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Theme Landscape

Investment horizon:

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This theme covers companies involved in manufacturing and maintenance of freight railroads and passenger trains as well as providing railroad services to public 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 Railroads

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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
PACR	Pacer International Inc	0.10%	1.59%	0.16%	6.53	Strong Buy
GBX	The Greenbrier Companies Inc	0.01%	1.93%	0.02%	24.69	Strong Buy
PWX	Providence and Worcester Railroad Company	0.00%	1.32%	0.01%	15.91	Buy
ARII	American Railcar Industries Inc	0.10%	1.89%	0.18%	33.78	Strong Buy
GWR	Genesee Wyoming Inc	0.10%	1.26%	0.11%	91.20	Strong Buy
UNP	Union Pacific Corporation	0.10%	1.19%	0.11%	157.95	Strong Buy
KSU	Kansas City Southern	0.13%	1.65%	0.20%	112.18	Strong Buy
XTRN	Las Vegas Railway Express Inc	0.15%	6.29%	0.91%	0.08	Strong Hold
RAIL	FreightCar America Inc	0.18%	1.30%	0.23%	17.30	Strong Buy
GSH	Guangshen Railway Co Ltd	0.20%	3.17%	0.61%	22.22	Strong Hold
NSC	Norfolk Southern Corp	0.21%	1.17%	0.23%	77.03	Strong Buy
CNI	Canadian National Railway Company	0.22%	1.13%	0.23%	99.24	Strong Buy
CSX	CSX Corp	0.24%	1.07%	0.25%	25.29	Strong Buy
WAB	Westinghouse Air Brake Technologies Corporation	0.24%	10.95%	2.66%	53.98	Strong Hold
TRN	Trinity Industries Inc	0.27%	1.75%	0.46%	38.40	Strong Buy
CP	Canadian Pacific Railway Limited	0.34%	1.62%	0.54%	124.55	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)

(0.27)

Beta (Market Sensitivity)

1.55

Efficiency (Sharpe Ratio)

(0.29)

Risk (Volatility)

1.37

Expected Return

(0.39)

Technical analysis of total daily returns

Risk Adjusted Performance	(0.23)
Market Risk Adjusted Performance	(0.26)
Mean Deviation	1.14
Semi-Deviation	2.41
Downside Deviation	2.16
Coefficient Of Variation	(367.20)
Standard Deviation	1.5
Variance	2.24
Information Ratio	(0.22)
Jensen Alpha	(0.28)
Total Risk Alpha	(0.26)
Sortino Ratio	(0.15)
Treynor Ratio	(0.27)
Maximum Drawdown	5.46
Value At Risk	(3.02)

Railroads Correlation Analysis

	PACR	ARII	NSC	GBX	KSU	RAIL	GSH	CSX	GWR	CNI	TRN	WAB	CP	PWX	UNP
PACR		0.54	0.72	0.66	0.65	0.41	0.35	0.39	0.42	0.46	0.57	0.13	0.3	0.28	0.57
ARII	0.54		0.82	0.63	0.65	0.63	0.32	0.65	0.43	0.66	0.81	0.3	0.5	0.18	0.54
NSC	0.72	0.82		0.69	0.75	0.48	0.19	0.75	0.58	0.76	0.74	0.37	0.62	0.24	0.75
GBX	0.66	0.63	0.69		0.59	0.45	0.47	0.55	0.63	0.68	0.62	0.12	0.5	0.14	0.67
KSU	0.65	0.65	0.75	0.59		0.47	0.3	0.52	0.71	0.54	0.74	0.14	0.61	0.19	0.7
RAIL	0.41	0.63	0.48	0.45	0.47		-0.03	0.34	0.36	0.38	0.69	0.49	0.29	0.18	0.26
GSH	0.35	0.32	0.19	0.47	0.3	-0.03		-0.01	0.37	0.21	0.28	-0.27	0.03	-0.04	0.12
CSX	0.39	0.65	0.75	0.55	0.52	0.34	-0.01		0.57	0.74	0.68	0.24	0.86	0.31	0.77
GWR	0.42	0.43	0.58	0.63	0.71	0.36	0.37	0.57		0.5	0.54	-0.02	0.59	0.25	0.64
CNI	0.46	0.66	0.76	0.68	0.54	0.38	0.21	0.74	0.5		0.75	0.18	0.79	0.13	0.78
TRN	0.57	0.81	0.74	0.62	0.74	0.69	0.28	0.68	0.54	0.75		0.32	0.69	0.18	0.68
WAB	0.13	0.3	0.37	0.12	0.14	0.49	-0.27	0.24	-0.02	0.18	0.32		0.1	0.07	0.3
CP	0.3	0.5	0.62	0.5	0.61	0.29	0.03	0.86	0.59	0.79	0.69	0.1		0.26	0.8
PWX	0.28	0.18	0.24	0.14	0.19	0.18	-0.04	0.31	0.25	0.13	0.18	0.07	0.26		0.26
UNP	0.57	0.54	0.75	0.67	0.7	0.26	0.12	0.77	0.64	0.78	0.68	0.3	0.8	0.26

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Correlation Matchups

High positive correlations

CP	+ 0.86	CSX
NSC	+ 0.82	ARII
TRN	+ 0.81	ARII
UNP	+ 0.8	CP
CP	+ 0.79	CNI
UNP	+ 0.78	CNI
UNP	+ 0.77	CSX
CNI	+ 0.76	NSC

Insignificant Correlation

CSX	- 0.01	GSH
WAB	- 0.02	GWR
GSH	- 0.03	RAIL
PWX	- 0.04	GSH

CP	+ 0.03	GSH
PWX	+ 0.07	WAB
CP	+ 0.1	WAB
UNP	+ 0.12	GSH

High negative correlations

WAB	- 0.27	GSH
PWX	- 0.04	GSH
GSH	- 0.03	RAIL
WAB	- 0.02	GWR
CSX	- 0.01	GSH

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
PACR	1.27	0.27	0.11	0.11	1.61	0.15	(1.22)	1.92	(2.67)	4.94	Backtest
ARII	1.61	(0.04)	(0.05)	(0.11)	2.23	(0.05)	(1.59)	2.61	(3.14)	6.25	Backtest
NSC	0.97	(0.13)	(0.11)	(0.20)	1.66	(0.13)	(0.91)	1.55	(1.89)	3.43	Backtest
GBX	1.44	0.17	0.05	0.01	1.91	0.05	(1.62)	3.12	(3.42)	6.66	Backtest
KSU	1.28	(0.07)	(0.08)	(0.13)	1.55	(0.07)	(2.29)	2.20	(2.50)	4.70	Backtest
RAIL	1.02	(0.17)	(0.11)	(0.32)	1.46	(0.11)	(1.20)	1.88	(2.07)	5.52	Backtest
GSH	2.60	(0.53)	(0.15)	(0.63)	3.80	(0.16)	(2.99)	3.55	(5.29)	8.84	Backtest
CSX	0.88	(0.18)	(0.13)	(0.28)	1.42	(0.15)	(0.80)	1.17	(1.75)	3.34	Backtest
XTRN	4.00	(0.61)	(0.07)	(0.27)	12.69	(0.13)	(12.70)	11.11	(11.11)	23.61	Backtest
GWR	1.02	(0.03)	(0.02)	(0.12)	1.51	(0.02)	(1.01)	1.98	(1.97)	4.41	Backtest
CNI	0.85	(0.15)	(0.11)	(0.22)	1.65	(0.13)	(0.78)	1.37	(1.51)	4.83	Backtest
TRN	1.51	(0.31)	(0.17)	(0.26)	2.53	(0.21)	(1.34)	1.99	(2.51)	5.74	Backtest
WAB	4.77	(2.29)	(0.16)	(0.63)	50.35	(0.23)	(0.69)	1.15	(2.80)	51.63	Backtest
CP	1.18	(0.43)	(0.24)	(0.40)	2.34	(0.28)	(1.17)	1.42	(3.46)	5.09	Backtest
PWX	0.99	0.03	0.06	(0.01)	1.26	0.06	(1.19)	3.33	(2.41)	5.58	Backtest
UNP	0.95	(0.01)	(0.02)	(0.10)	1.28	(0.02)	(1.06)	1.85	(1.62)	3.79	Backtest

Theme Landscape

Risk and return landscape for Railroads

Assets rated by market efficiency

Total return distribution analysis

Distribution Greeks

Technical analysis of total daily returns

Railroads Correlation Analysis

Correlation Matchups

High positive correlations

Insignificant Correlation

High negative correlations

Weakest Diversification

Strongest Diversification

Weakest Diversification

Assets performance indicators

Thanks for checking out Macroaxis