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Theme Landscape

Investment horizon:

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This theme covers companies involved in production of steel and iron 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 Iron

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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 *
CMC	Commercial Metals Company	0.48%	1.42%	0.69%	15.96	Strong Hold
IIIN	Insteel Industries Inc	0.45%	1.76%	0.80%	18.32	Strong Buy
TX	Ternium SA	0.43%	1.97%	0.86%	24.13	Strong Sell
STLD	Steel Dynamics Inc	0.32%	1.60%	0.52%	16.04	Strong Buy
NUE	Nucor Corporation	0.30%	1.36%	0.42%	47.10	Strong Buy
X	United States Steel Corp	0.27%	2.73%	0.76%	19.11	Strong Buy
SYNL	Synalloy Corp	0.24%	1.07%	0.27%	14.38	Strong Buy
SUTR	Sutor Technology Group Limited	0.24%	5.08%	1.23%	1.92	Strong Sell
FRD	Friedman Industries Incorporated	0.18%	1.43%	0.26%	9.71	Strong Hold
TS	Tenaris SA	0.15%	1.34%	0.22%	43.19	Buy
SXC	SunCoke Energy Inc	0.14%	1.72%	0.26%	16.19	Buy
AAST	Allied American Steel Corp	0.13%	44.03%	5.71%	0.02	Strong Hold
PKX	POSCO	0.11%	1.05%	0.12%	72.66	Strong Buy
KYCN	Keystone Consolidated Industries Inc	0.10%	5.26%	0.55%	9.05	Strong Buy
SIM	Grupo Simec SAB de CV	0.09%	1.61%	0.15%	14.35	Strong Buy
AWSH	American Wenshen Steel Group Inc	0.00%	0.00%	0.00%	0.00	Not Rated
USAP	Universal Stainless Alloy Products Inc	0.02%	2.10%	0.04%	32.67	Buy
ROCK	Gibraltar Industries Inc	0.05%	2.26%	0.11%	17.02	Strong Hold
GGB	Gerdau SA	0.32%	1.56%	0.49%	6.89	Strong Buy
SID	Companhia Siderurgica Nacional	0.36%	1.75%	0.63%	3.47	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)

(0.04)

Beta (Market Sensitivity)

1.14

Efficiency (Sharpe Ratio)

0.30

Risk (Volatility)

1.01

Expected Return

0.31

Technical analysis of total daily returns

Risk Adjusted Performance	0.1349
Market Risk Adjusted Performance	0.5087
Mean Deviation	1.78
Semi-Deviation	1.52
Downside Deviation	2.0
Coefficient Of Variation	435.84
Standard Deviation	2.52
Variance	6.36
Information Ratio	0.1072
Jensen Alpha	0.2287
Total Risk Alpha	(0.79)
Sortino Ratio	0.1353
Treynor Ratio	0.4987
Maximum Drawdown	9.19
Value At Risk	(3.32)

Iron Correlation Analysis

	USAP	GGB	FRD	NUE	SXC	SIM	TS	SID	STLD	KYCN	CMC	IIIN	TX	ROCK	SYNL	X	PKX	SUTR
USAP		0.28	0.09	0.52	0.22	0.45	0.5	0.18	0.58	0.01	0.57	0.48	0.2	0.38	0.12	0.47	0.47	0.0
GGB	0.28		-0.21	0.43	0.46	0.22	0.35	0.61	0.53	0.33	0.32	0.43	0.26	0.2	-0.14	0.36	0.45	-0.02
FRD	0.09	-0.21		0.22	-0.21	0.05	0.15	0.11	0.27	0.35	0.51	0.08	0.11	0.09	0.0	0.33	0.15	-0.37
NUE	0.52	0.43	0.22		0.65	0.61	0.4	0.41	0.89	-0.06	0.71	0.6	0.1	0.16	-0.12	0.8	0.77	-0.35
SXC	0.22	0.46	-0.21	0.65		0.47	0.23	0.45	0.67	0.06	0.25	0.39	0.03	0.18	-0.14	0.56	0.61	-0.35
SIM	0.45	0.22	0.05	0.61	0.47		0.1	0.01	0.55	0.05	0.42	0.41	-0.22	0.21	0.01	0.47	0.67	0.03
TS	0.5	0.35	0.15	0.4	0.23	0.1		0.35	0.42	0.15	0.36	0.36	0.38	0.78	-0.38	0.52	0.35	-0.27
SID	0.18	0.61	0.11	0.41	0.45	0.01	0.35		0.54	0.34	0.46	0.17	0.53	0.02	-0.25	0.4	0.44	-0.19
STLD	0.58	0.53	0.27	0.89	0.67	0.55	0.42	0.54		0.05	0.8	0.47	0.12	0.23	-0.1	0.91	0.75	-0.31
KYCN	0.01	0.33	0.35	-0.06	0.06	0.05	0.15	0.34	0.05		0.12	0.35	-0.12	0.29	0.09	-0.14	0.02	-0.13
CMC	0.57	0.32	0.51	0.71	0.25	0.42	0.36	0.46	0.8	0.12		0.41	0.08	0.1	0.04	0.71	0.58	-0.1
IIIN	0.48	0.43	0.08	0.6	0.39	0.41	0.36	0.17	0.47	0.35	0.41		-0.21	0.25	-0.03	0.31	0.42	-0.1
TX	0.2	0.26	0.11	0.1	0.03	-0.22	0.38	0.53	0.12	-0.12	0.08	-0.21		0.07	-0.34	0.23	0.23	-0.11
ROCK	0.38	0.2	0.09	0.16	0.18	0.21	0.78	0.02	0.23	0.29	0.1	0.25	0.07		-0.28	0.32	0.2	-0.14
SYNL	0.12	-0.14	0.0	-0.12	-0.14	0.01	-0.38	-0.25	-0.1	0.09	0.04	-0.03	-0.34	-0.28		-0.23	-0.38	-0.02
X	0.47	0.36	0.33	0.8	0.56	0.47	0.52	0.4	0.91	-0.14	0.71	0.31	0.23	0.32	-0.23		0.72	-0.29
PKX	0.47	0.45	0.15	0.77	0.61	0.67	0.35	0.44	0.75	0.02	0.58	0.42	0.23	0.2	-0.38	0.72		-0.28
SUTR	0.0	-0.02	-0.37	-0.35	-0.35	0.03	-0.27	-0.19	-0.31	-0.13	-0.1	-0.1	-0.11	-0.14	-0.02	-0.29	-0.28

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Correlation Matchups

High positive correlations

X	+ 0.91	STLD
STLD	+ 0.89	NUE
X	+ 0.8	NUE
CMC	+ 0.8	STLD
ROCK	+ 0.78	TS
PKX	+ 0.77	NUE
PKX	+ 0.75	STLD
PKX	+ 0.72	X

Insignificant Correlation

SUTR	- 0.0	USAP
SYNL	- 0.0	FRD
SUTR	- 0.02	GGB
SUTR	- 0.02	SYNL

SYNL	+ 0.0	FRD
SUTR	+ 0.0	USAP
SYNL	+ 0.01	SIM
SID	+ 0.01	SIM

High negative correlations

PKX	- 0.38	SYNL
SYNL	- 0.38	TS
SUTR	- 0.37	FRD
SUTR	- 0.35	SXC
SUTR	- 0.35	NUE
SYNL	- 0.34	TX
SUTR	- 0.31	STLD
SUTR	- 0.29	X

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
USAP	1.27	(0.70)	(0.10)	(0.02)	3.37	(0.16)	(0.99)	2.39	(1.72)	11.06	Backtest
GGB	1.35	(0.75)	(0.44)	(0.60)	2.22	(0.50)	(1.38)	1.60	(2.72)	5.70	Backtest
FRD	1.13	0.17	(0.02)	0.86	1.33	(0.02)	(1.29)	2.29	(2.14)	5.43	Backtest
NUE	1.13	0.00	0.12	0.30	0.55	0.08	(1.61)	3.26	(1.50)	4.84	Backtest
SXC	1.33	(0.14)	(0.02)	0.19	1.93	(0.03)	(1.42)	2.46	(3.29)	6.30	Backtest
SIM	1.19	(0.41)	(0.09)	0.08	1.56	(0.10)	(1.29)	2.81	(2.93)	5.11	Backtest
AAST	26.94	4.42	0.07	1.32	25.78	0.12	(100.00)	100.00	(50.00)	150.00	Backtest
TS	0.98	0.07	(0.06)	0.44	1.38	(0.07)	(1.07)	1.76	(1.15)	6.71	Backtest
SID	1.40	(0.60)	(0.43)	4.55	2.49	(0.52)	(1.55)	2.11	(3.95)	6.49	Backtest
STLD	1.28	0.06	0.14	0.34	0.89	0.13	(1.49)	3.07	(2.00)	5.73	Backtest
AWSH	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	Backtest
KYCN	2.28	(0.38)	0.08	0.18	1.51	0.04	(6.38)	2.04	(2.53)	29.14	Backtest
CMC	1.13	0.34	0.31	0.59	0.00	0.26	(1.31)	2.70	(1.37)	5.77	Backtest
IIIN	1.49	0.09	0.25	0.34	0.81	0.27	(1.87)	3.30	(2.28)	6.04	Backtest
TX	1.36	1.08	0.49	(1.08)	0.00	0.27	(1.69)	3.13	(1.29)	9.29	Backtest
ROCK	1.66	(0.50)	(0.15)	(0.09)	2.74	(0.18)	(1.63)	3.20	(3.80)	9.65	Backtest
SYNL	0.83	0.08	(0.05)	0.44	0.47	(0.04)	(1.04)	2.57	(1.09)	3.85	Backtest
X	2.25	0.25	0.23	0.44	1.50	0.16	(3.11)	5.65	(2.81)	9.81	Backtest
PKX	0.85	(0.13)	(0.14)	0.14	1.12	(0.17)	(0.81)	1.56	(1.48)	3.37	Backtest
SUTR	3.39	1.63	0.28	(0.89)	2.31	0.18	(4.31)	6.33	(3.85)	25.04	Backtest

Theme Landscape

Risk and return landscape for Iron

Assets rated by market efficiency

Total return distribution analysis

Technical analysis of total daily returns

Iron 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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