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Theme Landscape

Investment horizon:

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This theme covers entities that are involved in restaurant business, as well as coffee shop chains and other eateries 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 Restaurants

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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	Advice *
PNRA	Panera Bread Co	0.47%	0.93%	0.45%	190.19	Strong Hold
CBRL	Cracker Barrel Old Country Store Inc	0.39%	0.77%	0.31%	86.97	Strong Buy
BOBE	Bob Evans Farms Inc	0.36%	1.05%	0.38%	46.02	Strong Buy
DPZ	Dominos Pizza Inc	0.33%	1.65%	0.56%	58.72	Strong Buy
EAT	Brinker International Inc	0.26%	1.07%	0.29%	40.62	Strong Buy
TXRH	Texas Roadhouse Inc	0.25%	2.41%	0.60%	23.76	Strong Buy
DAVE	Famous Daves of America Inc	0.24%	1.11%	0.28%	11.89	Buy
WEN	The Wendys Company	0.18%	1.78%	0.32%	6.08	Strong Buy
DRI	Darden Restaurants Inc	0.17%	0.96%	0.17%	52.83	Strong Buy
PZZA	Papa Johns International Inc	0.15%	1.04%	0.16%	64.08	Strong Buy
JACK	Jack in the Box Inc	0.09%	1.34%	0.13%	36.68	Strong Buy
BJRI	BJs Restaurants Inc	0.08%	1.88%	0.16%	37.03	Strong Buy
THI	Tim Hortons Inc	0.06%	1.49%	0.10%	54.67	Buy
RICK	Ricks Cabaret International Inc	0.05%	0.90%	0.05%	8.55	Strong Hold
CAKE	The Cheesecake Factory Incorporated	0.05%	0.77%	0.05%	40.18	Strong Buy
DIN	DineEquity Inc	0.01%	0.68%	0.02%	71.04	Strong Buy
BWLD	Buffalo Wild Wings Inc	0.02%	1.53%	0.01%	94.53	Buy
MCD	McDonalds Corp	0.05%	0.73%	0.03%	100.29	Strong Buy
PZZI	Pizza Inn Holdings Inc	0.21%	8.29%	1.69%	4.95	Strong Hold
SOUP	Soupman Inc	0.23%	5.71%	1.33%	0.51	Strong Hold

* 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

Alpha (Return Over Market)

(0.03)

Beta (Market Sensitivity)

1.22

Efficiency (Sharpe Ratio)

0.28

Risk (Volatility)

0.71

Expected Return

0.21

Technical analysis of total daily returns

Risk Adjusted Performance	0.0337
Market Risk Adjusted Performance	0.0424
Mean Deviation	0.752
Semi-Deviation	1.12
Downside Deviation	1.23
Coefficient Of Variation	1963.46
Standard Deviation	0.9724
Variance	0.9455
Information Ratio	(0.16)
Jensen Alpha	(0.19)
Total Risk Alpha	(0.28)
Sortino Ratio	(0.12)
Treynor Ratio	0.0324
Maximum Drawdown	3.45
Value At Risk	(1.99)

Restaurants Correlation Analysis

	PNRA	BOBE	BWLD	EAT	THI	DIN	DRI	JACK	CBRL	RICK	CAKE	PZZA	BJRI	MCD	DPZ	SOUP	PZZI	WEN	TXRH
PNRA		0.62	0.18	0.49	0.3	0.52	0.65	0.41	0.66	-0.05	0.49	0.4	0.38	0.47	0.36	0.27	0.52	0.33	0.55
BOBE	0.62		0.37	0.5	0.01	0.59	0.68	0.68	0.74	0.02	0.77	0.57	0.61	0.56	0.5	0.44	0.17	0.21	0.5
BWLD	0.18	0.37		0.13	0.13	0.14	0.17	0.25	0.29	0.42	0.39	0.23	0.64	0.22	-0.21	0.03	0.01	0.21	-0.39
EAT	0.49	0.5	0.13		-0.02	0.34	0.33	0.22	0.49	-0.22	0.47	0.34	0.37	0.28	0.19	0.1	0.5	0.07	0.49
THI	0.3	0.01	0.13	-0.02		-0.05	0.27	0.16	0.14	0.03	0.01	0.45	-0.08	0.42	-0.07	-0.19	0.3	0.33	0.09
DIN	0.52	0.59	0.14	0.34	-0.05		0.67	0.71	0.69	0.26	0.54	0.47	0.3	0.16	0.6	0.14	0.25	0.32	0.57
DRI	0.65	0.68	0.17	0.33	0.27	0.67		0.71	0.8	0.23	0.7	0.64	0.32	0.42	0.61	0.44	0.22	0.15	0.53
JACK	0.41	0.68	0.25	0.22	0.16	0.71	0.71		0.66	0.22	0.61	0.72	0.42	0.53	0.39	0.29	0.07	0.3	0.37
CBRL	0.66	0.74	0.29	0.49	0.14	0.69	0.8	0.66		-0.03	0.71	0.57	0.36	0.62	0.47	0.35	0.33	0.37	0.44
RICK	-0.05	0.02	0.42	-0.22	0.03	0.26	0.23	0.22	-0.03		0.07	0.1	0.25	-0.03	0.01	-0.04	-0.26	-0.04	-0.1
CAKE	0.49	0.77	0.39	0.47	0.01	0.54	0.7	0.61	0.71	0.07		0.54	0.59	0.42	0.47	0.29	0.32	-0.08	0.44
PZZA	0.4	0.57	0.23	0.34	0.45	0.47	0.64	0.72	0.57	0.1	0.54		0.05	0.44	0.37	0.43	0.32	0.15	0.32
BJRI	0.38	0.61	0.64	0.37	-0.08	0.3	0.32	0.42	0.36	0.25	0.59	0.05		0.33	-0.06	-0.08	-0.01	0.17	0.09
MCD	0.47	0.56	0.22	0.28	0.42	0.16	0.42	0.53	0.62	-0.03	0.42	0.44	0.33		0.1	0.09	0.17	0.36	0.3
DPZ	0.36	0.5	-0.21	0.19	-0.07	0.6	0.61	0.39	0.47	0.01	0.47	0.37	-0.06	0.1		0.42	0.37	-0.03	0.63
SOUP	0.27	0.44	0.03	0.1	-0.19	0.14	0.44	0.29	0.35	-0.04	0.29	0.43	-0.08	0.09	0.42		-0.05	-0.06	0.12
PZZI	0.52	0.17	0.01	0.5	0.3	0.25	0.22	0.07	0.33	-0.26	0.32	0.32	-0.01	0.17	0.37	-0.05		-0.03	0.29
WEN	0.33	0.21	0.21	0.07	0.33	0.32	0.15	0.3	0.37	-0.04	-0.08	0.15	0.17	0.36	-0.03	-0.06	-0.03		0.14
TXRH	0.55	0.5	-0.39	0.49	0.09	0.57	0.53	0.37	0.44	-0.1	0.44	0.32	0.09	0.3	0.63	0.12	0.29	0.14

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Correlation Matchups

High positive correlations

CBRL	+ 0.8	DRI
CAKE	+ 0.77	BOBE
CBRL	+ 0.74	BOBE
PZZA	+ 0.72	JACK
JACK	+ 0.71	DIN
JACK	+ 0.71	DRI
CAKE	+ 0.71	CBRL
CAKE	+ 0.7	DRI

Insignificant Correlation

PZZI	- 0.01	BJRI
THI	- 0.02	EAT
RICK	- 0.03	CBRL
MCD	- 0.03	RICK

DPZ	+ 0.01	RICK
CAKE	+ 0.01	THI
PZZI	+ 0.01	BWLD
THI	+ 0.01	BOBE

High negative correlations

TXRH	- 0.39	BWLD
PZZI	- 0.26	RICK
RICK	- 0.22	EAT
DPZ	- 0.21	BWLD
SOUP	- 0.19	THI
TXRH	- 0.1	RICK
SOUP	- 0.08	BJRI
WEN	- 0.08	CAKE

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
PNRA	0.73	0.26	0.22	0.48	0.00	0.26	(0.85)	2.00	(1.55)	3.57	Backtest
BOBE	0.84	0.11	0.18	0.27	0.43	0.17	(1.09)	2.37	(1.27)	3.75	Backtest
BWLD	1.12	(0.22)	(0.11)	(0.02)	1.90	(0.14)	(1.16)	1.82	(2.49)	4.60	Backtest
EAT	0.84	0.08	0.07	0.27	0.86	0.08	(0.91)	2.00	(1.59)	3.98	Backtest
THI	1.03	0.03	(0.06)	0.26	1.27	(0.06)	(1.18)	2.49	(2.43)	6.79	Backtest
DIN	0.54	(0.10)	(0.21)	0.01	0.70	(0.26)	(0.59)	1.04	(1.18)	2.58	Backtest
DRI	0.74	(0.05)	(0.02)	0.15	0.94	(0.03)	(0.71)	1.24	(1.92)	3.57	Backtest
JACK	0.98	(0.20)	(0.05)	0.07	1.19	(0.05)	(1.27)	2.44	(1.28)	6.43	Backtest
CBRL	0.62	0.10	0.10	0.29	0.38	0.13	(0.70)	1.21	(1.13)	2.90	Backtest
RICK	0.66	(0.01)	(0.10)	0.16	1.19	(0.16)	(0.58)	1.07	(1.27)	4.02	Backtest
CAKE	0.64	(0.14)	(0.17)	0.04	0.75	(0.19)	(0.66)	1.09	(1.40)	2.65	Backtest
PZZA	0.82	(0.11)	(0.03)	0.11	0.90	(0.04)	(0.93)	1.45	(1.23)	4.49	Backtest
BJRI	1.45	(0.14)	(0.02)	0.10	1.78	(0.02)	(1.69)	2.95	(2.92)	5.17	Backtest
MCD	0.63	(0.21)	(0.25)	(0.04)	0.91	(0.30)	(0.63)	0.84	(1.25)	2.59	Backtest
DPZ	1.24	0.38	0.26	0.63	0.76	0.21	(1.52)	4.25	(1.48)	6.55	Backtest
SOUP	4.41	(1.96)	(0.19)	(0.41)	8.24	(0.26)	(4.34)	6.25	(11.54)	21.96	Backtest
DAVE	0.85	0.24	0.08	1.58	0.49	0.07	(1.16)	1.84	(1.20)	4.36	Backtest
PZZI	5.54	(2.38)	(0.16)	(0.48)	12.89	(0.22)	(3.80)	5.70	(7.95)	39.99	Backtest
WEN	1.13	0.18	0.06	0.45	1.45	0.07	(1.47)	2.54	(0.66)	9.62	Backtest
TXRH	1.33	0.28	0.31	0.36	0.70	0.16	(1.73)	2.40	(1.73)	12.74	Backtest

Theme Landscape

Risk and return landscape for Restaurants

Assets rated by market efficiency

Total return distribution analysis

Technical analysis of total daily returns

Restaurants Correlation Analysis

Correlation Matchups

High positive correlations

Insignificant Correlation

High negative correlations

Weakest Diversification

Strongest Diversification

Weakest Diversification

Assets performance indicators

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