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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
US
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This theme covers companies producing natural foods including dairy products and different types of meets 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 Natural Foods

    
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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 *
PPC
Pilgrims Pride CorporationPrice Moved Up 0.51%   Price Moved Very Down 1.73%   Price Moved Up 0.89%    11.77   
SAFM
Sanderson Farms IncPrice Moved Up 0.38%   Price Moved Down 0.98%   Price Moved Up 0.38%    65.72   
LANC
Lancaster Colony CorporationPrice Moved Up 0.33%   Price Moved Down 0.88%   Price Moved Up 0.30%    83.18   
IBA
Industrias Bachoco SAB de CVPrice Moved Up 0.19%   Price Moved Very Down 1.32%   Price Moved Up 0.26%    35.30   
UL
Unilever plcPrice Moved Up 0.11%   Price Moved Down 0.64%   Price Moved Up 0.08%    43.23   
WILC
G Willi FoodInternational LtdPrice Moved Up 0.10%   Price Moved Down 0.83%   Price Moved Up 0.09%    6.95   
POST
Post Holdings IncPrice Moved Up 0.07%   Price Moved Very Down 1.95%   Price Moved Up 0.15%    44.55   
AHFP
Artisanal Brands IncPrice Moved Up 0.05%   Price Moved Totally Down 9.64%   Price Moved Up 0.45%    0.05   
CNOZ
Cono Italiano IncPrice Moved Up 0.03%   Price Moved Totally Down 23.29%   Price Moved Up 0.76%    0.02   
TSN
Tyson Foods IncNo Change 0.00%   Price Moved Very Down 1.24%   Price Moved Up 0.01%    24.87   
SMKY
Smoky Market Foods IncNo Change 0.00%   No Change 0.00%   No Change 0.00%    0.00  
BILB
Bill The Butcher IncPrice Moved Down 0.05%   Price Moved Totally Down 14.63%   Price Moved Down 0.76%    0.02   
SFD
Smithfield Foods IncPrice Moved Down 0.06%   Price Moved Very Down 1.21%   Price Moved Down 0.06%    25.91   
GFF
Goodman Fielder LtdPrice Moved Down 0.15%   Price Moved Very Down 1.60%   Price Moved Down 0.23%    0.73   
DF
Dean Foods CompanyPrice Moved Down 0.17%   Price Moved Totally Down 10.77%   Price Moved Very Down 1.86%    10.10   
BRID
Bridgford Foods CorpPrice Moved Down 0.18%   Price Moved Totally Down 3.37%   Price Moved Down 0.58%    7.17   
* 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)(0.17) 
β
  Beta (Market Sensitivity) 1.04  
s
  Efficiency (Sharpe Ratio) 0.11  
σ
  Risk (Volatility) 0.09  
μ
  Expected Return 0.02  

Technical analysis of total daily returns

Risk Adjusted Performance0.0049
Market Risk Adjusted Performance(0.0057)
Mean Deviation1.37
Semi-Deviation1.69
Downside Deviation1.69
Coefficient Of Variation(28,736)
Standard Deviation1.83
Variance3.34
Information Ratio(0.10)
Jensen Alpha(0.20)
Total Risk Alpha(0.57)
Sortino Ratio(0.11)
Treynor Ratio(0.02)
Maximum Drawdown6.88
Value At Risk(2.63)

Natural Foods Correlation Analysis

SFD
IBA
SAFM
UL
TSN
POST
PPC
LANC
DF
WILC
SFD
0.260.610.250.440.430.280.38-0.06-0.02
IBA
0.26-0.170.22-0.090.13-0.10.120.070.14
SAFM
0.61-0.170.410.660.180.380.460.05-0.14
UL
0.250.220.410.090.150.440.370.140.03
TSN
0.44-0.090.660.090.330.250.570.1-0.42
POST
0.430.130.180.150.330.320.440.220.1
PPC
0.28-0.10.380.440.250.320.50.25-0.23
LANC
0.380.120.460.370.570.440.50.05-0.06
DF
-0.060.070.050.140.10.220.250.050.25
WILC
-0.020.14-0.140.03-0.420.1-0.23-0.060.25

      Click cells to compare fundamentals
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Correlation Matchups

High positive correlations

 TSN
+ 0.66
SAFM  
 SAFM
+ 0.61
SFD  
 LANC
+ 0.57
TSN  
 LANC
+ 0.5
PPC  
 LANC
+ 0.46
SAFM  
 TSN
+ 0.44
SFD  
 PPC
+ 0.44
UL  
 LANC
+ 0.44
POST  
   

Insignificant Correlation

 WILC
- 0.02
SFD  
 DF
- 0.06
SFD  
 WILC
- 0.06
LANC  
 TSN
- 0.09
IBA  
 WILC
+ 0.03
UL  
 DF
+ 0.05
LANC  
 DF
+ 0.05
SAFM  
 DF
+ 0.07
IBA  
   

High negative correlations

 WILC
- 0.42
TSN  
 WILC
- 0.23
PPC  
 SAFM
- 0.17
IBA  
 WILC
- 0.14
SAFM  
 PPC
- 0.1
IBA  
 TSN
- 0.09
IBA  
 WILC
- 0.06
LANC  
 DF
- 0.06
SFD  

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
SFD 0.99 (0.22)(0.22)(0.08) 1.13 (0.20)(1.14) 1.56 (1.37) 5.33 
Backtest
IBA 1.01  0.26  0.07 (12.73) 0.77  0.06 (1.17) 1.92 (1.35) 3.56 
Backtest
SAFM 0.74  0.17  0.26  0.33  0.16  0.20 (1.01) 1.97 (0.98) 3.79 
Backtest
BRID 2.73 (0.55)(0.22) 0.75  4.43 (0.23)(4.57) 7.99 (8.12) 14.49 
Backtest
UL 0.48 (0.02)(0.18) 0.13  0.44 (0.15)(0.61) 1.09 (0.67) 3.01 
Backtest
TSN 0.98 (0.17)(0.13) 0.00 1.26 (0.14)(1.08) 2.02 (1.54) 4.63 
Backtest
CNOZ 14.06 (0.23) 0.02  0.13  16.14  0.02 (50.00) 50.00 (33.33) 83.33 
Backtest
POST 1.33 (0.08)(0.01) 0.11  1.85 (0.01)(1.36) 3.24 (2.47) 9.13 
Backtest
AHFP 4.67  0.37  0.00 0.86  0.00 0.03  0.00 25.00 (20.00) 45.00 
Backtest
SMKY 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Backtest
BILB 5.92 (1.31) 0.00(0.25) 0.00(0.06) 0.00 0.00(33.33) 83.33 
Backtest
PPC 1.39  0.48  0.63  0.39  0.00 0.40 (2.01) 3.76 (1.83) 6.68 
Backtest
LANC 0.63  0.12  0.09  0.29  0.54  0.13 (0.72) 1.67 (0.99) 2.91 
Backtest
GFF 1.26 (0.44)(0.18)(0.33) 2.61 (0.25)(2.06) 2.82 (5.33) 8.00 
Backtest
DF 4.61 (2.44)(0.11)(0.57) 29.32 (0.19)(1.63) 3.81 (3.44) 7.31 
Backtest
WILC 0.65  0.09 (0.09)(0.88) 0.66 (0.11)(0.89) 1.32 (1.16) 3.29 
Backtest
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