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_20200925_0778 | T4 | 2 | train | sideways | all | [
"ADA-USD",
"ICSH"
] | 2020-09-25T00:00:00 | ADA-USD σ=0.0485, ICSH σ=0.0002, ρ=0.040. Min-variance weights: ADA-USD=0.000, ICSH=1.000. | Assets: ADA-USD, ICSH
ADA-USD: annualized_mean_return=-2.1168, daily_std=0.0485
ICSH: annualized_mean_return=0.0000, daily_std=0.0002
Minimum required portfolio return (annualized): -0.0000
Market regime: sideways
Compute portfolio weights (w_ADA-USD, w_ICSH) that minimize portfolio variance while satisfying the minim... | w_ADA-USD=0.0000, w_ICSH=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000000) / (0.002354 + 0.000000 - 0.000001)
Unconstrained: w_ADA-USD=-0.0002
After long-only clamp: w_ADA-USD=0.0000, w_ICSH=1.0000. | {
"weights": {
"ADA-USD": 0,
"ICSH": 1
},
"sigma_1": 0.04852,
"sigma_2": 0.000214,
"covariance": 0,
"correlation": 0.0398,
"has_text": false,
"text_chars": 0,
"mu_floor": 0,
"constraint_binding": true
} |
T4_all_20201016_0781 | T4 | 2 | train | sideways | all | [
"VTI",
"VNQI"
] | 2020-10-16T00:00:00 | VTI σ=0.0111, VNQI σ=0.0087, ρ=0.727. Min-variance weights: VTI=0.096, VNQI=0.904. | Assets: VTI, VNQI
VTI: annualized_mean_return=0.3276, daily_std=0.0111
VNQI: annualized_mean_return=0.1008, daily_std=0.0087
Minimum required portfolio return (annualized): 0.1208
Market regime: sideways
Compute portfolio weights (w_VTI, w_VNQI) that minimize portfolio variance while satisfying the minimum return cons... | w_VTI=0.0918, w_VNQI=0.9082 | 0.0918 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000075 - 0.000070) / (0.000122 + 0.000075 - 0.000139)
Unconstrained: w_VTI=0.0962
After long-only clamp: w_VTI=0.0962, w_VNQI=0.9038. | {
"weights": {
"VTI": 0.0918,
"VNQI": 0.9082
},
"sigma_1": 0.011053,
"sigma_2": 0.008676,
"covariance": 0.00007000000000000001,
"correlation": 0.7267,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.1208,
"constraint_binding": false
} |
T4_all_20170320_0783 | T4 | 2 | train | sideways | all | [
"XLK",
"PDBC"
] | 2017-03-20T00:00:00 | XLK σ=0.0043, PDBC σ=0.0071, ρ=0.090. Min-variance weights: XLK=0.747, PDBC=0.253. | Assets: XLK, PDBC
XLK: annualized_mean_return=0.3780, daily_std=0.0043
PDBC: annualized_mean_return=-0.1512, daily_std=0.0071
Minimum required portfolio return (annualized): 0.0520
Market regime: sideways
Compute portfolio weights (w_XLK, w_PDBC) that minimize portfolio variance while satisfying the minimum return con... | w_XLK=0.7491, w_PDBC=0.2509 | 0.7491 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000050 - 0.000003) / (0.000019 + 0.000050 - 0.000005)
Unconstrained: w_XLK=0.7471
After long-only clamp: w_XLK=0.7471, w_PDBC=0.2529. | {
"weights": {
"XLK": 0.7491,
"PDBC": 0.2509
},
"sigma_1": 0.00432,
"sigma_2": 0.0070539999999999995,
"covariance": 0.000003,
"correlation": 0.09,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.052000000000000005,
"constraint_binding": false
} |
T4_all_20200310_0787 | T4 | 2 | train | sideways | all | [
"ADA-USD",
"REZ"
] | 2020-03-10T00:00:00 | ADA-USD σ=0.0491, REZ σ=0.0128, ρ=-0.022. Min-variance weights: ADA-USD=0.068, REZ=0.932. | Assets: ADA-USD, REZ
ADA-USD: annualized_mean_return=0.8568, daily_std=0.0491
REZ: annualized_mean_return=-0.0504, daily_std=0.0128
Minimum required portfolio return (annualized): -0.0198
Market regime: sideways
Compute portfolio weights (w_ADA-USD, w_REZ) that minimize portfolio variance while satisfying the minimum ... | w_ADA-USD=0.0685, w_REZ=0.9315 | 0.0685 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000164 - -0.000014) / (0.002411 + 0.000164 - -0.000028)
Unconstrained: w_ADA-USD=0.0684
After long-only clamp: w_ADA-USD=0.0684, w_REZ=0.9316. | {
"weights": {
"ADA-USD": 0.0685,
"REZ": 0.9315
},
"sigma_1": 0.049107,
"sigma_2": 0.012818,
"covariance": -0.000014,
"correlation": -0.022,
"has_text": false,
"text_chars": 0,
"mu_floor": -0.0198,
"constraint_binding": false
} |
T4_all_20150416_0789 | T4 | 2 | train | sideways | all | [
"FXI",
"PPLT"
] | 2015-04-16T00:00:00 | FXI σ=0.0149, PPLT σ=0.0117, ρ=-0.010. Min-variance weights: FXI=0.380, PPLT=0.620. | Assets: FXI, PPLT
FXI: annualized_mean_return=0.7812, daily_std=0.0149
PPLT: annualized_mean_return=-0.2520, daily_std=0.0117
Minimum required portfolio return (annualized): -0.0139
Market regime: sideways
Compute portfolio weights (w_FXI, w_PPLT) that minimize portfolio variance while satisfying the minimum return co... | w_FXI=0.3802, w_PPLT=0.6198 | 0.3802 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000136 - -0.000002) / (0.000223 + 0.000136 - -0.000004)
Unconstrained: w_FXI=0.3801
After long-only clamp: w_FXI=0.3801, w_PPLT=0.6199. | {
"weights": {
"FXI": 0.38020000000000004,
"PPLT": 0.6198
},
"sigma_1": 0.014927999999999999,
"sigma_2": 0.011659,
"covariance": -0.000002,
"correlation": -0.010100000000000001,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.013900000000000001,
"constraint_binding": false
} |
T4_all_20181210_0791 | T4 | 2 | train | sideways | all | [
"LINK-USD",
"SCHH"
] | 2018-12-10T00:00:00 | LINK-USD σ=0.0723, SCHH σ=0.0106, ρ=-0.091. Min-variance weights: LINK-USD=0.033, SCHH=0.967. | Assets: LINK-USD, SCHH
LINK-USD: annualized_mean_return=-0.7560, daily_std=0.0723
SCHH: annualized_mean_return=0.0252, daily_std=0.0106
Minimum required portfolio return (annualized): -0.3150
Market regime: sideways
Compute portfolio weights (w_LINK-USD, w_SCHH) that minimize portfolio variance while satisfying the mi... | w_LINK-USD=0.0334, w_SCHH=0.9666 | 0.0334 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000113 - -0.000070) / (0.005228 + 0.000113 - -0.000140)
Unconstrained: w_LINK-USD=0.0334
After long-only clamp: w_LINK-USD=0.0334, w_SCHH=0.9666. | {
"weights": {
"LINK-USD": 0.0334,
"SCHH": 0.9666
},
"sigma_1": 0.072306,
"sigma_2": 0.010631,
"covariance": -0.00007000000000000001,
"correlation": -0.09090000000000001,
"has_text": false,
"text_chars": 0,
"mu_floor": -0.315,
"constraint_binding": false
} |
T4_all_20180918_0793 | T4 | 2 | train | sideways | all | [
"FXI",
"SOYB"
] | 2018-09-18T00:00:00 | FXI σ=0.0147, SOYB σ=0.0120, ρ=-0.031. Min-variance weights: FXI=0.405, SOYB=0.595. | Assets: FXI, SOYB
FXI: annualized_mean_return=-0.2520, daily_std=0.0147
SOYB: annualized_mean_return=-0.1008, daily_std=0.0120
Minimum required portfolio return (annualized): -0.1994
Market regime: sideways
Compute portfolio weights (w_FXI, w_SOYB) that minimize portfolio variance while satisfying the minimum return c... | w_FXI=0.4048, w_SOYB=0.5952 | 0.4048 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000145 - -0.000006) / (0.000216 + 0.000145 - -0.000011)
Unconstrained: w_FXI=0.4046
After long-only clamp: w_FXI=0.4046, w_SOYB=0.5954. | {
"weights": {
"FXI": 0.4048,
"SOYB": 0.5952000000000001
},
"sigma_1": 0.014693,
"sigma_2": 0.012036999999999999,
"covariance": -0.000006,
"correlation": -0.031400000000000004,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.19940000000000002,
"constraint_binding": false
} |
T4_all_20191127_0795 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"VEA"
] | 2019-11-27T00:00:00 | BTC-USD σ=0.0283, VEA σ=0.0058, ρ=0.342. Min-variance weights: BTC-USD=0.000, VEA=1.000. | Assets: BTC-USD, VEA
BTC-USD: annualized_mean_return=-0.6048, daily_std=0.0283
VEA: annualized_mean_return=0.3528, daily_std=0.0058
Minimum required portfolio return (annualized): -0.1417
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_VEA) that minimize portfolio variance while satisfying the minimum ... | w_BTC-USD=0.0000, w_VEA=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000034 - 0.000056) / (0.000800 + 0.000034 - 0.000112)
Unconstrained: w_BTC-USD=-0.0312
After long-only clamp: w_BTC-USD=0.0000, w_VEA=1.0000. | {
"weights": {
"BTC-USD": 0,
"VEA": 1
},
"sigma_1": 0.028291999999999998,
"sigma_2": 0.005796,
"covariance": 0.000056,
"correlation": 0.34240000000000004,
"has_text": false,
"text_chars": 0,
"mu_floor": -0.14170000000000002,
"constraint_binding": false
} |
T4_all_20210210_0797 | T4 | 2 | train | sideways | all | [
"DOT-USD",
"IWM"
] | 2021-02-10T00:00:00 | DOT-USD σ=0.0998, IWM σ=0.0127, ρ=0.215. Min-variance weights: DOT-USD=0.000, IWM=1.000. | Assets: DOT-USD, IWM
DOT-USD: annualized_mean_return=7.3836, daily_std=0.0998
IWM: annualized_mean_return=1.1592, daily_std=0.0127
Minimum required portfolio return (annualized): 1.1592
Market regime: sideways
Compute portfolio weights (w_DOT-USD, w_IWM) that minimize portfolio variance while satisfying the minimum re... | w_DOT-USD=0.0000, w_IWM=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000162 - 0.000273) / (0.009957 + 0.000162 - 0.000546)
Unconstrained: w_DOT-USD=-0.0115
After long-only clamp: w_DOT-USD=0.0000, w_IWM=1.0000. | {
"weights": {
"DOT-USD": 0,
"IWM": 1
},
"sigma_1": 0.099782,
"sigma_2": 0.012742999999999999,
"covariance": 0.00027299999999999997,
"correlation": 0.2147,
"has_text": false,
"text_chars": 0,
"mu_floor": 1.1592,
"constraint_binding": false
} |
T4_all_20181115_0799 | T4 | 2 | train | sideways | all | [
"ETH-USD",
"REZ"
] | 2018-11-15T00:00:00 | ETH-USD σ=0.0405, REZ σ=0.0108, ρ=-0.103. Min-variance weights: ETH-USD=0.088, REZ=0.912. | Assets: ETH-USD, REZ
ETH-USD: annualized_mean_return=-0.6552, daily_std=0.0405
REZ: annualized_mean_return=0.0252, daily_std=0.0108
Minimum required portfolio return (annualized): -0.3872
Market regime: sideways
Compute portfolio weights (w_ETH-USD, w_REZ) that minimize portfolio variance while satisfying the minimum ... | w_ETH-USD=0.0876, w_REZ=0.9124 | 0.0876 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000117 - -0.000045) / (0.001642 + 0.000117 - -0.000090)
Unconstrained: w_ETH-USD=0.0876
After long-only clamp: w_ETH-USD=0.0876, w_REZ=0.9124. | {
"weights": {
"ETH-USD": 0.0876,
"REZ": 0.9124
},
"sigma_1": 0.04052,
"sigma_2": 0.01081,
"covariance": -0.000044999999999999996,
"correlation": -0.1032,
"has_text": false,
"text_chars": 0,
"mu_floor": -0.38720000000000004,
"constraint_binding": false
} |
T4_all_20170413_0801 | T4 | 2 | train | sideways | all | [
"XLP",
"MORT"
] | 2017-04-13T00:00:00 | XLP σ=0.0039, MORT σ=0.0056, ρ=0.321. Min-variance weights: XLP=0.751, MORT=0.249. | Assets: XLP, MORT
XLP: annualized_mean_return=0.2520, daily_std=0.0039
MORT: annualized_mean_return=0.3780, daily_std=0.0056
Minimum required portfolio return (annualized): 0.2759
Market regime: sideways
Compute portfolio weights (w_XLP, w_MORT) that minimize portfolio variance while satisfying the minimum return cons... | w_XLP=0.7499, w_MORT=0.2501 | 0.7499 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000032 - 0.000007) / (0.000015 + 0.000032 - 0.000014)
Unconstrained: w_XLP=0.7511
After long-only clamp: w_XLP=0.7511, w_MORT=0.2489. | {
"weights": {
"XLP": 0.7499,
"MORT": 0.2501
},
"sigma_1": 0.003908,
"sigma_2": 0.00564,
"covariance": 0.000007,
"correlation": 0.32120000000000004,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.27590000000000003,
"constraint_binding": false
} |
T4_all_20220729_0807 | T4 | 2 | train | sideways | all | [
"XLE",
"SGOV"
] | 2022-07-29T00:00:00 | XLE σ=0.0248, SGOV σ=0.0001, ρ=0.082. Min-variance weights: XLE=0.000, SGOV=1.000. | Assets: XLE, SGOV
XLE: annualized_mean_return=0.2016, daily_std=0.0248
SGOV: annualized_mean_return=0.0000, daily_std=0.0001
Minimum required portfolio return (annualized): -0.0000
Market regime: sideways
Compute portfolio weights (w_XLE, w_SGOV) that minimize portfolio variance while satisfying the minimum return con... | w_XLE=0.0000, w_SGOV=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000000) / (0.000614 + 0.000000 - 0.000000)
Unconstrained: w_XLE=-0.0004
After long-only clamp: w_XLE=0.0000, w_SGOV=1.0000. | {
"weights": {
"XLE": 0,
"SGOV": 1
},
"sigma_1": 0.024780999999999997,
"sigma_2": 0.00011499999999999999,
"covariance": 0,
"correlation": 0.0823,
"has_text": true,
"text_chars": 9046,
"mu_floor": 0,
"constraint_binding": false
} |
T4_all_20170124_0809 | T4 | 2 | train | sideways | all | [
"XLV",
"TIP"
] | 2017-01-24T00:00:00 | XLV σ=0.0082, TIP σ=0.0010, ρ=-0.239. Min-variance weights: XLV=0.042, TIP=0.958. | Assets: XLV, TIP
XLV: annualized_mean_return=-0.0252, daily_std=0.0082
TIP: annualized_mean_return=0.0000, daily_std=0.0010
Minimum required portfolio return (annualized): -0.0064
Market regime: sideways
Compute portfolio weights (w_XLV, w_TIP) that minimize portfolio variance while satisfying the minimum return const... | w_XLV=0.0417, w_TIP=0.9583 | 0.0417 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000001 - -0.000002) / (0.000068 + 0.000001 - -0.000004)
Unconstrained: w_XLV=0.0416
After long-only clamp: w_XLV=0.0416, w_TIP=0.9584. | {
"weights": {
"XLV": 0.0417,
"TIP": 0.9583
},
"sigma_1": 0.008225,
"sigma_2": 0.001014,
"covariance": -0.000002,
"correlation": -0.23920000000000002,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.0064,
"constraint_binding": false
} |
T4_all_20150504_0812 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"BNO"
] | 2015-05-04T00:00:00 | BTC-USD σ=0.0273, BNO σ=0.0260, ρ=0.211. Min-variance weights: BTC-USD=0.470, BNO=0.530. | Assets: BTC-USD, BNO
BTC-USD: annualized_mean_return=-0.4284, daily_std=0.0273
BNO: annualized_mean_return=0.6552, daily_std=0.0260
Minimum required portfolio return (annualized): 0.3004
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_BNO) that minimize portfolio variance while satisfying the minimum r... | w_BTC-USD=0.3274, w_BNO=0.6726 | 0.3274 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000678 - 0.000150) / (0.000745 + 0.000678 - 0.000300)
Unconstrained: w_BTC-USD=0.4704
After long-only clamp: w_BTC-USD=0.4704, w_BNO=0.5296. | {
"weights": {
"BTC-USD": 0.3274,
"BNO": 0.6726000000000001
},
"sigma_1": 0.027288999999999997,
"sigma_2": 0.026043,
"covariance": 0.00015000000000000001,
"correlation": 0.21130000000000002,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.3004,
"constraint_binding": true
} |
T4_all_20190715_0814 | T4 | 2 | train | sideways | all | [
"FXI",
"JNK"
] | 2019-07-15T00:00:00 | FXI σ=0.0116, JNK σ=0.0030, ρ=0.033. Min-variance weights: FXI=0.058, JNK=0.943. | Assets: FXI, JNK
FXI: annualized_mean_return=-0.3024, daily_std=0.0116
JNK: annualized_mean_return=0.0756, daily_std=0.0030
Minimum required portfolio return (annualized): 0.0586
Market regime: sideways
Compute portfolio weights (w_FXI, w_JNK) that minimize portfolio variance while satisfying the minimum return constr... | w_FXI=0.0450, w_JNK=0.9550 | 0.045 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000009 - 0.000001) / (0.000133 + 0.000009 - 0.000002)
Unconstrained: w_FXI=0.0575
After long-only clamp: w_FXI=0.0575, w_JNK=0.9425. | {
"weights": {
"FXI": 0.045,
"JNK": 0.9550000000000001
},
"sigma_1": 0.011550999999999999,
"sigma_2": 0.0030369999999999998,
"covariance": 0.000001,
"correlation": 0.0329,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.058600000000000006,
"constraint_binding": true
} |
T4_all_20220314_0817 | T4 | 2 | train | sideways | all | [
"EFA",
"BNO"
] | 2022-03-14T00:00:00 | EFA σ=0.0120, BNO σ=0.0222, ρ=-0.367. Min-variance weights: EFA=0.710, BNO=0.290. | Assets: EFA, BNO
EFA: annualized_mean_return=-0.5040, daily_std=0.0120
BNO: annualized_mean_return=2.1924, daily_std=0.0222
Minimum required portfolio return (annualized): 0.2624
Market regime: sideways
Compute portfolio weights (w_EFA, w_BNO) that minimize portfolio variance while satisfying the minimum return constr... | w_EFA=0.7098, w_BNO=0.2902 | 0.7098 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000494 - -0.000098) / (0.000144 + 0.000494 - -0.000196)
Unconstrained: w_EFA=0.7099
After long-only clamp: w_EFA=0.7099, w_BNO=0.2901. | {
"weights": {
"EFA": 0.7098,
"BNO": 0.2902
},
"sigma_1": 0.011993,
"sigma_2": 0.022216,
"covariance": -0.000098,
"correlation": -0.3669,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.2624,
"constraint_binding": false
} |
T4_all_20180112_0819 | T4 | 2 | train | sideways | all | [
"QUAL",
"SHV"
] | 2018-01-12T00:00:00 | QUAL σ=0.0033, SHV σ=0.0001, ρ=-0.055. Min-variance weights: QUAL=0.003, SHV=0.998. | Assets: QUAL, SHV
QUAL: annualized_mean_return=0.3528, daily_std=0.0033
SHV: annualized_mean_return=0.0000, daily_std=0.0001
Minimum required portfolio return (annualized): 0.0003
Market regime: sideways
Compute portfolio weights (w_QUAL, w_SHV) that minimize portfolio variance while satisfying the minimum return cons... | w_QUAL=0.0009, w_SHV=0.9991 | 0.0009 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - -0.000000) / (0.000011 + 0.000000 - -0.000000)
Unconstrained: w_QUAL=0.0025
After long-only clamp: w_QUAL=0.0025, w_SHV=0.9975. | {
"weights": {
"QUAL": 0.0009000000000000001,
"SHV": 0.9991000000000001
},
"sigma_1": 0.0033169999999999996,
"sigma_2": 0.0001,
"covariance": 0,
"correlation": -0.0546,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.00030000000000000003,
"constraint_binding": false
} |
T4_all_20180627_0824 | T4 | 2 | train | sideways | all | [
"XLY",
"PDBC"
] | 2018-06-27T00:00:00 | XLY σ=0.0082, PDBC σ=0.0080, ρ=0.008. Min-variance weights: XLY=0.492, PDBC=0.508. | Assets: XLY, PDBC
XLY: annualized_mean_return=0.4536, daily_std=0.0082
PDBC: annualized_mean_return=0.0756, daily_std=0.0080
Minimum required portfolio return (annualized): 0.3044
Market regime: sideways
Compute portfolio weights (w_XLY, w_PDBC) that minimize portfolio variance while satisfying the minimum return cons... | w_XLY=0.6053, w_PDBC=0.3947 | 0.6053 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000065 - 0.000001) / (0.000067 + 0.000065 - 0.000001)
Unconstrained: w_XLY=0.4918
After long-only clamp: w_XLY=0.4918, w_PDBC=0.5082. | {
"weights": {
"XLY": 0.6053000000000001,
"PDBC": 0.3947
},
"sigma_1": 0.008173999999999999,
"sigma_2": 0.008041,
"covariance": 0.000001,
"correlation": 0.008,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.3044,
"constraint_binding": true
} |
T4_all_20180629_0826 | T4 | 2 | train | sideways | all | [
"XRP-USD",
"JNK"
] | 2018-06-29T00:00:00 | XRP-USD σ=0.0413, JNK σ=0.0020, ρ=0.029. Min-variance weights: XRP-USD=0.001, JNK=0.999. | Assets: XRP-USD, JNK
XRP-USD: annualized_mean_return=-2.5704, daily_std=0.0413
JNK: annualized_mean_return=0.0000, daily_std=0.0020
Minimum required portfolio return (annualized): -0.0015
Market regime: sideways
Compute portfolio weights (w_XRP-USD, w_JNK) that minimize portfolio variance while satisfying the minimum ... | w_XRP-USD=0.0006, w_JNK=0.9994 | 0.0006 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000004 - 0.000002) / (0.001704 + 0.000004 - 0.000005)
Unconstrained: w_XRP-USD=0.0009
After long-only clamp: w_XRP-USD=0.0009, w_JNK=0.9991. | {
"weights": {
"XRP-USD": 0.0006000000000000001,
"JNK": 0.9994000000000001
},
"sigma_1": 0.041283,
"sigma_2": 0.001964,
"covariance": 0.000002,
"correlation": 0.029300000000000003,
"has_text": false,
"text_chars": 0,
"mu_floor": -0.0015,
"constraint_binding": true
} |
T4_all_20160512_0828 | T4 | 2 | train | sideways | all | [
"XLK",
"BIL"
] | 2016-05-12T00:00:00 | XLK σ=0.0087, BIL σ=0.0002, ρ=0.061. Min-variance weights: XLK=0.000, BIL=1.000. | Assets: XLK, BIL
XLK: annualized_mean_return=0.2772, daily_std=0.0087
BIL: annualized_mean_return=0.0000, daily_std=0.0002
Minimum required portfolio return (annualized): 0.1771
Market regime: sideways
Compute portfolio weights (w_XLK, w_BIL) that minimize portfolio variance while satisfying the minimum return constra... | w_XLK=0.6389, w_BIL=0.3611 | 0.6389 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000000) / (0.000076 + 0.000000 - 0.000000)
Unconstrained: w_XLK=-0.0008
After long-only clamp: w_XLK=0.0000, w_BIL=1.0000. | {
"weights": {
"XLK": 0.6389,
"BIL": 0.36110000000000003
},
"sigma_1": 0.008694,
"sigma_2": 0.000173,
"covariance": 0,
"correlation": 0.060700000000000004,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.1771,
"constraint_binding": true
} |
T4_all_20181015_0830 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"PALL"
] | 2018-10-15T00:00:00 | BTC-USD σ=0.0208, PALL σ=0.0148, ρ=0.024. Min-variance weights: BTC-USD=0.333, PALL=0.667. | Assets: BTC-USD, PALL
BTC-USD: annualized_mean_return=0.0504, daily_std=0.0208
PALL: annualized_mean_return=0.8064, daily_std=0.0148
Minimum required portfolio return (annualized): 0.7239
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_PALL) that minimize portfolio variance while satisfying the minimum... | w_BTC-USD=0.1091, w_PALL=0.8909 | 0.1091 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000220 - 0.000007) / (0.000434 + 0.000220 - 0.000015)
Unconstrained: w_BTC-USD=0.3328
After long-only clamp: w_BTC-USD=0.3328, w_PALL=0.6672. | {
"weights": {
"BTC-USD": 0.1091,
"PALL": 0.8909
},
"sigma_1": 0.020832999999999997,
"sigma_2": 0.014839,
"covariance": 0.000007,
"correlation": 0.0241,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.7239,
"constraint_binding": true
} |
T4_all_20150918_0835 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"EMB"
] | 2015-09-18T00:00:00 | BTC-USD σ=0.0281, EMB σ=0.0038, ρ=0.092. Min-variance weights: BTC-USD=0.006, EMB=0.994. | Assets: BTC-USD, EMB
BTC-USD: annualized_mean_return=-0.3780, daily_std=0.0281
EMB: annualized_mean_return=-0.0000, daily_std=0.0038
Minimum required portfolio return (annualized): -0.0411
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_EMB) that minimize portfolio variance while satisfying the minimum... | w_BTC-USD=0.0055, w_EMB=0.9945 | 0.0055 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000014 - 0.000010) / (0.000791 + 0.000014 - 0.000020)
Unconstrained: w_BTC-USD=0.0058
After long-only clamp: w_BTC-USD=0.0058, w_EMB=0.9942. | {
"weights": {
"BTC-USD": 0.0055000000000000005,
"EMB": 0.9945
},
"sigma_1": 0.028116,
"sigma_2": 0.0037879999999999997,
"covariance": 0.00001,
"correlation": 0.0917,
"has_text": false,
"text_chars": 0,
"mu_floor": -0.041100000000000005,
"constraint_binding": false
} |
T4_all_20201130_0837 | T4 | 2 | train | sideways | all | [
"XLK",
"CPER"
] | 2020-11-30T00:00:00 | XLK σ=0.0181, CPER σ=0.0138, ρ=0.277. Min-variance weights: XLK=0.320, CPER=0.680. | Assets: XLK, CPER
XLK: annualized_mean_return=-0.0504, daily_std=0.0181
CPER: annualized_mean_return=0.4536, daily_std=0.0138
Minimum required portfolio return (annualized): 0.1481
Market regime: sideways
Compute portfolio weights (w_XLK, w_CPER) that minimize portfolio variance while satisfying the minimum return con... | w_XLK=0.3205, w_CPER=0.6795 | 0.3205 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000191 - 0.000069) / (0.000329 + 0.000191 - 0.000139)
Unconstrained: w_XLK=0.3201
After long-only clamp: w_XLK=0.3201, w_CPER=0.6799. | {
"weights": {
"XLK": 0.3205,
"CPER": 0.6795
},
"sigma_1": 0.018126,
"sigma_2": 0.013836,
"covariance": 0.000069,
"correlation": 0.2768,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.1481,
"constraint_binding": false
} |
T4_all_20210924_0839 | T4 | 2 | train | sideways | all | [
"XLY",
"TLT"
] | 2021-09-24T00:00:00 | XLY σ=0.0086, TLT σ=0.0085, ρ=-0.129. Min-variance weights: XLY=0.493, TLT=0.507. | Assets: XLY, TLT
XLY: annualized_mean_return=0.1512, daily_std=0.0086
TLT: annualized_mean_return=0.1260, daily_std=0.0085
Minimum required portfolio return (annualized): 0.1350
Market regime: sideways
Compute portfolio weights (w_XLY, w_TLT) that minimize portfolio variance while satisfying the minimum return constra... | w_XLY=0.4925, w_TLT=0.5075 | 0.4925 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000071 - -0.000009) / (0.000074 + 0.000071 - -0.000019)
Unconstrained: w_XLY=0.4926
After long-only clamp: w_XLY=0.4926, w_TLT=0.5074. | {
"weights": {
"XLY": 0.49250000000000005,
"TLT": 0.5075000000000001
},
"sigma_1": 0.008595,
"sigma_2": 0.008452,
"covariance": -0.000009,
"correlation": -0.1288,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.135,
"constraint_binding": false
} |
T4_all_20170116_0842 | T4 | 2 | train | sideways | all | [
"QUAL",
"REZ"
] | 2017-01-16T00:00:00 | QUAL σ=0.0049, REZ σ=0.0114, ρ=0.248. Min-variance weights: QUAL=0.918, REZ=0.082. | Assets: QUAL, REZ
QUAL: annualized_mean_return=0.2268, daily_std=0.0049
REZ: annualized_mean_return=-0.0000, daily_std=0.0114
Minimum required portfolio return (annualized): 0.2229
Market regime: sideways
Compute portfolio weights (w_QUAL, w_REZ) that minimize portfolio variance while satisfying the minimum return con... | w_QUAL=0.9828, w_REZ=0.0172 | 0.9828 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000131 - 0.000014) / (0.000024 + 0.000131 - 0.000028)
Unconstrained: w_QUAL=0.9177
After long-only clamp: w_QUAL=0.9177, w_REZ=0.0823. | {
"weights": {
"QUAL": 0.9828,
"REZ": 0.0172
},
"sigma_1": 0.004948,
"sigma_2": 0.011434,
"covariance": 0.000014,
"correlation": 0.2477,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.22290000000000001,
"constraint_binding": true
} |
T4_all_20190912_0844 | T4 | 2 | train | sideways | all | [
"MTUM",
"TLH"
] | 2019-09-12T00:00:00 | MTUM σ=0.0104, TLH σ=0.0057, ρ=0.104. Min-variance weights: MTUM=0.207, TLH=0.793. | Assets: MTUM, TLH
MTUM: annualized_mean_return=0.0756, daily_std=0.0104
TLH: annualized_mean_return=0.2016, daily_std=0.0057
Minimum required portfolio return (annualized): 0.1945
Market regime: sideways
Compute portfolio weights (w_MTUM, w_TLH) that minimize portfolio variance while satisfying the minimum return cons... | w_MTUM=0.0563, w_TLH=0.9437 | 0.0563 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000033 - 0.000006) / (0.000108 + 0.000033 - 0.000012)
Unconstrained: w_MTUM=0.2074
After long-only clamp: w_MTUM=0.2074, w_TLH=0.7926. | {
"weights": {
"MTUM": 0.0563,
"TLH": 0.9437000000000001
},
"sigma_1": 0.010369,
"sigma_2": 0.005718,
"covariance": 0.000006,
"correlation": 0.1043,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.1945,
"constraint_binding": true
} |
T4_all_20200203_0847 | T4 | 2 | train | sideways | all | [
"MATIC-USD",
"PALL"
] | 2020-02-03T00:00:00 | MATIC-USD σ=0.0765, PALL σ=0.0211, ρ=-0.208. Min-variance weights: MATIC-USD=0.112, PALL=0.888. | Assets: MATIC-USD, PALL
MATIC-USD: annualized_mean_return=0.5544, daily_std=0.0765
PALL: annualized_mean_return=1.6632, daily_std=0.0211
Minimum required portfolio return (annualized): 1.4642
Market regime: sideways
Compute portfolio weights (w_MATIC-USD, w_PALL) that minimize portfolio variance while satisfying the m... | w_MATIC-USD=0.1124, w_PALL=0.8876 | 0.1124 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000447 - -0.000337) / (0.005855 + 0.000447 - -0.000674)
Unconstrained: w_MATIC-USD=0.1124
After long-only clamp: w_MATIC-USD=0.1124, w_PALL=0.8876. | {
"weights": {
"MATIC-USD": 0.1124,
"PALL": 0.8876000000000001
},
"sigma_1": 0.076518,
"sigma_2": 0.021145999999999998,
"covariance": -0.000337,
"correlation": -0.2082,
"has_text": false,
"text_chars": 0,
"mu_floor": 1.4642,
"constraint_binding": false
} |
T4_all_20180411_0849 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"XLP"
] | 2018-04-11T00:00:00 | BTC-USD σ=0.0484, XLP σ=0.0101, ρ=0.481. Min-variance weights: BTC-USD=0.000, XLP=1.000. | Assets: BTC-USD, XLP
BTC-USD: annualized_mean_return=-0.7308, daily_std=0.0484
XLP: annualized_mean_return=-0.2520, daily_std=0.0101
Minimum required portfolio return (annualized): -0.2734
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_XLP) that minimize portfolio variance while satisfying the minimum... | w_BTC-USD=0.0000, w_XLP=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000102 - 0.000235) / (0.002346 + 0.000102 - 0.000470)
Unconstrained: w_BTC-USD=-0.0673
After long-only clamp: w_BTC-USD=0.0000, w_XLP=1.0000. | {
"weights": {
"BTC-USD": 0,
"XLP": 1
},
"sigma_1": 0.048437,
"sigma_2": 0.010100999999999999,
"covariance": 0.000235,
"correlation": 0.48050000000000004,
"has_text": false,
"text_chars": 0,
"mu_floor": -0.27340000000000003,
"constraint_binding": false
} |
T4_all_20200601_0851 | T4 | 2 | train | sideways | all | [
"MATIC-USD",
"STIP"
] | 2020-06-01T00:00:00 | MATIC-USD σ=0.0640, STIP σ=0.0024, ρ=-0.115. Min-variance weights: MATIC-USD=0.006, STIP=0.994. | Assets: MATIC-USD, STIP
MATIC-USD: annualized_mean_return=3.0240, daily_std=0.0640
STIP: annualized_mean_return=0.0756, daily_std=0.0024
Minimum required portfolio return (annualized): 0.0912
Market regime: sideways
Compute portfolio weights (w_MATIC-USD, w_STIP) that minimize portfolio variance while satisfying the m... | w_MATIC-USD=0.0057, w_STIP=0.9943 | 0.0057 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000006 - -0.000018) / (0.004099 + 0.000006 - -0.000035)
Unconstrained: w_MATIC-USD=0.0056
After long-only clamp: w_MATIC-USD=0.0056, w_STIP=0.9944. | {
"weights": {
"MATIC-USD": 0.0057,
"STIP": 0.9943000000000001
},
"sigma_1": 0.064026,
"sigma_2": 0.002381,
"covariance": -0.000018,
"correlation": -0.115,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.0912,
"constraint_binding": false
} |
T4_all_20151028_0853 | T4 | 2 | train | sideways | all | [
"XLU",
"BIL"
] | 2015-10-28T00:00:00 | XLU σ=0.0116, BIL σ=0.0001, ρ=-0.255. Min-variance weights: XLU=0.003, BIL=0.997. | Assets: XLU, BIL
XLU: annualized_mean_return=0.0504, daily_std=0.0116
BIL: annualized_mean_return=-0.0000, daily_std=0.0001
Minimum required portfolio return (annualized): -0.0000
Market regime: sideways
Compute portfolio weights (w_XLU, w_BIL) that minimize portfolio variance while satisfying the minimum return const... | w_XLU=0.0001, w_BIL=0.9999 | 0.0001 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - -0.000000) / (0.000135 + 0.000000 - -0.000001)
Unconstrained: w_XLU=0.0030
After long-only clamp: w_XLU=0.0030, w_BIL=0.9970. | {
"weights": {
"XLU": 0.0001,
"BIL": 0.9999
},
"sigma_1": 0.011597999999999999,
"sigma_2": 0.00013199999999999998,
"covariance": 0,
"correlation": -0.2551,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0,
"constraint_binding": false
} |
T4_all_20220531_0855 | T4 | 2 | train | sideways | all | [
"XLB",
"REZ"
] | 2022-05-31T00:00:00 | XLB σ=0.0152, REZ σ=0.0137, ρ=0.670. Min-variance weights: XLB=0.347, REZ=0.653. | Assets: XLB, REZ
XLB: annualized_mean_return=0.2268, daily_std=0.0152
REZ: annualized_mean_return=-0.1260, daily_std=0.0137
Minimum required portfolio return (annualized): -0.0518
Market regime: sideways
Compute portfolio weights (w_XLB, w_REZ) that minimize portfolio variance while satisfying the minimum return const... | w_XLB=0.3479, w_REZ=0.6521 | 0.3479 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000188 - 0.000139) / (0.000231 + 0.000188 - 0.000279)
Unconstrained: w_XLB=0.3469
After long-only clamp: w_XLB=0.3469, w_REZ=0.6531. | {
"weights": {
"XLB": 0.34790000000000004,
"REZ": 0.6521
},
"sigma_1": 0.01519,
"sigma_2": 0.013708999999999999,
"covariance": 0.000139,
"correlation": 0.6696000000000001,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.051800000000000006,
"constraint_binding": false
} |
T4_all_20150814_0862 | T4 | 2 | train | sideways | all | [
"VTI",
"ICSH"
] | 2015-08-14T00:00:00 | VTI σ=0.0068, ICSH σ=0.0007, ρ=-0.139. Min-variance weights: VTI=0.024, ICSH=0.976. | Assets: VTI, ICSH
VTI: annualized_mean_return=-0.0756, daily_std=0.0068
ICSH: annualized_mean_return=-0.0000, daily_std=0.0007
Minimum required portfolio return (annualized): -0.0008
Market regime: sideways
Compute portfolio weights (w_VTI, w_ICSH) that minimize portfolio variance while satisfying the minimum return c... | w_VTI=0.0106, w_ICSH=0.9894 | 0.0106 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - -0.000001) / (0.000046 + 0.000000 - -0.000001)
Unconstrained: w_VTI=0.0237
After long-only clamp: w_VTI=0.0237, w_ICSH=0.9763. | {
"weights": {
"VTI": 0.0106,
"ICSH": 0.9894000000000001
},
"sigma_1": 0.006763,
"sigma_2": 0.0006900000000000001,
"covariance": -0.000001,
"correlation": -0.13920000000000002,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.0008,
"constraint_binding": true
} |
T4_all_20200603_0864 | T4 | 2 | train | sideways | all | [
"QQQ",
"HYG"
] | 2020-06-03T00:00:00 | QQQ σ=0.0225, HYG σ=0.0095, ρ=0.055. Min-variance weights: QQQ=0.138, HYG=0.862. | Assets: QQQ, HYG
QQQ: annualized_mean_return=0.4284, daily_std=0.0225
HYG: annualized_mean_return=0.1260, daily_std=0.0095
Minimum required portfolio return (annualized): 0.2979
Market regime: sideways
Compute portfolio weights (w_QQQ, w_HYG) that minimize portfolio variance while satisfying the minimum return constra... | w_QQQ=0.5685, w_HYG=0.4315 | 0.5685 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000091 - 0.000012) / (0.000507 + 0.000091 - 0.000024)
Unconstrained: w_QQQ=0.1377
After long-only clamp: w_QQQ=0.1377, w_HYG=0.8623. | {
"weights": {
"QQQ": 0.5685,
"HYG": 0.4315
},
"sigma_1": 0.022524,
"sigma_2": 0.009540000000000002,
"covariance": 0.000012,
"correlation": 0.0553,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.2979,
"constraint_binding": true
} |
T4_all_20220606_0868 | T4 | 2 | train | sideways | all | [
"MTUM",
"ADA-USD"
] | 2022-06-06T00:00:00 | MTUM σ=0.0195, ADA-USD σ=0.0677, ρ=0.357. Min-variance weights: MTUM=1.000, ADA-USD=0.000. | Assets: MTUM, ADA-USD
MTUM: annualized_mean_return=-0.2016, daily_std=0.0195
ADA-USD: annualized_mean_return=-1.9656, daily_std=0.0677
Minimum required portfolio return (annualized): -0.3726
Market regime: sideways
Compute portfolio weights (w_MTUM, w_ADA-USD) that minimize portfolio variance while satisfying the mini... | w_MTUM=1.0000, w_ADA-USD=0.0000 | 1 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.004577 - 0.000472) / (0.000382 + 0.004577 - 0.000944)
Unconstrained: w_MTUM=1.0224
After long-only clamp: w_MTUM=1.0000, w_ADA-USD=0.0000. | {
"weights": {
"MTUM": 1,
"ADA-USD": 0
},
"sigma_1": 0.019535999999999998,
"sigma_2": 0.067652,
"covariance": 0.000472,
"correlation": 0.357,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.37260000000000004,
"constraint_binding": false
} |
T4_all_20191211_0870 | T4 | 2 | train | sideways | all | [
"BNB-USD",
"ITB"
] | 2019-12-11T00:00:00 | BNB-USD σ=0.0335, ITB σ=0.0094, ρ=0.202. Min-variance weights: BNB-USD=0.022, ITB=0.978. | Assets: BNB-USD, ITB
BNB-USD: annualized_mean_return=-0.3276, daily_std=0.0335
ITB: annualized_mean_return=0.3276, daily_std=0.0094
Minimum required portfolio return (annualized): 0.3205
Market regime: sideways
Compute portfolio weights (w_BNB-USD, w_ITB) that minimize portfolio variance while satisfying the minimum r... | w_BNB-USD=0.0108, w_ITB=0.9892 | 0.0108 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000087 - 0.000063) / (0.001122 + 0.000087 - 0.000127)
Unconstrained: w_BNB-USD=0.0223
After long-only clamp: w_BNB-USD=0.0223, w_ITB=0.9777. | {
"weights": {
"BNB-USD": 0.0108,
"ITB": 0.9892000000000001
},
"sigma_1": 0.033493999999999996,
"sigma_2": 0.009353,
"covariance": 0.000063,
"correlation": 0.20220000000000002,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.3205,
"constraint_binding": true
} |
T4_all_20181106_0873 | T4 | 2 | train | sideways | all | [
"VTI",
"BIL"
] | 2018-11-06T00:00:00 | VTI σ=0.0094, BIL σ=0.0001, ρ=0.097. Min-variance weights: VTI=0.000, BIL=1.000. | Assets: VTI, BIL
VTI: annualized_mean_return=-0.1512, daily_std=0.0094
BIL: annualized_mean_return=0.0252, daily_std=0.0001
Minimum required portfolio return (annualized): -0.0550
Market regime: sideways
Compute portfolio weights (w_VTI, w_BIL) that minimize portfolio variance while satisfying the minimum return const... | w_VTI=0.0001, w_BIL=0.9999 | 0.0001 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000000) / (0.000089 + 0.000000 - 0.000000)
Unconstrained: w_VTI=-0.0008
After long-only clamp: w_VTI=0.0000, w_BIL=1.0000. | {
"weights": {
"VTI": 0.0001,
"BIL": 0.9999
},
"sigma_1": 0.009422999999999999,
"sigma_2": 0.000083,
"covariance": 0,
"correlation": 0.0971,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.055,
"constraint_binding": false
} |
T4_all_20180709_0880 | T4 | 2 | train | sideways | all | [
"XLI",
"ICSH"
] | 2018-07-09T00:00:00 | XLI σ=0.0086, ICSH σ=0.0002, ρ=-0.100. Min-variance weights: XLI=0.004, ICSH=0.996. | Assets: XLI, ICSH
XLI: annualized_mean_return=-0.0504, daily_std=0.0086
ICSH: annualized_mean_return=0.0252, daily_std=0.0002
Minimum required portfolio return (annualized): 0.0252
Market regime: sideways
Compute portfolio weights (w_XLI, w_ICSH) that minimize portfolio variance while satisfying the minimum return con... | w_XLI=-0.0000, w_ICSH=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - -0.000000) / (0.000074 + 0.000000 - -0.000000)
Unconstrained: w_XLI=0.0036
After long-only clamp: w_XLI=0.0036, w_ICSH=0.9964. | {
"weights": {
"XLI": 0,
"ICSH": 1
},
"sigma_1": 0.008584999999999999,
"sigma_2": 0.000245,
"covariance": 0,
"correlation": -0.10010000000000001,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0252,
"constraint_binding": true
} |
T4_all_20181205_0882 | T4 | 2 | train | sideways | all | [
"ETH-USD",
"CORN"
] | 2018-12-05T00:00:00 | ETH-USD σ=0.0472, CORN σ=0.0084, ρ=-0.038. Min-variance weights: ETH-USD=0.037, CORN=0.963. | Assets: ETH-USD, CORN
ETH-USD: annualized_mean_return=-2.7216, daily_std=0.0472
CORN: annualized_mean_return=0.2268, daily_std=0.0084
Minimum required portfolio return (annualized): 0.1492
Market regime: sideways
Compute portfolio weights (w_ETH-USD, w_CORN) that minimize portfolio variance while satisfying the minimu... | w_ETH-USD=0.0263, w_CORN=0.9737 | 0.0263 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000071 - -0.000015) / (0.002225 + 0.000071 - -0.000030)
Unconstrained: w_ETH-USD=0.0369
After long-only clamp: w_ETH-USD=0.0369, w_CORN=0.9631. | {
"weights": {
"ETH-USD": 0.0263,
"CORN": 0.9737
},
"sigma_1": 0.047167,
"sigma_2": 0.008421999999999999,
"covariance": -0.000014999999999999999,
"correlation": -0.0376,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.1492,
"constraint_binding": true
} |
T4_all_20210112_0885 | T4 | 2 | train | sideways | all | [
"VEA",
"VNQ"
] | 2021-01-12T00:00:00 | VEA σ=0.0104, VNQ σ=0.0122, ρ=0.670. Min-variance weights: VEA=0.733, VNQ=0.267. | Assets: VEA, VNQ
VEA: annualized_mean_return=0.6552, daily_std=0.0104
VNQ: annualized_mean_return=0.1260, daily_std=0.0122
Minimum required portfolio return (annualized): 0.4624
Market regime: sideways
Compute portfolio weights (w_VEA, w_VNQ) that minimize portfolio variance while satisfying the minimum return constra... | w_VEA=0.7337, w_VNQ=0.2663 | 0.7337 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000148 - 0.000085) / (0.000108 + 0.000148 - 0.000170)
Unconstrained: w_VEA=0.7328
After long-only clamp: w_VEA=0.7328, w_VNQ=0.2672. | {
"weights": {
"VEA": 0.7337,
"VNQ": 0.26630000000000004
},
"sigma_1": 0.010393999999999999,
"sigma_2": 0.012185,
"covariance": 0.00008499999999999999,
"correlation": 0.6699,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.46240000000000003,
"constraint_binding": false
} |
T4_all_20190705_0887 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"VNQ"
] | 2019-07-05T00:00:00 | BTC-USD σ=0.0507, VNQ σ=0.0089, ρ=-0.076. Min-variance weights: BTC-USD=0.042, VNQ=0.958. | Assets: BTC-USD, VNQ
BTC-USD: annualized_mean_return=3.0240, daily_std=0.0507
VNQ: annualized_mean_return=0.1764, daily_std=0.0089
Minimum required portfolio return (annualized): 0.2254
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_VNQ) that minimize portfolio variance while satisfying the minimum re... | w_BTC-USD=0.0418, w_VNQ=0.9582 | 0.0418 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000080 - -0.000034) / (0.002573 + 0.000080 - -0.000068)
Unconstrained: w_BTC-USD=0.0419
After long-only clamp: w_BTC-USD=0.0419, w_VNQ=0.9581. | {
"weights": {
"BTC-USD": 0.041800000000000004,
"VNQ": 0.9582
},
"sigma_1": 0.050721999999999996,
"sigma_2": 0.008929,
"covariance": -0.000034,
"correlation": -0.0756,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.22540000000000002,
"constraint_binding": false
} |
T4_all_20150507_0889 | T4 | 2 | train | sideways | all | [
"VTI",
"ICSH"
] | 2015-05-07T00:00:00 | VTI σ=0.0067, ICSH σ=0.0006, ρ=0.107. Min-variance weights: VTI=0.000, ICSH=1.000. | Assets: VTI, ICSH
VTI: annualized_mean_return=0.1008, daily_std=0.0067
ICSH: annualized_mean_return=-0.0252, daily_std=0.0006
Minimum required portfolio return (annualized): -0.0245
Market regime: sideways
Compute portfolio weights (w_VTI, w_ICSH) that minimize portfolio variance while satisfying the minimum return co... | w_VTI=0.0088, w_ICSH=0.9912 | 0.0088 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000000) / (0.000045 + 0.000000 - 0.000001)
Unconstrained: w_VTI=-0.0012
After long-only clamp: w_VTI=0.0000, w_ICSH=1.0000. | {
"weights": {
"VTI": 0.0088,
"ICSH": 0.9912000000000001
},
"sigma_1": 0.006690000000000001,
"sigma_2": 0.000629,
"covariance": 0,
"correlation": 0.1067,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.0245,
"constraint_binding": false
} |
T4_all_20180214_0891 | T4 | 2 | train | sideways | all | [
"ADA-USD",
"ICSH"
] | 2018-02-14T00:00:00 | ADA-USD σ=0.1046, ICSH σ=0.0004, ρ=-0.088. Min-variance weights: ADA-USD=0.000, ICSH=1.000. | Assets: ADA-USD, ICSH
ADA-USD: annualized_mean_return=0.8064, daily_std=0.1046
ICSH: annualized_mean_return=0.0000, daily_std=0.0004
Minimum required portfolio return (annualized): 0.0003
Market regime: sideways
Compute portfolio weights (w_ADA-USD, w_ICSH) that minimize portfolio variance while satisfying the minimum... | w_ADA-USD=0.0004, w_ICSH=0.9996 | 0.0004 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - -0.000004) / (0.010942 + 0.000000 - -0.000008)
Unconstrained: w_ADA-USD=0.0004
After long-only clamp: w_ADA-USD=0.0004, w_ICSH=0.9996. | {
"weights": {
"ADA-USD": 0.0004,
"ICSH": 0.9996
},
"sigma_1": 0.10460499999999999,
"sigma_2": 0.00043599999999999997,
"covariance": -0.000004,
"correlation": -0.088,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.00030000000000000003,
"constraint_binding": false
} |
T4_all_20191028_0893 | T4 | 2 | train | sideways | all | [
"^VIX",
"DBB"
] | 2019-10-28T00:00:00 | ^VIX σ=0.0920, DBB σ=0.0080, ρ=-0.275. Min-variance weights: ^VIX=0.030, DBB=0.970. | Assets: ^VIX, DBB
^VIX: annualized_mean_return=-1.7136, daily_std=0.0920
DBB: annualized_mean_return=0.1260, daily_std=0.0080
Minimum required portfolio return (annualized): -0.9913
Market regime: sideways
Compute portfolio weights (w_^VIX, w_DBB) that minimize portfolio variance while satisfying the minimum return co... | w_^VIX=0.0296, w_DBB=0.9704 | 0.0296 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000063 - -0.000201) / (0.008463 + 0.000063 - -0.000403)
Unconstrained: w_^VIX=0.0296
After long-only clamp: w_^VIX=0.0296, w_DBB=0.9704. | {
"weights": {
"^VIX": 0.0296,
"DBB": 0.9704
},
"sigma_1": 0.09199299999999999,
"sigma_2": 0.00795,
"covariance": -0.00020099999999999998,
"correlation": -0.2753,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.9913000000000001,
"constraint_binding": false
} |
T4_all_20190204_0895 | T4 | 2 | train | sideways | all | [
"BNB-USD",
"SLV"
] | 2019-02-04T00:00:00 | BNB-USD σ=0.0555, SLV σ=0.0086, ρ=0.117. Min-variance weights: BNB-USD=0.006, SLV=0.994. | Assets: BNB-USD, SLV
BNB-USD: annualized_mean_return=0.9072, daily_std=0.0555
SLV: annualized_mean_return=0.5040, daily_std=0.0086
Minimum required portfolio return (annualized): 0.5063
Market regime: sideways
Compute portfolio weights (w_BNB-USD, w_SLV) that minimize portfolio variance while satisfying the minimum re... | w_BNB-USD=0.0061, w_SLV=0.9939 | 0.0061 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000075 - 0.000056) / (0.003080 + 0.000075 - 0.000112)
Unconstrained: w_BNB-USD=0.0061
After long-only clamp: w_BNB-USD=0.0061, w_SLV=0.9939. | {
"weights": {
"BNB-USD": 0.0061,
"SLV": 0.9939
},
"sigma_1": 0.055501999999999996,
"sigma_2": 0.008631999999999999,
"covariance": 0.000056,
"correlation": 0.11660000000000001,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.5063,
"constraint_binding": false
} |
T4_all_20210416_0898 | T4 | 2 | train | sideways | all | [
"XLRE",
"SCHH"
] | 2021-04-16T00:00:00 | XLRE σ=0.0092, SCHH σ=0.0092, ρ=0.985. Min-variance weights: XLRE=0.467, SCHH=0.533. | Assets: XLRE, SCHH
XLRE: annualized_mean_return=0.6048, daily_std=0.0092
SCHH: annualized_mean_return=0.5796, daily_std=0.0092
Minimum required portfolio return (annualized): 0.5979
Market regime: sideways
Compute portfolio weights (w_XLRE, w_SCHH) that minimize portfolio variance while satisfying the minimum return c... | w_XLRE=0.7262, w_SCHH=0.2738 | 0.7262 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000084 - 0.000083) / (0.000085 + 0.000084 - 0.000166)
Unconstrained: w_XLRE=0.4674
After long-only clamp: w_XLRE=0.4674, w_SCHH=0.5326. | {
"weights": {
"XLRE": 0.7262000000000001,
"SCHH": 0.2738
},
"sigma_1": 0.009195,
"sigma_2": 0.009186,
"covariance": 0.000083,
"correlation": 0.985,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.5979,
"constraint_binding": true
} |
T4_all_20191216_0900 | T4 | 2 | train | sideways | all | [
"IVV",
"ICSH"
] | 2019-12-16T00:00:00 | IVV σ=0.0061, ICSH σ=0.0002, ρ=0.172. Min-variance weights: IVV=0.000, ICSH=1.000. | Assets: IVV, ICSH
IVV: annualized_mean_return=0.2520, daily_std=0.0061
ICSH: annualized_mean_return=0.0252, daily_std=0.0002
Minimum required portfolio return (annualized): 0.0944
Market regime: sideways
Compute portfolio weights (w_IVV, w_ICSH) that minimize portfolio variance while satisfying the minimum return cons... | w_IVV=0.3051, w_ICSH=0.6949 | 0.3051 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000000) / (0.000038 + 0.000000 - 0.000000)
Unconstrained: w_IVV=-0.0047
After long-only clamp: w_IVV=0.0000, w_ICSH=1.0000. | {
"weights": {
"IVV": 0.30510000000000004,
"ICSH": 0.6949000000000001
},
"sigma_1": 0.006148,
"sigma_2": 0.000205,
"covariance": 0,
"correlation": 0.1723,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0944,
"constraint_binding": true
} |
T4_all_20220524_0903 | T4 | 2 | train | sideways | all | [
"XLE",
"XHB"
] | 2022-05-24T00:00:00 | XLE σ=0.0214, XHB σ=0.0222, ρ=0.044. Min-variance weights: XLE=0.518, XHB=0.482. | Assets: XLE, XHB
XLE: annualized_mean_return=1.0332, daily_std=0.0214
XHB: annualized_mean_return=-0.4788, daily_std=0.0222
Minimum required portfolio return (annualized): 0.1518
Market regime: sideways
Compute portfolio weights (w_XLE, w_XHB) that minimize portfolio variance while satisfying the minimum return constr... | w_XLE=0.5184, w_XHB=0.4816 | 0.5184 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000491 - 0.000021) / (0.000458 + 0.000491 - 0.000042)
Unconstrained: w_XLE=0.5183
After long-only clamp: w_XLE=0.5183, w_XHB=0.4817. | {
"weights": {
"XLE": 0.5184,
"XHB": 0.48160000000000003
},
"sigma_1": 0.021394,
"sigma_2": 0.022158999999999998,
"covariance": 0.000021,
"correlation": 0.0442,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.15180000000000002,
"constraint_binding": false
} |
T4_all_20180202_0905 | T4 | 2 | train | sideways | all | [
"ETH-USD",
"EMB"
] | 2018-02-02T00:00:00 | ETH-USD σ=0.0711, EMB σ=0.0019, ρ=0.183. Min-variance weights: ETH-USD=0.000, EMB=1.000. | Assets: ETH-USD, EMB
ETH-USD: annualized_mean_return=3.8304, daily_std=0.0711
EMB: annualized_mean_return=0.0756, daily_std=0.0019
Minimum required portfolio return (annualized): 0.0756
Market regime: sideways
Compute portfolio weights (w_ETH-USD, w_EMB) that minimize portfolio variance while satisfying the minimum re... | w_ETH-USD=0.0000, w_EMB=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000004 - 0.000025) / (0.005051 + 0.000004 - 0.000051)
Unconstrained: w_ETH-USD=-0.0043
After long-only clamp: w_ETH-USD=0.0000, w_EMB=1.0000. | {
"weights": {
"ETH-USD": 0,
"EMB": 1
},
"sigma_1": 0.071071,
"sigma_2": 0.0019479999999999999,
"covariance": 0.000024999999999999998,
"correlation": 0.1832,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.0756,
"constraint_binding": false
} |
T4_all_20170517_0907 | T4 | 2 | train | sideways | all | [
"EEM",
"PDBC"
] | 2017-05-17T00:00:00 | EEM σ=0.0081, PDBC σ=0.0076, ρ=0.030. Min-variance weights: EEM=0.462, PDBC=0.538. | Assets: EEM, PDBC
EEM: annualized_mean_return=0.3528, daily_std=0.0081
PDBC: annualized_mean_return=-0.2520, daily_std=0.0076
Minimum required portfolio return (annualized): -0.0325
Market regime: sideways
Compute portfolio weights (w_EEM, w_PDBC) that minimize portfolio variance while satisfying the minimum return co... | w_EEM=0.4620, w_PDBC=0.5380 | 0.462 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000057 - 0.000002) / (0.000066 + 0.000057 - 0.000004)
Unconstrained: w_EEM=0.4621
After long-only clamp: w_EEM=0.4621, w_PDBC=0.5379. | {
"weights": {
"EEM": 0.462,
"PDBC": 0.538
},
"sigma_1": 0.008140999999999999,
"sigma_2": 0.007562999999999999,
"covariance": 0.000002,
"correlation": 0.030500000000000003,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.0325,
"constraint_binding": false
} |
T4_all_20180706_0909 | T4 | 2 | train | sideways | all | [
"IVV",
"SCHP"
] | 2018-07-06T00:00:00 | IVV σ=0.0063, SCHP σ=0.0018, ρ=-0.306. Min-variance weights: IVV=0.138, SCHP=0.862. | Assets: IVV, SCHP
IVV: annualized_mean_return=0.1512, daily_std=0.0063
SCHP: annualized_mean_return=0.0504, daily_std=0.0018
Minimum required portfolio return (annualized): 0.0578
Market regime: sideways
Compute portfolio weights (w_IVV, w_SCHP) that minimize portfolio variance while satisfying the minimum return cons... | w_IVV=0.1447, w_SCHP=0.8553 | 0.1447 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000003 - -0.000004) / (0.000040 + 0.000003 - -0.000007)
Unconstrained: w_IVV=0.1380
After long-only clamp: w_IVV=0.1380, w_SCHP=0.8620. | {
"weights": {
"IVV": 0.1447,
"SCHP": 0.8553000000000001
},
"sigma_1": 0.006287999999999999,
"sigma_2": 0.0018349999999999998,
"covariance": -0.000004,
"correlation": -0.3059,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.057800000000000004,
"constraint_binding": false
} |
T4_all_20221209_0911 | T4 | 2 | train | sideways | all | [
"XRP-USD",
"IAU"
] | 2022-12-09T00:00:00 | XRP-USD σ=0.0492, IAU σ=0.0101, ρ=0.150. Min-variance weights: XRP-USD=0.012, IAU=0.988. | Assets: XRP-USD, IAU
XRP-USD: annualized_mean_return=-0.9576, daily_std=0.0492
IAU: annualized_mean_return=0.2772, daily_std=0.0101
Minimum required portfolio return (annualized): -0.4204
Market regime: sideways
Compute portfolio weights (w_XRP-USD, w_IAU) that minimize portfolio variance while satisfying the minimum ... | w_XRP-USD=0.0118, w_IAU=0.9882 | 0.0118 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000103 - 0.000075) / (0.002419 + 0.000103 - 0.000150)
Unconstrained: w_XRP-USD=0.0118
After long-only clamp: w_XRP-USD=0.0118, w_IAU=0.9882. | {
"weights": {
"XRP-USD": 0.0118,
"IAU": 0.9882000000000001
},
"sigma_1": 0.049184,
"sigma_2": 0.010145,
"covariance": 0.000075,
"correlation": 0.15030000000000002,
"has_text": true,
"text_chars": 20,
"mu_floor": -0.4204,
"constraint_binding": false
} |
T4_all_20210128_0913 | T4 | 2 | train | sideways | all | [
"ADA-USD",
"ITB"
] | 2021-01-28T00:00:00 | ADA-USD σ=0.0766, ITB σ=0.0194, ρ=0.176. Min-variance weights: ADA-USD=0.020, ITB=0.980. | Assets: ADA-USD, ITB
ADA-USD: annualized_mean_return=3.2256, daily_std=0.0766
ITB: annualized_mean_return=0.6552, daily_std=0.0194
Minimum required portfolio return (annualized): 0.6952
Market regime: sideways
Compute portfolio weights (w_ADA-USD, w_ITB) that minimize portfolio variance while satisfying the minimum re... | w_ADA-USD=0.0199, w_ITB=0.9801 | 0.0199 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000375 - 0.000261) / (0.005862 + 0.000375 - 0.000522)
Unconstrained: w_ADA-USD=0.0199
After long-only clamp: w_ADA-USD=0.0199, w_ITB=0.9801. | {
"weights": {
"ADA-USD": 0.0199,
"ITB": 0.9801000000000001
},
"sigma_1": 0.076566,
"sigma_2": 0.019357,
"covariance": 0.000261,
"correlation": 0.1761,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.6952,
"constraint_binding": false
} |
T4_all_20210813_0915 | T4 | 2 | train | sideways | all | [
"FXI",
"LQD"
] | 2021-08-13T00:00:00 | FXI σ=0.0156, LQD σ=0.0032, ρ=-0.193. Min-variance weights: FXI=0.073, LQD=0.926. | Assets: FXI, LQD
FXI: annualized_mean_return=-0.3528, daily_std=0.0156
LQD: annualized_mean_return=0.1260, daily_std=0.0032
Minimum required portfolio return (annualized): 0.0424
Market regime: sideways
Compute portfolio weights (w_FXI, w_LQD) that minimize portfolio variance while satisfying the minimum return constr... | w_FXI=0.0744, w_LQD=0.9256 | 0.0744 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000010 - -0.000010) / (0.000244 + 0.000010 - -0.000019)
Unconstrained: w_FXI=0.0735
After long-only clamp: w_FXI=0.0735, w_LQD=0.9265. | {
"weights": {
"FXI": 0.07440000000000001,
"LQD": 0.9256000000000001
},
"sigma_1": 0.015626,
"sigma_2": 0.003228,
"covariance": -0.00001,
"correlation": -0.1927,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0424,
"constraint_binding": false
} |
T4_all_20220715_0917 | T4 | 2 | train | sideways | all | [
"MATIC-USD",
"SCHP"
] | 2022-07-15T00:00:00 | MATIC-USD σ=0.0738, SCHP σ=0.0053, ρ=0.151. Min-variance weights: MATIC-USD=0.000, SCHP=1.000. | Assets: MATIC-USD, SCHP
MATIC-USD: annualized_mean_return=0.5040, daily_std=0.0738
SCHP: annualized_mean_return=-0.1260, daily_std=0.0053
Minimum required portfolio return (annualized): -0.1260
Market regime: sideways
Compute portfolio weights (w_MATIC-USD, w_SCHP) that minimize portfolio variance while satisfying the... | w_MATIC-USD=0.0000, w_SCHP=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000029 - 0.000059) / (0.005442 + 0.000029 - 0.000119)
Unconstrained: w_MATIC-USD=-0.0058
After long-only clamp: w_MATIC-USD=0.0000, w_SCHP=1.0000. | {
"weights": {
"MATIC-USD": 0,
"SCHP": 1
},
"sigma_1": 0.073769,
"sigma_2": 0.005339,
"covariance": 0.000059,
"correlation": 0.1509,
"has_text": true,
"text_chars": 20,
"mu_floor": -0.126,
"constraint_binding": false
} |
T4_all_20190524_0919 | T4 | 2 | train | sideways | all | [
"EEM",
"LINK-USD"
] | 2019-05-24T00:00:00 | EEM σ=0.0107, LINK-USD σ=0.0560, ρ=0.050. Min-variance weights: EEM=0.974, LINK-USD=0.026. | Assets: EEM, LINK-USD
EEM: annualized_mean_return=-0.3024, daily_std=0.0107
LINK-USD: annualized_mean_return=4.6368, daily_std=0.0560
Minimum required portfolio return (annualized): -0.2104
Market regime: sideways
Compute portfolio weights (w_EEM, w_LINK-USD) that minimize portfolio variance while satisfying the minim... | w_EEM=0.9735, w_LINK-USD=0.0265 | 0.9735 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.003133 - 0.000030) / (0.000115 + 0.003133 - 0.000060)
Unconstrained: w_EEM=0.9735
After long-only clamp: w_EEM=0.9735, w_LINK-USD=0.0265. | {
"weights": {
"EEM": 0.9735,
"LINK-USD": 0.026500000000000003
},
"sigma_1": 0.010702999999999999,
"sigma_2": 0.055975,
"covariance": 0.000030000000000000004,
"correlation": 0.050300000000000004,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.2104,
"constraint_binding": false
} |
T4_all_20180702_0921 | T4 | 2 | train | sideways | all | [
"EFA",
"STIP"
] | 2018-07-02T00:00:00 | EFA σ=0.0063, STIP σ=0.0007, ρ=0.062. Min-variance weights: EFA=0.005, STIP=0.995. | Assets: EFA, STIP
EFA: annualized_mean_return=-0.1008, daily_std=0.0063
STIP: annualized_mean_return=0.0252, daily_std=0.0007
Minimum required portfolio return (annualized): -0.0500
Market regime: sideways
Compute portfolio weights (w_EFA, w_STIP) that minimize portfolio variance while satisfying the minimum return co... | w_EFA=0.0118, w_STIP=0.9882 | 0.0118 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000000) / (0.000040 + 0.000000 - 0.000001)
Unconstrained: w_EFA=0.0051
After long-only clamp: w_EFA=0.0051, w_STIP=0.9949. | {
"weights": {
"EFA": 0.0118,
"STIP": 0.9882000000000001
},
"sigma_1": 0.006320999999999999,
"sigma_2": 0.0006900000000000001,
"covariance": 0,
"correlation": 0.062200000000000005,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.05,
"constraint_binding": false
} |
T4_all_20180913_0926 | T4 | 2 | train | sideways | all | [
"QQQ",
"EMB"
] | 2018-09-13T00:00:00 | QQQ σ=0.0083, EMB σ=0.0036, ρ=0.025. Min-variance weights: QQQ=0.156, EMB=0.844. | Assets: QQQ, EMB
QQQ: annualized_mean_return=0.1512, daily_std=0.0083
EMB: annualized_mean_return=0.0000, daily_std=0.0036
Minimum required portfolio return (annualized): 0.0922
Market regime: sideways
Compute portfolio weights (w_QQQ, w_EMB) that minimize portfolio variance while satisfying the minimum return constra... | w_QQQ=0.6098, w_EMB=0.3902 | 0.6098 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000013 - 0.000001) / (0.000068 + 0.000013 - 0.000002)
Unconstrained: w_QQQ=0.1560
After long-only clamp: w_QQQ=0.1560, w_EMB=0.8440. | {
"weights": {
"QQQ": 0.6098,
"EMB": 0.3902
},
"sigma_1": 0.008267,
"sigma_2": 0.0036400000000000004,
"covariance": 0.000001,
"correlation": 0.0252,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0922,
"constraint_binding": true
} |
T4_all_20181010_0928 | T4 | 2 | train | sideways | all | [
"VEA",
"CPER"
] | 2018-10-10T00:00:00 | VEA σ=0.0065, CPER σ=0.0140, ρ=0.252. Min-variance weights: VEA=0.902, CPER=0.098. | Assets: VEA, CPER
VEA: annualized_mean_return=-0.1260, daily_std=0.0065
CPER: annualized_mean_return=-0.0252, daily_std=0.0140
Minimum required portfolio return (annualized): -0.0672
Market regime: sideways
Compute portfolio weights (w_VEA, w_CPER) that minimize portfolio variance while satisfying the minimum return c... | w_VEA=0.4167, w_CPER=0.5833 | 0.4167 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000196 - 0.000023) / (0.000042 + 0.000196 - 0.000046)
Unconstrained: w_VEA=0.9016
After long-only clamp: w_VEA=0.9016, w_CPER=0.0984. | {
"weights": {
"VEA": 0.4167,
"CPER": 0.5833
},
"sigma_1": 0.006461,
"sigma_2": 0.014005,
"covariance": 0.000023,
"correlation": 0.25220000000000004,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.06720000000000001,
"constraint_binding": true
} |
T4_all_20160114_0930 | T4 | 2 | train | sideways | all | [
"VTI",
"SOYB"
] | 2016-01-14T00:00:00 | VTI σ=0.0102, SOYB σ=0.0081, ρ=-0.043. Min-variance weights: VTI=0.392, SOYB=0.608. | Assets: VTI, SOYB
VTI: annualized_mean_return=-0.3276, daily_std=0.0102
SOYB: annualized_mean_return=-0.1260, daily_std=0.0081
Minimum required portfolio return (annualized): -0.1524
Market regime: sideways
Compute portfolio weights (w_VTI, w_SOYB) that minimize portfolio variance while satisfying the minimum return c... | w_VTI=0.1310, w_SOYB=0.8690 | 0.131 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000066 - -0.000004) / (0.000105 + 0.000066 - -0.000007)
Unconstrained: w_VTI=0.3919
After long-only clamp: w_VTI=0.3919, w_SOYB=0.6081. | {
"weights": {
"VTI": 0.131,
"SOYB": 0.869
},
"sigma_1": 0.010230999999999999,
"sigma_2": 0.008136,
"covariance": -0.000004,
"correlation": -0.043000000000000003,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.1524,
"constraint_binding": true
} |
T4_all_20211012_0932 | T4 | 2 | train | sideways | all | [
"DOT-USD",
"DBB"
] | 2021-10-12T00:00:00 | DOT-USD σ=0.0724, DBB σ=0.0104, ρ=-0.039. Min-variance weights: DOT-USD=0.026, DBB=0.974. | Assets: DOT-USD, DBB
DOT-USD: annualized_mean_return=2.7720, daily_std=0.0724
DBB: annualized_mean_return=0.4536, daily_std=0.0104
Minimum required portfolio return (annualized): 1.4877
Market regime: sideways
Compute portfolio weights (w_DOT-USD, w_DBB) that minimize portfolio variance while satisfying the minimum re... | w_DOT-USD=0.4460, w_DBB=0.5540 | 0.446 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000109 - -0.000030) / (0.005246 + 0.000109 - -0.000060)
Unconstrained: w_DOT-USD=0.0256
After long-only clamp: w_DOT-USD=0.0256, w_DBB=0.9744. | {
"weights": {
"DOT-USD": 0.446,
"DBB": 0.554
},
"sigma_1": 0.07242799999999999,
"sigma_2": 0.010433999999999999,
"covariance": -0.000030000000000000004,
"correlation": -0.0395,
"has_text": false,
"text_chars": 0,
"mu_floor": 1.4877,
"constraint_binding": true
} |
T4_all_20210118_0934 | T4 | 2 | train | sideways | all | [
"ETH-USD",
"EMB"
] | 2021-01-18T00:00:00 | ETH-USD σ=0.0529, EMB σ=0.0039, ρ=0.057. Min-variance weights: ETH-USD=0.001, EMB=0.999. | Assets: ETH-USD, EMB
ETH-USD: annualized_mean_return=3.9816, daily_std=0.0529
EMB: annualized_mean_return=0.1260, daily_std=0.0039
Minimum required portfolio return (annualized): 2.0957
Market regime: sideways
Compute portfolio weights (w_ETH-USD, w_EMB) that minimize portfolio variance while satisfying the minimum re... | w_ETH-USD=0.5109, w_EMB=0.4891 | 0.5109 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000015 - 0.000012) / (0.002802 + 0.000015 - 0.000024)
Unconstrained: w_ETH-USD=0.0012
After long-only clamp: w_ETH-USD=0.0012, w_EMB=0.9988. | {
"weights": {
"ETH-USD": 0.5109,
"EMB": 0.48910000000000003
},
"sigma_1": 0.052934999999999996,
"sigma_2": 0.003901,
"covariance": 0.000012,
"correlation": 0.057100000000000005,
"has_text": false,
"text_chars": 0,
"mu_floor": 2.0957,
"constraint_binding": true
} |
T4_all_20210223_0936 | T4 | 2 | train | sideways | all | [
"ADA-USD",
"IYR"
] | 2021-02-23T00:00:00 | ADA-USD σ=0.0846, IYR σ=0.0096, ρ=-0.168. Min-variance weights: ADA-USD=0.030, IYR=0.970. | Assets: ADA-USD, IYR
ADA-USD: annualized_mean_return=8.7192, daily_std=0.0846
IYR: annualized_mean_return=0.2520, daily_std=0.0096
Minimum required portfolio return (annualized): 4.8296
Market regime: sideways
Compute portfolio weights (w_ADA-USD, w_IYR) that minimize portfolio variance while satisfying the minimum re... | w_ADA-USD=0.5406, w_IYR=0.4594 | 0.5406 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000093 - -0.000137) / (0.007166 + 0.000093 - -0.000274)
Unconstrained: w_ADA-USD=0.0305
After long-only clamp: w_ADA-USD=0.0305, w_IYR=0.9695. | {
"weights": {
"ADA-USD": 0.5406000000000001,
"IYR": 0.45940000000000003
},
"sigma_1": 0.084649,
"sigma_2": 0.009633,
"covariance": -0.000137,
"correlation": -0.1681,
"has_text": false,
"text_chars": 0,
"mu_floor": 4.8296,
"constraint_binding": true
} |
T4_all_20170203_0938 | T4 | 2 | train | sideways | all | [
"VTI",
"TLH"
] | 2017-02-03T00:00:00 | VTI σ=0.0053, TLH σ=0.0042, ρ=-0.202. Min-variance weights: VTI=0.409, TLH=0.591. | Assets: VTI, TLH
VTI: annualized_mean_return=0.4284, daily_std=0.0053
TLH: annualized_mean_return=-0.1260, daily_std=0.0042
Minimum required portfolio return (annualized): 0.3604
Market regime: sideways
Compute portfolio weights (w_VTI, w_TLH) that minimize portfolio variance while satisfying the minimum return constr... | w_VTI=0.8773, w_TLH=0.1227 | 0.8773 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000018 - -0.000005) / (0.000028 + 0.000018 - -0.000009)
Unconstrained: w_VTI=0.4093
After long-only clamp: w_VTI=0.4093, w_TLH=0.5907. | {
"weights": {
"VTI": 0.8773000000000001,
"TLH": 0.1227
},
"sigma_1": 0.005292,
"sigma_2": 0.0042439999999999995,
"covariance": -0.0000049999999999999996,
"correlation": -0.2023,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.3604,
"constraint_binding": true
} |
T4_all_20190226_0940 | T4 | 2 | train | sideways | all | [
"XRP-USD",
"IVV"
] | 2019-02-26T00:00:00 | XRP-USD σ=0.0369, IVV σ=0.0120, ρ=0.100. Min-variance weights: XRP-USD=0.070, IVV=0.929. | Assets: XRP-USD, IVV
XRP-USD: annualized_mean_return=0.0000, daily_std=0.0369
IVV: annualized_mean_return=0.0756, daily_std=0.0120
Minimum required portfolio return (annualized): 0.0725
Market regime: sideways
Compute portfolio weights (w_XRP-USD, w_IVV) that minimize portfolio variance while satisfying the minimum re... | w_XRP-USD=0.0410, w_IVV=0.9590 | 0.041 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000144 - 0.000044) / (0.001363 + 0.000144 - 0.000088)
Unconstrained: w_XRP-USD=0.0705
After long-only clamp: w_XRP-USD=0.0705, w_IVV=0.9295. | {
"weights": {
"XRP-USD": 0.041,
"IVV": 0.9590000000000001
},
"sigma_1": 0.036913,
"sigma_2": 0.012003999999999999,
"covariance": 0.000044,
"correlation": 0.0995,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.07250000000000001,
"constraint_binding": true
} |
T4_all_20201026_0942 | T4 | 2 | train | sideways | all | [
"ACWI",
"DOT-USD"
] | 2020-10-26T00:00:00 | ACWI σ=0.0097, DOT-USD σ=0.0581, ρ=-0.112. Min-variance weights: ACWI=0.956, DOT-USD=0.044. | Assets: ACWI, DOT-USD
ACWI: annualized_mean_return=0.2268, daily_std=0.0097
DOT-USD: annualized_mean_return=-0.9828, daily_std=0.0581
Minimum required portfolio return (annualized): 0.2077
Market regime: sideways
Compute portfolio weights (w_ACWI, w_DOT-USD) that minimize portfolio variance while satisfying the minimu... | w_ACWI=0.9842, w_DOT-USD=0.0158 | 0.9842 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.003371 - -0.000063) / (0.000095 + 0.003371 - -0.000127)
Unconstrained: w_ACWI=0.9560
After long-only clamp: w_ACWI=0.9560, w_DOT-USD=0.0440. | {
"weights": {
"ACWI": 0.9842000000000001,
"DOT-USD": 0.0158
},
"sigma_1": 0.009729,
"sigma_2": 0.058059,
"covariance": -0.000063,
"correlation": -0.1121,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.20770000000000002,
"constraint_binding": true
} |
T4_all_20200701_0944 | T4 | 2 | train | sideways | all | [
"FXI",
"SOL-USD"
] | 2020-07-01T00:00:00 | FXI σ=0.0164, SOL-USD σ=0.0531, ρ=0.077. Min-variance weights: FXI=0.932, SOL-USD=0.068. | Assets: FXI, SOL-USD
FXI: annualized_mean_return=0.3528, daily_std=0.0164
SOL-USD: annualized_mean_return=1.0584, daily_std=0.0531
Minimum required portfolio return (annualized): 0.6542
Market regime: sideways
Compute portfolio weights (w_FXI, w_SOL-USD) that minimize portfolio variance while satisfying the minimum re... | w_FXI=0.5728, w_SOL-USD=0.4272 | 0.5728 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.002823 - 0.000067) / (0.000267 + 0.002823 - 0.000134)
Unconstrained: w_FXI=0.9322
After long-only clamp: w_FXI=0.9322, w_SOL-USD=0.0678. | {
"weights": {
"FXI": 0.5728,
"SOL-USD": 0.4272
},
"sigma_1": 0.016354999999999998,
"sigma_2": 0.053134999999999995,
"covariance": 0.000067,
"correlation": 0.077,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.6542,
"constraint_binding": true
} |
T4_all_20220203_0948 | T4 | 2 | train | sideways | all | [
"EEM",
"SCHP"
] | 2022-02-03T00:00:00 | EEM σ=0.0110, SCHP σ=0.0034, ρ=0.140. Min-variance weights: EEM=0.053, SCHP=0.947. | Assets: EEM, SCHP
EEM: annualized_mean_return=-0.1008, daily_std=0.0110
SCHP: annualized_mean_return=-0.1260, daily_std=0.0034
Minimum required portfolio return (annualized): -0.1106
Market regime: sideways
Compute portfolio weights (w_EEM, w_SCHP) that minimize portfolio variance while satisfying the minimum return c... | w_EEM=0.6111, w_SCHP=0.3889 | 0.6111 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000012 - 0.000005) / (0.000120 + 0.000012 - 0.000011)
Unconstrained: w_EEM=0.0532
After long-only clamp: w_EEM=0.0532, w_SCHP=0.9468. | {
"weights": {
"EEM": 0.6111,
"SCHP": 0.3889
},
"sigma_1": 0.010959,
"sigma_2": 0.0034249999999999997,
"covariance": 0.0000049999999999999996,
"correlation": 0.1404,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.1106,
"constraint_binding": true
} |
T4_all_20220426_0950 | T4 | 2 | train | sideways | all | [
"ETH-USD",
"BIL"
] | 2022-04-26T00:00:00 | ETH-USD σ=0.0345, BIL σ=0.0001, ρ=0.030. Min-variance weights: ETH-USD=0.000, BIL=1.000. | Assets: ETH-USD, BIL
ETH-USD: annualized_mean_return=0.7560, daily_std=0.0345
BIL: annualized_mean_return=-0.0000, daily_std=0.0001
Minimum required portfolio return (annualized): 0.5273
Market regime: sideways
Compute portfolio weights (w_ETH-USD, w_BIL) that minimize portfolio variance while satisfying the minimum r... | w_ETH-USD=0.6975, w_BIL=0.3025 | 0.6975 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - 0.000000) / (0.001193 + 0.000000 - 0.000000)
Unconstrained: w_ETH-USD=-0.0001
After long-only clamp: w_ETH-USD=0.0000, w_BIL=1.0000. | {
"weights": {
"ETH-USD": 0.6975,
"BIL": 0.3025
},
"sigma_1": 0.034543,
"sigma_2": 0.00010899999999999999,
"covariance": 0,
"correlation": 0.03,
"has_text": true,
"text_chars": 20,
"mu_floor": 0.5273,
"constraint_binding": true
} |
T4_all_20220923_0952 | T4 | 2 | train | sideways | all | [
"ADA-USD",
"VNQI"
] | 2022-09-23T00:00:00 | ADA-USD σ=0.0384, VNQI σ=0.0106, ρ=0.105. Min-variance weights: ADA-USD=0.047, VNQI=0.953. | Assets: ADA-USD, VNQI
ADA-USD: annualized_mean_return=-0.2772, daily_std=0.0384
VNQI: annualized_mean_return=-0.4536, daily_std=0.0106
Minimum required portfolio return (annualized): -0.3202
Market regime: sideways
Compute portfolio weights (w_ADA-USD, w_VNQI) that minimize portfolio variance while satisfying the mini... | w_ADA-USD=0.7562, w_VNQI=0.2438 | 0.7562 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000113 - 0.000043) / (0.001478 + 0.000113 - 0.000086)
Unconstrained: w_ADA-USD=0.0466
After long-only clamp: w_ADA-USD=0.0466, w_VNQI=0.9534. | {
"weights": {
"ADA-USD": 0.7562,
"VNQI": 0.24380000000000002
},
"sigma_1": 0.038439,
"sigma_2": 0.010635,
"covariance": 0.000042999999999999995,
"correlation": 0.105,
"has_text": true,
"text_chars": 20,
"mu_floor": -0.32020000000000004,
"constraint_binding": true
} |
T4_all_20220718_0954 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"TLH"
] | 2022-07-18T00:00:00 | BTC-USD σ=0.0377, TLH σ=0.0097, ρ=0.219. Min-variance weights: BTC-USD=0.010, TLH=0.990. | Assets: BTC-USD, TLH
BTC-USD: annualized_mean_return=-1.0332, daily_std=0.0377
TLH: annualized_mean_return=-0.0504, daily_std=0.0097
Minimum required portfolio return (annualized): -0.0539
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_TLH) that minimize portfolio variance while satisfying the minimum... | w_BTC-USD=0.0036, w_TLH=0.9964 | 0.0036 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000093 - 0.000080) / (0.001424 + 0.000093 - 0.000159)
Unconstrained: w_BTC-USD=0.0099
After long-only clamp: w_BTC-USD=0.0099, w_TLH=0.9901. | {
"weights": {
"BTC-USD": 0.0036000000000000003,
"TLH": 0.9964000000000001
},
"sigma_1": 0.037741,
"sigma_2": 0.00965,
"covariance": 0.00008,
"correlation": 0.21860000000000002,
"has_text": true,
"text_chars": 20,
"mu_floor": -0.0539,
"constraint_binding": true
} |
T4_all_20200803_0956 | T4 | 2 | train | sideways | all | [
"EWJ",
"VCIT"
] | 2020-08-03T00:00:00 | EWJ σ=0.0122, VCIT σ=0.0027, ρ=0.104. Min-variance weights: EWJ=0.026, VCIT=0.974. | Assets: EWJ, VCIT
EWJ: annualized_mean_return=0.3276, daily_std=0.0122
VCIT: annualized_mean_return=0.3276, daily_std=0.0027
Minimum required portfolio return (annualized): 0.3276
Market regime: sideways
Compute portfolio weights (w_EWJ, w_VCIT) that minimize portfolio variance while satisfying the minimum return cons... | w_EWJ=0.0281, w_VCIT=0.9719 | 0.0281 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000007 - 0.000003) / (0.000148 + 0.000007 - 0.000007)
Unconstrained: w_EWJ=0.0257
After long-only clamp: w_EWJ=0.0257, w_VCIT=0.9743. | {
"weights": {
"EWJ": 0.0281,
"VCIT": 0.9719000000000001
},
"sigma_1": 0.012173,
"sigma_2": 0.0026839999999999998,
"covariance": 0.000003,
"correlation": 0.10350000000000001,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.3276,
"constraint_binding": false
} |
T4_all_20190404_0958 | T4 | 2 | train | sideways | all | [
"FXI",
"GLD"
] | 2019-04-04T00:00:00 | FXI σ=0.0113, GLD σ=0.0062, ρ=-0.071. Min-variance weights: FXI=0.247, GLD=0.753. | Assets: FXI, GLD
FXI: annualized_mean_return=0.5544, daily_std=0.0113
GLD: annualized_mean_return=-0.0252, daily_std=0.0062
Minimum required portfolio return (annualized): 0.4376
Market regime: sideways
Compute portfolio weights (w_FXI, w_GLD) that minimize portfolio variance while satisfying the minimum return constr... | w_FXI=0.7985, w_GLD=0.2015 | 0.7985 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000039 - -0.000005) / (0.000129 + 0.000039 - -0.000010)
Unconstrained: w_FXI=0.2466
After long-only clamp: w_FXI=0.2466, w_GLD=0.7534. | {
"weights": {
"FXI": 0.7985,
"GLD": 0.2015
},
"sigma_1": 0.011346,
"sigma_2": 0.006226,
"covariance": -0.0000049999999999999996,
"correlation": -0.07100000000000001,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.43760000000000004,
"constraint_binding": true
} |
T4_all_20220106_0960 | T4 | 2 | train | sideways | all | [
"MATIC-USD",
"SLV"
] | 2022-01-06T00:00:00 | MATIC-USD σ=0.0658, SLV σ=0.0122, ρ=0.138. Min-variance weights: MATIC-USD=0.009, SLV=0.991. | Assets: MATIC-USD, SLV
MATIC-USD: annualized_mean_return=1.1844, daily_std=0.0658
SLV: annualized_mean_return=-0.0504, daily_std=0.0122
Minimum required portfolio return (annualized): 0.4368
Market regime: sideways
Compute portfolio weights (w_MATIC-USD, w_SLV) that minimize portfolio variance while satisfying the min... | w_MATIC-USD=0.3946, w_SLV=0.6054 | 0.3946 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000148 - 0.000111) / (0.004331 + 0.000148 - 0.000221)
Unconstrained: w_MATIC-USD=0.0088
After long-only clamp: w_MATIC-USD=0.0088, w_SLV=0.9912. | {
"weights": {
"MATIC-USD": 0.3946,
"SLV": 0.6054
},
"sigma_1": 0.06581000000000001,
"sigma_2": 0.012168,
"covariance": 0.000111,
"correlation": 0.1383,
"has_text": true,
"text_chars": 20,
"mu_floor": 0.4368,
"constraint_binding": true
} |
T4_all_20200507_0962 | T4 | 2 | train | sideways | all | [
"XLB",
"ICSH"
] | 2020-05-07T00:00:00 | XLB σ=0.0252, ICSH σ=0.0033, ρ=-0.054. Min-variance weights: XLB=0.024, ICSH=0.976. | Assets: XLB, ICSH
XLB: annualized_mean_return=-0.3528, daily_std=0.0252
ICSH: annualized_mean_return=0.0756, daily_std=0.0033
Minimum required portfolio return (annualized): 0.0682
Market regime: sideways
Compute portfolio weights (w_XLB, w_ICSH) that minimize portfolio variance while satisfying the minimum return con... | w_XLB=0.0173, w_ICSH=0.9827 | 0.0173 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000011 - -0.000005) / (0.000633 + 0.000011 - -0.000009)
Unconstrained: w_XLB=0.0240
After long-only clamp: w_XLB=0.0240, w_ICSH=0.9760. | {
"weights": {
"XLB": 0.0173,
"ICSH": 0.9827
},
"sigma_1": 0.025155,
"sigma_2": 0.003341,
"covariance": -0.0000049999999999999996,
"correlation": -0.0539,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.0682,
"constraint_binding": true
} |
T4_all_20220712_0964 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"TIP"
] | 2022-07-12T00:00:00 | BTC-USD σ=0.0385, TIP σ=0.0024, ρ=0.164. Min-variance weights: BTC-USD=0.000, TIP=1.000. | Assets: BTC-USD, TIP
BTC-USD: annualized_mean_return=-1.2348, daily_std=0.0385
TIP: annualized_mean_return=-0.0000, daily_std=0.0024
Minimum required portfolio return (annualized): -0.4263
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_TIP) that minimize portfolio variance while satisfying the minimum... | w_BTC-USD=0.0000, w_TIP=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000006 - 0.000015) / (0.001480 + 0.000006 - 0.000030)
Unconstrained: w_BTC-USD=-0.0064
After long-only clamp: w_BTC-USD=0.0000, w_TIP=1.0000. | {
"weights": {
"BTC-USD": 0,
"TIP": 1
},
"sigma_1": 0.038465,
"sigma_2": 0.002376,
"covariance": 0.000014999999999999999,
"correlation": 0.1643,
"has_text": true,
"text_chars": 20,
"mu_floor": -0.4263,
"constraint_binding": false
} |
T4_all_20171128_0967 | T4 | 2 | train | sideways | all | [
"VTI",
"PPLT"
] | 2017-11-28T00:00:00 | VTI σ=0.0033, PPLT σ=0.0093, ρ=0.049. Min-variance weights: VTI=0.898, PPLT=0.102. | Assets: VTI, PPLT
VTI: annualized_mean_return=0.2520, daily_std=0.0033
PPLT: annualized_mean_return=-0.2772, daily_std=0.0093
Minimum required portfolio return (annualized): 0.1160
Market regime: sideways
Compute portfolio weights (w_VTI, w_PPLT) that minimize portfolio variance while satisfying the minimum return con... | w_VTI=0.9022, w_PPLT=0.0978 | 0.9022 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000086 - 0.000002) / (0.000011 + 0.000086 - 0.000003)
Unconstrained: w_VTI=0.8981
After long-only clamp: w_VTI=0.8981, w_PPLT=0.1019. | {
"weights": {
"VTI": 0.9022,
"PPLT": 0.0978
},
"sigma_1": 0.0033369999999999997,
"sigma_2": 0.009290000000000001,
"covariance": 0.000002,
"correlation": 0.0488,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.116,
"constraint_binding": false
} |
T4_all_20191128_0970 | T4 | 2 | train | sideways | all | [
"^VIX",
"XHB"
] | 2019-11-28T00:00:00 | ^VIX σ=0.0590, XHB σ=0.0074, ρ=-0.631. Min-variance weights: ^VIX=0.081, XHB=0.919. | Assets: ^VIX, XHB
^VIX: annualized_mean_return=-1.6380, daily_std=0.0590
XHB: annualized_mean_return=0.4536, daily_std=0.0074
Minimum required portfolio return (annualized): 0.3622
Market regime: sideways
Compute portfolio weights (w_^VIX, w_XHB) that minimize portfolio variance while satisfying the minimum return con... | w_^VIX=0.0437, w_XHB=0.9563 | 0.0437 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000054 - -0.000274) / (0.003476 + 0.000054 - -0.000548)
Unconstrained: w_^VIX=0.0805
After long-only clamp: w_^VIX=0.0805, w_XHB=0.9195. | {
"weights": {
"^VIX": 0.0437,
"XHB": 0.9563
},
"sigma_1": 0.058962,
"sigma_2": 0.007365,
"covariance": -0.000274,
"correlation": -0.6314000000000001,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.3622,
"constraint_binding": true
} |
T4_all_20190318_0972 | T4 | 2 | train | sideways | all | [
"IVV",
"EMB"
] | 2019-03-18T00:00:00 | IVV σ=0.0099, EMB σ=0.0031, ρ=0.046. Min-variance weights: IVV=0.078, EMB=0.922. | Assets: IVV, EMB
IVV: annualized_mean_return=0.3276, daily_std=0.0099
EMB: annualized_mean_return=0.2772, daily_std=0.0031
Minimum required portfolio return (annualized): 0.2920
Market regime: sideways
Compute portfolio weights (w_IVV, w_EMB) that minimize portfolio variance while satisfying the minimum return constra... | w_IVV=0.2937, w_EMB=0.7063 | 0.2937 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000010 - 0.000001) / (0.000099 + 0.000010 - 0.000003)
Unconstrained: w_IVV=0.0777
After long-only clamp: w_IVV=0.0777, w_EMB=0.9223. | {
"weights": {
"IVV": 0.2937,
"EMB": 0.7063
},
"sigma_1": 0.009946,
"sigma_2": 0.003103,
"covariance": 0.000001,
"correlation": 0.0456,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.292,
"constraint_binding": true
} |
T4_all_20180116_0974 | T4 | 2 | train | sideways | all | [
"IWM",
"EMB"
] | 2018-01-16T00:00:00 | IWM σ=0.0065, EMB σ=0.0022, ρ=-0.070. Min-variance weights: IWM=0.120, EMB=0.880. | Assets: IWM, EMB
IWM: annualized_mean_return=0.2772, daily_std=0.0065
EMB: annualized_mean_return=0.0756, daily_std=0.0022
Minimum required portfolio return (annualized): 0.2254
Market regime: sideways
Compute portfolio weights (w_IWM, w_EMB) that minimize portfolio variance while satisfying the minimum return constra... | w_IWM=0.7431, w_EMB=0.2569 | 0.7431 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000005 - -0.000001) / (0.000042 + 0.000005 - -0.000002)
Unconstrained: w_IWM=0.1204
After long-only clamp: w_IWM=0.1204, w_EMB=0.8796. | {
"weights": {
"IWM": 0.7431,
"EMB": 0.2569
},
"sigma_1": 0.006477,
"sigma_2": 0.002208,
"covariance": -0.000001,
"correlation": -0.07010000000000001,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.22540000000000002,
"constraint_binding": true
} |
T4_all_20190507_0976 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"CORN"
] | 2019-05-07T00:00:00 | BTC-USD σ=0.0218, CORN σ=0.0083, ρ=0.298. Min-variance weights: BTC-USD=0.036, CORN=0.964. | Assets: BTC-USD, CORN
BTC-USD: annualized_mean_return=1.4616, daily_std=0.0218
CORN: annualized_mean_return=-0.2268, daily_std=0.0083
Minimum required portfolio return (annualized): 1.1353
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_CORN) that minimize portfolio variance while satisfying the minimu... | w_BTC-USD=0.8067, w_CORN=0.1933 | 0.8067 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000070 - 0.000054) / (0.000473 + 0.000070 - 0.000108)
Unconstrained: w_BTC-USD=0.0360
After long-only clamp: w_BTC-USD=0.0360, w_CORN=0.9640. | {
"weights": {
"BTC-USD": 0.8067000000000001,
"CORN": 0.1933
},
"sigma_1": 0.021755,
"sigma_2": 0.008348999999999999,
"covariance": 0.000054,
"correlation": 0.29760000000000003,
"has_text": false,
"text_chars": 0,
"mu_floor": 1.1353,
"constraint_binding": true
} |
T4_all_20180628_0978 | T4 | 2 | train | sideways | all | [
"XLK",
"HAUZ"
] | 2018-06-28T00:00:00 | XLK σ=0.0097, HAUZ σ=0.0119, ρ=0.287. Min-variance weights: XLK=0.642, HAUZ=0.358. | Assets: XLK, HAUZ
XLK: annualized_mean_return=0.2772, daily_std=0.0097
HAUZ: annualized_mean_return=0.1008, daily_std=0.0119
Minimum required portfolio return (annualized): 0.2321
Market regime: sideways
Compute portfolio weights (w_XLK, w_HAUZ) that minimize portfolio variance while satisfying the minimum return cons... | w_XLK=0.7443, w_HAUZ=0.2557 | 0.7443 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000141 - 0.000033) / (0.000093 + 0.000141 - 0.000066)
Unconstrained: w_XLK=0.6419
After long-only clamp: w_XLK=0.6419, w_HAUZ=0.3581. | {
"weights": {
"XLK": 0.7443000000000001,
"HAUZ": 0.25570000000000004
},
"sigma_1": 0.009663,
"sigma_2": 0.011883,
"covariance": 0.000032999999999999996,
"correlation": 0.28750000000000003,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.2321,
"constraint_binding": true
} |
T4_all_20210802_0980 | T4 | 2 | train | sideways | all | [
"QQQ",
"LINK-USD"
] | 2021-08-02T00:00:00 | QQQ σ=0.0090, LINK-USD σ=0.0647, ρ=0.365. Min-variance weights: QQQ=1.000, LINK-USD=0.000. | Assets: QQQ, LINK-USD
QQQ: annualized_mean_return=0.4284, daily_std=0.0090
LINK-USD: annualized_mean_return=-0.8064, daily_std=0.0647
Minimum required portfolio return (annualized): -0.0060
Market regime: sideways
Compute portfolio weights (w_QQQ, w_LINK-USD) that minimize portfolio variance while satisfying the minim... | w_QQQ=1.0000, w_LINK-USD=0.0000 | 1 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.004182 - 0.000211) / (0.000080 + 0.004182 - 0.000423)
Unconstrained: w_QQQ=1.0341
After long-only clamp: w_QQQ=1.0000, w_LINK-USD=0.0000. | {
"weights": {
"QQQ": 1,
"LINK-USD": 0
},
"sigma_1": 0.008959,
"sigma_2": 0.064667,
"covariance": 0.00021099999999999998,
"correlation": 0.3647,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.006,
"constraint_binding": false
} |
T4_all_20201127_0982 | T4 | 2 | train | sideways | all | [
"BTC-USD",
"EMB"
] | 2020-11-27T00:00:00 | BTC-USD σ=0.0272, EMB σ=0.0047, ρ=0.112. Min-variance weights: BTC-USD=0.010, EMB=0.990. | Assets: BTC-USD, EMB
BTC-USD: annualized_mean_return=2.0412, daily_std=0.0272
EMB: annualized_mean_return=0.0252, daily_std=0.0047
Minimum required portfolio return (annualized): 1.3134
Market regime: sideways
Compute portfolio weights (w_BTC-USD, w_EMB) that minimize portfolio variance while satisfying the minimum re... | w_BTC-USD=0.6390, w_EMB=0.3610 | 0.639 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000022 - 0.000014) / (0.000739 + 0.000022 - 0.000028)
Unconstrained: w_BTC-USD=0.0103
After long-only clamp: w_BTC-USD=0.0103, w_EMB=0.9897. | {
"weights": {
"BTC-USD": 0.639,
"EMB": 0.361
},
"sigma_1": 0.027187,
"sigma_2": 0.004666,
"covariance": 0.000014,
"correlation": 0.11220000000000001,
"has_text": false,
"text_chars": 0,
"mu_floor": 1.3134000000000001,
"constraint_binding": true
} |
T4_all_20200324_0984 | T4 | 2 | train | sideways | all | [
"VTI",
"IAU"
] | 2020-03-24T00:00:00 | VTI σ=0.0170, IAU σ=0.0114, ρ=0.051. Min-variance weights: VTI=0.301, IAU=0.699. | Assets: VTI, IAU
VTI: annualized_mean_return=-1.0080, daily_std=0.0170
IAU: annualized_mean_return=0.1008, daily_std=0.0114
Minimum required portfolio return (annualized): -0.1611
Market regime: sideways
Compute portfolio weights (w_VTI, w_IAU) that minimize portfolio variance while satisfying the minimum return const... | w_VTI=0.2362, w_IAU=0.7638 | 0.2362 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000131 - 0.000010) / (0.000290 + 0.000131 - 0.000020)
Unconstrained: w_VTI=0.3011
After long-only clamp: w_VTI=0.3011, w_IAU=0.6989. | {
"weights": {
"VTI": 0.23620000000000002,
"IAU": 0.7638
},
"sigma_1": 0.017034,
"sigma_2": 0.011430000000000001,
"covariance": 0.00001,
"correlation": 0.0507,
"has_text": true,
"text_chars": 3020,
"mu_floor": -0.16110000000000002,
"constraint_binding": true
} |
T4_all_20211223_0986 | T4 | 2 | train | sideways | all | [
"IVV",
"INDS"
] | 2021-12-23T00:00:00 | IVV σ=0.0090, INDS σ=0.0092, ρ=0.619. Min-variance weights: IVV=0.535, INDS=0.465. | Assets: IVV, INDS
IVV: annualized_mean_return=0.3276, daily_std=0.0089
INDS: annualized_mean_return=0.8820, daily_std=0.0092
Minimum required portfolio return (annualized): 0.7210
Market regime: sideways
Compute portfolio weights (w_IVV, w_INDS) that minimize portfolio variance while satisfying the minimum return cons... | w_IVV=0.2904, w_INDS=0.7096 | 0.2904 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000084 - 0.000051) / (0.000080 + 0.000084 - 0.000102)
Unconstrained: w_IVV=0.5350
After long-only clamp: w_IVV=0.5350, w_INDS=0.4650. | {
"weights": {
"IVV": 0.2904,
"INDS": 0.7096
},
"sigma_1": 0.008950000000000001,
"sigma_2": 0.009191999999999999,
"covariance": 0.000051,
"correlation": 0.6186,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.721,
"constraint_binding": true
} |
T4_all_20180720_0988 | T4 | 2 | train | sideways | all | [
"XRP-USD",
"SHV"
] | 2018-07-20T00:00:00 | XRP-USD σ=0.0397, SHV σ=0.0001, ρ=-0.072. Min-variance weights: XRP-USD=0.000, SHV=1.000. | Assets: XRP-USD, SHV
XRP-USD: annualized_mean_return=-1.4112, daily_std=0.0397
SHV: annualized_mean_return=0.0252, daily_std=0.0001
Minimum required portfolio return (annualized): 0.0252
Market regime: sideways
Compute portfolio weights (w_XRP-USD, w_SHV) that minimize portfolio variance while satisfying the minimum r... | w_XRP-USD=-0.0000, w_SHV=1.0000 | 0 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000000 - -0.000000) / (0.001575 + 0.000000 - -0.000001)
Unconstrained: w_XRP-USD=0.0002
After long-only clamp: w_XRP-USD=0.0002, w_SHV=0.9998. | {
"weights": {
"XRP-USD": 0,
"SHV": 1
},
"sigma_1": 0.03968,
"sigma_2": 0.000117,
"covariance": 0,
"correlation": -0.0724,
"has_text": false,
"text_chars": 0,
"mu_floor": 0.0252,
"constraint_binding": true
} |
T4_all_20210209_0992 | T4 | 2 | train | sideways | all | [
"VTI",
"INDS"
] | 2021-02-09T00:00:00 | VTI σ=0.0084, INDS σ=0.0117, ρ=0.624. Min-variance weights: VTI=0.887, INDS=0.113. | Assets: VTI, INDS
VTI: annualized_mean_return=0.5544, daily_std=0.0084
INDS: annualized_mean_return=0.4032, daily_std=0.0117
Minimum required portfolio return (annualized): 0.5478
Market regime: sideways
Compute portfolio weights (w_VTI, w_INDS) that minimize portfolio variance while satisfying the minimum return cons... | w_VTI=0.9563, w_INDS=0.0437 | 0.9563 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000137 - 0.000062) / (0.000071 + 0.000137 - 0.000123)
Unconstrained: w_VTI=0.8873
After long-only clamp: w_VTI=0.8873, w_INDS=0.1127. | {
"weights": {
"VTI": 0.9563,
"INDS": 0.0437
},
"sigma_1": 0.00843,
"sigma_2": 0.011693,
"covariance": 0.000062,
"correlation": 0.6241,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.5478000000000001,
"constraint_binding": true
} |
T4_all_20160602_0994 | T4 | 2 | train | sideways | all | [
"XLI",
"MORT"
] | 2016-06-02T00:00:00 | XLI σ=0.0075, MORT σ=0.0090, ρ=0.410. Min-variance weights: XLI=0.654, MORT=0.346. | Assets: XLI, MORT
XLI: annualized_mean_return=0.1764, daily_std=0.0075
MORT: annualized_mean_return=0.3528, daily_std=0.0090
Minimum required portfolio return (annualized): 0.3217
Market regime: sideways
Compute portfolio weights (w_XLI, w_MORT) that minimize portfolio variance while satisfying the minimum return cons... | w_XLI=0.1763, w_MORT=0.8237 | 0.1763 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000081 - 0.000028) / (0.000056 + 0.000081 - 0.000055)
Unconstrained: w_XLI=0.6536
After long-only clamp: w_XLI=0.6536, w_MORT=0.3464. | {
"weights": {
"XLI": 0.1763,
"MORT": 0.8237
},
"sigma_1": 0.007483,
"sigma_2": 0.009009,
"covariance": 0.000028,
"correlation": 0.40990000000000004,
"has_text": true,
"text_chars": 3020,
"mu_floor": 0.32170000000000004,
"constraint_binding": true
} |
T4_all_20221207_0997 | T4 | 2 | train | sideways | all | [
"XRP-USD",
"BNDX"
] | 2022-12-07T00:00:00 | XRP-USD σ=0.0492, BNDX σ=0.0042, ρ=-0.031. Min-variance weights: XRP-USD=0.010, BNDX=0.990. | Assets: XRP-USD, BNDX
XRP-USD: annualized_mean_return=-0.8568, daily_std=0.0492
BNDX: annualized_mean_return=0.0504, daily_std=0.0042
Minimum required portfolio return (annualized): -0.2586
Market regime: sideways
Compute portfolio weights (w_XRP-USD, w_BNDX) that minimize portfolio variance while satisfying the minim... | w_XRP-USD=0.0097, w_BNDX=0.9903 | 0.0097 | Analytic min-variance formula:
w1* = (σ2² - σ12) / (σ1² + σ2² - 2σ12)
= (0.000018 - -0.000006) / (0.002419 + 0.000018 - -0.000013)
Unconstrained: w_XRP-USD=0.0099
After long-only clamp: w_XRP-USD=0.0099, w_BNDX=0.9901. | {
"weights": {
"XRP-USD": 0.0097,
"BNDX": 0.9903000000000001
},
"sigma_1": 0.049184,
"sigma_2": 0.00421,
"covariance": -0.000006,
"correlation": -0.031200000000000002,
"has_text": true,
"text_chars": 20,
"mu_floor": -0.2586,
"constraint_binding": false
} |
T5_all_20180613_0004 | T5 | 3 | train | sideways | all | [
"VEA",
"BTC-USD",
"IEF",
"BNO"
] | 2018-06-13T00:00:00 | 4-asset optimization. Max-Sharpe: 1.505. Portfolio: return=36.02%, vol=21.28%. Weights: w_VEA=0.0000, w_BTC-USD=0.0000, w_IEF=0.0000, w_BNO=1.0000. | Assets: VEA, BTC-USD, IEF, BNO
Annualized mean returns: VEA:-0.0014, BTC-USD:-1.0527, IEF:-0.0372, BNO:0.3602
Covariance matrix (annualized):
[[0.009376, -0.00356, -0.002425, 0.008461], [-0.00356, 0.3135, 0.002931, 0.009335], [-0.002425, 0.002931, 0.002383, -0.002674], [0.008461, 0.009335, -0.002674, 0.045267]]
Risk-fr... | w_VEA=0.0000, w_BTC-USD=0.0000, w_IEF=0.0000, w_BNO=1.0000 | 1.50504 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VEA=0.0000, w_BTC-USD=0.0000, w_IEF=0.0000, w_BNO=1.0000
Portfolio annualized return: 36.02%, volatility: 21.28%
Sharpe ratio: (0.3602 - 0.0400) / 0.2128 = 1.5050 | {
"weights": {
"VEA": 0,
"BTC-USD": 0,
"IEF": 0,
"BNO": 1
},
"sharpe_ratio": 1.505,
"portfolio_return": 0.360212,
"portfolio_vol": 0.212759,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210326_0009 | T5 | 3 | train | sideways | all | [
"XLP",
"MATIC-USD",
"SGOV",
"REZ"
] | 2021-03-26T00:00:00 | 4-asset optimization. Max-Sharpe: 7.423. Portfolio: return=244.96%, vol=32.46%. Weights: w_XLP=0.4134, w_MATIC-USD=0.1479, w_SGOV=0.0000, w_REZ=0.4387. | Assets: XLP, MATIC-USD, SGOV, REZ
Annualized mean returns: XLP:0.2324, MATIC-USD:14.4524, SGOV:0.0006, REZ:0.4938
Covariance matrix (annualized):
[[0.016857, -0.026248, 2.2e-05, 0.012143], [-0.026248, 4.311629, -0.000158, 0.008437], [2.2e-05, -0.000158, 1e-06, 7e-06], [0.012143, 0.008437, 7e-06, 0.030951]]
Risk-free ra... | w_XLP=0.4134, w_MATIC-USD=0.1479, w_SGOV=0.0000, w_REZ=0.4387 | 7.422501 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLP=0.4134, w_MATIC-USD=0.1479, w_SGOV=0.0000, w_REZ=0.4387
Portfolio annualized return: 244.96%, volatility: 32.46%
Sharpe ratio: (2.4496 - 0.0400) / 0.3246 = 7.4225 | {
"weights": {
"XLP": 0.41340000000000005,
"MATIC-USD": 0.1479,
"SGOV": 0,
"REZ": 0.43870000000000003
},
"sharpe_ratio": 7.4225,
"portfolio_return": 2.449576,
"portfolio_vol": 0.324631,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210520_0012 | T5 | 3 | train | sideways | all | [
"VTI",
"LINK-USD",
"HYG",
"ICSH"
] | 2021-05-20T00:00:00 | 4-asset optimization. Max-Sharpe: 2.297. Portfolio: return=66.69%, vol=27.30%. Weights: w_VTI=0.8210, w_LINK-USD=0.1790, w_HYG=0.0000, w_ICSH=0.0000. | Assets: VTI, LINK-USD, HYG, ICSH
Annualized mean returns: VTI:0.2358, LINK-USD:2.6440, HYG:0.0793, ICSH:0.0070
Covariance matrix (annualized):
[[0.018316, 0.046048, 0.003358, -1.8e-05], [0.046048, 1.517899, 0.01302, -0.001029], [0.003358, 0.01302, 0.001171, -0.0], [-1.8e-05, -0.001029, -0.0, 1e-05]]
Risk-free rate: 4.0... | w_VTI=0.8210, w_LINK-USD=0.1790, w_HYG=0.0000, w_ICSH=0.0000 | 2.296558 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VTI=0.8210, w_LINK-USD=0.1790, w_HYG=0.0000, w_ICSH=0.0000
Portfolio annualized return: 66.69%, volatility: 27.30%
Sharpe ratio: (0.6669 - 0.0400) / 0.2730 = 2.2966 | {
"weights": {
"VTI": 0.8210000000000001,
"LINK-USD": 0.179,
"HYG": 0,
"ICSH": 0
},
"sharpe_ratio": 2.2966,
"portfolio_return": 0.6669419999999999,
"portfolio_vol": 0.272992,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220127_0015 | T5 | 3 | train | sideways | all | [
"XLU",
"AVAX-USD",
"VNQI",
"DBA"
] | 2022-01-27T00:00:00 | 4-asset optimization. Max-Sharpe: 0.230. Portfolio: return=6.90%, vol=12.65%. Weights: w_XLU=0.0000, w_AVAX-USD=0.0000, w_VNQI=0.0000, w_DBA=1.0000. | Assets: XLU, AVAX-USD, VNQI, DBA
Annualized mean returns: XLU:0.0297, AVAX-USD:-1.2064, VNQI:-0.1177, DBA:0.0690
Covariance matrix (annualized):
[[0.022825, -0.013025, 0.005839, 0.004927], [-0.013025, 1.234613, 0.016189, -0.015051], [0.005839, 0.016189, 0.012878, 0.006782], [0.004927, -0.015051, 0.006782, 0.015991]]
Ri... | w_XLU=0.0000, w_AVAX-USD=0.0000, w_VNQI=0.0000, w_DBA=1.0000 | 0.229699 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLU=0.0000, w_AVAX-USD=0.0000, w_VNQI=0.0000, w_DBA=1.0000
Portfolio annualized return: 6.90%, volatility: 12.65%
Sharpe ratio: (0.0690 - 0.0400) / 0.1265 = 0.2297 | {
"weights": {
"XLU": 0,
"AVAX-USD": 0,
"VNQI": 0,
"DBA": 1
},
"sharpe_ratio": 0.22970000000000002,
"portfolio_return": 0.069047,
"portfolio_vol": 0.12645699999999999,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210218_0018 | T5 | 3 | train | sideways | all | [
"VTI",
"DOT-USD",
"SCHP",
"VNQ"
] | 2021-02-18T00:00:00 | 4-asset optimization. Max-Sharpe: 6.687. Portfolio: return=296.77%, vol=43.78%. Weights: w_VTI=0.7715, w_DOT-USD=0.2285, w_SCHP=0.0000, w_VNQ=0.0000. | Assets: VTI, DOT-USD, SCHP, VNQ
Annualized mean returns: VTI:0.4533, DOT-USD:11.4564, SCHP:0.0024, VNQ:0.4027
Covariance matrix (annualized):
[[0.018286, 0.056683, 0.000105, 0.013759], [0.056683, 3.079737, 0.006521, 0.093904], [0.000105, 0.006521, 0.000718, 0.000487], [0.013759, 0.093904, 0.000487, 0.024722]]
Risk-free... | w_VTI=0.7715, w_DOT-USD=0.2285, w_SCHP=0.0000, w_VNQ=0.0000 | 6.686818 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VTI=0.7715, w_DOT-USD=0.2285, w_SCHP=0.0000, w_VNQ=0.0000
Portfolio annualized return: 296.77%, volatility: 43.78%
Sharpe ratio: (2.9677 - 0.0400) / 0.4378 = 6.6868 | {
"weights": {
"VTI": 0.7715000000000001,
"DOT-USD": 0.2285,
"SCHP": 0,
"VNQ": 0
},
"sharpe_ratio": 6.6868,
"portfolio_return": 2.967735,
"portfolio_vol": 0.437837,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200715_0021 | T5 | 3 | train | sideways | all | [
"VLUE",
"ETH-USD",
"HYG",
"HAUZ"
] | 2020-07-15T00:00:00 | 4-asset optimization. Max-Sharpe: 3.810. Portfolio: return=47.68%, vol=11.46%. Weights: w_VLUE=0.0000, w_ETH-USD=0.0311, w_HYG=0.8685, w_HAUZ=0.1004. | Assets: VLUE, ETH-USD, HYG, HAUZ
Annualized mean returns: VLUE:0.6998, ETH-USD:0.8817, HYG:0.4261, HAUZ:0.7897
Covariance matrix (annualized):
[[0.08543, 0.03735, 0.022056, 0.049244], [0.03735, 0.216043, 0.016098, 0.04614], [0.022056, 0.016098, 0.010667, 0.018454], [0.049244, 0.04614, 0.018454, 0.050735]]
Risk-free rat... | w_VLUE=0.0000, w_ETH-USD=0.0311, w_HYG=0.8685, w_HAUZ=0.1004 | 3.81006 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VLUE=0.0000, w_ETH-USD=0.0311, w_HYG=0.8685, w_HAUZ=0.1004
Portfolio annualized return: 47.68%, volatility: 11.46%
Sharpe ratio: (0.4768 - 0.0400) / 0.1146 = 3.8101 | {
"weights": {
"VLUE": 0,
"ETH-USD": 0.031100000000000003,
"HYG": 0.8685,
"HAUZ": 0.1004
},
"sharpe_ratio": 3.8101000000000003,
"portfolio_return": 0.47676599999999997,
"portfolio_vol": 0.114635,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200901_0028 | T5 | 3 | train | sideways | all | [
"XLF",
"BTC-USD",
"SCHH",
"TLT"
] | 2020-09-01T00:00:00 | 4-asset optimization. Max-Sharpe: 4.251. Portfolio: return=48.48%, vol=10.46%. Weights: w_XLF=0.4204, w_BTC-USD=0.2127, w_SCHH=0.0000, w_TLT=0.3669. | Assets: XLF, BTC-USD, SCHH, TLT
Annualized mean returns: XLF:0.5352, BTC-USD:1.2898, SCHH:0.1420, TLT:-0.0396
Covariance matrix (annualized):
[[0.039832, 0.001276, 0.009854, -0.013157], [0.001276, 0.152404, 0.015511, -0.005974], [0.009854, 0.015511, 0.030546, -0.001848], [-0.013157, -0.005974, -0.001848, 0.013203]]
Ris... | w_XLF=0.4204, w_BTC-USD=0.2127, w_SCHH=0.0000, w_TLT=0.3669 | 4.2514 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLF=0.4204, w_BTC-USD=0.2127, w_SCHH=0.0000, w_TLT=0.3669
Portfolio annualized return: 48.48%, volatility: 10.46%
Sharpe ratio: (0.4848 - 0.0400) / 0.1046 = 4.2514 | {
"weights": {
"XLF": 0.4204,
"BTC-USD": 0.2127,
"SCHH": 0,
"TLT": 0.3669
},
"sharpe_ratio": 4.2514,
"portfolio_return": 0.48485000000000006,
"portfolio_vol": 0.10463599999999999,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20191016_0035 | T5 | 3 | train | sideways | all | [
"XLE",
"ADA-USD",
"DBA",
"VNQI"
] | 2019-10-16T00:00:00 | 4-asset optimization. Max-Sharpe: 4.391. Portfolio: return=35.84%, vol=7.25%. Weights: w_XLE=0.0000, w_ADA-USD=0.0000, w_DBA=0.3858, w_VNQI=0.6142. | Assets: XLE, ADA-USD, DBA, VNQI
Annualized mean returns: XLE:0.1713, ADA-USD:-0.9763, DBA:0.3663, VNQI:0.3535
Covariance matrix (annualized):
[[0.045265, -0.014303, 0.005621, 0.007446], [-0.014303, 0.474104, -0.010122, -0.007149], [0.005621, -0.010122, 0.012046, 0.001205], [0.007446, -0.007149, 0.001205, 0.007673]]
Ris... | w_XLE=0.0000, w_ADA-USD=0.0000, w_DBA=0.3858, w_VNQI=0.6142 | 4.391283 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLE=0.0000, w_ADA-USD=0.0000, w_DBA=0.3858, w_VNQI=0.6142
Portfolio annualized return: 35.84%, volatility: 7.25%
Sharpe ratio: (0.3584 - 0.0400) / 0.0725 = 4.3913 | {
"weights": {
"XLE": 0,
"ADA-USD": 0,
"DBA": 0.38580000000000003,
"VNQI": 0.6142000000000001
},
"sharpe_ratio": 4.3913,
"portfolio_return": 0.358438,
"portfolio_vol": 0.072516,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20221006_0044 | T5 | 3 | train | sideways | all | [
"IWM",
"LINK-USD",
"ICSH",
"HAUZ"
] | 2022-10-06T00:00:00 | 4-asset optimization. Max-Sharpe: -0.165. Portfolio: return=-7.61%, vol=70.52%. Weights: w_IWM=0.0000, w_LINK-USD=1.0000, w_ICSH=0.0000, w_HAUZ=0.0000. | Assets: IWM, LINK-USD, ICSH, HAUZ
Annualized mean returns: IWM:-0.5046, LINK-USD:-0.0761, ICSH:0.0132, HAUZ:-0.8199
Covariance matrix (annualized):
[[0.077654, 0.078477, 0.000492, 0.049474], [0.078477, 0.4973, 4.7e-05, 0.042115], [0.000492, 4.7e-05, 2.5e-05, 0.000497], [0.049474, 0.042115, 0.000497, 0.047258]]
Risk-fre... | w_IWM=0.0000, w_LINK-USD=1.0000, w_ICSH=0.0000, w_HAUZ=0.0000 | -0.164617 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_IWM=0.0000, w_LINK-USD=1.0000, w_ICSH=0.0000, w_HAUZ=0.0000
Portfolio annualized return: -7.61%, volatility: 70.52%
Sharpe ratio: (-0.0761 - 0.0400) / 0.7052 = -0.1646 | {
"weights": {
"IWM": 0,
"LINK-USD": 1,
"ICSH": 0,
"HAUZ": 0
},
"sharpe_ratio": -0.1646,
"portfolio_return": -0.076087,
"portfolio_vol": 0.705195,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210503_0047 | T5 | 3 | train | sideways | all | [
"XLE",
"DOT-USD",
"PPLT",
"SHY"
] | 2021-05-03T00:00:00 | 4-asset optimization. Max-Sharpe: 0.478. Portfolio: return=18.47%, vol=30.27%. Weights: w_XLE=0.0000, w_DOT-USD=0.2002, w_PPLT=0.7998, w_SHY=0.0000. | Assets: XLE, DOT-USD, PPLT, SHY
Annualized mean returns: XLE:0.0079, DOT-USD:0.3250, PPLT:0.1496, SHY:0.0028
Covariance matrix (annualized):
[[0.084514, -0.035639, 0.012192, 0.000183], [-0.035639, 0.717478, 0.04604, -0.000371], [0.012192, 0.04604, 0.075271, 2.6e-05], [0.000183, -0.000371, 2.6e-05, 1e-05]]
Risk-free rat... | w_XLE=0.0000, w_DOT-USD=0.2002, w_PPLT=0.7998, w_SHY=0.0000 | 0.478064 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLE=0.0000, w_DOT-USD=0.2002, w_PPLT=0.7998, w_SHY=0.0000
Portfolio annualized return: 18.47%, volatility: 30.27%
Sharpe ratio: (0.1847 - 0.0400) / 0.3027 = 0.4781 | {
"weights": {
"XLE": 0,
"DOT-USD": 0.20020000000000002,
"PPLT": 0.7998000000000001,
"SHY": 0
},
"sharpe_ratio": 0.4781,
"portfolio_return": 0.184725,
"portfolio_vol": 0.302731,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20211008_0056 | T5 | 3 | train | sideways | all | [
"QUAL",
"ADA-USD",
"STIP",
"CORN"
] | 2021-10-08T00:00:00 | 4-asset optimization. Max-Sharpe: 2.700. Portfolio: return=300.14%, vol=109.69%. Weights: w_QUAL=0.0000, w_ADA-USD=1.0000, w_STIP=0.0000, w_CORN=0.0000. | Assets: QUAL, ADA-USD, STIP, CORN
Annualized mean returns: QUAL:-0.1861, ADA-USD:3.0014, STIP:0.0398, CORN:-0.1212
Covariance matrix (annualized):
[[0.015097, 0.064691, 0.000634, 0.00295], [0.064691, 1.203256, 0.003895, 0.031849], [0.000634, 0.003895, 0.00026, 0.000873], [0.00295, 0.031849, 0.000873, 0.033027]]
Risk-fr... | w_QUAL=0.0000, w_ADA-USD=1.0000, w_STIP=0.0000, w_CORN=0.0000 | 2.699755 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_QUAL=0.0000, w_ADA-USD=1.0000, w_STIP=0.0000, w_CORN=0.0000
Portfolio annualized return: 300.14%, volatility: 109.69%
Sharpe ratio: (3.0014 - 0.0400) / 1.0969 = 2.6998 | {
"weights": {
"QUAL": 0,
"ADA-USD": 1,
"STIP": 0,
"CORN": 0
},
"sharpe_ratio": 2.6998,
"portfolio_return": 3.001443,
"portfolio_vol": 1.09693,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
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