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_20210203_0454 | T4 | 2 | train | sideways | all | [
"EFA",
"BIL"
] | 2021-02-03T00:00:00 | EFA σ=0.0100, BIL σ=0.0001, ρ=0.089. Min-variance weights: EFA=0.000, BIL=1.000. | Assets: EFA, BIL
EFA: annualized_mean_return=0.6048, daily_std=0.0100
BIL: annualized_mean_return=0.0000, daily_std=0.0001
Minimum required portfolio return (annualized): 0.1823
Market regime: sideways
Compute portfolio weights (w_EFA, w_BIL) that minimize portfolio variance while satisfying the minimum return constra... | w_EFA=0.3014, w_BIL=0.6986 | 0.3014 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000000) / (0.000101 + 0.000000 - 0.000000)
Unconstrained: w_EFA=-0.0007
After long-only clamp: w_EFA=0.0000, w_BIL=1.0000. | {
"weights": {
"EFA": 0.3014,
"BIL": 0.6986
},
"sigma_1": 0.010026,
"sigma_2": 0.000084,
"covariance": 0,
"correlation": 0.08940000000000001,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.18230000000000002,
"constraint_binding": true
} |
T4_all_20210614_0457 | T4 | 2 | train | sideways | all | [
"DOT-USD",
"VCIT"
] | 2021-06-14T00:00:00 | DOT-USD σ=0.0936, VCIT σ=0.0021, ρ=0.032. Min-variance weights: DOT-USD=0.000, VCIT=1.000. | Assets: DOT-USD, VCIT
DOT-USD: annualized_mean_return=-0.6300, daily_std=0.0936
VCIT: annualized_mean_return=0.1512, daily_std=0.0021
Minimum required portfolio return (annualized): -0.0062
Market regime: sideways
Compute portfolio weights (w_DOT-USD, w_VCIT) that minimize portfolio variance while satisfying the minim... | w_DOT-USD=0.0000, w_VCIT=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000005 - 0.000007) / (0.008767 + 0.000005 - 0.000013)
Unconstrained: w_DOT-USD=-0.0002
After long-only clamp: w_DOT-USD=0.0000, w_VCIT=1.0000. | {
"weights": {
"DOT-USD": 0,
"VCIT": 1
},
"sigma_1": 0.09363099999999999,
"sigma_2": 0.002142,
"covariance": 0.000007,
"correlation": 0.0324,
"has_text": false,
"text_chars": 0,
"mu_floor": -0.006200000000000001,
"constraint_binding": false
} |
T4_all_20210514_0460 | T4 | 2 | train | sideways | all | [
"ACWI",
"ICSH"
] | 2021-05-14T00:00:00 | ACWI σ=0.0091, ICSH σ=0.0002, ρ=0.131. Min-variance weights: ACWI=0.000, ICSH=1.000. | Assets: ACWI, ICSH
ACWI: annualized_mean_return=0.0504, daily_std=0.0091
ICSH: annualized_mean_return=0.0000, daily_std=0.0002
Minimum required portfolio return (annualized): 0.0381
Market regime: sideways
Compute portfolio weights (w_ACWI, w_ICSH) that minimize portfolio variance while satisfying the minimum return c... | w_ACWI=0.7560, w_ICSH=0.2440 | 0.756 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000000) / (0.000084 + 0.000000 - 0.000000)
Unconstrained: w_ACWI=-0.0023
After long-only clamp: w_ACWI=0.0000, w_ICSH=1.0000. | {
"weights": {
"ACWI": 0.756,
"ICSH": 0.244
},
"sigma_1": 0.009149,
"sigma_2": 0.000192,
"covariance": 0,
"correlation": 0.1315,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0381,
"constraint_binding": true
} |
T4_all_20210216_0463 | T4 | 2 | train | sideways | all | [
"LINK-USD",
"BIL"
] | 2021-02-16T00:00:00 | LINK-USD σ=0.0793, BIL σ=0.0001, ρ=0.084. Min-variance weights: LINK-USD=0.000, BIL=1.000. | Assets: LINK-USD, BIL
LINK-USD: annualized_mean_return=4.5108, daily_std=0.0793
BIL: annualized_mean_return=-0.0000, daily_std=0.0001
Minimum required portfolio return (annualized): -0.0000
Market regime: sideways
Compute portfolio weights (w_LINK-USD, w_BIL) that minimize portfolio variance while satisfying the minim... | w_LINK-USD=0.0000, w_BIL=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000001) / (0.006282 + 0.000000 - 0.000001)
Unconstrained: w_LINK-USD=-0.0001
After long-only clamp: w_LINK-USD=0.0000, w_BIL=1.0000. | {
"weights": {
"LINK-USD": 0,
"BIL": 1
},
"sigma_1": 0.07926000000000001,
"sigma_2": 0.00008,
"covariance": 0.000001,
"correlation": 0.0843,
"has_text": false,
"text_chars": 0,
"mu_floor": 0,
"constraint_binding": false
} |
T4_all_20181123_0468 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"IAU"
] | 2018-11-23T00:00:00 | BTC-USD σ=0.0273, IAU σ=0.0056, ρ=0.041. Min-variance weights: BTC-USD=0.033, IAU=0.967. | Assets: BTC-USD, IAU
BTC-USD: annualized_mean_return=-1.6884, daily_std=0.0273
IAU: annualized_mean_return=0.1008, daily_std=0.0056
Minimum required portfolio return (annualized): 0.0670
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_IAU) that minimize portfolio variance while satisfying the minimum r... | w_BTC-USD=0.0189, w_IAU=0.9811 | 0.0189 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000032 - 0.000006) / (0.000745 + 0.000032 - 0.000013)
Unconstrained: w_BTC-USD=0.0334
After long-only clamp: w_BTC-USD=0.0334, w_IAU=0.9666. | {
"weights": {
"BTC-USD": 0.0189,
"IAU": 0.9811000000000001
},
"sigma_1": 0.027297,
"sigma_2": 0.005644,
"covariance": 0.000006,
"correlation": 0.0409,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.067,
"constraint_binding": true
} |
T4_all_20220425_0471 | T4 | 2 | train | sideways | all | [
"IVV",
"BIL"
] | 2022-04-25T00:00:00 | IVV σ=0.0139, BIL σ=0.0001, ρ=0.172. Min-variance weights: IVV=0.000, BIL=1.000. | Assets: IVV, BIL
IVV: annualized_mean_return=-0.0504, daily_std=0.0139
BIL: annualized_mean_return=-0.0000, daily_std=0.0001
Minimum required portfolio return (annualized): -0.0016
Market regime: sideways
Compute portfolio weights (w_IVV, w_BIL) that minimize portfolio variance while satisfying the minimum return cons... | w_IVV=0.0001, w_BIL=0.9999 | 0.0001 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000000) / (0.000194 + 0.000000 - 0.000001)
Unconstrained: w_IVV=-0.0013
After long-only clamp: w_IVV=0.0000, w_BIL=1.0000. | {
"weights": {
"IVV": 0.0001,
"BIL": 0.9999
},
"sigma_1": 0.013930000000000001,
"sigma_2": 0.000108,
"covariance": 0,
"correlation": 0.17200000000000001,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.0016,
"constraint_binding": false
} |
T4_all_20160318_0474 | T4 | 2 | train | sideways | all | [
"IVV",
"REZ"
] | 2016-03-18T00:00:00 | IVV σ=0.0119, REZ σ=0.0133, ρ=0.720. Min-variance weights: IVV=0.700, REZ=0.300. | Assets: IVV, REZ
IVV: annualized_mean_return=0.1008, daily_std=0.0119
REZ: annualized_mean_return=0.3024, daily_std=0.0133
Minimum required portfolio return (annualized): 0.2682
Market regime: sideways
Compute portfolio weights (w_IVV, w_REZ) that minimize portfolio variance while satisfying the minimum return constra... | w_IVV=0.1696, w_REZ=0.8304 | 0.1696 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000178 - 0.000114) / (0.000142 + 0.000178 - 0.000229)
Unconstrained: w_IVV=0.6996
After long-only clamp: w_IVV=0.6996, w_REZ=0.3004. | {
"weights": {
"IVV": 0.1696,
"REZ": 0.8304
},
"sigma_1": 0.011902,
"sigma_2": 0.013340000000000001,
"covariance": 0.00011399999999999999,
"correlation": 0.72,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.2682,
"constraint_binding": true
} |
T4_all_20160225_0477 | T4 | 2 | train | sideways | all | [
"XLF",
"EMB"
] | 2016-02-25T00:00:00 | XLF σ=0.0154, EMB σ=0.0043, ρ=0.157. Min-variance weights: XLF=0.035, EMB=0.965. | Assets: XLF, EMB
XLF: annualized_mean_return=-0.6804, daily_std=0.0154
EMB: annualized_mean_return=-0.0252, daily_std=0.0043
Minimum required portfolio return (annualized): -0.1434
Market regime: sideways
Compute portfolio weights (w_XLF, w_EMB) that minimize portfolio variance while satisfying the minimum return cons... | w_XLF=0.0331, w_EMB=0.9669 | 0.0331 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000019 - 0.000011) / (0.000238 + 0.000019 - 0.000021)
Unconstrained: w_XLF=0.0350
After long-only clamp: w_XLF=0.0350, w_EMB=0.9650. | {
"weights": {
"XLF": 0.033100000000000004,
"EMB": 0.9669000000000001
},
"sigma_1": 0.015437999999999999,
"sigma_2": 0.004333,
"covariance": 0.000011,
"correlation": 0.1573,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.1434,
"constraint_binding": false
} |
T4_all_20180403_0479 | T4 | 2 | train | sideways | all | [
"XRP-USD",
"EMB"
] | 2018-04-03T00:00:00 | XRP-USD σ=0.0675, EMB σ=0.0037, ρ=-0.104. Min-variance weights: XRP-USD=0.008, EMB=0.992. | Assets: XRP-USD, EMB
XRP-USD: annualized_mean_return=-2.1672, daily_std=0.0675
EMB: annualized_mean_return=-0.0504, daily_std=0.0037
Minimum required portfolio return (annualized): -0.3810
Market regime: sideways
Compute portfolio weights (w_XRP-USD, w_EMB) that minimize portfolio variance while satisfying the minimum... | w_XRP-USD=0.0085, w_EMB=0.9915 | 0.0085 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000013 - -0.000026) / (0.004551 + 0.000013 - -0.000051)
Unconstrained: w_XRP-USD=0.0084
After long-only clamp: w_XRP-USD=0.0084, w_EMB=0.9916. | {
"weights": {
"XRP-USD": 0.0085,
"EMB": 0.9915
},
"sigma_1": 0.067463,
"sigma_2": 0.0036500000000000005,
"covariance": -0.000026,
"correlation": -0.1038,
"has_text": false,
"text_chars": 0,
"mu_floor": -0.381,
"constraint_binding": false
} |
T4_all_20200206_0484 | T4 | 2 | train | sideways | all | [
"LINK-USD",
"DBB"
] | 2020-02-06T00:00:00 | LINK-USD σ=0.0412, DBB σ=0.0082, ρ=0.026. Min-variance weights: LINK-USD=0.033, DBB=0.967. | Assets: LINK-USD, DBB
LINK-USD: annualized_mean_return=1.5624, daily_std=0.0412
DBB: annualized_mean_return=-0.2520, daily_std=0.0082
Minimum required portfolio return (annualized): 0.7354
Market regime: sideways
Compute portfolio weights (w_LINK-USD, w_DBB) that minimize portfolio variance while satisfying the minimu... | w_LINK-USD=0.5442, w_DBB=0.4558 | 0.5442 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000067 - 0.000009) / (0.001700 + 0.000067 - 0.000018)
Unconstrained: w_LINK-USD=0.0331
After long-only clamp: w_LINK-USD=0.0331, w_DBB=0.9669. | {
"weights": {
"LINK-USD": 0.5442,
"DBB": 0.45580000000000004
},
"sigma_1": 0.041226,
"sigma_2": 0.008169,
"covariance": 0.000009,
"correlation": 0.0261,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.7354,
"constraint_binding": true
} |
T4_all_20151030_0487 | T4 | 2 | train | sideways | all | [
"QUAL",
"REZ"
] | 2015-10-30T00:00:00 | QUAL σ=0.0127, REZ σ=0.0115, ρ=0.740. Min-variance weights: QUAL=0.317, REZ=0.683. | Assets: QUAL, REZ
QUAL: annualized_mean_return=0.0000, daily_std=0.0127
REZ: annualized_mean_return=0.2268, daily_std=0.0115
Minimum required portfolio return (annualized): 0.0977
Market regime: sideways
Compute portfolio weights (w_QUAL, w_REZ) that minimize portfolio variance while satisfying the minimum return cons... | w_QUAL=0.3157, w_REZ=0.6843 | 0.3157 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000133 - 0.000109) / (0.000162 + 0.000133 - 0.000217)
Unconstrained: w_QUAL=0.3171
After long-only clamp: w_QUAL=0.3171, w_REZ=0.6829. | {
"weights": {
"QUAL": 0.31570000000000004,
"REZ": 0.6843
},
"sigma_1": 0.01272,
"sigma_2": 0.011548,
"covariance": 0.00010899999999999999,
"correlation": 0.74,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.09770000000000001,
"constraint_binding": false
} |
T4_all_20220810_0490 | T4 | 2 | train | sideways | all | [
"MATIC-USD",
"PPLT"
] | 2022-08-10T00:00:00 | MATIC-USD σ=0.0804, PPLT σ=0.0170, ρ=0.255. Min-variance weights: MATIC-USD=0.000, PPLT=1.000. | Assets: MATIC-USD, PPLT
MATIC-USD: annualized_mean_return=2.4696, daily_std=0.0804
PPLT: annualized_mean_return=-0.1512, daily_std=0.0170
Minimum required portfolio return (annualized): 0.8798
Market regime: sideways
Compute portfolio weights (w_MATIC-USD, w_PPLT) that minimize portfolio variance while satisfying the ... | w_MATIC-USD=0.3934, w_PPLT=0.6066 | 0.3934 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000289 - 0.000348) / (0.006459 + 0.000289 - 0.000696)
Unconstrained: w_MATIC-USD=-0.0097
After long-only clamp: w_MATIC-USD=0.0000, w_PPLT=1.0000. | {
"weights": {
"MATIC-USD": 0.3934,
"PPLT": 0.6066
},
"sigma_1": 0.080371,
"sigma_2": 0.017005,
"covariance": 0.000348,
"correlation": 0.25470000000000004,
"has_text": true,
"text_chars": 20,
"mu_floor": 0.8798,
"constraint_binding": true
} |
T4_all_20200311_0495 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"ICSH"
] | 2020-03-11T00:00:00 | BTC-USD σ=0.0277, ICSH σ=0.0004, ρ=-0.077. Min-variance weights: BTC-USD=0.001, ICSH=0.999. | Assets: BTC-USD, ICSH
BTC-USD: annualized_mean_return=-0.0252, daily_std=0.0277
ICSH: annualized_mean_return=0.0252, daily_std=0.0004
Minimum required portfolio return (annualized): -0.0037
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_ICSH) that minimize portfolio variance while satisfying the minim... | w_BTC-USD=0.0015, w_ICSH=0.9985 | 0.0015 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - -0.000001) / (0.000770 + 0.000000 - -0.000002)
Unconstrained: w_BTC-USD=0.0011
After long-only clamp: w_BTC-USD=0.0011, w_ICSH=0.9989. | {
"weights": {
"BTC-USD": 0.0015,
"ICSH": 0.9985
},
"sigma_1": 0.027749,
"sigma_2": 0.000358,
"covariance": -0.000001,
"correlation": -0.0765,
"has_text": false,
"text_chars": 0,
"mu_floor": -0.0037,
"constraint_binding": false
} |
T4_all_20190306_0498 | T4 | 2 | train | sideways | all | [
"LINK-USD",
"HAUZ"
] | 2019-03-06T00:00:00 | LINK-USD σ=0.0626, HAUZ σ=0.0087, ρ=-0.105. Min-variance weights: LINK-USD=0.032, HAUZ=0.968. | Assets: LINK-USD, HAUZ
LINK-USD: annualized_mean_return=0.2016, daily_std=0.0626
HAUZ: annualized_mean_return=0.2268, daily_std=0.0087
Minimum required portfolio return (annualized): 0.2265
Market regime: sideways
Compute portfolio weights (w_LINK-USD, w_HAUZ) that minimize portfolio variance while satisfying the mini... | w_LINK-USD=0.0119, w_HAUZ=0.9881 | 0.0119 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000075 - -0.000057) / (0.003918 + 0.000075 - -0.000113)
Unconstrained: w_LINK-USD=0.0321
After long-only clamp: w_LINK-USD=0.0321, w_HAUZ=0.9679. | {
"weights": {
"LINK-USD": 0.0119,
"HAUZ": 0.9881000000000001
},
"sigma_1": 0.062591,
"sigma_2": 0.00867,
"covariance": -0.000056999999999999996,
"correlation": -0.1046,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.2265,
"constraint_binding": true
} |
T4_all_20190225_0501 | T4 | 2 | train | sideways | all | [
"LINK-USD",
"BIL"
] | 2019-02-25T00:00:00 | LINK-USD σ=0.0685, BIL σ=0.0001, ρ=0.010. Min-variance weights: LINK-USD=0.000, BIL=1.000. | Assets: LINK-USD, BIL
LINK-USD: annualized_mean_return=1.4868, daily_std=0.0685
BIL: annualized_mean_return=0.0252, daily_std=0.0001
Minimum required portfolio return (annualized): 0.0252
Market regime: sideways
Compute portfolio weights (w_LINK-USD, w_BIL) that minimize portfolio variance while satisfying the minimum... | w_LINK-USD=0.0000, w_BIL=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000000) / (0.004688 + 0.000000 - 0.000000)
Unconstrained: w_LINK-USD=-0.0000
After long-only clamp: w_LINK-USD=0.0000, w_BIL=1.0000. | {
"weights": {
"LINK-USD": 0,
"BIL": 1
},
"sigma_1": 0.06847099999999999,
"sigma_2": 0.000117,
"covariance": 0,
"correlation": 0.01,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.0252,
"constraint_binding": false
} |
T4_all_20220706_0504 | T4 | 2 | train | sideways | all | [
"IWM",
"SCHP"
] | 2022-07-06T00:00:00 | IWM σ=0.0191, SCHP σ=0.0054, ρ=-0.009. Min-variance weights: IWM=0.075, SCHP=0.924. | Assets: IWM, SCHP
IWM: annualized_mean_return=-0.4788, daily_std=0.0191
SCHP: annualized_mean_return=-0.1008, daily_std=0.0054
Minimum required portfolio return (annualized): -0.1094
Market regime: sideways
Compute portfolio weights (w_IWM, w_SCHP) that minimize portfolio variance while satisfying the minimum return c... | w_IWM=0.0228, w_SCHP=0.9772 | 0.0228 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000029 - -0.000001) / (0.000363 + 0.000029 - -0.000002)
Unconstrained: w_IWM=0.0755
After long-only clamp: w_IWM=0.0755, w_SCHP=0.9245. | {
"weights": {
"IWM": 0.0228,
"SCHP": 0.9772000000000001
},
"sigma_1": 0.019056999999999998,
"sigma_2": 0.005366,
"covariance": -0.000001,
"correlation": -0.0092,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.10940000000000001,
"constraint_binding": true
} |
T4_all_20190207_0506 | T4 | 2 | train | sideways | all | [
"VLUE",
"PDBC"
] | 2019-02-07T00:00:00 | VLUE σ=0.0130, PDBC σ=0.0108, ρ=0.060. Min-variance weights: VLUE=0.400, PDBC=0.600. | Assets: VLUE, PDBC
VLUE: annualized_mean_return=-0.2772, daily_std=0.0130
PDBC: annualized_mean_return=0.0252, daily_std=0.0108
Minimum required portfolio return (annualized): -0.0486
Market regime: sideways
Compute portfolio weights (w_VLUE, w_PDBC) that minimize portfolio variance while satisfying the minimum return... | w_VLUE=0.2440, w_PDBC=0.7560 | 0.244 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000116 - 0.000008) / (0.000170 + 0.000116 - 0.000017)
Unconstrained: w_VLUE=0.3996
After long-only clamp: w_VLUE=0.3996, w_PDBC=0.6004. | {
"weights": {
"VLUE": 0.244,
"PDBC": 0.756
},
"sigma_1": 0.013045999999999999,
"sigma_2": 0.010773999999999999,
"covariance": 0.000008,
"correlation": 0.06,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.048600000000000004,
"constraint_binding": true
} |
T4_all_20210824_0509 | T4 | 2 | train | sideways | all | [
"XLK",
"BIL"
] | 2021-08-24T00:00:00 | XLK σ=0.0075, BIL σ=0.0001, ρ=-0.288. Min-variance weights: XLK=0.004, BIL=0.997. | Assets: XLK, BIL
XLK: annualized_mean_return=0.5796, daily_std=0.0075
BIL: annualized_mean_return=-0.0000, daily_std=0.0001
Minimum required portfolio return (annualized): 0.0001
Market regime: sideways
Compute portfolio weights (w_XLK, w_BIL) that minimize portfolio variance while satisfying the minimum return constr... | w_XLK=0.0001, w_BIL=0.9999 | 0.0001 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - -0.000000) / (0.000057 + 0.000000 - -0.000000)
Unconstrained: w_XLK=0.0035
After long-only clamp: w_XLK=0.0035, w_BIL=0.9965. | {
"weights": {
"XLK": 0.0001,
"BIL": 0.9999
},
"sigma_1": 0.007545,
"sigma_2": 0.000089,
"covariance": 0,
"correlation": -0.28850000000000003,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0001,
"constraint_binding": false
} |
T4_all_20201020_0515 | T4 | 2 | train | sideways | all | [
"QQQ",
"ADA-USD"
] | 2020-10-20T00:00:00 | QQQ σ=0.0161, ADA-USD σ=0.0515, ρ=-0.058. Min-variance weights: QQQ=0.898, ADA-USD=0.102. | Assets: QQQ, ADA-USD
QQQ: annualized_mean_return=0.5292, daily_std=0.0161
ADA-USD: annualized_mean_return=-0.5292, daily_std=0.0515
Minimum required portfolio return (annualized): 0.3013
Market regime: sideways
Compute portfolio weights (w_QQQ, w_ADA-USD) that minimize portfolio variance while satisfying the minimum r... | w_QQQ=0.8976, w_ADA-USD=0.1024 | 0.8976 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.002656 - -0.000048) / (0.000260 + 0.002656 - -0.000096)
Unconstrained: w_QQQ=0.8976
After long-only clamp: w_QQQ=0.8976, w_ADA-USD=0.1024. | {
"weights": {
"QQQ": 0.8976000000000001,
"ADA-USD": 0.1024
},
"sigma_1": 0.016137,
"sigma_2": 0.051533999999999996,
"covariance": -0.000048,
"correlation": -0.0577,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.3013,
"constraint_binding": false
} |
T4_all_20190213_0522 | T4 | 2 | train | sideways | all | [
"XLF",
"SCHH"
] | 2019-02-13T00:00:00 | XLF σ=0.0131, SCHH σ=0.0120, ρ=0.421. Min-variance weights: XLF=0.425, SCHH=0.575. | Assets: XLF, SCHH
XLF: annualized_mean_return=-0.0756, daily_std=0.0131
SCHH: annualized_mean_return=0.2268, daily_std=0.0120
Minimum required portfolio return (annualized): 0.1905
Market regime: sideways
Compute portfolio weights (w_XLF, w_SCHH) that minimize portfolio variance while satisfying the minimum return con... | w_XLF=0.1200, w_SCHH=0.8800 | 0.12 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000144 - 0.000066) / (0.000172 + 0.000144 - 0.000132)
Unconstrained: w_XLF=0.4248
After long-only clamp: w_XLF=0.4248, w_SCHH=0.5752. | {
"weights": {
"XLF": 0.12,
"SCHH": 0.88
},
"sigma_1": 0.013099,
"sigma_2": 0.012001,
"covariance": 0.00006599999999999999,
"correlation": 0.42110000000000003,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.1905,
"constraint_binding": true
} |
T4_all_20220930_0527 | T4 | 2 | train | sideways | all | [
"ETH-USD",
"LQD"
] | 2022-09-30T00:00:00 | ETH-USD σ=0.0426, LQD σ=0.0075, ρ=-0.356. Min-variance weights: ETH-USD=0.081, LQD=0.919. | Assets: ETH-USD, LQD
ETH-USD: annualized_mean_return=-0.7308, daily_std=0.0426
LQD: annualized_mean_return=-0.2772, daily_std=0.0075
Minimum required portfolio return (annualized): -0.5190
Market regime: sideways
Compute portfolio weights (w_ETH-USD, w_LQD) that minimize portfolio variance while satisfying the minimum... | w_ETH-USD=0.0810, w_LQD=0.9190 | 0.081 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000056 - -0.000114) / (0.001816 + 0.000056 - -0.000227)
Unconstrained: w_ETH-USD=0.0808
After long-only clamp: w_ETH-USD=0.0808, w_LQD=0.9192. | {
"weights": {
"ETH-USD": 0.081,
"LQD": 0.919
},
"sigma_1": 0.042612,
"sigma_2": 0.007483999999999999,
"covariance": -0.00011399999999999999,
"correlation": -0.3563,
"has_text": true,
"text_chars": 20,
"mu_floor": -0.519,
"constraint_binding": false
} |
T4_all_20221220_0530 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"VNQI"
] | 2022-12-20T00:00:00 | BTC-USD σ=0.0314, VNQI σ=0.0142, ρ=-0.232. Min-variance weights: BTC-USD=0.219, VNQI=0.781. | Assets: BTC-USD, VNQI
BTC-USD: annualized_mean_return=-0.4284, daily_std=0.0314
VNQI: annualized_mean_return=0.1008, daily_std=0.0142
Minimum required portfolio return (annualized): 0.0151
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_VNQI) that minimize portfolio variance while satisfying the minimu... | w_BTC-USD=0.1619, w_VNQI=0.8381 | 0.1619 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000202 - -0.000103) / (0.000988 + 0.000202 - -0.000207)
Unconstrained: w_BTC-USD=0.2186
After long-only clamp: w_BTC-USD=0.2186, w_VNQI=0.7814. | {
"weights": {
"BTC-USD": 0.16190000000000002,
"VNQI": 0.8381000000000001
},
"sigma_1": 0.031439,
"sigma_2": 0.01421,
"covariance": -0.000103,
"correlation": -0.2316,
"has_text": true,
"text_chars": 20,
"mu_floor": 0.0151,
"constraint_binding": true
} |
T4_all_20200914_0537 | T4 | 2 | train | sideways | all | [
"XLI",
"SOYB"
] | 2020-09-14T00:00:00 | XLI σ=0.0129, SOYB σ=0.0079, ρ=0.141. Min-variance weights: XLI=0.239, SOYB=0.761. | Assets: XLI, SOYB
XLI: annualized_mean_return=0.4284, daily_std=0.0129
SOYB: annualized_mean_return=0.4536, daily_std=0.0079
Minimum required portfolio return (annualized): 0.4453
Market regime: sideways
Compute portfolio weights (w_XLI, w_SOYB) that minimize portfolio variance while satisfying the minimum return cons... | w_XLI=0.2405, w_SOYB=0.7595 | 0.2405 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000063 - 0.000014) / (0.000167 + 0.000063 - 0.000029)
Unconstrained: w_XLI=0.2392
After long-only clamp: w_XLI=0.2392, w_SOYB=0.7608. | {
"weights": {
"XLI": 0.24050000000000002,
"SOYB": 0.7595000000000001
},
"sigma_1": 0.012941,
"sigma_2": 0.007911,
"covariance": 0.000014,
"correlation": 0.1414,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.44530000000000003,
"constraint_binding": false
} |
T4_all_20200609_0540 | T4 | 2 | train | sideways | all | [
"XLU",
"VCIT"
] | 2020-06-09T00:00:00 | XLU σ=0.0223, VCIT σ=0.0048, ρ=0.002. Min-variance weights: XLU=0.044, VCIT=0.956. | Assets: XLU, VCIT
XLU: annualized_mean_return=0.0252, daily_std=0.0223
VCIT: annualized_mean_return=0.2772, daily_std=0.0048
Minimum required portfolio return (annualized): 0.2740
Market regime: sideways
Compute portfolio weights (w_XLU, w_VCIT) that minimize portfolio variance while satisfying the minimum return cons... | w_XLU=0.0127, w_VCIT=0.9873 | 0.0127 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000023 - 0.000000) / (0.000499 + 0.000023 - 0.000000)
Unconstrained: w_XLU=0.0443
After long-only clamp: w_XLU=0.0443, w_VCIT=0.9557. | {
"weights": {
"XLU": 0.012700000000000001,
"VCIT": 0.9873000000000001
},
"sigma_1": 0.022341999999999997,
"sigma_2": 0.004833,
"covariance": 0,
"correlation": 0.002,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.274,
"constraint_binding": true
} |
T4_all_20190920_0543 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"CPER"
] | 2019-09-20T00:00:00 | BTC-USD σ=0.0277, CPER σ=0.0097, ρ=0.232. Min-variance weights: BTC-USD=0.042, CPER=0.958. | Assets: BTC-USD, CPER
BTC-USD: annualized_mean_return=-0.0252, daily_std=0.0277
CPER: annualized_mean_return=-0.1764, daily_std=0.0097
Minimum required portfolio return (annualized): -0.1711
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_CPER) that minimize portfolio variance while satisfying the mini... | w_BTC-USD=0.0426, w_CPER=0.9574 | 0.0426 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000093 - 0.000062) / (0.000769 + 0.000093 - 0.000124)
Unconstrained: w_BTC-USD=0.0424
After long-only clamp: w_BTC-USD=0.0424, w_CPER=0.9576. | {
"weights": {
"BTC-USD": 0.0426,
"CPER": 0.9574
},
"sigma_1": 0.027726999999999998,
"sigma_2": 0.009668,
"covariance": 0.000062,
"correlation": 0.2321,
"has_text": false,
"text_chars": 0,
"mu_floor": -0.1711,
"constraint_binding": false
} |
T4_all_20190902_0546 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"EMB"
] | 2019-09-02T00:00:00 | BTC-USD σ=0.0410, EMB σ=0.0039, ρ=0.158. Min-variance weights: BTC-USD=0.000, EMB=1.000. | Assets: BTC-USD, EMB
BTC-USD: annualized_mean_return=-0.6300, daily_std=0.0410
EMB: annualized_mean_return=0.2016, daily_std=0.0039
Minimum required portfolio return (annualized): 0.1946
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_EMB) that minimize portfolio variance while satisfying the minimum r... | w_BTC-USD=0.0000, w_EMB=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000015 - 0.000025) / (0.001684 + 0.000015 - 0.000050)
Unconstrained: w_BTC-USD=-0.0061
After long-only clamp: w_BTC-USD=0.0000, w_EMB=1.0000. | {
"weights": {
"BTC-USD": 0,
"EMB": 1
},
"sigma_1": 0.04104,
"sigma_2": 0.0038669999999999998,
"covariance": 0.000024999999999999998,
"correlation": 0.1578,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.19460000000000002,
"constraint_binding": false
} |
T4_all_20160125_0551 | T4 | 2 | train | sideways | all | [
"XLI",
"DBC"
] | 2016-01-25T00:00:00 | XLI σ=0.0101, DBC σ=0.0111, ρ=0.061. Min-variance weights: XLI=0.550, DBC=0.450. | Assets: XLI, DBC
XLI: annualized_mean_return=-0.4536, daily_std=0.0101
DBC: annualized_mean_return=-0.7812, daily_std=0.0111
Minimum required portfolio return (annualized): -0.6153
Market regime: sideways
Compute portfolio weights (w_XLI, w_DBC) that minimize portfolio variance while satisfying the minimum return cons... | w_XLI=0.5497, w_DBC=0.4503 | 0.5497 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000123 - 0.000007) / (0.000102 + 0.000123 - 0.000014)
Unconstrained: w_XLI=0.5496
After long-only clamp: w_XLI=0.5496, w_DBC=0.4504. | {
"weights": {
"XLI": 0.5497000000000001,
"DBC": 0.45030000000000003
},
"sigma_1": 0.010081999999999999,
"sigma_2": 0.011068999999999999,
"covariance": 0.000007,
"correlation": 0.0613,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.6153000000000001,
"constraint_binding": false
} |
T4_all_20210107_0554 | T4 | 2 | train | sideways | all | [
"^VIX",
"JNK"
] | 2021-01-07T00:00:00 | ^VIX σ=0.0642, JNK σ=0.0032, ρ=-0.377. Min-variance weights: ^VIX=0.021, JNK=0.979. | Assets: ^VIX, JNK
^VIX: annualized_mean_return=0.0252, daily_std=0.0642
JNK: annualized_mean_return=0.1764, daily_std=0.0032
Minimum required portfolio return (annualized): 0.1753
Market regime: sideways
Compute portfolio weights (w_^VIX, w_JNK) that minimize portfolio variance while satisfying the minimum return cons... | w_^VIX=0.0073, w_JNK=0.9927 | 0.0073 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000010 - -0.000078) / (0.004125 + 0.000010 - -0.000157)
Unconstrained: w_^VIX=0.0207
After long-only clamp: w_^VIX=0.0207, w_JNK=0.9793. | {
"weights": {
"^VIX": 0.0073,
"JNK": 0.9927
},
"sigma_1": 0.06422599999999999,
"sigma_2": 0.003238,
"covariance": -0.000078,
"correlation": -0.3766,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.1753,
"constraint_binding": true
} |
T4_all_20180109_0559 | T4 | 2 | train | sideways | all | [
"VEA",
"TLT"
] | 2018-01-09T00:00:00 | VEA σ=0.0041, TLT σ=0.0061, ρ=-0.238. Min-variance weights: VEA=0.656, TLT=0.344. | Assets: VEA, TLT
VEA: annualized_mean_return=0.2520, daily_std=0.0041
TLT: annualized_mean_return=0.0504, daily_std=0.0061
Minimum required portfolio return (annualized): 0.1481
Market regime: sideways
Compute portfolio weights (w_VEA, w_TLT) that minimize portfolio variance while satisfying the minimum return constra... | w_VEA=0.6561, w_TLT=0.3439 | 0.6561 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000038 - -0.000006) / (0.000017 + 0.000038 - -0.000012)
Unconstrained: w_VEA=0.6561
After long-only clamp: w_VEA=0.6561, w_TLT=0.3439. | {
"weights": {
"VEA": 0.6561,
"TLT": 0.34390000000000004
},
"sigma_1": 0.004103,
"sigma_2": 0.006129,
"covariance": -0.000006,
"correlation": -0.23850000000000002,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.1481,
"constraint_binding": false
} |
T4_all_20191011_0568 | T4 | 2 | train | sideways | all | [
"EEM",
"SCHP"
] | 2019-10-11T00:00:00 | EEM σ=0.0102, SCHP σ=0.0030, ρ=-0.053. Min-variance weights: EEM=0.092, SCHP=0.908. | Assets: EEM, SCHP
EEM: annualized_mean_return=-0.1512, daily_std=0.0102
SCHP: annualized_mean_return=0.0000, daily_std=0.0030
Minimum required portfolio return (annualized): -0.0103
Market regime: sideways
Compute portfolio weights (w_EEM, w_SCHP) that minimize portfolio variance while satisfying the minimum return co... | w_EEM=0.0681, w_SCHP=0.9319 | 0.0681 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000009 - -0.000002) / (0.000103 + 0.000009 - -0.000003)
Unconstrained: w_EEM=0.0922
After long-only clamp: w_EEM=0.0922, w_SCHP=0.9078. | {
"weights": {
"EEM": 0.06810000000000001,
"SCHP": 0.9319000000000001
},
"sigma_1": 0.010157,
"sigma_2": 0.003003,
"covariance": -0.000002,
"correlation": -0.0534,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.0103,
"constraint_binding": true
} |
T4_all_20191010_0571 | T4 | 2 | train | sideways | all | [
"XLY",
"XHB"
] | 2019-10-10T00:00:00 | XLY σ=0.0111, XHB σ=0.0109, ρ=0.844. Min-variance weights: XLY=0.447, XHB=0.553. | Assets: XLY, XHB
XLY: annualized_mean_return=-0.2016, daily_std=0.0111
XHB: annualized_mean_return=0.0504, daily_std=0.0109
Minimum required portfolio return (annualized): -0.0983
Market regime: sideways
Compute portfolio weights (w_XLY, w_XHB) that minimize portfolio variance while satisfying the minimum return const... | w_XLY=0.4463, w_XHB=0.5537 | 0.4463 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000120 - 0.000103) / (0.000124 + 0.000120 - 0.000206)
Unconstrained: w_XLY=0.4467
After long-only clamp: w_XLY=0.4467, w_XHB=0.5533. | {
"weights": {
"XLY": 0.44630000000000003,
"XHB": 0.5537000000000001
},
"sigma_1": 0.011132999999999999,
"sigma_2": 0.010948999999999999,
"covariance": 0.000103,
"correlation": 0.8442000000000001,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.0983,
"constraint_binding": false
} |
T4_all_20220720_0578 | T4 | 2 | train | sideways | all | [
"MATIC-USD",
"QQQ"
] | 2022-07-20T00:00:00 | MATIC-USD σ=0.0783, QQQ σ=0.0225, ρ=-0.230. Min-variance weights: MATIC-USD=0.123, QQQ=0.877. | Assets: MATIC-USD, QQQ
MATIC-USD: annualized_mean_return=2.3184, daily_std=0.0783
QQQ: annualized_mean_return=-0.3276, daily_std=0.0225
Minimum required portfolio return (annualized): 1.2625
Market regime: sideways
Compute portfolio weights (w_MATIC-USD, w_QQQ) that minimize portfolio variance while satisfying the min... | w_MATIC-USD=0.6009, w_QQQ=0.3991 | 0.6009 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000508 - -0.000406) / (0.006131 + 0.000508 - -0.000812)
Unconstrained: w_MATIC-USD=0.1227
After long-only clamp: w_MATIC-USD=0.1227, w_QQQ=0.8773. | {
"weights": {
"MATIC-USD": 0.6009,
"QQQ": 0.3991
},
"sigma_1": 0.078302,
"sigma_2": 0.022548,
"covariance": -0.000406,
"correlation": -0.2301,
"has_text": true,
"text_chars": 20,
"mu_floor": 1.2625,
"constraint_binding": true
} |
T4_all_20210728_0581 | T4 | 2 | train | sideways | all | [
"EWJ",
"BIL"
] | 2021-07-28T00:00:00 | EWJ σ=0.0097, BIL σ=0.0001, ρ=-0.150. Min-variance weights: EWJ=0.001, BIL=0.999. | Assets: EWJ, BIL
EWJ: annualized_mean_return=0.0252, daily_std=0.0097
BIL: annualized_mean_return=-0.0000, daily_std=0.0001
Minimum required portfolio return (annualized): -0.0000
Market regime: sideways
Compute portfolio weights (w_EWJ, w_BIL) that minimize portfolio variance while satisfying the minimum return const... | w_EWJ=0.0001, w_BIL=0.9999 | 0.0001 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - -0.000000) / (0.000095 + 0.000000 - -0.000000)
Unconstrained: w_EWJ=0.0014
After long-only clamp: w_EWJ=0.0014, w_BIL=0.9986. | {
"weights": {
"EWJ": 0.0001,
"BIL": 0.9999
},
"sigma_1": 0.009726,
"sigma_2": 0.00008499999999999999,
"covariance": 0,
"correlation": -0.1497,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0,
"constraint_binding": false
} |
T4_all_20160623_0584 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"ITB"
] | 2016-06-23T00:00:00 | BTC-USD σ=0.0354, ITB σ=0.0108, ρ=0.101. Min-variance weights: BTC-USD=0.060, ITB=0.940. | Assets: BTC-USD, ITB
BTC-USD: annualized_mean_return=1.3356, daily_std=0.0354
ITB: annualized_mean_return=0.0504, daily_std=0.0108
Minimum required portfolio return (annualized): 0.5181
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_ITB) that minimize portfolio variance while satisfying the minimum re... | w_BTC-USD=0.3639, w_ITB=0.6361 | 0.3639 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000117 - 0.000039) / (0.001256 + 0.000117 - 0.000078)
Unconstrained: w_BTC-USD=0.0604
After long-only clamp: w_BTC-USD=0.0604, w_ITB=0.9396. | {
"weights": {
"BTC-USD": 0.3639,
"ITB": 0.6361
},
"sigma_1": 0.035439,
"sigma_2": 0.010825,
"covariance": 0.000039,
"correlation": 0.1014,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.5181,
"constraint_binding": true
} |
T4_all_20210929_0588 | T4 | 2 | train | sideways | all | [
"MATIC-USD",
"ACWI"
] | 2021-09-29T00:00:00 | MATIC-USD σ=0.0701, ACWI σ=0.0069, ρ=-0.038. Min-variance weights: MATIC-USD=0.013, ACWI=0.987. | Assets: MATIC-USD, ACWI
MATIC-USD: annualized_mean_return=0.5292, daily_std=0.0701
ACWI: annualized_mean_return=-0.0504, daily_std=0.0069
Minimum required portfolio return (annualized): 0.2442
Market regime: sideways
Compute portfolio weights (w_MATIC-USD, w_ACWI) that minimize portfolio variance while satisfying the ... | w_MATIC-USD=0.5083, w_ACWI=0.4917 | 0.5083 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000047 - -0.000018) / (0.004915 + 0.000047 - -0.000037)
Unconstrained: w_MATIC-USD=0.0131
After long-only clamp: w_MATIC-USD=0.0131, w_ACWI=0.9869. | {
"weights": {
"MATIC-USD": 0.5083,
"ACWI": 0.4917
},
"sigma_1": 0.07010899999999999,
"sigma_2": 0.0068639999999999994,
"covariance": -0.000018,
"correlation": -0.038,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.2442,
"constraint_binding": true
} |
T4_all_20220204_0591 | T4 | 2 | train | sideways | all | [
"XLK",
"AVAX-USD"
] | 2022-02-04T00:00:00 | XLK σ=0.0160, AVAX-USD σ=0.0634, ρ=-0.191. Min-variance weights: XLK=0.904, AVAX-USD=0.096. | Assets: XLK, AVAX-USD
XLK: annualized_mean_return=-0.2520, daily_std=0.0160
AVAX-USD: annualized_mean_return=-0.4536, daily_std=0.0634
Minimum required portfolio return (annualized): -0.3368
Market regime: sideways
Compute portfolio weights (w_XLK, w_AVAX-USD) that minimize portfolio variance while satisfying the mini... | w_XLK=0.9040, w_AVAX-USD=0.0960 | 0.904 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.004024 - -0.000193) / (0.000255 + 0.004024 - -0.000386)
Unconstrained: w_XLK=0.9040
After long-only clamp: w_XLK=0.9040, w_AVAX-USD=0.0960. | {
"weights": {
"XLK": 0.904,
"AVAX-USD": 0.096
},
"sigma_1": 0.015957,
"sigma_2": 0.06343499999999999,
"covariance": -0.000193,
"correlation": -0.19090000000000001,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.33680000000000004,
"constraint_binding": false
} |
T4_all_20200409_0596 | T4 | 2 | train | sideways | all | [
"ADA-USD",
"MTUM"
] | 2020-04-09T00:00:00 | ADA-USD σ=0.0648, MTUM σ=0.0220, ρ=-0.043. Min-variance weights: ADA-USD=0.114, MTUM=0.886. | Assets: ADA-USD, MTUM
ADA-USD: annualized_mean_return=-0.2772, daily_std=0.0648
MTUM: annualized_mean_return=-0.6552, daily_std=0.0220
Minimum required portfolio return (annualized): -0.5204
Market regime: sideways
Compute portfolio weights (w_ADA-USD, w_MTUM) that minimize portfolio variance while satisfying the mini... | w_ADA-USD=0.3566, w_MTUM=0.6434 | 0.3566 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000485 - -0.000062) / (0.004193 + 0.000485 - -0.000124)
Unconstrained: w_ADA-USD=0.1139
After long-only clamp: w_ADA-USD=0.1139, w_MTUM=0.8861. | {
"weights": {
"ADA-USD": 0.35660000000000003,
"MTUM": 0.6434000000000001
},
"sigma_1": 0.064756,
"sigma_2": 0.022026999999999998,
"covariance": -0.000062,
"correlation": -0.0434,
"has_text": false,
"text_chars": 0,
"mu_floor": -0.5204,
"constraint_binding": true
} |
T4_all_20220921_0599 | T4 | 2 | train | sideways | all | [
"XRP-USD",
"HAUZ"
] | 2022-09-21T00:00:00 | XRP-USD σ=0.0342, HAUZ σ=0.0109, ρ=-0.077. Min-variance weights: XRP-USD=0.109, HAUZ=0.891. | Assets: XRP-USD, HAUZ
XRP-USD: annualized_mean_return=0.7560, daily_std=0.0342
HAUZ: annualized_mean_return=-0.2520, daily_std=0.0109
Minimum required portfolio return (annualized): -0.2079
Market regime: sideways
Compute portfolio weights (w_XRP-USD, w_HAUZ) that minimize portfolio variance while satisfying the minim... | w_XRP-USD=0.1091, w_HAUZ=0.8909 | 0.1091 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000118 - -0.000029) / (0.001171 + 0.000118 - -0.000057)
Unconstrained: w_XRP-USD=0.1089
After long-only clamp: w_XRP-USD=0.1089, w_HAUZ=0.8911. | {
"weights": {
"XRP-USD": 0.1091,
"HAUZ": 0.8909
},
"sigma_1": 0.034217,
"sigma_2": 0.010858,
"covariance": -0.000029,
"correlation": -0.077,
"has_text": true,
"text_chars": 20,
"mu_floor": -0.2079,
"constraint_binding": false
} |
T4_all_20160920_0602 | T4 | 2 | train | sideways | all | [
"QUAL",
"SCHH"
] | 2016-09-20T00:00:00 | QUAL σ=0.0079, SCHH σ=0.0094, ρ=0.639. Min-variance weights: QUAL=0.737, SCHH=0.263. | Assets: QUAL, SCHH
QUAL: annualized_mean_return=0.0504, daily_std=0.0079
SCHH: annualized_mean_return=0.0756, daily_std=0.0094
Minimum required portfolio return (annualized): 0.0710
Market regime: sideways
Compute portfolio weights (w_QUAL, w_SCHH) that minimize portfolio variance while satisfying the minimum return c... | w_QUAL=0.1825, w_SCHH=0.8175 | 0.1825 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000089 - 0.000048) / (0.000062 + 0.000089 - 0.000095)
Unconstrained: w_QUAL=0.7371
After long-only clamp: w_QUAL=0.7371, w_SCHH=0.2629. | {
"weights": {
"QUAL": 0.1825,
"SCHH": 0.8175
},
"sigma_1": 0.007897,
"sigma_2": 0.009432,
"covariance": 0.000048,
"correlation": 0.6392,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.07100000000000001,
"constraint_binding": true
} |
T4_all_20190813_0605 | T4 | 2 | train | sideways | all | [
"FXI",
"ICSH"
] | 2019-08-13T00:00:00 | FXI σ=0.0109, ICSH σ=0.0003, ρ=-0.273. Min-variance weights: FXI=0.008, ICSH=0.992. | Assets: FXI, ICSH
FXI: annualized_mean_return=-0.3276, daily_std=0.0109
ICSH: annualized_mean_return=0.0252, daily_std=0.0003
Minimum required portfolio return (annualized): -0.1446
Market regime: sideways
Compute portfolio weights (w_FXI, w_ICSH) that minimize portfolio variance while satisfying the minimum return co... | w_FXI=0.0088, w_ICSH=0.9912 | 0.0088 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - -0.000001) / (0.000120 + 0.000000 - -0.000002)
Unconstrained: w_FXI=0.0076
After long-only clamp: w_FXI=0.0076, w_ICSH=0.9924. | {
"weights": {
"FXI": 0.0088,
"ICSH": 0.9912000000000001
},
"sigma_1": 0.010947,
"sigma_2": 0.00028000000000000003,
"covariance": -0.000001,
"correlation": -0.2735,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.1446,
"constraint_binding": false
} |
T4_all_20170110_0612 | T4 | 2 | train | sideways | all | [
"MTUM",
"TLH"
] | 2017-01-10T00:00:00 | MTUM σ=0.0066, TLH σ=0.0045, ρ=-0.332. Min-variance weights: MTUM=0.360, TLH=0.639. | Assets: MTUM, TLH
MTUM: annualized_mean_return=0.0756, daily_std=0.0066
TLH: annualized_mean_return=-0.1764, daily_std=0.0045
Minimum required portfolio return (annualized): 0.0384
Market regime: sideways
Compute portfolio weights (w_MTUM, w_TLH) that minimize portfolio variance while satisfying the minimum return con... | w_MTUM=0.8524, w_TLH=0.1476 | 0.8524 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000020 - -0.000010) / (0.000044 + 0.000020 - -0.000020)
Unconstrained: w_MTUM=0.3605
After long-only clamp: w_MTUM=0.3605, w_TLH=0.6395. | {
"weights": {
"MTUM": 0.8524,
"TLH": 0.1476
},
"sigma_1": 0.0066159999999999995,
"sigma_2": 0.004510999999999999,
"covariance": -0.00001,
"correlation": -0.33180000000000004,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.038400000000000004,
"constraint_binding": true
} |
T4_all_20150827_0615 | T4 | 2 | train | sideways | all | [
"XLK",
"IGOV"
] | 2015-08-27T00:00:00 | XLK σ=0.0124, IGOV σ=0.0058, ρ=-0.431. Min-variance weights: XLK=0.259, IGOV=0.741. | Assets: XLK, IGOV
XLK: annualized_mean_return=-0.4284, daily_std=0.0124
IGOV: annualized_mean_return=0.0756, daily_std=0.0058
Minimum required portfolio return (annualized): -0.1194
Market regime: sideways
Compute portfolio weights (w_XLK, w_IGOV) that minimize portfolio variance while satisfying the minimum return co... | w_XLK=0.2596, w_IGOV=0.7404 | 0.2596 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000033 - -0.000031) / (0.000153 + 0.000033 - -0.000062)
Unconstrained: w_XLK=0.2591
After long-only clamp: w_XLK=0.2591, w_IGOV=0.7409. | {
"weights": {
"XLK": 0.2596,
"IGOV": 0.7404000000000001
},
"sigma_1": 0.012353,
"sigma_2": 0.005776,
"covariance": -0.000031,
"correlation": -0.43110000000000004,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.1194,
"constraint_binding": false
} |
T4_all_20201111_0618 | T4 | 2 | train | sideways | all | [
"BNB-USD",
"FXI"
] | 2020-11-11T00:00:00 | BNB-USD σ=0.0425, FXI σ=0.0125, ρ=-0.017. Min-variance weights: BNB-USD=0.084, FXI=0.916. | Assets: BNB-USD, FXI
BNB-USD: annualized_mean_return=0.6552, daily_std=0.0425
FXI: annualized_mean_return=0.3024, daily_std=0.0125
Minimum required portfolio return (annualized): 0.3974
Market regime: sideways
Compute portfolio weights (w_BNB-USD, w_FXI) that minimize portfolio variance while satisfying the minimum re... | w_BNB-USD=0.2693, w_FXI=0.7307 | 0.2693 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000157 - -0.000009) / (0.001802 + 0.000157 - -0.000018)
Unconstrained: w_BNB-USD=0.0841
After long-only clamp: w_BNB-USD=0.0841, w_FXI=0.9159. | {
"weights": {
"BNB-USD": 0.26930000000000004,
"FXI": 0.7307
},
"sigma_1": 0.042454,
"sigma_2": 0.012546,
"covariance": -0.000009,
"correlation": -0.0167,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.39740000000000003,
"constraint_binding": true
} |
T4_all_20210908_0621 | T4 | 2 | train | sideways | all | [
"ETH-USD",
"IEF"
] | 2021-09-08T00:00:00 | ETH-USD σ=0.0437, IEF σ=0.0031, ρ=0.339. Min-variance weights: ETH-USD=0.000, IEF=1.000. | Assets: ETH-USD, IEF
ETH-USD: annualized_mean_return=2.2176, daily_std=0.0437
IEF: annualized_mean_return=0.1008, daily_std=0.0031
Minimum required portfolio return (annualized): 0.1008
Market regime: sideways
Compute portfolio weights (w_ETH-USD, w_IEF) that minimize portfolio variance while satisfying the minimum re... | w_ETH-USD=0.0000, w_IEF=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000009 - 0.000045) / (0.001906 + 0.000009 - 0.000091)
Unconstrained: w_ETH-USD=-0.0197
After long-only clamp: w_ETH-USD=0.0000, w_IEF=1.0000. | {
"weights": {
"ETH-USD": 0,
"IEF": 1
},
"sigma_1": 0.043663,
"sigma_2": 0.003061,
"covariance": 0.000044999999999999996,
"correlation": 0.33890000000000003,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.1008,
"constraint_binding": false
} |
T4_all_20220811_0624 | T4 | 2 | train | sideways | all | [
"MATIC-USD",
"TLH"
] | 2022-08-11T00:00:00 | MATIC-USD σ=0.0794, TLH σ=0.0097, ρ=0.019. Min-variance weights: MATIC-USD=0.013, TLH=0.988. | Assets: MATIC-USD, TLH
MATIC-USD: annualized_mean_return=3.0996, daily_std=0.0794
TLH: annualized_mean_return=0.1008, daily_std=0.0097
Minimum required portfolio return (annualized): 1.7382
Market regime: sideways
Compute portfolio weights (w_MATIC-USD, w_TLH) that minimize portfolio variance while satisfying the mini... | w_MATIC-USD=0.5460, w_TLH=0.4540 | 0.546 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000095 - 0.000015) / (0.006301 + 0.000095 - 0.000030)
Unconstrained: w_MATIC-USD=0.0125
After long-only clamp: w_MATIC-USD=0.0125, w_TLH=0.9875. | {
"weights": {
"MATIC-USD": 0.546,
"TLH": 0.454
},
"sigma_1": 0.07938,
"sigma_2": 0.00974,
"covariance": 0.000014999999999999999,
"correlation": 0.0195,
"has_text": true,
"text_chars": 20,
"mu_floor": 1.7382,
"constraint_binding": true
} |
T4_all_20190614_0627 | T4 | 2 | train | sideways | all | [
"^VIX",
"BIL"
] | 2019-06-14T00:00:00 | ^VIX σ=0.0806, BIL σ=0.0001, ρ=0.206. Min-variance weights: ^VIX=0.000, BIL=1.000. | Assets: ^VIX, BIL
^VIX: annualized_mean_return=0.6552, daily_std=0.0806
BIL: annualized_mean_return=0.0252, daily_std=0.0001
Minimum required portfolio return (annualized): 0.0252
Market regime: sideways
Compute portfolio weights (w_^VIX, w_BIL) that minimize portfolio variance while satisfying the minimum return cons... | w_^VIX=0.0000, w_BIL=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000002) / (0.006504 + 0.000000 - 0.000004)
Unconstrained: w_^VIX=-0.0003
After long-only clamp: w_^VIX=0.0000, w_BIL=1.0000. | {
"weights": {
"^VIX": 0,
"BIL": 1
},
"sigma_1": 0.080645,
"sigma_2": 0.00011499999999999999,
"covariance": 0.000002,
"correlation": 0.2056,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0252,
"constraint_binding": false
} |
T4_all_20160509_0630 | T4 | 2 | train | sideways | all | [
"MTUM",
"PALL"
] | 2016-05-09T00:00:00 | MTUM σ=0.0076, PALL σ=0.0178, ρ=-0.102. Min-variance weights: MTUM=0.823, PALL=0.177. | Assets: MTUM, PALL
MTUM: annualized_mean_return=0.4536, daily_std=0.0076
PALL: annualized_mean_return=0.6804, daily_std=0.0178
Minimum required portfolio return (annualized): 0.6305
Market regime: sideways
Compute portfolio weights (w_MTUM, w_PALL) that minimize portfolio variance while satisfying the minimum return c... | w_MTUM=0.2200, w_PALL=0.7800 | 0.22 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000318 - -0.000014) / (0.000058 + 0.000318 - -0.000028)
Unconstrained: w_MTUM=0.8228
After long-only clamp: w_MTUM=0.8228, w_PALL=0.1772. | {
"weights": {
"MTUM": 0.22,
"PALL": 0.78
},
"sigma_1": 0.007600999999999999,
"sigma_2": 0.017846,
"covariance": -0.000014,
"correlation": -0.10160000000000001,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.6305000000000001,
"constraint_binding": true
} |
T4_all_20191017_0635 | T4 | 2 | train | sideways | all | [
"EEM",
"TIP"
] | 2019-10-17T00:00:00 | EEM σ=0.0104, TIP σ=0.0010, ρ=-0.019. Min-variance weights: EEM=0.011, TIP=0.989. | Assets: EEM, TIP
EEM: annualized_mean_return=-0.0756, daily_std=0.0104
TIP: annualized_mean_return=0.0000, daily_std=0.0010
Minimum required portfolio return (annualized): -0.0283
Market regime: sideways
Compute portfolio weights (w_EEM, w_TIP) that minimize portfolio variance while satisfying the minimum return const... | w_EEM=0.0096, w_TIP=0.9904 | 0.0096 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000001 - -0.000000) / (0.000108 + 0.000001 - -0.000000)
Unconstrained: w_EEM=0.0114
After long-only clamp: w_EEM=0.0114, w_TIP=0.9886. | {
"weights": {
"EEM": 0.009600000000000001,
"TIP": 0.9904000000000001
},
"sigma_1": 0.010412,
"sigma_2": 0.001024,
"covariance": 0,
"correlation": -0.0189,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.028300000000000002,
"constraint_binding": false
} |
T4_all_20180130_0638 | T4 | 2 | train | sideways | all | [
"XLK",
"TLH"
] | 2018-01-30T00:00:00 | XLK σ=0.0071, TLH σ=0.0033, ρ=-0.281. Min-variance weights: XLK=0.232, TLH=0.768. | Assets: XLK, TLH
XLK: annualized_mean_return=0.3780, daily_std=0.0071
TLH: annualized_mean_return=-0.1008, daily_std=0.0033
Minimum required portfolio return (annualized): 0.1045
Market regime: sideways
Compute portfolio weights (w_XLK, w_TLH) that minimize portfolio variance while satisfying the minimum return constr... | w_XLK=0.4288, w_TLH=0.5712 | 0.4288 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000011 - -0.000007) / (0.000051 + 0.000011 - -0.000013)
Unconstrained: w_XLK=0.2318
After long-only clamp: w_XLK=0.2318, w_TLH=0.7682. | {
"weights": {
"XLK": 0.4288,
"TLH": 0.5712
},
"sigma_1": 0.0071319999999999995,
"sigma_2": 0.0032800000000000004,
"covariance": -0.000007,
"correlation": -0.281,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.10450000000000001,
"constraint_binding": true
} |
T4_all_20200520_0643 | T4 | 2 | train | sideways | all | [
"BNB-USD",
"VNQI"
] | 2020-05-20T00:00:00 | BNB-USD σ=0.0404, VNQI σ=0.0170, ρ=-0.343. Min-variance weights: BNB-USD=0.220, VNQI=0.780. | Assets: BNB-USD, VNQI
BNB-USD: annualized_mean_return=1.7640, daily_std=0.0404
VNQI: annualized_mean_return=-0.3024, daily_std=0.0170
Minimum required portfolio return (annualized): 0.1142
Market regime: sideways
Compute portfolio weights (w_BNB-USD, w_VNQI) that minimize portfolio variance while satisfying the minimu... | w_BNB-USD=0.2198, w_VNQI=0.7802 | 0.2198 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000291 - -0.000237) / (0.001635 + 0.000291 - -0.000473)
Unconstrained: w_BNB-USD=0.2198
After long-only clamp: w_BNB-USD=0.2198, w_VNQI=0.7802. | {
"weights": {
"BNB-USD": 0.21980000000000002,
"VNQI": 0.7802
},
"sigma_1": 0.040438999999999996,
"sigma_2": 0.017046,
"covariance": -0.000237,
"correlation": -0.34340000000000004,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.11420000000000001,
"constraint_binding": false
} |
T4_all_20190924_0647 | T4 | 2 | train | sideways | all | [
"QQQ",
"INDS"
] | 2019-09-24T00:00:00 | QQQ σ=0.0116, INDS σ=0.0089, ρ=0.699. Min-variance weights: QQQ=0.097, INDS=0.903. | Assets: QQQ, INDS
QQQ: annualized_mean_return=0.1008, daily_std=0.0116
INDS: annualized_mean_return=0.2268, daily_std=0.0089
Minimum required portfolio return (annualized): 0.2024
Market regime: sideways
Compute portfolio weights (w_QQQ, w_INDS) that minimize portfolio variance while satisfying the minimum return cons... | w_QQQ=0.0956, w_INDS=0.9044 | 0.0956 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000079 - 0.000072) / (0.000134 + 0.000079 - 0.000144)
Unconstrained: w_QQQ=0.0966
After long-only clamp: w_QQQ=0.0966, w_INDS=0.9034. | {
"weights": {
"QQQ": 0.0956,
"INDS": 0.9044000000000001
},
"sigma_1": 0.011597,
"sigma_2": 0.008865999999999999,
"covariance": 0.000072,
"correlation": 0.6995,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.2024,
"constraint_binding": false
} |
T4_all_20170111_0652 | T4 | 2 | train | sideways | all | [
"QQQ",
"DBC"
] | 2017-01-11T00:00:00 | QQQ σ=0.0075, DBC σ=0.0094, ρ=0.002. Min-variance weights: QQQ=0.610, DBC=0.390. | Assets: QQQ, DBC
QQQ: annualized_mean_return=0.2016, daily_std=0.0075
DBC: annualized_mean_return=0.0756, daily_std=0.0094
Minimum required portfolio return (annualized): 0.1743
Market regime: sideways
Compute portfolio weights (w_QQQ, w_DBC) that minimize portfolio variance while satisfying the minimum return constra... | w_QQQ=0.7833, w_DBC=0.2167 | 0.7833 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000089 - 0.000000) / (0.000057 + 0.000089 - 0.000000)
Unconstrained: w_QQQ=0.6100
After long-only clamp: w_QQQ=0.6100, w_DBC=0.3900. | {
"weights": {
"QQQ": 0.7833,
"DBC": 0.2167
},
"sigma_1": 0.007527,
"sigma_2": 0.00941,
"covariance": 0,
"correlation": 0.0024000000000000002,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.1743,
"constraint_binding": true
} |
T4_all_20180119_0655 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"IEF"
] | 2018-01-19T00:00:00 | BTC-USD σ=0.0628, IEF σ=0.0022, ρ=0.128. Min-variance weights: BTC-USD=0.000, IEF=1.000. | Assets: BTC-USD, IEF
BTC-USD: annualized_mean_return=1.2600, daily_std=0.0628
IEF: annualized_mean_return=-0.0252, daily_std=0.0022
Minimum required portfolio return (annualized): -0.0252
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_IEF) that minimize portfolio variance while satisfying the minimum ... | w_BTC-USD=0.0000, w_IEF=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000005 - 0.000017) / (0.003941 + 0.000005 - 0.000035)
Unconstrained: w_BTC-USD=-0.0032
After long-only clamp: w_BTC-USD=0.0000, w_IEF=1.0000. | {
"weights": {
"BTC-USD": 0,
"IEF": 1
},
"sigma_1": 0.062774,
"sigma_2": 0.002159,
"covariance": 0.000017,
"correlation": 0.12810000000000002,
"has_text": false,
"text_chars": 0,
"mu_floor": -0.0252,
"constraint_binding": false
} |
T4_all_20210715_0660 | T4 | 2 | train | sideways | all | [
"DOT-USD",
"BIL"
] | 2021-07-15T00:00:00 | DOT-USD σ=0.0863, BIL σ=0.0001, ρ=-0.174. Min-variance weights: DOT-USD=0.000, BIL=1.000. | Assets: DOT-USD, BIL
DOT-USD: annualized_mean_return=-2.5956, daily_std=0.0863
BIL: annualized_mean_return=0.0000, daily_std=0.0001
Minimum required portfolio return (annualized): -0.0002
Market regime: sideways
Compute portfolio weights (w_DOT-USD, w_BIL) that minimize portfolio variance while satisfying the minimum ... | w_DOT-USD=0.0001, w_BIL=0.9999 | 0.0001 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - -0.000001) / (0.007452 + 0.000000 - -0.000003)
Unconstrained: w_DOT-USD=0.0002
After long-only clamp: w_DOT-USD=0.0002, w_BIL=0.9998. | {
"weights": {
"DOT-USD": 0.0001,
"BIL": 0.9999
},
"sigma_1": 0.086326,
"sigma_2": 0.000083,
"covariance": -0.000001,
"correlation": -0.1741,
"has_text": false,
"text_chars": 0,
"mu_floor": -0.0002,
"constraint_binding": true
} |
T4_all_20181017_0663 | T4 | 2 | train | sideways | all | [
"ETH-USD",
"WEAT"
] | 2018-10-17T00:00:00 | ETH-USD σ=0.0522, WEAT σ=0.0150, ρ=0.164. Min-variance weights: ETH-USD=0.036, WEAT=0.964. | Assets: ETH-USD, WEAT
ETH-USD: annualized_mean_return=-1.2096, daily_std=0.0522
WEAT: annualized_mean_return=-0.0504, daily_std=0.0150
Minimum required portfolio return (annualized): -0.3232
Market regime: sideways
Compute portfolio weights (w_ETH-USD, w_WEAT) that minimize portfolio variance while satisfying the mini... | w_ETH-USD=0.0360, w_WEAT=0.9640 | 0.036 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000226 - 0.000129) / (0.002728 + 0.000226 - 0.000257)
Unconstrained: w_ETH-USD=0.0361
After long-only clamp: w_ETH-USD=0.0361, w_WEAT=0.9639. | {
"weights": {
"ETH-USD": 0.036000000000000004,
"WEAT": 0.964
},
"sigma_1": 0.052235,
"sigma_2": 0.015037,
"covariance": 0.000129,
"correlation": 0.16390000000000002,
"has_text": false,
"text_chars": 0,
"mu_floor": -0.32320000000000004,
"constraint_binding": false
} |
T4_all_20220328_0668 | T4 | 2 | train | sideways | all | [
"USMV",
"TLT"
] | 2022-03-28T00:00:00 | USMV σ=0.0098, TLT σ=0.0114, ρ=-0.119. Min-variance weights: USMV=0.567, TLT=0.433. | Assets: USMV, TLT
USMV: annualized_mean_return=-0.2268, daily_std=0.0098
TLT: annualized_mean_return=-0.5040, daily_std=0.0114
Minimum required portfolio return (annualized): -0.2751
Market regime: sideways
Compute portfolio weights (w_USMV, w_TLT) that minimize portfolio variance while satisfying the minimum return c... | w_USMV=0.8258, w_TLT=0.1742 | 0.8258 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000130 - -0.000013) / (0.000097 + 0.000130 - -0.000027)
Unconstrained: w_USMV=0.5668
After long-only clamp: w_USMV=0.5668, w_TLT=0.4332. | {
"weights": {
"USMV": 0.8258000000000001,
"TLT": 0.17420000000000002
},
"sigma_1": 0.009826999999999999,
"sigma_2": 0.011422999999999999,
"covariance": -0.000013,
"correlation": -0.1192,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.2751,
"constraint_binding": true
} |
T4_all_20210603_0671 | T4 | 2 | train | sideways | all | [
"BNB-USD",
"BNO"
] | 2021-06-03T00:00:00 | BNB-USD σ=0.0856, BNO σ=0.0214, ρ=-0.110. Min-variance weights: BNB-USD=0.080, BNO=0.920. | Assets: BNB-USD, BNO
BNB-USD: annualized_mean_return=2.5704, daily_std=0.0856
BNO: annualized_mean_return=0.2772, daily_std=0.0214
Minimum required portfolio return (annualized): 0.4397
Market regime: sideways
Compute portfolio weights (w_BNB-USD, w_BNO) that minimize portfolio variance while satisfying the minimum re... | w_BNB-USD=0.0803, w_BNO=0.9197 | 0.0803 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000457 - -0.000201) / (0.007332 + 0.000457 - -0.000401)
Unconstrained: w_BNB-USD=0.0803
After long-only clamp: w_BNB-USD=0.0803, w_BNO=0.9197. | {
"weights": {
"BNB-USD": 0.08030000000000001,
"BNO": 0.9197000000000001
},
"sigma_1": 0.085629,
"sigma_2": 0.021374999999999998,
"covariance": -0.00020099999999999998,
"correlation": -0.1095,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.43970000000000004,
"constraint_binding": false
} |
T4_all_20211103_0677 | T4 | 2 | train | sideways | all | [
"FXI",
"MORT"
] | 2021-11-03T00:00:00 | FXI σ=0.0162, MORT σ=0.0080, ρ=0.449. Min-variance weights: FXI=0.027, MORT=0.973. | Assets: FXI, MORT
FXI: annualized_mean_return=-0.1260, daily_std=0.0162
MORT: annualized_mean_return=0.2268, daily_std=0.0080
Minimum required portfolio return (annualized): 0.0397
Market regime: sideways
Compute portfolio weights (w_FXI, w_MORT) that minimize portfolio variance while satisfying the minimum return con... | w_FXI=0.0289, w_MORT=0.9711 | 0.0289 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000064 - 0.000058) / (0.000264 + 0.000064 - 0.000117)
Unconstrained: w_FXI=0.0270
After long-only clamp: w_FXI=0.0270, w_MORT=0.9730. | {
"weights": {
"FXI": 0.028900000000000002,
"MORT": 0.9711000000000001
},
"sigma_1": 0.016236,
"sigma_2": 0.008008,
"covariance": 0.000058,
"correlation": 0.4494,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0397,
"constraint_binding": false
} |
T4_all_20210720_0679 | T4 | 2 | train | sideways | all | [
"XLK",
"DBC"
] | 2021-07-20T00:00:00 | XLK σ=0.0102, DBC σ=0.0109, ρ=0.136. Min-variance weights: XLK=0.541, DBC=0.459. | Assets: XLK, DBC
XLK: annualized_mean_return=0.2268, daily_std=0.0102
DBC: annualized_mean_return=0.1260, daily_std=0.0109
Minimum required portfolio return (annualized): 0.1696
Market regime: sideways
Compute portfolio weights (w_XLK, w_DBC) that minimize portfolio variance while satisfying the minimum return constra... | w_XLK=0.5408, w_DBC=0.4592 | 0.5408 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000119 - 0.000015) / (0.000103 + 0.000119 - 0.000030)
Unconstrained: w_XLK=0.5409
After long-only clamp: w_XLK=0.5409, w_DBC=0.4591. | {
"weights": {
"XLK": 0.5408000000000001,
"DBC": 0.4592
},
"sigma_1": 0.010171,
"sigma_2": 0.010917,
"covariance": 0.000014999999999999999,
"correlation": 0.13620000000000002,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.1696,
"constraint_binding": false
} |
T4_all_20190718_0681 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"SCHP"
] | 2019-07-18T00:00:00 | BTC-USD σ=0.0531, SCHP σ=0.0024, ρ=0.095. Min-variance weights: BTC-USD=0.000, SCHP=1.000. | Assets: BTC-USD, SCHP
BTC-USD: annualized_mean_return=1.5624, daily_std=0.0531
SCHP: annualized_mean_return=0.1512, daily_std=0.0024
Minimum required portfolio return (annualized): 0.1512
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_SCHP) that minimize portfolio variance while satisfying the minimum... | w_BTC-USD=0.0000, w_SCHP=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000006 - 0.000012) / (0.002818 + 0.000006 - 0.000024)
Unconstrained: w_BTC-USD=-0.0023
After long-only clamp: w_BTC-USD=0.0000, w_SCHP=1.0000. | {
"weights": {
"BTC-USD": 0,
"SCHP": 1
},
"sigma_1": 0.053087999999999996,
"sigma_2": 0.002358,
"covariance": 0.000012,
"correlation": 0.0952,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.1512,
"constraint_binding": false
} |
T4_all_20210701_0683 | T4 | 2 | train | sideways | all | [
"ADA-USD",
"HAUZ"
] | 2021-07-01T00:00:00 | ADA-USD σ=0.0864, HAUZ σ=0.0074, ρ=0.250. Min-variance weights: ADA-USD=0.000, HAUZ=1.000. | Assets: ADA-USD, HAUZ
ADA-USD: annualized_mean_return=1.3860, daily_std=0.0864
HAUZ: annualized_mean_return=0.2268, daily_std=0.0074
Minimum required portfolio return (annualized): 0.2268
Market regime: sideways
Compute portfolio weights (w_ADA-USD, w_HAUZ) that minimize portfolio variance while satisfying the minimum... | w_ADA-USD=0.0000, w_HAUZ=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000055 - 0.000160) / (0.007470 + 0.000055 - 0.000320)
Unconstrained: w_ADA-USD=-0.0146
After long-only clamp: w_ADA-USD=0.0000, w_HAUZ=1.0000. | {
"weights": {
"ADA-USD": 0,
"HAUZ": 1
},
"sigma_1": 0.08642799999999999,
"sigma_2": 0.007401,
"covariance": 0.00016,
"correlation": 0.2503,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.2268,
"constraint_binding": false
} |
T4_all_20190122_0685 | T4 | 2 | train | sideways | all | [
"LINK-USD",
"IYR"
] | 2019-01-22T00:00:00 | LINK-USD σ=0.0818, IYR σ=0.0122, ρ=-0.109. Min-variance weights: LINK-USD=0.036, IYR=0.964. | Assets: LINK-USD, IYR
LINK-USD: annualized_mean_return=2.1420, daily_std=0.0818
IYR: annualized_mean_return=0.2016, daily_std=0.0122
Minimum required portfolio return (annualized): 0.2437
Market regime: sideways
Compute portfolio weights (w_LINK-USD, w_IYR) that minimize portfolio variance while satisfying the minimum... | w_LINK-USD=0.0364, w_IYR=0.9636 | 0.0364 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000148 - -0.000108) / (0.006686 + 0.000148 - -0.000216)
Unconstrained: w_LINK-USD=0.0364
After long-only clamp: w_LINK-USD=0.0364, w_IYR=0.9636. | {
"weights": {
"LINK-USD": 0.0364,
"IYR": 0.9636
},
"sigma_1": 0.08176599999999999,
"sigma_2": 0.012185,
"covariance": -0.000108,
"correlation": -0.1086,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.2437,
"constraint_binding": false
} |
T4_all_20210215_0687 | T4 | 2 | train | sideways | all | [
"XRP-USD",
"SOYB"
] | 2021-02-15T00:00:00 | XRP-USD σ=0.0991, SOYB σ=0.0118, ρ=-0.044. Min-variance weights: XRP-USD=0.019, SOYB=0.981. | Assets: XRP-USD, SOYB
XRP-USD: annualized_mean_return=2.1420, daily_std=0.0991
SOYB: annualized_mean_return=0.6048, daily_std=0.0118
Minimum required portfolio return (annualized): 0.6337
Market regime: sideways
Compute portfolio weights (w_XRP-USD, w_SOYB) that minimize portfolio variance while satisfying the minimum... | w_XRP-USD=0.0190, w_SOYB=0.9810 | 0.019 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000139 - -0.000052) / (0.009822 + 0.000139 - -0.000104)
Unconstrained: w_XRP-USD=0.0189
After long-only clamp: w_XRP-USD=0.0189, w_SOYB=0.9811. | {
"weights": {
"XRP-USD": 0.019,
"SOYB": 0.981
},
"sigma_1": 0.099106,
"sigma_2": 0.011779,
"covariance": -0.000052,
"correlation": -0.0444,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.6337,
"constraint_binding": false
} |
T4_all_20180801_0689 | T4 | 2 | train | sideways | all | [
"ADA-USD",
"DBA"
] | 2018-08-01T00:00:00 | ADA-USD σ=0.0519, DBA σ=0.0084, ρ=-0.080. Min-variance weights: ADA-USD=0.037, DBA=0.963. | Assets: ADA-USD, DBA
ADA-USD: annualized_mean_return=-1.5120, daily_std=0.0519
DBA: annualized_mean_return=-0.2268, daily_std=0.0084
Minimum required portfolio return (annualized): -0.9776
Market regime: sideways
Compute portfolio weights (w_ADA-USD, w_DBA) that minimize portfolio variance while satisfying the minimum... | w_ADA-USD=0.0375, w_DBA=0.9625 | 0.0375 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000071 - -0.000035) / (0.002690 + 0.000071 - -0.000070)
Unconstrained: w_ADA-USD=0.0375
After long-only clamp: w_ADA-USD=0.0375, w_DBA=0.9625. | {
"weights": {
"ADA-USD": 0.0375,
"DBA": 0.9625
},
"sigma_1": 0.051869,
"sigma_2": 0.008435,
"covariance": -0.000035,
"correlation": -0.07980000000000001,
"has_text": false,
"text_chars": 0,
"mu_floor": -0.9776,
"constraint_binding": false
} |
T4_all_20221021_0691 | T4 | 2 | train | sideways | all | [
"USMV",
"HAUZ"
] | 2022-10-21T00:00:00 | USMV σ=0.0116, HAUZ σ=0.0131, ρ=0.755. Min-variance weights: USMV=0.748, HAUZ=0.252. | Assets: USMV, HAUZ
USMV: annualized_mean_return=-0.2772, daily_std=0.0116
HAUZ: annualized_mean_return=-0.7056, daily_std=0.0131
Minimum required portfolio return (annualized): -0.4966
Market regime: sideways
Compute portfolio weights (w_USMV, w_HAUZ) that minimize portfolio variance while satisfying the minimum retur... | w_USMV=0.7461, w_HAUZ=0.2539 | 0.7461 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000171 - 0.000114) / (0.000134 + 0.000171 - 0.000229)
Unconstrained: w_USMV=0.7480
After long-only clamp: w_USMV=0.7480, w_HAUZ=0.2520. | {
"weights": {
"USMV": 0.7461,
"HAUZ": 0.2539
},
"sigma_1": 0.011556,
"sigma_2": 0.013092999999999999,
"covariance": 0.00011399999999999999,
"correlation": 0.7555000000000001,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.49660000000000004,
"constraint_binding": false
} |
T4_all_20170901_0694 | T4 | 2 | train | sideways | all | [
"VEA",
"XHB"
] | 2017-09-01T00:00:00 | VEA σ=0.0051, XHB σ=0.0076, ρ=0.591. Min-variance weights: VEA=0.925, XHB=0.075. | Assets: VEA, XHB
VEA: annualized_mean_return=0.1008, daily_std=0.0051
XHB: annualized_mean_return=0.0504, daily_std=0.0076
Minimum required portfolio return (annualized): 0.0988
Market regime: sideways
Compute portfolio weights (w_VEA, w_XHB) that minimize portfolio variance while satisfying the minimum return constra... | w_VEA=0.9603, w_XHB=0.0397 | 0.9603 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000058 - 0.000023) / (0.000026 + 0.000058 - 0.000046)
Unconstrained: w_VEA=0.9252
After long-only clamp: w_VEA=0.9252, w_XHB=0.0748. | {
"weights": {
"VEA": 0.9603,
"XHB": 0.0397
},
"sigma_1": 0.005075,
"sigma_2": 0.007633999999999999,
"covariance": 0.000023,
"correlation": 0.591,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0988,
"constraint_binding": true
} |
T4_all_20220623_0696 | T4 | 2 | train | sideways | all | [
"XRP-USD",
"BIL"
] | 2022-06-23T00:00:00 | XRP-USD σ=0.0507, BIL σ=0.0001, ρ=0.100. Min-variance weights: XRP-USD=0.000, BIL=1.000. | Assets: XRP-USD, BIL
XRP-USD: annualized_mean_return=-2.9484, daily_std=0.0507
BIL: annualized_mean_return=-0.0000, daily_std=0.0001
Minimum required portfolio return (annualized): -0.9996
Market regime: sideways
Compute portfolio weights (w_XRP-USD, w_BIL) that minimize portfolio variance while satisfying the minimum... | w_XRP-USD=0.0000, w_BIL=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000001) / (0.002575 + 0.000000 - 0.000001)
Unconstrained: w_XRP-USD=-0.0003
After long-only clamp: w_XRP-USD=0.0000, w_BIL=1.0000. | {
"weights": {
"XRP-USD": 0,
"BIL": 1
},
"sigma_1": 0.050740999999999994,
"sigma_2": 0.000144,
"covariance": 0.000001,
"correlation": 0.1005,
"has_text": true,
"text_chars": 20,
"mu_floor": -0.9996,
"constraint_binding": false
} |
T4_all_20200709_0698 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"BIL"
] | 2020-07-09T00:00:00 | BTC-USD σ=0.0274, BIL σ=0.0001, ρ=0.092. Min-variance weights: BTC-USD=0.000, BIL=1.000. | Assets: BTC-USD, BIL
BTC-USD: annualized_mean_return=0.0252, daily_std=0.0274
BIL: annualized_mean_return=-0.0000, daily_std=0.0001
Minimum required portfolio return (annualized): 0.0079
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_BIL) that minimize portfolio variance while satisfying the minimum r... | w_BTC-USD=0.3135, w_BIL=0.6865 | 0.3135 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000000) / (0.000751 + 0.000000 - 0.000001)
Unconstrained: w_BTC-USD=-0.0004
After long-only clamp: w_BTC-USD=0.0000, w_BIL=1.0000. | {
"weights": {
"BTC-USD": 0.3135,
"BIL": 0.6865
},
"sigma_1": 0.027406,
"sigma_2": 0.00011,
"covariance": 0,
"correlation": 0.092,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.0079,
"constraint_binding": true
} |
T4_all_20190801_0702 | T4 | 2 | train | sideways | all | [
"XLF",
"BIL"
] | 2019-08-01T00:00:00 | XLF σ=0.0089, BIL σ=0.0001, ρ=-0.225. Min-variance weights: XLF=0.003, BIL=0.997. | Assets: XLF, BIL
XLF: annualized_mean_return=0.0756, daily_std=0.0089
BIL: annualized_mean_return=0.0252, daily_std=0.0001
Minimum required portfolio return (annualized): 0.0527
Market regime: sideways
Compute portfolio weights (w_XLF, w_BIL) that minimize portfolio variance while satisfying the minimum return constra... | w_XLF=0.5456, w_BIL=0.4544 | 0.5456 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - -0.000000) / (0.000080 + 0.000000 - -0.000001)
Unconstrained: w_XLF=0.0034
After long-only clamp: w_XLF=0.0034, w_BIL=0.9966. | {
"weights": {
"XLF": 0.5456,
"BIL": 0.4544
},
"sigma_1": 0.008945999999999999,
"sigma_2": 0.000129,
"covariance": 0,
"correlation": -0.2248,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.052700000000000004,
"constraint_binding": true
} |
T4_all_20201211_0706 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"ICSH"
] | 2020-12-11T00:00:00 | BTC-USD σ=0.0309, ICSH σ=0.0002, ρ=-0.040. Min-variance weights: BTC-USD=0.000, ICSH=1.000. | Assets: BTC-USD, ICSH
BTC-USD: annualized_mean_return=2.1168, daily_std=0.0309
ICSH: annualized_mean_return=-0.0000, daily_std=0.0002
Minimum required portfolio return (annualized): 0.9743
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_ICSH) that minimize portfolio variance while satisfying the minimu... | w_BTC-USD=0.4603, w_ICSH=0.5397 | 0.4603 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - -0.000000) / (0.000952 + 0.000000 - -0.000000)
Unconstrained: w_BTC-USD=0.0003
After long-only clamp: w_BTC-USD=0.0003, w_ICSH=0.9997. | {
"weights": {
"BTC-USD": 0.46030000000000004,
"ICSH": 0.5397000000000001
},
"sigma_1": 0.030861999999999997,
"sigma_2": 0.0002,
"covariance": 0,
"correlation": -0.0402,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.9743,
"constraint_binding": true
} |
T4_all_20170403_0708 | T4 | 2 | train | sideways | all | [
"VTI",
"ICSH"
] | 2017-04-03T00:00:00 | VTI σ=0.0044, ICSH σ=0.0011, ρ=-0.032. Min-variance weights: VTI=0.062, ICSH=0.938. | Assets: VTI, ICSH
VTI: annualized_mean_return=0.1764, daily_std=0.0044
ICSH: annualized_mean_return=0.0252, daily_std=0.0011
Minimum required portfolio return (annualized): 0.1414
Market regime: sideways
Compute portfolio weights (w_VTI, w_ICSH) that minimize portfolio variance while satisfying the minimum return cons... | w_VTI=0.7685, w_ICSH=0.2315 | 0.7685 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000001 - -0.000000) / (0.000019 + 0.000001 - -0.000000)
Unconstrained: w_VTI=0.0620
After long-only clamp: w_VTI=0.0620, w_ICSH=0.9380. | {
"weights": {
"VTI": 0.7685000000000001,
"ICSH": 0.2315
},
"sigma_1": 0.004406,
"sigma_2": 0.0010689999999999999,
"covariance": 0,
"correlation": -0.0322,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.1414,
"constraint_binding": true
} |
T4_all_20160624_0710 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"MORT"
] | 2016-06-24T00:00:00 | BTC-USD σ=0.0358, MORT σ=0.0077, ρ=0.032. Min-variance weights: BTC-USD=0.038, MORT=0.962. | Assets: BTC-USD, MORT
BTC-USD: annualized_mean_return=1.4364, daily_std=0.0358
MORT: annualized_mean_return=0.2520, daily_std=0.0077
Minimum required portfolio return (annualized): 1.0552
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_MORT) that minimize portfolio variance while satisfying the minimum... | w_BTC-USD=0.6781, w_MORT=0.3219 | 0.6781 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000059 - 0.000009) / (0.001282 + 0.000059 - 0.000017)
Unconstrained: w_BTC-USD=0.0379
After long-only clamp: w_BTC-USD=0.0379, w_MORT=0.9621. | {
"weights": {
"BTC-USD": 0.6781,
"MORT": 0.3219
},
"sigma_1": 0.035797999999999996,
"sigma_2": 0.007664,
"covariance": 0.000009,
"correlation": 0.0315,
"has_text": false,
"text_chars": 0,
"mu_floor": 1.0552,
"constraint_binding": true
} |
T4_all_20191218_0712 | T4 | 2 | train | sideways | all | [
"XRP-USD",
"BIL"
] | 2019-12-18T00:00:00 | XRP-USD σ=0.0277, BIL σ=0.0001, ρ=-0.002. Min-variance weights: XRP-USD=0.000, BIL=1.000. | Assets: XRP-USD, BIL
XRP-USD: annualized_mean_return=-1.8900, daily_std=0.0277
BIL: annualized_mean_return=0.0000, daily_std=0.0001
Minimum required portfolio return (annualized): 0.0000
Market regime: sideways
Compute portfolio weights (w_XRP-USD, w_BIL) that minimize portfolio variance while satisfying the minimum r... | w_XRP-USD=-0.0000, w_BIL=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - -0.000000) / (0.000769 + 0.000000 - -0.000000)
Unconstrained: w_XRP-USD=0.0000
After long-only clamp: w_XRP-USD=0.0000, w_BIL=1.0000. | {
"weights": {
"XRP-USD": 0,
"BIL": 1
},
"sigma_1": 0.027729,
"sigma_2": 0.00011399999999999999,
"covariance": 0,
"correlation": -0.0015,
"has_text": false,
"text_chars": 0,
"mu_floor": 0,
"constraint_binding": true
} |
T4_all_20220607_0715 | T4 | 2 | train | sideways | all | [
"MATIC-USD",
"SCHP"
] | 2022-06-07T00:00:00 | MATIC-USD σ=0.0626, SCHP σ=0.0053, ρ=0.147. Min-variance weights: MATIC-USD=0.000, SCHP=1.000. | Assets: MATIC-USD, SCHP
MATIC-USD: annualized_mean_return=-2.9232, daily_std=0.0626
SCHP: annualized_mean_return=-0.2520, daily_std=0.0053
Minimum required portfolio return (annualized): -1.2072
Market regime: sideways
Compute portfolio weights (w_MATIC-USD, w_SCHP) that minimize portfolio variance while satisfying th... | w_MATIC-USD=0.0000, w_SCHP=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000028 - 0.000049) / (0.003916 + 0.000028 - 0.000097)
Unconstrained: w_MATIC-USD=-0.0054
After long-only clamp: w_MATIC-USD=0.0000, w_SCHP=1.0000. | {
"weights": {
"MATIC-USD": 0,
"SCHP": 1
},
"sigma_1": 0.062577,
"sigma_2": 0.005268999999999999,
"covariance": 0.000049,
"correlation": 0.14730000000000001,
"has_text": true,
"text_chars": 20,
"mu_floor": -1.2072,
"constraint_binding": false
} |
T4_all_20221122_0717 | T4 | 2 | train | sideways | all | [
"EFA",
"SHV"
] | 2022-11-22T00:00:00 | EFA σ=0.0139, SHV σ=0.0002, ρ=0.246. Min-variance weights: EFA=0.000, SHV=1.000. | Assets: EFA, SHV
EFA: annualized_mean_return=-0.0504, daily_std=0.0139
SHV: annualized_mean_return=0.0252, daily_std=0.0002
Minimum required portfolio return (annualized): 0.0003
Market regime: sideways
Compute portfolio weights (w_EFA, w_SHV) that minimize portfolio variance while satisfying the minimum return constr... | w_EFA=0.0000, w_SHV=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000001) / (0.000194 + 0.000000 - 0.000001)
Unconstrained: w_EFA=-0.0026
After long-only clamp: w_EFA=0.0000, w_SHV=1.0000. | {
"weights": {
"EFA": 0,
"SHV": 1
},
"sigma_1": 0.013935,
"sigma_2": 0.000153,
"covariance": 0.000001,
"correlation": 0.2457,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.00030000000000000003,
"constraint_binding": false
} |
T4_all_20180907_0721 | T4 | 2 | train | sideways | all | [
"VTI",
"BTC-USD"
] | 2018-09-07T00:00:00 | VTI σ=0.0050, BTC-USD σ=0.0322, ρ=-0.031. Min-variance weights: VTI=0.972, BTC-USD=0.028. | Assets: VTI, BTC-USD
VTI: annualized_mean_return=0.1512, daily_std=0.0050
BTC-USD: annualized_mean_return=-0.0252, daily_std=0.0322
Minimum required portfolio return (annualized): 0.1190
Market regime: sideways
Compute portfolio weights (w_VTI, w_BTC-USD) that minimize portfolio variance while satisfying the minimum r... | w_VTI=0.9718, w_BTC-USD=0.0282 | 0.9718 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.001039 - -0.000005) / (0.000025 + 0.001039 - -0.000010)
Unconstrained: w_VTI=0.9718
After long-only clamp: w_VTI=0.9718, w_BTC-USD=0.0282. | {
"weights": {
"VTI": 0.9718,
"BTC-USD": 0.028200000000000003
},
"sigma_1": 0.005025,
"sigma_2": 0.032235,
"covariance": -0.0000049999999999999996,
"correlation": -0.031200000000000002,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.11900000000000001,
"constraint_binding": false
} |
T4_all_20151005_0723 | T4 | 2 | train | sideways | all | [
"EFA",
"VCIT"
] | 2015-10-05T00:00:00 | EFA σ=0.0127, VCIT σ=0.0028, ρ=-0.085. Min-variance weights: EFA=0.062, VCIT=0.938. | Assets: EFA, VCIT
EFA: annualized_mean_return=-0.2520, daily_std=0.0127
VCIT: annualized_mean_return=0.0756, daily_std=0.0028
Minimum required portfolio return (annualized): -0.0101
Market regime: sideways
Compute portfolio weights (w_EFA, w_VCIT) that minimize portfolio variance while satisfying the minimum return co... | w_EFA=0.0619, w_VCIT=0.9381 | 0.0619 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000008 - -0.000003) / (0.000162 + 0.000008 - -0.000006)
Unconstrained: w_EFA=0.0621
After long-only clamp: w_EFA=0.0621, w_VCIT=0.9379. | {
"weights": {
"EFA": 0.061900000000000004,
"VCIT": 0.9381
},
"sigma_1": 0.012730000000000002,
"sigma_2": 0.002809,
"covariance": -0.000003,
"correlation": -0.085,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.010100000000000001,
"constraint_binding": false
} |
T4_all_20220902_0725 | T4 | 2 | train | sideways | all | [
"QQQ",
"HYG"
] | 2022-09-02T00:00:00 | QQQ σ=0.0184, HYG σ=0.0076, ρ=0.297. Min-variance weights: QQQ=0.053, HYG=0.947. | Assets: QQQ, HYG
QQQ: annualized_mean_return=-0.1260, daily_std=0.0184
HYG: annualized_mean_return=0.1260, daily_std=0.0076
Minimum required portfolio return (annualized): 0.0790
Market regime: sideways
Compute portfolio weights (w_QQQ, w_HYG) that minimize portfolio variance while satisfying the minimum return constr... | w_QQQ=0.0539, w_HYG=0.9461 | 0.0539 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000058 - 0.000041) / (0.000337 + 0.000058 - 0.000083)
Unconstrained: w_QQQ=0.0526
After long-only clamp: w_QQQ=0.0526, w_HYG=0.9474. | {
"weights": {
"QQQ": 0.0539,
"HYG": 0.9461
},
"sigma_1": 0.018362,
"sigma_2": 0.007607,
"covariance": 0.000041,
"correlation": 0.2967,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.079,
"constraint_binding": false
} |
T4_all_20190218_0727 | T4 | 2 | train | sideways | all | [
"EEM",
"MORT"
] | 2019-02-18T00:00:00 | EEM σ=0.0123, MORT σ=0.0103, ρ=0.325. Min-variance weights: EEM=0.372, MORT=0.628. | Assets: EEM, MORT
EEM: annualized_mean_return=0.1764, daily_std=0.0123
MORT: annualized_mean_return=0.1008, daily_std=0.0103
Minimum required portfolio return (annualized): 0.1237
Market regime: sideways
Compute portfolio weights (w_EEM, w_MORT) that minimize portfolio variance while satisfying the minimum return cons... | w_EEM=0.3726, w_MORT=0.6274 | 0.3726 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000107 - 0.000041) / (0.000151 + 0.000107 - 0.000083)
Unconstrained: w_EEM=0.3721
After long-only clamp: w_EEM=0.3721, w_MORT=0.6279. | {
"weights": {
"EEM": 0.37260000000000004,
"MORT": 0.6274000000000001
},
"sigma_1": 0.012301999999999999,
"sigma_2": 0.010321,
"covariance": 0.000041,
"correlation": 0.32530000000000003,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.1237,
"constraint_binding": false
} |
T4_all_20210817_0730 | T4 | 2 | train | sideways | all | [
"XLI",
"ICSH"
] | 2021-08-17T00:00:00 | XLI σ=0.0089, ICSH σ=0.0001, ρ=0.289. Min-variance weights: XLI=0.000, ICSH=1.000. | Assets: XLI, ICSH
XLI: annualized_mean_return=0.1260, daily_std=0.0089
ICSH: annualized_mean_return=0.0000, daily_std=0.0001
Minimum required portfolio return (annualized): 0.0819
Market regime: sideways
Compute portfolio weights (w_XLI, w_ICSH) that minimize portfolio variance while satisfying the minimum return cons... | w_XLI=0.6500, w_ICSH=0.3500 | 0.65 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000000) / (0.000078 + 0.000000 - 0.000001)
Unconstrained: w_XLI=-0.0035
After long-only clamp: w_XLI=0.0000, w_ICSH=1.0000. | {
"weights": {
"XLI": 0.65,
"ICSH": 0.35000000000000003
},
"sigma_1": 0.008856,
"sigma_2": 0.00011,
"covariance": 0,
"correlation": 0.2892,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0819,
"constraint_binding": true
} |
T4_all_20220701_0732 | T4 | 2 | train | sideways | all | [
"XLY",
"TLT"
] | 2022-07-01T00:00:00 | XLY σ=0.0231, TLT σ=0.0122, ρ=-0.117. Min-variance weights: XLY=0.243, TLT=0.757. | Assets: XLY, TLT
XLY: annualized_mean_return=-1.0080, daily_std=0.0231
TLT: annualized_mean_return=-0.3528, daily_std=0.0122
Minimum required portfolio return (annualized): -0.4467
Market regime: sideways
Compute portfolio weights (w_XLY, w_TLT) that minimize portfolio variance while satisfying the minimum return cons... | w_XLY=0.1433, w_TLT=0.8567 | 0.1433 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000149 - -0.000033) / (0.000533 + 0.000149 - -0.000066)
Unconstrained: w_XLY=0.2428
After long-only clamp: w_XLY=0.2428, w_TLT=0.7572. | {
"weights": {
"XLY": 0.1433,
"TLT": 0.8567
},
"sigma_1": 0.023079,
"sigma_2": 0.012188,
"covariance": -0.000032999999999999996,
"correlation": -0.11660000000000001,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.44670000000000004,
"constraint_binding": true
} |
T4_all_20180302_0734 | T4 | 2 | train | sideways | all | [
"VTI",
"JNK"
] | 2018-03-02T00:00:00 | VTI σ=0.0096, JNK σ=0.0030, ρ=0.303. Min-variance weights: VTI=0.005, JNK=0.995. | Assets: VTI, JNK
VTI: annualized_mean_return=0.1008, daily_std=0.0096
JNK: annualized_mean_return=-0.0252, daily_std=0.0030
Minimum required portfolio return (annualized): 0.0093
Market regime: sideways
Compute portfolio weights (w_VTI, w_JNK) that minimize portfolio variance while satisfying the minimum return constr... | w_VTI=0.2738, w_JNK=0.7262 | 0.2738 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000009 - 0.000009) / (0.000091 + 0.000009 - 0.000018)
Unconstrained: w_VTI=0.0052
After long-only clamp: w_VTI=0.0052, w_JNK=0.9948. | {
"weights": {
"VTI": 0.2738,
"JNK": 0.7262000000000001
},
"sigma_1": 0.009564,
"sigma_2": 0.003041,
"covariance": 0.000009,
"correlation": 0.30310000000000004,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.009300000000000001,
"constraint_binding": true
} |
T4_all_20210201_0736 | T4 | 2 | train | sideways | all | [
"XRP-USD",
"SCHH"
] | 2021-02-01T00:00:00 | XRP-USD σ=0.0969, SCHH σ=0.0116, ρ=-0.048. Min-variance weights: XRP-USD=0.020, SCHH=0.980. | Assets: XRP-USD, SCHH
XRP-USD: annualized_mean_return=0.6804, daily_std=0.0969
SCHH: annualized_mean_return=0.4032, daily_std=0.0116
Minimum required portfolio return (annualized): 0.5500
Market regime: sideways
Compute portfolio weights (w_XRP-USD, w_SCHH) that minimize portfolio variance while satisfying the minimum... | w_XRP-USD=0.5296, w_SCHH=0.4704 | 0.5296 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000135 - -0.000055) / (0.009388 + 0.000135 - -0.000109)
Unconstrained: w_XRP-USD=0.0197
After long-only clamp: w_XRP-USD=0.0197, w_SCHH=0.9803. | {
"weights": {
"XRP-USD": 0.5296000000000001,
"SCHH": 0.47040000000000004
},
"sigma_1": 0.09689099999999999,
"sigma_2": 0.011628999999999999,
"covariance": -0.000054999999999999995,
"correlation": -0.048400000000000006,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.55,
"constraint_bindin... |
T4_all_20220125_0738 | T4 | 2 | train | sideways | all | [
"IVV",
"SCHH"
] | 2022-01-25T00:00:00 | IVV σ=0.0097, SCHH σ=0.0106, ρ=0.752. Min-variance weights: IVV=0.677, SCHH=0.323. | Assets: IVV, SCHH
IVV: annualized_mean_return=-0.1260, daily_std=0.0097
SCHH: annualized_mean_return=-0.0252, daily_std=0.0106
Minimum required portfolio return (annualized): -0.0764
Market regime: sideways
Compute portfolio weights (w_IVV, w_SCHH) that minimize portfolio variance while satisfying the minimum return c... | w_IVV=0.5079, w_SCHH=0.4921 | 0.5079 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000112 - 0.000077) / (0.000094 + 0.000112 - 0.000154)
Unconstrained: w_IVV=0.6771
After long-only clamp: w_IVV=0.6771, w_SCHH=0.3229. | {
"weights": {
"IVV": 0.5079,
"SCHH": 0.49210000000000004
},
"sigma_1": 0.009670000000000002,
"sigma_2": 0.010572999999999999,
"covariance": 0.000077,
"correlation": 0.7515000000000001,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.07640000000000001,
"constraint_binding": true
} |
T4_all_20201002_0740 | T4 | 2 | train | sideways | all | [
"ACWI",
"XHB"
] | 2020-10-02T00:00:00 | ACWI σ=0.0097, XHB σ=0.0155, ρ=0.786. Min-variance weights: ACWI=1.000, XHB=0.000. | Assets: ACWI, XHB
ACWI: annualized_mean_return=0.2268, daily_std=0.0097
XHB: annualized_mean_return=0.8568, daily_std=0.0155
Minimum required portfolio return (annualized): 0.3532
Market regime: sideways
Compute portfolio weights (w_ACWI, w_XHB) that minimize portfolio variance while satisfying the minimum return cons... | w_ACWI=0.7994, w_XHB=0.2006 | 0.7994 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000239 - 0.000117) / (0.000093 + 0.000239 - 0.000235)
Unconstrained: w_ACWI=1.2472
After long-only clamp: w_ACWI=1.0000, w_XHB=0.0000. | {
"weights": {
"ACWI": 0.7994,
"XHB": 0.2006
},
"sigma_1": 0.009663999999999999,
"sigma_2": 0.015458,
"covariance": 0.000117,
"correlation": 0.7864,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.3532,
"constraint_binding": true
} |
T4_all_20220412_0742 | T4 | 2 | train | sideways | all | [
"IVV",
"ITB"
] | 2022-04-12T00:00:00 | IVV σ=0.0136, ITB σ=0.0233, ρ=0.787. Min-variance weights: IVV=1.000, ITB=0.000. | Assets: IVV, ITB
IVV: annualized_mean_return=-0.2268, daily_std=0.0136
ITB: annualized_mean_return=-1.1592, daily_std=0.0233
Minimum required portfolio return (annualized): -0.2702
Market regime: sideways
Compute portfolio weights (w_IVV, w_ITB) that minimize portfolio variance while satisfying the minimum return cons... | w_IVV=1.0000, w_ITB=0.0000 | 1 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000541 - 0.000249) / (0.000185 + 0.000541 - 0.000498)
Unconstrained: w_IVV=1.2810
After long-only clamp: w_IVV=1.0000, w_ITB=0.0000. | {
"weights": {
"IVV": 1,
"ITB": 0
},
"sigma_1": 0.013607999999999999,
"sigma_2": 0.023264999999999997,
"covariance": 0.000249,
"correlation": 0.7873,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.2702,
"constraint_binding": false
} |
T4_all_20211101_0744 | T4 | 2 | train | sideways | all | [
"SOL-USD",
"SCHH"
] | 2021-11-01T00:00:00 | SOL-USD σ=0.0677, SCHH σ=0.0084, ρ=-0.002. Min-variance weights: SOL-USD=0.015, SCHH=0.985. | Assets: SOL-USD, SCHH
SOL-USD: annualized_mean_return=3.0996, daily_std=0.0677
SCHH: annualized_mean_return=0.1008, daily_std=0.0084
Minimum required portfolio return (annualized): 1.6529
Market regime: sideways
Compute portfolio weights (w_SOL-USD, w_SCHH) that minimize portfolio variance while satisfying the minimum... | w_SOL-USD=0.5176, w_SCHH=0.4824 | 0.5176 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000070 - -0.000001) / (0.004583 + 0.000070 - -0.000003)
Unconstrained: w_SOL-USD=0.0154
After long-only clamp: w_SOL-USD=0.0154, w_SCHH=0.9846. | {
"weights": {
"SOL-USD": 0.5176000000000001,
"SCHH": 0.4824
},
"sigma_1": 0.067698,
"sigma_2": 0.008386,
"covariance": -0.000001,
"correlation": -0.0022,
"has_text": true,
"text_chars": 20,
"mu_floor": 1.6529,
"constraint_binding": true
} |
T4_all_20220411_0747 | T4 | 2 | train | sideways | all | [
"DOT-USD",
"PPLT"
] | 2022-04-11T00:00:00 | DOT-USD σ=0.0423, PPLT σ=0.0174, ρ=-0.007. Min-variance weights: DOT-USD=0.146, PPLT=0.854. | Assets: DOT-USD, PPLT
DOT-USD: annualized_mean_return=-0.3024, daily_std=0.0423
PPLT: annualized_mean_return=0.0756, daily_std=0.0174
Minimum required portfolio return (annualized): -0.0716
Market regime: sideways
Compute portfolio weights (w_DOT-USD, w_PPLT) that minimize portfolio variance while satisfying the minim... | w_DOT-USD=0.1463, w_PPLT=0.8537 | 0.1463 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000303 - -0.000005) / (0.001793 + 0.000303 - -0.000011)
Unconstrained: w_DOT-USD=0.1465
After long-only clamp: w_DOT-USD=0.1465, w_PPLT=0.8535. | {
"weights": {
"DOT-USD": 0.1463,
"PPLT": 0.8537
},
"sigma_1": 0.042348,
"sigma_2": 0.017412999999999998,
"covariance": -0.0000049999999999999996,
"correlation": -0.0074,
"has_text": true,
"text_chars": 20,
"mu_floor": -0.0716,
"constraint_binding": false
} |
T4_all_20220509_0750 | T4 | 2 | train | sideways | all | [
"BNB-USD",
"REZ"
] | 2022-05-09T00:00:00 | BNB-USD σ=0.0278, REZ σ=0.0135, ρ=-0.227. Min-variance weights: BNB-USD=0.237, REZ=0.763. | Assets: BNB-USD, REZ
BNB-USD: annualized_mean_return=-0.3276, daily_std=0.0278
REZ: annualized_mean_return=-0.2268, daily_std=0.0135
Minimum required portfolio return (annualized): -0.2426
Market regime: sideways
Compute portfolio weights (w_BNB-USD, w_REZ) that minimize portfolio variance while satisfying the minimum... | w_BNB-USD=0.1567, w_REZ=0.8433 | 0.1567 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000181 - -0.000085) / (0.000772 + 0.000181 - -0.000170)
Unconstrained: w_BNB-USD=0.2368
After long-only clamp: w_BNB-USD=0.2368, w_REZ=0.7632. | {
"weights": {
"BNB-USD": 0.1567,
"REZ": 0.8433
},
"sigma_1": 0.027777,
"sigma_2": 0.013453,
"covariance": -0.00008499999999999999,
"correlation": -0.22690000000000002,
"has_text": true,
"text_chars": 20,
"mu_floor": -0.2426,
"constraint_binding": true
} |
T4_all_20190220_0752 | T4 | 2 | train | sideways | all | [
"ADA-USD",
"DBC"
] | 2019-02-20T00:00:00 | ADA-USD σ=0.0507, DBC σ=0.0097, ρ=0.031. Min-variance weights: ADA-USD=0.030, DBC=0.970. | Assets: ADA-USD, DBC
ADA-USD: annualized_mean_return=0.8316, daily_std=0.0507
DBC: annualized_mean_return=0.3528, daily_std=0.0097
Minimum required portfolio return (annualized): 0.7028
Market regime: sideways
Compute portfolio weights (w_ADA-USD, w_DBC) that minimize portfolio variance while satisfying the minimum re... | w_ADA-USD=0.7310, w_DBC=0.2690 | 0.731 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000093 - 0.000015) / (0.002570 + 0.000093 - 0.000030)
Unconstrained: w_ADA-USD=0.0297
After long-only clamp: w_ADA-USD=0.0297, w_DBC=0.9703. | {
"weights": {
"ADA-USD": 0.731,
"DBC": 0.269
},
"sigma_1": 0.050693999999999996,
"sigma_2": 0.009658,
"covariance": 0.000014999999999999999,
"correlation": 0.0308,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.7028,
"constraint_binding": true
} |
T4_all_20180810_0754 | T4 | 2 | train | sideways | all | [
"IWM",
"INDS"
] | 2018-08-10T00:00:00 | IWM σ=0.0069, INDS σ=0.0079, ρ=0.336. Min-variance weights: IWM=0.608, INDS=0.392. | Assets: IWM, INDS
IWM: annualized_mean_return=0.2520, daily_std=0.0069
INDS: annualized_mean_return=0.1764, daily_std=0.0079
Minimum required portfolio return (annualized): 0.2411
Market regime: sideways
Compute portfolio weights (w_IWM, w_INDS) that minimize portfolio variance while satisfying the minimum return cons... | w_IWM=0.8558, w_INDS=0.1442 | 0.8558 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000063 - 0.000018) / (0.000047 + 0.000063 - 0.000037)
Unconstrained: w_IWM=0.6084
After long-only clamp: w_IWM=0.6084, w_INDS=0.3916. | {
"weights": {
"IWM": 0.8558,
"INDS": 0.1442
},
"sigma_1": 0.0068579999999999995,
"sigma_2": 0.007934,
"covariance": 0.000018,
"correlation": 0.336,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.2411,
"constraint_binding": true
} |
T4_all_20201113_0757 | T4 | 2 | train | sideways | all | [
"VEA",
"TLH"
] | 2020-11-13T00:00:00 | VEA σ=0.0112, TLH σ=0.0062, ρ=0.033. Min-variance weights: VEA=0.226, TLH=0.774. | Assets: VEA, TLH
VEA: annualized_mean_return=0.2268, daily_std=0.0112
TLH: annualized_mean_return=-0.2520, daily_std=0.0062
Minimum required portfolio return (annualized): -0.1667
Market regime: sideways
Compute portfolio weights (w_VEA, w_TLH) that minimize portfolio variance while satisfying the minimum return const... | w_VEA=0.2272, w_TLH=0.7728 | 0.2272 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000038 - 0.000002) / (0.000125 + 0.000038 - 0.000005)
Unconstrained: w_VEA=0.2261
After long-only clamp: w_VEA=0.2261, w_TLH=0.7739. | {
"weights": {
"VEA": 0.2272,
"TLH": 0.7728
},
"sigma_1": 0.011202,
"sigma_2": 0.006189,
"covariance": 0.000002,
"correlation": 0.0334,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.16670000000000001,
"constraint_binding": false
} |
T4_all_20171023_0759 | T4 | 2 | train | sideways | all | [
"XLP",
"IAU"
] | 2017-10-23T00:00:00 | XLP σ=0.0046, IAU σ=0.0066, ρ=0.012. Min-variance weights: XLP=0.671, IAU=0.329. | Assets: XLP, IAU
XLP: annualized_mean_return=-0.1260, daily_std=0.0046
IAU: annualized_mean_return=0.0252, daily_std=0.0066
Minimum required portfolio return (annualized): -0.0808
Market regime: sideways
Compute portfolio weights (w_XLP, w_IAU) that minimize portfolio variance while satisfying the minimum return const... | w_XLP=0.6687, w_IAU=0.3313 | 0.6687 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000043 - 0.000000) / (0.000021 + 0.000043 - 0.000001)
Unconstrained: w_XLP=0.6706
After long-only clamp: w_XLP=0.6706, w_IAU=0.3294. | {
"weights": {
"XLP": 0.6687000000000001,
"IAU": 0.33130000000000004
},
"sigma_1": 0.0046359999999999995,
"sigma_2": 0.006587,
"covariance": 0,
"correlation": 0.011600000000000001,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.08080000000000001,
"constraint_binding": false
} |
T4_all_20170920_0762 | T4 | 2 | train | sideways | all | [
"EFA",
"WEAT"
] | 2017-09-20T00:00:00 | EFA σ=0.0047, WEAT σ=0.0186, ρ=-0.095. Min-variance weights: EFA=0.921, WEAT=0.079. | Assets: EFA, WEAT
EFA: annualized_mean_return=0.2016, daily_std=0.0047
WEAT: annualized_mean_return=0.0504, daily_std=0.0186
Minimum required portfolio return (annualized): 0.1960
Market regime: sideways
Compute portfolio weights (w_EFA, w_WEAT) that minimize portfolio variance while satisfying the minimum return cons... | w_EFA=0.9630, w_WEAT=0.0370 | 0.963 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000345 - -0.000008) / (0.000022 + 0.000345 - -0.000017)
Unconstrained: w_EFA=0.9213
After long-only clamp: w_EFA=0.9213, w_WEAT=0.0787. | {
"weights": {
"EFA": 0.963,
"WEAT": 0.037
},
"sigma_1": 0.0046819999999999995,
"sigma_2": 0.018579,
"covariance": -0.000008,
"correlation": -0.0954,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.196,
"constraint_binding": true
} |
T4_all_20200529_0764 | T4 | 2 | train | sideways | all | [
"QQQ",
"ADA-USD"
] | 2020-05-29T00:00:00 | QQQ σ=0.0233, ADA-USD σ=0.0470, ρ=0.052. Min-variance weights: QQQ=0.815, ADA-USD=0.185. | Assets: QQQ, ADA-USD
QQQ: annualized_mean_return=0.2772, daily_std=0.0233
ADA-USD: annualized_mean_return=3.7548, daily_std=0.0470
Minimum required portfolio return (annualized): 2.4987
Market regime: sideways
Compute portfolio weights (w_QQQ, w_ADA-USD) that minimize portfolio variance while satisfying the minimum re... | w_QQQ=0.3612, w_ADA-USD=0.6388 | 0.3612 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.002209 - 0.000057) / (0.000545 + 0.002209 - 0.000114)
Unconstrained: w_QQQ=0.8152
After long-only clamp: w_QQQ=0.8152, w_ADA-USD=0.1848. | {
"weights": {
"QQQ": 0.3612,
"ADA-USD": 0.6388
},
"sigma_1": 0.023337,
"sigma_2": 0.046998,
"covariance": 0.000056999999999999996,
"correlation": 0.0519,
"has_text": true,
"text_chars": 3020,
"mu_floor": 2.4987,
"constraint_binding": true
} |
T4_all_20200630_0766 | T4 | 2 | train | sideways | all | [
"XLV",
"ICSH"
] | 2020-06-30T00:00:00 | XLV σ=0.0133, ICSH σ=0.0002, ρ=0.219. Min-variance weights: XLV=0.000, ICSH=1.000. | Assets: XLV, ICSH
XLV: annualized_mean_return=0.4284, daily_std=0.0133
ICSH: annualized_mean_return=0.0504, daily_std=0.0002
Minimum required portfolio return (annualized): 0.2896
Market regime: sideways
Compute portfolio weights (w_XLV, w_ICSH) that minimize portfolio variance while satisfying the minimum return cons... | w_XLV=0.6328, w_ICSH=0.3672 | 0.6328 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000001) / (0.000176 + 0.000000 - 0.000001)
Unconstrained: w_XLV=-0.0030
After long-only clamp: w_XLV=0.0000, w_ICSH=1.0000. | {
"weights": {
"XLV": 0.6328,
"ICSH": 0.3672
},
"sigma_1": 0.013279,
"sigma_2": 0.000194,
"covariance": 0.000001,
"correlation": 0.2194,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.2896,
"constraint_binding": true
} |
T4_all_20190114_0768 | T4 | 2 | train | sideways | all | [
"BNB-USD",
"ITB"
] | 2019-01-14T00:00:00 | BNB-USD σ=0.0645, ITB σ=0.0193, ρ=0.116. Min-variance weights: BNB-USD=0.054, ITB=0.946. | Assets: BNB-USD, ITB
BNB-USD: annualized_mean_return=-1.1844, daily_std=0.0645
ITB: annualized_mean_return=0.2268, daily_std=0.0193
Minimum required portfolio return (annualized): 0.2068
Market regime: sideways
Compute portfolio weights (w_BNB-USD, w_ITB) that minimize portfolio variance while satisfying the minimum r... | w_BNB-USD=0.0142, w_ITB=0.9858 | 0.0142 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000374 - 0.000145) / (0.004163 + 0.000374 - 0.000289)
Unconstrained: w_BNB-USD=0.0539
After long-only clamp: w_BNB-USD=0.0539, w_ITB=0.9461. | {
"weights": {
"BNB-USD": 0.0142,
"ITB": 0.9858
},
"sigma_1": 0.064521,
"sigma_2": 0.019332,
"covariance": 0.000145,
"correlation": 0.116,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.2068,
"constraint_binding": true
} |
T4_all_20210104_0770 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"GLD"
] | 2021-01-04T00:00:00 | BTC-USD σ=0.0361, GLD σ=0.0088, ρ=0.345. Min-variance weights: BTC-USD=0.000, GLD=1.000. | Assets: BTC-USD, GLD
BTC-USD: annualized_mean_return=3.7296, daily_std=0.0361
GLD: annualized_mean_return=0.0756, daily_std=0.0088
Minimum required portfolio return (annualized): 2.6039
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_GLD) that minimize portfolio variance while satisfying the minimum re... | w_BTC-USD=0.6919, w_GLD=0.3081 | 0.6919 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000078 - 0.000110) / (0.001301 + 0.000078 - 0.000220)
Unconstrained: w_BTC-USD=-0.0274
After long-only clamp: w_BTC-USD=0.0000, w_GLD=1.0000. | {
"weights": {
"BTC-USD": 0.6919000000000001,
"GLD": 0.30810000000000004
},
"sigma_1": 0.036073,
"sigma_2": 0.008836,
"covariance": 0.00011,
"correlation": 0.3446,
"has_text": false,
"text_chars": 0,
"mu_floor": 2.6039,
"constraint_binding": true
} |
T4_all_20200212_0774 | T4 | 2 | train | sideways | all | [
"ETH-USD",
"MORT"
] | 2020-02-12T00:00:00 | ETH-USD σ=0.0368, MORT σ=0.0039, ρ=0.125. Min-variance weights: ETH-USD=0.000, MORT=1.000. | Assets: ETH-USD, MORT
ETH-USD: annualized_mean_return=2.2176, daily_std=0.0368
MORT: annualized_mean_return=0.4032, daily_std=0.0039
Minimum required portfolio return (annualized): 1.7609
Market regime: sideways
Compute portfolio weights (w_ETH-USD, w_MORT) that minimize portfolio variance while satisfying the minimum... | w_ETH-USD=0.7483, w_MORT=0.2517 | 0.7483 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000015 - 0.000018) / (0.001356 + 0.000015 - 0.000036)
Unconstrained: w_ETH-USD=-0.0020
After long-only clamp: w_ETH-USD=0.0000, w_MORT=1.0000. | {
"weights": {
"ETH-USD": 0.7483000000000001,
"MORT": 0.25170000000000003
},
"sigma_1": 0.036816999999999996,
"sigma_2": 0.0039019999999999997,
"covariance": 0.000018,
"correlation": 0.1247,
"has_text": false,
"text_chars": 0,
"mu_floor": 1.7609,
"constraint_binding": true
} |
T4_all_20151222_0776 | T4 | 2 | train | sideways | all | [
"XLP",
"GLD"
] | 2015-12-22T00:00:00 | XLP σ=0.0092, GLD σ=0.0092, ρ=0.230. Min-variance weights: XLP=0.500, GLD=0.500. | Assets: XLP, GLD
XLP: annualized_mean_return=0.2268, daily_std=0.0092
GLD: annualized_mean_return=-0.2268, daily_std=0.0092
Minimum required portfolio return (annualized): 0.0498
Market regime: sideways
Compute portfolio weights (w_XLP, w_GLD) that minimize portfolio variance while satisfying the minimum return constr... | w_XLP=0.6098, w_GLD=0.3902 | 0.6098 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000085 - 0.000020) / (0.000085 + 0.000085 - 0.000039)
Unconstrained: w_XLP=0.5003
After long-only clamp: w_XLP=0.5003, w_GLD=0.4997. | {
"weights": {
"XLP": 0.6098,
"GLD": 0.3902
},
"sigma_1": 0.009228,
"sigma_2": 0.009233,
"covariance": 0.00002,
"correlation": 0.22990000000000002,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.049800000000000004,
"constraint_binding": true
} |
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