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Theme Landscape

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This theme covers companies involved in production of semiconductor and semiconductor materials 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 Semiconductor

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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 *
MRVL	Marvell Technology Group Ltd	0.72%	1.14%	0.83%	11.43	Hold
LRCX	Lam Research Corporation	0.48%	1.44%	0.70%	48.04	Strong Hold
SWKS	Skyworks Solutions Inc	0.47%	1.65%	0.79%	23.89	Strong Buy
TER	Teradyne Inc	0.47%	2.08%	1.00%	17.71	Strong Hold
LLTC	Linear Technology Corporation	0.46%	0.92%	0.43%	38.06	Strong Buy
IDTI	Integrated Device Technology Inc	0.43%	2.08%	0.91%	8.17	Strong Buy
UMC	United Microelectronics Corporation	0.42%	2.10%	0.90%	2.18	Strong Hold
SMI	Semiconductor Manufacturing International Corp	0.42%	2.87%	1.22%	4.09	Strong Buy
VSH	Vishay Intertechnology Inc	0.39%	2.64%	1.03%	14.56	Strong Buy
ATE	Advantest Corporation	0.37%	2.56%	0.96%	16.88	Strong Buy
MSCC	Microsemi Corporation	0.36%	1.90%	0.70%	22.36	Strong Buy
INTC	Intel Corporation	0.35%	1.01%	0.36%	24.04	Strong Buy
SNPS	Synopsys Inc	0.34%	0.79%	0.28%	35.85	Strong Buy
MCHP	Microchip Technology Inc	0.33%	1.09%	0.37%	37.08	Strong Buy
KLAC	KLATencor Corporation	0.14%	1.83%	0.27%	55.87	Strong Buy
VECO	Veeco Instruments Inc	0.13%	4.11%	0.54%	36.84	Strong Buy
SLAB	Silicon Laboratories Inc	0.09%	1.65%	0.16%	41.94	Strong Buy
ASX	Advanced Semiconductor Engineering Inc	0.08%	1.62%	0.14%	4.25	Strong Buy
MLNX	Mellanox Technologies Ltd	0.01%	3.23%	0.01%	57.02	Hold
SPRD	Spreadtrum Communications Inc	0.21%	2.49%	0.50%	19.46	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)

(0.04)

Beta (Market Sensitivity)

1.30

Efficiency (Sharpe Ratio)

0.42

Risk (Volatility)

1.00

Expected Return

0.43

Technical analysis of total daily returns

Risk Adjusted Performance	0.3091
Market Risk Adjusted Performance	0.4271
Mean Deviation	0.7502
Semi-Deviation	0.2068
Downside Deviation	1.16
Coefficient Of Variation	179.73
Standard Deviation	0.9926
Variance	0.9853
Information Ratio	0.1949
Jensen Alpha	0.0888
Total Risk Alpha	(0.09)
Sortino Ratio	0.1667
Treynor Ratio	0.4171
Maximum Drawdown	4.31
Value At Risk	(1.21)

Semiconductor Correlation Analysis

	SWKS	VECO	UMC	ATE	MCHP	LLTC	MSCC	SMI	IDTI	INTC	ASX	LRCX	MRVL	VSH	SPRD	SLAB	SNPS	KLAC	TER	MLNX
SWKS		0.28	0.41	0.41	0.58	0.6	0.0	0.27	0.44	0.23	0.29	0.47	0.29	0.36	0.02	-0.01	0.39	0.54	0.39	-0.14
VECO	0.28		0.11	0.5	0.55	0.34	0.14	-0.12	0.47	0.22	0.13	0.44	0.18	0.35	0.11	0.47	0.54	0.46	0.41	0.0
UMC	0.41	0.11		0.25	0.14	0.18	-0.07	0.04	0.29	-0.01	0.3	-0.01	0.37	0.15	0.09	0.16	-0.03	0.29	-0.09	0.13
ATE	0.41	0.5	0.25		0.43	0.48	-0.21	-0.12	0.39	0.19	0.4	0.33	0.0	0.41	0.16	0.15	0.49	0.72	0.11	0.24
MCHP	0.58	0.55	0.14	0.43		0.55	0.01	0.23	0.6	0.17	0.36	0.41	0.19	0.44	0.18	0.12	0.48	0.66	0.24	-0.06
LLTC	0.6	0.34	0.18	0.48	0.55		0.28	0.28	0.68	0.33	0.49	0.24	-0.04	0.57	0.27	0.31	0.65	0.55	0.16	-0.01
MSCC	0.0	0.14	-0.07	-0.21	0.01	0.28		0.26	0.42	-0.04	0.27	0.04	-0.2	-0.12	-0.2	0.35	0.37	-0.3	0.21	-0.04
SMI	0.27	-0.12	0.04	-0.12	0.23	0.28	0.26		0.12	0.0	0.23	0.21	-0.13	0.13	0.2	-0.02	0.12	-0.13	0.31	-0.32
IDTI	0.44	0.47	0.29	0.39	0.6	0.68	0.42	0.12		0.14	0.43	0.15	-0.15	0.39	0.23	0.46	0.65	0.56	0.18	0.22
INTC	0.23	0.22	-0.01	0.19	0.17	0.33	-0.04	0.0	0.14		0.39	-0.1	0.13	0.24	0.23	0.15	0.27	0.34	0.02	0.43
ASX	0.29	0.13	0.3	0.4	0.36	0.49	0.27	0.23	0.43	0.39		0.4	0.2	0.5	0.19	0.23	0.65	0.39	0.34	0.07
LRCX	0.47	0.44	-0.01	0.33	0.41	0.24	0.04	0.21	0.15	-0.1	0.4		0.3	0.51	-0.01	0.11	0.65	0.23	0.8	-0.6
MRVL	0.29	0.18	0.37	0.0	0.19	-0.04	-0.2	-0.13	-0.15	0.13	0.2	0.3		0.09	0.16	-0.17	0.03	0.23	0.12	-0.13
VSH	0.36	0.35	0.15	0.41	0.44	0.57	-0.12	0.13	0.39	0.24	0.5	0.51	0.09		0.26	0.28	0.59	0.45	0.35	-0.2
SPRD	0.02	0.11	0.09	0.16	0.18	0.27	-0.2	0.2	0.23	0.23	0.19	-0.01	0.16	0.26		0.03	0.36	0.4	0.09	-0.09
SLAB	-0.01	0.47	0.16	0.15	0.12	0.31	0.35	-0.02	0.46	0.15	0.23	0.11	-0.17	0.28	0.03		0.36	0.26	0.27	0.16
SNPS	0.39	0.54	-0.03	0.49	0.48	0.65	0.37	0.12	0.65	0.27	0.65	0.65	0.03	0.59	0.36	0.36		0.49	0.58	-0.21
KLAC	0.54	0.46	0.29	0.72	0.66	0.55	-0.3	-0.13	0.56	0.34	0.39	0.23	0.23	0.45	0.4	0.26	0.49		0.12	0.24
TER	0.39	0.41	-0.09	0.11	0.24	0.16	0.21	0.31	0.18	0.02	0.34	0.8	0.12	0.35	0.09	0.27	0.58	0.12		-0.55
MLNX	-0.14	0.0	0.13	0.24	-0.06	-0.01	-0.04	-0.32	0.22	0.43	0.07	-0.6	-0.13	-0.2	-0.09	0.16	-0.21	0.24	-0.55

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Correlation Matchups

High positive correlations

TER	+ 0.8	LRCX
KLAC	+ 0.72	ATE
IDTI	+ 0.68	LLTC
KLAC	+ 0.66	MCHP
SNPS	+ 0.65	LLTC
SNPS	+ 0.65	IDTI
SNPS	+ 0.65	ASX
SNPS	+ 0.65	LRCX

Insignificant Correlation

MSCC	- 0.0	SWKS
MLNX	- 0.0	VECO
MRVL	- 0.0	ATE
INTC	- 0.0	SMI

INTC	+ 0.0	SMI
MRVL	+ 0.0	ATE
MLNX	+ 0.0	VECO
MSCC	+ 0.0	SWKS

High negative correlations

MLNX	- 0.6	LRCX
MLNX	- 0.55	TER
MLNX	- 0.32	SMI
KLAC	- 0.3	MSCC
MLNX	- 0.21	SNPS
MSCC	- 0.21	ATE
MLNX	- 0.2	VSH
SPRD	- 0.2	MSCC

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
SWKS	1.36	0.27	0.21	0.53	1.15	0.26	(1.62)	3.04	(2.27)	5.80	Backtest
VECO	2.59	(0.64)	0.07	0.16	1.99	0.04	(3.38)	5.01	(3.07)	19.55	Backtest
UMC	1.65	0.88	0.28	88.62	1.03	0.25	(2.09)	4.39	(2.76)	7.95	Backtest
ATE	2.03	0.17	0.21	0.42	2.08	0.23	(2.51)	4.11	(1.80)	11.82	Backtest
MCHP	0.89	(0.02)	0.01	0.33	0.62	0.01	(1.12)	1.99	(1.33)	3.89	Backtest
LLTC	0.74	0.06	0.07	0.41	0.04	0.07	(0.92)	1.98	(1.10)	3.76	Backtest
MSCC	1.53	0.30	0.24	0.62	0.81	0.17	(2.01)	4.02	(1.28)	8.49	Backtest
SMI	2.13	0.75	0.51	0.92	0.50	0.29	(2.82)	5.18	(2.17)	12.62	Backtest
IDTI	1.59	0.17	0.20	0.43	1.46	0.26	(1.91)	3.74	(2.19)	8.38	Backtest
INTC	0.80	0.18	0.00	0.71	0.68	0.0007	(0.91)	1.96	(1.18)	3.90	Backtest
ASX	1.17	(0.27)	(0.12)	0.11	1.46	(0.13)	(1.43)	3.46	(2.46)	7.50	Backtest
LRCX	0.94	0.38	0.33	0.78	0.00	0.23	(1.22)	1.65	(1.33)	7.36	Backtest
MRVL	0.86	0.83	0.41	(20.42)	0.00	0.40	(1.39)	2.17	(1.19)	5.24	Backtest
VSH	1.75	0.31	0.31	0.50	1.20	0.25	(2.28)	3.42	(3.31)	13.76	Backtest
SPRD	1.86	(1.03)	(0.23)	(0.35)	4.00	(0.34)	(1.37)	3.56	(4.45)	11.32	Backtest
SLAB	1.02	(0.36)	(0.08)	0.10	2.24	(0.12)	(0.95)	1.77	(1.89)	8.73	Backtest
SNPS	0.60	(0.05)	(0.09)	0.30	0.44	(0.10)	(0.77)	1.45	(1.40)	3.34	Backtest
KLAC	1.13	(0.39)	(0.03)	0.14	3.13	(0.05)	(1.04)	2.15	(1.41)	9.48	Backtest
TER	1.38	0.47	0.37	0.66	0.00	0.30	(1.59)	4.23	(1.94)	10.23	Backtest
MLNX	1.99	(0.19)	(0.07)	(0.05)	5.44	(0.11)	(1.55)	3.42	(3.77)	15.90	Backtest

Theme Landscape

Risk and return landscape for Semiconductor

Assets rated by market efficiency

Total return distribution analysis

Technical analysis of total daily returns

Semiconductor 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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