VaR Estimation: Condition Shortfall

Sergey Okun  This article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.

Summary:

  • VaR does not provide insight into what losses might occur if the situation is worse than the threshold that we assume.
  • The Expected Shortfall method enables us to estimate the amount of tail risk an investment portfolio has.
  • The I Know First AI algorithm provides us with the tool to select the most promising stocks.

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VaR Estimation: Variance-Covariance and Historical Simulation Methods

Sergey Okun  This article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.

Summary:

  • VaR allows us to estimate possible financial losses in different scenarios.
  • Historical Simulation VaR provides us with a significantly different result from the respective Variance-Covariance VaR for very high confidence intervals which depends on the normality assumption.
  • The I Know First AI algorithm provides us with the tool to select the most promising stocks.

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Medical Stocks Based on Big Data: Returns up to 358.0% in 1 Year


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Recommended Positions: Long
Forecast Length: 1 Year (9/2/20 - 9/2/21)
I Know First Average: 46.91%

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Medical Stocks
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Medical Stocks Based on Big Data Analytics: Returns up to 350.84% in 1 Year


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Recommended Positions: Long
Forecast Length: 1 Year (9/1/20 - 9/1/21)
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Medical Stocks
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Medicine Stocks Based on Pattern Recognition: Returns up to 338.75% in 1 Year


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Forecast Length: 1 Year (8/30/20 - 8/31/21)
I Know First Average: 46.33%

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Medicine Stocks
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Medical Stocks Based on Deep Learning: Returns up to 331.67% in 1 Year


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Recommended Positions: Long
Forecast Length: 1 Year (8/30/20 - 8/30/21)
I Know First Average: 45.18%

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Medical Stocks
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Top S&P 500 Stocks Based on Predictive Analytics: Returns up to 227.81% in 1 Year

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Package Name: Top S&P 500 Stocks
Recommended Positions: Long
Forecast Length: 1 Year (8/4/20 - 8/4/21)
I Know First Average: 64.83%

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Top S&P 500 Stocks
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Medicine Stocks Based on Big Data Analytics: up to 17.44% in 14 Days


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Recommended Positions: Short
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I Know First Average: 3.64%

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Medicine Stocks
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