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Theme Landscape

Investment horizon:

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This theme covers companies providing different types of retail and wholesale services 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 Stores

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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 *
DDS	Dillards Inc	0.79%	0.92%	0.73%	93.69	Strong Hold
ARO	Aeropostale Inc	0.58%	1.96%	1.15%	16.52	Strong Buy
HIBB	Hibbett Sports Inc	0.57%	1.27%	0.73%	61.50	Buy
AXE	Anixter International Inc	0.49%	1.38%	0.68%	76.37	Strong Buy
DKS	Dicks Sporting Goods Inc	0.48%	1.03%	0.50%	52.75	Strong Hold
ASNA	Ascena Retail Group Inc	0.46%	1.36%	0.63%	20.21	Strong Buy
WSO	Watsco Inc	0.41%	0.90%	0.38%	89.16	Strong Buy
SPLS	Staples Inc	0.36%	1.62%	0.60%	14.75	Strong Buy
GNC	GNC Holdings Inc	0.33%	1.31%	0.44%	45.78	Strong Buy
BID	Sothebys	0.25%	1.83%	0.46%	37.39	Strong Buy
HD	The Home Depot Inc	0.25%	0.69%	0.19%	78.71	Strong Buy
ARG	Airgas Inc	0.23%	1.22%	0.29%	102.85	Strong Buy
BLKIB	Belk Inc	0.23%	4.47%	1.05%	49.55	Hold
CSTR	Coinstar Inc	0.22%	1.66%	0.38%	58.54	Strong Buy
IM	Ingram Micro Inc	0.18%	1.45%	0.28%	18.47	Strong Buy
ODP	Office Depot Inc	0.17%	2.24%	0.40%	4.17	Strong Buy
DEG	Etablissements Delhaize Fr	0.13%	1.36%	0.19%	64.00	Buy
MTSCD	Metcash Limited	0.01%	0.85%	0.02%	3.33	Strong Buy
WMT	WalMart Stores Inc	0.05%	0.85%	0.03%	77.39	Strong Buy
SVW	Seven Group Holdings Limited	0.13%	3.32%	0.42%	7.47	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)

0.13

Beta (Market Sensitivity)

1.05

Efficiency (Sharpe Ratio)

0.60

Risk (Volatility)

0.73

Expected Return

0.45

Technical analysis of total daily returns

Risk Adjusted Performance	0.2954
Market Risk Adjusted Performance	0.4118
Mean Deviation	0.6409
Downside Deviation	0.9515
Coefficient Of Variation	189.65
Standard Deviation	0.8191
Variance	0.6709
Information Ratio	0.1511
Jensen Alpha	0.1088
Total Risk Alpha	(0.02)
Sortino Ratio	0.13
Treynor Ratio	0.4018
Maximum Drawdown	3.17
Value At Risk	(1.06)
Potential Upside	1.37

Stores Correlation Analysis

	SPLS	BID	HIBB	HD	IM	ARG	DKS	DEG	GNC	WSO	WMT	CSTR	SVW	ARO	DDS	AXE	ASNA	ODP	MTSCD
SPLS		0.11	0.06	0.54	0.28	0.29	0.29	-0.32	-0.34	0.34	-0.23	0.37	-0.08	0.39	0.0	-0.04	0.43	0.53	-0.16
BID	0.11		0.54	0.09	0.28	0.49	0.37	0.33	0.35	0.75	-0.03	0.58	0.21	0.23	0.43	0.71	0.43	0.26	0.08
HIBB	0.06	0.54		0.13	0.3	0.55	0.69	0.16	0.11	0.51	0.24	0.46	0.1	0.43	0.34	0.56	0.54	0.35	0.2
HD	0.54	0.09	0.13		0.08	0.31	0.35	-0.08	-0.05	0.26	0.22	0.16	-0.21	-0.07	-0.12	0.0	0.2	0.46	-0.07
IM	0.28	0.28	0.3	0.08		0.26	0.38	0.2	-0.46	0.44	0.06	0.16	0.21	0.52	0.35	0.49	0.51	0.37	-0.12
ARG	0.29	0.49	0.55	0.31	0.26		0.38	-0.11	0.15	0.69	0.02	0.6	0.09	0.53	0.41	0.52	0.5	0.4	0.22
DKS	0.29	0.37	0.69	0.35	0.38	0.38		0.23	0.07	0.54	0.52	0.48	-0.02	0.43	0.41	0.37	0.58	0.31	0.35
DEG	-0.32	0.33	0.16	-0.08	0.2	-0.11	0.23		0.17	0.32	0.11	0.02	-0.29	-0.27	0.17	0.25	-0.31	-0.01	0.07
GNC	-0.34	0.35	0.11	-0.05	-0.46	0.15	0.07	0.17		0.28	0.2	0.05	0.25	0.04	0.05	0.29	-0.07	-0.05	0.48
WSO	0.34	0.75	0.51	0.26	0.44	0.69	0.54	0.32	0.28		0.08	0.62	0.13	0.43	0.46	0.72	0.49	0.44	0.24
WMT	-0.23	-0.03	0.24	0.22	0.06	0.02	0.52	0.11	0.2	0.08		0.12	0.05	0.13	0.3	0.21	0.35	0.16	0.19
CSTR	0.37	0.58	0.46	0.16	0.16	0.6	0.48	0.02	0.05	0.62	0.12		0.2	0.29	0.74	0.4	0.59	0.21	0.18
SVW	-0.08	0.21	0.1	-0.21	0.21	0.09	-0.02	-0.29	0.25	0.13	0.05	0.2		0.36	0.36	0.46	0.42	-0.23	0.21
ARO	0.39	0.23	0.43	-0.07	0.52	0.53	0.43	-0.27	0.04	0.43	0.13	0.29	0.36		0.38	0.49	0.74	0.51	0.07
DDS	0.0	0.43	0.34	-0.12	0.35	0.41	0.41	0.17	0.05	0.46	0.3	0.74	0.36	0.38		0.52	0.6	0.04	0.01
AXE	-0.04	0.71	0.56	0.0	0.49	0.52	0.37	0.25	0.29	0.72	0.21	0.4	0.46	0.49	0.52		0.53	0.38	0.09
ASNA	0.43	0.43	0.54	0.2	0.51	0.5	0.58	-0.31	-0.07	0.49	0.35	0.59	0.42	0.74	0.6	0.53		0.41	0.01
ODP	0.53	0.26	0.35	0.46	0.37	0.4	0.31	-0.01	-0.05	0.44	0.16	0.21	-0.23	0.51	0.04	0.38	0.41		-0.26
MTSCD	-0.16	0.08	0.2	-0.07	-0.12	0.22	0.35	0.07	0.48	0.24	0.19	0.18	0.21	0.07	0.01	0.09	0.01	-0.26

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Correlation Matchups

High positive correlations

WSO	+ 0.75	BID
DDS	+ 0.74	CSTR
ASNA	+ 0.74	ARO
AXE	+ 0.72	WSO
AXE	+ 0.71	BID
DKS	+ 0.69	HIBB
WSO	+ 0.69	ARG
CSTR	+ 0.62	WSO

Insignificant Correlation

DDS	- 0.0	SPLS
AXE	- 0.0	HD
ODP	- 0.01	DEG
SVW	- 0.02	DKS

AXE	+ 0.0	HD
DDS	+ 0.0	SPLS
MTSCD	+ 0.01	ASNA
MTSCD	+ 0.01	DDS

High negative correlations

GNC	- 0.46	IM
GNC	- 0.34	SPLS
DEG	- 0.32	SPLS
ASNA	- 0.31	DEG
SVW	- 0.29	DEG
ARO	- 0.27	DEG
MTSCD	- 0.26	ODP
ODP	- 0.23	SVW

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
SPLS	1.16	0.42	0.12	1.05	1.38	0.17	(1.33)	2.71	(1.13)	4.47	Backtest
BID	1.32	(0.24)	0.07	0.19	1.73	0.08	(1.50)	2.77	(1.69)	7.72	Backtest
HIBB	1.05	0.24	0.37	0.45	0.00	0.32	(1.32)	2.52	(1.22)	4.74	Backtest
HD	0.54	0.02	(0.17)	0.34	0.34	(0.17)	(0.65)	0.87	(0.80)	3.21	Backtest
IM	0.98	(0.11)	(0.01)	0.21	1.49	(0.02)	(1.12)	2.06	(1.04)	6.72	Backtest
ARG	0.95	(0.15)	(0.01)	0.19	0.77	(0.01)	(1.27)	2.05	(1.08)	4.35	Backtest
DKS	0.87	0.13	0.27	0.40	0.00	0.19	(1.14)	2.28	(0.60)	3.49	Backtest
DEG	0.91	(0.14)	(0.07)	0.17	1.22	(0.09)	(0.90)	2.40	(2.92)	5.71	Backtest
GNC	1.08	0.24	0.15	0.67	0.21	0.10	(1.40)	1.96	(1.10)	5.59	Backtest
WSO	0.67	(0.08)	0.08	0.25	0.46	0.07	(0.91)	1.77	(0.85)	3.23	Backtest
WMT	0.72	(0.20)	(0.34)	(0.08)	1.03	(0.39)	(0.72)	1.37	(1.34)	3.14	Backtest
CSTR	1.32	(0.08)	0.04	0.25	1.21	0.04	(1.53)	3.32	(2.38)	5.84	Backtest
SVW	5.19	(1.76)	0.00	44.21	0.00	(0.28)	0.00	5.26	(13.99)	2.82	Backtest
ARO	1.69	0.76	0.56	0.89	0.27	0.42	(2.25)	4.15	(1.54)	6.30	Backtest
DDS	0.79	0.53	0.73	1.08	0.00	0.45	(1.19)	2.20	(0.51)	3.35	Backtest
AXE	0.98	0.13	0.22	0.37	0.75	0.27	(1.30)	2.12	(0.99)	7.34	Backtest
ASNA	1.10	0.25	0.26	0.50	0.45	0.23	(1.49)	2.52	(1.44)	5.79	Backtest
ODP	1.99	(0.20)	0.05	0.20	1.66	0.04	(2.72)	3.77	(3.11)	7.96	Backtest
BLKIB	1.94	1.35	0.00	(1.00)	0.00	0.16	0.00	1.53	0.00	21.39	Backtest
MTSCD	0.80	(0.14)	(0.26)	0.03	0.90	(0.25)	(1.07)	2.67	(1.67)	4.10	Backtest

Theme Landscape

Risk and return landscape for Stores

Assets rated by market efficiency

Total return distribution analysis

Technical analysis of total daily returns

Stores 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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