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Theme Landscape

Investment horizon:

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This theme covers companies involved in drilling, production, and distribution of oil and gas pipelines in USA. To change this theme or its current investment horizon please use the panel above and then hit the 'Set Theme' button to continue

Risk and return landscape for Oil And Gas

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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
WLL	Whiting Petroleum Corp	0.08%	1.58%	0.14%	48.55	Strong Buy
TOT	Total SA	0.06%	1.04%	0.08%	49.77	Strong Buy
BPL	Buckeye Partners LP	0.06%	1.33%	0.09%	68.75	Buy
CLMT	Calumet Specialty Products Partners LP	0.01%	1.83%	0.04%	36.24	Strong Buy
CRR	CARBO Ceramics Inc	0.00%	2.17%	0.02%	71.00	Strong Buy
BP	BP plc	0.03%	0.73%	0.01%	42.60	Strong Buy
XOM	Exxon Mobil Corporation	0.04%	0.89%	0.03%	91.00	Strong Buy
CQP	Cheniere Energy Partners LP	0.08%	1.85%	0.13%	27.40	Strong Hold
NTI	Northern Tier Energy LP	0.09%	2.48%	0.22%	25.98	Strong Hold
EPB	El Paso Pipeline Partners LP	0.11%	1.23%	0.13%	41.77	Strong Buy
MMR	McMoRan Exploration Co	0.13%	0.28%	0.03%	16.75	Strong Hold
CVX	Chevron Corporation	0.14%	0.93%	0.12%	120.50	Strong Buy
RDS-B	Royal Dutch Shell plc	0.17%	0.85%	0.13%	67.44	Strong Buy
INT	World Fuel Services Corp	0.21%	0.97%	0.19%	39.49	Strong Buy
IOC	InterOil Corporation	0.22%	3.76%	0.82%	75.11	Strong Hold
MDU	MDU Resources Group Inc	0.27%	0.90%	0.24%	25.11	Strong Buy
QRE	QR Energy LP	0.30%	0.88%	0.25%	16.57	Strong Buy
PBR-A	Petr	0.38%	2.25%	0.84%	15.70	Strong Hold
PTR	PetroChina Co Ltd	0.42%	1.67%	0.68%	106.50	Buy
SNP	China Petroleum Chemical Corp	0.50%	1.51%	0.74%	91.81	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

Distribution Greeks

Alpha (Return Over Market)

(0.21)

Beta (Market Sensitivity)

0.86

Efficiency (Sharpe Ratio)

(0.28)

Risk (Volatility)

0.88

Expected Return

(0.24)

Technical analysis of total daily returns

Risk Adjusted Performance	(0.22)
Market Risk Adjusted Performance	(0.25)
Mean Deviation	0.6282
Semi-Deviation	1.23
Downside Deviation	1.01
Coefficient Of Variation	(380.36)
Standard Deviation	0.8006
Variance	0.6409
Information Ratio	(0.22)
Jensen Alpha	(0.18)
Total Risk Alpha	(0.17)
Sortino Ratio	(0.17)
Treynor Ratio	(0.26)
Maximum Drawdown	2.45
Value At Risk	(1.25)

Oil And Gas Correlation Analysis

	CQP	WLL	CRR	QRE	PBR-A	MDU	IOC	XOM	EPB	RDS-B	INT	TOT	SNP	BPL	NTI	BP	CVX	PTR	CLMT	MMR
CQP		-0.04	-0.02	0.07	0.33	0.05	-0.31	0.16	0.03	0.08	0.16	0.1	0.34	0.07	-0.37	0.02	0.12	0.18	-0.12	-0.52
WLL	-0.04		0.48	0.14	0.43	0.3	0.4	0.72	0.21	0.71	0.54	0.63	0.33	-0.19	0.55	0.66	0.57	0.59	0.14	0.37
CRR	-0.02	0.48		0.09	0.4	0.45	0.16	0.58	0.35	0.44	0.6	0.7	0.6	0.28	0.43	0.64	0.33	0.64	0.2	0.52
QRE	0.07	0.14	0.09		0.06	0.36	-0.29	0.44	0.44	0.26	0.44	0.4	0.14	0.31	0.06	0.3	0.58	0.14	0.1	0.2
PBR-A	0.33	0.43	0.4	0.06		-0.03	0.07	0.53	-0.03	0.61	0.48	0.53	0.42	-0.14	0.1	0.63	0.58	0.32	0.07	-0.04
MDU	0.05	0.3	0.45	0.36	-0.03		-0.11	0.46	0.58	0.25	0.67	0.24	0.22	0.32	0.13	0.21	0.32	0.42	0.24	0.21
IOC	-0.31	0.4	0.16	-0.29	0.07	-0.11		0.16	-0.15	0.3	0.22	0.14	0.06	-0.22	0.0	0.28	0.04	0.16	0.01	0.04
XOM	0.16	0.72	0.58	0.44	0.53	0.46	0.16		0.53	0.7	0.75	0.69	0.69	0.23	0.33	0.69	0.84	0.71	0.16	0.36
EPB	0.03	0.21	0.35	0.44	-0.03	0.58	-0.15	0.53		0.13	0.51	0.28	0.17	0.75	0.26	0.21	0.38	0.23	0.59	0.39
RDS-B	0.08	0.71	0.44	0.26	0.61	0.25	0.3	0.7	0.13		0.61	0.73	0.41	0.04	0.13	0.83	0.76	0.58	0.19	0.27
INT	0.16	0.54	0.6	0.44	0.48	0.67	0.22	0.75	0.51	0.61		0.55	0.42	0.31	0.09	0.63	0.62	0.57	0.3	0.11
TOT	0.1	0.63	0.7	0.4	0.53	0.24	0.14	0.69	0.28	0.73	0.55		0.59	0.12	0.31	0.87	0.73	0.59	0.06	0.39
SNP	0.34	0.33	0.6	0.14	0.42	0.22	0.06	0.69	0.17	0.41	0.42	0.59		0.08	0.18	0.52	0.48	0.81	-0.29	0.21
BPL	0.07	-0.19	0.28	0.31	-0.14	0.32	-0.22	0.23	0.75	0.04	0.31	0.12	0.08		-0.03	0.09	0.16	0.09	0.68	0.22
NTI	-0.37	0.55	0.43	0.06	0.1	0.13	0.0	0.33	0.26	0.13	0.09	0.31	0.18	-0.03		0.31	0.19	0.39	0.14	0.51
BP	0.02	0.66	0.64	0.3	0.63	0.21	0.28	0.69	0.21	0.83	0.63	0.87	0.52	0.09	0.31		0.76	0.59	0.1	0.28
CVX	0.12	0.57	0.33	0.58	0.58	0.32	0.04	0.84	0.38	0.76	0.62	0.73	0.48	0.16	0.19	0.76		0.51	0.14	0.23
PTR	0.18	0.59	0.64	0.14	0.32	0.42	0.16	0.71	0.23	0.58	0.57	0.59	0.81	0.09	0.39	0.59	0.51		-0.1	0.33
CLMT	-0.12	0.14	0.2	0.1	0.07	0.24	0.01	0.16	0.59	0.19	0.3	0.06	-0.29	0.68	0.14	0.1	0.14	-0.1		0.24
MMR	-0.52	0.37	0.52	0.2	-0.04	0.21	0.04	0.36	0.39	0.27	0.11	0.39	0.21	0.22	0.51	0.28	0.23	0.33	0.24

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Correlation Matchups

High positive correlations

BP	+ 0.87	TOT
CVX	+ 0.84	XOM
BP	+ 0.83	RDS-B
PTR	+ 0.81	SNP
CVX	+ 0.76	RDS-B
CVX	+ 0.76	BP
INT	+ 0.75	XOM
BPL	+ 0.75	EPB

Insignificant Correlation

NTI	- 0.0	IOC
CRR	- 0.02	CQP
MDU	- 0.03	PBR-A
EPB	- 0.03	PBR-A

NTI	+ 0.0	IOC
CLMT	+ 0.01	IOC
BP	+ 0.02	CQP
EPB	+ 0.03	CQP

High negative correlations

MMR	- 0.52	CQP
NTI	- 0.37	CQP
IOC	- 0.31	CQP
CLMT	- 0.29	SNP
IOC	- 0.29	QRE
BPL	- 0.22	IOC
BPL	- 0.19	WLL
EPB	- 0.15	IOC

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
CQP	1.31	(0.11)	(0.04)	(0.27)	2.79	(0.05)	(1.22)	1.99	(2.96)	7.95	Backtest
WLL	1.35	0.19	0.11	0.10	1.54	0.11	(1.55)	2.40	(2.32)	5.94	Backtest
CRR	1.62	0.08	0.03	0.00	1.83	0.02	(1.90)	3.88	(2.56)	7.47	Backtest
QRE	0.68	(0.24)	(0.22)	(0.54)	1.24	(0.24)	(0.70)	1.29	(1.50)	2.79	Backtest
PBR-A	1.85	(0.78)	(0.30)	(0.58)	2.92	(0.35)	(1.74)	2.90	(4.02)	9.08	Backtest
MDU	0.75	(0.21)	(0.18)	(0.38)	1.28	(0.21)	(0.62)	1.47	(1.34)	2.76	Backtest
IOC	2.90	(0.80)	(0.17)	(1.43)	5.28	(0.20)	(2.34)	4.55	(7.56)	14.26	Backtest
XOM	0.75	0.01	0.01	(0.04)	0.91	0.01	(0.84)	1.35	(1.26)	2.69	Backtest
EPB	0.96	(0.09)	(0.07)	(0.15)	1.39	(0.07)	(1.10)	2.27	(2.11)	4.82	Backtest
RDS-B	0.69	(0.11)	(0.07)	(0.22)	1.32	(0.11)	(0.46)	1.03	(1.67)	2.92	Backtest
INT	0.77	(0.16)	(0.14)	(0.22)	1.40	(0.16)	(0.76)	1.45	(1.70)	3.25	Backtest
TOT	0.75	0.11	0.07	0.08	1.36	0.11	(0.68)	1.52	(1.72)	3.73	Backtest
SNP	1.21	(0.69)	(0.36)	(0.66)	2.47	(0.45)	(1.13)	1.97	(2.78)	6.07	Backtest
BPL	0.98	0.11	0.09	0.17	1.35	0.10	(1.03)	1.98	(2.41)	4.53	Backtest
NTI	1.89	(0.18)	(0.05)	(0.24)	3.76	(0.07)	(1.41)	2.28	(5.11)	8.95	Backtest
BP	0.60	0.01	0.03	(0.03)	0.86	0.04	(0.56)	1.04	(0.86)	2.78	Backtest
CVX	0.83	(0.09)	(0.07)	(0.14)	1.18	(0.09)	(0.74)	1.09	(1.22)	2.82	Backtest
PTR	1.35	(0.63)	(0.31)	(0.51)	2.43	(0.38)	(1.13)	1.20	(2.92)	5.11	Backtest
CLMT	1.52	0.05	0.04	0.04	1.76	0.04	(1.63)	2.77	(2.63)	6.73	Backtest
MMR	0.31	(0.05)	(0.03)	(0.37)	0.64	(0.03)	(0.31)	0.72	(0.78)	1.01	Backtest