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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
T1_all_20220524_0948 | T1 | 1 | train | sideways | all | [
"ADA-USD"
] | 2022-05-24T00:00:00 | ADA-USD over past 60 days: cumulative return -53.3%, annualized vol 96.4%. Market regime: sideways. | Asset: ADA-USD
Historical prices (past 60 trading days): start=1.10, end=0.51, cumulative_return=-53.3%, annualized_volatility=96.4%
Macro context: {'fed_funds_rate': 0.83, 'cpi_yoy': 291.298, 'unemployment': 3.6, 'gdp_growth_qoq': 21967.045, 't10y2y_spread': 0.21, 't10y3m_spread': 1.79, 'breakeven_10y': 2.6, 'hy_oas':... | negative | -0.070676 | The actual 21-day forward return for ADA-USD starting 2022-05-24 was -7.07%, which classifies as 'negative'. | {
"future_return": -0.070676,
"horizon_days": 21,
"hist_return": -0.533099,
"annualized_vol": 0.9636800000000001,
"has_text": true,
"text_chars": 20
} |
T1_all_20180202_0950 | T1 | 1 | train | sideways | all | [
"JNK"
] | 2018-02-02T00:00:00 | JNK over past 60 days: cumulative return +1.2%, annualized vol 3.7%. Market regime: sideways. | Asset: JNK
Historical prices (past 60 trading days): start=67.19, end=67.98, cumulative_return=+1.2%, annualized_volatility=3.7%
Macro context: {'fed_funds_rate': 1.42, 'cpi_yoy': 249.529, 'unemployment': 4.1, 'gdp_growth_qoq': 20044.077, 't10y2y_spread': 0.62, 't10y3m_spread': 1.3, 'breakeven_10y': 2.11, 'hy_oas': 3.2... | flat | -0.00351 | The actual 21-day forward return for JNK starting 2018-02-02 was -0.35%, which classifies as 'flat'. | {
"future_return": -0.00351,
"horizon_days": 21,
"hist_return": 0.011743,
"annualized_vol": 0.037264,
"has_text": false,
"text_chars": 0
} |
T1_all_20180706_0953 | T1 | 1 | train | sideways | all | [
"XLE"
] | 2018-07-06T00:00:00 | XLE over past 60 days: cumulative return +7.2%, annualized vol 17.4%. Market regime: sideways. | Asset: XLE
Historical prices (past 60 trading days): start=24.94, end=26.73, cumulative_return=+7.2%, annualized_volatility=17.4%
Macro context: {'fed_funds_rate': 1.91, 'cpi_yoy': 251.214, 'unemployment': 3.8, 'gdp_growth_qoq': 20276.154, 't10y2y_spread': 0.29, 't10y3m_spread': 0.88, 'breakeven_10y': 2.13, 'hy_oas': 3... | flat | -0.001982 | The actual 21-day forward return for XLE starting 2018-07-06 was -0.20%, which classifies as 'flat'. | {
"future_return": -0.001982,
"horizon_days": 21,
"hist_return": 0.07188599999999999,
"annualized_vol": 0.173541,
"has_text": true,
"text_chars": 3020
} |
T1_all_20221209_0955 | T1 | 1 | train | sideways | all | [
"XLU"
] | 2022-12-09T00:00:00 | XLU over past 60 days: cumulative return -4.1%, annualized vol 26.2%. Market regime: sideways. | Asset: XLU
Historical prices (past 60 trading days): start=33.34, end=31.98, cumulative_return=-4.1%, annualized_volatility=26.2%
Macro context: {'fed_funds_rate': 3.83, 'cpi_yoy': 298.832, 'unemployment': 3.5, 'gdp_growth_qoq': 22278.345, 't10y2y_spread': -0.83, 't10y3m_spread': -0.8, 'breakeven_10y': 2.28, 'hy_oas': ... | positive | 0.017434 | The actual 21-day forward return for XLU starting 2022-12-09 was +1.74%, which classifies as 'positive'. | {
"future_return": 0.017433999999999998,
"horizon_days": 21,
"hist_return": -0.04104,
"annualized_vol": 0.26199,
"has_text": true,
"text_chars": 3020
} |
T1_all_20210128_0957 | T1 | 1 | train | sideways | all | [
"ACWI"
] | 2021-01-28T00:00:00 | ACWI over past 60 days: cumulative return +18.0%, annualized vol 13.7%. Market regime: sideways. | Asset: ACWI
Historical prices (past 60 trading days): start=71.03, end=83.80, cumulative_return=+18.0%, annualized_volatility=13.7%
Macro context: {'fed_funds_rate': 0.08, 'cpi_yoy': 262.687, 'unemployment': 6.4, 'gdp_growth_qoq': 21082.134, 't10y2y_spread': 0.92, 't10y3m_spread': 0.96, 'breakeven_10y': 2.08, 'hy_oas':... | flat | 0.002818 | The actual 21-day forward return for ACWI starting 2021-01-28 was +0.28%, which classifies as 'flat'. | {
"future_return": 0.0028179999999999998,
"horizon_days": 21,
"hist_return": 0.17979599999999998,
"annualized_vol": 0.13728,
"has_text": true,
"text_chars": 3020
} |
T1_all_20210813_0959 | T1 | 1 | train | sideways | all | [
"XLP"
] | 2021-08-13T00:00:00 | XLP over past 60 days: cumulative return +2.9%, annualized vol 9.2%. Market regime: sideways. | Asset: XLP
Historical prices (past 60 trading days): start=61.68, end=63.45, cumulative_return=+2.9%, annualized_volatility=9.2%
Macro context: {'fed_funds_rate': 0.1, 'cpi_yoy': 272.676, 'unemployment': 5.1, 'gdp_growth_qoq': 21617.828, 't10y2y_spread': 1.13, 't10y3m_spread': 1.3, 'breakeven_10y': 2.41, 'hy_oas': 3.34... | flat | -0.006206 | The actual 21-day forward return for XLP starting 2021-08-13 was -0.62%, which classifies as 'flat'. | {
"future_return": -0.006206,
"horizon_days": 21,
"hist_return": 0.028668,
"annualized_vol": 0.09224199999999999,
"has_text": true,
"text_chars": 3020
} |
T1_all_20220715_0961 | T1 | 1 | train | sideways | all | [
"IWM"
] | 2022-07-15T00:00:00 | IWM over past 60 days: cumulative return -15.7%, annualized vol 30.8%. Market regime: sideways. | Asset: IWM
Historical prices (past 60 trading days): start=191.38, end=161.42, cumulative_return=-15.7%, annualized_volatility=30.8%
Macro context: {'fed_funds_rate': 1.58, 'cpi_yoy': 294.913, 'unemployment': 3.5, 'gdp_growth_qoq': 22125.625, 't10y2y_spread': -0.19, 't10y3m_spread': 0.56, 'breakeven_10y': 2.34, 'hy_oas... | positive | 0.16165 | The actual 21-day forward return for IWM starting 2022-07-15 was +16.16%, which classifies as 'positive'. | {
"future_return": 0.16165000000000002,
"horizon_days": 21,
"hist_return": -0.156545,
"annualized_vol": 0.308436,
"has_text": true,
"text_chars": 3020
} |
T1_all_20190524_0963 | T1 | 1 | train | sideways | all | [
"VEA"
] | 2019-05-24T00:00:00 | VEA over past 60 days: cumulative return -1.0%, annualized vol 11.1%. Market regime: sideways. | Asset: VEA
Historical prices (past 60 trading days): start=32.80, end=32.45, cumulative_return=-1.0%, annualized_volatility=11.1%
Macro context: {'fed_funds_rate': 2.38, 'cpi_yoy': 255.296, 'unemployment': 3.6, 'gdp_growth_qoq': 20602.275, 't10y2y_spread': 0.19, 't10y3m_spread': -0.06, 'breakeven_10y': 1.73, 'hy_oas': ... | positive | 0.034284 | The actual 21-day forward return for VEA starting 2019-05-24 was +3.43%, which classifies as 'positive'. | {
"future_return": 0.034283999999999995,
"horizon_days": 21,
"hist_return": -0.010475,
"annualized_vol": 0.111316,
"has_text": true,
"text_chars": 3020
} |
T1_all_20180702_0965 | T1 | 1 | train | sideways | all | [
"IWM"
] | 2018-07-02T00:00:00 | IWM over past 60 days: cumulative return +8.9%, annualized vol 11.6%. Market regime: sideways. | Asset: IWM
Historical prices (past 60 trading days): start=136.00, end=148.13, cumulative_return=+8.9%, annualized_volatility=11.6%
Macro context: {'fed_funds_rate': 1.91, 'cpi_yoy': 251.214, 'unemployment': 3.8, 'gdp_growth_qoq': 20276.154, 't10y2y_spread': 0.33, 't10y3m_spread': 0.92, 'breakeven_10y': 2.11, 'hy_oas':... | flat | 0.008855 | The actual 21-day forward return for IWM starting 2018-07-02 was +0.89%, which classifies as 'flat'. | {
"future_return": 0.008855,
"horizon_days": 21,
"hist_return": 0.089186,
"annualized_vol": 0.11609799999999999,
"has_text": true,
"text_chars": 3020
} |
T1_all_20151013_0967 | T1 | 1 | train | sideways | all | [
"SCHH"
] | 2015-10-13T00:00:00 | SCHH over past 60 days: cumulative return +3.3%, annualized vol 18.8%. Market regime: sideways. | Asset: SCHH
Historical prices (past 60 trading days): start=14.13, end=14.59, cumulative_return=+3.3%, annualized_volatility=18.8%
Macro context: {'fed_funds_rate': 0.13, 'cpi_yoy': 237.733, 'unemployment': 5.0, 'gdp_growth_qoq': 18892.206, 't10y2y_spread': 1.47, 't10y3m_spread': 2.11, 'breakeven_10y': 1.54, 'hy_oas': ... | negative | -0.014132 | The actual 21-day forward return for SCHH starting 2015-10-13 was -1.41%, which classifies as 'negative'. | {
"future_return": -0.014131999999999999,
"horizon_days": 21,
"hist_return": 0.032591999999999996,
"annualized_vol": 0.187797,
"has_text": false,
"text_chars": 0
} |
T1_all_20190717_0969 | T1 | 1 | train | sideways | all | [
"XLP"
] | 2019-07-17T00:00:00 | XLP over past 60 days: cumulative return +6.3%, annualized vol 11.0%. Market regime: sideways. | Asset: XLP
Historical prices (past 60 trading days): start=47.22, end=50.17, cumulative_return=+6.3%, annualized_volatility=11.0%
Macro context: {'fed_funds_rate': 2.41, 'cpi_yoy': 255.802, 'unemployment': 3.7, 'gdp_growth_qoq': 20843.322, 't10y2y_spread': 0.26, 't10y3m_spread': -0.02, 'breakeven_10y': 1.8, 'hy_oas': 3... | flat | -0.006509 | The actual 21-day forward return for XLP starting 2019-07-17 was -0.65%, which classifies as 'flat'. | {
"future_return": -0.006509,
"horizon_days": 21,
"hist_return": 0.062528,
"annualized_vol": 0.10999199999999999,
"has_text": true,
"text_chars": 3020
} |
T1_all_20220912_0971 | T1 | 1 | train | sideways | all | [
"XHB"
] | 2022-09-12T00:00:00 | XHB over past 60 days: cumulative return +11.7%, annualized vol 28.4%. Market regime: sideways. | Asset: XHB
Historical prices (past 60 trading days): start=53.81, end=60.11, cumulative_return=+11.7%, annualized_volatility=28.4%
Macro context: {'fed_funds_rate': 2.33, 'cpi_yoy': 296.349, 'unemployment': 3.5, 'gdp_growth_qoq': 22125.625, 't10y2y_spread': -0.23, 't10y3m_spread': 0.25, 'breakeven_10y': 2.42, 'hy_oas':... | negative | -0.080977 | The actual 21-day forward return for XHB starting 2022-09-12 was -8.10%, which classifies as 'negative'. | {
"future_return": -0.080977,
"horizon_days": 21,
"hist_return": 0.116932,
"annualized_vol": 0.284288,
"has_text": false,
"text_chars": 0
} |
T1_all_20181010_0974 | T1 | 1 | train | sideways | all | [
"BTC-USD"
] | 2018-10-10T00:00:00 | BTC-USD over past 60 days: cumulative return +5.5%, annualized vol 32.2%. Market regime: sideways. | Asset: BTC-USD
Historical prices (past 60 trading days): start=6295.73, end=6642.64, cumulative_return=+5.5%, annualized_volatility=32.2%
Macro context: {'fed_funds_rate': 2.18, 'cpi_yoy': 252.772, 'unemployment': 3.8, 'gdp_growth_qoq': 20304.874, 't10y2y_spread': 0.33, 't10y3m_spread': 0.96, 'breakeven_10y': 2.17, 'hy... | negative | -0.040683 | The actual 21-day forward return for BTC-USD starting 2018-10-10 was -4.07%, which classifies as 'negative'. | {
"future_return": -0.040683,
"horizon_days": 21,
"hist_return": 0.055102,
"annualized_vol": 0.321807,
"has_text": false,
"text_chars": 0
} |
T1_all_20160114_0976 | T1 | 1 | train | sideways | all | [
"VTI"
] | 2016-01-14T00:00:00 | VTI over past 60 days: cumulative return -5.8%, annualized vol 16.4%. Market regime: sideways. | Asset: VTI
Historical prices (past 60 trading days): start=87.97, end=82.84, cumulative_return=-5.8%, annualized_volatility=16.4%
Macro context: {'fed_funds_rate': 0.36, 'cpi_yoy': 237.652, 'unemployment': 4.8, 'gdp_growth_qoq': 19001.69, 't10y2y_spread': 1.17, 't10y3m_spread': 1.86, 'breakeven_10y': 1.43, 'hy_oas': 7.... | flat | 0 | The actual 21-day forward return for VTI starting 2016-01-14 was +0.00%, which classifies as 'flat'. | {
"future_return": 0,
"horizon_days": 21,
"hist_return": -0.058317999999999995,
"annualized_vol": 0.163785,
"has_text": true,
"text_chars": 3020
} |
T1_all_20211012_0978 | T1 | 1 | train | sideways | all | [
"XLE"
] | 2021-10-12T00:00:00 | XLE over past 60 days: cumulative return +21.5%, annualized vol 29.7%. Market regime: sideways. | Asset: XLE
Historical prices (past 60 trading days): start=19.72, end=23.95, cumulative_return=+21.5%, annualized_volatility=29.7%
Macro context: {'fed_funds_rate': 0.08, 'cpi_yoy': 276.55, 'unemployment': 4.5, 'gdp_growth_qoq': 21988.737, 't10y2y_spread': 1.29, 't10y3m_spread': 1.56, 'breakeven_10y': 2.5, 'hy_oas': 3.... | positive | 0.018791 | The actual 21-day forward return for XLE starting 2021-10-12 was +1.88%, which classifies as 'positive'. | {
"future_return": 0.018791,
"horizon_days": 21,
"hist_return": 0.214751,
"annualized_vol": 0.296687,
"has_text": true,
"text_chars": 3020
} |
T1_all_20210118_0980 | T1 | 1 | train | sideways | all | [
"DBA"
] | 2021-01-18T00:00:00 | DBA over past 60 days: cumulative return +11.2%, annualized vol 9.9%. Market regime: sideways. | Asset: DBA
Historical prices (past 60 trading days): start=13.14, end=14.61, cumulative_return=+11.2%, annualized_volatility=9.9%
Macro context: {'fed_funds_rate': 0.09, 'cpi_yoy': 262.687, 'unemployment': 6.4, 'gdp_growth_qoq': 21082.134, 't10y2y_spread': 0.98, 't10y3m_spread': 1.02, 'breakeven_10y': 2.1, 'hy_oas': 3.... | positive | 0.024155 | The actual 21-day forward return for DBA starting 2021-01-18 was +2.42%, which classifies as 'positive'. | {
"future_return": 0.024155,
"horizon_days": 21,
"hist_return": 0.11215599999999999,
"annualized_vol": 0.09926000000000001,
"has_text": false,
"text_chars": 0
} |
T1_all_20210223_0982 | T1 | 1 | train | sideways | all | [
"MATIC-USD"
] | 2021-02-23T00:00:00 | MATIC-USD over past 60 days: cumulative return +814.5%, annualized vol 188.6%. Market regime: sideways. | Asset: MATIC-USD
Historical prices (past 60 trading days): start=0.02, end=0.15, cumulative_return=+814.5%, annualized_volatility=188.6%
Macro context: {'fed_funds_rate': 0.07, 'cpi_yoy': 263.579, 'unemployment': 6.2, 'gdp_growth_qoq': 21082.134, 't10y2y_spread': 1.26, 't10y3m_spread': 1.34, 'breakeven_10y': 2.16, 'hy_... | positive | 1.724149 | The actual 21-day forward return for MATIC-USD starting 2021-02-23 was +172.41%, which classifies as 'positive'. | {
"future_return": 1.724149,
"horizon_days": 21,
"hist_return": 8.145359,
"annualized_vol": 1.886186,
"has_text": false,
"text_chars": 0
} |
T1_all_20201026_0986 | T1 | 1 | train | sideways | all | [
"DBB"
] | 2020-10-26T00:00:00 | DBB over past 60 days: cumulative return +6.7%, annualized vol 18.5%. Market regime: sideways. | Asset: DBB
Historical prices (past 60 trading days): start=12.72, end=13.57, cumulative_return=+6.7%, annualized_volatility=18.5%
Macro context: {'fed_funds_rate': 0.09, 'cpi_yoy': 260.319, 'unemployment': 6.9, 'gdp_growth_qoq': 20791.917, 't10y2y_spread': 0.67, 't10y3m_spread': 0.75, 'breakeven_10y': 1.75, 'hy_oas': 4... | positive | 0.066411 | The actual 21-day forward return for DBB starting 2020-10-26 was +6.64%, which classifies as 'positive'. | {
"future_return": 0.066411,
"horizon_days": 21,
"hist_return": 0.06666699999999999,
"annualized_vol": 0.18495799999999998,
"has_text": false,
"text_chars": 0
} |
T1_all_20200701_0988 | T1 | 1 | train | sideways | all | [
"BNB-USD"
] | 2020-07-01T00:00:00 | BNB-USD over past 60 days: cumulative return -12.3%, annualized vol 41.4%. Market regime: sideways. | Asset: BNB-USD
Historical prices (past 60 trading days): start=17.58, end=15.41, cumulative_return=-12.3%, annualized_volatility=41.4%
Macro context: {'fed_funds_rate': 0.08, 'cpi_yoy': 257.042, 'unemployment': 11.0, 'gdp_growth_qoq': 19077.992, 't10y2y_spread': 0.5, 't10y3m_spread': 0.5, 'breakeven_10y': 1.34, 'hy_oas... | positive | 0.142926 | The actual 21-day forward return for BNB-USD starting 2020-07-01 was +14.29%, which classifies as 'positive'. | {
"future_return": 0.142926,
"horizon_days": 21,
"hist_return": -0.12347599999999999,
"annualized_vol": 0.413967,
"has_text": false,
"text_chars": 0
} |
T1_all_20220203_0992 | T1 | 1 | train | sideways | all | [
"MATIC-USD"
] | 2022-02-03T00:00:00 | MATIC-USD over past 60 days: cumulative return -23.9%, annualized vol 101.2%. Market regime: sideways. | Asset: MATIC-USD
Historical prices (past 60 trading days): start=2.03, end=1.54, cumulative_return=-23.9%, annualized_volatility=101.2%
Macro context: {'fed_funds_rate': 0.08, 'cpi_yoy': 284.5, 'unemployment': 3.9, 'gdp_growth_qoq': 21932.71, 't10y2y_spread': 0.62, 't10y3m_spread': 1.59, 'breakeven_10y': 2.41, 'hy_oas'... | negative | -0.071378 | The actual 21-day forward return for MATIC-USD starting 2022-02-03 was -7.14%, which classifies as 'negative'. | {
"future_return": -0.071378,
"horizon_days": 21,
"hist_return": -0.239231,
"annualized_vol": 1.012061,
"has_text": true,
"text_chars": 20
} |
T1_all_20220426_0994 | T1 | 1 | train | sideways | all | [
"XLI"
] | 2022-04-26T00:00:00 | XLI over past 60 days: cumulative return -0.9%, annualized vol 18.5%. Market regime: sideways. | Asset: XLI
Historical prices (past 60 trading days): start=93.33, end=92.44, cumulative_return=-0.9%, annualized_volatility=18.5%
Macro context: {'fed_funds_rate': 0.33, 'cpi_yoy': 288.561, 'unemployment': 3.7, 'gdp_growth_qoq': 21967.045, 't10y2y_spread': 0.18, 't10y3m_spread': 1.9, 'breakeven_10y': 2.86, 'hy_oas': 3.... | negative | -0.047673 | The actual 21-day forward return for XLI starting 2022-04-26 was -4.77%, which classifies as 'negative'. | {
"future_return": -0.047673,
"horizon_days": 21,
"hist_return": -0.009453999999999999,
"annualized_vol": 0.185028,
"has_text": true,
"text_chars": 3020
} |
T1_all_20220923_0996 | T1 | 1 | train | sideways | all | [
"MATIC-USD"
] | 2022-09-23T00:00:00 | MATIC-USD over past 60 days: cumulative return -3.0%, annualized vol 74.7%. Market regime: sideways. | Asset: MATIC-USD
Historical prices (past 60 trading days): start=0.78, end=0.75, cumulative_return=-3.0%, annualized_volatility=74.7%
Macro context: {'fed_funds_rate': 3.08, 'cpi_yoy': 296.349, 'unemployment': 3.5, 'gdp_growth_qoq': 22125.625, 't10y2y_spread': -0.41, 't10y3m_spread': 0.41, 'breakeven_10y': 2.41, 'hy_oa... | positive | 0.017995 | The actual 21-day forward return for MATIC-USD starting 2022-09-23 was +1.80%, which classifies as 'positive'. | {
"future_return": 0.017995,
"horizon_days": 21,
"hist_return": -0.029514,
"annualized_vol": 0.747104,
"has_text": true,
"text_chars": 20
} |
T1_all_20220718_0998 | T1 | 1 | train | sideways | all | [
"XRP-USD"
] | 2022-07-18T00:00:00 | XRP-USD over past 60 days: cumulative return -18.2%, annualized vol 60.0%. Market regime: sideways. | Asset: XRP-USD
Historical prices (past 60 trading days): start=0.42, end=0.34, cumulative_return=-18.2%, annualized_volatility=60.0%
Macro context: {'fed_funds_rate': 1.58, 'cpi_yoy': 294.913, 'unemployment': 3.5, 'gdp_growth_qoq': 22125.625, 't10y2y_spread': -0.2, 't10y3m_spread': 0.56, 'breakeven_10y': 2.36, 'hy_oas'... | positive | 0.034347 | The actual 21-day forward return for XRP-USD starting 2022-07-18 was +3.43%, which classifies as 'positive'. | {
"future_return": 0.034346999999999996,
"horizon_days": 21,
"hist_return": -0.182306,
"annualized_vol": 0.600231,
"has_text": true,
"text_chars": 20
} |
T2_all_20171211_0000 | T2 | 1 | train | sideways | all | [
"XLV"
] | 2017-12-11T00:00:00 | XLV: 60-day return history, mean=0.0000, std=0.0053. | Asset: XLV
Daily returns (past 60 days): mean=0.0000, std=0.0053, min=-0.0123, max=0.0133
Market regime: sideways
Recent filing/news:
[Kaggle 2017-12-08] ["A tale of two bubbles \u2014 the dot-coms and bitcoin The internet paid off in the end because it solved a real problem; bitcoin doesn\u2019t Bitcoin is the biggest... | -0.0080 | -0.008011 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0080 (i.e., on a bad day with 5% probability, the loss exceeds 0.80%). CVaR(95%) = -0.0110. | {
"var": -0.008010999999999999,
"cvar": -0.011047999999999999,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20180613_0004 | T2 | 1 | train | sideways | all | [
"XRP-USD"
] | 2018-06-13T00:00:00 | XRP-USD: 60-day return history, mean=-0.0006, std=0.0551. | Asset: XRP-USD
Daily returns (past 60 days): mean=-0.0006, std=0.0551, min=-0.1435, max=0.1673
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for XRP-USD. Express as a decimal (e.g., -0.02). | -0.0917 | -0.091697 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0917 (i.e., on a bad day with 5% probability, the loss exceeds 9.17%). CVaR(95%) = -0.1163. | {
"var": -0.091697,
"cvar": -0.116254,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20160127_0007 | T2 | 1 | train | sideways | all | [
"EEM"
] | 2016-01-27T00:00:00 | EEM: 60-day return history, mean=-0.0027, std=0.0142. | Asset: EEM
Daily returns (past 60 days): mean=-0.0027, std=0.0142, min=-0.0341, max=0.0317
Market regime: sideways
Recent filing/news:
[Kaggle 2016-01-26] ["Skyworks, Cirrus: Apple \u2018Capitulation\u2019 Will Be the Buy Sign, Says Pac Crest When Apple (AAPL) files fiscal Q1 results tomorrow, Tuesday, after the closin... | -0.0278 | -0.027754 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0278 (i.e., on a bad day with 5% probability, the loss exceeds 2.78%). CVaR(95%) = -0.0313. | {
"var": -0.027753999999999997,
"cvar": -0.0313,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20210326_0010 | T2 | 1 | train | sideways | all | [
"ETH-USD"
] | 2021-03-26T00:00:00 | ETH-USD: 60-day return history, mean=0.0035, std=0.0489. | Asset: ETH-USD
Daily returns (past 60 days): mean=0.0035, std=0.0489, min=-0.1188, max=0.1068
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for ETH-USD. Express as a decimal (e.g., -0.02). | -0.0767 | -0.076682 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0767 (i.e., on a bad day with 5% probability, the loss exceeds 7.67%). CVaR(95%) = -0.0970. | {
"var": -0.076682,
"cvar": -0.09698799999999999,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20210520_0013 | T2 | 1 | train | sideways | all | [
"XRP-USD"
] | 2021-05-20T00:00:00 | XRP-USD: 60-day return history, mean=0.0186, std=0.1097. | Asset: XRP-USD
Daily returns (past 60 days): mean=0.0186, std=0.1097, min=-0.2138, max=0.3257
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for XRP-USD. Express as a decimal (e.g., -0.02). | -0.1234 | -0.123426 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.1234 (i.e., on a bad day with 5% probability, the loss exceeds 12.34%). CVaR(95%) = -0.1774. | {
"var": -0.123426,
"cvar": -0.177441,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20220127_0016 | T2 | 1 | train | sideways | all | [
"ETH-USD"
] | 2022-01-27T00:00:00 | ETH-USD: 60-day return history, mean=-0.0076, std=0.0399. | Asset: ETH-USD
Daily returns (past 60 days): mean=-0.0076, std=0.0399, min=-0.1477, max=0.0729
Market regime: sideways
Recent filing/news:
[Kaggle 2022-01-26]
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for ETH-USD. Express as a decimal (e.g., -0.02). | -0.0662 | -0.066183 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0662 (i.e., on a bad day with 5% probability, the loss exceeds 6.62%). CVaR(95%) = -0.1015. | {
"var": -0.06618299999999999,
"cvar": -0.10145399999999999,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 20
} |
T2_all_20210218_0019 | T2 | 1 | train | sideways | all | [
"QUAL"
] | 2021-02-18T00:00:00 | QUAL: 60-day return history, mean=0.0013, std=0.0078. | Asset: QUAL
Daily returns (past 60 days): mean=0.0013, std=0.0078, min=-0.0232, max=0.0160
Market regime: sideways
Recent filing/news:
[Kaggle 2021-02-17] ["Martin Scorsese laments the rise of \u2018content\u2019 and streaming\u2019s lack of curation Oscar-winning director Martin Scorsese took a shot at streaming servi... | -0.0079 | -0.007914 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0079 (i.e., on a bad day with 5% probability, the loss exceeds 0.79%). CVaR(95%) = -0.0202. | {
"var": -0.007914,
"cvar": -0.020243,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20200715_0022 | T2 | 1 | train | sideways | all | [
"VEA"
] | 2020-07-15T00:00:00 | VEA: 60-day return history, mean=0.0025, std=0.0136. | Asset: VEA
Daily returns (past 60 days): mean=0.0025, std=0.0136, min=-0.0276, max=0.0263
Market regime: sideways
Recent filing/news:
[Kaggle 2020-07-14] ["S&P 500, Dow rise after mixed bank earnings; tech-heavy Nasdaq falls By Medha Singh and Devik Jain July 14 (Reuters) - The S&P 500 and Dow indexes edged higher in v... | -0.0209 | -0.020892 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0209 (i.e., on a bad day with 5% probability, the loss exceeds 2.09%). CVaR(95%) = -0.0250. | {
"var": -0.020891999999999997,
"cvar": -0.024964999999999998,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20200624_0025 | T2 | 1 | train | sideways | all | [
"MATIC-USD"
] | 2020-06-24T00:00:00 | MATIC-USD: 60-day return history, mean=0.0089, std=0.0594. | Asset: MATIC-USD
Daily returns (past 60 days): mean=0.0089, std=0.0594, min=-0.1465, max=0.2137
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for MATIC-USD. Express as a decimal (e.g., -0.02). | -0.0743 | -0.074297 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0743 (i.e., on a bad day with 5% probability, the loss exceeds 7.43%). CVaR(95%) = -0.1113. | {
"var": -0.074297,
"cvar": -0.111276,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20170817_0028 | T2 | 1 | train | sideways | all | [
"REZ"
] | 2017-08-17T00:00:00 | REZ: 60-day return history, mean=0.0001, std=0.0071. | Asset: REZ
Daily returns (past 60 days): mean=0.0001, std=0.0071, min=-0.0249, max=0.0164
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for REZ. Express as a decimal (e.g., -0.02). | -0.0117 | -0.011746 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0117 (i.e., on a bad day with 5% probability, the loss exceeds 1.17%). CVaR(95%) = -0.0167. | {
"var": -0.011746,
"cvar": -0.01669,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20171123_0033 | T2 | 1 | train | sideways | all | [
"IYR"
] | 2017-11-23T00:00:00 | IYR: 60-day return history, mean=0.0006, std=0.0049. | Asset: IYR
Daily returns (past 60 days): mean=0.0006, std=0.0049, min=-0.0101, max=0.0116
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for IYR. Express as a decimal (e.g., -0.02). | -0.0077 | -0.007732 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0077 (i.e., on a bad day with 5% probability, the loss exceeds 0.77%). CVaR(95%) = -0.0089. | {
"var": -0.007731999999999999,
"cvar": -0.008893,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20180727_0036 | T2 | 1 | train | sideways | all | [
"XLP"
] | 2018-07-27T00:00:00 | XLP: 60-day return history, mean=0.0012, std=0.0070. | Asset: XLP
Daily returns (past 60 days): mean=0.0012, std=0.0070, min=-0.0198, max=0.0144
Market regime: sideways
Recent filing/news:
[Kaggle 2018-07-26] ["This reversal shows there\u2019s risk in the bullish stock market \u2014 and Facebook is further proof Big tech stocks are faltering, so make sure to hold cash and ... | -0.0085 | -0.008481 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0085 (i.e., on a bad day with 5% probability, the loss exceeds 0.85%). CVaR(95%) = -0.0169. | {
"var": -0.008480999999999999,
"cvar": -0.016876,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20191016_0041 | T2 | 1 | train | sideways | all | [
"LINK-USD"
] | 2019-10-16T00:00:00 | LINK-USD: 60-day return history, mean=0.0016, std=0.0467. | Asset: LINK-USD
Daily returns (past 60 days): mean=0.0016, std=0.0467, min=-0.0981, max=0.1130
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for LINK-USD. Express as a decimal (e.g., -0.02). | -0.0619 | -0.061913 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0619 (i.e., on a bad day with 5% probability, the loss exceeds 6.19%). CVaR(95%) = -0.0804. | {
"var": -0.061912999999999996,
"cvar": -0.080431,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20160802_0044 | T2 | 1 | train | sideways | all | [
"^VIX"
] | 2016-08-02T00:00:00 | ^VIX: 60-day return history, mean=-0.0053, std=0.0761. | Asset: ^VIX
Daily returns (past 60 days): mean=-0.0053, std=0.0761, min=-0.1825, max=0.2508
Market regime: sideways
Recent filing/news:
[Kaggle 2016-08-01] ["Tech Turbocharged By Earnings, Chart Breakouts Last week\u2019s killer earnings from Facebook, Alphabet and Apple paced an already energized tech sector.", "The d... | -0.1121 | -0.112088 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.1121 (i.e., on a bad day with 5% probability, the loss exceeds 11.21%). CVaR(95%) = -0.1614. | {
"var": -0.112088,
"cvar": -0.161442,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20171107_0047 | T2 | 1 | train | sideways | all | [
"SHV"
] | 2017-11-07T00:00:00 | SHV: 60-day return history, mean=0.0000, std=0.0002. | Asset: SHV
Daily returns (past 60 days): mean=0.0000, std=0.0002, min=-0.0003, max=0.0005
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for SHV. Express as a decimal (e.g., -0.02). | -0.0002 | -0.000186 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0002 (i.e., on a bad day with 5% probability, the loss exceeds 0.02%). CVaR(95%) = -0.0003. | {
"var": -0.000186,
"cvar": -0.000272,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20211130_0050 | T2 | 1 | train | sideways | all | [
"ETH-USD"
] | 2021-11-30T00:00:00 | ETH-USD: 60-day return history, mean=0.0072, std=0.0369. | Asset: ETH-USD
Daily returns (past 60 days): mean=0.0072, std=0.0369, min=-0.0749, max=0.1019
Market regime: sideways
Recent filing/news:
[Kaggle 2021-11-29]
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for ETH-USD. Express as a decimal (e.g., -0.02). | -0.0490 | -0.049039 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0490 (i.e., on a bad day with 5% probability, the loss exceeds 4.90%). CVaR(95%) = -0.0663. | {
"var": -0.049039,
"cvar": -0.066272,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 20
} |
T2_all_20221006_0053 | T2 | 1 | train | sideways | all | [
"^VIX"
] | 2022-10-06T00:00:00 | ^VIX: 60-day return history, mean=0.0008, std=0.0542. | Asset: ^VIX
Daily returns (past 60 days): mean=0.0008, std=0.0542, min=-0.0979, max=0.1600
Market regime: sideways
Recent filing/news:
[Kaggle 2022-10-05] ["After Hours Most Active for Oct 5, 2022 : DKNG, BTRS, X, AAPL, TQQQ, FDX, QQQ, SHY, STOR, C, TMX, T The NASDAQ 100 After Hours Indicator is down -5.07 to 11,568.11... | -0.0858 | -0.085802 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0858 (i.e., on a bad day with 5% probability, the loss exceeds 8.58%). CVaR(95%) = -0.0908. | {
"var": -0.08580199999999999,
"cvar": -0.090793,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20210503_0056 | T2 | 1 | train | sideways | all | [
"SHV"
] | 2021-05-03T00:00:00 | SHV: 60-day return history, mean=0.0000, std=0.0001. | Asset: SHV
Daily returns (past 60 days): mean=0.0000, std=0.0001, min=-0.0001, max=0.0002
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for SHV. Express as a decimal (e.g., -0.02). | -0.0001 | -0.00009 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0001 (i.e., on a bad day with 5% probability, the loss exceeds 0.01%). CVaR(95%) = -0.0001. | {
"var": -0.00009,
"cvar": -0.00009,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20181008_0061 | T2 | 1 | train | sideways | all | [
"BNB-USD"
] | 2018-10-08T00:00:00 | BNB-USD: 60-day return history, mean=-0.0015, std=0.0423. | Asset: BNB-USD
Daily returns (past 60 days): mean=-0.0015, std=0.0423, min=-0.1289, max=0.1087
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for BNB-USD. Express as a decimal (e.g., -0.02). | -0.0795 | -0.079474 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0795 (i.e., on a bad day with 5% probability, the loss exceeds 7.95%). CVaR(95%) = -0.1098. | {
"var": -0.079474,
"cvar": -0.109765,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20211029_0064 | T2 | 1 | train | sideways | all | [
"FXI"
] | 2021-10-29T00:00:00 | FXI: 60-day return history, mean=-0.0001, std=0.0159. | Asset: FXI
Daily returns (past 60 days): mean=-0.0001, std=0.0159, min=-0.0438, max=0.0400
Market regime: sideways
Recent filing/news:
[Kaggle 2021-10-28] ["The Morning After: Android 12L is Google's latest tablet effort Today\u2019s headlines: Google gives Android on tablets another shot with Android 12L, Intel's hybr... | -0.0230 | -0.023035 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0230 (i.e., on a bad day with 5% probability, the loss exceeds 2.30%). CVaR(95%) = -0.0325. | {
"var": -0.023035,
"cvar": -0.032483,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20211008_0067 | T2 | 1 | train | sideways | all | [
"QUAL"
] | 2021-10-08T00:00:00 | QUAL: 60-day return history, mean=-0.0001, std=0.0075. | Asset: QUAL
Daily returns (past 60 days): mean=-0.0001, std=0.0075, min=-0.0216, max=0.0141
Market regime: sideways
Recent filing/news:
[Kaggle 2021-10-07] November 26th Options Now Available For Analog Devices (ADI) Investors in Analog Devices Inc (Symbol: ADI) saw new options become available today, for the November ... | -0.0130 | -0.012983 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0130 (i.e., on a bad day with 5% probability, the loss exceeds 1.30%). CVaR(95%) = -0.0181. | {
"var": -0.012983,
"cvar": -0.018082,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20160804_0070 | T2 | 1 | train | sideways | all | [
"PDBC"
] | 2016-08-04T00:00:00 | PDBC: 60-day return history, mean=0.0006, std=0.0117. | Asset: PDBC
Daily returns (past 60 days): mean=0.0006, std=0.0117, min=-0.0300, max=0.0243
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for PDBC. Express as a decimal (e.g., -0.02). | -0.0171 | -0.017139 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0171 (i.e., on a bad day with 5% probability, the loss exceeds 1.71%). CVaR(95%) = -0.0265. | {
"var": -0.017138999999999998,
"cvar": -0.026521,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20220915_0074 | T2 | 1 | train | sideways | all | [
"AVAX-USD"
] | 2022-09-15T00:00:00 | AVAX-USD: 60-day return history, mean=-0.0005, std=0.0510. | Asset: AVAX-USD
Daily returns (past 60 days): mean=-0.0005, std=0.0510, min=-0.1211, max=0.1691
Market regime: sideways
Recent filing/news:
[Kaggle 2022-09-14]
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for AVAX-USD. Express as a decimal (e.g., -0.02). | -0.0832 | -0.083209 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0832 (i.e., on a bad day with 5% probability, the loss exceeds 8.32%). CVaR(95%) = -0.1110. | {
"var": -0.08320899999999999,
"cvar": -0.11104399999999999,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 20
} |
T2_all_20200106_0077 | T2 | 1 | train | sideways | all | [
"LQD"
] | 2020-01-06T00:00:00 | LQD: 60-day return history, mean=0.0002, std=0.0031. | Asset: LQD
Daily returns (past 60 days): mean=0.0002, std=0.0031, min=-0.0078, max=0.0077
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for LQD. Express as a decimal (e.g., -0.02). | -0.0048 | -0.004759 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0048 (i.e., on a bad day with 5% probability, the loss exceeds 0.48%). CVaR(95%) = -0.0065. | {
"var": -0.004759,
"cvar": -0.006477999999999999,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20161101_0080 | T2 | 1 | train | sideways | all | [
"VLUE"
] | 2016-11-01T00:00:00 | VLUE: 60-day return history, mean=0.0001, std=0.0065. | Asset: VLUE
Daily returns (past 60 days): mean=0.0001, std=0.0065, min=-0.0228, max=0.0152
Market regime: sideways
Recent filing/news:
[Kaggle 2016-10-31] ["Music industry still plagued by pirated CDs Even in the digital era there are plenty of music fans who still buy old-fashioned compact discs for more than $10 a po... | -0.0116 | -0.011586 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0116 (i.e., on a bad day with 5% probability, the loss exceeds 1.16%). CVaR(95%) = -0.0159. | {
"var": -0.011585999999999999,
"cvar": -0.01589,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20190619_0083 | T2 | 1 | train | sideways | all | [
"XLV"
] | 2019-06-19T00:00:00 | XLV: 60-day return history, mean=0.0003, std=0.0086. | Asset: XLV
Daily returns (past 60 days): mean=0.0003, std=0.0086, min=-0.0292, max=0.0164
Market regime: sideways
Recent filing/news:
[Kaggle 2019-06-18] ["Earnings Scheduled For June 18, 2019", "7 Stocks To Watch For June 18, 2019", "Adobe Systems Q2 Earnings Preview", "Tuesday's Market Minute: What To Watch For Today... | -0.0190 | -0.018983 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0190 (i.e., on a bad day with 5% probability, the loss exceeds 1.90%). CVaR(95%) = -0.0231. | {
"var": -0.018983,
"cvar": -0.023100000000000002,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20151223_0086 | T2 | 1 | train | sideways | all | [
"ACWI"
] | 2015-12-23T00:00:00 | ACWI: 60-day return history, mean=0.0011, std=0.0092. | Asset: ACWI
Daily returns (past 60 days): mean=0.0011, std=0.0092, min=-0.0195, max=0.0208
Market regime: sideways
Recent filing/news:
[Kaggle 2015-12-22] ["7 Stock Picks From the Top Tech Fund Since 2001 Kyle Weaver\u2019s Fidelity IT Services fund is No. 1 tech portfolio since dot-com crash, without owning FANGs.", "... | -0.0123 | -0.012291 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0123 (i.e., on a bad day with 5% probability, the loss exceeds 1.23%). CVaR(95%) = -0.0159. | {
"var": -0.012291,
"cvar": -0.015898,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20190729_0089 | T2 | 1 | train | sideways | all | [
"VTI"
] | 2019-07-29T00:00:00 | VTI: 60-day return history, mean=0.0006, std=0.0078. | Asset: VTI
Daily returns (past 60 days): mean=0.0006, std=0.0078, min=-0.0256, max=0.0222
Market regime: sideways
Recent filing/news:
[Kaggle 2019-07-26] ["SoftBank launches another tech megafund, backed by Apple, Microsoft Second Vision Fund, with about $108 billion secured, will invest in AI SoftBank Group Corp. said... | -0.0129 | -0.012851 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0129 (i.e., on a bad day with 5% probability, the loss exceeds 1.29%). CVaR(95%) = -0.0189. | {
"var": -0.012851,
"cvar": -0.018854,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20160303_0092 | T2 | 1 | train | sideways | all | [
"SCHP"
] | 2016-03-03T00:00:00 | SCHP: 60-day return history, mean=0.0004, std=0.0028. | Asset: SCHP
Daily returns (past 60 days): mean=0.0004, std=0.0028, min=-0.0071, max=0.0048
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for SCHP. Express as a decimal (e.g., -0.02). | -0.0042 | -0.004168 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0042 (i.e., on a bad day with 5% probability, the loss exceeds 0.42%). CVaR(95%) = -0.0059. | {
"var": -0.004168,
"cvar": -0.0059,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20190620_0095 | T2 | 1 | train | sideways | all | [
"BTC-USD"
] | 2019-06-20T00:00:00 | BTC-USD: 60-day return history, mean=0.0095, std=0.0378. | Asset: BTC-USD
Daily returns (past 60 days): mean=0.0095, std=0.0378, min=-0.0686, max=0.1157
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for BTC-USD. Express as a decimal (e.g., -0.02). | -0.0473 | -0.047269 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0473 (i.e., on a bad day with 5% probability, the loss exceeds 4.73%). CVaR(95%) = -0.0636. | {
"var": -0.047269,
"cvar": -0.063582,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20210913_0098 | T2 | 1 | train | sideways | all | [
"INDS"
] | 2021-09-13T00:00:00 | INDS: 60-day return history, mean=0.0009, std=0.0095. | Asset: INDS
Daily returns (past 60 days): mean=0.0009, std=0.0095, min=-0.0240, max=0.0233
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for INDS. Express as a decimal (e.g., -0.02). | -0.0115 | -0.011463 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0115 (i.e., on a bad day with 5% probability, the loss exceeds 1.15%). CVaR(95%) = -0.0203. | {
"var": -0.011463,
"cvar": -0.020325,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20180406_0101 | T2 | 1 | train | sideways | all | [
"ETH-USD"
] | 2018-04-06T00:00:00 | ETH-USD: 60-day return history, mean=-0.0113, std=0.0548. | Asset: ETH-USD
Daily returns (past 60 days): mean=-0.0113, std=0.0548, min=-0.1593, max=0.1364
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for ETH-USD. Express as a decimal (e.g., -0.02). | -0.0884 | -0.088372 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0884 (i.e., on a bad day with 5% probability, the loss exceeds 8.84%). CVaR(95%) = -0.1351. | {
"var": -0.08837199999999999,
"cvar": -0.13508799999999999,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20160111_0104 | T2 | 1 | train | sideways | all | [
"BTC-USD"
] | 2016-01-11T00:00:00 | BTC-USD: 60-day return history, mean=0.0066, std=0.0308. | Asset: BTC-USD
Daily returns (past 60 days): mean=0.0066, std=0.0308, min=-0.0842, max=0.0878
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for BTC-USD. Express as a decimal (e.g., -0.02). | -0.0383 | -0.038321 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0383 (i.e., on a bad day with 5% probability, the loss exceeds 3.83%). CVaR(95%) = -0.0553. | {
"var": -0.038321,
"cvar": -0.055338,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20180703_0107 | T2 | 1 | train | sideways | all | [
"QUAL"
] | 2018-07-03T00:00:00 | QUAL: 60-day return history, mean=0.0005, std=0.0065. | Asset: QUAL
Daily returns (past 60 days): mean=0.0005, std=0.0065, min=-0.0128, max=0.0169
Market regime: sideways
Recent filing/news:
[Kaggle 2018-07-02] ["Why there may never be a Netflix of videogames Years into parallel efforts to deliver videogame streams from the cloud, latency \u2014 and doubts \u2014 persist Pl... | -0.0100 | -0.009982 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0100 (i.e., on a bad day with 5% probability, the loss exceeds 1.00%). CVaR(95%) = -0.0120. | {
"var": -0.009982,
"cvar": -0.012038,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20150714_0110 | T2 | 1 | train | sideways | all | [
"PALL"
] | 2015-07-14T00:00:00 | PALL: 60-day return history, mean=-0.0027, std=0.0133. | Asset: PALL
Daily returns (past 60 days): mean=-0.0027, std=0.0133, min=-0.0436, max=0.0355
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for PALL. Express as a decimal (e.g., -0.02). | -0.0217 | -0.021668 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0217 (i.e., on a bad day with 5% probability, the loss exceeds 2.17%). CVaR(95%) = -0.0311. | {
"var": -0.021668,
"cvar": -0.031124,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20180402_0113 | T2 | 1 | train | sideways | all | [
"XRP-USD"
] | 2018-04-02T00:00:00 | XRP-USD: 60-day return history, mean=-0.0120, std=0.0710. | Asset: XRP-USD
Daily returns (past 60 days): mean=-0.0120, std=0.0710, min=-0.1719, max=0.1852
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for XRP-USD. Express as a decimal (e.g., -0.02). | -0.1151 | -0.115146 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.1151 (i.e., on a bad day with 5% probability, the loss exceeds 11.51%). CVaR(95%) = -0.1470. | {
"var": -0.115146,
"cvar": -0.147028,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20180607_0116 | T2 | 1 | train | sideways | all | [
"QQQ"
] | 2018-06-07T00:00:00 | QQQ: 60-day return history, mean=0.0002, std=0.0135. | Asset: QQQ
Daily returns (past 60 days): mean=0.0002, std=0.0135, min=-0.0329, max=0.0340
Market regime: sideways
Recent filing/news:
[Kaggle 2018-06-06] The 3 Rules of a Bull Market When I talk to investors about the stock market, I still hear all the reasons that it's time to be cautious and the end is near. But all ... | -0.0254 | -0.02541 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0254 (i.e., on a bad day with 5% probability, the loss exceeds 2.54%). CVaR(95%) = -0.0296. | {
"var": -0.025410000000000002,
"cvar": -0.029625,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20171218_0123 | T2 | 1 | train | sideways | all | [
"PDBC"
] | 2017-12-18T00:00:00 | PDBC: 60-day return history, mean=0.0002, std=0.0070. | Asset: PDBC
Daily returns (past 60 days): mean=0.0002, std=0.0070, min=-0.0160, max=0.0181
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for PDBC. Express as a decimal (e.g., -0.02). | -0.0124 | -0.012386 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0124 (i.e., on a bad day with 5% probability, the loss exceeds 1.24%). CVaR(95%) = -0.0148. | {
"var": -0.012386,
"cvar": -0.014848,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20191126_0126 | T2 | 1 | train | sideways | all | [
"XRP-USD"
] | 2019-11-26T00:00:00 | XRP-USD: 60-day return history, mean=-0.0014, std=0.0296. | Asset: XRP-USD
Daily returns (past 60 days): mean=-0.0014, std=0.0296, min=-0.0599, max=0.0706
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for XRP-USD. Express as a decimal (e.g., -0.02). | -0.0530 | -0.053035 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0530 (i.e., on a bad day with 5% probability, the loss exceeds 5.30%). CVaR(95%) = -0.0573. | {
"var": -0.053035,
"cvar": -0.057294,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20160107_0129 | T2 | 1 | train | sideways | all | [
"MTUM"
] | 2016-01-07T00:00:00 | MTUM: 60-day return history, mean=0.0003, std=0.0095. | Asset: MTUM
Daily returns (past 60 days): mean=0.0003, std=0.0095, min=-0.0204, max=0.0217
Market regime: sideways
Recent filing/news:
[Kaggle 2016-01-06] ["Apple iPhone Production Cuts? Suppliers Largan, Catcher Miss December Sales", "Bad day for Fitbit and its jittery investors Opinion: Lower price should expand reac... | -0.0165 | -0.016472 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0165 (i.e., on a bad day with 5% probability, the loss exceeds 1.65%). CVaR(95%) = -0.0181. | {
"var": -0.016472,
"cvar": -0.018077,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20170317_0132 | T2 | 1 | train | sideways | all | [
"XHB"
] | 2017-03-17T00:00:00 | XHB: 60-day return history, mean=0.0014, std=0.0089. | Asset: XHB
Daily returns (past 60 days): mean=0.0014, std=0.0089, min=-0.0194, max=0.0294
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for XHB. Express as a decimal (e.g., -0.02). | -0.0107 | -0.010737 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0107 (i.e., on a bad day with 5% probability, the loss exceeds 1.07%). CVaR(95%) = -0.0144. | {
"var": -0.010737,
"cvar": -0.014412,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20150205_0137 | T2 | 1 | train | sideways | all | [
"ICSH"
] | 2015-02-05T00:00:00 | ICSH: 31-day return history, mean=-0.0001, std=0.0010. | Asset: ICSH
Daily returns (past 31 days): mean=-0.0001, std=0.0010, min=-0.0020, max=0.0028
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for ICSH. Express as a decimal (e.g., -0.02). | -0.0016 | -0.001599 | Historical simulation VaR at 95%: sort the 31 daily returns and take the 5th percentile. VaR(95%) = -0.0016 (i.e., on a bad day with 5% probability, the loss exceeds 0.16%). CVaR(95%) = -0.0017. | {
"var": -0.001599,
"cvar": -0.001699,
"confidence": 0.9500000000000001,
"n_returns": 31,
"has_text": false,
"text_chars": 0
} |
T2_all_20181121_0140 | T2 | 1 | train | sideways | all | [
"TIP"
] | 2018-11-21T00:00:00 | TIP: 60-day return history, mean=-0.0001, std=0.0007. | Asset: TIP
Daily returns (past 60 days): mean=-0.0001, std=0.0007, min=-0.0015, max=0.0022
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for TIP. Express as a decimal (e.g., -0.02). | -0.0012 | -0.001216 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0012 (i.e., on a bad day with 5% probability, the loss exceeds 0.12%). CVaR(95%) = -0.0014. | {
"var": -0.0012159999999999999,
"cvar": -0.001356,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20201021_0143 | T2 | 1 | train | sideways | all | [
"SOL-USD"
] | 2020-10-21T00:00:00 | SOL-USD: 60-day return history, mean=-0.0052, std=0.0889. | Asset: SOL-USD
Daily returns (past 60 days): mean=-0.0052, std=0.0889, min=-0.2453, max=0.2870
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for SOL-USD. Express as a decimal (e.g., -0.02). | -0.1532 | -0.153189 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.1532 (i.e., on a bad day with 5% probability, the loss exceeds 15.32%). CVaR(95%) = -0.1945. | {
"var": -0.153189,
"cvar": -0.194454,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20211022_0148 | T2 | 1 | train | sideways | all | [
"XLB"
] | 2021-10-22T00:00:00 | XLB: 60-day return history, mean=0.0005, std=0.0095. | Asset: XLB
Daily returns (past 60 days): mean=0.0005, std=0.0095, min=-0.0208, max=0.0240
Market regime: sideways
Recent filing/news:
[Kaggle 2021-10-21] ["Customer engagement platform Batch raises $23 million after years of bootstrapping If you\u2019ve been working in the French tech ecosystem, you may remember a star... | -0.0126 | -0.012601 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0126 (i.e., on a bad day with 5% probability, the loss exceeds 1.26%). CVaR(95%) = -0.0186. | {
"var": -0.012601,
"cvar": -0.018629,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20180530_0151 | T2 | 1 | train | sideways | all | [
"LQD"
] | 2018-05-30T00:00:00 | LQD: 60-day return history, mean=0.0002, std=0.0027. | Asset: LQD
Daily returns (past 60 days): mean=0.0002, std=0.0027, min=-0.0076, max=0.0053
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for LQD. Express as a decimal (e.g., -0.02). | -0.0038 | -0.003794 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0038 (i.e., on a bad day with 5% probability, the loss exceeds 0.38%). CVaR(95%) = -0.0056. | {
"var": -0.0037939999999999996,
"cvar": -0.005581,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20201110_0154 | T2 | 1 | train | sideways | all | [
"LINK-USD"
] | 2020-11-10T00:00:00 | LINK-USD: 60-day return history, mean=0.0002, std=0.0563. | Asset: LINK-USD
Daily returns (past 60 days): mean=0.0002, std=0.0563, min=-0.1212, max=0.1799
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for LINK-USD. Express as a decimal (e.g., -0.02). | -0.0926 | -0.092646 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0926 (i.e., on a bad day with 5% probability, the loss exceeds 9.26%). CVaR(95%) = -0.1062. | {
"var": -0.09264599999999999,
"cvar": -0.10618599999999999,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20201229_0157 | T2 | 1 | train | sideways | all | [
"MTUM"
] | 2020-12-29T00:00:00 | MTUM: 60-day return history, mean=0.0011, std=0.0123. | Asset: MTUM
Daily returns (past 60 days): mean=0.0011, std=0.0123, min=-0.0341, max=0.0314
Market regime: sideways
Recent filing/news:
[Kaggle 2020-12-28] ["Stand By Chip Champ Advanced Micro Devices Even at Higher Price Points InvestorPlace - Stock Market News, Stock Advice & Trading Tips For investors in Advanced Mic... | -0.0235 | -0.023456 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0235 (i.e., on a bad day with 5% probability, the loss exceeds 2.35%). CVaR(95%) = -0.0294. | {
"var": -0.023455999999999998,
"cvar": -0.029428,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20201117_0162 | T2 | 1 | train | sideways | all | [
"USMV"
] | 2020-11-17T00:00:00 | USMV: 60-day return history, mean=0.0011, std=0.0103. | Asset: USMV
Daily returns (past 60 days): mean=0.0011, std=0.0103, min=-0.0253, max=0.0190
Market regime: sideways
Recent filing/news:
[Kaggle 2020-11-16] ["A Covid Vaccine Is Coming. Here\u2019s What It Means for the Stock Market. After years of disappointment, a rotation into value-oriented investments from growth co... | -0.0163 | -0.016304 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0163 (i.e., on a bad day with 5% probability, the loss exceeds 1.63%). CVaR(95%) = -0.0231. | {
"var": -0.016304,
"cvar": -0.023053,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20150916_0165 | T2 | 1 | train | sideways | all | [
"EEM"
] | 2015-09-16T00:00:00 | EEM: 60-day return history, mean=-0.0027, std=0.0163. | Asset: EEM
Daily returns (past 60 days): mean=-0.0027, std=0.0163, min=-0.0341, max=0.0317
Market regime: sideways
Recent filing/news:
[Kaggle 2015-09-15] ["Chip Stocks Up Despite Falling Semiconductor Billings", "Chip Stocks Up Despite Falling Semiconductor Billings", "Is Apple, Inc.'s \"3D Touch\" Supplier a Buy? As ... | -0.0314 | -0.031405 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0314 (i.e., on a bad day with 5% probability, the loss exceeds 3.14%). CVaR(95%) = -0.0341. | {
"var": -0.031404999999999995,
"cvar": -0.034114,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20190312_0168 | T2 | 1 | train | sideways | all | [
"FXI"
] | 2019-03-12T00:00:00 | FXI: 60-day return history, mean=0.0013, std=0.0123. | Asset: FXI
Daily returns (past 60 days): mean=0.0013, std=0.0123, min=-0.0225, max=0.0333
Market regime: sideways
Recent filing/news:
[Kaggle 2019-03-11] ["Apple\u2019s iPhone Woes Could Hurt Supplier Credit Ratings S&P Ratings predicts that Apple\u2019s iPhone revenue will drop by around 15% in fiscal 2019, and a cont... | -0.0175 | -0.017469 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0175 (i.e., on a bad day with 5% probability, the loss exceeds 1.75%). CVaR(95%) = -0.0204. | {
"var": -0.017469,
"cvar": -0.020443,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20190819_0175 | T2 | 1 | train | sideways | all | [
"XRP-USD"
] | 2019-08-19T00:00:00 | XRP-USD: 60-day return history, mean=-0.0064, std=0.0398. | Asset: XRP-USD
Daily returns (past 60 days): mean=-0.0064, std=0.0398, min=-0.1256, max=0.0712
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for XRP-USD. Express as a decimal (e.g., -0.02). | -0.0782 | -0.078247 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0782 (i.e., on a bad day with 5% probability, the loss exceeds 7.82%). CVaR(95%) = -0.1099. | {
"var": -0.078247,
"cvar": -0.109912,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20181004_0178 | T2 | 1 | train | sideways | all | [
"IVV"
] | 2018-10-04T00:00:00 | IVV: 60-day return history, mean=0.0008, std=0.0043. | Asset: IVV
Daily returns (past 60 days): mean=0.0008, std=0.0043, min=-0.0080, max=0.0092
Market regime: sideways
Recent filing/news:
[Kaggle 2018-10-03] Adobe Unveils Major Document Updates, Enhances PDF Experience Adobe Systems IncorporatedADBE is firing on all cylinders to enhance presence in the document management... | -0.0065 | -0.006472 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0065 (i.e., on a bad day with 5% probability, the loss exceeds 0.65%). CVaR(95%) = -0.0075. | {
"var": -0.0064719999999999995,
"cvar": -0.007535999999999999,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20220707_0181 | T2 | 1 | train | sideways | all | [
"EWJ"
] | 2022-07-07T00:00:00 | EWJ: 60-day return history, mean=-0.0019, std=0.0120. | Asset: EWJ
Daily returns (past 60 days): mean=-0.0019, std=0.0120, min=-0.0286, max=0.0204
Market regime: sideways
Recent filing/news:
[Kaggle 2022-07-06] ["Beyond Crypto: This Is the Secret Sauce to Retiring a Millionaire While many would agree that the stock market has been the best tool historically to building long... | -0.0217 | -0.021679 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0217 (i.e., on a bad day with 5% probability, the loss exceeds 2.17%). CVaR(95%) = -0.0282. | {
"var": -0.021679,
"cvar": -0.02824,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20180829_0184 | T2 | 1 | train | sideways | all | [
"ACWI"
] | 2018-08-29T00:00:00 | ACWI: 60-day return history, mean=0.0003, std=0.0058. | Asset: ACWI
Daily returns (past 60 days): mean=0.0003, std=0.0058, min=-0.0143, max=0.0098
Market regime: sideways
Recent filing/news:
[Kaggle 2018-08-28] ["Here\u2019s What Blockchain Technology Means for IBM Stock InvestorPlace - Stock Market News, Stock Advice & Trading Tips IBM (NYSE: IBM ) has been in a prolonged ... | -0.0119 | -0.011895 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0119 (i.e., on a bad day with 5% probability, the loss exceeds 1.19%). CVaR(95%) = -0.0127. | {
"var": -0.011895,
"cvar": -0.012698,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20210914_0189 | T2 | 1 | train | sideways | all | [
"XRP-USD"
] | 2021-09-14T00:00:00 | XRP-USD: 60-day return history, mean=0.0116, std=0.0633. | Asset: XRP-USD
Daily returns (past 60 days): mean=0.0116, std=0.0633, min=-0.1902, max=0.1895
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for XRP-USD. Express as a decimal (e.g., -0.02). | -0.0782 | -0.078165 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0782 (i.e., on a bad day with 5% probability, the loss exceeds 7.82%). CVaR(95%) = -0.1204. | {
"var": -0.078165,
"cvar": -0.12043799999999999,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20181126_0192 | T2 | 1 | train | sideways | all | [
"VLUE"
] | 2018-11-26T00:00:00 | VLUE: 60-day return history, mean=-0.0019, std=0.0108. | Asset: VLUE
Daily returns (past 60 days): mean=-0.0019, std=0.0108, min=-0.0356, max=0.0205
Market regime: sideways
Recent filing/news:
[Kaggle 2018-11-23] ["50 Biggest Movers From Wednesday", "Argus Upgrades Autodesk to Buy, Announces $160 Price Target", "Argus Upgrades Autodesk to Buy, Announces $160 Price Target", "... | -0.0235 | -0.023513 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0235 (i.e., on a bad day with 5% probability, the loss exceeds 2.35%). CVaR(95%) = -0.0289. | {
"var": -0.023513,
"cvar": -0.02891,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20220110_0197 | T2 | 1 | train | sideways | all | [
"XHB"
] | 2022-01-10T00:00:00 | XHB: 60-day return history, mean=0.0016, std=0.0143. | Asset: XHB
Daily returns (past 60 days): mean=0.0016, std=0.0143, min=-0.0344, max=0.0343
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for XHB. Express as a decimal (e.g., -0.02). | -0.0233 | -0.023316 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0233 (i.e., on a bad day with 5% probability, the loss exceeds 2.33%). CVaR(95%) = -0.0289. | {
"var": -0.023316,
"cvar": -0.028891,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20220117_0200 | T2 | 1 | train | sideways | all | [
"IWM"
] | 2022-01-17T00:00:00 | IWM: 60-day return history, mean=-0.0009, std=0.0141. | Asset: IWM
Daily returns (past 60 days): mean=-0.0009, std=0.0141, min=-0.0371, max=0.0282
Market regime: sideways
Recent filing/news:
[Kaggle 2022-01-14] ["3 Downtrodden Stocks to Sell Before It Gets Worse InvestorPlace - Stock Market News, Stock Advice & Trading Tips Downtrends are multiplying across the land, and be... | -0.0228 | -0.02277 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0228 (i.e., on a bad day with 5% probability, the loss exceeds 2.28%). CVaR(95%) = -0.0315. | {
"var": -0.022770000000000002,
"cvar": -0.031477,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20160816_0203 | T2 | 1 | train | sideways | all | [
"XLK"
] | 2016-08-16T00:00:00 | XLK: 60-day return history, mean=0.0020, std=0.0089. | Asset: XLK
Daily returns (past 60 days): mean=0.0020, std=0.0089, min=-0.0392, max=0.0196
Market regime: sideways
Recent filing/news:
[Kaggle 2016-08-15] ["Two Chip Picks to Play iPhone, Galaxy Demand Broadcom and InvenSense both could benefit with the launch of the iPhone 7 and Galaxy Note 7.", "Stock bulls keep makin... | -0.0079 | -0.00788 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0079 (i.e., on a bad day with 5% probability, the loss exceeds 0.79%). CVaR(95%) = -0.0236. | {
"var": -0.00788,
"cvar": -0.02357,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20210316_0206 | T2 | 1 | train | sideways | all | [
"DOT-USD"
] | 2021-03-16T00:00:00 | DOT-USD: 60-day return history, mean=0.0158, std=0.0743. | Asset: DOT-USD
Daily returns (past 60 days): mean=0.0158, std=0.0743, min=-0.1117, max=0.2810
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for DOT-USD. Express as a decimal (e.g., -0.02). | -0.0900 | -0.089978 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0900 (i.e., on a bad day with 5% probability, the loss exceeds 9.00%). CVaR(95%) = -0.0990. | {
"var": -0.089978,
"cvar": -0.09904299999999999,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20160805_0211 | T2 | 1 | train | sideways | all | [
"VTI"
] | 2016-08-05T00:00:00 | VTI: 60-day return history, mean=0.0008, std=0.0083. | Asset: VTI
Daily returns (past 60 days): mean=0.0008, std=0.0083, min=-0.0335, max=0.0182
Market regime: sideways
Recent filing/news:
[Kaggle 2016-08-04] ["Top Dogs (And Stocks In The Dog House) - Cramer's Mad Money (8/3/16)", "Tracking William Von Mueffling's Cantillon Capital Management Portfolio - Q2 2016 Update", "... | -0.0092 | -0.009224 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0092 (i.e., on a bad day with 5% probability, the loss exceeds 0.92%). CVaR(95%) = -0.0213. | {
"var": -0.009224,
"cvar": -0.021306,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20201006_0214 | T2 | 1 | train | sideways | all | [
"SOYB"
] | 2020-10-06T00:00:00 | SOYB: 60-day return history, mean=0.0022, std=0.0083. | Asset: SOYB
Daily returns (past 60 days): mean=0.0022, std=0.0083, min=-0.0210, max=0.0272
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for SOYB. Express as a decimal (e.g., -0.02). | -0.0114 | -0.011389 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0114 (i.e., on a bad day with 5% probability, the loss exceeds 1.14%). CVaR(95%) = -0.0154. | {
"var": -0.011389,
"cvar": -0.015422,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20191114_0217 | T2 | 1 | train | sideways | all | [
"PPLT"
] | 2019-11-14T00:00:00 | PPLT: 60-day return history, mean=0.0011, std=0.0151. | Asset: PPLT
Daily returns (past 60 days): mean=0.0011, std=0.0151, min=-0.0436, max=0.0399
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for PPLT. Express as a decimal (e.g., -0.02). | -0.0247 | -0.024674 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0247 (i.e., on a bad day with 5% probability, the loss exceeds 2.47%). CVaR(95%) = -0.0342. | {
"var": -0.024673999999999998,
"cvar": -0.034227,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20170104_0224 | T2 | 1 | train | sideways | all | [
"QQQ"
] | 2017-01-04T00:00:00 | QQQ: 60-day return history, mean=0.0002, std=0.0078. | Asset: QQQ
Daily returns (past 60 days): mean=0.0002, std=0.0078, min=-0.0174, max=0.0235
Market regime: sideways
Recent filing/news:
[Kaggle 2017-01-03] ["Seven highly valued tech startups that could IPO in 2017 Unicorns like Snap and Spotify are expected to reach Wall Street in 2017, but what about Uber, Lyft, Airbnb... | -0.0123 | -0.01229 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0123 (i.e., on a bad day with 5% probability, the loss exceeds 1.23%). CVaR(95%) = -0.0160. | {
"var": -0.01229,
"cvar": -0.016024,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20161010_0227 | T2 | 1 | train | sideways | all | [
"XLY"
] | 2016-10-10T00:00:00 | XLY: 60-day return history, mean=-0.0003, std=0.0064. | Asset: XLY
Daily returns (past 60 days): mean=-0.0003, std=0.0064, min=-0.0244, max=0.0139
Market regime: sideways
Recent filing/news:
[Kaggle 2016-10-07] What's Next for Alnylam Pharmaceuticals, Inc. After Its Phase 3 Failure? Image source: Getty Images. Another once-promising drug has failed. Alnylam Pharmaceuticals ... | -0.0113 | -0.011267 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0113 (i.e., on a bad day with 5% probability, the loss exceeds 1.13%). CVaR(95%) = -0.0179. | {
"var": -0.011267,
"cvar": -0.017927,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20171215_0230 | T2 | 1 | train | sideways | all | [
"SCHP"
] | 2017-12-15T00:00:00 | SCHP: 60-day return history, mean=0.0001, std=0.0019. | Asset: SCHP
Daily returns (past 60 days): mean=0.0001, std=0.0019, min=-0.0047, max=0.0042
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for SCHP. Express as a decimal (e.g., -0.02). | -0.0031 | -0.003057 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0031 (i.e., on a bad day with 5% probability, the loss exceeds 0.31%). CVaR(95%) = -0.0036. | {
"var": -0.003057,
"cvar": -0.003606,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20150622_0233 | T2 | 1 | train | sideways | all | [
"EEM"
] | 2015-06-22T00:00:00 | EEM: 60-day return history, mean=0.0001, std=0.0092. | Asset: EEM
Daily returns (past 60 days): mean=0.0001, std=0.0092, min=-0.0176, max=0.0207
Market regime: sideways
Recent filing/news:
[Kaggle 2015-06-19] ["Maxim Integrated, others named as potential Texas Instruments target", "Maxim Integrated, others named as potential Texas Instruments target", "Analog Devices Inc. ... | -0.0153 | -0.015271 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0153 (i.e., on a bad day with 5% probability, the loss exceeds 1.53%). CVaR(95%) = -0.0163. | {
"var": -0.015271,
"cvar": -0.016318,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20200819_0238 | T2 | 1 | train | sideways | all | [
"XLB"
] | 2020-08-19T00:00:00 | XLB: 60-day return history, mean=0.0037, std=0.0131. | Asset: XLB
Daily returns (past 60 days): mean=0.0037, std=0.0131, min=-0.0337, max=0.0270
Market regime: sideways
Recent filing/news:
[Kaggle 2020-08-18] ["How Companies Are Working To Reduce The Size of Their Carbon Footprint \u201cScientific evidence for warming of the climate system is unequivocal.\u201d ~ Intergove... | -0.0197 | -0.019676 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0197 (i.e., on a bad day with 5% probability, the loss exceeds 1.97%). CVaR(95%) = -0.0285. | {
"var": -0.019676,
"cvar": -0.028513999999999998,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20211015_0241 | T2 | 1 | train | sideways | all | [
"TLT"
] | 2021-10-15T00:00:00 | TLT: 60-day return history, mean=-0.0003, std=0.0080. | Asset: TLT
Daily returns (past 60 days): mean=-0.0003, std=0.0080, min=-0.0226, max=0.0171
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for TLT. Express as a decimal (e.g., -0.02). | -0.0107 | -0.010714 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0107 (i.e., on a bad day with 5% probability, the loss exceeds 1.07%). CVaR(95%) = -0.0183. | {
"var": -0.010714,
"cvar": -0.018292,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20211018_0244 | T2 | 1 | train | sideways | all | [
"VNQI"
] | 2021-10-18T00:00:00 | VNQI: 60-day return history, mean=-0.0001, std=0.0077. | Asset: VNQI
Daily returns (past 60 days): mean=-0.0001, std=0.0077, min=-0.0246, max=0.0169
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for VNQI. Express as a decimal (e.g., -0.02). | -0.0123 | -0.012308 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0123 (i.e., on a bad day with 5% probability, the loss exceeds 1.23%). CVaR(95%) = -0.0167. | {
"var": -0.012308,
"cvar": -0.01674,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20160129_0247 | T2 | 1 | train | sideways | all | [
"SCHH"
] | 2016-01-29T00:00:00 | SCHH: 60-day return history, mean=-0.0007, std=0.0124. | Asset: SCHH
Daily returns (past 60 days): mean=-0.0007, std=0.0124, min=-0.0302, max=0.0263
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for SCHH. Express as a decimal (e.g., -0.02). | -0.0198 | -0.019793 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0198 (i.e., on a bad day with 5% probability, the loss exceeds 1.98%). CVaR(95%) = -0.0268. | {
"var": -0.019792999999999998,
"cvar": -0.026827,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20160718_0250 | T2 | 1 | train | sideways | all | [
"QUAL"
] | 2016-07-18T00:00:00 | QUAL: 60-day return history, mean=0.0003, std=0.0083. | Asset: QUAL
Daily returns (past 60 days): mean=0.0003, std=0.0083, min=-0.0339, max=0.0164
Market regime: sideways
Recent filing/news:
[Kaggle 2016-07-15] ["Apple Supplier Largan Precision Soars 8% On Profit Beat, Dual-Cam Outlook Apple (AAPL) lens supplier Largan Precision (3008.Taiwan) has no plans to stop outperform... | -0.0095 | -0.009501 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0095 (i.e., on a bad day with 5% probability, the loss exceeds 0.95%). CVaR(95%) = -0.0200. | {
"var": -0.009500999999999999,
"cvar": -0.019993999999999998,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20190104_0253 | T2 | 1 | train | sideways | all | [
"LINK-USD"
] | 2019-01-04T00:00:00 | LINK-USD: 60-day return history, mean=-0.0017, std=0.0800. | Asset: LINK-USD
Daily returns (past 60 days): mean=-0.0017, std=0.0800, min=-0.1934, max=0.1577
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for LINK-USD. Express as a decimal (e.g., -0.02). | -0.1322 | -0.132228 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.1322 (i.e., on a bad day with 5% probability, the loss exceeds 13.22%). CVaR(95%) = -0.1661. | {
"var": -0.13222799999999998,
"cvar": -0.16608299999999998,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20221028_0256 | T2 | 1 | train | sideways | all | [
"IWM"
] | 2022-10-28T00:00:00 | IWM: 60-day return history, mean=-0.0009, std=0.0174. | Asset: IWM
Daily returns (past 60 days): mean=-0.0009, std=0.0174, min=-0.0371, max=0.0349
Market regime: sideways
Recent filing/news:
[Kaggle 2022-10-27] ["Apple (AAPL) Q4 2022 Earnings Call Transcript Image source: The Motley Fool. Apple (NASDAQ: AAPL) Q4 2022 Earnings Call Oct 27, 2022, 5:00 p.m. ET Contents: Prepar... | -0.0273 | -0.02728 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0273 (i.e., on a bad day with 5% probability, the loss exceeds 2.73%). CVaR(95%) = -0.0334. | {
"var": -0.027280000000000002,
"cvar": -0.033444,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20200729_0263 | T2 | 1 | train | sideways | all | [
"BIL"
] | 2020-07-29T00:00:00 | BIL: 60-day return history, mean=0.0000, std=0.0001. | Asset: BIL
Daily returns (past 60 days): mean=0.0000, std=0.0001, min=-0.0002, max=0.0002
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for BIL. Express as a decimal (e.g., -0.02). | -0.0002 | -0.000218 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0002 (i.e., on a bad day with 5% probability, the loss exceeds 0.02%). CVaR(95%) = -0.0002. | {
"var": -0.00021799999999999999,
"cvar": -0.00021799999999999999,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20210705_0265 | T2 | 1 | train | sideways | all | [
"STIP"
] | 2021-07-05T00:00:00 | STIP: 60-day return history, mean=0.0003, std=0.0013. | Asset: STIP
Daily returns (past 60 days): mean=0.0003, std=0.0013, min=-0.0039, max=0.0031
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for STIP. Express as a decimal (e.g., -0.02). | -0.0015 | -0.00152 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0015 (i.e., on a bad day with 5% probability, the loss exceeds 0.15%). CVaR(95%) = -0.0032. | {
"var": -0.00152,
"cvar": -0.0031579999999999998,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
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