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Benchmark SP 500  1,650   0.91  Index Moved Down -0.06% ...


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Theme Landscape

Investment horizon: 
  30 Days    Login   to change
United States
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This theme covers companies providing management services to businesses 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 Management

    
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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 ReturnCurrent PriceAdvice *
BAH
Booz Allen Hamilton Holding CorporationPrice Moved Up 0.56%   Price Moved Very Down 2.05%   Price Moved Up 1.16%    18.65   
FCN
FTI Consulting IncPrice Moved Up 0.31%   Price Moved Very Down 1.89%   Price Moved Up 0.59%    36.74   
HPOL
Harris Interactive IncPrice Moved Up 0.25%   Price Moved Very Down 1.82%   Price Moved Up 0.47%    1.79   
OGSM
Organic Sales and Marketing IncPrice Moved Up 0.24%   Price Moved Totally Down 56.77%   Price Moved Up 13.64%    0.02   
CEB
Corporate Executive Board CoPrice Moved Up 0.18%   Price Moved Very Down 1.99%   Price Moved Up 0.38%    61.66   
G
Genpact LtdPrice Moved Up 0.16%   Price Moved Down 0.95%   Price Moved Up 0.16%    19.33   
RMKR
Rainmaker Systems IncPrice Moved Up 0.16%   Price Moved Totally Down 4.83%   Price Moved Up 0.80%    0.50   
CXW
Corrections Corporation of AmericaPrice Moved Up 0.11%   Price Moved Very Down 1.28%   Price Moved Up 0.15%    37.04   
III
Information Services Group IncPrice Moved Up 0.06%   Price Moved Totally Down 3.31%   Price Moved Up 0.20%    1.92   
LUVU
Liberator IncPrice Moved Up 0.05%   Price Moved Totally Down 11.44%   Price Moved Up 0.60%    0.08   
PBSV
PharmaBio Serv IncPrice Moved Up 0.03%   Price Moved Totally Down 3.41%   Price Moved Up 0.10%    1.07   
FSPI
First Surgical Partners IncPrice Moved Up 0.02%   Price Moved Totally Down 3.66%   Price Moved Up 0.07%    0.80   
HHII
Home Health International IncNo Change 0.00%   No Change 0.00%   No Change 0.00%    0.00  
GHST
Ghost Technology IncNo Change 0.00%   No Change 0.00%   No Change 0.00%    0.01   
GLOI
GlobalOptions Group IncPrice Moved Down 0.01%   Price Moved Very Down 2.75%   Price Moved Down 0.02%    2.37   
TMNG
Management Network Group IncPrice Moved Down 0.09%   Price Moved Very Down 2.23%   Price Moved Down 0.19%    2.84   
CDOM
Tiger X Medical IncPrice Moved Down 0.17%   Price Moved Totally Down 7.88%   Price Moved Very Down 1.30%    0.07   
* 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   
α
  Alpha (Return Over Market) 0.20  
β
  Beta (Market Sensitivity) 1.15  
s
  Efficiency (Sharpe Ratio) 0.34  
σ
  Risk (Volatility) 1.16  
μ
  Expected Return 0.41  

Technical analysis of total daily returns

Risk Adjusted Performance0.1854
Market Risk Adjusted Performance0.7317
Mean Deviation2.13
Semi-Deviation1.26
Downside Deviation2.17
Coefficient Of Variation324.15
Standard Deviation2.72
Variance7.41
Information Ratio0.2413
Jensen Alpha0.6312
Total Risk Alpha0.0119
Sortino Ratio0.3024
Treynor Ratio0.7217
Maximum Drawdown9.48
Value At Risk(2.60)

Management Correlation Analysis

PBSV
G
GLOI
BAH
TMNG
FCN
HPOL
CXW
CEB
III
PBSV
-0.09-0.15-0.420.00.080.08-0.2-0.09-0.17
G
-0.090.05-0.030.180.530.830.410.790.11
GLOI
-0.150.05-0.11-0.280.09-0.130.3-0.12-0.09
BAH
-0.42-0.03-0.11-0.34-0.21-0.17-0.29-0.020.08
TMNG
0.00.18-0.28-0.340.320.260.240.08-0.24
FCN
0.080.530.09-0.210.320.470.670.470.32
HPOL
0.080.83-0.13-0.170.260.470.390.540.31
CXW
-0.20.410.3-0.290.240.670.390.310.34
CEB
-0.090.79-0.12-0.020.080.470.540.31-0.06
III
-0.170.11-0.090.08-0.240.320.310.34-0.06

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Correlation Matchups

High positive correlations

 HPOL
+ 0.83
G  
 CEB
+ 0.79
G  
 CXW
+ 0.67
FCN  
 CEB
+ 0.54
HPOL  
 FCN
+ 0.53
G  
 HPOL
+ 0.47
FCN  
 CEB
+ 0.47
FCN  
 CXW
+ 0.41
G  
   

Insignificant Correlation

 TMNG
- 0.0
PBSV  
 CEB
- 0.02
BAH  
 BAH
- 0.03
G  
 III
- 0.06
CEB  
 TMNG
+ 0.0
PBSV  
 GLOI
+ 0.05
G  
 CEB
+ 0.08
TMNG  
 III
+ 0.08
BAH  
   

High negative correlations

 BAH
- 0.42
PBSV  
 TMNG
- 0.34
BAH  
 CXW
- 0.29
BAH  
 TMNG
- 0.28
GLOI  
 III
- 0.24
TMNG  
 FCN
- 0.21
BAH  
 CXW
- 0.2
PBSV  
 HPOL
- 0.17
BAH  

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
OGSM 47.11  12.83  0.25  2.94  31.39  0.23 (100.00) 100.00 (50.00) 150.00 
Backtest
PBSV 2.03  0.36 (0.01)(0.06) 2.81 (0.02)(5.42) 6.80 (4.76) 15.89 
Backtest
G 0.60 (0.05)(0.04) 0.13  0.31 (0.02)(0.81) 1.21 (1.18) 4.87 
Backtest
GLOI 2.01 (0.13)(0.04)(0.09) 5.28 (0.06)(3.92) 8.79 (8.85) 2.92 
Backtest
BAH 1.43  1.20  1.38 (3.96) 0.00 0.46 (2.20) 4.52 (0.92) 8.47 
Backtest
TMNG 1.53 (0.40)(0.14)(0.19) 2.85 (0.16)(1.97) 3.51 (4.75) 9.09 
Backtest
RMKR 4.07  0.25  0.13  0.25  3.42  0.13 (6.40) 8.70 (5.77) 17.31 
Backtest
FCN 1.38  0.12  0.16  0.22  1.88  0.21 (1.65) 2.61 (4.11) 7.57 
Backtest
FSPI 1.72 (0.54) 0.00 0.02  0.00(0.03) 0.00 6.25 (5.88) 18.01 
Backtest
CDOM 5.01 (0.72)(0.10) 0.33  16.18 (0.19)(25.00) 25.00 (20.00) 45.00 
Backtest
HPOL 1.25  0.11  0.11  0.23  1.55  0.16 (1.62) 2.94 (1.82) 9.38 
Backtest
CXW 1.00 (0.16)(0.02) 0.08  1.39 (0.02)(1.07) 1.76 (1.68) 5.33 
Backtest
CEB 1.21 (0.02) 0.11  0.16  1.19  0.10 (1.41) 2.17 (2.02) 8.69 
Backtest
HHII 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Backtest
LUVU 5.40 (0.28) 0.00 0.12  0.00 0.04  0.00 12.50 (20.00) 62.86 
Backtest
III 2.65 (0.22) 0.00 0.08  2.87  0.0045 (2.85) 5.10 (4.33) 13.80 
Backtest
GHST 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Backtest
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