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Theme Landscape

Investment horizon:

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This theme covers companies involved in medical and pharmaceutical drug research, manufacturing, and delivery 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 Drugs

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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 *
SLXP	Salix Pharmaceuticals Ltd	0.60%	1.35%	0.82%	60.39	Buy
LH	Laboratory Corp of America Holdings	0.43%	0.70%	0.31%	100.37	Hold
WCRX	Warner Chilcott plc	0.40%	4.35%	1.76%	19.96	Strong Hold
ALGN	Align Technology Inc	0.33%	1.83%	0.61%	36.70	Strong Buy
OMI	Owens Minor Inc	0.31%	1.01%	0.32%	34.76	Not Rated
CYBX	Cyberonics Inc	0.29%	1.58%	0.46%	47.73	Strong Buy
TECH	Techne Corp	0.27%	0.65%	0.18%	66.64	Strong Buy
MASI	Masimo Corporation	0.26%	1.70%	0.45%	21.71	Strong Buy
ELN	Elan Corporation plc	0.23%	1.15%	0.27%	12.47	Strong Hold
GSK	GlaxoSmithKline plc	0.13%	0.72%	0.10%	52.97	Strong Hold
MSA	Mine Safety Appliances Co	0.11%	1.38%	0.16%	49.04	Strong Buy
MTD	MettlerToledo International Inc	0.11%	1.98%	0.23%	221.97	Strong Buy
JNJ	Johnson Johnson	0.10%	0.74%	0.09%	86.82	Strong Buy
NVS	Novartis AG	0.09%	0.80%	0.08%	74.36	Strong Buy
SNY	Sanofi	0.08%	1.73%	0.15%	54.86	Strong Buy
MRK	Merck Co Inc	0.01%	1.48%	0.01%	47.16	Strong Buy
AKRX	Akorn Inc	0.05%	2.12%	0.10%	14.59	Strong Hold
ISIS	Isis Pharmaceuticals Inc	0.08%	3.29%	0.25%	20.98	Strong Hold
PFE	Pfizer Inc	0.13%	1.42%	0.18%	29.04	Hold
THOR	Thoratec Corp	0.25%	2.76%	0.69%	31.39	Strong Sell

* 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)

0.96

Efficiency (Sharpe Ratio)

0.29

Risk (Volatility)

0.77

Expected Return

0.23

Technical analysis of total daily returns

Risk Adjusted Performance	0.1663
Market Risk Adjusted Performance	0.2472
Mean Deviation	0.5657
Semi-Deviation	0.2819
Downside Deviation	0.7768
Coefficient Of Variation	352.61
Standard Deviation	0.8382
Variance	0.7026
Information Ratio	0.0655
Jensen Alpha	0.0618
Total Risk Alpha	(0.02)
Sortino Ratio	0.0706
Treynor Ratio	0.2372
Maximum Drawdown	3.97
Value At Risk	(1.17)

Drugs Correlation Analysis

	MASI	ALGN	AKRX	ELN	PFE	SLXP	MSA	GSK	MTD	CYBX	JNJ	WCRX	ISIS	MRK	TECH	THOR	LH	SNY	OMI	NVS
MASI		0.24	0.18	-0.04	-0.17	0.37	0.8	-0.24	0.74	0.12	0.37	0.16	0.11	0.06	0.22	-0.49	0.07	0.28	0.55	0.06
ALGN	0.24		-0.19	0.08	0.15	0.16	0.28	0.07	0.29	0.19	0.02	0.43	-0.01	-0.01	0.24	0.1	0.41	-0.2	0.17	0.05
AKRX	0.18	-0.19		0.2	0.11	0.25	0.06	0.03	0.38	0.39	0.19	0.29	0.35	0.04	-0.1	-0.18	0.38	0.23	0.4	0.12
ELN	-0.04	0.08	0.2		0.14	0.01	0.06	0.23	-0.05	0.06	-0.15	0.22	0.02	0.11	-0.31	0.18	0.38	0.06	0.3	0.01
PFE	-0.17	0.15	0.11	0.14		0.33	-0.23	0.53	-0.08	0.35	0.01	0.36	0.1	0.34	0.2	0.33	0.11	0.12	-0.19	0.1
SLXP	0.37	0.16	0.25	0.01	0.33		0.38	0.58	0.33	0.46	0.4	0.77	0.46	0.36	0.06	0.02	0.11	0.33	0.29	0.33
MSA	0.8	0.28	0.06	0.06	-0.23	0.38		0.03	0.69	0.14	0.46	0.11	0.31	0.21	0.2	-0.21	0.23	0.23	0.6	0.13
GSK	-0.24	0.07	0.03	0.23	0.53	0.58	0.03		-0.13	0.33	0.45	0.5	0.45	0.45	-0.1	0.3	0.13	0.31	0.0	0.32
MTD	0.74	0.29	0.38	-0.05	-0.08	0.33	0.69	-0.13		0.05	0.21	0.22	0.15	0.06	0.11	-0.43	0.24	0.0	0.55	0.13
CYBX	0.12	0.19	0.39	0.06	0.35	0.46	0.14	0.33	0.05		0.49	0.59	0.22	0.35	0.37	0.32	0.3	0.43	0.35	0.12
JNJ	0.37	0.02	0.19	-0.15	0.01	0.4	0.46	0.45	0.21	0.49		0.28	0.41	0.39	0.22	-0.06	0.18	0.66	0.54	0.33
WCRX	0.16	0.43	0.29	0.22	0.36	0.77	0.11	0.5	0.22	0.59	0.28		0.3	0.28	0.04	0.11	0.34	0.14	0.28	0.29
ISIS	0.11	-0.01	0.35	0.02	0.1	0.46	0.31	0.45	0.15	0.22	0.41	0.3		0.31	-0.24	-0.03	0.28	0.11	0.25	-0.23
MRK	0.06	-0.01	0.04	0.11	0.34	0.36	0.21	0.45	0.06	0.35	0.39	0.28	0.31		0.12	0.29	0.25	0.42	0.39	0.11
TECH	0.22	0.24	-0.1	-0.31	0.2	0.06	0.2	-0.1	0.11	0.37	0.22	0.04	-0.24	0.12		0.11	0.05	0.28	0.22	0.27
THOR	-0.49	0.1	-0.18	0.18	0.33	0.02	-0.21	0.3	-0.43	0.32	-0.06	0.11	-0.03	0.29	0.11		0.15	0.16	0.06	0.19
LH	0.07	0.41	0.38	0.38	0.11	0.11	0.23	0.13	0.24	0.3	0.18	0.34	0.28	0.25	0.05	0.15		0.03	0.49	0.06
SNY	0.28	-0.2	0.23	0.06	0.12	0.33	0.23	0.31	0.0	0.43	0.66	0.14	0.11	0.42	0.28	0.16	0.03		0.51	0.45
OMI	0.55	0.17	0.4	0.3	-0.19	0.29	0.6	0.0	0.55	0.35	0.54	0.28	0.25	0.39	0.22	0.06	0.49	0.51		0.29
NVS	0.06	0.05	0.12	0.01	0.1	0.33	0.13	0.32	0.13	0.12	0.33	0.29	-0.23	0.11	0.27	0.19	0.06	0.45	0.29

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Correlation Matchups

High positive correlations

MSA	+ 0.8	MASI
WCRX	+ 0.77	SLXP
MTD	+ 0.74	MASI
MTD	+ 0.69	MSA
SNY	+ 0.66	JNJ
OMI	+ 0.6	MSA
WCRX	+ 0.59	CYBX
GSK	+ 0.58	SLXP

Insignificant Correlation

OMI	- 0.0	GSK
SNY	- 0.0	MTD
ISIS	- 0.01	ALGN
MRK	- 0.01	ALGN

SNY	+ 0.0	MTD
OMI	+ 0.0	GSK
JNJ	+ 0.01	PFE
NVS	+ 0.01	ELN

High negative correlations

THOR	- 0.49	MASI
THOR	- 0.43	MTD
TECH	- 0.31	ELN
TECH	- 0.24	ISIS
GSK	- 0.24	MASI
NVS	- 0.23	ISIS
MSA	- 0.23	PFE
THOR	- 0.21	MSA

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
MASI	1.24	0.09	0.27	0.22	0.66	0.16	(1.82)	2.16	(1.61)	8.46	Backtest
ALGN	1.36	0.44	0.30	0.65	0.77	0.23	(1.72)	3.52	(2.13)	7.84	Backtest
AKRX	1.45	(0.36)	(0.08)	(0.08)	3.48	(0.13)	(1.31)	2.38	(2.39)	9.91	Backtest
ELN	0.86	0.31	0.09	(0.91)	0.50	0.08	(1.03)	2.66	(1.38)	3.52	Backtest
PFE	1.02	(0.15)	(0.21)	0.75	1.85	(0.25)	(0.99)	1.81	(1.06)	6.16	Backtest
SLXP	0.95	0.65	0.62	0.89	0.00	0.46	(1.20)	2.47	(0.89)	6.47	Backtest
MSA	1.08	(0.18)	(0.01)	0.08	1.33	(0.01)	(1.15)	2.21	(1.62)	5.98	Backtest
GSK	0.54	0.07	(0.12)	0.67	0.47	(0.11)	(0.65)	1.43	(0.86)	2.48	Backtest
MTD	1.41	(0.19)	0.03	0.09	1.46	0.02	(1.62)	2.97	(2.99)	9.18	Backtest
CYBX	1.27	0.24	0.23	0.37	0.79	0.17	(1.72)	2.79	(1.25)	7.32	Backtest
JNJ	0.61	(0.09)	(0.13)	0.08	0.64	(0.13)	(0.76)	1.10	(1.25)	2.72	Backtest
WCRX	2.42	1.47	1.38	1.06	0.00	0.35	(3.15)	5.15	(1.23)	21.73	Backtest
ISIS	2.44	(0.70)	(0.09)	(0.10)	4.99	(0.13)	(1.95)	4.09	(5.90)	14.32	Backtest
MRK	1.07	(0.12)	(0.14)	(0.03)	1.40	(0.13)	(1.17)	1.33	(1.71)	6.00	Backtest
TECH	0.49	0.10	0.00	0.43	0.22	0.0015	(0.58)	1.43	(0.72)	2.80	Backtest
THOR	1.91	(0.59)	(0.22)	1.09	4.83	(0.31)	(1.21)	2.10	(3.83)	12.86	Backtest
LH	0.62	0.23	0.23	0.70	0.00	0.18	(0.88)	1.32	(0.82)	2.15	Backtest
SNY	1.26	(0.08)	(0.02)	0.11	1.55	(0.02)	(1.53)	2.25	(2.11)	8.70	Backtest
OMI	0.76	0.09	0.10	0.24	0.76	0.14	(0.84)	1.76	(1.04)	3.32	Backtest
NVS	0.61	0.02	(0.16)	0.22	0.50	(0.12)	(0.81)	1.22	(1.07)	3.37	Backtest

Theme Landscape

Risk and return landscape for Drugs

Assets rated by market efficiency

Total return distribution analysis

Technical analysis of total daily returns

Drugs 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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