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Theme Landscape

Investment horizon:

30 Days Login to change

This theme covers entities manufacturing and distributing non alcoholic beverages across different markets 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 Soft Drinks

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Hypothetical Portfolio

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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
JSDA	Jones Soda Co	0.24%	5.61%	1.36%	0.63	Strong Sell
ELDO	Eldorado Artesian Springs Inc	0.14%	16.96%	2.39%	0.63	Strong Hold
MNST	Monster Beverage Corporation	0.11%	2.70%	0.31%	59.63	Strong Buy
FHWY	FITT Highway Products Inc	0.10%	69.66%	6.67%	0.06	Strong Sell
SPU	SkyPeople Fruit Juice Inc	0.05%	1.37%	0.08%	2.15	Strong Buy
SENZ	Sport Endurance Inc	0.00%	0.00%	0.00%	0.51	Not Rated
FBEC	Frontier Beverage Company Inc	0.00%	0.00%	0.00%	0.03	Not Rated
PEP	Pepsico Inc	0.02%	0.60%	0.00%	82.57	Buy
REED	REEDS Inc	0.04%	1.75%	0.05%	4.84	Sell
CCH	CocaCola HBC AG	0.10%	2.07%	0.19%	25.45	Strong Hold
DPS	Dr Pepper Snapple Group Inc	0.12%	1.13%	0.13%	47.43	Buy
KO	The CocaCola Company	0.14%	1.20%	0.16%	40.93	Strong Buy
AKO-B	Embotelladora Andina SA	0.16%	1.76%	0.26%	36.89	Hold
NLEF	New Leaf Brands Inc	0.22%	15.97%	3.57%	0.01	Strong Hold
AKO-A	Embotelladora Andina SA	0.23%	1.71%	0.38%	28.60	Sell
CCE	CocaCola Enterprises Inc	0.24%	1.02%	0.23%	36.49	Strong Buy
LBIX	Leading Brands Inc	0.25%	4.61%	1.13%	3.40	Strong Hold
KOF	CocaCola FEMSA SAB de CV	0.30%	1.56%	0.46%	141.82	Strong Buy
COT	Cott Corporation	0.49%	0.93%	0.44%	7.97	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

Distribution Greeks

Alpha (Return Over Market)

(0.20)

Beta (Market Sensitivity)

(0.32)

Efficiency (Sharpe Ratio)

(0.27)

Risk (Volatility)

0.74

Expected Return

(0.19)

Technical analysis of total daily returns

Risk Adjusted Performance	0.0479
Market Risk Adjusted Performance	(0.55)
Mean Deviation	1.92
Semi-Deviation	2.3
Downside Deviation	2.82
Coefficient Of Variation	2106.9
Standard Deviation	4.01
Variance	16.11
Information Ratio	0.057
Jensen Alpha	0.1651
Total Risk Alpha	0.4098
Sortino Ratio	0.0812
Treynor Ratio	(0.56)
Maximum Drawdown	21.66
Value At Risk	(3.96)

Soft Drinks Correlation Analysis

	KO	CCH	KOF	MNST	COT	FHWY	CCE	PEP	LBIX	DPS	REED	AKO-A	AKO-B	SPU
KO		0.13	0.3	0.39	0.09	0.02	0.64	0.79	0.13	0.72	-0.17	-0.34	-0.17	0.36
CCH	0.13		-0.22	-0.02	0.11	0.25	0.08	0.33	-0.17	0.34	-0.17	0.03	-0.08	-0.28
KOF	0.3	-0.22		0.21	0.01	-0.19	0.28	0.2	-0.05	0.02	-0.34	0.09	0.15	-0.2
MNST	0.39	-0.02	0.21		0.22	0.05	0.36	0.26	0.1	0.01	-0.25	-0.07	0.0	0.03
COT	0.09	0.11	0.01	0.22		-0.38	0.28	0.08	0.07	0.28	0.13	-0.13	-0.17	-0.09
FHWY	0.02	0.25	-0.19	0.05	-0.38		-0.05	0.23	0.05	0.12	-0.19	0.11	0.03	0.04
CCE	0.64	0.08	0.28	0.36	0.28	-0.05		0.49	0.39	0.54	-0.08	-0.31	-0.16	0.38
PEP	0.79	0.33	0.2	0.26	0.08	0.23	0.49		0.12	0.66	-0.19	-0.24	-0.26	0.42
LBIX	0.13	-0.17	-0.05	0.1	0.07	0.05	0.39	0.12		0.22	-0.19	-0.49	-0.51	0.17
DPS	0.72	0.34	0.02	0.01	0.28	0.12	0.54	0.66	0.22		-0.06	-0.51	-0.5	0.33
REED	-0.17	-0.17	-0.34	-0.25	0.13	-0.19	-0.08	-0.19	-0.19	-0.06		0.0	0.08	0.06
AKO-A	-0.34	0.03	0.09	-0.07	-0.13	0.11	-0.31	-0.24	-0.49	-0.51	0.0		0.91	-0.26
AKO-B	-0.17	-0.08	0.15	0.0	-0.17	0.03	-0.16	-0.26	-0.51	-0.5	0.08	0.91		-0.22
SPU	0.36	-0.28	-0.2	0.03	-0.09	0.04	0.38	0.42	0.17	0.33	0.06	-0.26	-0.22

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Correlation Matchups

High positive correlations

AKO-B	+ 0.91	AKO-A
PEP	+ 0.79	KO
DPS	+ 0.72	KO
DPS	+ 0.66	PEP
CCE	+ 0.64	KO
DPS	+ 0.54	CCE
PEP	+ 0.49	CCE
SPU	+ 0.42	PEP

Insignificant Correlation

AKO-B	- 0.0	MNST
AKO-A	- 0.0	REED
MNST	- 0.02	CCH
LBIX	- 0.05	KOF

AKO-A	+ 0.0	REED
AKO-B	+ 0.0	MNST
DPS	+ 0.01	MNST
COT	+ 0.01	KOF

High negative correlations

AKO-A	- 0.51	DPS
AKO-B	- 0.51	LBIX
AKO-B	- 0.5	DPS
AKO-A	- 0.49	LBIX
FHWY	- 0.38	COT
REED	- 0.34	KOF
AKO-A	- 0.34	KO
AKO-A	- 0.31	CCE

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
KO	0.96	(0.12)	(0.09)	(0.18)	1.53	(0.10)	(0.93)	1.52	(1.91)	3.91	Backtest
CCH	2.89	(0.57)	0.00	(4.84)	0.00	(0.14)	0.00	4.64	(6.69)	6.69	Backtest
KOF	1.17	(0.42)	(0.25)	(0.50)	2.14	(0.26)	(1.38)	2.25	(2.95)	5.64	Backtest
MNST	1.57	0.32	0.19	0.70	1.40	0.13	(1.92)	3.15	(1.64)	14.87	Backtest
SENZ	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	Backtest
COT	0.80	(0.45)	(0.33)	(3.25)	1.67	(0.43)	(0.62)	0.99	(1.72)	2.86	Backtest
FHWY	48.06	10.87	0.00	(0.72)	0.00	0.12	0.00	300.00	(85.00)	385.00	Backtest
NLEF	7.13	(3.56)	0.00	(0.89)	0.00	(0.22)	0.00	0.00	0.00	75.00	Backtest
CCE	0.72	(0.20)	(0.14)	(0.27)	1.74	(0.19)	(0.54)	0.84	(2.13)	4.18	Backtest
ELDO	9.12	2.63	0.00	0.98	0.00	0.14	0.00	40.00	(10.00)	66.25	Backtest
PEP	0.47	0.01	0.05	(0.02)	0.76	0.06	(0.41)	0.78	(1.02)	2.15	Backtest
LBIX	3.57	(1.08)	(0.15)	(0.51)	8.26	(0.24)	(2.08)	4.87	(7.92)	20.34	Backtest
FBEC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	Backtest
DPS	0.93	(0.11)	(0.07)	(0.25)	1.38	(0.08)	(0.93)	1.55	(2.09)	3.32	Backtest
REED	1.32	(0.10)	(0.01)	0.08	1.44	(0.0084)	(1.91)	2.44	(1.70)	7.45	Backtest
JSDA	4.42	1.22	0.33	(0.53)	3.38	0.24	(6.52)	12.24	(6.45)	19.26	Backtest
AKO-A	1.35	(0.42)	(0.18)	0.71	2.34	(0.20)	(1.29)	2.85	(2.40)	6.76	Backtest
AKO-B	1.29	(0.29)	(0.13)	0.91	1.94	(0.12)	(1.90)	2.90	(2.72)	7.52	Backtest
SPU	1.02	0.09	0.09	0.13	0.98	0.08	(1.60)	2.83	(1.83)	5.53	Backtest