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Benchmark SP 500  1,652   12.77  Index Moved Up 0.78% United States ...


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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 and distributing processed foods to retail sectors 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 Processed Foods

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Assets rated by market efficiency

Efficiency (Sharpe Ratio)Risk (Volatility)Expected ReturnCurrent Price
BGS
B G Foods IncPrice Moved Up 0.24%   Price Moved Very Down 1.86%   Price Moved Up 0.45%    33.73   
OPCO
OurPets CompanyPrice Moved Up 0.23%   Price Moved Totally Down 3.71%   Price Moved Up 0.85%    0.55   
LNCE
SnydersLance IncPrice Moved Up 0.16%   Price Moved Very Down 1.21%   Price Moved Up 0.20%    28.40   
AAPT
All American Pet Company IncPrice Moved Up 0.10%   Price Moved Totally Down 24.87%   Price Moved Up 2.50%    0.01   
FLO
Flowers Foods IncPrice Moved Up 0.07%   Price Moved Very Down 1.57%   Price Moved Up 0.12%    34.57   
THS
Treehouse Foods IncPrice Moved Up 0.05%   Price Moved Very Down 1.16%   Price Moved Up 0.07%    66.99   
CMFO
China Marine Food Group LimitedPrice Moved Up 0.03%   Price Moved Very Down 2.06%   Price Moved Up 0.08%    0.90   
HAIN
The Hain Celestial Group IncPrice Moved Up 0.02%   Price Moved Very Down 1.23%   Price Moved Up 0.03%    68.09   
FVRG
ForeverGreen Worldwide CorporationPrice Moved Up 0.02%   Price Moved Totally Down 8.74%   Price Moved Up 0.20%    0.30   
KTEC
Key Technology IncPrice Moved Up 0.01%   Price Moved Very Down 2.11%   Price Moved Up 0.04%    14.94   
VTMS
Vitamin Spice LLCNo Change 0.00%   No Change 0.00%   No Change 0.00%    0.00  
GLDC
Golden Enterprises IncPrice Moved Down 0.02%   Price Moved Very Down 1.35%   Price Moved Down 0.02%    3.51   
OFI
Overhill Farms IncPrice Moved Down 0.04%   Price Moved Down 0.25%   No Change 0.00%    4.95   
MKC
McCormick Company IncorporatedPrice Moved Down 0.10%   Price Moved Very Down 1.09%   Price Moved Down 0.10%    73.36   
ALN
American Lorain CorporationPrice Moved Down 0.11%   Price Moved Very Down 2.61%   Price Moved Down 0.27%    1.10   
JJSF
J J Snack Foods CorpPrice Moved Down 0.15%   Price Moved Down 0.95%   Price Moved Down 0.14%    75.99   
INGR
Ingredion IncorporatedPrice Moved Down 0.22%   Price Moved Down 0.94%   Price Moved Down 0.20%    69.61   
GMK
Gruma SAB de CVPrice Moved Down 0.23%   Price Moved Very Down 1.56%   Price Moved Down 0.34%    17.72   
JVA
Coffee Holding CoIncPrice Moved Down 0.33%   Price Moved Very Down 2.25%   Price Moved Down 0.74%    6.07   
* 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   

Distribution Greeks

α
  Alpha (Return Over Market) 0.03  
β
  Beta (Market Sensitivity) 0.67  
s
  Efficiency (Sharpe Ratio)(0.04) 
σ
  Risk (Volatility) 0.80  
μ
  Expected Return(0.02) 

Technical analysis of total daily returns

Risk Adjusted Performance0.076
Market Risk Adjusted Performance0.1988
Mean Deviation0.8894
Semi-Deviation1.02
Downside Deviation1.34
Coefficient Of Variation1185.18
Standard Deviation1.62
Variance2.62
Information Ratio0.1332
Jensen Alpha0.1862
Total Risk Alpha0.2973
Sortino Ratio0.1614
Treynor Ratio0.1888
Maximum Drawdown8.73
Value At Risk(1.79)

Processed Foods Correlation Analysis

JVA
MKC
INGR
JJSF
AAPT
THS
GLDC
ALN
HAIN
BGS
KTEC
FVRG
FLO
LNCE
GMK
JVA
-0.16-0.17-0.140.4-0.130.390.02-0.03-0.060.020.5-0.45-0.05-0.23
MKC
-0.160.510.680.040.46-0.220.230.530.41-0.35-0.320.460.720.44
INGR
-0.170.510.440.090.53-0.020.150.730.58-0.440.00.380.510.3
JJSF
-0.140.680.44-0.010.84-0.310.270.660.5-0.330.010.360.820.2
AAPT
0.40.040.09-0.010.050.21-0.090.25-0.11-0.30.38-0.340.160.03
THS
-0.130.460.530.840.05-0.410.010.650.49-0.270.160.290.770.21
GLDC
0.39-0.22-0.02-0.310.21-0.410.13-0.230.120.030.13-0.31-0.36-0.15
ALN
0.020.230.150.27-0.090.010.130.130.03-0.19-0.080.15-0.08-0.36
HAIN
-0.030.530.730.660.250.65-0.230.130.5-0.520.170.340.70.4
BGS
-0.060.410.580.5-0.110.490.120.030.5-0.14-0.030.240.470.26
KTEC
0.02-0.35-0.44-0.33-0.3-0.270.03-0.19-0.52-0.140.17-0.14-0.34-0.45
FVRG
0.5-0.320.00.010.380.160.13-0.080.17-0.030.17-0.13-0.11-0.07
FLO
-0.450.460.380.36-0.340.29-0.310.150.340.24-0.14-0.130.170.34
LNCE
-0.050.720.510.820.160.77-0.36-0.080.70.47-0.34-0.110.170.37
GMK
-0.230.440.30.20.030.21-0.15-0.360.40.26-0.45-0.070.340.37

      Click cells to compare fundamentals
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Correlation Matchups

High positive correlations

 THS
+ 0.84
JJSF  
 LNCE
+ 0.82
JJSF  
 LNCE
+ 0.77
THS  
 HAIN
+ 0.73
INGR  
 LNCE
+ 0.72
MKC  
 LNCE
+ 0.7
HAIN  
 JJSF
+ 0.68
MKC  
 HAIN
+ 0.66
JJSF  
   

Insignificant Correlation

 FVRG
- 0.0
INGR  
 AAPT
- 0.01
JJSF  
 GLDC
- 0.02
INGR  
 HAIN
- 0.03
JVA  
 FVRG
+ 0.0
INGR  
 ALN
+ 0.01
THS  
 FVRG
+ 0.01
JJSF  
 KTEC
+ 0.02
JVA  
   

High negative correlations

 KTEC
- 0.52
HAIN  
 GMK
- 0.45
KTEC  
 FLO
- 0.45
JVA  
 KTEC
- 0.44
INGR  
 GLDC
- 0.41
THS  
 GMK
- 0.36
ALN  
 LNCE
- 0.36
GLDC  
 KTEC
- 0.35
MKC  

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
JVA 1.42 (0.80)(0.23) 1.27  4.12 (0.29)(1.47) 2.31 (2.98) 11.13 
Backtest
CMFO 1.42  0.00 0.09 (0.09) 1.20  0.07 (2.92) 3.45 (2.20) 8.75 
Backtest
OPCO 2.23  0.89  0.23  0.82  1.03  0.24 (6.66) 8.33 (3.17) 16.54 
Backtest
MKC 0.77 (0.03)(0.02)(0.12) 1.59 (0.02)(0.73) 1.25 (2.46) 3.10 
Backtest
INGR 0.77 (0.16)(0.10)(0.34) 1.34 (0.13)(0.61) 1.27 (1.66) 3.36 
Backtest
JJSF 0.80 (0.07)(0.05)(0.16) 1.25 (0.06)(0.65) 1.02 (1.63) 3.12 
Backtest
AAPT 10.80  3.18  0.00 0.60  0.00 0.11  0.00 100.00 (50.00) 150.00 
Backtest
THS 1.01  0.16  0.13  0.05  1.06  0.12 (1.19) 1.66 (1.52) 4.14 
Backtest
GLDC 1.03 (0.09) 0.03  0.05  1.90  0.04 (1.29) 2.31 (3.85) 5.81 
Backtest
ALN 1.69 (0.21)(0.07)(0.36) 2.92 (0.07)(2.78) 2.59 (3.36) 8.67 
Backtest
HAIN 0.98  0.11  0.09  0.03  1.16  0.09 (1.12) 1.56 (1.89) 4.96 
Backtest
BGS 1.26  0.50  0.41  0.60  0.84  0.28 (1.57) 2.44 (1.45) 6.34 
Backtest
OFI 0.16  0.00 0.20 (0.08) 0.22  0.31 (0.27) 0.20 (0.40) 1.21 
Backtest
VTMS 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Backtest
KTEC 1.59 (0.07) 0.05 (0.02) 2.10  0.05 (1.80) 3.54 (3.68) 7.88 
Backtest
FVRG 7.38  0.29  0.03  0.29  7.73  0.03 (12.78) 16.67 (18.75) 35.42 
Backtest
FLO 1.13  0.16  0.13  0.20  1.27  0.12 (1.15) 2.74 (1.92) 7.00 
Backtest
LNCE 0.93  0.29  0.17  0.18  1.21  0.23 (0.90) 1.59 (1.86) 4.13 
Backtest
GMK 1.26 (0.29)(0.16)(0.50) 1.94 (0.16)(1.39) 2.22 (2.38) 5.28 
Backtest
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