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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
T2_all_20171201_0270 | T2 | 1 | train | sideways | all | [
"^VIX"
] | 2017-12-01T00:00:00 | ^VIX: 60-day return history, mean=-0.0005, std=0.0503. | Asset: ^VIX
Daily returns (past 60 days): mean=-0.0005, std=0.0503, min=-0.1424, max=0.1248
Market regime: sideways
Recent filing/news:
[Kaggle 2017-11-30] ["High-flying tech stocks fall back toward earth, chip makers suffer worst day of year Tech stocks lead S&P 500 to a loss despite gains for nine of 11 sectors Tech ... | -0.0913 | -0.091338 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0913 (i.e., on a bad day with 5% probability, the loss exceeds 9.13%). CVaR(95%) = -0.1248. | {
"var": -0.091338,
"cvar": -0.12481,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20170406_0273 | T2 | 1 | train | sideways | all | [
"QQQ"
] | 2017-04-06T00:00:00 | QQQ: 60-day return history, mean=0.0013, std=0.0041. | Asset: QQQ
Daily returns (past 60 days): mean=0.0013, std=0.0041, min=-0.0153, max=0.0109
Market regime: sideways
Recent filing/news:
[Kaggle 2017-04-05] ["ADP Posts Another Blowout Jobs Number to 263K Wednesday, April 5, 2017 For the second straight month, Automated Data Processing ADP private-sector jobs numbers blew... | -0.0041 | -0.004131 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0041 (i.e., on a bad day with 5% probability, the loss exceeds 0.41%). CVaR(95%) = -0.0094. | {
"var": -0.004131,
"cvar": -0.009382,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20180620_0276 | T2 | 1 | train | sideways | all | [
"USMV"
] | 2018-06-20T00:00:00 | USMV: 60-day return history, mean=0.0009, std=0.0069. | Asset: USMV
Daily returns (past 60 days): mean=0.0009, std=0.0069, min=-0.0173, max=0.0197
Market regime: sideways
Recent filing/news:
[Kaggle 2018-06-19] ["Beyonc\u00e9 and Jay-Z\u2019s new album goes to multiple streaming platforms, and is already a hit \u2018Everything Is Love\u2019 album available more places than ... | -0.0087 | -0.008701 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0087 (i.e., on a bad day with 5% probability, the loss exceeds 0.87%). CVaR(95%) = -0.0147. | {
"var": -0.008701,
"cvar": -0.014695999999999999,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20160108_0279 | T2 | 1 | train | sideways | all | [
"XLY"
] | 2016-01-08T00:00:00 | XLY: 60-day return history, mean=-0.0007, std=0.0103. | Asset: XLY
Daily returns (past 60 days): mean=-0.0007, std=0.0103, min=-0.0267, max=0.0191
Market regime: sideways
Recent filing/news:
[Kaggle 2016-01-07] ["Sony Dips On Apple Weakness, Credit Suisse Warns Asia Tech Profit Tumble Sony Corp. (6758.Japan/SNE) tumbles 5% in Tokyo this morning after customer Apple (AAPL) a... | -0.0175 | -0.017465 | 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%) = -0.0235. | {
"var": -0.017464999999999998,
"cvar": -0.023485,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20190314_0282 | T2 | 1 | train | sideways | all | [
"VLUE"
] | 2019-03-14T00:00:00 | VLUE: 60-day return history, mean=0.0005, std=0.0109. | Asset: VLUE
Daily returns (past 60 days): mean=0.0005, std=0.0109, min=-0.0256, max=0.0296
Market regime: sideways
Recent filing/news:
[Kaggle 2019-03-13] ["How your internet surfing could make you money in the coming blockchain revolution Decentralized internet will give people online privacy and data ownership A dece... | -0.0186 | -0.018621 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0186 (i.e., on a bad day with 5% probability, the loss exceeds 1.86%). CVaR(95%) = -0.0221. | {
"var": -0.018621,
"cvar": -0.022059,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20220315_0285 | T2 | 1 | train | sideways | all | [
"BNB-USD"
] | 2022-03-15T00:00:00 | BNB-USD: 60-day return history, mean=-0.0032, std=0.0409. | Asset: BNB-USD
Daily returns (past 60 days): mean=-0.0032, std=0.0409, min=-0.1294, max=0.0973
Market regime: sideways
Recent filing/news:
[Kaggle 2022-03-14]
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). | -0.0635 | -0.063541 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0635 (i.e., on a bad day with 5% probability, the loss exceeds 6.35%). CVaR(95%) = -0.0883. | {
"var": -0.063541,
"cvar": -0.08827299999999999,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 20
} |
T2_all_20190117_0288 | T2 | 1 | train | sideways | all | [
"XLY"
] | 2019-01-17T00:00:00 | XLY: 60-day return history, mean=-0.0008, std=0.0170. | Asset: XLY
Daily returns (past 60 days): mean=-0.0008, std=0.0170, min=-0.0367, max=0.0338
Market regime: sideways
Recent filing/news:
[Kaggle 2019-01-16] ["Great things are expected for (most) FAANG stocks in 2019 The recent price declines and expected growth ahead could create big opportunities The recent price decli... | -0.0303 | -0.03033 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0303 (i.e., on a bad day with 5% probability, the loss exceeds 3.03%). CVaR(95%) = -0.0329. | {
"var": -0.030330000000000003,
"cvar": -0.032885,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20160505_0291 | T2 | 1 | train | sideways | all | [
"IWM"
] | 2016-05-05T00:00:00 | IWM: 60-day return history, mean=0.0024, std=0.0111. | Asset: IWM
Daily returns (past 60 days): mean=0.0024, std=0.0111, min=-0.0244, max=0.0274
Market regime: sideways
Recent filing/news:
[Kaggle 2016-05-04] ["Fitbit wins ruling in Jawbone patent dispute Patents invalidated, but trade-secret claims may continue A fight between two of the largest makers of fitness trackers... | -0.0157 | -0.015731 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0157 (i.e., on a bad day with 5% probability, the loss exceeds 1.57%). CVaR(95%) = -0.0199. | {
"var": -0.015731,
"cvar": -0.019878,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20221214_0298 | T2 | 1 | train | sideways | all | [
"QQQ"
] | 2022-12-14T00:00:00 | QQQ: 60-day return history, mean=-0.0009, std=0.0179. | Asset: QQQ
Daily returns (past 60 days): mean=-0.0009, std=0.0179, min=-0.0388, max=0.0340
Market regime: sideways
Recent filing/news:
[Kaggle 2022-12-13] ["After Hours Most Active for Dec 13, 2022 : INTC, DIS, AMZN, AAPL, T, VZ, MSFT, HBAN, V, GOOGL, NIO, BEKE The NASDAQ 100 After Hours Indicator is down -5.33 to 11,8... | -0.0293 | -0.029315 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0293 (i.e., on a bad day with 5% probability, the loss exceeds 2.93%). CVaR(95%) = -0.0347. | {
"var": -0.029314999999999997,
"cvar": -0.034748,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20170824_0301 | T2 | 1 | train | sideways | all | [
"FXI"
] | 2017-08-24T00:00:00 | FXI: 60-day return history, mean=0.0013, std=0.0092. | Asset: FXI
Daily returns (past 60 days): mean=0.0013, std=0.0092, min=-0.0290, max=0.0209
Market regime: sideways
Recent filing/news:
[Kaggle 2017-08-23] ["Apple\u2019s $1 billion TV move pits company against Spotify, not Netflix Apple\u2019s investment in producing and acquiring TV content should help it achieve plan ... | -0.0116 | -0.011579 | 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%) = -0.0198. | {
"var": -0.011578999999999999,
"cvar": -0.019844999999999998,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20150429_0304 | T2 | 1 | train | sideways | all | [
"XLP"
] | 2015-04-29T00:00:00 | XLP: 60-day return history, mean=0.0004, std=0.0068. | Asset: XLP
Daily returns (past 60 days): mean=0.0004, std=0.0068, min=-0.0197, max=0.0145
Market regime: sideways
Recent filing/news:
[Kaggle 2015-04-28] ["5 Cheap Stocks James Hunt of Tocqueville Intl. has returned almost double his benchmark over 15 years. He sees better deals for investors overseas.", "Orange profit... | -0.0093 | -0.009335 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0093 (i.e., on a bad day with 5% probability, the loss exceeds 0.93%). CVaR(95%) = -0.0145. | {
"var": -0.009335,
"cvar": -0.014490000000000001,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20150511_0307 | T2 | 1 | train | sideways | all | [
"USMV"
] | 2015-05-11T00:00:00 | USMV: 60-day return history, mean=0.0002, std=0.0065. | Asset: USMV
Daily returns (past 60 days): mean=0.0002, std=0.0065, min=-0.0179, max=0.0136
Market regime: sideways
Recent filing/news:
[Kaggle 2015-05-08] Dow 30 Stock Roundup: Disney, Visa Beat, Chevron Reports Mixed Results - Analyst Blog The Dow went through another volatile week, losing for two consecutive days, wh... | -0.0110 | -0.011001 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0110 (i.e., on a bad day with 5% probability, the loss exceeds 1.10%). CVaR(95%) = -0.0145. | {
"var": -0.011001,
"cvar": -0.014496,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20200217_0312 | T2 | 1 | train | sideways | all | [
"LINK-USD"
] | 2020-02-17T00:00:00 | LINK-USD: 60-day return history, mean=0.0157, std=0.0471. | Asset: LINK-USD
Daily returns (past 60 days): mean=0.0157, std=0.0471, min=-0.0694, max=0.1653
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). | -0.0375 | -0.037454 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0375 (i.e., on a bad day with 5% probability, the loss exceeds 3.75%). CVaR(95%) = -0.0544. | {
"var": -0.037454,
"cvar": -0.054358,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20210512_0315 | T2 | 1 | train | sideways | all | [
"DOT-USD"
] | 2021-05-12T00:00:00 | DOT-USD: 60-day return history, mean=0.0027, std=0.0564. | Asset: DOT-USD
Daily returns (past 60 days): mean=0.0027, std=0.0564, min=-0.1220, max=0.1619
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). | -0.0940 | -0.09398 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0940 (i.e., on a bad day with 5% probability, the loss exceeds 9.40%). CVaR(95%) = -0.1137. | {
"var": -0.09398000000000001,
"cvar": -0.11366599999999999,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20201013_0318 | T2 | 1 | train | sideways | all | [
"XLK"
] | 2020-10-13T00:00:00 | XLK: 60-day return history, mean=0.0028, std=0.0172. | Asset: XLK
Daily returns (past 60 days): mean=0.0028, std=0.0172, min=-0.0427, max=0.0321
Market regime: sideways
Recent filing/news:
[Kaggle 2020-10-12] ["The American Dream: Bringing Factories Back to the U.S. Restoring the nation\u2019s production prowess will be a long, hard slog. But it can be done, if companies, ... | -0.0266 | -0.026587 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0266 (i.e., on a bad day with 5% probability, the loss exceeds 2.66%). CVaR(95%) = -0.0390. | {
"var": -0.026587,
"cvar": -0.039032,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20210309_0321 | T2 | 1 | train | sideways | all | [
"MATIC-USD"
] | 2021-03-09T00:00:00 | MATIC-USD: 60-day return history, mean=0.0373, std=0.1095. | Asset: MATIC-USD
Daily returns (past 60 days): mean=0.0373, std=0.1095, min=-0.1717, max=0.3873
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). | -0.0990 | -0.099003 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0990 (i.e., on a bad day with 5% probability, the loss exceeds 9.90%). CVaR(95%) = -0.1393. | {
"var": -0.099003,
"cvar": -0.13926000000000002,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20190211_0324 | T2 | 1 | train | sideways | all | [
"VLUE"
] | 2019-02-11T00:00:00 | VLUE: 60-day return history, mean=-0.0012, std=0.0132. | Asset: VLUE
Daily returns (past 60 days): mean=-0.0012, std=0.0132, min=-0.0356, max=0.0296
Market regime: sideways
Recent filing/news:
[Kaggle 2019-02-08] ["If you own Apple, Amazon, Facebook or AMD, look out below Those shares have been bid up by the average investor, but buying could slow or even reverse Those share... | -0.0245 | -0.024521 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0245 (i.e., on a bad day with 5% probability, the loss exceeds 2.45%). CVaR(95%) = -0.0292. | {
"var": -0.024520999999999998,
"cvar": -0.02919,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20190201_0327 | T2 | 1 | train | sideways | all | [
"ADA-USD"
] | 2019-02-01T00:00:00 | ADA-USD: 60-day return history, mean=0.0003, std=0.0583. | Asset: ADA-USD
Daily returns (past 60 days): mean=0.0003, std=0.0583, min=-0.1464, max=0.1406
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for ADA-USD. Express as a decimal (e.g., -0.02). | -0.0924 | -0.092423 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0924 (i.e., on a bad day with 5% probability, the loss exceeds 9.24%). CVaR(95%) = -0.1168. | {
"var": -0.09242299999999999,
"cvar": -0.11684000000000001,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20171019_0330 | T2 | 1 | train | sideways | all | [
"EEM"
] | 2017-10-19T00:00:00 | EEM: 60-day return history, mean=0.0011, std=0.0073. | Asset: EEM
Daily returns (past 60 days): mean=0.0011, std=0.0073, min=-0.0240, max=0.0157
Market regime: sideways
Recent filing/news:
[Kaggle 2017-10-18] ["Qualcomm CEO still expects NXP deal to close later this year Mollenkopf says of Apple dispute: \u2018We\u2019ll get through it\u2019 Qualcomm Inc. said its $39 bill... | -0.0129 | -0.012865 | 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%) = -0.0181. | {
"var": -0.012865,
"cvar": -0.018087,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20210907_0333 | T2 | 1 | train | sideways | all | [
"PDBC"
] | 2021-09-07T00:00:00 | PDBC: 60-day return history, mean=0.0004, std=0.0122. | Asset: PDBC
Daily returns (past 60 days): mean=0.0004, std=0.0122, min=-0.0309, max=0.0278
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). | -0.0236 | -0.023565 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0236 (i.e., on a bad day with 5% probability, the loss exceeds 2.36%). CVaR(95%) = -0.0273. | {
"var": -0.023565,
"cvar": -0.027254,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20190130_0336 | T2 | 1 | train | sideways | all | [
"FXI"
] | 2019-01-30T00:00:00 | FXI: 60-day return history, mean=0.0014, std=0.0147. | Asset: FXI
Daily returns (past 60 days): mean=0.0014, std=0.0147, min=-0.0274, max=0.0411
Market regime: sideways
Recent filing/news:
[Kaggle 2019-01-29] ["Apple Reports Earnings Today. Here\u2019s What to Expect. Apple has said the quarter will be the first in which it stops reporting unit sales for the iPhone, iPad, ... | -0.0208 | -0.020783 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0208 (i.e., on a bad day with 5% probability, the loss exceeds 2.08%). CVaR(95%) = -0.0240. | {
"var": -0.020783,
"cvar": -0.024014,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20180503_0339 | T2 | 1 | train | sideways | all | [
"LINK-USD"
] | 2018-05-03T00:00:00 | LINK-USD: 60-day return history, mean=0.0017, std=0.0751. | Asset: LINK-USD
Daily returns (past 60 days): mean=0.0017, std=0.0751, min=-0.1934, max=0.1422
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). | -0.1227 | -0.122712 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.1227 (i.e., on a bad day with 5% probability, the loss exceeds 12.27%). CVaR(95%) = -0.1925. | {
"var": -0.12271199999999999,
"cvar": -0.19253299999999998,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20220114_0342 | T2 | 1 | train | sideways | all | [
"XLK"
] | 2022-01-14T00:00:00 | XLK: 60-day return history, mean=0.0006, std=0.0136. | Asset: XLK
Daily returns (past 60 days): mean=0.0006, std=0.0136, min=-0.0312, max=0.0343
Market regime: sideways
Recent filing/news:
[Kaggle 2022-01-13] ["Server Storage Market to grow by USD 54.68 bn from 2021 to 2026 | Evolving Opportunities with Citrix Systems Inc. and DataCore Software Corp. |17000+ Technavio Repo... | -0.0253 | -0.02533 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0253 (i.e., on a bad day with 5% probability, the loss exceeds 2.53%). CVaR(95%) = -0.0287. | {
"var": -0.025330000000000002,
"cvar": -0.028742,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20200228_0345 | T2 | 1 | train | sideways | all | [
"XLP"
] | 2020-02-28T00:00:00 | XLP: 60-day return history, mean=-0.0004, std=0.0067. | Asset: XLP
Daily returns (past 60 days): mean=-0.0004, std=0.0067, min=-0.0250, max=0.0118
Market regime: sideways
Recent filing/news:
[Kaggle 2020-02-27] ["Apple's stock drops 2.8% premarket, after rising 1.6% Wednesday to snap 4-day losing streak", "With Microsoft\u2019s coronavirus warning, PC and hardware makers ar... | -0.0117 | -0.011676 | 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%) = -0.0222. | {
"var": -0.011675999999999999,
"cvar": -0.022185,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20221010_0348 | T2 | 1 | train | sideways | all | [
"PDBC"
] | 2022-10-10T00:00:00 | PDBC: 60-day return history, mean=0.0003, std=0.0145. | Asset: PDBC
Daily returns (past 60 days): mean=0.0003, std=0.0145, min=-0.0309, max=0.0278
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). | -0.0236 | -0.023601 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0236 (i.e., on a bad day with 5% probability, the loss exceeds 2.36%). CVaR(95%) = -0.0279. | {
"var": -0.023601,
"cvar": -0.027919,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20220418_0351 | T2 | 1 | train | sideways | all | [
"SOL-USD"
] | 2022-04-18T00:00:00 | SOL-USD: 60-day return history, mean=0.0011, std=0.0517. | Asset: SOL-USD
Daily returns (past 60 days): mean=0.0011, std=0.0517, min=-0.1110, max=0.1637
Market regime: sideways
Recent filing/news:
[Kaggle 2022-04-17]
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). | -0.0837 | -0.083707 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0837 (i.e., on a bad day with 5% probability, the loss exceeds 8.37%). CVaR(95%) = -0.1023. | {
"var": -0.08370699999999999,
"cvar": -0.102252,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 20
} |
T2_all_20201005_0354 | T2 | 1 | train | sideways | all | [
"ETH-USD"
] | 2020-10-05T00:00:00 | ETH-USD: 60-day return history, mean=-0.0011, std=0.0460. | Asset: ETH-USD
Daily returns (past 60 days): mean=-0.0011, std=0.0460, min=-0.1365, max=0.0965
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). | -0.0776 | -0.077648 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0776 (i.e., on a bad day with 5% probability, the loss exceeds 7.76%). CVaR(95%) = -0.1130. | {
"var": -0.077648,
"cvar": -0.112964,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20170103_0359 | T2 | 1 | train | sideways | all | [
"XLF"
] | 2017-01-03T00:00:00 | XLF: 60-day return history, mean=0.0028, std=0.0103. | Asset: XLF
Daily returns (past 60 days): mean=0.0028, std=0.0103, min=-0.0145, max=0.0362
Market regime: sideways
Recent filing/news:
[Kaggle 2016-12-30] ["Which Wall Street Firm Made The Best Stock Picks Of 2016?", "Which Wall Street Firm Made The Best Stock Picks Of 2016?", "7 Stocks Near 52 Week-High with More Room ... | -0.0103 | -0.010256 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0103 (i.e., on a bad day with 5% probability, the loss exceeds 1.03%). CVaR(95%) = -0.0124. | {
"var": -0.010256,
"cvar": -0.012393,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20221202_0364 | T2 | 1 | train | sideways | all | [
"DBA"
] | 2022-12-02T00:00:00 | DBA: 60-day return history, mean=-0.0008, std=0.0064. | Asset: DBA
Daily returns (past 60 days): mean=-0.0008, std=0.0064, min=-0.0194, max=0.0132
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for DBA. Express as a decimal (e.g., -0.02). | -0.0079 | -0.007922 | 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%) = -0.0149. | {
"var": -0.007922,
"cvar": -0.014874,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20181212_0367 | T2 | 1 | train | sideways | all | [
"XRP-USD"
] | 2018-12-12T00:00:00 | XRP-USD: 60-day return history, mean=-0.0046, std=0.0417. | Asset: XRP-USD
Daily returns (past 60 days): mean=-0.0046, std=0.0417, min=-0.0908, max=0.1092
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). | -0.0788 | -0.078768 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0788 (i.e., on a bad day with 5% probability, the loss exceeds 7.88%). CVaR(95%) = -0.0834. | {
"var": -0.07876799999999999,
"cvar": -0.08345000000000001,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20201203_0370 | T2 | 1 | train | sideways | all | [
"QUAL"
] | 2020-12-03T00:00:00 | QUAL: 60-day return history, mean=0.0018, std=0.0120. | Asset: QUAL
Daily returns (past 60 days): mean=0.0018, std=0.0120, min=-0.0339, max=0.0240
Market regime: sideways
Recent filing/news:
[Kaggle 2020-12-02] ["Are Microsoft And Adobe Coming For Salesforce's Market Share? Adobe (NASDAQ: ADBE) and Microsoft (NASDAQ: MSFT) have teamed up to take on customer relationship man... | -0.0166 | -0.016597 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0166 (i.e., on a bad day with 5% probability, the loss exceeds 1.66%). CVaR(95%) = -0.0242. | {
"var": -0.016597,
"cvar": -0.024204,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20210420_0373 | T2 | 1 | train | sideways | all | [
"BTC-USD"
] | 2021-04-20T00:00:00 | BTC-USD: 60-day return history, mean=0.0019, std=0.0373. | Asset: BTC-USD
Daily returns (past 60 days): mean=0.0019, std=0.0373, min=-0.0993, max=0.0996
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). | -0.0573 | -0.057284 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0573 (i.e., on a bad day with 5% probability, the loss exceeds 5.73%). CVaR(95%) = -0.0769. | {
"var": -0.057283999999999995,
"cvar": -0.076947,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20150409_0376 | T2 | 1 | train | sideways | all | [
"HAUZ"
] | 2015-04-09T00:00:00 | HAUZ: 60-day return history, mean=0.0016, std=0.0100. | Asset: HAUZ
Daily returns (past 60 days): mean=0.0016, std=0.0100, min=-0.0200, max=0.0268
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for HAUZ. Express as a decimal (e.g., -0.02). | -0.0151 | -0.015124 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0151 (i.e., on a bad day with 5% probability, the loss exceeds 1.51%). CVaR(95%) = -0.0166. | {
"var": -0.015123999999999999,
"cvar": -0.016614,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20210430_0379 | T2 | 1 | train | sideways | all | [
"VLUE"
] | 2021-04-30T00:00:00 | VLUE: 60-day return history, mean=0.0024, std=0.0104. | Asset: VLUE
Daily returns (past 60 days): mean=0.0024, std=0.0104, min=-0.0292, max=0.0261
Market regime: sideways
Recent filing/news:
[Kaggle 2021-04-29] ["The SPAC boom isn't just here to stay, it's changing consumer tech Consumer technology is an inherently risky investment sector: even the best idea can fall flat i... | -0.0133 | -0.013334 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0133 (i.e., on a bad day with 5% probability, the loss exceeds 1.33%). CVaR(95%) = -0.0231. | {
"var": -0.013333999999999999,
"cvar": -0.023060999999999998,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20221124_0384 | T2 | 1 | train | sideways | all | [
"ETH-USD"
] | 2022-11-24T00:00:00 | ETH-USD: 60-day return history, mean=-0.0009, std=0.0445. | Asset: ETH-USD
Daily returns (past 60 days): mean=-0.0009, std=0.0445, min=-0.1593, max=0.1560
Market regime: sideways
Recent filing/news:
[Kaggle 2022-11-23]
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). | -0.0392 | -0.039196 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0392 (i.e., on a bad day with 5% probability, the loss exceeds 3.92%). CVaR(95%) = -0.1240. | {
"var": -0.039196,
"cvar": -0.12399099999999999,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 20
} |
T2_all_20221107_0391 | T2 | 1 | train | sideways | all | [
"IYR"
] | 2022-11-07T00:00:00 | IYR: 60-day return history, mean=-0.0033, std=0.0161. | Asset: IYR
Daily returns (past 60 days): mean=-0.0033, std=0.0161, min=-0.0339, max=0.0302
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). | -0.0271 | -0.027113 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0271 (i.e., on a bad day with 5% probability, the loss exceeds 2.71%). CVaR(95%) = -0.0302. | {
"var": -0.027112999999999998,
"cvar": -0.030244999999999998,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20221026_0394 | T2 | 1 | train | sideways | all | [
"ETH-USD"
] | 2022-10-26T00:00:00 | ETH-USD: 60-day return history, mean=0.0001, std=0.0349. | Asset: ETH-USD
Daily returns (past 60 days): mean=0.0001, std=0.0349, min=-0.0997, max=0.0867
Market regime: sideways
Recent filing/news:
[Kaggle 2022-10-25]
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). | -0.0554 | -0.055369 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0554 (i.e., on a bad day with 5% probability, the loss exceeds 5.54%). CVaR(95%) = -0.0896. | {
"var": -0.055368999999999995,
"cvar": -0.089598,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 20
} |
T2_all_20220628_0399 | T2 | 1 | train | sideways | all | [
"IWM"
] | 2022-06-28T00:00:00 | IWM: 60-day return history, mean=-0.0022, std=0.0193. | Asset: IWM
Daily returns (past 60 days): mean=-0.0022, std=0.0193, min=-0.0371, max=0.0312
Market regime: sideways
Recent filing/news:
[Kaggle 2022-06-27] ["CEOs will look past abortion bans, too Reuters Reuters NEW YORK (Reuters Breakingviews) - The demolition of the constitutionally protected right to an abortion in ... | -0.0371 | -0.037067 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0371 (i.e., on a bad day with 5% probability, the loss exceeds 3.71%). CVaR(95%) = -0.0371. | {
"var": -0.037066999999999996,
"cvar": -0.037066999999999996,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20200904_0402 | T2 | 1 | train | sideways | all | [
"BNO"
] | 2020-09-04T00:00:00 | BNO: 60-day return history, mean=0.0023, std=0.0157. | Asset: BNO
Daily returns (past 60 days): mean=0.0023, std=0.0157, min=-0.0504, max=0.0293
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for BNO. Express as a decimal (e.g., -0.02). | -0.0205 | -0.020486 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0205 (i.e., on a bad day with 5% probability, the loss exceeds 2.05%). CVaR(95%) = -0.0339. | {
"var": -0.020486,
"cvar": -0.033879,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20210922_0407 | T2 | 1 | train | sideways | all | [
"IVV"
] | 2021-09-22T00:00:00 | IVV: 60-day return history, mean=0.0003, std=0.0062. | Asset: IVV
Daily returns (past 60 days): mean=0.0003, std=0.0062, min=-0.0170, max=0.0144
Market regime: sideways
Recent filing/news:
[Kaggle 2021-09-21] ["Over 2 Billion Devices Will be Shipped with a Dedicated Chipset for Ambient Sound or Natural Language Processing By 2026 Natural Language Processing (NLP) and ambie... | -0.0097 | -0.009747 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0097 (i.e., on a bad day with 5% probability, the loss exceeds 0.97%). CVaR(95%) = -0.0143. | {
"var": -0.009746999999999999,
"cvar": -0.014299,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20201027_0410 | T2 | 1 | train | sideways | all | [
"DOT-USD"
] | 2020-10-27T00:00:00 | DOT-USD: 60-day return history, mean=-0.0012, std=0.0590. | Asset: DOT-USD
Daily returns (past 60 days): mean=-0.0012, std=0.0590, min=-0.1989, max=0.1643
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). | -0.1001 | -0.100069 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.1001 (i.e., on a bad day with 5% probability, the loss exceeds 10.01%). CVaR(95%) = -0.1424. | {
"var": -0.10006899999999999,
"cvar": -0.14243699999999998,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20190926_0413 | T2 | 1 | train | sideways | all | [
"XLB"
] | 2019-09-26T00:00:00 | XLB: 60-day return history, mean=-0.0002, std=0.0104. | Asset: XLB
Daily returns (past 60 days): mean=-0.0002, std=0.0104, min=-0.0322, max=0.0204
Market regime: sideways
Recent filing/news:
[Kaggle 2019-09-25] ["Google apologizes, promises to give users more control over how and when it stores voice recordings \u2018It\u2019s clear that we fell short of our high standards ... | -0.0167 | -0.016662 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0167 (i.e., on a bad day with 5% probability, the loss exceeds 1.67%). CVaR(95%) = -0.0252. | {
"var": -0.016662,
"cvar": -0.025221999999999998,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20171117_0420 | T2 | 1 | train | sideways | all | [
"XLE"
] | 2017-11-17T00:00:00 | XLE: 60-day return history, mean=0.0014, std=0.0066. | Asset: XLE
Daily returns (past 60 days): mean=0.0014, std=0.0066, min=-0.0163, max=0.0226
Market regime: sideways
Recent filing/news:
[Kaggle 2017-11-16] ["Will New Technologies Help Agilent (A) Beat on Q4 Earnings? Agilent Technologies A is set to report fiscal fourth-quarter 2017 results on Nov 20. Last quarter, it d... | -0.0086 | -0.008593 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0086 (i.e., on a bad day with 5% probability, the loss exceeds 0.86%). CVaR(95%) = -0.0128. | {
"var": -0.008593,
"cvar": -0.012775,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20220126_0423 | T2 | 1 | train | sideways | all | [
"STIP"
] | 2022-01-26T00:00:00 | STIP: 60-day return history, mean=0.0000, std=0.0015. | Asset: STIP
Daily returns (past 60 days): mean=0.0000, std=0.0015, min=-0.0038, max=0.0034
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). | -0.0026 | -0.002574 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0026 (i.e., on a bad day with 5% probability, the loss exceeds 0.26%). CVaR(95%) = -0.0034. | {
"var": -0.002574,
"cvar": -0.003375,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20170207_0426 | T2 | 1 | train | sideways | all | [
"IAU"
] | 2017-02-07T00:00:00 | IAU: 60-day return history, mean=-0.0007, std=0.0086. | Asset: IAU
Daily returns (past 60 days): mean=-0.0007, std=0.0086, min=-0.0223, max=0.0152
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for IAU. Express as a decimal (e.g., -0.02). | -0.0146 | -0.014648 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0146 (i.e., on a bad day with 5% probability, the loss exceeds 1.46%). CVaR(95%) = -0.0211. | {
"var": -0.014648,
"cvar": -0.021148,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20220721_0429 | T2 | 1 | train | sideways | all | [
"BNDX"
] | 2022-07-21T00:00:00 | BNDX: 60-day return history, mean=-0.0001, std=0.0041. | Asset: BNDX
Daily returns (past 60 days): mean=-0.0001, std=0.0041, min=-0.0064, max=0.0070
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for BNDX. Express as a decimal (e.g., -0.02). | -0.0063 | -0.006339 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0063 (i.e., on a bad day with 5% probability, the loss exceeds 0.63%). CVaR(95%) = -0.0064. | {
"var": -0.006339,
"cvar": -0.006363,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20221020_0432 | T2 | 1 | train | sideways | all | [
"DOT-USD"
] | 2022-10-20T00:00:00 | DOT-USD: 60-day return history, mean=-0.0024, std=0.0305. | Asset: DOT-USD
Daily returns (past 60 days): mean=-0.0024, std=0.0305, min=-0.0875, max=0.0642
Market regime: sideways
Recent filing/news:
[Kaggle 2022-10-19]
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). | -0.0660 | -0.066037 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0660 (i.e., on a bad day with 5% probability, the loss exceeds 6.60%). CVaR(95%) = -0.0813. | {
"var": -0.066037,
"cvar": -0.081282,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 20
} |
T2_all_20210810_0435 | T2 | 1 | train | sideways | all | [
"MATIC-USD"
] | 2021-08-10T00:00:00 | MATIC-USD: 60-day return history, mean=-0.0007, std=0.0707. | Asset: MATIC-USD
Daily returns (past 60 days): mean=-0.0007, std=0.0707, min=-0.2144, max=0.2868
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). | -0.0863 | -0.086269 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0863 (i.e., on a bad day with 5% probability, the loss exceeds 8.63%). CVaR(95%) = -0.1572. | {
"var": -0.086269,
"cvar": -0.157184,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20151006_0439 | T2 | 1 | train | sideways | all | [
"ICSH"
] | 2015-10-06T00:00:00 | ICSH: 60-day return history, mean=-0.0001, std=0.0008. | Asset: ICSH
Daily returns (past 60 days): mean=-0.0001, std=0.0008, min=-0.0020, max=0.0034
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 60 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%) = -0.0018. | {
"var": -0.001599,
"cvar": -0.001759,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20190809_0442 | T2 | 1 | train | sideways | all | [
"MTUM"
] | 2019-08-09T00:00:00 | MTUM: 60-day return history, mean=0.0012, std=0.0087. | Asset: MTUM
Daily returns (past 60 days): mean=0.0012, std=0.0087, min=-0.0312, max=0.0206
Market regime: sideways
Recent filing/news:
[Kaggle 2019-08-08] 4 Safe Stocks to Buy Amid Trade War Turbulence The U.S.-China trade war is on and that makes finding good, safe stocks to buy much more difficult than before. Over t... | -0.0105 | -0.010482 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0105 (i.e., on a bad day with 5% probability, the loss exceeds 1.05%). CVaR(95%) = -0.0194. | {
"var": -0.010482,
"cvar": -0.019403,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20200625_0445 | T2 | 1 | train | sideways | all | [
"XLRE"
] | 2020-06-25T00:00:00 | XLRE: 60-day return history, mean=0.0002, std=0.0217. | Asset: XLRE
Daily returns (past 60 days): mean=0.0002, std=0.0217, min=-0.0375, max=0.0314
Market regime: sideways
Recent filing/news:
[Kaggle 2020-06-24] ["European stocks in the red as investors fret about rising U.S. Covid-19 infections Cluster of M&A news and weakness by drug groups marks trading European stocks tr... | -0.0375 | -0.037529 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0375 (i.e., on a bad day with 5% probability, the loss exceeds 3.75%). CVaR(95%) = -0.0375. | {
"var": -0.037529,
"cvar": -0.037529,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20221116_0447 | T2 | 1 | train | sideways | all | [
"VLUE"
] | 2022-11-16T00:00:00 | VLUE: 60-day return history, mean=-0.0000, std=0.0158. | Asset: VLUE
Daily returns (past 60 days): mean=-0.0000, std=0.0158, min=-0.0356, max=0.0296
Market regime: sideways
Recent filing/news:
[Kaggle 2022-11-15] ["US STOCKS-Wall Street jumps on growing evidence of easing inflation By Amruta Khandekar and Ankika Biswas Nov 15 (Reuters) - Wall Street's main indexes jumped on ... | -0.0217 | -0.021657 | 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%) = -0.0306. | {
"var": -0.021657,
"cvar": -0.030567999999999998,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20210217_0450 | T2 | 1 | train | sideways | all | [
"BTC-USD"
] | 2021-02-17T00:00:00 | BTC-USD: 60-day return history, mean=0.0127, std=0.0470. | Asset: BTC-USD
Daily returns (past 60 days): mean=0.0127, std=0.0470, min=-0.1328, 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). | -0.0605 | -0.060541 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0605 (i.e., on a bad day with 5% probability, the loss exceeds 6.05%). CVaR(95%) = -0.0904. | {
"var": -0.060541,
"cvar": -0.09039699999999999,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20200128_0453 | T2 | 1 | train | sideways | all | [
"USMV"
] | 2020-01-28T00:00:00 | USMV: 60-day return history, mean=0.0010, std=0.0037. | Asset: USMV
Daily returns (past 60 days): mean=0.0010, std=0.0037, min=-0.0072, max=0.0079
Market regime: sideways
Recent filing/news:
[Kaggle 2020-01-27] ["All 30 Dow stocks are falling, with Apple and Boeing the biggest drags All 30 of the Dow Jones Industrial Average's components are falling in premarket trading Mon... | -0.0050 | -0.004996 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0050 (i.e., on a bad day with 5% probability, the loss exceeds 0.50%). CVaR(95%) = -0.0071. | {
"var": -0.004996,
"cvar": -0.007097,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20220809_0456 | T2 | 1 | train | sideways | all | [
"QUAL"
] | 2022-08-09T00:00:00 | QUAL: 60-day return history, mean=0.0011, std=0.0158. | Asset: QUAL
Daily returns (past 60 days): mean=0.0011, std=0.0158, min=-0.0339, max=0.0266
Market regime: sideways
Recent filing/news:
[Kaggle 2022-08-08] ["US STOCKS-Wall St set for higher open after selloff on jobs data By Bansari Mayur Kamdar and Aniruddha Ghosh Aug 8 (Reuters) - U.S. stock indexes were set to open ... | -0.0309 | -0.030887 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0309 (i.e., on a bad day with 5% probability, the loss exceeds 3.09%). CVaR(95%) = -0.0339. | {
"var": -0.030886999999999998,
"cvar": -0.033882999999999996,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20151221_0459 | T2 | 1 | train | sideways | all | [
"XLB"
] | 2015-12-21T00:00:00 | XLB: 60-day return history, mean=0.0009, std=0.0130. | Asset: XLB
Daily returns (past 60 days): mean=0.0009, std=0.0130, min=-0.0316, max=0.0297
Market regime: sideways
Recent filing/news:
[Kaggle 2015-12-18] Adobe (ADBE) Attains a New 52-Week High on Solid Earnings Shares of Adobe Systems Inc.ADBE attained a new 52-week high of $96.42 on Dec 17, eventually closing at $94.... | -0.0202 | -0.020187 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0202 (i.e., on a bad day with 5% probability, the loss exceeds 2.02%). CVaR(95%) = -0.0263. | {
"var": -0.020187,
"cvar": -0.026285,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20191112_0464 | T2 | 1 | train | sideways | all | [
"XLRE"
] | 2019-11-12T00:00:00 | XLRE: 60-day return history, mean=-0.0002, std=0.0074. | Asset: XLRE
Daily returns (past 60 days): mean=-0.0002, std=0.0074, min=-0.0174, max=0.0142
Market regime: sideways
Recent filing/news:
[Kaggle 2019-11-11] ["Goldman Sachs and Apple Face Criticism Over Card, While Trade and Hong Kong Protest Drag Down Stock Futures Macroeconomic news is dominating early on Veterans Day... | -0.0123 | -0.012346 | 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%) = -0.0149. | {
"var": -0.012346,
"cvar": -0.014946,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20150327_0467 | T2 | 1 | train | sideways | all | [
"VTI"
] | 2015-03-27T00:00:00 | VTI: 57-day return history, mean=0.0002, std=0.0088. | Asset: VTI
Daily returns (past 57 days): mean=0.0002, std=0.0088, min=-0.0173, max=0.0175
Market regime: sideways
Recent filing/news:
[Kaggle 2015-03-26] ["The Zacks Analyst Blog Highlights: Biogen, Prothena, Vertex, Gilead and Amgen - Press Releases For Immediate Release Chicago, IL - March 26, 2015 - Zacks.com announ... | -0.0142 | -0.014228 | Historical simulation VaR at 95%: sort the 57 daily returns and take the 5th percentile. VaR(95%) = -0.0142 (i.e., on a bad day with 5% probability, the loss exceeds 1.42%). CVaR(95%) = -0.0161. | {
"var": -0.014228,
"cvar": -0.016125,
"confidence": 0.9500000000000001,
"n_returns": 57,
"has_text": true,
"text_chars": 3020
} |
T2_all_20191231_0470 | T2 | 1 | train | sideways | all | [
"XLK"
] | 2019-12-31T00:00:00 | XLK: 60-day return history, mean=0.0024, std=0.0077. | Asset: XLK
Daily returns (past 60 days): mean=0.0024, std=0.0077, min=-0.0185, max=0.0164
Market regime: sideways
Recent filing/news:
[Kaggle 2019-12-30] Is North America Contribution To Amazon's Total Revenue 60%, 70%, Or 80%? Amazon‘s (NASDAQ:AMZN) North America business, consisting primarily of retail sales in the r... | -0.0098 | -0.009792 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0098 (i.e., on a bad day with 5% probability, the loss exceeds 0.98%). CVaR(95%) = -0.0155. | {
"var": -0.009792,
"cvar": -0.015477999999999999,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20190702_0473 | T2 | 1 | train | sideways | all | [
"ETH-USD"
] | 2019-07-02T00:00:00 | ETH-USD: 60-day return history, mean=0.0112, std=0.0501. | Asset: ETH-USD
Daily returns (past 60 days): mean=0.0112, std=0.0501, min=-0.1262, max=0.1382
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). | -0.0658 | -0.06577 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0658 (i.e., on a bad day with 5% probability, the loss exceeds 6.58%). CVaR(95%) = -0.0982. | {
"var": -0.06577000000000001,
"cvar": -0.09819599999999999,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20200521_0476 | T2 | 1 | train | sideways | all | [
"MATIC-USD"
] | 2020-05-21T00:00:00 | MATIC-USD: 60-day return history, mean=0.0120, std=0.0564. | Asset: MATIC-USD
Daily returns (past 60 days): mean=0.0120, std=0.0564, min=-0.1130, max=0.1666
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). | -0.0740 | -0.074001 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0740 (i.e., on a bad day with 5% probability, the loss exceeds 7.40%). CVaR(95%) = -0.1086. | {
"var": -0.074001,
"cvar": -0.108583,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20190111_0481 | T2 | 1 | train | sideways | all | [
"ETH-USD"
] | 2019-01-11T00:00:00 | ETH-USD: 60-day return history, mean=-0.0063, std=0.0680. | Asset: ETH-USD
Daily returns (past 60 days): mean=-0.0063, std=0.0680, min=-0.1575, max=0.1560
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). | -0.1231 | -0.123115 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.1231 (i.e., on a bad day with 5% probability, the loss exceeds 12.31%). CVaR(95%) = -0.1436. | {
"var": -0.12311499999999999,
"cvar": -0.143619,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20210203_0484 | T2 | 1 | train | sideways | all | [
"VNQI"
] | 2021-02-03T00:00:00 | VNQI: 60-day return history, mean=0.0017, std=0.0096. | Asset: VNQI
Daily returns (past 60 days): mean=0.0017, std=0.0096, min=-0.0212, max=0.0246
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). | -0.0133 | -0.013273 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0133 (i.e., on a bad day with 5% probability, the loss exceeds 1.33%). CVaR(95%) = -0.0186. | {
"var": -0.013273,
"cvar": -0.018637,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20210614_0487 | T2 | 1 | train | sideways | all | [
"XHB"
] | 2021-06-14T00:00:00 | XHB: 60-day return history, mean=0.0014, std=0.0154. | Asset: XHB
Daily returns (past 60 days): mean=0.0014, std=0.0154, min=-0.0411, max=0.0364
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). | -0.0231 | -0.023113 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0231 (i.e., on a bad day with 5% probability, the loss exceeds 2.31%). CVaR(95%) = -0.0335. | {
"var": -0.023112999999999998,
"cvar": -0.033541999999999995,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20210514_0490 | T2 | 1 | train | sideways | all | [
"XLK"
] | 2021-05-14T00:00:00 | XLK: 60-day return history, mean=-0.0004, std=0.0156. | Asset: XLK
Daily returns (past 60 days): mean=-0.0004, std=0.0156, min=-0.0356, max=0.0334
Market regime: sideways
Recent filing/news:
[Kaggle 2021-05-13] Can DocuSign Fend Off Adobe's E-Signature Product? There's plenty of competition for DocuSign's (NASDAQ: DOCU) flagship e-signature product, but the digital agreemen... | -0.0257 | -0.025699 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0257 (i.e., on a bad day with 5% probability, the loss exceeds 2.57%). CVaR(95%) = -0.0308. | {
"var": -0.025699,
"cvar": -0.030753,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20210216_0493 | T2 | 1 | train | sideways | all | [
"ETH-USD"
] | 2021-02-16T00:00:00 | ETH-USD: 60-day return history, mean=0.0180, std=0.0599. | Asset: ETH-USD
Daily returns (past 60 days): mean=0.0180, std=0.0599, min=-0.1593, max=0.1560
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 | -0.076742 | 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%) = -0.1254. | {
"var": -0.07674199999999999,
"cvar": -0.12541000000000002,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20180914_0496 | T2 | 1 | train | sideways | all | [
"XRP-USD"
] | 2018-09-14T00:00:00 | XRP-USD: 60-day return history, mean=-0.0061, std=0.0568. | Asset: XRP-USD
Daily returns (past 60 days): mean=-0.0061, std=0.0568, min=-0.1449, max=0.2539
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). | -0.0813 | -0.081278 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0813 (i.e., on a bad day with 5% probability, the loss exceeds 8.13%). CVaR(95%) = -0.1272. | {
"var": -0.081278,
"cvar": -0.127195,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20181123_0499 | T2 | 1 | train | sideways | all | [
"^VIX"
] | 2018-11-23T00:00:00 | ^VIX: 60-day return history, mean=0.0069, std=0.0856. | Asset: ^VIX
Daily returns (past 60 days): mean=0.0069, std=0.0856, min=-0.1825, max=0.2508
Market regime: sideways
Recent filing/news:
[Kaggle 2018-11-21] ["Apple could provide veterans with access to electronic medical records Partnership with VA could streamline veterans\u2019 hospital visits Apple Inc. is in discuss... | -0.0997 | -0.099727 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0997 (i.e., on a bad day with 5% probability, the loss exceeds 9.97%). CVaR(95%) = -0.1746. | {
"var": -0.099727,
"cvar": -0.174614,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20160318_0504 | T2 | 1 | train | sideways | all | [
"XLF"
] | 2016-03-18T00:00:00 | XLF: 60-day return history, mean=-0.0006, std=0.0152. | Asset: XLF
Daily returns (past 60 days): mean=-0.0006, std=0.0152, min=-0.0310, max=0.0362
Market regime: sideways
Recent filing/news:
[Kaggle 2016-03-17] ["Progress is being made in the war on \u2018St. Patty\u2019s Day\u2019 The likes of Google and Apple have been conscripted On the one hand, St. Patrick\u2019s Day i... | -0.0264 | -0.026442 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0264 (i.e., on a bad day with 5% probability, the loss exceeds 2.64%). CVaR(95%) = -0.0292. | {
"var": -0.026442,
"cvar": -0.029241,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20160223_0511 | T2 | 1 | train | sideways | all | [
"IWM"
] | 2016-02-23T00:00:00 | IWM: 60-day return history, mean=-0.0023, std=0.0143. | Asset: IWM
Daily returns (past 60 days): mean=-0.0023, std=0.0143, min=-0.0326, max=0.0323
Market regime: sideways
Recent filing/news:
[Kaggle 2016-02-22] ["China bans foreign publishing content online All online content must be on servers hosted within China China has issued broad new rules for online publishing that ... | -0.0236 | -0.023629 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0236 (i.e., on a bad day with 5% probability, the loss exceeds 2.36%). CVaR(95%) = -0.0292. | {
"var": -0.023628999999999997,
"cvar": -0.029158,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20200206_0514 | T2 | 1 | train | sideways | all | [
"QQQ"
] | 2020-02-06T00:00:00 | QQQ: 60-day return history, mean=0.0022, std=0.0075. | Asset: QQQ
Daily returns (past 60 days): mean=0.0022, std=0.0075, min=-0.0209, max=0.0226
Market regime: sideways
Recent filing/news:
[Kaggle 2020-02-05] ["Stocks That Hit 52-Week Highs On Wednesday", "Stocks That Hit 52-Week Highs On Wednesday", "Adobe Stock Could Head Higher, but Tread Carefully With shares up 31% si... | -0.0093 | -0.009257 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0093 (i.e., on a bad day with 5% probability, the loss exceeds 0.93%). CVaR(95%) = -0.0157. | {
"var": -0.009257,
"cvar": -0.015716,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20220810_0519 | T2 | 1 | train | sideways | all | [
"XLY"
] | 2022-08-10T00:00:00 | XLY: 60-day return history, mean=0.0021, std=0.0221. | Asset: XLY
Daily returns (past 60 days): mean=0.0021, std=0.0221, min=-0.0388, max=0.0338
Market regime: sideways
Recent filing/news:
[Kaggle 2022-08-09] ["Down 47% in a Year, Time to Buy This Growth Stock? With a market cap of $8.3 billion, Cognex Corporation (NASDAQ: CGNX) is not a small-cap company. However, it's st... | -0.0388 | -0.038816 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0388 (i.e., on a bad day with 5% probability, the loss exceeds 3.88%). CVaR(95%) = -0.0388. | {
"var": -0.038815999999999996,
"cvar": -0.038815999999999996,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20190521_0522 | T2 | 1 | train | sideways | all | [
"SOYB"
] | 2019-05-21T00:00:00 | SOYB: 60-day return history, mean=-0.0018, std=0.0077. | Asset: SOYB
Daily returns (past 60 days): mean=-0.0018, std=0.0077, min=-0.0221, max=0.0280
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). | -0.0124 | -0.012351 | 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%) = -0.0170. | {
"var": -0.012350999999999999,
"cvar": -0.017047,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20200311_0525 | T2 | 1 | train | sideways | all | [
"MTUM"
] | 2020-03-11T00:00:00 | MTUM: 60-day return history, mean=-0.0003, std=0.0134. | Asset: MTUM
Daily returns (past 60 days): mean=-0.0003, std=0.0134, min=-0.0383, max=0.0314
Market regime: sideways
Recent filing/news:
[Kaggle 2020-03-10] ["123 Biggest Movers From Yesterday", "UBS Maintains Buy on Apple, Lowers Price Target to $335", "Shares of several technology companies are trading higher as marke... | -0.0281 | -0.028144 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0281 (i.e., on a bad day with 5% probability, the loss exceeds 2.81%). CVaR(95%) = -0.0349. | {
"var": -0.028144,
"cvar": -0.034926,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20190225_0530 | T2 | 1 | train | sideways | all | [
"FXI"
] | 2019-02-25T00:00:00 | FXI: 60-day return history, mean=0.0017, std=0.0123. | Asset: FXI
Daily returns (past 60 days): mean=0.0017, std=0.0123, min=-0.0212, max=0.0333
Market regime: sideways
Recent filing/news:
[Kaggle 2019-02-22] ["Pinnacle West's (PNW) Q4 Earnings Beat Estimates, Up Y/Y Pinnacle West Capital CorporationPNW delivered adjusted earnings per share of 23 cents in the fourth quarte... | -0.0167 | -0.01669 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0167 (i.e., on a bad day with 5% probability, the loss exceeds 1.67%). CVaR(95%) = -0.0198. | {
"var": -0.01669,
"cvar": -0.019802999999999998,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20220706_0533 | T2 | 1 | train | sideways | all | [
"XLV"
] | 2022-07-06T00:00:00 | XLV: 60-day return history, mean=-0.0011, std=0.0141. | Asset: XLV
Daily returns (past 60 days): mean=-0.0011, std=0.0141, min=-0.0294, max=0.0244
Market regime: sideways
Recent filing/news:
[Kaggle 2022-07-05] ["EU lawmakers pass landmark tech rules, but enforcement a worry By Foo Yun Chee BRUSSELS, July 5 (Reuters) - EU lawmakers gave the thumbs up on Tuesday to landmark ... | -0.0262 | -0.026156 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0262 (i.e., on a bad day with 5% probability, the loss exceeds 2.62%). CVaR(95%) = -0.0284. | {
"var": -0.026156,
"cvar": -0.028363,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20210824_0538 | T2 | 1 | train | sideways | all | [
"QUAL"
] | 2021-08-24T00:00:00 | QUAL: 60-day return history, mean=0.0015, std=0.0061. | Asset: QUAL
Daily returns (past 60 days): mean=0.0015, std=0.0061, min=-0.0130, max=0.0141
Market regime: sideways
Recent filing/news:
[Kaggle 2021-08-23] ["Global Cider Market Report 2021-2027: Market to Reach $16.6 Billion - Heineken Revels in Cider Business while C&C Languishes Dublin, Aug. 23, 2021 (GLOBE NEWSWIRE)... | -0.0086 | -0.008615 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0086 (i.e., on a bad day with 5% probability, the loss exceeds 0.86%). CVaR(95%) = -0.0126. | {
"var": -0.008615,
"cvar": -0.012617999999999999,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20150312_0541 | T2 | 1 | train | sideways | all | [
"FXI"
] | 2015-03-12T00:00:00 | FXI: 46-day return history, mean=-0.0004, std=0.0135. | Asset: FXI
Daily returns (past 46 days): mean=-0.0004, std=0.0135, min=-0.0275, max=0.0314
Market regime: sideways
Recent filing/news:
[Kaggle 2015-03-11] ["How to Get a 6.2% Yield On a Blue Chip Stock Enhance AT&T\u2019s already juicy yield by selling puts while waiting to see how market reacts to Dow ejection.", "It ... | -0.0233 | -0.023338 | Historical simulation VaR at 95%: sort the 46 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%) = -0.0259. | {
"var": -0.023337999999999998,
"cvar": -0.025863999999999998,
"confidence": 0.9500000000000001,
"n_returns": 46,
"has_text": true,
"text_chars": 3020
} |
T2_all_20160510_0544 | T2 | 1 | train | sideways | all | [
"EWJ"
] | 2016-05-10T00:00:00 | EWJ: 60-day return history, mean=0.0019, std=0.0132. | Asset: EWJ
Daily returns (past 60 days): mean=0.0019, std=0.0132, min=-0.0325, max=0.0263
Market regime: sideways
Recent filing/news:
[Kaggle 2016-05-09] Drug Stocks Reporting on May 10: XON, ARIA, CPRX & More How is the Earnings Picture Evolving now that a large part of the first-quarter 2016 earnings season has come ... | -0.0168 | -0.016779 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0168 (i.e., on a bad day with 5% probability, the loss exceeds 1.68%). CVaR(95%) = -0.0264. | {
"var": -0.016779,
"cvar": -0.026385,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20160628_0549 | T2 | 1 | train | sideways | all | [
"VLUE"
] | 2016-06-28T00:00:00 | VLUE: 60-day return history, mean=-0.0006, std=0.0095. | Asset: VLUE
Daily returns (past 60 days): mean=-0.0006, std=0.0095, min=-0.0356, max=0.0158
Market regime: sideways
Recent filing/news:
[Kaggle 2016-06-27] ["FedEx, Oracle, Adobe and Alcoa are part of Zacks Earnings Preview: For Immediate Release Chicago, IL -June 27, 2016 - Zacks.com releases the list of companies lik... | -0.0142 | -0.014194 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0142 (i.e., on a bad day with 5% probability, the loss exceeds 1.42%). CVaR(95%) = -0.0256. | {
"var": -0.014194,
"cvar": -0.025564,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20160517_0552 | T2 | 1 | train | sideways | all | [
"IVV"
] | 2016-05-17T00:00:00 | IVV: 60-day return history, mean=0.0012, std=0.0075. | Asset: IVV
Daily returns (past 60 days): mean=0.0012, std=0.0075, min=-0.0122, max=0.0238
Market regime: sideways
Recent filing/news:
[Kaggle 2016-05-16] ["Uber China Rival Didi Targets New York IPO In 2017", "With Buffett Betting Big, Is Apple\u2019s Stock a Buy? With Warren Buffett\u2019s Berkshire Hathaway buying $1... | -0.0115 | -0.011492 | 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%) = -0.0121. | {
"var": -0.011491999999999999,
"cvar": -0.012109,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20190213_0555 | T2 | 1 | train | sideways | all | [
"BNB-USD"
] | 2019-02-13T00:00:00 | BNB-USD: 60-day return history, mean=0.0134, std=0.0518. | Asset: BNB-USD
Daily returns (past 60 days): mean=0.0134, std=0.0518, min=-0.1244, max=0.1396
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). | -0.0776 | -0.077636 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0776 (i.e., on a bad day with 5% probability, the loss exceeds 7.76%). CVaR(95%) = -0.1103. | {
"var": -0.077636,
"cvar": -0.11030000000000001,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20200724_0558 | T2 | 1 | train | sideways | all | [
"IEF"
] | 2020-07-24T00:00:00 | IEF: 60-day return history, mean=0.0002, std=0.0026. | Asset: IEF
Daily returns (past 60 days): mean=0.0002, std=0.0026, min=-0.0062, max=0.0075
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for IEF. Express as a decimal (e.g., -0.02). | -0.0040 | -0.004023 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0040 (i.e., on a bad day with 5% probability, the loss exceeds 0.40%). CVaR(95%) = -0.0057. | {
"var": -0.004023,
"cvar": -0.005686,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20220930_0561 | T2 | 1 | train | sideways | all | [
"XLE"
] | 2022-09-30T00:00:00 | XLE: 60-day return history, mean=0.0015, std=0.0213. | Asset: XLE
Daily returns (past 60 days): mean=0.0015, std=0.0213, min=-0.0481, max=0.0434
Market regime: sideways
Recent filing/news:
[Kaggle 2022-09-29] ["After Hours Most Active for Sep 29, 2022 : MCHI, MU, QQQ, AMZN, AAPL, BEKE, FDMT, FE, NKE, GE, T, DIS The NASDAQ 100 After Hours Indicator is down -7.41 to 11,157.3... | -0.0294 | -0.029401 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0294 (i.e., on a bad day with 5% probability, the loss exceeds 2.94%). CVaR(95%) = -0.0401. | {
"var": -0.029401,
"cvar": -0.040125999999999995,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20221220_0564 | T2 | 1 | train | sideways | all | [
"XLV"
] | 2022-12-20T00:00:00 | XLV: 60-day return history, mean=0.0016, std=0.0118. | Asset: XLV
Daily returns (past 60 days): mean=0.0016, std=0.0118, min=-0.0214, max=0.0244
Market regime: sideways
Recent filing/news:
[Kaggle 2022-12-19] ["US STOCKS-Wall Street falls fourth straight day as recession worries nag By Sin\u00e9ad Carew and Sruthi Shankar Dec 19 (Reuters) - Wall Street closed lower on Mond... | -0.0148 | -0.014775 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0148 (i.e., on a bad day with 5% probability, the loss exceeds 1.48%). CVaR(95%) = -0.0190. | {
"var": -0.014775,
"cvar": -0.019018999999999998,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20161114_0567 | T2 | 1 | train | sideways | all | [
"ACWI"
] | 2016-11-14T00:00:00 | ACWI: 60-day return history, mean=-0.0004, std=0.0073. | Asset: ACWI
Daily returns (past 60 days): mean=-0.0004, std=0.0073, min=-0.0235, max=0.0202
Market regime: sideways
Recent filing/news:
[Kaggle 2016-11-11] ["Trumped: Apple, Home Depot, Nike\u2019s Asian Suppliers Tumble", "Why the Nasdaq was alone among stock markets in sliding lower The weakness in the Nasdaq on Thur... | -0.0107 | -0.010683 | 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%) = -0.0184. | {
"var": -0.010683,
"cvar": -0.018445,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20160714_0570 | T2 | 1 | train | sideways | all | [
"TIP"
] | 2016-07-14T00:00:00 | TIP: 60-day return history, mean=0.0002, std=0.0010. | Asset: TIP
Daily returns (past 60 days): mean=0.0002, std=0.0010, min=-0.0031, max=0.0032
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). | -0.0014 | -0.001382 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0014 (i.e., on a bad day with 5% probability, the loss exceeds 0.14%). CVaR(95%) = -0.0020. | {
"var": -0.001382,
"cvar": -0.002013,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20200914_0573 | T2 | 1 | train | sideways | all | [
"QUAL"
] | 2020-09-14T00:00:00 | QUAL: 60-day return history, mean=0.0010, std=0.0110. | Asset: QUAL
Daily returns (past 60 days): mean=0.0010, std=0.0110, min=-0.0339, max=0.0167
Market regime: sideways
Recent filing/news:
[Kaggle 2020-09-11] Ambarella Stock Could See Further Downside Ambarella Incorporated stock (NASDAQ: AMBA) is down 22% since the beginning of this year, but at the current price of $47 ... | -0.0243 | -0.024265 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0243 (i.e., on a bad day with 5% probability, the loss exceeds 2.43%). CVaR(95%) = -0.0291. | {
"var": -0.024265,
"cvar": -0.02909,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20200609_0576 | T2 | 1 | train | sideways | all | [
"USMV"
] | 2020-06-09T00:00:00 | USMV: 60-day return history, mean=0.0012, std=0.0170. | Asset: USMV
Daily returns (past 60 days): mean=0.0012, std=0.0170, min=-0.0253, max=0.0221
Market regime: sideways
Recent filing/news:
[Kaggle 2020-06-08] ["UBS Maintains Buy on Adobe, Raises Price Target to $450", "UBS Maintains Buy on Adobe, Raises Price Target to $450", "3 Top E-Commerce Stocks to Watch in June Many... | -0.0253 | -0.025309 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0253 (i.e., on a bad day with 5% probability, the loss exceeds 2.53%). CVaR(95%) = -0.0253. | {
"var": -0.025308999999999998,
"cvar": -0.025308999999999998,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20190920_0579 | T2 | 1 | train | sideways | all | [
"LINK-USD"
] | 2019-09-20T00:00:00 | LINK-USD: 60-day return history, mean=-0.0043, std=0.0407. | Asset: LINK-USD
Daily returns (past 60 days): mean=-0.0043, std=0.0407, min=-0.0981, max=0.1107
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_20190902_0582 | T2 | 1 | train | sideways | all | [
"VEA"
] | 2019-09-02T00:00:00 | VEA: 60-day return history, mean=-0.0001, std=0.0079. | Asset: VEA
Daily returns (past 60 days): mean=-0.0001, std=0.0079, min=-0.0274, max=0.0137
Market regime: sideways
Recent filing/news:
[Kaggle 2019-08-30] ["Nvidia Stock Is a Long-Term Winner Predicting what technologies will be prevalent in ten years is difficult. Who\u2019s to say whether the dominant smartphone will... | -0.0107 | -0.010732 | 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%) = -0.0219. | {
"var": -0.010732,
"cvar": -0.021884999999999998,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20200828_0585 | T2 | 1 | train | sideways | all | [
"VTI"
] | 2020-08-28T00:00:00 | VTI: 60-day return history, mean=0.0023, std=0.0107. | Asset: VTI
Daily returns (past 60 days): mean=0.0023, std=0.0107, min=-0.0335, max=0.0253
Market regime: sideways
Recent filing/news:
[Kaggle 2020-08-27] ["Tesla\u2019s Market Cap Hits $400 Billion The world\u2019s most valuable car company just hit another huge milestone.", "Podcast: Rental Prices Drop 1.7% Between Fi... | -0.0116 | -0.011607 | 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%) = -0.0282. | {
"var": -0.011607,
"cvar": -0.02817,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20160125_0588 | T2 | 1 | train | sideways | all | [
"QQQ"
] | 2016-01-25T00:00:00 | QQQ: 60-day return history, mean=-0.0013, std=0.0130. | Asset: QQQ
Daily returns (past 60 days): mean=-0.0013, std=0.0130, min=-0.0351, max=0.0285
Market regime: sideways
Recent filing/news:
[Kaggle 2016-01-22] ["Apple Pay Use Low, Says Piper, But It\u2019s Expected to Grow Apple\u2019s (AAPL) Apple Pay electronic payments system is the \u201cshare leader,\u201d writes Pipe... | -0.0237 | -0.023697 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0237 (i.e., on a bad day with 5% probability, the loss exceeds 2.37%). CVaR(95%) = -0.0328. | {
"var": -0.023697,
"cvar": -0.032813,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20160121_0597 | T2 | 1 | train | sideways | all | [
"IWM"
] | 2016-01-21T00:00:00 | IWM: 60-day return history, mean=-0.0024, std=0.0125. | Asset: IWM
Daily returns (past 60 days): mean=-0.0024, std=0.0125, min=-0.0326, max=0.0288
Market regime: sideways
Recent filing/news:
[Kaggle 2016-01-20] Commit To Buy American Electric Power Company At $45, Earn 5.7% Using Options Investors considering a purchase of American Electric Power Company, Inc. (Symbol: AEP)... | -0.0226 | -0.022576 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0226 (i.e., on a bad day with 5% probability, the loss exceeds 2.26%). CVaR(95%) = -0.0277. | {
"var": -0.022576,
"cvar": -0.027718999999999997,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20150217_0600 | T2 | 1 | train | sideways | all | [
"XLP"
] | 2015-02-17T00:00:00 | XLP: 29-day return history, mean=0.0008, std=0.0088. | Asset: XLP
Daily returns (past 29 days): mean=0.0008, std=0.0088, min=-0.0182, max=0.0170
Market regime: sideways
Recent filing/news:
[Kaggle 2015-02-13] ["London wants a piece of New York\u2019s startups U.K. led startup funding in Europe last month, raising $294 million The U.K. government launched a new initiative c... | -0.0116 | -0.011628 | Historical simulation VaR at 95%: sort the 29 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%) = -0.0149. | {
"var": -0.011628,
"cvar": -0.014920999999999999,
"confidence": 0.9500000000000001,
"n_returns": 29,
"has_text": true,
"text_chars": 3020
} |
T2_all_20191011_0604 | T2 | 1 | train | sideways | all | [
"PALL"
] | 2019-10-11T00:00:00 | PALL: 60-day return history, mean=0.0034, std=0.0163. | Asset: PALL
Daily returns (past 60 days): mean=0.0034, std=0.0163, min=-0.0606, max=0.0381
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). | -0.0191 | -0.01914 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0191 (i.e., on a bad day with 5% probability, the loss exceeds 1.91%). CVaR(95%) = -0.0363. | {
"var": -0.01914,
"cvar": -0.036295,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20181016_0609 | T2 | 1 | train | sideways | all | [
"XLP"
] | 2018-10-16T00:00:00 | XLP: 60-day return history, mean=0.0001, std=0.0071. | Asset: XLP
Daily returns (past 60 days): mean=0.0001, std=0.0071, min=-0.0250, max=0.0142
Market regime: sideways
Recent filing/news:
[Kaggle 2018-10-15] ["GoPro to Sell Curated Video Clips to the Adobe Stock Marketplace", "Adobe Sees FY19 Total Adobe Sales Growth ~20% Year Over Year, Sees Digital Media Annualized Recu... | -0.0108 | -0.010826 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0108 (i.e., on a bad day with 5% probability, the loss exceeds 1.08%). CVaR(95%) = -0.0175. | {
"var": -0.010825999999999999,
"cvar": -0.017502,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
T2_all_20191202_0612 | T2 | 1 | train | sideways | all | [
"IYR"
] | 2019-12-02T00:00:00 | IYR: 60-day return history, mean=0.0001, std=0.0064. | Asset: IYR
Daily returns (past 60 days): mean=0.0001, std=0.0064, min=-0.0163, max=0.0121
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). | -0.0107 | -0.010688 | 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%) = -0.0139. | {
"var": -0.010688,
"cvar": -0.013883,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20220720_0615 | T2 | 1 | train | sideways | all | [
"IAU"
] | 2022-07-20T00:00:00 | IAU: 60-day return history, mean=-0.0017, std=0.0086. | Asset: IAU
Daily returns (past 60 days): mean=-0.0017, std=0.0086, min=-0.0238, max=0.0151
Market regime: sideways
Using the historical simulation method, compute the 1-day VaR at 95% confidence level for IAU. Express as a decimal (e.g., -0.02). | -0.0159 | -0.015924 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0159 (i.e., on a bad day with 5% probability, the loss exceeds 1.59%). CVaR(95%) = -0.0211. | {
"var": -0.015924,
"cvar": -0.021116,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": false,
"text_chars": 0
} |
T2_all_20210728_0617 | T2 | 1 | train | sideways | all | [
"EEM"
] | 2021-07-28T00:00:00 | EEM: 60-day return history, mean=-0.0010, std=0.0103. | Asset: EEM
Daily returns (past 60 days): mean=-0.0010, std=0.0103, min=-0.0280, max=0.0204
Market regime: sideways
Recent filing/news:
[Kaggle 2021-07-27] ["Advanced Micro Devices Q2 21 Earnings Conference Call At 5:00 PM ET (RTTNews) - Advanced Micro Devices Inc. (AMD) will host a conference call at 5:00 PM ET on July... | -0.0193 | -0.019286 | Historical simulation VaR at 95%: sort the 60 daily returns and take the 5th percentile. VaR(95%) = -0.0193 (i.e., on a bad day with 5% probability, the loss exceeds 1.93%). CVaR(95%) = -0.0232. | {
"var": -0.019285999999999998,
"cvar": -0.023157,
"confidence": 0.9500000000000001,
"n_returns": 60,
"has_text": true,
"text_chars": 3020
} |
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