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Theme Landscape

Investment horizon:

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This theme covers major hospitals and healthcare providers 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 Health Management

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Assets rated by market efficiency

		Efficiency (Sharpe Ratio)	Risk (Volatility)	Expected Return	Current Price	Advice *
MOH	Molina Healthcare Inc	0.53%	1.27%	0.68%	38.21	Strong Hold
HNT	Health Net Inc	0.46%	1.28%	0.61%	31.68	Strong Hold
WBMD	WebMD Health Corp	0.32%	2.79%	0.89%	28.27	Strong Buy
CNC	Centene Corp	0.32%	1.09%	0.36%	51.34	Buy
QSII	Quality Systems Inc	0.30%	1.17%	0.36%	18.59	Strong Buy
CVH	Coventry Health Care Inc	0.26%	0.45%	0.12%	49.99	Sell
MDSO	Medidata Solutions Inc	0.24%	4.60%	1.14%	67.54	Strong Buy
UHS	Universal Health Services Inc	0.21%	1.29%	0.28%	67.02	Strong Buy
NHI	National Health Investors Inc	0.21%	1.30%	0.29%	68.19	Strong Buy
LPNT	Lifepoint Hospitals Inc	0.19%	1.46%	0.29%	48.09	Strong Buy
AMSG	AmSurg Corp	0.18%	1.34%	0.25%	36.04	Strong Buy
MGLN	Magellan Health Services Inc	0.17%	1.28%	0.23%	53.61	Strong Buy
MPW	Medical Properties Trust Inc	0.16%	1.51%	0.25%	16.55	Strong Buy
KOVAI	Kovai Medical Center Hospital Ltd	0.14%	2.07%	0.29%	169.00	Hold
LTC	LTC Properties Inc	0.08%	1.23%	0.10%	45.68	Strong Buy
SEM	Select Medical Holdings Corporation	0.06%	2.30%	0.12%	8.03	Strong Hold
HR	Healthcare Realty Trust Incorporated	0.11%	1.23%	0.13%	27.69	Strong Buy
MDAS	MedAssets Inc	0.12%	1.47%	0.16%	17.26	Strong Buy
CHE	Chemed Corp	0.16%	3.83%	0.62%	67.73	Strong Sell
WCG	WellCare Health Plans Inc	0.31%	1.58%	0.49%	52.63	Strong Hold

* 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)

0.93

Efficiency (Sharpe Ratio)

0.29

Risk (Volatility)

0.82

Expected Return

0.25

Technical analysis of total daily returns

Risk Adjusted Performance	0.1588
Market Risk Adjusted Performance	0.2485
Mean Deviation	0.6571
Semi-Deviation	0.4887
Downside Deviation	0.7473
Coefficient Of Variation	363.97
Standard Deviation	0.8437
Variance	0.7119
Information Ratio	0.0175
Jensen Alpha	0.0293
Total Risk Alpha	(0.09)
Sortino Ratio	0.0198
Treynor Ratio	0.2385
Maximum Drawdown	3.13
Value At Risk	(1.05)

Health Management Correlation Analysis

	MPW	AMSG	WBMD	MDSO	HR	QSII	CVH	SEM	HNT	MOH	CNC	CHE	LPNT	NHI	MDAS	WCG	LTC	MGLN
MPW		0.73	0.44	0.31	0.79	0.29	0.01	0.09	0.25	0.14	0.19	0.01	0.29	0.79	0.36	0.23	0.68	0.4
AMSG	0.73		0.36	0.18	0.46	0.45	-0.18	0.17	0.23	0.46	0.36	-0.12	0.23	0.45	0.3	0.43	0.41	0.42
WBMD	0.44	0.36		0.13	0.33	-0.09	0.09	-0.02	0.38	0.31	0.21	-0.17	0.23	0.48	0.51	0.24	0.33	0.08
MDSO	0.31	0.18	0.13		0.35	-0.12	-0.13	-0.13	0.69	-0.01	-0.14	0.06	0.72	0.12	0.46	0.22	0.27	-0.06
HR	0.79	0.46	0.33	0.35		0.27	0.23	0.15	0.07	-0.06	-0.06	0.13	0.39	0.76	0.44	0.25	0.68	0.23
QSII	0.29	0.45	-0.09	-0.12	0.27		-0.09	0.6	-0.21	0.48	0.42	0.23	-0.08	0.23	0.04	0.28	0.34	0.09
CVH	0.01	-0.18	0.09	-0.13	0.23	-0.09		-0.14	0.05	-0.27	-0.06	-0.33	-0.1	0.05	0.11	0.08	-0.09	0.0
SEM	0.09	0.17	-0.02	-0.13	0.15	0.6	-0.14		-0.26	0.58	0.25	0.43	0.2	0.05	0.08	0.51	0.11	0.36
HNT	0.25	0.23	0.38	0.69	0.07	-0.21	0.05	-0.26		0.11	0.09	-0.18	0.57	0.1	0.47	0.29	0.21	0.03
MOH	0.14	0.46	0.31	-0.01	-0.06	0.48	-0.27	0.58	0.11		0.7	0.15	0.16	-0.02	0.26	0.63	0.12	0.27
CNC	0.19	0.36	0.21	-0.14	-0.06	0.42	-0.06	0.25	0.09	0.7		-0.29	-0.24	0.13	0.19	0.23	0.02	-0.06
CHE	0.01	-0.12	-0.17	0.06	0.13	0.23	-0.33	0.43	-0.18	0.15	-0.29		0.22	-0.15	-0.12	0.13	0.19	0.19
LPNT	0.29	0.23	0.23	0.72	0.39	-0.08	-0.1	0.2	0.57	0.16	-0.24	0.22		0.24	0.4	0.45	0.31	0.32
NHI	0.79	0.45	0.48	0.12	0.76	0.23	0.05	0.05	0.1	-0.02	0.13	-0.15	0.24		0.34	0.02	0.7	0.19
MDAS	0.36	0.3	0.51	0.46	0.44	0.04	0.11	0.08	0.47	0.26	0.19	-0.12	0.4	0.34		0.51	0.36	0.12
WCG	0.23	0.43	0.24	0.22	0.25	0.28	0.08	0.51	0.29	0.63	0.23	0.13	0.45	0.02	0.51		0.24	0.65
LTC	0.68	0.41	0.33	0.27	0.68	0.34	-0.09	0.11	0.21	0.12	0.02	0.19	0.31	0.7	0.36	0.24		0.26
MGLN	0.4	0.42	0.08	-0.06	0.23	0.09	0.0	0.36	0.03	0.27	-0.06	0.19	0.32	0.19	0.12	0.65	0.26

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Correlation Matchups

High positive correlations

HR	+ 0.79	MPW
NHI	+ 0.79	MPW
NHI	+ 0.76	HR
AMSG	+ 0.73	MPW
LPNT	+ 0.72	MDSO
CNC	+ 0.7	MOH
LTC	+ 0.7	NHI
HNT	+ 0.69	MDSO

Insignificant Correlation

MGLN	- 0.0	CVH
MOH	- 0.01	MDSO
SEM	- 0.02	WBMD
NHI	- 0.02	MOH

MGLN	+ 0.0	CVH
CHE	+ 0.01	MPW
CVH	+ 0.01	MPW
WCG	+ 0.02	NHI

High negative correlations

CHE	- 0.33	CVH
CHE	- 0.29	CNC
MOH	- 0.27	CVH
HNT	- 0.26	SEM
LPNT	- 0.24	CNC
HNT	- 0.21	QSII
CHE	- 0.18	HNT
CVH	- 0.18	AMSG

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
MPW	1.20	(0.22)	0.02	0.11	1.77	0.02	(1.11)	1.99	(2.93)	4.42	Backtest
AMSG	1.04	(0.11)	0.02	0.14	1.26	0.03	(1.12)	1.57	(2.50)	4.35	Backtest
WBMD	2.01	0.44	0.30	0.41	1.65	0.24	(2.57)	3.94	(2.19)	10.79	Backtest
MDSO	2.28	0.68	0.40	0.53	1.15	0.20	(2.65)	2.81	(3.27)	24.41	Backtest
UHS	1.01	0.15	0.06	0.46	0.75	0.05	(1.18)	2.10	(1.66)	5.55	Backtest
HR	0.88	(0.42)	(0.22)	(0.10)	1.62	(0.27)	(0.74)	1.59	(1.65)	3.74	Backtest
QSII	0.97	0.22	0.12	0.55	0.56	0.12	(1.13)	2.14	(1.30)	4.29	Backtest
CVH	0.53	0.27	0.10	(6.60)	0.00	0.09	(0.67)	1.33	(0.67)	1.90	Backtest
SEM	1.80	(0.21)	(0.13)	(0.31)	2.55	(0.14)	(2.31)	3.47	(3.07)	9.23	Backtest
HNT	0.98	0.45	0.62	0.83	0.00	0.30	(1.46)	2.57	(0.94)	5.89	Backtest
MOH	1.05	0.58	0.61	1.56	0.00	0.36	(1.34)	2.93	(0.96)	4.74	Backtest
CNC	0.78	0.29	0.09	1.25	1.15	0.13	(0.89)	1.49	(1.23)	5.49	Backtest
CHE	2.02	(0.38)	(0.12)	0.53	7.26	(0.21)	(0.92)	1.89	(4.74)	18.75	Backtest
LPNT	0.98	0.07	0.08	0.28	0.66	0.05	(1.37)	2.29	(1.00)	7.56	Backtest
NHI	0.96	(0.07)	0.04	0.17	1.34	0.05	(0.97)	2.01	(2.02)	3.32	Backtest
KOVAI	1.39	0.42	0.04	(0.76)	1.36	0.05	(2.98)	6.09	(4.93)	11.02	Backtest
MDAS	1.18	(0.42)	(0.20)	(0.15)	1.99	(0.25)	(1.00)	1.68	(2.99)	4.89	Backtest
WCG	1.23	(0.72)	(0.36)	(0.45)	2.35	(0.43)	(1.20)	2.27	(3.51)	6.44	Backtest
LTC	0.96	(0.20)	(0.07)	0.07	1.38	(0.09)	(0.92)	1.83	(1.74)	3.17	Backtest
MGLN	1.02	(0.04)	0.01	0.18	1.43	0.01	(1.03)	1.75	(2.09)	5.51	Backtest

Theme Landscape

Risk and return landscape for Health Management

Assets rated by market efficiency

Total return distribution analysis

Technical analysis of total daily returns

Health Management 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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