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Theme Landscape

Investment horizon:

30 Days Login to change

This theme covers funds or etfs that invest most of their assets into speculative (junk) bonds or to other fixed income instruments with interest rates 3 to 4 percentage points above government issues 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 Junk Bonds

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Theme Equities

Hypothetical 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 Return	Current Price	Advice *
MSYHX	Morgan Stanley Instl High Yield H	0.11%	0.18%	0.03%	11.23	Hold
MSYLX	Morgan Stanley Instl High Yield L	0.09%	0.18%	0.03%	11.22	Strong Hold
MSYPX	Morgan Stanley Instl High Yield P	0.08%	0.19%	0.03%	11.22	Strong Hold
AUYCX	Aberdeen US High Yield Bond C	0.07%	0.19%	0.02%	10.58	Strong Hold
RGHYX	RBC BlueBay Global High Yield Bd I	0.06%	0.13%	0.02%	10.70	Hold
MHHYX	Managers High Yield Institutional	0.04%	0.17%	0.02%	8.34	Strong Hold
MHHAX	Managers High Yield Investor	0.01%	0.15%	0.01%	8.25	Strong Hold
PAHBX	PNC High Yield Bond A	0.01%	0.12%	0.01%	8.46	Strong Hold
PIHBX	PNC High Yield Bond I	0.01%	0.12%	0.01%	8.45	Strong Hold
PLHIX	PL High Income I	0.03%	0.20%	0.00%	11.29	Strong Hold
BHFYX	Brookfield High Yield Y	0.03%	0.16%	0.00%	10.67	Strong Hold
BHFIX	Brookfield High Yield I	0.04%	0.15%	0.00%	10.67	Strong Buy
PDHYX	Direxion Dynamic High Yield Bond Inv	0.20%	0.29%	0.05%	14.17	Buy
LMECX	Legg Mason WA SMASh Series EC	0.27%	0.26%	0.06%	9.60	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)

(0.0080)

Beta (Market Sensitivity)

0.04

Efficiency (Sharpe Ratio)

(0.08)

Risk (Volatility)

0.13

Expected Return

0.00

Technical analysis of total daily returns

Risk Adjusted Performance	(0.02)
Market Risk Adjusted Performance	(0.11)
Mean Deviation	0.0764
Semi-Deviation	0.1044
Downside Deviation	0.1404
Coefficient Of Variation	1904.9
Standard Deviation	0.0998
Variance	0.01
Information Ratio	(1.96)
Jensen Alpha	(0.01)
Total Risk Alpha	(0.04)
Sortino Ratio	(1.39)
Treynor Ratio	(0.12)
Maximum Drawdown	0.41
Value At Risk	(0.18)

Junk Bonds Correlation Analysis

	MHHYX	PDHYX	MHHAX	PLHIX	BHFYX	PAHBX	AUYCX	MSYHX	MSYPX	PIHBX	LMECX	BHFIX	MSYLX	RGHYX
MHHYX		0.58	0.89	0.88	0.62	0.82	0.9	0.64	0.63	0.79	0.42	0.65	0.6	0.89
PDHYX	0.58		0.68	0.5	0.38	0.67	0.47	0.15	0.21	0.47	0.51	0.43	0.22	0.58
MHHAX	0.89	0.68		0.79	0.71	0.88	0.78	0.57	0.6	0.88	0.55	0.72	0.6	0.9
PLHIX	0.88	0.5	0.79		0.59	0.69	0.9	0.7	0.67	0.67	0.37	0.59	0.67	0.72
BHFYX	0.62	0.38	0.71	0.59		0.67	0.53	0.28	0.37	0.64	0.42	0.95	0.39	0.6
PAHBX	0.82	0.67	0.88	0.69	0.67		0.69	0.55	0.59	0.91	0.49	0.72	0.6	0.81
AUYCX	0.9	0.47	0.78	0.9	0.53	0.69		0.64	0.61	0.67	0.36	0.53	0.59	0.77
MSYHX	0.64	0.15	0.57	0.7	0.28	0.55	0.64		0.96	0.58	0.05	0.3	0.96	0.45
MSYPX	0.63	0.21	0.6	0.67	0.37	0.59	0.61	0.96		0.59	0.14	0.37	0.99	0.44
PIHBX	0.79	0.47	0.88	0.67	0.64	0.91	0.67	0.58	0.59		0.53	0.66	0.59	0.84
LMECX	0.42	0.51	0.55	0.37	0.42	0.49	0.36	0.05	0.14	0.53		0.51	0.12	0.61
BHFIX	0.65	0.43	0.72	0.59	0.95	0.72	0.53	0.3	0.37	0.66	0.51		0.39	0.67
MSYLX	0.6	0.22	0.6	0.67	0.39	0.6	0.59	0.96	0.99	0.59	0.12	0.39		0.42
RGHYX	0.89	0.58	0.9	0.72	0.6	0.81	0.77	0.45	0.44	0.84	0.61	0.67	0.42

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Correlation Matchups

High positive correlations

MSYLX	+ 0.99	MSYPX
MSYPX	+ 0.96	MSYHX
MSYLX	+ 0.96	MSYHX
BHFIX	+ 0.95	BHFYX
PIHBX	+ 0.91	PAHBX
AUYCX	+ 0.9	MHHYX
RGHYX	+ 0.9	MHHAX
AUYCX	+ 0.9	PLHIX

Insignificant Correlation

LMECX	+ 0.05	MSYHX
MSYLX	+ 0.12	LMECX
LMECX	+ 0.14	MSYPX
MSYHX	+ 0.15	PDHYX

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
MHHYX	0.13	0.00	(0.64)	0.12	0.08	(1.03)	(0.21)	0.24	(0.24)	0.72	Backtest
PDHYX	0.24	(0.10)	(0.64)	(0.25)	0.45	(0.83)	(0.22)	0.35	(0.49)	1.11	Backtest
MHHAX	0.12	(0.01)	(0.85)	0.02	0.09	(1.20)	(0.17)	0.24	(0.24)	0.60	Backtest
PLHIX	0.14	(0.02)	(0.63)	(0.07)	0.20	(0.98)	(0.17)	0.27	(0.35)	0.88	Backtest
BHFYX	0.12	(0.01)	(0.77)	(0.27)	0.17	(1.22)	(0.13)	0.19	(0.28)	0.56	Backtest
PAHBX	0.09	(0.01)	(0.97)	0.03	0.02	(1.54)	(0.13)	0.12	(0.23)	0.47	Backtest
AUYCX	0.16	0.01	(0.82)	0.42	0.09	(0.92)	(0.19)	0.28	(0.28)	0.66	Backtest
MSYHX	0.13	0.02	(0.62)	2.00	0.00	(0.91)	(0.17)	0.27	(0.35)	0.80	Backtest
MSYPX	0.14	0.01	(0.60)	0.52	0.08	(0.91)	(0.17)	0.27	(0.35)	0.80	Backtest
PIHBX	0.09	0.00	(0.97)	0.07	0.02	(1.53)	(0.13)	0.12	(0.23)	0.47	Backtest
LMECX	0.20	(0.09)	(0.87)	(0.69)	0.39	(0.99)	(0.26)	0.41	(0.41)	0.93	Backtest
BHFIX	0.10	0.00	(0.75)	0.00	0.13	(1.31)	(0.14)	0.19	(0.28)	0.56	Backtest
MSYLX	0.13	0.01	(0.60)	0.79	0.10	(0.92)	(0.15)	0.27	(0.35)	0.80	Backtest
RGHYX	0.09	0.00	(0.98)	0.20	0.00	(1.40)	(0.16)	0.19	(0.19)	0.56	Backtest

Theme Landscape

Risk and return landscape for Junk Bonds

Assets rated by market efficiency

Total return distribution analysis

Technical analysis of total daily returns

Junk Bonds 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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