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Theme Landscape

Investment horizon:

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This theme covers large and small money and credit banks and credit services in USA. To change this theme or its current investment horizon please use the panel above and then hit the 'Optimize This Theme' button to continue

Risk and return landscape for Banks

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Daily Expected Return (%)

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Risk [Daily Volatility] (%)

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Assets rated by market efficiency

		Efficiency (Sharpe Ratio)	Risk (Volatility)	Expected Return	Current Price	Advice *
FCNCA	First Citizens Bancshares Inc	0.56%	0.77%	0.44%	198.85	Strong Hold
EWBC	East West Bancorp Inc	0.54%	0.80%	0.44%	25.61	Strong Hold
FMER	FirstMerit Corporation	0.51%	1.27%	0.67%	18.29	Strong Buy
WFC	Wells Fargo Company	0.50%	0.78%	0.40%	39.88	Strong Buy
C	Citigroup Inc	0.49%	1.31%	0.65%	51.45	Strong Buy
FULT	Fulton Financial Corporation	0.47%	1.02%	0.49%	11.74	Strong Buy
BAC	Bank of America Corporation	0.46%	1.48%	0.69%	13.43	Strong Hold
ASBC	Associated BancCorp	0.42%	1.17%	0.50%	15.46	Strong Buy
JPM	JPMorgan Chase Co	0.42%	1.14%	0.49%	52.30	Strong Buy
CACC	Credit Acceptance Corp	0.41%	1.35%	0.57%	108.75	Strong Buy
V	Visa Inc	0.38%	1.50%	0.58%	184.57	Strong Hold
TCBI	Texas Capital BancShares Inc	0.34%	1.55%	0.54%	44.28	Strong Buy
GBCI	Glacier Bancorp Inc	0.34%	1.28%	0.44%	19.78	Strong Buy
1398	Industrial and Commercial Bank of China Limited	0.28%	0.94%	0.27%	5.56	Strong Buy
WTFC	Wintrust Financial Corporation	0.24%	1.02%	0.26%	37.64	Strong Buy
NPBC	National Penn Bancshares Inc	0.20%	1.38%	0.28%	10.34	Strong Buy
HDB	HDFC Bank Ltd	0.18%	1.37%	0.26%	42.99	Strong Buy
SUSQ	Susquehanna Bancshares Inc	0.18%	1.55%	0.29%	12.26	Strong Buy
BBDC4	Banco Bradesco SA	0.16%	0.60%	0.11%	34.22	Hold
HBHC	Hancock Holding Company	0.04%	2.29%	0.10%	28.72	Buy

* Advice is based on 30 days investment horizon and default level of risk. Use Portfolio Analizer to fine-tune all your assumptions. Check your current assumptions here

Total return distribution analysis

Predicted Return Density

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Returns

Market

Portfolio

Alpha (Return Over Market)

0.05

Beta (Market Sensitivity)

1.27

Efficiency (Sharpe Ratio)

0.61

Risk (Volatility)

0.76

Expected Return

0.47

Technical analysis of total daily returns

Risk Adjusted Performance	0.2852
Market Risk Adjusted Performance	0.3351
Mean Deviation	0.6237
Semi-Deviation	0.2163
Downside Deviation	1.2
Coefficient Of Variation	194.39
Standard Deviation	0.822
Variance	0.6757
Information Ratio	0.1084
Jensen Alpha	0.0017
Total Risk Alpha	(0.07)
Sortino Ratio	0.0741
Treynor Ratio	0.3251
Maximum Drawdown	3.21
Value At Risk	(0.68)

Banks Correlation Analysis

	NPBC	EWBC	CACC	BBDC4	C	HBHC	BAC	WFC	ASBC	TCBI	FMER	V	JPM	HDB	GBCI	FCNCA	FULT	SUSQ	WTFC	1398
NPBC		0.59	0.55	-0.14	0.61	0.45	0.39	0.64	0.83	0.17	0.75	0.69	0.62	0.27	0.85	0.29	0.78	0.76	0.83	0.11
EWBC	0.59		0.48	-0.1	0.46	0.55	0.04	0.55	0.45	-0.13	0.6	0.51	0.49	0.5	0.49	0.16	0.65	0.47	0.37	0.17
CACC	0.55	0.48		-0.02	0.52	0.47	0.6	0.47	0.58	0.06	0.36	0.36	0.53	0.51	0.4	0.04	0.6	0.54	0.4	0.22
BBDC4	-0.14	-0.1	-0.02		-0.34	-0.18	-0.37	-0.15	-0.26	-0.01	-0.51	-0.08	-0.24	-0.19	-0.1	0.05	-0.41	-0.29	-0.11	-0.03
C	0.61	0.46	0.52	-0.34		0.39	0.63	0.73	0.7	0.23	0.68	0.48	0.76	0.47	0.55	0.38	0.77	0.56	0.54	-0.09
HBHC	0.45	0.55	0.47	-0.18	0.39		0.21	0.16	0.47	-0.35	0.38	0.44	0.35	0.29	0.38	0.41	0.52	0.41	0.45	-0.01
BAC	0.39	0.04	0.6	-0.37	0.63	0.21		0.46	0.65	0.26	0.46	0.13	0.51	0.26	0.44	0.02	0.58	0.56	0.49	0.17
WFC	0.64	0.55	0.47	-0.15	0.73	0.16	0.46		0.67	0.14	0.8	0.33	0.78	0.33	0.69	0.13	0.65	0.51	0.59	0.38
ASBC	0.83	0.45	0.58	-0.26	0.7	0.47	0.65	0.67		0.28	0.82	0.55	0.64	0.18	0.87	0.28	0.84	0.88	0.91	0.14
TCBI	0.17	-0.13	0.06	-0.01	0.23	-0.35	0.26	0.14	0.28		0.17	0.13	0.1	-0.05	0.38	0.16	0.38	0.27	0.23	-0.11
FMER	0.75	0.6	0.36	-0.51	0.68	0.38	0.46	0.8	0.82	0.17		0.5	0.67	0.23	0.79	0.18	0.83	0.7	0.76	0.33
V	0.69	0.51	0.36	-0.08	0.48	0.44	0.13	0.33	0.55	0.13	0.5		0.26	0.26	0.52	0.3	0.64	0.38	0.61	-0.13
JPM	0.62	0.49	0.53	-0.24	0.76	0.35	0.51	0.78	0.64	0.1	0.67	0.26		0.6	0.58	0.11	0.67	0.5	0.53	0.21
HDB	0.27	0.5	0.51	-0.19	0.47	0.29	0.26	0.33	0.18	-0.05	0.23	0.26	0.6		0.05	-0.16	0.4	0.29	0.0	0.26
GBCI	0.85	0.49	0.4	-0.1	0.55	0.38	0.44	0.69	0.87	0.38	0.79	0.52	0.58	0.05		0.38	0.79	0.76	0.91	0.21
FCNCA	0.29	0.16	0.04	0.05	0.38	0.41	0.02	0.13	0.28	0.16	0.18	0.3	0.11	-0.16	0.38		0.23	0.19	0.31	-0.47
FULT	0.78	0.65	0.6	-0.41	0.77	0.52	0.58	0.65	0.84	0.38	0.83	0.64	0.67	0.4	0.79	0.23		0.75	0.75	0.09
SUSQ	0.76	0.47	0.54	-0.29	0.56	0.41	0.56	0.51	0.88	0.27	0.7	0.38	0.5	0.29	0.76	0.19	0.75		0.71	0.19
WTFC	0.83	0.37	0.4	-0.11	0.54	0.45	0.49	0.59	0.91	0.23	0.76	0.61	0.53	0.0	0.91	0.31	0.75	0.71		0.14
1398	0.11	0.17	0.22	-0.03	-0.09	-0.01	0.17	0.38	0.14	-0.11	0.33	-0.13	0.21	0.26	0.21	-0.47	0.09	0.19	0.14

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Correlation Matchups

High positive correlations

WTFC	+ 0.91	ASBC
WTFC	+ 0.91	GBCI
SUSQ	+ 0.88	ASBC
GBCI	+ 0.87	ASBC
GBCI	+ 0.85	NPBC
FULT	+ 0.84	ASBC
ASBC	+ 0.83	NPBC
WTFC	+ 0.83	NPBC

Insignificant Correlation

WTFC	- 0.0	HDB
TCBI	- 0.01	BBDC4
1398	- 0.01	HBHC
BBDC4	- 0.02	CACC

WTFC	+ 0.0	HDB
FCNCA	+ 0.02	BAC
FCNCA	+ 0.04	CACC
BAC	+ 0.04	EWBC

High negative correlations

FMER	- 0.51	BBDC4
1398	- 0.47	FCNCA
FULT	- 0.41	BBDC4
BAC	- 0.37	BBDC4
TCBI	- 0.35	HBHC
C	- 0.34	BBDC4
SUSQ	- 0.29	BBDC4
ASBC	- 0.26	BBDC4

Weakest Diversification

Strongest Diversification

Weakest Diversification

Assets performance indicators

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Information Ratio	Expected Shortfall	Potential Upside	Value At Risk	Maximum Drawdown
NPBC	1.01	(0.31)	(0.02)	0.15	1.51	(0.03)	(1.02)	2.02	(1.22)	5.22	Backtest
EWBC	0.68	0.10	0.12	0.42	0.00	0.13	(0.86)	1.31	(0.93)	2.91	Backtest
CACC	1.07	0.09	0.16	0.39	0.79	0.17	(1.31)	2.45	(1.59)	4.83	Backtest
BBDC4	1.09	0.60	0.00	(0.99)	0.00	0.05	0.00	2.02	(1.01)	2.60	Backtest
C	1.11	0.04	0.28	0.35	0.19	0.23	(1.46)	2.50	(1.42)	4.59	Backtest
HBHC	1.31	(0.58)	(0.06)	0.04	3.86	(0.10)	(1.08)	1.64	(1.87)	10.79	Backtest
BAC	1.06	0.30	0.46	0.59	0.00	0.23	(1.43)	2.99	(0.84)	6.07	Backtest
WFC	0.59	0.06	0.06	0.38	0.17	0.08	(0.77)	1.47	(1.37)	2.78	Backtest
ASBC	0.97	(0.05)	0.16	0.29	0.52	0.14	(1.30)	2.03	(0.93)	4.48	Backtest
TCBI	1.17	0.30	0.15	0.76	0.75	0.13	(1.39)	2.81	(1.99)	6.44	Backtest
FMER	0.94	0.12	0.16	0.39	0.42	0.25	(1.22)	2.52	(1.47)	5.46	Backtest
V	1.03	(0.08)	0.28	0.28	0.00	0.16	(1.30)	2.65	(1.08)	6.73	Backtest
JPM	0.95	0.11	0.13	0.42	0.47	0.14	(1.11)	1.99	(1.45)	3.77	Backtest
HDB	1.07	0.03	(0.04)	0.37	1.46	(0.05)	(1.11)	1.98	(2.45)	5.31	Backtest
GBCI	0.98	(0.13)	0.07	0.25	1.15	0.09	(1.24)	2.05	(0.94)	5.76	Backtest
FCNCA	0.66	0.19	0.19	0.59	0.00	0.14	(0.85)	1.82	(0.71)	2.83	Backtest
FULT	0.82	(0.02)	0.14	0.31	0.36	0.15	(1.04)	1.85	(0.87)	4.41	Backtest
SUSQ	1.33	(0.30)	(0.03)	0.16	1.44	(0.03)	(1.56)	2.15	(2.19)	5.50	Backtest
WTFC	0.83	(0.20)	(0.07)	0.18	0.85	(0.07)	(0.97)	1.43	(1.43)	3.91	Backtest
1398	0.81	0.15	0.08	0.43	0.37	0.08	(1.00)	2.55	(1.42)	3.96	Backtest

Theme Landscape

Risk and return landscape for Banks

Assets rated by market efficiency

Total return distribution analysis

Technical analysis of total daily returns

Banks Correlation Analysis

Correlation Matchups

High positive correlations

Insignificant Correlation

High negative correlations

Weakest Diversification

Strongest Diversification

Weakest Diversification

Assets performance indicators

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