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Theme Landscape

Investment horizon:

30 Days Login to change

This theme covers companies that deliver final goods such as cars or clothing for consumption by consumers 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 Consumption

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Market

Theme Equities

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	Advice *
TM	Toyota Motor Corporation	0.48%	1.37%	0.66%	129.46	Strong Buy
BTI	British American Tobacco plc	0.46%	0.68%	0.32%	114.11	Hold
CCK	Crown Holdings Inc	0.43%	0.74%	0.32%	44.02	Strong Hold
PII	Polaris Industries Inc	0.32%	1.14%	0.37%	93.30	Strong Buy
FOSL	Fossil Inc	0.31%	2.34%	0.73%	107.45	Strong Buy
AAPL	Apple Inc	0.30%	1.68%	0.52%	441.66	Strong Hold
IBA	Industrias Bachoco SAB de CV	0.23%	1.11%	0.27%	34.12	Buy
HELE	Helen of Troy Limited	0.22%	1.46%	0.33%	38.04	Strong Buy
CSL	Carlisle Companies Incorporated	0.18%	1.19%	0.23%	66.94	Strong Buy
HAIN	The Hain Celestial Group Inc	0.15%	1.37%	0.22%	67.34	Strong Hold
PM	Philip Morris International Inc	0.14%	0.75%	0.11%	94.11	Buy
UN	Unilever NV	0.12%	1.02%	0.13%	42.13	Strong Buy
UL	Unilever plc	0.11%	0.86%	0.11%	43.34	Strong Buy
KO	The CocaCola Company	0.07%	0.69%	0.04%	42.42	Strong Buy
PEP	Pepsico Inc	0.07%	0.73%	0.04%	82.57	Strong Buy
PG	Procter Gamble Co	0.08%	1.63%	0.12%	78.86	Strong Buy
BUD	AnheuserBusch InBev SA-NV	0.18%	1.01%	0.17%	95.67	Strong Buy

* 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)

0.07

Beta (Market Sensitivity)

0.76

Efficiency (Sharpe Ratio)

0.47

Risk (Volatility)

0.62

Expected Return

0.30

Technical analysis of total daily returns

Risk Adjusted Performance	0.213
Market Risk Adjusted Performance	0.2569
Mean Deviation	0.4054
Downside Deviation	0.6795
Coefficient Of Variation	259.09
Standard Deviation	0.512
Variance	0.2621
Information Ratio	(0.22)
Jensen Alpha	(0.04)
Total Risk Alpha	(0.09)
Sortino Ratio	(0.16)
Treynor Ratio	0.2469
Maximum Drawdown	1.78
Value At Risk	(0.76)
Potential Upside	0.89

Consumption Correlation Analysis

	KO	BTI	BUD	CCK	UN	IBA	TM	UL	PEP	HAIN	HELE	PM	FOSL	CSL	PG	AAPL	PII
KO		-0.06	0.43	0.3	0.22	0.3	0.08	0.26	0.78	0.2	0.04	0.31	0.46	0.6	0.48	-0.29	0.35
BTI	-0.06		0.11	-0.01	0.01	0.14	0.45	-0.02	0.28	0.13	0.38	0.38	-0.09	0.12	0.26	0.13	0.19
BUD	0.43	0.11		0.38	0.07	0.03	0.46	0.1	0.38	-0.06	0.32	0.13	0.35	0.43	0.26	0.03	0.5
CCK	0.3	-0.01	0.38		0.55	0.18	0.24	0.51	0.38	-0.09	0.43	0.15	0.54	0.67	0.12	0.19	0.63
UN	0.22	0.01	0.07	0.55		0.03	0.08	0.98	0.28	-0.14	0.32	0.41	0.01	0.39	0.28	0.06	0.14
IBA	0.3	0.14	0.03	0.18	0.03		-0.12	0.1	0.21	0.04	-0.04	0.26	0.24	0.21	0.04	0.29	0.03
TM	0.08	0.45	0.46	0.24	0.08	-0.12		0.07	0.23	0.09	0.38	0.4	0.29	0.26	0.07	-0.03	0.68
UL	0.26	-0.02	0.1	0.51	0.98	0.1	0.07		0.3	-0.15	0.36	0.44	0.04	0.39	0.31	0.03	0.16
PEP	0.78	0.28	0.38	0.38	0.28	0.21	0.23	0.3		0.28	0.29	0.37	0.4	0.78	0.79	-0.24	0.45
HAIN	0.2	0.13	-0.06	-0.09	-0.14	0.04	0.09	-0.15	0.28		-0.15	0.28	-0.11	0.2	0.24	-0.14	0.33
HELE	0.04	0.38	0.32	0.43	0.32	-0.04	0.38	0.36	0.29	-0.15		0.04	0.11	0.41	0.29	-0.05	0.54
PM	0.31	0.38	0.13	0.15	0.41	0.26	0.4	0.44	0.37	0.28	0.04		0.15	0.05	0.16	-0.33	0.26
FOSL	0.46	-0.09	0.35	0.54	0.01	0.24	0.29	0.04	0.4	-0.11	0.11	0.15		0.41	0.02	-0.02	0.58
CSL	0.6	0.12	0.43	0.67	0.39	0.21	0.26	0.39	0.78	0.2	0.41	0.05	0.41		0.69	0.15	0.6
PG	0.48	0.26	0.26	0.12	0.28	0.04	0.07	0.31	0.79	0.24	0.29	0.16	0.02	0.69		-0.09	0.19
AAPL	-0.29	0.13	0.03	0.19	0.06	0.29	-0.03	0.03	-0.24	-0.14	-0.05	-0.33	-0.02	0.15	-0.09		-0.06
PII	0.35	0.19	0.5	0.63	0.14	0.03	0.68	0.16	0.45	0.33	0.54	0.26	0.58	0.6	0.19	-0.06

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Correlation Matchups

High positive correlations

UL	+ 0.98	UN
PG	+ 0.79	PEP
PEP	+ 0.78	KO
CSL	+ 0.78	PEP
PG	+ 0.69	CSL
PII	+ 0.68	TM
CSL	+ 0.67	CCK
PII	+ 0.63	CCK

Insignificant Correlation

CCK	- 0.01	BTI
UL	- 0.02	BTI
AAPL	- 0.02	FOSL
AAPL	- 0.03	TM

FOSL	+ 0.01	UN
UN	+ 0.01	BTI
PG	+ 0.02	FOSL
AAPL	+ 0.03	UL

High negative correlations

AAPL	- 0.33	PM
AAPL	- 0.29	KO
AAPL	- 0.24	PEP
HELE	- 0.15	HAIN
HAIN	- 0.15	UL
AAPL	- 0.14	HAIN
HAIN	- 0.14	UN
TM	- 0.12	IBA

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	0.56	(0.19)	(0.44)	(0.10)	0.81	(0.48)	(0.54)	0.94	(1.29)	2.27	Backtest
BTI	0.54	0.25	0.03	1.43	0.00	0.02	(0.73)	1.56	(0.71)	2.63	Backtest
BUD	0.86	(0.44)	(0.40)	(0.20)	1.34	(0.46)	(0.81)	1.43	(1.61)	3.05	Backtest
CCK	0.63	(0.02)	0.02	0.28	0.00	0.02	(0.81)	1.40	(0.64)	2.87	Backtest
UN	0.75	(0.17)	(0.18)	0.12	0.77	(0.17)	(0.84)	2.14	(1.57)	4.12	Backtest
IBA	0.95	0.16	(0.03)	0.76	0.83	(0.03)	(1.09)	1.71	(1.35)	3.56	Backtest
TM	1.07	0.31	0.27	0.56	0.46	0.25	(1.40)	2.93	(1.30)	4.42	Backtest
UL	0.62	(0.13)	(0.23)	0.13	0.68	(0.23)	(0.69)	1.66	(1.35)	3.72	Backtest
PEP	0.54	(0.29)	(0.36)	(0.07)	0.99	(0.47)	(0.47)	0.90	(1.44)	2.96	Backtest
HAIN	1.02	0.14	(0.07)	0.94	1.08	(0.06)	(1.18)	2.54	(1.53)	6.03	Backtest
HELE	1.16	(0.18)	0.01	0.19	1.35	0.01	(1.32)	1.98	(1.79)	6.43	Backtest
PM	0.67	0.00	(0.23)	0.30	0.65	(0.25)	(0.69)	0.98	(0.89)	2.30	Backtest
FOSL	1.46	0.09	0.23	0.34	1.14	0.18	(1.89)	2.97	(2.35)	11.37	Backtest
CSL	0.95	(0.28)	(0.06)	0.13	1.19	(0.07)	(1.05)	1.62	(1.97)	5.11	Backtest
PG	0.99	(0.43)	(0.18)	(0.13)	2.46	(0.26)	(0.81)	1.40	(1.17)	7.97	Backtest
AAPL	1.39	0.50	0.12	16.89	1.34	0.12	(1.72)	2.94	(2.39)	6.48	Backtest
PII	0.85	(0.12)	0.04	0.23	0.99	0.06	(0.99)	1.75	(1.37)	4.22	Backtest

Theme Landscape

Risk and return landscape for Consumption

Assets rated by market efficiency

Total return distribution analysis

Technical analysis of total daily returns

Consumption 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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