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Theme Landscape

Investment horizon: 
  30 Days    Login   to change
United States
US
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This theme covers funds or etfs that invest in debt that is expected to be converted into a predetermined amount of the company equity at some future date 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 Convertibles

    
Saving AccountMarketTheme EquitiesHypothetical Portfolio
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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 ReturnCurrent PriceAdvice *
RGCBX
RBC BlueBay Global Convertible Bd IPrice Moved Up 0.97%   Price Moved Down 0.13%   Price Moved Up 0.14%    11.47   
PFCAX
PIMCO Convertible AdminPrice Moved Up 0.90%   Price Moved Down 0.27%   Price Moved Up 0.26%    15.11   
HRCSX
Harbor Convertible Securities AdmPrice Moved Up 0.90%   Price Moved Down 0.19%   Price Moved Up 0.18%    10.61   
PFCIX
PIMCO Convertible InstlPrice Moved Up 0.90%   Price Moved Down 0.27%   Price Moved Up 0.25%    14.63   
PCVDX
PIMCO Convertible DPrice Moved Up 0.87%   Price Moved Down 0.28%   Price Moved Up 0.25%    14.60   
HICSX
Harbor Convertible Securities InvestorPrice Moved Up 0.81%   Price Moved Down 0.20%   Price Moved Up 0.17%    10.61   
HACSX
Harbor Convertible Securities InstlPrice Moved Up 0.80%   Price Moved Down 0.21%   Price Moved Up 0.18%    10.62   
ANNPX
AllianzGI Convertible InstitutionalPrice Moved Up 0.74%   Price Moved Down 0.43%   Price Moved Up 0.33%    32.49   
ANCMX
AllianzGI Convertible PPrice Moved Up 0.73%   Price Moved Down 0.46%   Price Moved Up 0.34%    32.54   
ANZDX
AllianzGI Convertible DPrice Moved Up 0.72%   Price Moved Down 0.46%   Price Moved Up 0.34%    32.57   
ANNAX
AllianzGI Convertible AdministrativePrice Moved Up 0.72%   Price Moved Down 0.44%   Price Moved Up 0.33%    32.54   
* 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   
α
  Alpha (Return Over Market) 0.12  
β
  Beta (Market Sensitivity) 0.39  
s
  Efficiency (Sharpe Ratio) 0.77  
σ
  Risk (Volatility) 0.30  
μ
  Expected Return 0.24  

Technical analysis of total daily returns

Risk Adjusted Performance0.4492
Market Risk Adjusted Performance0.489
Mean Deviation0.1723
Semi-Deviation0.0
Downside Deviation0.0
Coefficient Of Variation117.01
Standard Deviation0.2303
Variance0.053
Information Ratio(0.46)
Jensen Alpha0.0729
Total Risk Alpha0.0626
Sortino Ratio0.0
Treynor Ratio0.479
Maximum Drawdown0.93
Value At Risk(0.16)

Convertibles Correlation Analysis

HICSX
PCVDX
ANZDX
ANCMX
RGCBX
ANNAX
PFCAX
HRCSX
HACSX
ANNPX
PFCIX
HICSX
0.850.840.850.510.850.850.950.980.850.86
PCVDX
0.850.880.880.490.880.990.830.870.880.99
ANZDX
0.840.881.00.410.990.870.870.850.990.89
ANCMX
0.850.881.00.420.990.870.870.850.990.89
RGCBX
0.510.490.410.420.420.480.510.470.410.5
ANNAX
0.850.880.990.990.420.870.870.861.00.89
PFCAX
0.850.990.870.870.480.870.820.870.870.99
HRCSX
0.950.830.870.870.510.870.820.950.870.83
HACSX
0.980.870.850.850.470.860.870.950.850.88
ANNPX
0.850.880.990.990.411.00.870.870.850.89
PFCIX
0.860.990.890.890.50.890.990.830.880.89

      Click cells to compare fundamentals
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Correlation Matchups

High positive correlations

 ANCMX
+ 1.0
ANZDX  
 ANNPX
+ 1.0
ANNAX  
 PFCAX
+ 0.99
PCVDX  
 PFCIX
+ 0.99
PCVDX  
 ANNAX
+ 0.99
ANZDX  
 ANNPX
+ 0.99
ANZDX  
 ANNAX
+ 0.99
ANCMX  
 ANNPX
+ 0.99
ANCMX  
   

Insignificant Correlation

Not Found
   

High negative correlations

Not Found

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
HICSX 0.17  0.07  0.00 0.53  0.00(0.61) 0.00 0.49 (0.19) 0.78 
Backtest
PCVDX 0.22  0.11  0.00 0.53  0.00(0.17) 0.00 0.79 (0.07) 1.14 
Backtest
ANZDX 0.34  0.10  0.08  0.42  0.00 0.08 (0.51) 1.11 (0.43) 1.92 
Backtest
ANCMX 0.34  0.11  0.09  0.43  0.00 0.08 (0.51) 1.11 (0.43) 1.92 
Backtest
RGCBX 0.11  0.11  0.00 1.82  0.00(1.23) 0.00 0.36  0.00 0.45 
Backtest
ANNAX 0.33  0.09  0.05  0.41  0.00 0.05 (0.49) 1.08 (0.43) 1.66 
Backtest
PFCAX 0.22  0.12  0.00 0.56  0.00(0.17) 0.00 0.76  0.00 1.10 
Backtest
HRCSX 0.14  0.08  0.00 0.58  0.00(0.64) 0.00 0.48 (0.19) 0.78 
Backtest
HACSX 0.17  0.07 (0.49) 0.51  0.00(0.57)(0.26) 0.49 (0.19) 0.78 
Backtest
ANNPX 0.32  0.10  0.06  0.43  0.00 0.06 (0.49) 1.06 (0.40) 1.63 
Backtest
PFCIX 0.21  0.11  0.00 0.54  0.00(0.17) 0.00 0.72  0.00 1.07 
Backtest
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