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Theme Landscape

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This theme covers companies providing all types of insurance and insurance 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 Insurance

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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 *
AJG	Arthur J Gallagher Co	0.90%	0.42%	0.39%	45.52	Strong Hold
HTH	Hilltop Holdings Inc	0.68%	1.79%	1.22%	16.59	Hold
TMK	Torchmark Corp	0.61%	0.74%	0.46%	64.86	Strong Hold
AGO	Assured Guaranty Ltd	0.61%	1.70%	1.05%	23.95	Strong Hold
ORI	Old Republic International Corporation	0.57%	1.13%	0.65%	14.22	Strong Buy
BRK-A	Berkshire Hathaway Inc	0.51%	0.81%	0.42%	169,400	Strong Hold
CNA	CNA Financial Corporation	0.47%	1.00%	0.48%	34.94	Strong Hold
RLI	RLI Corp	0.45%	0.57%	0.26%	74.56	Strong Hold
ERIE	Erie Indemnity Company	0.45%	0.78%	0.36%	82.57	Strong Hold
ANAT	American National Insurance Co	0.44%	1.19%	0.53%	98.48	Hold
GNW	Genworth Financial Inc	0.43%	1.78%	0.77%	10.74	Strong Buy
BRO	Brown Brown Inc	0.42%	0.68%	0.29%	32.32	Strong Hold
CNO	CNO Financial Group Inc	0.41%	1.47%	0.62%	12.02	Strong Buy
SFG	StanCorp Financial Group Inc	0.39%	1.04%	0.42%	44.32	Strong Hold
AGII	Argo Group International Holdings Ltd	0.34%	1.96%	0.68%	44.89	Strong Hold
MBI	MBIA Inc	0.26%	9.89%	2.55%	15.35	Hold
PL	Protective Life Corporation	0.22%	1.21%	0.28%	38.85	Strong Buy
2628	China Life Insurance Co Ltd	0.19%	1.57%	0.31%	21.35	Strong Buy
TWGP	Tower Group Inc	0.13%	0.88%	0.12%	19.29	Strong Hold
NFP	National Financial Partners Corp	0.02%	0.32%	0.00%	25.18	Strong 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)

0.15

Beta (Market Sensitivity)

0.76

Efficiency (Sharpe Ratio)

0.51

Risk (Volatility)

0.81

Expected Return

0.42

Technical analysis of total daily returns

Risk Adjusted Performance	0.3622
Market Risk Adjusted Performance	0.7779
Mean Deviation	0.667
Downside Deviation	0.4996
Coefficient Of Variation	152.84
Standard Deviation	0.9073
Variance	0.8232
Information Ratio	0.2588
Jensen Alpha	0.3186
Total Risk Alpha	0.0057
Sortino Ratio	0.47
Treynor Ratio	0.7679
Maximum Drawdown	4.1
Value At Risk	(0.48)
Potential Upside	1.73

Insurance Correlation Analysis

	MBI	BRK-A	TMK	SFG	NFP	CNO	TWGP	GNW	2628	PL	AGII	AGO	BRO	RLI	HTH	ANAT	AJG	ERIE	ORI	CNA
MBI		0.38	0.1	0.08	-0.5	0.03	-0.12	0.16	0.55	0.15	-0.06	0.74	0.09	0.21	0.47	-0.14	0.22	-0.01	0.08	0.19
BRK-A	0.38		0.51	0.31	0.05	0.4	0.07	0.52	0.29	0.51	0.39	0.55	0.17	0.35	0.09	-0.05	0.29	0.08	0.27	0.43
TMK	0.1	0.51		0.72	0.34	0.77	0.27	0.44	0.08	0.77	0.32	0.3	0.61	0.6	0.18	0.31	0.42	0.34	0.69	0.59
SFG	0.08	0.31	0.72		0.25	0.79	0.4	0.56	0.09	0.69	0.52	0.09	0.28	0.64	0.21	0.17	0.29	0.19	0.77	0.66
NFP	-0.5	0.05	0.34	0.25		0.44	-0.05	-0.11	-0.53	0.34	0.38	-0.33	0.08	0.31	-0.21	0.17	0.11	0.38	0.39	0.22
CNO	0.03	0.4	0.77	0.79	0.44		0.16	0.45	0.06	0.82	0.52	0.12	0.44	0.68	0.18	0.19	0.48	0.15	0.59	0.52
TWGP	-0.12	0.07	0.27	0.4	-0.05	0.16		0.06	0.21	0.3	-0.07	-0.15	0.12	0.11	0.31	0.26	-0.15	-0.25	0.21	0.22
GNW	0.16	0.52	0.44	0.56	-0.11	0.45	0.06		0.11	0.38	0.38	0.21	0.18	0.47	-0.01	0.27	0.18	0.13	0.46	0.63
2628	0.55	0.29	0.08	0.09	-0.53	0.06	0.21	0.11		0.29	0.03	0.33	0.21	-0.02	0.12	-0.13	0.09	-0.37	-0.05	0.03
PL	0.15	0.51	0.77	0.69	0.34	0.82	0.3	0.38	0.29		0.46	0.13	0.49	0.6	0.23	0.01	0.57	0.02	0.58	0.54
AGII	-0.06	0.39	0.32	0.52	0.38	0.52	-0.07	0.38	0.03	0.46		-0.15	0.16	0.71	-0.27	0.12	0.37	0.18	0.37	0.44
AGO	0.74	0.55	0.3	0.09	-0.33	0.12	-0.15	0.21	0.33	0.13	-0.15		0.16	0.05	0.47	-0.14	0.13	-0.04	0.08	0.13
BRO	0.09	0.17	0.61	0.28	0.08	0.44	0.12	0.18	0.21	0.49	0.16	0.16		0.27	0.26	0.44	0.67	0.27	0.43	0.21
RLI	0.21	0.35	0.6	0.64	0.31	0.68	0.11	0.47	-0.02	0.6	0.71	0.05	0.27		0.09	0.27	0.39	0.25	0.55	0.53
HTH	0.47	0.09	0.18	0.21	-0.21	0.18	0.31	-0.01	0.12	0.23	-0.27	0.47	0.26	0.09		-0.09	0.26	-0.11	0.02	0.17
ANAT	-0.14	-0.05	0.31	0.17	0.17	0.19	0.26	0.27	-0.13	0.01	0.12	-0.14	0.44	0.27	-0.09		0.1	0.31	0.22	0.34
AJG	0.22	0.29	0.42	0.29	0.11	0.48	-0.15	0.18	0.09	0.57	0.37	0.13	0.67	0.39	0.26	0.1		0.14	0.27	0.22
ERIE	-0.01	0.08	0.34	0.19	0.38	0.15	-0.25	0.13	-0.37	0.02	0.18	-0.04	0.27	0.25	-0.11	0.31	0.14		0.53	0.38
ORI	0.08	0.27	0.69	0.77	0.39	0.59	0.21	0.46	-0.05	0.58	0.37	0.08	0.43	0.55	0.02	0.22	0.27	0.53		0.52
CNA	0.19	0.43	0.59	0.66	0.22	0.52	0.22	0.63	0.03	0.54	0.44	0.13	0.21	0.53	0.17	0.34	0.22	0.38	0.52

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Correlation Matchups

High positive correlations

PL	+ 0.82	CNO
CNO	+ 0.79	SFG
CNO	+ 0.77	TMK
PL	+ 0.77	TMK
ORI	+ 0.77	SFG
AGO	+ 0.74	MBI
SFG	+ 0.72	TMK
RLI	+ 0.71	AGII

Insignificant Correlation

ERIE	- 0.01	MBI
HTH	- 0.01	GNW
RLI	- 0.02	2628
ERIE	- 0.04	AGO

ANAT	+ 0.01	PL
ORI	+ 0.02	HTH
ERIE	+ 0.02	PL
CNA	+ 0.03	2628

High negative correlations

2628	- 0.53	NFP
NFP	- 0.5	MBI
ERIE	- 0.37	2628
AGO	- 0.33	NFP
HTH	- 0.27	AGII
ERIE	- 0.25	TWGP
HTH	- 0.21	NFP
AGO	- 0.15	AGII

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
MBI	5.01	2.64	0.74	(8.75)	1.66	0.22	(6.44)	8.26	(4.12)	47.16	Backtest
BRK-A	0.72	0.11	0.14	0.48	0.00	0.08	(1.14)	1.68	(0.57)	3.13	Backtest
TMK	0.60	0.06	0.13	0.40	0.00	0.13	(0.87)	1.45	(1.22)	2.74	Backtest
SFG	0.83	0.03	0.07	0.37	0.00	0.05	(1.06)	2.30	(1.20)	4.39	Backtest
NFP	0.23	(0.13)	(0.90)	(0.02)	0.33	(1.07)	(0.25)	0.52	(0.59)	1.42	Backtest
CNO	1.22	(0.16)	0.20	0.28	0.62	0.17	(1.70)	2.72	(1.07)	5.17	Backtest
TWGP	0.85	0.12	(0.17)	1.39	0.99	(0.19)	(0.98)	2.09	(2.22)	3.22	Backtest
GNW	1.46	0.29	0.23	0.57	1.19	0.23	(1.90)	3.29	(2.15)	6.67	Backtest
2628	1.35	0.02	0.00	0.38	1.19	0.0029	(1.90)	4.23	(3.15)	7.38	Backtest
PL	1.02	(0.31)	(0.06)	0.16	0.98	(0.06)	(1.14)	2.15	(1.45)	4.71	Backtest
AGII	1.38	0.09	0.34	0.40	0.00	0.16	(2.07)	3.01	(1.15)	9.13	Backtest
AGO	1.33	0.87	0.79	2.17	0.00	0.40	(1.89)	3.09	(1.11)	8.03	Backtest
BRO	0.60	0.08	(0.10)	0.50	0.00	(0.09)	(0.77)	1.09	(0.68)	2.42	Backtest
RLI	0.42	0.02	(0.18)	0.38	0.00	(0.17)	(0.49)	1.26	(0.50)	2.19	Backtest
HTH	1.35	1.17	0.60	11.03	0.00	0.47	(2.12)	4.75	(1.19)	4.82	Backtest
ANAT	0.91	0.44	0.23	2.09	0.00	0.14	(1.01)	2.91	(0.83)	5.10	Backtest
AJG	0.36	0.26	0.43	1.09	0.00	0.07	(0.55)	1.14	(0.07)	1.36	Backtest
ERIE	0.63	0.12	0.00	0.53	0.00	0.0004	(0.76)	1.57	(0.69)	3.44	Backtest
ORI	0.85	0.17	0.17	0.47	0.54	0.25	(1.10)	2.12	(1.48)	4.77	Backtest
CNA	0.72	0.19	0.11	0.57	0.00	0.12	(0.87)	1.83	(1.21)	4.78	Backtest

Theme Landscape

Risk and return landscape for Insurance

Assets rated by market efficiency

Total return distribution analysis

Technical analysis of total daily returns

Insurance 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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