069)
Unconstrained: w_QUAL=0.9908
After long-only clamp: w_QUAL=0.9908, w_ETH-USD=0.0092. | {
"weights": {
"QUAL": 0.991,
"ETH-USD": 0.009000000000000001
},
"sigma_1": 0.007462,
"sigma_2": 0.048040000000000006,
"covariance": 0.000035,
"correlation": 0.0964,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.1063,
"constraint_binding": false
} |
T4_all_20211008_0064 | T4 | 2 | train | sideways | all | [
"ADA-USD",
"SGOV"
] | 2021-10-08T00:00:00 | ADA-USD σ=0.0624, SGOV σ=0.0001, ρ=0.120. Min-variance weights: ADA-USD=0.000, SGOV=1.000. | Assets: ADA-USD, SGOV
ADA-USD: annualized_mean_return=2.4444, daily_std=0.0624
SGOV: annualized_mean_return=0.0000, daily_std=0.0001
Minimum required portfolio return (annualized): 1.4231
Market regime: sideways
Compute portfolio weights (w_ADA-USD, w_SGOV) that minimize portfolio variance while satisfying the minimum... | w_ADA-USD=0.5822, w_SGOV=0.4178 | 0.5822 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000001) / (0.003900 + 0.000000 - 0.000001)
Unconstrained: w_ADA-USD=-0.0001
After long-only clamp: w_ADA-USD=0.0000, w_SGOV=1.0000. | {
"weights": {
"ADA-USD": 0.5822,
"SGOV": 0.4178
},
"sigma_1": 0.062448,
"sigma_2": 0.000069,
"covariance": 0.000001,
"correlation": 0.12,
"has_text": false,
"text_chars": 0,
"mu_floor": 1.4231,
"constraint_binding": true
} |
T4_all_20220915_0071 | T4 | 2 | train | sideways | all | [
"EWJ",
"ICSH"
] | 2022-09-15T00:00:00 | EWJ σ=0.0112, ICSH σ=0.0003, ρ=0.022. Min-variance weights: EWJ=0.000, ICSH=1.000. | Assets: EWJ, ICSH
EWJ: annualized_mean_return=-0.0000, daily_std=0.0112
ICSH: annualized_mean_return=0.0252, daily_std=0.0003
Minimum required portfolio return (annualized): 0.0208
Market regime: sideways
Compute portfolio weights (w_EWJ, w_ICSH) that minimize portfolio variance while satisfying the minimum return con... | w_EWJ=0.0007, w_ICSH=0.9993 | 0.0007 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000000) / (0.000126 + 0.000000 - 0.000000)
Unconstrained: w_EWJ=0.0001
After long-only clamp: w_EWJ=0.0001, w_ICSH=0.9999. | {
"weights": {
"EWJ": 0.0007,
"ICSH": 0.9993000000000001
},
"sigma_1": 0.011233,
"sigma_2": 0.000303,
"covariance": 0,
"correlation": 0.0218,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.020800000000000003,
"constraint_binding": false
} |
T4_all_20200106_0074 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"ICSH"
] | 2020-01-06T00:00:00 | BTC-USD σ=0.0255, ICSH σ=0.0002, ρ=-0.046. Min-variance weights: BTC-USD=0.000, ICSH=1.000. | Assets: BTC-USD, ICSH
BTC-USD: annualized_mean_return=-0.9072, daily_std=0.0255
ICSH: annualized_mean_return=0.0252, daily_std=0.0002
Minimum required portfolio return (annualized): 0.0252
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_ICSH) that minimize portfolio variance while satisfying the minimu... | w_BTC-USD=-0.0000, w_ICSH=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - -0.000000) / (0.000651 + 0.000000 - -0.000000)
Unconstrained: w_BTC-USD=0.0004
After long-only clamp: w_BTC-USD=0.0004, w_ICSH=0.9996. | {
"weights": {
"BTC-USD": 0,
"ICSH": 1
},
"sigma_1": 0.02552,
"sigma_2": 0.000207,
"covariance": 0,
"correlation": -0.045700000000000005,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.0252,
"constraint_binding": true
} |
T4_all_20190619_0079 | T4 | 2 | train | sideways | all | [
"ACWI",
"ICSH"
] | 2019-06-19T00:00:00 | ACWI σ=0.0072, ICSH σ=0.0002, ρ=-0.012. Min-variance weights: ACWI=0.001, ICSH=0.999. | Assets: ACWI, ICSH
ACWI: annualized_mean_return=0.1512, daily_std=0.0072
ICSH: annualized_mean_return=0.0252, daily_std=0.0002
Minimum required portfolio return (annualized): 0.0253
Market regime: sideways
Compute portfolio weights (w_ACWI, w_ICSH) that minimize portfolio variance while satisfying the minimum return c... | w_ACWI=0.0009, w_ICSH=0.9991 | 0.0009 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - -0.000000) / (0.000052 + 0.000000 - -0.000000)
Unconstrained: w_ACWI=0.0013
After long-only clamp: w_ACWI=0.0013, w_ICSH=0.9987. | {
"weights": {
"ACWI": 0.0009000000000000001,
"ICSH": 0.9991000000000001
},
"sigma_1": 0.007199,
"sigma_2": 0.000217,
"covariance": 0,
"correlation": -0.012100000000000001,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0253,
"constraint_binding": false
} |
T4_all_20210913_0089 | T4 | 2 | train | sideways | all | [
"^VIX",
"PPLT"
] | 2021-09-13T00:00:00 | ^VIX σ=0.0779, PPLT σ=0.0166, ρ=0.083. Min-variance weights: ^VIX=0.027, PPLT=0.973. | Assets: ^VIX, PPLT
^VIX: annualized_mean_return=0.6048, daily_std=0.0779
PPLT: annualized_mean_return=-0.3276, daily_std=0.0166
Minimum required portfolio return (annualized): -0.3021
Market regime: sideways
Compute portfolio weights (w_^VIX, w_PPLT) that minimize portfolio variance while satisfying the minimum return... | w_^VIX=0.0274, w_PPLT=0.9726 | 0.0274 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000275 - 0.000107) / (0.006073 + 0.000275 - 0.000213)
Unconstrained: w_^VIX=0.0274
After long-only clamp: w_^VIX=0.0274, w_PPLT=0.9726. | {
"weights": {
"^VIX": 0.0274,
"PPLT": 0.9726
},
"sigma_1": 0.077928,
"sigma_2": 0.016578,
"covariance": 0.000107,
"correlation": 0.0826,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.30210000000000004,
"constraint_binding": false
} |
T4_all_20180406_0092 | T4 | 2 | train | sideways | all | [
"XLK",
"IAU"
] | 2018-04-06T00:00:00 | XLK σ=0.0161, IAU σ=0.0074, ρ=-0.004. Min-variance weights: XLK=0.175, IAU=0.825. | Assets: XLK, IAU
XLK: annualized_mean_return=-0.0504, daily_std=0.0161
IAU: annualized_mean_return=0.0756, daily_std=0.0074
Minimum required portfolio return (annualized): 0.0698
Market regime: sideways
Compute portfolio weights (w_XLK, w_IAU) that minimize portfolio variance while satisfying the minimum return constr... | w_XLK=0.0460, w_IAU=0.9540 | 0.046 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000055 - -0.000000) / (0.000259 + 0.000055 - -0.000001)
Unconstrained: w_XLK=0.1748
After long-only clamp: w_XLK=0.1748, w_IAU=0.8252. | {
"weights": {
"XLK": 0.046,
"IAU": 0.9540000000000001
},
"sigma_1": 0.016101999999999998,
"sigma_2": 0.007385,
"covariance": 0,
"correlation": -0.004,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0698,
"constraint_binding": true
} |
T4_all_20160111_0095 | T4 | 2 | train | sideways | all | [
"IWM",
"PDBC"
] | 2016-01-11T00:00:00 | IWM σ=0.0120, PDBC σ=0.0099, ρ=0.015. Min-variance weights: IWM=0.402, PDBC=0.598. | Assets: IWM, PDBC
IWM: annualized_mean_return=-0.3780, daily_std=0.0120
PDBC: annualized_mean_return=-0.7056, daily_std=0.0099
Minimum required portfolio return (annualized): -0.6067
Market regime: sideways
Compute portfolio weights (w_IWM, w_PDBC) that minimize portfolio variance while satisfying the minimum return c... | w_IWM=0.4016, w_PDBC=0.5984 | 0.4016 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000097 - 0.000002) / (0.000144 + 0.000097 - 0.000003)
Unconstrained: w_IWM=0.4018
After long-only clamp: w_IWM=0.4018, w_PDBC=0.5982. | {
"weights": {
"IWM": 0.4016,
"PDBC": 0.5984
},
"sigma_1": 0.011999,
"sigma_2": 0.009863,
"covariance": 0.000002,
"correlation": 0.0146,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.6067,
"constraint_binding": false
} |
T4_all_20180703_0098 | T4 | 2 | train | sideways | all | [
"MTUM",
"LQD"
] | 2018-07-03T00:00:00 | MTUM σ=0.0088, LQD σ=0.0027, ρ=-0.054. Min-variance weights: MTUM=0.096, LQD=0.904. | Assets: MTUM, LQD
MTUM: annualized_mean_return=0.3024, daily_std=0.0088
LQD: annualized_mean_return=-0.0504, daily_std=0.0027
Minimum required portfolio return (annualized): 0.0609
Market regime: sideways
Compute portfolio weights (w_MTUM, w_LQD) that minimize portfolio variance while satisfying the minimum return con... | w_MTUM=0.3155, w_LQD=0.6845 | 0.3155 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000007 - -0.000001) / (0.000078 + 0.000007 - -0.000003)
Unconstrained: w_MTUM=0.0962
After long-only clamp: w_MTUM=0.0962, w_LQD=0.9038. | {
"weights": {
"MTUM": 0.3155,
"LQD": 0.6845
},
"sigma_1": 0.008820000000000001,
"sigma_2": 0.002673,
"covariance": -0.000001,
"correlation": -0.0536,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0609,
"constraint_binding": true
} |
T4_all_20150714_0101 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"VCIT"
] | 2015-07-14T00:00:00 | BTC-USD σ=0.0204, VCIT σ=0.0035, ρ=0.000. Min-variance weights: BTC-USD=0.028, VCIT=0.972. | Assets: BTC-USD, VCIT
BTC-USD: annualized_mean_return=0.9324, daily_std=0.0204
VCIT: annualized_mean_return=-0.1260, daily_std=0.0035
Minimum required portfolio return (annualized): -0.1052
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_VCIT) that minimize portfolio variance while satisfying the minim... | w_BTC-USD=0.0283, w_VCIT=0.9717 | 0.0283 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000012 - 0.000000) / (0.000417 + 0.000012 - 0.000000)
Unconstrained: w_BTC-USD=0.0283
After long-only clamp: w_BTC-USD=0.0283, w_VCIT=0.9717. | {
"weights": {
"BTC-USD": 0.028300000000000002,
"VCIT": 0.9717
},
"sigma_1": 0.02041,
"sigma_2": 0.003483,
"covariance": 0,
"correlation": 0.0001,
"has_text": false,
"text_chars": 0,
"mu_floor": -0.1052,
"constraint_binding": false
} |
T4_all_20180402_0104 | T4 | 2 | train | sideways | all | [
"XLU",
"HAUZ"
] | 2018-04-02T00:00:00 | XLU σ=0.0102, HAUZ σ=0.0096, ρ=0.109. Min-variance weights: XLU=0.466, HAUZ=0.534. | Assets: XLU, HAUZ
XLU: annualized_mean_return=-0.1008, daily_std=0.0102
HAUZ: annualized_mean_return=0.1260, daily_std=0.0096
Minimum required portfolio return (annualized): 0.0438
Market regime: sideways
Compute portfolio weights (w_XLU, w_HAUZ) that minimize portfolio variance while satisfying the minimum return con... | w_XLU=0.3624, w_HAUZ=0.6376 | 0.3624 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000093 - 0.000011) / (0.000105 + 0.000093 - 0.000022)
Unconstrained: w_XLU=0.4663
After long-only clamp: w_XLU=0.4663, w_HAUZ=0.5337. | {
"weights": {
"XLU": 0.3624,
"HAUZ": 0.6376000000000001
},
"sigma_1": 0.010225,
"sigma_2": 0.009628,
"covariance": 0.000011,
"correlation": 0.10940000000000001,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0438,
"constraint_binding": true
} |
T4_all_20180607_0107 | T4 | 2 | train | sideways | all | [
"XLB",
"ICSH"
] | 2018-06-07T00:00:00 | XLB σ=0.0121, ICSH σ=0.0003, ρ=-0.038. Min-variance weights: XLB=0.001, ICSH=0.999. | Assets: XLB, ICSH
XLB: annualized_mean_return=0.0000, daily_std=0.0121
ICSH: annualized_mean_return=0.0252, daily_std=0.0003
Minimum required portfolio return (annualized): 0.0164
Market regime: sideways
Compute portfolio weights (w_XLB, w_ICSH) that minimize portfolio variance while satisfying the minimum return cons... | w_XLB=0.0005, w_ICSH=0.9995 | 0.0005 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - -0.000000) / (0.000146 + 0.000000 - -0.000000)
Unconstrained: w_XLB=0.0014
After long-only clamp: w_XLB=0.0014, w_ICSH=0.9986. | {
"weights": {
"XLB": 0.0005,
"ICSH": 0.9995
},
"sigma_1": 0.012086,
"sigma_2": 0.000272,
"covariance": 0,
"correlation": -0.038,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0164,
"constraint_binding": false
} |
T4_all_20171219_0108 | T4 | 2 | train | sideways | all | [
"XLI",
"ICSH"
] | 2017-12-19T00:00:00 | XLI σ=0.0058, ICSH σ=0.0003, ρ=0.065. Min-variance weights: XLI=0.000, ICSH=1.000. | Assets: XLI, ICSH
XLI: annualized_mean_return=0.2772, daily_std=0.0058
ICSH: annualized_mean_return=0.0000, daily_std=0.0003
Minimum required portfolio return (annualized): 0.1142
Market regime: sideways
Compute portfolio weights (w_XLI, w_ICSH) that minimize portfolio variance while satisfying the minimum return cons... | w_XLI=0.4120, w_ICSH=0.5880 | 0.412 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000000) / (0.000034 + 0.000000 - 0.000000)
Unconstrained: w_XLI=-0.0008
After long-only clamp: w_XLI=0.0000, w_ICSH=1.0000. | {
"weights": {
"XLI": 0.41200000000000003,
"ICSH": 0.588
},
"sigma_1": 0.005815,
"sigma_2": 0.00029099999999999997,
"covariance": 0,
"correlation": 0.0653,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.11420000000000001,
"constraint_binding": true
} |
T4_all_20191126_0115 | T4 | 2 | train | sideways | all | [
"XLF",
"LQD"
] | 2019-11-26T00:00:00 | XLF σ=0.0083, LQD σ=0.0038, ρ=-0.342. Min-variance weights: XLF=0.238, LQD=0.762. | Assets: XLF, LQD
XLF: annualized_mean_return=0.5040, daily_std=0.0083
LQD: annualized_mean_return=0.0000, daily_std=0.0038
Minimum required portfolio return (annualized): 0.1196
Market regime: sideways
Compute portfolio weights (w_XLF, w_LQD) that minimize portfolio variance while satisfying the minimum return constra... | w_XLF=0.2398, w_LQD=0.7602 | 0.2398 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000014 - -0.000011) / (0.000069 + 0.000014 - -0.000021)
Unconstrained: w_XLF=0.2382
After long-only clamp: w_XLF=0.2382, w_LQD=0.7618. | {
"weights": {
"XLF": 0.2398,
"LQD": 0.7602
},
"sigma_1": 0.008294,
"sigma_2": 0.003764,
"covariance": -0.000011,
"correlation": -0.3423,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.11960000000000001,
"constraint_binding": false
} |
T4_all_20170317_0120 | T4 | 2 | train | sideways | all | [
"VEA",
"REZ"
] | 2017-03-17T00:00:00 | VEA σ=0.0049, REZ σ=0.0081, ρ=0.166. Min-variance weights: VEA=0.775, REZ=0.225. | Assets: VEA, REZ
VEA: annualized_mean_return=0.3276, daily_std=0.0049
REZ: annualized_mean_return=0.1512, daily_std=0.0081
Minimum required portfolio return (annualized): 0.3082
Market regime: sideways
Compute portfolio weights (w_VEA, w_REZ) that minimize portfolio variance while satisfying the minimum return constra... | w_VEA=0.8900, w_REZ=0.1100 | 0.89 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000066 - 0.000007) / (0.000024 + 0.000066 - 0.000013)
Unconstrained: w_VEA=0.7751
After long-only clamp: w_VEA=0.7751, w_REZ=0.2249. | {
"weights": {
"VEA": 0.89,
"REZ": 0.11
},
"sigma_1": 0.004863,
"sigma_2": 0.008093,
"covariance": 0.000007,
"correlation": 0.1661,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.30820000000000003,
"constraint_binding": true
} |
T4_all_20181121_0126 | T4 | 2 | train | sideways | all | [
"XLI",
"IGOV"
] | 2018-11-21T00:00:00 | XLI σ=0.0114, IGOV σ=0.0034, ρ=0.002. Min-variance weights: XLI=0.080, IGOV=0.920. | Assets: XLI, IGOV
XLI: annualized_mean_return=-0.4536, daily_std=0.0114
IGOV: annualized_mean_return=-0.1260, daily_std=0.0034
Minimum required portfolio return (annualized): -0.1411
Market regime: sideways
Compute portfolio weights (w_XLI, w_IGOV) that minimize portfolio variance while satisfying the minimum return c... | w_XLI=0.0461, w_IGOV=0.9539 | 0.0461 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000011 - 0.000000) / (0.000129 + 0.000011 - 0.000000)
Unconstrained: w_XLI=0.0802
After long-only clamp: w_XLI=0.0802, w_IGOV=0.9198. | {
"weights": {
"XLI": 0.0461,
"IGOV": 0.9539000000000001
},
"sigma_1": 0.011372,
"sigma_2": 0.003372,
"covariance": 0,
"correlation": 0.0025,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.1411,
"constraint_binding": true
} |
T4_all_20201021_0128 | T4 | 2 | train | sideways | all | [
"XLB",
"DBA"
] | 2020-10-21T00:00:00 | XLB σ=0.0134, DBA σ=0.0072, ρ=0.169. Min-variance weights: XLB=0.176, DBA=0.824. | Assets: XLB, DBA
XLB: annualized_mean_return=0.2268, daily_std=0.0134
DBA: annualized_mean_return=0.3780, daily_std=0.0072
Minimum required portfolio return (annualized): 0.3720
Market regime: sideways
Compute portfolio weights (w_XLB, w_DBA) that minimize portfolio variance while satisfying the minimum return constra... | w_XLB=0.0397, w_DBA=0.9603 | 0.0397 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000051 - 0.000016) / (0.000179 + 0.000051 - 0.000032)
Unconstrained: w_XLB=0.1765
After long-only clamp: w_XLB=0.1765, w_DBA=0.8235. | {
"weights": {
"XLB": 0.0397,
"DBA": 0.9603
},
"sigma_1": 0.013396,
"sigma_2": 0.007156999999999999,
"covariance": 0.000016,
"correlation": 0.1693,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.372,
"constraint_binding": true
} |
T4_all_20200911_0130 | T4 | 2 | train | sideways | all | [
"VLUE",
"CORN"
] | 2020-09-11T00:00:00 | VLUE σ=0.0122, CORN σ=0.0124, ρ=-0.080. Min-variance weights: VLUE=0.507, CORN=0.493. | Assets: VLUE, CORN
VLUE: annualized_mean_return=-0.0252, daily_std=0.0122
CORN: annualized_mean_return=0.1512, daily_std=0.0124
Minimum required portfolio return (annualized): 0.0949
Market regime: sideways
Compute portfolio weights (w_VLUE, w_CORN) that minimize portfolio variance while satisfying the minimum return ... | w_VLUE=0.3192, w_CORN=0.6808 | 0.3192 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000154 - -0.000012) / (0.000149 + 0.000154 - -0.000024)
Unconstrained: w_VLUE=0.5073
After long-only clamp: w_VLUE=0.5073, w_CORN=0.4927. | {
"weights": {
"VLUE": 0.31920000000000004,
"CORN": 0.6808000000000001
},
"sigma_1": 0.012196,
"sigma_2": 0.012390000000000002,
"covariance": -0.000012,
"correlation": -0.08,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0949,
"constraint_binding": true
} |
T4_all_20211022_0133 | T4 | 2 | train | sideways | all | [
"AVAX-USD",
"BIL"
] | 2021-10-22T00:00:00 | AVAX-USD σ=0.0897, BIL σ=0.0001, ρ=0.180. Min-variance weights: AVAX-USD=0.000, BIL=1.000. | Assets: AVAX-USD, BIL
AVAX-USD: annualized_mean_return=2.4696, daily_std=0.0897
BIL: annualized_mean_return=-0.0000, daily_std=0.0001
Minimum required portfolio return (annualized): -0.0000
Market regime: sideways
Compute portfolio weights (w_AVAX-USD, w_BIL) that minimize portfolio variance while satisfying the minim... | w_AVAX-USD=0.0000, w_BIL=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000002) / (0.008038 + 0.000000 - 0.000003)
Unconstrained: w_AVAX-USD=-0.0002
After long-only clamp: w_AVAX-USD=0.0000, w_BIL=1.0000. | {
"weights": {
"AVAX-USD": 0,
"BIL": 1
},
"sigma_1": 0.089653,
"sigma_2": 0.0001,
"covariance": 0.000002,
"correlation": 0.17950000000000002,
"has_text": true,
"text_chars": 20,
"mu_floor": 0,
"constraint_binding": false
} |
T4_all_20180530_0136 | T4 | 2 | train | sideways | all | [
"VTI",
"HYG"
] | 2018-05-30T00:00:00 | VTI σ=0.0098, HYG σ=0.0024, ρ=-0.288. Min-variance weights: VTI=0.110, HYG=0.890. | Assets: VTI, HYG
VTI: annualized_mean_return=0.0504, daily_std=0.0098
HYG: annualized_mean_return=0.0000, daily_std=0.0024
Minimum required portfolio return (annualized): 0.0318
Market regime: sideways
Compute portfolio weights (w_VTI, w_HYG) that minimize portfolio variance while satisfying the minimum return constra... | w_VTI=0.6310, w_HYG=0.3690 | 0.631 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000006 - -0.000007) / (0.000097 + 0.000006 - -0.000014)
Unconstrained: w_VTI=0.1101
After long-only clamp: w_VTI=0.1101, w_HYG=0.8899. | {
"weights": {
"VTI": 0.631,
"HYG": 0.369
},
"sigma_1": 0.009826,
"sigma_2": 0.002433,
"covariance": -0.000007,
"correlation": -0.2876,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0318,
"constraint_binding": true
} |
T4_all_20201110_0139 | T4 | 2 | train | sideways | all | [
"^VIX",
"PALL"
] | 2020-11-10T00:00:00 | ^VIX σ=0.0679, PALL σ=0.0181, ρ=-0.196. Min-variance weights: ^VIX=0.105, PALL=0.895. | Assets: ^VIX, PALL
^VIX: annualized_mean_return=0.6552, daily_std=0.0679
PALL: annualized_mean_return=0.5544, daily_std=0.0181
Minimum required portfolio return (annualized): 0.5597
Market regime: sideways
Compute portfolio weights (w_^VIX, w_PALL) that minimize portfolio variance while satisfying the minimum return c... | w_^VIX=0.1052, w_PALL=0.8948 | 0.1052 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000329 - -0.000241) / (0.004604 + 0.000329 - -0.000482)
Unconstrained: w_^VIX=0.1052
After long-only clamp: w_^VIX=0.1052, w_PALL=0.8948. | {
"weights": {
"^VIX": 0.1052,
"PALL": 0.8948
},
"sigma_1": 0.067851,
"sigma_2": 0.018129,
"covariance": -0.00024099999999999998,
"correlation": -0.1961,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.5597,
"constraint_binding": false
} |
T4_all_20201229_0142 | T4 | 2 | train | sideways | all | [
"ADA-USD",
"PALL"
] | 2020-12-29T00:00:00 | ADA-USD σ=0.0624, PALL σ=0.0197, ρ=0.012. Min-variance weights: ADA-USD=0.088, PALL=0.912. | Assets: ADA-USD, PALL
ADA-USD: annualized_mean_return=3.0744, daily_std=0.0624
PALL: annualized_mean_return=-0.0252, daily_std=0.0197
Minimum required portfolio return (annualized): 1.7917
Market regime: sideways
Compute portfolio weights (w_ADA-USD, w_PALL) that minimize portfolio variance while satisfying the minimu... | w_ADA-USD=0.5862, w_PALL=0.4138 | 0.5862 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000390 - 0.000015) / (0.003890 + 0.000390 - 0.000029)
Unconstrained: w_ADA-USD=0.0882
After long-only clamp: w_ADA-USD=0.0882, w_PALL=0.9118. | {
"weights": {
"ADA-USD": 0.5862,
"PALL": 0.4138
},
"sigma_1": 0.06237,
"sigma_2": 0.019736999999999998,
"covariance": 0.000014999999999999999,
"correlation": 0.0119,
"has_text": false,
"text_chars": 0,
"mu_floor": 1.7917,
"constraint_binding": true
} |
T4_all_20170324_0145 | T4 | 2 | train | sideways | all | [
"FXI",
"BNO"
] | 2017-03-24T00:00:00 | FXI σ=0.0078, BNO σ=0.0135, ρ=0.140. Min-variance weights: FXI=0.782, BNO=0.218. | Assets: FXI, BNO
FXI: annualized_mean_return=0.6048, daily_std=0.0078
BNO: annualized_mean_return=-0.5292, daily_std=0.0135
Minimum required portfolio return (annualized): -0.1508
Market regime: sideways
Compute portfolio weights (w_FXI, w_BNO) that minimize portfolio variance while satisfying the minimum return const... | w_FXI=0.7822, w_BNO=0.2178 | 0.7822 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000181 - 0.000015) / (0.000061 + 0.000181 - 0.000030)
Unconstrained: w_FXI=0.7816
After long-only clamp: w_FXI=0.7816, w_BNO=0.2184. | {
"weights": {
"FXI": 0.7822,
"BNO": 0.21780000000000002
},
"sigma_1": 0.007826999999999999,
"sigma_2": 0.013460000000000001,
"covariance": 0.000014999999999999999,
"correlation": 0.14020000000000002,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.15080000000000002,
"constraint_binding... |
T4_all_20201117_0148 | T4 | 2 | train | sideways | all | [
"ADA-USD",
"VNQI"
] | 2020-11-17T00:00:00 | ADA-USD σ=0.0438, VNQI σ=0.0110, ρ=0.128. Min-variance weights: ADA-USD=0.031, VNQI=0.969. | Assets: ADA-USD, VNQI
ADA-USD: annualized_mean_return=0.6552, daily_std=0.0438
VNQI: annualized_mean_return=0.3276, daily_std=0.0110
Minimum required portfolio return (annualized): 0.5826
Market regime: sideways
Compute portfolio weights (w_ADA-USD, w_VNQI) that minimize portfolio variance while satisfying the minimum... | w_ADA-USD=0.7784, w_VNQI=0.2216 | 0.7784 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000121 - 0.000062) / (0.001919 + 0.000121 - 0.000123)
Unconstrained: w_ADA-USD=0.0311
After long-only clamp: w_ADA-USD=0.0311, w_VNQI=0.9689. | {
"weights": {
"ADA-USD": 0.7784000000000001,
"VNQI": 0.22160000000000002
},
"sigma_1": 0.043812,
"sigma_2": 0.011012,
"covariance": 0.000062,
"correlation": 0.12760000000000002,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.5826,
"constraint_binding": true
} |
T4_all_20190312_0153 | T4 | 2 | train | sideways | all | [
"XLB",
"ICSH"
] | 2019-03-12T00:00:00 | XLB σ=0.0122, ICSH σ=0.0002, ρ=-0.034. Min-variance weights: XLB=0.001, ICSH=0.999. | Assets: XLB, ICSH
XLB: annualized_mean_return=0.2520, daily_std=0.0122
ICSH: annualized_mean_return=0.0252, daily_std=0.0002
Minimum required portfolio return (annualized): 0.0253
Market regime: sideways
Compute portfolio weights (w_XLB, w_ICSH) that minimize portfolio variance while satisfying the minimum return cons... | w_XLB=0.0004, w_ICSH=0.9996 | 0.0004 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - -0.000000) / (0.000150 + 0.000000 - -0.000000)
Unconstrained: w_XLB=0.0011
After long-only clamp: w_XLB=0.0011, w_ICSH=0.9989. | {
"weights": {
"XLB": 0.0004,
"ICSH": 0.9996
},
"sigma_1": 0.012242999999999999,
"sigma_2": 0.000244,
"covariance": 0,
"correlation": -0.0344,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0253,
"constraint_binding": false
} |
T4_all_20160822_0158 | T4 | 2 | train | sideways | all | [
"XLU",
"ICSH"
] | 2016-08-22T00:00:00 | XLU σ=0.0080, ICSH σ=0.0008, ρ=-0.005. Min-variance weights: XLU=0.011, ICSH=0.989. | Assets: XLU, ICSH
XLU: annualized_mean_return=0.2016, daily_std=0.0080
ICSH: annualized_mean_return=0.0000, daily_std=0.0008
Minimum required portfolio return (annualized): 0.1012
Market regime: sideways
Compute portfolio weights (w_XLU, w_ICSH) that minimize portfolio variance while satisfying the minimum return cons... | w_XLU=0.5020, w_ICSH=0.4980 | 0.502 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000001 - -0.000000) / (0.000064 + 0.000001 - -0.000000)
Unconstrained: w_XLU=0.0108
After long-only clamp: w_XLU=0.0108, w_ICSH=0.9892. | {
"weights": {
"XLU": 0.502,
"ICSH": 0.498
},
"sigma_1": 0.007996,
"sigma_2": 0.0008179999999999999,
"covariance": 0,
"correlation": -0.0048000000000000004,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.1012,
"constraint_binding": true
} |
T4_all_20190819_0161 | T4 | 2 | train | sideways | all | [
"XLF",
"IEF"
] | 2019-08-19T00:00:00 | XLF σ=0.0115, IEF σ=0.0033, ρ=-0.443. Min-variance weights: XLF=0.159, IEF=0.841. | Assets: XLF, IEF
XLF: annualized_mean_return=-0.0504, daily_std=0.0115
IEF: annualized_mean_return=0.2772, daily_std=0.0033
Minimum required portfolio return (annualized): 0.0873
Market regime: sideways
Compute portfolio weights (w_XLF, w_IEF) that minimize portfolio variance while satisfying the minimum return constr... | w_XLF=0.1585, w_IEF=0.8415 | 0.1585 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000011 - -0.000017) / (0.000133 + 0.000011 - -0.000034)
Unconstrained: w_XLF=0.1586
After long-only clamp: w_XLF=0.1586, w_IEF=0.8414. | {
"weights": {
"XLF": 0.1585,
"IEF": 0.8415
},
"sigma_1": 0.011515,
"sigma_2": 0.003343,
"covariance": -0.000017,
"correlation": -0.44270000000000004,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0873,
"constraint_binding": false
} |
T4_all_20181004_0164 | T4 | 2 | train | sideways | all | [
"XLK",
"WEAT"
] | 2018-10-04T00:00:00 | XLK σ=0.0071, WEAT σ=0.0165, ρ=-0.088. Min-variance weights: XLK=0.823, WEAT=0.177. | Assets: XLK, WEAT
XLK: annualized_mean_return=0.2520, daily_std=0.0071
WEAT: annualized_mean_return=0.3024, daily_std=0.0165
Minimum required portfolio return (annualized): 0.2898
Market regime: sideways
Compute portfolio weights (w_XLK, w_WEAT) that minimize portfolio variance while satisfying the minimum return cons... | w_XLK=0.2500, w_WEAT=0.7500 | 0.25 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000273 - -0.000010) / (0.000051 + 0.000273 - -0.000021)
Unconstrained: w_XLK=0.8227
After long-only clamp: w_XLK=0.8227, w_WEAT=0.1773. | {
"weights": {
"XLK": 0.25,
"WEAT": 0.75
},
"sigma_1": 0.007117999999999999,
"sigma_2": 0.016513,
"covariance": -0.00001,
"correlation": -0.088,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.2898,
"constraint_binding": true
} |
T4_all_20220707_0167 | T4 | 2 | train | sideways | all | [
"ETH-USD",
"HAUZ"
] | 2022-07-07T00:00:00 | ETH-USD σ=0.0556, HAUZ σ=0.0114, ρ=-0.142. Min-variance weights: ETH-USD=0.065, HAUZ=0.935. | Assets: ETH-USD, HAUZ
ETH-USD: annualized_mean_return=-2.8980, daily_std=0.0556
HAUZ: annualized_mean_return=-0.7308, daily_std=0.0114
Minimum required portfolio return (annualized): -1.5414
Market regime: sideways
Compute portfolio weights (w_ETH-USD, w_HAUZ) that minimize portfolio variance while satisfying the mini... | w_ETH-USD=0.0648, w_HAUZ=0.9352 | 0.0648 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000131 - -0.000090) / (0.003091 + 0.000131 - -0.000180)
Unconstrained: w_ETH-USD=0.0649
After long-only clamp: w_ETH-USD=0.0649, w_HAUZ=0.9351. | {
"weights": {
"ETH-USD": 0.0648,
"HAUZ": 0.9352
},
"sigma_1": 0.055593,
"sigma_2": 0.011425,
"covariance": -0.00009,
"correlation": -0.1418,
"has_text": true,
"text_chars": 20,
"mu_floor": -1.5413999999999999,
"constraint_binding": false
} |
T4_all_20180829_0170 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"UNG"
] | 2018-08-29T00:00:00 | BTC-USD σ=0.0308, UNG σ=0.0110, ρ=-0.323. Min-variance weights: BTC-USD=0.179, UNG=0.821. | Assets: BTC-USD, UNG
BTC-USD: annualized_mean_return=0.6804, daily_std=0.0308
UNG: annualized_mean_return=-0.0000, daily_std=0.0110
Minimum required portfolio return (annualized): 0.4331
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_UNG) that minimize portfolio variance while satisfying the minimum r... | w_BTC-USD=0.6365, w_UNG=0.3635 | 0.6365 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000121 - -0.000110) / (0.000947 + 0.000121 - -0.000219)
Unconstrained: w_BTC-USD=0.1792
After long-only clamp: w_BTC-USD=0.1792, w_UNG=0.8208. | {
"weights": {
"BTC-USD": 0.6365000000000001,
"UNG": 0.3635
},
"sigma_1": 0.030777,
"sigma_2": 0.01101,
"covariance": -0.00011,
"correlation": -0.32320000000000004,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.43310000000000004,
"constraint_binding": true
} |
T4_all_20210914_0175 | T4 | 2 | train | sideways | all | [
"XLI",
"SGOV"
] | 2021-09-14T00:00:00 | XLI σ=0.0090, SGOV σ=0.0001, ρ=0.218. Min-variance weights: XLI=0.000, SGOV=1.000. | Assets: XLI, SGOV
XLI: annualized_mean_return=0.0756, daily_std=0.0090
SGOV: annualized_mean_return=0.0000, daily_std=0.0001
Minimum required portfolio return (annualized): -0.0000
Market regime: sideways
Compute portfolio weights (w_XLI, w_SGOV) that minimize portfolio variance while satisfying the minimum return con... | w_XLI=0.0001, w_SGOV=0.9999 | 0.0001 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000000) / (0.000081 + 0.000000 - 0.000000)
Unconstrained: w_XLI=-0.0016
After long-only clamp: w_XLI=0.0000, w_SGOV=1.0000. | {
"weights": {
"XLI": 0.0001,
"SGOV": 0.9999
},
"sigma_1": 0.009019,
"sigma_2": 0.000067,
"covariance": 0,
"correlation": 0.2179,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0,
"constraint_binding": false
} |
T4_all_20181126_0178 | T4 | 2 | train | sideways | all | [
"BNB-USD",
"CORN"
] | 2018-11-26T00:00:00 | BNB-USD σ=0.0405, CORN σ=0.0092, ρ=0.021. Min-variance weights: BNB-USD=0.045, CORN=0.955. | Assets: BNB-USD, CORN
BNB-USD: annualized_mean_return=-2.4192, daily_std=0.0405
CORN: annualized_mean_return=0.0504, daily_std=0.0092
Minimum required portfolio return (annualized): 0.0202
Market regime: sideways
Compute portfolio weights (w_BNB-USD, w_CORN) that minimize portfolio variance while satisfying the minimu... | w_BNB-USD=0.0122, w_CORN=0.9878 | 0.0122 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000085 - 0.000008) / (0.001642 + 0.000085 - 0.000015)
Unconstrained: w_BNB-USD=0.0449
After long-only clamp: w_BNB-USD=0.0449, w_CORN=0.9551. | {
"weights": {
"BNB-USD": 0.0122,
"CORN": 0.9878
},
"sigma_1": 0.040522999999999997,
"sigma_2": 0.009191999999999999,
"covariance": 0.000008,
"correlation": 0.0206,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.020200000000000003,
"constraint_binding": true
} |
T4_all_20170615_0181 | T4 | 2 | train | sideways | all | [
"IVV",
"IEF"
] | 2017-06-15T00:00:00 | IVV σ=0.0045, IEF σ=0.0026, ρ=-0.059. Min-variance weights: IVV=0.261, IEF=0.739. | Assets: IVV, IEF
IVV: annualized_mean_return=0.1260, daily_std=0.0045
IEF: annualized_mean_return=0.1260, daily_std=0.0026
Minimum required portfolio return (annualized): 0.1260
Market regime: sideways
Compute portfolio weights (w_IVV, w_IEF) that minimize portfolio variance while satisfying the minimum return constra... | w_IVV=0.2659, w_IEF=0.7341 | 0.2659 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000007 - -0.000001) / (0.000020 + 0.000007 - -0.000001)
Unconstrained: w_IVV=0.2607
After long-only clamp: w_IVV=0.2607, w_IEF=0.7393. | {
"weights": {
"IVV": 0.2659,
"IEF": 0.7341000000000001
},
"sigma_1": 0.0045000000000000005,
"sigma_2": 0.002588,
"covariance": -0.000001,
"correlation": -0.0589,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.126,
"constraint_binding": false
} |
T4_all_20220110_0184 | T4 | 2 | train | sideways | all | [
"IWM",
"SGOV"
] | 2022-01-10T00:00:00 | IWM σ=0.0141, SGOV σ=0.0001, ρ=-0.126. Min-variance weights: IWM=0.001, SGOV=1.000. | Assets: IWM, SGOV
IWM: annualized_mean_return=-0.1008, daily_std=0.0141
SGOV: annualized_mean_return=0.0000, daily_std=0.0001
Minimum required portfolio return (annualized): -0.0308
Market regime: sideways
Compute portfolio weights (w_IWM, w_SGOV) that minimize portfolio variance while satisfying the minimum return co... | w_IWM=0.0000, w_SGOV=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - -0.000000) / (0.000197 + 0.000000 - -0.000000)
Unconstrained: w_IWM=0.0005
After long-only clamp: w_IWM=0.0005, w_SGOV=0.9995. | {
"weights": {
"IWM": 0,
"SGOV": 1
},
"sigma_1": 0.014051999999999999,
"sigma_2": 0.000058,
"covariance": 0,
"correlation": -0.1259,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.0308,
"constraint_binding": false
} |
T4_all_20220117_0187 | T4 | 2 | train | sideways | all | [
"VTI",
"SGOV"
] | 2022-01-17T00:00:00 | VTI σ=0.0093, SGOV σ=0.0001, ρ=-0.044. Min-variance weights: VTI=0.000, SGOV=1.000. | Assets: VTI, SGOV
VTI: annualized_mean_return=0.0252, daily_std=0.0093
SGOV: annualized_mean_return=0.0000, daily_std=0.0001
Minimum required portfolio return (annualized): -0.0001
Market regime: sideways
Compute portfolio weights (w_VTI, w_SGOV) that minimize portfolio variance while satisfying the minimum return con... | w_VTI=0.0000, w_SGOV=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - -0.000000) / (0.000087 + 0.000000 - -0.000000)
Unconstrained: w_VTI=0.0003
After long-only clamp: w_VTI=0.0003, w_SGOV=0.9997. | {
"weights": {
"VTI": 0,
"SGOV": 1
},
"sigma_1": 0.009313,
"sigma_2": 0.000058,
"covariance": 0,
"correlation": -0.0439,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.0001,
"constraint_binding": false
} |
T4_all_20210316_0192 | T4 | 2 | train | sideways | all | [
"XLB",
"ICSH"
] | 2021-03-16T00:00:00 | XLB σ=0.0121, ICSH σ=0.0002, ρ=-0.060. Min-variance weights: XLB=0.001, ICSH=0.999. | Assets: XLB, ICSH
XLB: annualized_mean_return=0.4032, daily_std=0.0121
ICSH: annualized_mean_return=0.0000, daily_std=0.0002
Minimum required portfolio return (annualized): 0.1301
Market regime: sideways
Compute portfolio weights (w_XLB, w_ICSH) that minimize portfolio variance while satisfying the minimum return cons... | w_XLB=0.3227, w_ICSH=0.6773 | 0.3227 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - -0.000000) / (0.000147 + 0.000000 - -0.000000)
Unconstrained: w_XLB=0.0014
After long-only clamp: w_XLB=0.0014, w_ICSH=0.9986. | {
"weights": {
"XLB": 0.32270000000000004,
"ICSH": 0.6773
},
"sigma_1": 0.012114,
"sigma_2": 0.00021899999999999998,
"covariance": 0,
"correlation": -0.060200000000000004,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.1301,
"constraint_binding": true
} |
T4_all_20191203_0195 | T4 | 2 | train | sideways | all | [
"BNB-USD",
"IAU"
] | 2019-12-03T00:00:00 | BNB-USD σ=0.0370, IAU σ=0.0068, ρ=-0.204. Min-variance weights: BNB-USD=0.064, IAU=0.936. | Assets: BNB-USD, IAU
BNB-USD: annualized_mean_return=0.0252, daily_std=0.0370
IAU: annualized_mean_return=-0.0756, daily_std=0.0068
Minimum required portfolio return (annualized): -0.0711
Market regime: sideways
Compute portfolio weights (w_BNB-USD, w_IAU) that minimize portfolio variance while satisfying the minimum ... | w_BNB-USD=0.0641, w_IAU=0.9359 | 0.0641 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000046 - -0.000051) / (0.001367 + 0.000046 - -0.000103)
Unconstrained: w_BNB-USD=0.0642
After long-only clamp: w_BNB-USD=0.0642, w_IAU=0.9358. | {
"weights": {
"BNB-USD": 0.0641,
"IAU": 0.9359000000000001
},
"sigma_1": 0.03697,
"sigma_2": 0.006784999999999999,
"covariance": -0.000051,
"correlation": -0.2044,
"has_text": false,
"text_chars": 0,
"mu_floor": -0.0711,
"constraint_binding": false
} |
T4_all_20201006_0199 | T4 | 2 | train | sideways | all | [
"LINK-USD",
"BIL"
] | 2020-10-06T00:00:00 | LINK-USD σ=0.0799, BIL σ=0.0001, ρ=0.248. Min-variance weights: LINK-USD=0.000, BIL=1.000. | Assets: LINK-USD, BIL
LINK-USD: annualized_mean_return=-0.4536, daily_std=0.0799
BIL: annualized_mean_return=-0.0000, daily_std=0.0001
Minimum required portfolio return (annualized): -0.2282
Market regime: sideways
Compute portfolio weights (w_LINK-USD, w_BIL) that minimize portfolio variance while satisfying the mini... | w_LINK-USD=0.0000, w_BIL=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000002) / (0.006382 + 0.000000 - 0.000004)
Unconstrained: w_LINK-USD=-0.0003
After long-only clamp: w_LINK-USD=0.0000, w_BIL=1.0000. | {
"weights": {
"LINK-USD": 0,
"BIL": 1
},
"sigma_1": 0.07989,
"sigma_2": 0.000101,
"covariance": 0.000002,
"correlation": 0.2477,
"has_text": false,
"text_chars": 0,
"mu_floor": -0.22820000000000001,
"constraint_binding": false
} |
T4_all_20191114_0202 | T4 | 2 | train | sideways | all | [
"MATIC-USD",
"IAU"
] | 2019-11-14T00:00:00 | MATIC-USD σ=0.0485, IAU σ=0.0083, ρ=-0.193. Min-variance weights: MATIC-USD=0.057, IAU=0.943. | Assets: MATIC-USD, IAU
MATIC-USD: annualized_mean_return=0.8568, daily_std=0.0485
IAU: annualized_mean_return=-0.1260, daily_std=0.0083
Minimum required portfolio return (annualized): 0.2400
Market regime: sideways
Compute portfolio weights (w_MATIC-USD, w_IAU) that minimize portfolio variance while satisfying the min... | w_MATIC-USD=0.3724, w_IAU=0.6276 | 0.3724 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000068 - -0.000077) / (0.002348 + 0.000068 - -0.000155)
Unconstrained: w_MATIC-USD=0.0567
After long-only clamp: w_MATIC-USD=0.0567, w_IAU=0.9433. | {
"weights": {
"MATIC-USD": 0.3724,
"IAU": 0.6276
},
"sigma_1": 0.048452999999999996,
"sigma_2": 0.008270000000000001,
"covariance": -0.000077,
"correlation": -0.19340000000000002,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.24,
"constraint_binding": true
} |
T4_all_20211018_0223 | T4 | 2 | train | sideways | all | [
"ETH-USD",
"SGOV"
] | 2021-10-18T00:00:00 | ETH-USD σ=0.0461, SGOV σ=0.0001, ρ=-0.124. Min-variance weights: ETH-USD=0.000, SGOV=1.000. | Assets: ETH-USD, SGOV
ETH-USD: annualized_mean_return=1.2852, daily_std=0.0461
SGOV: annualized_mean_return=0.0000, daily_std=0.0001
Minimum required portfolio return (annualized): -0.0001
Market regime: sideways
Compute portfolio weights (w_ETH-USD, w_SGOV) that minimize portfolio variance while satisfying the minimu... | w_ETH-USD=0.0000, w_SGOV=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - -0.000000) / (0.002128 + 0.000000 - -0.000001)
Unconstrained: w_ETH-USD=0.0002
After long-only clamp: w_ETH-USD=0.0002, w_SGOV=0.9998. | {
"weights": {
"ETH-USD": 0,
"SGOV": 1
},
"sigma_1": 0.046131,
"sigma_2": 0.000061,
"covariance": 0,
"correlation": -0.1242,
"has_text": true,
"text_chars": 20,
"mu_floor": -0.0001,
"constraint_binding": false
} |
T4_all_20160129_0226 | T4 | 2 | train | sideways | all | [
"XLI",
"ITB"
] | 2016-01-29T00:00:00 | XLI σ=0.0105, ITB σ=0.0160, ρ=0.871. Min-variance weights: XLI=1.000, ITB=0.000. | Assets: XLI, ITB
XLI: annualized_mean_return=-0.4284, daily_std=0.0105
ITB: annualized_mean_return=-0.5544, daily_std=0.0160
Minimum required portfolio return (annualized): -0.4891
Market regime: sideways
Compute portfolio weights (w_XLI, w_ITB) that minimize portfolio variance while satisfying the minimum return cons... | w_XLI=1.0000, w_ITB=0.0000 | 1 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000256 - 0.000146) / (0.000110 + 0.000256 - 0.000292)
Unconstrained: w_XLI=1.4906
After long-only clamp: w_XLI=1.0000, w_ITB=0.0000. | {
"weights": {
"XLI": 1,
"ITB": 0
},
"sigma_1": 0.010487,
"sigma_2": 0.015996,
"covariance": 0.000146,
"correlation": 0.871,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.48910000000000003,
"constraint_binding": false
} |
T4_all_20190104_0231 | T4 | 2 | train | sideways | all | [
"EFA",
"ICSH"
] | 2019-01-04T00:00:00 | EFA σ=0.0109, ICSH σ=0.0003, ρ=-0.139. Min-variance weights: EFA=0.004, ICSH=0.996. | Assets: EFA, ICSH
EFA: annualized_mean_return=-0.5040, daily_std=0.0109
ICSH: annualized_mean_return=0.0252, daily_std=0.0003
Minimum required portfolio return (annualized): 0.0165
Market regime: sideways
Compute portfolio weights (w_EFA, w_ICSH) that minimize portfolio variance while satisfying the minimum return con... | w_EFA=0.0007, w_ICSH=0.9993 | 0.0007 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - -0.000000) / (0.000118 + 0.000000 - -0.000001)
Unconstrained: w_EFA=0.0045
After long-only clamp: w_EFA=0.0045, w_ICSH=0.9955. | {
"weights": {
"EFA": 0.0007,
"ICSH": 0.9993000000000001
},
"sigma_1": 0.010881,
"sigma_2": 0.000294,
"covariance": 0,
"correlation": -0.13920000000000002,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0165,
"constraint_binding": false
} |
T4_all_20221028_0236 | T4 | 2 | train | sideways | all | [
"SOL-USD",
"IYR"
] | 2022-10-28T00:00:00 | SOL-USD σ=0.0365, IYR σ=0.0155, ρ=0.030. Min-variance weights: SOL-USD=0.144, IYR=0.856. | Assets: SOL-USD, IYR
SOL-USD: annualized_mean_return=0.2016, daily_std=0.0365
IYR: annualized_mean_return=-0.7308, daily_std=0.0155
Minimum required portfolio return (annualized): -0.2076
Market regime: sideways
Compute portfolio weights (w_SOL-USD, w_IYR) that minimize portfolio variance while satisfying the minimum ... | w_SOL-USD=0.5611, w_IYR=0.4389 | 0.5611 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000239 - 0.000017) / (0.001331 + 0.000239 - 0.000034)
Unconstrained: w_SOL-USD=0.1445
After long-only clamp: w_SOL-USD=0.1445, w_IYR=0.8555. | {
"weights": {
"SOL-USD": 0.5611,
"IYR": 0.4389
},
"sigma_1": 0.036486,
"sigma_2": 0.015462,
"covariance": 0.000017,
"correlation": 0.0304,
"has_text": true,
"text_chars": 20,
"mu_floor": -0.2076,
"constraint_binding": true
} |
T4_all_20170504_0239 | T4 | 2 | train | sideways | all | [
"VTI",
"DBB"
] | 2017-05-04T00:00:00 | VTI σ=0.0046, DBB σ=0.0117, ρ=0.081. Min-variance weights: VTI=0.891, DBB=0.109. | Assets: VTI, DBB
VTI: annualized_mean_return=0.1764, daily_std=0.0046
DBB: annualized_mean_return=-0.1764, daily_std=0.0117
Minimum required portfolio return (annualized): 0.0079
Market regime: sideways
Compute portfolio weights (w_VTI, w_DBB) that minimize portfolio variance while satisfying the minimum return constr... | w_VTI=0.8888, w_DBB=0.1112 | 0.8888 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000138 - 0.000004) / (0.000021 + 0.000138 - 0.000009)
Unconstrained: w_VTI=0.8906
After long-only clamp: w_VTI=0.8906, w_DBB=0.1094. | {
"weights": {
"VTI": 0.8888,
"DBB": 0.11120000000000001
},
"sigma_1": 0.0045509999999999995,
"sigma_2": 0.011727999999999999,
"covariance": 0.000004,
"correlation": 0.0815,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0079,
"constraint_binding": false
} |
T4_all_20191224_0242 | T4 | 2 | train | sideways | all | [
"MATIC-USD",
"REZ"
] | 2019-12-24T00:00:00 | MATIC-USD σ=0.0944, REZ σ=0.0081, ρ=0.096. Min-variance weights: MATIC-USD=0.000, REZ=1.000. | Assets: MATIC-USD, REZ
MATIC-USD: annualized_mean_return=3.5280, daily_std=0.0944
REZ: annualized_mean_return=-0.2520, daily_std=0.0081
Minimum required portfolio return (annualized): 1.7015
Market regime: sideways
Compute portfolio weights (w_MATIC-USD, w_REZ) that minimize portfolio variance while satisfying the min... | w_MATIC-USD=0.5168, w_REZ=0.4832 | 0.5168 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000066 - 0.000074) / (0.008908 + 0.000066 - 0.000148)
Unconstrained: w_MATIC-USD=-0.0009
After long-only clamp: w_MATIC-USD=0.0000, w_REZ=1.0000. | {
"weights": {
"MATIC-USD": 0.5168,
"REZ": 0.4832
},
"sigma_1": 0.094384,
"sigma_2": 0.008131,
"covariance": 0.000074,
"correlation": 0.0964,
"has_text": false,
"text_chars": 0,
"mu_floor": 1.7015,
"constraint_binding": true
} |
T4_all_20200729_0245 | T4 | 2 | train | sideways | all | [
"MATIC-USD",
"PALL"
] | 2020-07-29T00:00:00 | MATIC-USD σ=0.0409, PALL σ=0.0208, ρ=-0.180. Min-variance weights: MATIC-USD=0.243, PALL=0.757. | Assets: MATIC-USD, PALL
MATIC-USD: annualized_mean_return=-0.7812, daily_std=0.0409
PALL: annualized_mean_return=0.7560, daily_std=0.0208
Minimum required portfolio return (annualized): 0.0562
Market regime: sideways
Compute portfolio weights (w_MATIC-USD, w_PALL) that minimize portfolio variance while satisfying the ... | w_MATIC-USD=0.2426, w_PALL=0.7574 | 0.2426 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000432 - -0.000153) / (0.001673 + 0.000432 - -0.000306)
Unconstrained: w_MATIC-USD=0.2426
After long-only clamp: w_MATIC-USD=0.2426, w_PALL=0.7574. | {
"weights": {
"MATIC-USD": 0.2426,
"PALL": 0.7574000000000001
},
"sigma_1": 0.040896999999999996,
"sigma_2": 0.020780999999999997,
"covariance": -0.000153,
"correlation": -0.1797,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.0562,
"constraint_binding": false
} |
T4_all_20210705_0248 | T4 | 2 | train | sideways | all | [
"EWJ",
"GLD"
] | 2021-07-05T00:00:00 | EWJ σ=0.0092, GLD σ=0.0078, ρ=0.268. Min-variance weights: EWJ=0.391, GLD=0.609. | Assets: EWJ, GLD
EWJ: annualized_mean_return=-0.0252, daily_std=0.0092
GLD: annualized_mean_return=0.1764, daily_std=0.0078
Minimum required portfolio return (annualized): 0.1605
Market regime: sideways
Compute portfolio weights (w_EWJ, w_GLD) that minimize portfolio variance while satisfying the minimum return constr... | w_EWJ=0.0789, w_GLD=0.9211 | 0.0789 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000061 - 0.000019) / (0.000085 + 0.000061 - 0.000039)
Unconstrained: w_EWJ=0.3908
After long-only clamp: w_EWJ=0.3908, w_GLD=0.6092. | {
"weights": {
"EWJ": 0.0789,
"GLD": 0.9211
},
"sigma_1": 0.009203,
"sigma_2": 0.007826,
"covariance": 0.000018999999999999998,
"correlation": 0.268,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.1605,
"constraint_binding": true
} |
T4_all_20151008_0251 | T4 | 2 | train | sideways | all | [
"XLK",
"PPLT"
] | 2015-10-08T00:00:00 | XLK σ=0.0147, PPLT σ=0.0133, ρ=0.416. Min-variance weights: XLK=0.414, PPLT=0.586. | Assets: XLK, PPLT
XLK: annualized_mean_return=-0.1512, daily_std=0.0147
PPLT: annualized_mean_return=-0.3276, daily_std=0.0133
Minimum required portfolio return (annualized): -0.2769
Market regime: sideways
Compute portfolio weights (w_XLK, w_PPLT) that minimize portfolio variance while satisfying the minimum return c... | w_XLK=0.4143, w_PPLT=0.5857 | 0.4143 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000176 - 0.000081) / (0.000216 + 0.000176 - 0.000162)
Unconstrained: w_XLK=0.4143
After long-only clamp: w_XLK=0.4143, w_PPLT=0.5857. | {
"weights": {
"XLK": 0.4143,
"PPLT": 0.5857
},
"sigma_1": 0.01468,
"sigma_2": 0.013271999999999999,
"covariance": 0.00008099999999999999,
"correlation": 0.4156,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.27690000000000003,
"constraint_binding": false
} |
T4_all_20171201_0254 | T4 | 2 | train | sideways | all | [
"XLI",
"VNQ"
] | 2017-12-01T00:00:00 | XLI σ=0.0052, VNQ σ=0.0051, ρ=0.083. Min-variance weights: XLI=0.488, VNQ=0.512. | Assets: XLI, VNQ
XLI: annualized_mean_return=0.4032, daily_std=0.0052
VNQ: annualized_mean_return=0.0504, daily_std=0.0051
Minimum required portfolio return (annualized): 0.2951
Market regime: sideways
Compute portfolio weights (w_XLI, w_VNQ) that minimize portfolio variance while satisfying the minimum return constra... | w_XLI=0.6936, w_VNQ=0.3064 | 0.6936 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000026 - 0.000002) / (0.000027 + 0.000026 - 0.000004)
Unconstrained: w_XLI=0.4883
After long-only clamp: w_XLI=0.4883, w_VNQ=0.5117. | {
"weights": {
"XLI": 0.6936,
"VNQ": 0.3064
},
"sigma_1": 0.005206,
"sigma_2": 0.005095,
"covariance": 0.000002,
"correlation": 0.0829,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.29510000000000003,
"constraint_binding": true
} |
T4_all_20160108_0260 | T4 | 2 | train | sideways | all | [
"EWJ",
"TLH"
] | 2016-01-08T00:00:00 | EWJ σ=0.0100, TLH σ=0.0041, ρ=-0.282. Min-variance weights: EWJ=0.205, TLH=0.795. | Assets: EWJ, TLH
EWJ: annualized_mean_return=-0.1260, daily_std=0.0100
TLH: annualized_mean_return=-0.0252, daily_std=0.0041
Minimum required portfolio return (annualized): -0.0347
Market regime: sideways
Compute portfolio weights (w_EWJ, w_TLH) that minimize portfolio variance while satisfying the minimum return cons... | w_EWJ=0.0942, w_TLH=0.9058 | 0.0942 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000017 - -0.000012) / (0.000100 + 0.000017 - -0.000023)
Unconstrained: w_EWJ=0.2047
After long-only clamp: w_EWJ=0.2047, w_TLH=0.7953. | {
"weights": {
"EWJ": 0.0942,
"TLH": 0.9058
},
"sigma_1": 0.010010999999999999,
"sigma_2": 0.004137,
"covariance": -0.000012,
"correlation": -0.2822,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.0347,
"constraint_binding": true
} |
T4_all_20190314_0263 | T4 | 2 | train | sideways | all | [
"XLV",
"STIP"
] | 2019-03-14T00:00:00 | XLV σ=0.0114, STIP σ=0.0009, ρ=0.137. Min-variance weights: XLV=0.000, STIP=1.000. | Assets: XLV, STIP
XLV: annualized_mean_return=-0.0504, daily_std=0.0114
STIP: annualized_mean_return=0.0756, daily_std=0.0009
Minimum required portfolio return (annualized): 0.0741
Market regime: sideways
Compute portfolio weights (w_XLV, w_STIP) that minimize portfolio variance while satisfying the minimum return con... | w_XLV=0.0000, w_STIP=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000001 - 0.000001) / (0.000130 + 0.000001 - 0.000003)
Unconstrained: w_XLV=-0.0047
After long-only clamp: w_XLV=0.0000, w_STIP=1.0000. | {
"weights": {
"XLV": 0,
"STIP": 1
},
"sigma_1": 0.011392,
"sigma_2": 0.0008759999999999999,
"covariance": 0.000001,
"correlation": 0.1373,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0741,
"constraint_binding": false
} |
T4_all_20160505_0269 | T4 | 2 | train | sideways | all | [
"XLK",
"IEF"
] | 2016-05-05T00:00:00 | XLK σ=0.0089, IEF σ=0.0034, ρ=-0.006. Min-variance weights: XLK=0.130, IEF=0.870. | Assets: XLK, IEF
XLK: annualized_mean_return=0.3276, daily_std=0.0089
IEF: annualized_mean_return=-0.0252, daily_std=0.0034
Minimum required portfolio return (annualized): 0.0141
Market regime: sideways
Compute portfolio weights (w_XLK, w_IEF) that minimize portfolio variance while satisfying the minimum return constr... | w_XLK=0.1289, w_IEF=0.8711 | 0.1289 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000012 - -0.000000) / (0.000079 + 0.000012 - -0.000000)
Unconstrained: w_XLK=0.1304
After long-only clamp: w_XLK=0.1304, w_IEF=0.8696. | {
"weights": {
"XLK": 0.12890000000000001,
"IEF": 0.8711000000000001
},
"sigma_1": 0.008908,
"sigma_2": 0.003426,
"covariance": 0,
"correlation": -0.006200000000000001,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.014100000000000001,
"constraint_binding": false
} |
T4_all_20221214_0276 | T4 | 2 | train | sideways | all | [
"DOT-USD",
"HYG"
] | 2022-12-14T00:00:00 | DOT-USD σ=0.0385, HYG σ=0.0078, ρ=-0.226. Min-variance weights: DOT-USD=0.077, HYG=0.923. | Assets: DOT-USD, HYG
DOT-USD: annualized_mean_return=-0.3780, daily_std=0.0385
HYG: annualized_mean_return=0.1008, daily_std=0.0078
Minimum required portfolio return (annualized): 0.0755
Market regime: sideways
Compute portfolio weights (w_DOT-USD, w_HYG) that minimize portfolio variance while satisfying the minimum r... | w_DOT-USD=0.0528, w_HYG=0.9472 | 0.0528 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000061 - -0.000068) / (0.001479 + 0.000061 - -0.000135)
Unconstrained: w_DOT-USD=0.0766
After long-only clamp: w_DOT-USD=0.0766, w_HYG=0.9234. | {
"weights": {
"DOT-USD": 0.0528,
"HYG": 0.9472
},
"sigma_1": 0.038458,
"sigma_2": 0.007783,
"covariance": -0.000068,
"correlation": -0.22590000000000002,
"has_text": true,
"text_chars": 20,
"mu_floor": 0.0755,
"constraint_binding": true
} |
T4_all_20170824_0279 | T4 | 2 | train | sideways | all | [
"QUAL",
"PPLT"
] | 2017-08-24T00:00:00 | QUAL σ=0.0049, PPLT σ=0.0088, ρ=-0.065. Min-variance weights: QUAL=0.747, PPLT=0.253. | Assets: QUAL, PPLT
QUAL: annualized_mean_return=0.0252, daily_std=0.0049
PPLT: annualized_mean_return=0.1512, daily_std=0.0088
Minimum required portfolio return (annualized): 0.0569
Market regime: sideways
Compute portfolio weights (w_QUAL, w_PPLT) that minimize portfolio variance while satisfying the minimum return c... | w_QUAL=0.7464, w_PPLT=0.2536 | 0.7464 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000077 - -0.000003) / (0.000024 + 0.000077 - -0.000006)
Unconstrained: w_QUAL=0.7474
After long-only clamp: w_QUAL=0.7474, w_PPLT=0.2526. | {
"weights": {
"QUAL": 0.7464000000000001,
"PPLT": 0.2536
},
"sigma_1": 0.004902999999999999,
"sigma_2": 0.008751,
"covariance": -0.000003,
"correlation": -0.0645,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.056900000000000006,
"constraint_binding": false
} |
T4_all_20200217_0288 | T4 | 2 | train | sideways | all | [
"ACWI",
"DBA"
] | 2020-02-17T00:00:00 | ACWI σ=0.0062, DBA σ=0.0062, ρ=0.097. Min-variance weights: ACWI=0.495, DBA=0.505. | Assets: ACWI, DBA
ACWI: annualized_mean_return=0.2520, daily_std=0.0062
DBA: annualized_mean_return=0.0252, daily_std=0.0062
Minimum required portfolio return (annualized): 0.1993
Market regime: sideways
Compute portfolio weights (w_ACWI, w_DBA) that minimize portfolio variance while satisfying the minimum return cons... | w_ACWI=0.7676, w_DBA=0.2324 | 0.7676 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000038 - 0.000004) / (0.000039 + 0.000038 - 0.000007)
Unconstrained: w_ACWI=0.4950
After long-only clamp: w_ACWI=0.4950, w_DBA=0.5050. | {
"weights": {
"ACWI": 0.7676000000000001,
"DBA": 0.23240000000000002
},
"sigma_1": 0.006214,
"sigma_2": 0.0061589999999999995,
"covariance": 0.000004,
"correlation": 0.0966,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.1993,
"constraint_binding": true
} |
T4_all_20210512_0291 | T4 | 2 | train | sideways | all | [
"AVAX-USD",
"IEF"
] | 2021-05-12T00:00:00 | AVAX-USD σ=0.0780, IEF σ=0.0036, ρ=0.097. Min-variance weights: AVAX-USD=0.000, IEF=1.000. | Assets: AVAX-USD, IEF
AVAX-USD: annualized_mean_return=1.8900, daily_std=0.0780
IEF: annualized_mean_return=-0.0252, daily_std=0.0036
Minimum required portfolio return (annualized): -0.0252
Market regime: sideways
Compute portfolio weights (w_AVAX-USD, w_IEF) that minimize portfolio variance while satisfying the minim... | w_AVAX-USD=0.0000, w_IEF=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000013 - 0.000027) / (0.006079 + 0.000013 - 0.000054)
Unconstrained: w_AVAX-USD=-0.0024
After long-only clamp: w_AVAX-USD=0.0000, w_IEF=1.0000. | {
"weights": {
"AVAX-USD": 0,
"IEF": 1
},
"sigma_1": 0.077966,
"sigma_2": 0.00355,
"covariance": 0.000027,
"correlation": 0.0969,
"has_text": false,
"text_chars": 0,
"mu_floor": -0.0252,
"constraint_binding": false
} |
T4_all_20201013_0294 | T4 | 2 | train | sideways | all | [
"XLV",
"PDBC"
] | 2020-10-13T00:00:00 | XLV σ=0.0098, PDBC σ=0.0102, ρ=0.497. Min-variance weights: XLV=0.541, PDBC=0.459. | Assets: XLV, PDBC
XLV: annualized_mean_return=0.1512, daily_std=0.0098
PDBC: annualized_mean_return=0.1008, daily_std=0.0102
Minimum required portfolio return (annualized): 0.1429
Market regime: sideways
Compute portfolio weights (w_XLV, w_PDBC) that minimize portfolio variance while satisfying the minimum return cons... | w_XLV=0.8353, w_PDBC=0.1647 | 0.8353 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000105 - 0.000050) / (0.000096 + 0.000105 - 0.000100)
Unconstrained: w_XLV=0.5410
After long-only clamp: w_XLV=0.5410, w_PDBC=0.4590. | {
"weights": {
"XLV": 0.8353,
"PDBC": 0.1647
},
"sigma_1": 0.009811,
"sigma_2": 0.010225,
"covariance": 0.00005,
"correlation": 0.4969,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.1429,
"constraint_binding": true
} |
T4_all_20210309_0297 | T4 | 2 | train | sideways | all | [
"ADA-USD",
"IYR"
] | 2021-03-09T00:00:00 | ADA-USD σ=0.0805, IYR σ=0.0100, ρ=0.138. Min-variance weights: ADA-USD=0.000, IYR=1.000. | Assets: ADA-USD, IYR
ADA-USD: annualized_mean_return=6.0228, daily_std=0.0805
IYR: annualized_mean_return=0.1260, daily_std=0.0100
Minimum required portfolio return (annualized): 0.1260
Market regime: sideways
Compute portfolio weights (w_ADA-USD, w_IYR) that minimize portfolio variance while satisfying the minimum re... | w_ADA-USD=0.0000, w_IYR=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000100 - 0.000111) / (0.006486 + 0.000100 - 0.000222)
Unconstrained: w_ADA-USD=-0.0017
After long-only clamp: w_ADA-USD=0.0000, w_IYR=1.0000. | {
"weights": {
"ADA-USD": 0,
"IYR": 1
},
"sigma_1": 0.080538,
"sigma_2": 0.010001,
"covariance": 0.000111,
"correlation": 0.1378,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.126,
"constraint_binding": false
} |
T4_all_20190211_0300 | T4 | 2 | train | sideways | all | [
"XLB",
"DBC"
] | 2019-02-11T00:00:00 | XLB σ=0.0137, DBC σ=0.0106, ρ=0.096. Min-variance weights: XLB=0.365, DBC=0.635. | Assets: XLB, DBC
XLB: annualized_mean_return=-0.2268, daily_std=0.0137
DBC: annualized_mean_return=-0.0252, daily_std=0.0106
Minimum required portfolio return (annualized): -0.0612
Market regime: sideways
Compute portfolio weights (w_XLB, w_DBC) that minimize portfolio variance while satisfying the minimum return cons... | w_XLB=0.1786, w_DBC=0.8214 | 0.1786 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000113 - 0.000014) / (0.000187 + 0.000113 - 0.000028)
Unconstrained: w_XLB=0.3646
After long-only clamp: w_XLB=0.3646, w_DBC=0.6354. | {
"weights": {
"XLB": 0.1786,
"DBC": 0.8214
},
"sigma_1": 0.013672,
"sigma_2": 0.010641,
"covariance": 0.000014,
"correlation": 0.09630000000000001,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.061200000000000004,
"constraint_binding": true
} |
T4_all_20190201_0303 | T4 | 2 | train | sideways | all | [
"MTUM",
"HAUZ"
] | 2019-02-01T00:00:00 | MTUM σ=0.0158, HAUZ σ=0.0100, ρ=0.604. Min-variance weights: MTUM=0.028, HAUZ=0.973. | Assets: MTUM, HAUZ
MTUM: annualized_mean_return=-0.2016, daily_std=0.0158
HAUZ: annualized_mean_return=0.2268, daily_std=0.0100
Minimum required portfolio return (annualized): 0.0747
Market regime: sideways
Compute portfolio weights (w_MTUM, w_HAUZ) that minimize portfolio variance while satisfying the minimum return ... | w_MTUM=0.0275, w_HAUZ=0.9725 | 0.0275 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000099 - 0.000095) / (0.000249 + 0.000099 - 0.000190)
Unconstrained: w_MTUM=0.0275
After long-only clamp: w_MTUM=0.0275, w_HAUZ=0.9725. | {
"weights": {
"MTUM": 0.0275,
"HAUZ": 0.9725
},
"sigma_1": 0.015768,
"sigma_2": 0.009967,
"covariance": 0.00009499999999999999,
"correlation": 0.6044,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0747,
"constraint_binding": false
} |
T4_all_20171019_0305 | T4 | 2 | train | sideways | all | [
"XLU",
"LQD"
] | 2017-10-19T00:00:00 | XLU σ=0.0057, LQD σ=0.0022, ρ=-0.136. Min-variance weights: XLU=0.166, LQD=0.834. | Assets: XLU, LQD
XLU: annualized_mean_return=0.1764, daily_std=0.0057
LQD: annualized_mean_return=0.0252, daily_std=0.0022
Minimum required portfolio return (annualized): 0.0474
Market regime: sideways
Compute portfolio weights (w_XLU, w_LQD) that minimize portfolio variance while satisfying the minimum return constra... | w_XLU=0.1705, w_LQD=0.8295 | 0.1705 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000005 - -0.000002) / (0.000032 + 0.000005 - -0.000003)
Unconstrained: w_XLU=0.1659
After long-only clamp: w_XLU=0.1659, w_LQD=0.8341. | {
"weights": {
"XLU": 0.1705,
"LQD": 0.8295
},
"sigma_1": 0.0056619999999999995,
"sigma_2": 0.0022359999999999997,
"covariance": -0.000002,
"correlation": -0.13570000000000002,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.047400000000000005,
"constraint_binding": false
} |
T4_all_20210907_0308 | T4 | 2 | train | sideways | all | [
"XLF",
"TIP"
] | 2021-09-07T00:00:00 | XLF σ=0.0120, TIP σ=0.0012, ρ=0.017. Min-variance weights: XLF=0.009, TIP=0.991. | Assets: XLF, TIP
XLF: annualized_mean_return=0.1008, daily_std=0.0120
TIP: annualized_mean_return=0.0756, daily_std=0.0012
Minimum required portfolio return (annualized): 0.0873
Market regime: sideways
Compute portfolio weights (w_XLF, w_TIP) that minimize portfolio variance while satisfying the minimum return constra... | w_XLF=0.4643, w_TIP=0.5357 | 0.4643 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000002 - 0.000000) / (0.000144 + 0.000002 - 0.000000)
Unconstrained: w_XLF=0.0087
After long-only clamp: w_XLF=0.0087, w_TIP=0.9913. | {
"weights": {
"XLF": 0.46430000000000005,
"TIP": 0.5357000000000001
},
"sigma_1": 0.012020000000000001,
"sigma_2": 0.0012300000000000002,
"covariance": 0,
"correlation": 0.016800000000000002,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0873,
"constraint_binding": true
} |
T4_all_20180503_0313 | T4 | 2 | train | sideways | all | [
"MTUM",
"TLT"
] | 2018-05-03T00:00:00 | MTUM σ=0.0147, TLT σ=0.0057, ρ=-0.017. Min-variance weights: MTUM=0.135, TLT=0.866. | Assets: MTUM, TLT
MTUM: annualized_mean_return=0.1008, daily_std=0.0147
TLT: annualized_mean_return=0.0504, daily_std=0.0057
Minimum required portfolio return (annualized): 0.0562
Market regime: sideways
Compute portfolio weights (w_MTUM, w_TLT) that minimize portfolio variance while satisfying the minimum return cons... | w_MTUM=0.1333, w_TLT=0.8667 | 0.1333 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000032 - -0.000001) / (0.000215 + 0.000032 - -0.000003)
Unconstrained: w_MTUM=0.1345
After long-only clamp: w_MTUM=0.1345, w_TLT=0.8655. | {
"weights": {
"MTUM": 0.1333,
"TLT": 0.8667
},
"sigma_1": 0.014653999999999999,
"sigma_2": 0.005672,
"covariance": -0.000001,
"correlation": -0.0172,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0562,
"constraint_binding": false
} |
T4_all_20220114_0316 | T4 | 2 | train | sideways | all | [
"XLB",
"PPLT"
] | 2022-01-14T00:00:00 | XLB σ=0.0094, PPLT σ=0.0162, ρ=0.271. Min-variance weights: XLB=0.822, PPLT=0.178. | Assets: XLB, PPLT
XLB: annualized_mean_return=0.2520, daily_std=0.0094
PPLT: annualized_mean_return=-0.3024, daily_std=0.0162
Minimum required portfolio return (annualized): 0.2020
Market regime: sideways
Compute portfolio weights (w_XLB, w_PPLT) that minimize portfolio variance while satisfying the minimum return con... | w_XLB=0.9098, w_PPLT=0.0902 | 0.9098 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000262 - 0.000041) / (0.000089 + 0.000262 - 0.000083)
Unconstrained: w_XLB=0.8217
After long-only clamp: w_XLB=0.8217, w_PPLT=0.1783. | {
"weights": {
"XLB": 0.9098,
"PPLT": 0.0902
},
"sigma_1": 0.009446999999999999,
"sigma_2": 0.016177999999999998,
"covariance": 0.000041,
"correlation": 0.2712,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.202,
"constraint_binding": true
} |
T4_all_20221010_0321 | T4 | 2 | train | sideways | all | [
"ETH-USD",
"BNO"
] | 2022-10-10T00:00:00 | ETH-USD σ=0.0394, BNO σ=0.0242, ρ=-0.172. Min-variance weights: ETH-USD=0.305, BNO=0.695. | Assets: ETH-USD, BNO
ETH-USD: annualized_mean_return=-1.2096, daily_std=0.0394
BNO: annualized_mean_return=-0.0252, daily_std=0.0242
Minimum required portfolio return (annualized): -0.5456
Market regime: sideways
Compute portfolio weights (w_ETH-USD, w_BNO) that minimize portfolio variance while satisfying the minimum... | w_ETH-USD=0.3046, w_BNO=0.6954 | 0.3046 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000586 - -0.000164) / (0.001549 + 0.000586 - -0.000329)
Unconstrained: w_ETH-USD=0.3046
After long-only clamp: w_ETH-USD=0.3046, w_BNO=0.6954. | {
"weights": {
"ETH-USD": 0.30460000000000004,
"BNO": 0.6954
},
"sigma_1": 0.039362999999999995,
"sigma_2": 0.024215,
"covariance": -0.000164,
"correlation": -0.17250000000000001,
"has_text": true,
"text_chars": 20,
"mu_floor": -0.5456,
"constraint_binding": false
} |
T4_all_20220418_0324 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"SHV"
] | 2022-04-18T00:00:00 | BTC-USD σ=0.0342, SHV σ=0.0001, ρ=0.171. Min-variance weights: BTC-USD=0.000, SHV=1.000. | Assets: BTC-USD, SHV
BTC-USD: annualized_mean_return=-0.3780, daily_std=0.0342
SHV: annualized_mean_return=-0.0000, daily_std=0.0001
Minimum required portfolio return (annualized): -0.1526
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_SHV) that minimize portfolio variance while satisfying the minimum... | w_BTC-USD=0.0000, w_SHV=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000001) / (0.001170 + 0.000000 - 0.000002)
Unconstrained: w_BTC-USD=-0.0007
After long-only clamp: w_BTC-USD=0.0000, w_SHV=1.0000. | {
"weights": {
"BTC-USD": 0,
"SHV": 1
},
"sigma_1": 0.034199,
"sigma_2": 0.000146,
"covariance": 0.000001,
"correlation": 0.1705,
"has_text": true,
"text_chars": 20,
"mu_floor": -0.1526,
"constraint_binding": false
} |
T4_all_20201005_0327 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"TLT"
] | 2020-10-05T00:00:00 | BTC-USD σ=0.0230, TLT σ=0.0068, ρ=-0.060. Min-variance weights: BTC-USD=0.094, TLT=0.906. | Assets: BTC-USD, TLT
BTC-USD: annualized_mean_return=-0.3276, daily_std=0.0230
TLT: annualized_mean_return=-0.1512, daily_std=0.0068
Minimum required portfolio return (annualized): -0.2297
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_TLT) that minimize portfolio variance while satisfying the minimum... | w_BTC-USD=0.0936, w_TLT=0.9064 | 0.0936 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000046 - -0.000009) / (0.000528 + 0.000046 - -0.000019)
Unconstrained: w_BTC-USD=0.0941
After long-only clamp: w_BTC-USD=0.0941, w_TLT=0.9059. | {
"weights": {
"BTC-USD": 0.0936,
"TLT": 0.9064000000000001
},
"sigma_1": 0.022972,
"sigma_2": 0.006815,
"covariance": -0.000009,
"correlation": -0.0596,
"has_text": false,
"text_chars": 0,
"mu_floor": -0.22970000000000002,
"constraint_binding": false
} |
T4_all_20151026_0334 | T4 | 2 | train | sideways | all | [
"XLU",
"STIP"
] | 2015-10-26T00:00:00 | XLU σ=0.0117, STIP σ=0.0011, ρ=0.192. Min-variance weights: XLU=0.000, STIP=1.000. | Assets: XLU, STIP
XLU: annualized_mean_return=0.1512, daily_std=0.0117
STIP: annualized_mean_return=-0.0252, daily_std=0.0011
Minimum required portfolio return (annualized): 0.0774
Market regime: sideways
Compute portfolio weights (w_XLU, w_STIP) that minimize portfolio variance while satisfying the minimum return con... | w_XLU=0.5816, w_STIP=0.4184 | 0.5816 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000001 - 0.000003) / (0.000136 + 0.000001 - 0.000005)
Unconstrained: w_XLU=-0.0095
After long-only clamp: w_XLU=0.0000, w_STIP=1.0000. | {
"weights": {
"XLU": 0.5816,
"STIP": 0.4184
},
"sigma_1": 0.011656999999999999,
"sigma_2": 0.001147,
"covariance": 0.000003,
"correlation": 0.19190000000000002,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.07740000000000001,
"constraint_binding": true
} |
T4_all_20221202_0337 | T4 | 2 | train | sideways | all | [
"XLY",
"BIL"
] | 2022-12-02T00:00:00 | XLY σ=0.0188, BIL σ=0.0002, ρ=0.051. Min-variance weights: XLY=0.000, BIL=1.000. | Assets: XLY, BIL
XLY: annualized_mean_return=-0.5040, daily_std=0.0188
BIL: annualized_mean_return=0.0252, daily_std=0.0002
Minimum required portfolio return (annualized): -0.0027
Market regime: sideways
Compute portfolio weights (w_XLY, w_BIL) that minimize portfolio variance while satisfying the minimum return const... | w_XLY=0.0001, w_BIL=0.9999 | 0.0001 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000000) / (0.000353 + 0.000000 - 0.000000)
Unconstrained: w_XLY=-0.0004
After long-only clamp: w_XLY=0.0000, w_BIL=1.0000. | {
"weights": {
"XLY": 0.0001,
"BIL": 0.9999
},
"sigma_1": 0.018781,
"sigma_2": 0.000159,
"covariance": 0,
"correlation": 0.0509,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.0027,
"constraint_binding": false
} |
T4_all_20181212_0340 | T4 | 2 | train | sideways | all | [
"XLU",
"EMB"
] | 2018-12-12T00:00:00 | XLU σ=0.0098, EMB σ=0.0037, ρ=0.054. Min-variance weights: XLU=0.110, EMB=0.890. | Assets: XLU, EMB
XLU: annualized_mean_return=0.2268, daily_std=0.0098
EMB: annualized_mean_return=-0.0504, daily_std=0.0037
Minimum required portfolio return (annualized): 0.1163
Market regime: sideways
Compute portfolio weights (w_XLU, w_EMB) that minimize portfolio variance while satisfying the minimum return constr... | w_XLU=0.6014, w_EMB=0.3986 | 0.6014 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000013 - 0.000002) / (0.000096 + 0.000013 - 0.000004)
Unconstrained: w_XLU=0.1095
After long-only clamp: w_XLU=0.1095, w_EMB=0.8905. | {
"weights": {
"XLU": 0.6014,
"EMB": 0.3986
},
"sigma_1": 0.009772999999999999,
"sigma_2": 0.003668,
"covariance": 0.000002,
"correlation": 0.0541,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.1163,
"constraint_binding": true
} |
T4_all_20201203_0343 | T4 | 2 | train | sideways | all | [
"DOT-USD",
"XHB"
] | 2020-12-03T00:00:00 | DOT-USD σ=0.0462, XHB σ=0.0162, ρ=-0.036. Min-variance weights: DOT-USD=0.118, XHB=0.882. | Assets: DOT-USD, XHB
DOT-USD: annualized_mean_return=1.5120, daily_std=0.0462
XHB: annualized_mean_return=0.4788, daily_std=0.0162
Minimum required portfolio return (annualized): 0.5937
Market regime: sideways
Compute portfolio weights (w_DOT-USD, w_XHB) that minimize portfolio variance while satisfying the minimum re... | w_DOT-USD=0.1181, w_XHB=0.8819 | 0.1181 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000263 - -0.000027) / (0.002138 + 0.000263 - -0.000055)
Unconstrained: w_DOT-USD=0.1182
After long-only clamp: w_DOT-USD=0.1182, w_XHB=0.8818. | {
"weights": {
"DOT-USD": 0.11810000000000001,
"XHB": 0.8819
},
"sigma_1": 0.046232999999999996,
"sigma_2": 0.016215,
"covariance": -0.000027,
"correlation": -0.0364,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.5937,
"constraint_binding": false
} |
T4_all_20210420_0346 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"EMB"
] | 2021-04-20T00:00:00 | BTC-USD σ=0.0370, EMB σ=0.0061, ρ=-0.049. Min-variance weights: BTC-USD=0.034, EMB=0.966. | Assets: BTC-USD, EMB
BTC-USD: annualized_mean_return=0.4788, daily_std=0.0370
EMB: annualized_mean_return=-0.0000, daily_std=0.0061
Minimum required portfolio return (annualized): 0.1665
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_EMB) that minimize portfolio variance while satisfying the minimum r... | w_BTC-USD=0.3477, w_EMB=0.6523 | 0.3477 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000037 - -0.000011) / (0.001366 + 0.000037 - -0.000022)
Unconstrained: w_BTC-USD=0.0340
After long-only clamp: w_BTC-USD=0.0340, w_EMB=0.9660. | {
"weights": {
"BTC-USD": 0.3477,
"EMB": 0.6523
},
"sigma_1": 0.036962999999999996,
"sigma_2": 0.006117,
"covariance": -0.000011,
"correlation": -0.0492,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.1665,
"constraint_binding": true
} |
T4_all_20210430_0351 | T4 | 2 | train | sideways | all | [
"BNB-USD",
"BNDX"
] | 2021-04-30T00:00:00 | BNB-USD σ=0.0709, BNDX σ=0.0024, ρ=-0.076. Min-variance weights: BNB-USD=0.004, BNDX=0.996. | Assets: BNB-USD, BNDX
BNB-USD: annualized_mean_return=5.0652, daily_std=0.0709
BNDX: annualized_mean_return=-0.0504, daily_std=0.0024
Minimum required portfolio return (annualized): -0.0407
Market regime: sideways
Compute portfolio weights (w_BNB-USD, w_BNDX) that minimize portfolio variance while satisfying the minim... | w_BNB-USD=0.0037, w_BNDX=0.9963 | 0.0037 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000006 - -0.000013) / (0.005020 + 0.000006 - -0.000025)
Unconstrained: w_BNB-USD=0.0036
After long-only clamp: w_BNB-USD=0.0036, w_BNDX=0.9964. | {
"weights": {
"BNB-USD": 0.0037,
"BNDX": 0.9963000000000001
},
"sigma_1": 0.070854,
"sigma_2": 0.002362,
"covariance": -0.000013,
"correlation": -0.0757,
"has_text": false,
"text_chars": 0,
"mu_floor": -0.0407,
"constraint_binding": false
} |
T4_all_20160308_0354 | T4 | 2 | train | sideways | all | [
"MTUM",
"BIL"
] | 2016-03-08T00:00:00 | MTUM σ=0.0129, BIL σ=0.0002, ρ=0.097. Min-variance weights: MTUM=0.000, BIL=1.000. | Assets: MTUM, BIL
MTUM: annualized_mean_return=-0.2268, daily_std=0.0129
BIL: annualized_mean_return=-0.0000, daily_std=0.0002
Minimum required portfolio return (annualized): 0.0000
Market regime: sideways
Compute portfolio weights (w_MTUM, w_BIL) that minimize portfolio variance while satisfying the minimum return co... | w_MTUM=-0.0000, w_BIL=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000000) / (0.000167 + 0.000000 - 0.000000)
Unconstrained: w_MTUM=-0.0012
After long-only clamp: w_MTUM=0.0000, w_BIL=1.0000. | {
"weights": {
"MTUM": 0,
"BIL": 1
},
"sigma_1": 0.012941,
"sigma_2": 0.000187,
"covariance": 0,
"correlation": 0.09720000000000001,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0,
"constraint_binding": true
} |
T4_all_20221124_0357 | T4 | 2 | train | sideways | all | [
"AVAX-USD",
"SGOV"
] | 2022-11-24T00:00:00 | AVAX-USD σ=0.0500, SGOV σ=0.0001, ρ=-0.135. Min-variance weights: AVAX-USD=0.000, SGOV=1.000. | Assets: AVAX-USD, SGOV
AVAX-USD: annualized_mean_return=-0.9324, daily_std=0.0500
SGOV: annualized_mean_return=0.0252, daily_std=0.0001
Minimum required portfolio return (annualized): -0.0513
Market regime: sideways
Compute portfolio weights (w_AVAX-USD, w_SGOV) that minimize portfolio variance while satisfying the mi... | w_AVAX-USD=0.0004, w_SGOV=0.9996 | 0.0004 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - -0.000001) / (0.002502 + 0.000000 - -0.000002)
Unconstrained: w_AVAX-USD=0.0004
After long-only clamp: w_AVAX-USD=0.0004, w_SGOV=0.9996. | {
"weights": {
"AVAX-USD": 0.0004,
"SGOV": 0.9996
},
"sigma_1": 0.050023,
"sigma_2": 0.000134,
"covariance": -0.000001,
"correlation": -0.13540000000000002,
"has_text": true,
"text_chars": 20,
"mu_floor": -0.051300000000000005,
"constraint_binding": false
} |
T4_all_20150707_0362 | T4 | 2 | train | sideways | all | [
"USMV",
"XHB"
] | 2015-07-07T00:00:00 | USMV σ=0.0059, XHB σ=0.0087, ρ=0.708. Min-variance weights: USMV=1.000, XHB=0.000. | Assets: USMV, XHB
USMV: annualized_mean_return=-0.0504, daily_std=0.0059
XHB: annualized_mean_return=0.0252, daily_std=0.0087
Minimum required portfolio return (annualized): -0.0103
Market regime: sideways
Compute portfolio weights (w_USMV, w_XHB) that minimize portfolio variance while satisfying the minimum return co... | w_USMV=0.4696, w_XHB=0.5304 | 0.4696 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000076 - 0.000036) / (0.000035 + 0.000076 - 0.000073)
Unconstrained: w_USMV=1.0370
After long-only clamp: w_USMV=1.0000, w_XHB=0.0000. | {
"weights": {
"USMV": 0.4696,
"XHB": 0.5304
},
"sigma_1": 0.005918,
"sigma_2": 0.008693,
"covariance": 0.000036,
"correlation": 0.708,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.0103,
"constraint_binding": true
} |
T4_all_20221107_0365 | T4 | 2 | train | sideways | all | [
"BNB-USD",
"EFA"
] | 2022-11-07T00:00:00 | BNB-USD σ=0.0227, EFA σ=0.0138, ρ=-0.008. Min-variance weights: BNB-USD=0.270, EFA=0.730. | Assets: BNB-USD, EFA
BNB-USD: annualized_mean_return=0.8820, daily_std=0.0227
EFA: annualized_mean_return=-0.4284, daily_std=0.0138
Minimum required portfolio return (annualized): -0.2769
Market regime: sideways
Compute portfolio weights (w_BNB-USD, w_EFA) that minimize portfolio variance while satisfying the minimum ... | w_BNB-USD=0.2699, w_EFA=0.7301 | 0.2699 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000189 - -0.000002) / (0.000515 + 0.000189 - -0.000005)
Unconstrained: w_BNB-USD=0.2701
After long-only clamp: w_BNB-USD=0.2701, w_EFA=0.7299. | {
"weights": {
"BNB-USD": 0.26990000000000003,
"EFA": 0.7301000000000001
},
"sigma_1": 0.022692999999999998,
"sigma_2": 0.013751,
"covariance": -0.000002,
"correlation": -0.0077,
"has_text": true,
"text_chars": 20,
"mu_floor": -0.27690000000000003,
"constraint_binding": false
} |
T4_all_20221026_0368 | T4 | 2 | train | sideways | all | [
"XRP-USD",
"BNO"
] | 2022-10-26T00:00:00 | XRP-USD σ=0.0459, BNO σ=0.0235, ρ=0.092. Min-variance weights: XRP-USD=0.183, BNO=0.817. | Assets: XRP-USD, BNO
XRP-USD: annualized_mean_return=1.5624, daily_std=0.0459
BNO: annualized_mean_return=-0.0504, daily_std=0.0235
Minimum required portfolio return (annualized): 0.5305
Market regime: sideways
Compute portfolio weights (w_XRP-USD, w_BNO) that minimize portfolio variance while satisfying the minimum r... | w_XRP-USD=0.3602, w_BNO=0.6398 | 0.3602 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000550 - 0.000099) / (0.002107 + 0.000550 - 0.000198)
Unconstrained: w_XRP-USD=0.1835
After long-only clamp: w_XRP-USD=0.1835, w_BNO=0.8165. | {
"weights": {
"XRP-USD": 0.3602,
"BNO": 0.6398
},
"sigma_1": 0.045897,
"sigma_2": 0.023455,
"covariance": 0.000099,
"correlation": 0.092,
"has_text": true,
"text_chars": 20,
"mu_floor": 0.5305,
"constraint_binding": true
} |
T4_all_20220628_0373 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"SHV"
] | 2022-06-28T00:00:00 | BTC-USD σ=0.0419, SHV σ=0.0002, ρ=0.200. Min-variance weights: BTC-USD=0.000, SHV=1.000. | Assets: BTC-USD, SHV
BTC-USD: annualized_mean_return=-2.3688, daily_std=0.0419
SHV: annualized_mean_return=0.0000, daily_std=0.0002
Minimum required portfolio return (annualized): -1.2999
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_SHV) that minimize portfolio variance while satisfying the minimum ... | w_BTC-USD=0.0000, w_SHV=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000001) / (0.001757 + 0.000000 - 0.000003)
Unconstrained: w_BTC-USD=-0.0008
After long-only clamp: w_BTC-USD=0.0000, w_SHV=1.0000. | {
"weights": {
"BTC-USD": 0,
"SHV": 1
},
"sigma_1": 0.041919,
"sigma_2": 0.000177,
"covariance": 0.000001,
"correlation": 0.2003,
"has_text": true,
"text_chars": 20,
"mu_floor": -1.2999,
"constraint_binding": false
} |
T4_all_20200904_0375 | T4 | 2 | train | sideways | all | [
"XLK",
"HYG"
] | 2020-09-04T00:00:00 | XLK σ=0.0150, HYG σ=0.0046, ρ=0.291. Min-variance weights: XLK=0.005, HYG=0.995. | Assets: XLK, HYG
XLK: annualized_mean_return=0.7308, daily_std=0.0150
HYG: annualized_mean_return=0.2520, daily_std=0.0046
Minimum required portfolio return (annualized): 0.2535
Market regime: sideways
Compute portfolio weights (w_XLK, w_HYG) that minimize portfolio variance while satisfying the minimum return constra... | w_XLK=0.0046, w_HYG=0.9954 | 0.0046 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000021 - 0.000020) / (0.000225 + 0.000021 - 0.000040)
Unconstrained: w_XLK=0.0047
After long-only clamp: w_XLK=0.0047, w_HYG=0.9953. | {
"weights": {
"XLK": 0.0046,
"HYG": 0.9954000000000001
},
"sigma_1": 0.014993999999999999,
"sigma_2": 0.0045769999999999995,
"covariance": 0.00002,
"correlation": 0.291,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.2535,
"constraint_binding": false
} |
T4_all_20210922_0380 | T4 | 2 | train | sideways | all | [
"EEM",
"SGOV"
] | 2021-09-22T00:00:00 | EEM σ=0.0107, SGOV σ=0.0001, ρ=0.091. Min-variance weights: EEM=0.000, SGOV=1.000. | Assets: EEM, SGOV
EEM: annualized_mean_return=-0.4032, daily_std=0.0107
SGOV: annualized_mean_return=0.0000, daily_std=0.0001
Minimum required portfolio return (annualized): 0.0000
Market regime: sideways
Compute portfolio weights (w_EEM, w_SGOV) that minimize portfolio variance while satisfying the minimum return con... | w_EEM=-0.0000, w_SGOV=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000000) / (0.000115 + 0.000000 - 0.000000)
Unconstrained: w_EEM=-0.0005
After long-only clamp: w_EEM=0.0000, w_SGOV=1.0000. | {
"weights": {
"EEM": 0,
"SGOV": 1
},
"sigma_1": 0.010716999999999999,
"sigma_2": 0.000068,
"covariance": 0,
"correlation": 0.09090000000000001,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0,
"constraint_binding": true
} |
T4_all_20201027_0383 | T4 | 2 | train | sideways | all | [
"FXI",
"UNG"
] | 2020-10-27T00:00:00 | FXI σ=0.0111, UNG σ=0.0356, ρ=0.274. Min-variance weights: FXI=0.987, UNG=0.013. | Assets: FXI, UNG
FXI: annualized_mean_return=0.3276, daily_std=0.0111
UNG: annualized_mean_return=0.4788, daily_std=0.0356
Minimum required portfolio return (annualized): 0.3288
Market regime: sideways
Compute portfolio weights (w_FXI, w_UNG) that minimize portfolio variance while satisfying the minimum return constra... | w_FXI=0.9869, w_UNG=0.0131 | 0.9869 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.001265 - 0.000108) / (0.000123 + 0.001265 - 0.000217)
Unconstrained: w_FXI=0.9871
After long-only clamp: w_FXI=0.9871, w_UNG=0.0129. | {
"weights": {
"FXI": 0.9869,
"UNG": 0.0131
},
"sigma_1": 0.011108999999999999,
"sigma_2": 0.035574,
"covariance": 0.000108,
"correlation": 0.2741,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.32880000000000004,
"constraint_binding": false
} |
T4_all_20171009_0390 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"VCIT"
] | 2017-10-09T00:00:00 | BTC-USD σ=0.0450, VCIT σ=0.0019, ρ=-0.170. Min-variance weights: BTC-USD=0.009, VCIT=0.991. | Assets: BTC-USD, VCIT
BTC-USD: annualized_mean_return=1.6632, daily_std=0.0450
VCIT: annualized_mean_return=0.0252, daily_std=0.0019
Minimum required portfolio return (annualized): 1.0490
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_VCIT) that minimize portfolio variance while satisfying the minimum... | w_BTC-USD=0.6250, w_VCIT=0.3750 | 0.625 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000004 - -0.000014) / (0.002026 + 0.000004 - -0.000029)
Unconstrained: w_BTC-USD=0.0087
After long-only clamp: w_BTC-USD=0.0087, w_VCIT=0.9913. | {
"weights": {
"BTC-USD": 0.625,
"VCIT": 0.375
},
"sigma_1": 0.045016,
"sigma_2": 0.0018809999999999999,
"covariance": -0.000014,
"correlation": -0.1699,
"has_text": false,
"text_chars": 0,
"mu_floor": 1.049,
"constraint_binding": true
} |
T4_all_20171117_0393 | T4 | 2 | train | sideways | all | [
"XLE",
"XHB"
] | 2017-11-17T00:00:00 | XLE σ=0.0065, XHB σ=0.0068, ρ=0.021. Min-variance weights: XLE=0.523, XHB=0.477. | Assets: XLE, XHB
XLE: annualized_mean_return=0.3528, daily_std=0.0065
XHB: annualized_mean_return=0.4536, daily_std=0.0068
Minimum required portfolio return (annualized): 0.3915
Market regime: sideways
Compute portfolio weights (w_XLE, w_XHB) that minimize portfolio variance while satisfying the minimum return constra... | w_XLE=0.5227, w_XHB=0.4773 | 0.5227 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000047 - 0.000001) / (0.000043 + 0.000047 - 0.000002)
Unconstrained: w_XLE=0.5227
After long-only clamp: w_XLE=0.5227, w_XHB=0.4773. | {
"weights": {
"XLE": 0.5227,
"XHB": 0.4773
},
"sigma_1": 0.006542999999999999,
"sigma_2": 0.006840000000000001,
"covariance": 0.000001,
"correlation": 0.021,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.3915,
"constraint_binding": false
} |
T4_all_20220126_0396 | T4 | 2 | train | sideways | all | [
"USMV",
"TIP"
] | 2022-01-26T00:00:00 | USMV σ=0.0072, TIP σ=0.0015, ρ=0.222. Min-variance weights: USMV=0.000, TIP=1.000. | Assets: USMV, TIP
USMV: annualized_mean_return=-0.1512, daily_std=0.0072
TIP: annualized_mean_return=0.0000, daily_std=0.0015
Minimum required portfolio return (annualized): -0.0007
Market regime: sideways
Compute portfolio weights (w_USMV, w_TIP) that minimize portfolio variance while satisfying the minimum return co... | w_USMV=0.0046, w_TIP=0.9954 | 0.0046 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000002 - 0.000002) / (0.000051 + 0.000002 - 0.000005)
Unconstrained: w_USMV=-0.0021
After long-only clamp: w_USMV=0.0000, w_TIP=1.0000. | {
"weights": {
"USMV": 0.0046,
"TIP": 0.9954000000000001
},
"sigma_1": 0.007169,
"sigma_2": 0.0015249999999999999,
"covariance": 0.000002,
"correlation": 0.2223,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.0007,
"constraint_binding": true
} |
T4_all_20220721_0400 | T4 | 2 | train | sideways | all | [
"FXI",
"USO"
] | 2022-07-21T00:00:00 | FXI σ=0.0228, USO σ=0.0266, ρ=0.173. Min-variance weights: FXI=0.592, USO=0.408. | Assets: FXI, USO
FXI: annualized_mean_return=0.3780, daily_std=0.0228
USO: annualized_mean_return=-0.0000, daily_std=0.0266
Minimum required portfolio return (annualized): 0.2888
Market regime: sideways
Compute portfolio weights (w_FXI, w_USO) that minimize portfolio variance while satisfying the minimum return constr... | w_FXI=0.7640, w_USO=0.2360 | 0.764 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000709 - 0.000105) / (0.000520 + 0.000709 - 0.000210)
Unconstrained: w_FXI=0.5923
After long-only clamp: w_FXI=0.5923, w_USO=0.4077. | {
"weights": {
"FXI": 0.764,
"USO": 0.23600000000000002
},
"sigma_1": 0.022812,
"sigma_2": 0.026618,
"covariance": 0.00010499999999999999,
"correlation": 0.17270000000000002,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.2888,
"constraint_binding": true
} |
T4_all_20221020_0403 | T4 | 2 | train | sideways | all | [
"ETH-USD",
"DBC"
] | 2022-10-20T00:00:00 | ETH-USD σ=0.0357, DBC σ=0.0144, ρ=0.026. Min-variance weights: ETH-USD=0.133, DBC=0.867. | Assets: ETH-USD, DBC
ETH-USD: annualized_mean_return=-0.6804, daily_std=0.0357
DBC: annualized_mean_return=-0.1764, daily_std=0.0144
Minimum required portfolio return (annualized): -0.2629
Market regime: sideways
Compute portfolio weights (w_ETH-USD, w_DBC) that minimize portfolio variance while satisfying the minimum... | w_ETH-USD=0.1334, w_DBC=0.8666 | 0.1334 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000207 - 0.000013) / (0.001274 + 0.000207 - 0.000027)
Unconstrained: w_ETH-USD=0.1333
After long-only clamp: w_ETH-USD=0.1333, w_DBC=0.8667. | {
"weights": {
"ETH-USD": 0.13340000000000002,
"DBC": 0.8666
},
"sigma_1": 0.035696,
"sigma_2": 0.014393999999999999,
"covariance": 0.000013,
"correlation": 0.026000000000000002,
"has_text": true,
"text_chars": 20,
"mu_floor": -0.2629,
"constraint_binding": false
} |
T4_all_20210810_0406 | T4 | 2 | train | sideways | all | [
"XLRE",
"VNQI"
] | 2021-08-10T00:00:00 | XLRE σ=0.0077, VNQI σ=0.0068, ρ=0.641. Min-variance weights: XLRE=0.332, VNQI=0.668. | Assets: XLRE, VNQI
XLRE: annualized_mean_return=0.5040, daily_std=0.0077
VNQI: annualized_mean_return=0.1512, daily_std=0.0068
Minimum required portfolio return (annualized): 0.3672
Market regime: sideways
Compute portfolio weights (w_XLRE, w_VNQI) that minimize portfolio variance while satisfying the minimum return c... | w_XLRE=0.6122, w_VNQI=0.3878 | 0.6122 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000046 - 0.000034) / (0.000059 + 0.000046 - 0.000067)
Unconstrained: w_XLRE=0.3319
After long-only clamp: w_XLRE=0.3319, w_VNQI=0.6681. | {
"weights": {
"XLRE": 0.6122000000000001,
"VNQI": 0.38780000000000003
},
"sigma_1": 0.007689,
"sigma_2": 0.0067989999999999995,
"covariance": 0.000034,
"correlation": 0.6411,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.3672,
"constraint_binding": true
} |
T4_all_20200612_0409 | T4 | 2 | train | sideways | all | [
"QUAL",
"VNQI"
] | 2020-06-12T00:00:00 | QUAL σ=0.0191, VNQI σ=0.0168, ρ=0.780. Min-variance weights: QUAL=0.209, VNQI=0.791. | Assets: QUAL, VNQI
QUAL: annualized_mean_return=0.3276, daily_std=0.0191
VNQI: annualized_mean_return=0.4536, daily_std=0.0168
Minimum required portfolio return (annualized): 0.3734
Market regime: sideways
Compute portfolio weights (w_QUAL, w_VNQI) that minimize portfolio variance while satisfying the minimum return c... | w_QUAL=0.2109, w_VNQI=0.7891 | 0.2109 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000281 - 0.000250) / (0.000367 + 0.000281 - 0.000501)
Unconstrained: w_QUAL=0.2092
After long-only clamp: w_QUAL=0.2092, w_VNQI=0.7908. | {
"weights": {
"QUAL": 0.2109,
"VNQI": 0.7891
},
"sigma_1": 0.019147,
"sigma_2": 0.016767999999999998,
"covariance": 0.00025,
"correlation": 0.7801,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.3734,
"constraint_binding": false
} |
T4_all_20190809_0413 | T4 | 2 | train | sideways | all | [
"QUAL",
"ICSH"
] | 2019-08-09T00:00:00 | QUAL σ=0.0086, ICSH σ=0.0003, ρ=-0.130. Min-variance weights: QUAL=0.005, ICSH=0.995. | Assets: QUAL, ICSH
QUAL: annualized_mean_return=0.1764, daily_std=0.0086
ICSH: annualized_mean_return=0.0252, daily_std=0.0003
Minimum required portfolio return (annualized): 0.0253
Market regime: sideways
Compute portfolio weights (w_QUAL, w_ICSH) that minimize portfolio variance while satisfying the minimum return c... | w_QUAL=0.0011, w_ICSH=0.9989 | 0.0011 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - -0.000000) / (0.000075 + 0.000000 - -0.000001)
Unconstrained: w_QUAL=0.0053
After long-only clamp: w_QUAL=0.0053, w_ICSH=0.9947. | {
"weights": {
"QUAL": 0.0011,
"ICSH": 0.9989
},
"sigma_1": 0.008634,
"sigma_2": 0.000285,
"covariance": 0,
"correlation": -0.13040000000000002,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0253,
"constraint_binding": false
} |
T4_all_20221116_0418 | T4 | 2 | train | sideways | all | [
"MATIC-USD",
"PPLT"
] | 2022-11-16T00:00:00 | MATIC-USD σ=0.0777, PPLT σ=0.0194, ρ=-0.118. Min-variance weights: MATIC-USD=0.082, PPLT=0.918. | Assets: MATIC-USD, PPLT
MATIC-USD: annualized_mean_return=1.3860, daily_std=0.0777
PPLT: annualized_mean_return=0.6048, daily_std=0.0194
Minimum required portfolio return (annualized): 1.0770
Market regime: sideways
Compute portfolio weights (w_MATIC-USD, w_PPLT) that minimize portfolio variance while satisfying the m... | w_MATIC-USD=0.6045, w_PPLT=0.3955 | 0.6045 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000375 - -0.000177) / (0.006033 + 0.000375 - -0.000354)
Unconstrained: w_MATIC-USD=0.0816
After long-only clamp: w_MATIC-USD=0.0816, w_PPLT=0.9184. | {
"weights": {
"MATIC-USD": 0.6045,
"PPLT": 0.3955
},
"sigma_1": 0.07767399999999999,
"sigma_2": 0.019362,
"covariance": -0.000177,
"correlation": -0.1178,
"has_text": true,
"text_chars": 20,
"mu_floor": 1.077,
"constraint_binding": true
} |
T4_all_20210217_0421 | T4 | 2 | train | sideways | all | [
"IWM",
"XRP-USD"
] | 2021-02-17T00:00:00 | IWM σ=0.0122, XRP-USD σ=0.1000, ρ=-0.091. Min-variance weights: IWM=0.975, XRP-USD=0.025. | Assets: IWM, XRP-USD
IWM: annualized_mean_return=0.9828, daily_std=0.0122
XRP-USD: annualized_mean_return=1.5120, daily_std=0.1000
Minimum required portfolio return (annualized): 0.9898
Market regime: sideways
Compute portfolio weights (w_IWM, w_XRP-USD) that minimize portfolio variance while satisfying the minimum re... | w_IWM=0.9749, w_XRP-USD=0.0251 | 0.9749 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.009993 - -0.000111) / (0.000150 + 0.009993 - -0.000222)
Unconstrained: w_IWM=0.9749
After long-only clamp: w_IWM=0.9749, w_XRP-USD=0.0251. | {
"weights": {
"IWM": 0.9749000000000001,
"XRP-USD": 0.0251
},
"sigma_1": 0.012232999999999999,
"sigma_2": 0.099967,
"covariance": -0.000111,
"correlation": -0.0906,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.9898,
"constraint_binding": false
} |
T4_all_20200128_0424 | T4 | 2 | train | sideways | all | [
"ACWI",
"REZ"
] | 2020-01-28T00:00:00 | ACWI σ=0.0051, REZ σ=0.0088, ρ=-0.068. Min-variance weights: ACWI=0.737, REZ=0.263. | Assets: ACWI, REZ
ACWI: annualized_mean_return=0.2016, daily_std=0.0051
REZ: annualized_mean_return=-0.0252, daily_std=0.0088
Minimum required portfolio return (annualized): 0.1741
Market regime: sideways
Compute portfolio weights (w_ACWI, w_REZ) that minimize portfolio variance while satisfying the minimum return con... | w_ACWI=0.8787, w_REZ=0.1213 | 0.8787 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000078 - -0.000003) / (0.000026 + 0.000078 - -0.000006)
Unconstrained: w_ACWI=0.7368
After long-only clamp: w_ACWI=0.7368, w_REZ=0.2632. | {
"weights": {
"ACWI": 0.8787,
"REZ": 0.1213
},
"sigma_1": 0.00508,
"sigma_2": 0.008813999999999999,
"covariance": -0.000003,
"correlation": -0.06760000000000001,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.1741,
"constraint_binding": true
} |
T4_all_20220809_0427 | T4 | 2 | train | sideways | all | [
"EEM",
"DBC"
] | 2022-08-09T00:00:00 | EEM σ=0.0135, DBC σ=0.0142, ρ=0.218. Min-variance weights: EEM=0.531, DBC=0.469. | Assets: EEM, DBC
EEM: annualized_mean_return=0.1008, daily_std=0.0135
DBC: annualized_mean_return=-0.3276, daily_std=0.0142
Minimum required portfolio return (annualized): -0.2064
Market regime: sideways
Compute portfolio weights (w_EEM, w_DBC) that minimize portfolio variance while satisfying the minimum return const... | w_EEM=0.5310, w_DBC=0.4690 | 0.531 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000200 - 0.000042) / (0.000182 + 0.000200 - 0.000083)
Unconstrained: w_EEM=0.5309
After long-only clamp: w_EEM=0.5309, w_DBC=0.4691. | {
"weights": {
"EEM": 0.531,
"DBC": 0.46900000000000003
},
"sigma_1": 0.013486,
"sigma_2": 0.014155,
"covariance": 0.000042,
"correlation": 0.21810000000000002,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.2064,
"constraint_binding": false
} |
T4_all_20151221_0430 | T4 | 2 | train | sideways | all | [
"XLY",
"EMB"
] | 2015-12-21T00:00:00 | XLY σ=0.0110, EMB σ=0.0040, ρ=0.269. Min-variance weights: XLY=0.037, EMB=0.963. | Assets: XLY, EMB
XLY: annualized_mean_return=0.1512, daily_std=0.0110
EMB: annualized_mean_return=0.0504, daily_std=0.0040
Minimum required portfolio return (annualized): 0.0937
Market regime: sideways
Compute portfolio weights (w_XLY, w_EMB) that minimize portfolio variance while satisfying the minimum return constra... | w_XLY=0.4296, w_EMB=0.5704 | 0.4296 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000016 - 0.000012) / (0.000121 + 0.000016 - 0.000024)
Unconstrained: w_XLY=0.0370
After long-only clamp: w_XLY=0.0370, w_EMB=0.9630. | {
"weights": {
"XLY": 0.42960000000000004,
"EMB": 0.5704
},
"sigma_1": 0.011016,
"sigma_2": 0.004012,
"covariance": 0.000012,
"correlation": 0.2691,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0937,
"constraint_binding": true
} |
T4_all_20170120_0433 | T4 | 2 | train | sideways | all | [
"EWJ",
"IYR"
] | 2017-01-20T00:00:00 | EWJ σ=0.0071, IYR σ=0.0101, ρ=0.291. Min-variance weights: EWJ=0.733, IYR=0.267. | Assets: EWJ, IYR
EWJ: annualized_mean_return=0.0504, daily_std=0.0071
IYR: annualized_mean_return=0.0252, daily_std=0.0101
Minimum required portfolio return (annualized): 0.0361
Market regime: sideways
Compute portfolio weights (w_EWJ, w_IYR) that minimize portfolio variance while satisfying the minimum return constra... | w_EWJ=0.7329, w_IYR=0.2671 | 0.7329 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000102 - 0.000021) / (0.000051 + 0.000102 - 0.000042)
Unconstrained: w_EWJ=0.7326
After long-only clamp: w_EWJ=0.7326, w_IYR=0.2674. | {
"weights": {
"EWJ": 0.7329,
"IYR": 0.2671
},
"sigma_1": 0.007111999999999999,
"sigma_2": 0.010107,
"covariance": 0.000021,
"correlation": 0.2911,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0361,
"constraint_binding": false
} |
T4_all_20191112_0436 | T4 | 2 | train | sideways | all | [
"LINK-USD",
"ICSH"
] | 2019-11-12T00:00:00 | LINK-USD σ=0.0424, ICSH σ=0.0002, ρ=0.256. Min-variance weights: LINK-USD=0.000, ICSH=1.000. | Assets: LINK-USD, ICSH
LINK-USD: annualized_mean_return=2.2428, daily_std=0.0424
ICSH: annualized_mean_return=0.0252, daily_std=0.0002
Minimum required portfolio return (annualized): 1.1222
Market regime: sideways
Compute portfolio weights (w_LINK-USD, w_ICSH) that minimize portfolio variance while satisfying the mini... | w_LINK-USD=0.4947, w_ICSH=0.5053 | 0.4947 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000003) / (0.001797 + 0.000000 - 0.000005)
Unconstrained: w_LINK-USD=-0.0014
After long-only clamp: w_LINK-USD=0.0000, w_ICSH=1.0000. | {
"weights": {
"LINK-USD": 0.49470000000000003,
"ICSH": 0.5053
},
"sigma_1": 0.042394,
"sigma_2": 0.00024000000000000003,
"covariance": 0.000003,
"correlation": 0.25570000000000004,
"has_text": false,
"text_chars": 0,
"mu_floor": 1.1222,
"constraint_binding": true
} |
T4_all_20190702_0443 | T4 | 2 | train | sideways | all | [
"EFA",
"LINK-USD"
] | 2019-07-02T00:00:00 | EFA σ=0.0071, LINK-USD σ=0.0838, ρ=-0.087. Min-variance weights: EFA=0.986, LINK-USD=0.014. | Assets: EFA, LINK-USD
EFA: annualized_mean_return=0.0756, daily_std=0.0071
LINK-USD: annualized_mean_return=7.0812, daily_std=0.0838
Minimum required portfolio return (annualized): 0.1392
Market regime: sideways
Compute portfolio weights (w_EFA, w_LINK-USD) that minimize portfolio variance while satisfying the minimum... | w_EFA=0.9857, w_LINK-USD=0.0143 | 0.9857 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.007015 - -0.000052) / (0.000051 + 0.007015 - -0.000104)
Unconstrained: w_EFA=0.9857
After long-only clamp: w_EFA=0.9857, w_LINK-USD=0.0143. | {
"weights": {
"EFA": 0.9857,
"LINK-USD": 0.0143
},
"sigma_1": 0.0071259999999999995,
"sigma_2": 0.083755,
"covariance": -0.000052,
"correlation": -0.08700000000000001,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.13920000000000002,
"constraint_binding": false
} |
T4_all_20200521_0446 | T4 | 2 | train | sideways | all | [
"^VIX",
"HAUZ"
] | 2020-05-21T00:00:00 | ^VIX σ=0.1079, HAUZ σ=0.0198, ρ=-0.610. Min-variance weights: ^VIX=0.116, HAUZ=0.884. | Assets: ^VIX, HAUZ
^VIX: annualized_mean_return=-0.9072, daily_std=0.1079
HAUZ: annualized_mean_return=-0.2268, daily_std=0.0198
Minimum required portfolio return (annualized): -0.2712
Market regime: sideways
Compute portfolio weights (w_^VIX, w_HAUZ) that minimize portfolio variance while satisfying the minimum retur... | w_^VIX=0.0653, w_HAUZ=0.9347 | 0.0653 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000391 - -0.001300) / (0.011638 + 0.000391 - -0.002601)
Unconstrained: w_^VIX=0.1156
After long-only clamp: w_^VIX=0.1156, w_HAUZ=0.8844. | {
"weights": {
"^VIX": 0.0653,
"HAUZ": 0.9347000000000001
},
"sigma_1": 0.10787899999999999,
"sigma_2": 0.019773,
"covariance": -0.0013000000000000002,
"correlation": -0.6096,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.2712,
"constraint_binding": true
} |
T4_all_20190111_0451 | T4 | 2 | train | sideways | all | [
"VLUE",
"DBB"
] | 2019-01-11T00:00:00 | VLUE σ=0.0146, DBB σ=0.0095, ρ=-0.011. Min-variance weights: VLUE=0.301, DBB=0.699. | Assets: VLUE, DBB
VLUE: annualized_mean_return=-0.4284, daily_std=0.0146
DBB: annualized_mean_return=-0.1260, daily_std=0.0095
Minimum required portfolio return (annualized): -0.2747
Market regime: sideways
Compute portfolio weights (w_VLUE, w_DBB) that minimize portfolio variance while satisfying the minimum return c... | w_VLUE=0.3022, w_DBB=0.6978 | 0.3022 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000091 - -0.000002) / (0.000212 + 0.000091 - -0.000003)
Unconstrained: w_VLUE=0.3015
After long-only clamp: w_VLUE=0.3015, w_DBB=0.6985. | {
"weights": {
"VLUE": 0.3022,
"DBB": 0.6978000000000001
},
"sigma_1": 0.014567,
"sigma_2": 0.009526,
"covariance": -0.000002,
"correlation": -0.0109,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.2747,
"constraint_binding": false
} |
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