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Theme Landscape

Investment horizon:

30 Days Login to change

This theme covers companies involved in production of silicon and other synthetic products 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 Synthetics

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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
SCEI	Sino Clean Energy Inc	0.17%	4.79%	0.82%	0.29	Strong Sell
BLGO	BioLargo Inc	0.10%	10.43%	1.02%	0.28	Strong Hold
HWKN	Hawkins Inc	0.04%	1.72%	0.09%	40.75	Strong Buy
MTX	Minerals Technologies Inc	0.03%	0.95%	0.04%	43.12	Strong Buy
ANNO	American Nano Silicon Technology Inc	0.00%	0.00%	0.00%	0.01	Not Rated
GLTC	GelTech Solutions Inc	0.04%	2.99%	0.11%	1.00	Strong Hold
NL	NL Industries Inc	0.15%	1.23%	0.17%	11.40	Strong Buy
AXLL	Axiall Corporation	0.16%	2.14%	0.33%	44.79	Strong Hold
KBLB	Kraig Biocraft Laboratories Inc	0.41%	3.94%	1.60%	0.07	Strong Sell

* 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)

(0.06)

Beta (Market Sensitivity)

0.56

Efficiency (Sharpe Ratio)

(0.08)

Risk (Volatility)

1.16

Expected Return

(0.08)

Technical analysis of total daily returns

Risk Adjusted Performance	(0.01)
Market Risk Adjusted Performance	(0.06)
Mean Deviation	0.9801
Semi-Deviation	1.16
Downside Deviation	1.15
Coefficient Of Variation	(5,652)
Standard Deviation	1.56
Variance	2.44
Information Ratio	0.0068
Jensen Alpha	(0.01)
Total Risk Alpha	0.0516
Sortino Ratio	0.0092
Treynor Ratio	(0.07)
Maximum Drawdown	7.81
Value At Risk	(1.64)

Synthetics Correlation Analysis

	NL	AXLL	HWKN	GLTC	MTX
NL		0.09	0.84	0.61	0.8
AXLL	0.09		0.13	0.23	0.15
HWKN	0.84	0.13		0.47	0.85
GLTC	0.61	0.23	0.47		0.37
MTX	0.8	0.15	0.85	0.37

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Correlation Matchups

High positive correlations

MTX	+ 0.85	HWKN
HWKN	+ 0.84	NL
MTX	+ 0.8	NL
GLTC	+ 0.61	NL
GLTC	+ 0.47	HWKN
MTX	+ 0.37	GLTC
GLTC	+ 0.23	AXLL
MTX	+ 0.15	AXLL

Insignificant Correlation

AXLL	+ 0.09	NL
HWKN	+ 0.13	AXLL
MTX	+ 0.15	AXLL
GLTC	+ 0.23	AXLL

High negative correlations

Not Found

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
NL	1.04	(0.13)	(0.11)	(0.16)	1.36	(0.10)	(1.33)	1.91	(1.52)	4.09	Backtest
ANNO	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	Backtest
AXLL	1.59	(0.32)	(0.13)	(0.58)	2.51	(0.14)	(1.98)	2.72	(4.35)	7.29	Backtest
HWKN	1.37	0.14	0.07	0.05	1.52	0.07	(1.69)	3.01	(2.63)	6.62	Backtest
GLTC	2.46	0.30	0.06	0.17	3.29	0.08	(2.94)	4.60	(5.15)	10.71	Backtest
KBLB	2.74	(1.65)	0.00	2.04	0.00	(0.39)	0.00	0.00	(11.11)	11.11	Backtest
BLGO	5.37	1.11	0.08	0.48	5.38	0.10	(19.81)	11.43	(7.41)	60.00	Backtest
MTX	0.77	0.07	0.08	0.03	0.84	0.08	(0.93)	1.32	(1.49)	3.72	Backtest
SCEI	2.87	0.74	0.11	(0.60)	2.47	0.17	(8.36)	10.00	(3.85)	19.03	Backtest