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Theme Landscape

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This theme covers public companies that diversify risk by investing accross different stocks, funds, or indexes 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 ETFs

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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
FXP	ProShares UltraShort FTSE China 25	0.39%	2.44%	0.96%	22.39	Strong Sell
ITA	iShares Dow Jones US Aerospace Defense	0.13%	0.89%	0.12%	82.86	Strong Buy
PEJ	PowerShares Dynamic Leisure Entertain	0.10%	1.02%	0.12%	28.77	Strong Buy
IYH	iShares Dow Jones US Healthcare	0.03%	0.97%	0.04%	103.03	Strong Buy
IJS	iShares S P SmallCap 600 Value Index	0.00%	0.97%	0.01%	95.58	Strong Buy
IJR	iShares Core S P SmallCap ETF	0.00%	0.94%	0.01%	92.38	Strong Buy
PSI	PowerShares Dynamic Semiconductors	0.00%	1.24%	0.00%	16.33	Strong Buy
IWV	iShares Russell 3000 Index	0.05%	0.84%	0.03%	98.49	Strong Buy
DLN	WisdomTree LargeCap Dividend	0.06%	0.78%	0.04%	61.68	Strong Buy
TMW	SPDR Dow Jones Total Market	0.06%	0.73%	0.03%	124.06	Strong Buy
VIG	Vanguard Dividend Appreciation ETF	0.07%	0.79%	0.05%	68.58	Strong Buy
IVW	iShares S P 500 Growth Index	0.07%	0.82%	0.05%	86.96	Strong Buy
MATH	Meidell Tactical Advantage ETF	0.07%	0.91%	0.05%	29.18	Strong Buy
FDL	First Trust Morningstar Div Leaders Idx	0.10%	0.75%	0.07%	21.31	Strong Buy
XLE	Energy Select Sector SPDR	0.11%	1.00%	0.10%	81.52	Strong Buy
IJK	iShares S P MidCap 400 Growth Index	0.12%	0.96%	0.10%	132.92	Strong Buy
CUT	Guggenheim Timber	0.17%	1.11%	0.18%	22.40	Strong Buy
DLS	WisdomTree International SmallCap Div	0.19%	0.97%	0.17%	56.36	Strong Buy
IDU	iShares Dow Jones US Utilities	0.22%	0.84%	0.17%	96.33	Strong Buy
EWW	iShares MSCI Mexico Capped Invstbl Mkt	0.33%	1.22%	0.40%	64.06	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

Distribution Greeks

Alpha (Return Over Market)

(0.0091)

Beta (Market Sensitivity)

0.81

Efficiency (Sharpe Ratio)

(0.06)

Risk (Volatility)

0.77

Expected Return

(0.04)

Technical analysis of total daily returns

Risk Adjusted Performance	(0.01)
Market Risk Adjusted Performance	(0.01)
Mean Deviation	0.5609
Semi-Deviation	0.7541
Downside Deviation	0.7474
Coefficient Of Variation	(7,802)
Standard Deviation	0.7059
Variance	0.4983
Information Ratio	0.0413
Jensen Alpha	0.02
Total Risk Alpha	0.0213
Sortino Ratio	0.039
Treynor Ratio	(0.02)
Maximum Drawdown	1.94
Value At Risk	(0.90)

ETFs Correlation Analysis

	IJS	PEJ	IJR	IYH	DLS	VIG	DLN	TMW	IVW	IWV	EWW	PSI	FDL	FXP	IDU	IJK	ITA	MATH	XLE
IJS		0.85	0.99	0.81	0.78	0.9	0.9	0.88	0.91	0.92	0.44	0.61	0.81	-0.82	0.69	0.87	0.88	0.72	0.86
PEJ	0.85		0.88	0.8	0.57	0.86	0.83	0.9	0.88	0.89	0.56	0.73	0.71	-0.59	0.61	0.88	0.94	0.68	0.75
IJR	0.99	0.88		0.84	0.78	0.92	0.91	0.91	0.93	0.94	0.46	0.66	0.83	-0.81	0.72	0.91	0.91	0.73	0.87
IYH	0.81	0.8	0.84		0.6	0.88	0.9	0.86	0.91	0.89	0.3	0.59	0.86	-0.66	0.69	0.85	0.81	0.77	0.77
DLS	0.78	0.57	0.78	0.6		0.81	0.83	0.78	0.81	0.83	0.32	0.62	0.7	-0.74	0.67	0.75	0.68	0.67	0.86
VIG	0.9	0.86	0.92	0.88	0.81		0.98	0.95	0.98	0.97	0.33	0.71	0.86	-0.72	0.7	0.87	0.89	0.78	0.9
DLN	0.9	0.83	0.91	0.9	0.83	0.98		0.94	0.98	0.98	0.36	0.64	0.9	-0.78	0.75	0.87	0.88	0.81	0.92
TMW	0.88	0.9	0.91	0.86	0.78	0.95	0.94		0.95	0.96	0.49	0.76	0.83	-0.7	0.67	0.91	0.92	0.73	0.9
IVW	0.91	0.88	0.93	0.91	0.81	0.98	0.98	0.95		1.0	0.44	0.73	0.88	-0.73	0.77	0.93	0.93	0.81	0.9
IWV	0.92	0.89	0.94	0.89	0.83	0.97	0.98	0.96	1.0		0.47	0.72	0.86	-0.75	0.76	0.94	0.94	0.79	0.92
EWW	0.44	0.56	0.46	0.3	0.32	0.33	0.36	0.49	0.44	0.47		0.4	0.41	-0.26	0.45	0.59	0.54	0.15	0.35
PSI	0.61	0.73	0.66	0.59	0.62	0.71	0.64	0.76	0.73	0.72	0.4		0.54	-0.39	0.53	0.76	0.72	0.54	0.59
FDL	0.81	0.71	0.83	0.86	0.7	0.86	0.9	0.83	0.88	0.86	0.41	0.54		-0.63	0.88	0.83	0.75	0.65	0.74
FXP	-0.82	-0.59	-0.81	-0.66	-0.74	-0.72	-0.78	-0.7	-0.73	-0.75	-0.26	-0.39	-0.63		-0.51	-0.67	-0.67	-0.63	-0.83
IDU	0.69	0.61	0.72	0.69	0.67	0.7	0.75	0.67	0.77	0.76	0.45	0.53	0.88	-0.51		0.82	0.71	0.58	0.61
IJK	0.87	0.88	0.91	0.85	0.75	0.87	0.87	0.91	0.93	0.94	0.59	0.76	0.83	-0.67	0.82		0.93	0.69	0.82
ITA	0.88	0.94	0.91	0.81	0.68	0.89	0.88	0.92	0.93	0.94	0.54	0.72	0.75	-0.67	0.71	0.93		0.7	0.82
MATH	0.72	0.68	0.73	0.77	0.67	0.78	0.81	0.73	0.81	0.79	0.15	0.54	0.65	-0.63	0.58	0.69	0.7		0.69
XLE	0.86	0.75	0.87	0.77	0.86	0.9	0.92	0.9	0.9	0.92	0.35	0.59	0.74	-0.83	0.61	0.82	0.82	0.69

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Correlation Matchups

High positive correlations

IWV	+ 1.0	IVW
IJR	+ 0.99	IJS
DLN	+ 0.98	VIG
IVW	+ 0.98	VIG
IVW	+ 0.98	DLN
IWV	+ 0.98	DLN
IWV	+ 0.97	VIG
IWV	+ 0.96	TMW

Insignificant Correlation

FXP

- 0.26

EWW

MATH	+ 0.15	EWW
EWW	+ 0.3	IYH

High negative correlations

XLE	- 0.83	FXP
FXP	- 0.82	IJS
FXP	- 0.81	IJR
FXP	- 0.78	DLN
FXP	- 0.75	IWV
FXP	- 0.74	DLS
FXP	- 0.73	IVW
FXP	- 0.72	VIG

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
IJS	0.85	0.05	0.04	0.00	1.04	0.05	(0.83)	1.37	(1.28)	2.70	Backtest
PEJ	0.80	0.16	0.14	0.10	0.87	0.15	(0.87)	1.93	(1.36)	3.83	Backtest
IJR	0.83	0.05	0.04	0.00	0.96	0.05	(0.88)	1.38	(1.28)	2.65	Backtest
IYH	0.79	0.08	0.06	0.02	1.07	0.07	(0.78)	1.38	(1.49)	3.15	Backtest
DLS	0.80	(0.13)	(0.10)	(0.19)	1.59	(0.14)	(0.56)	1.37	(1.68)	2.60	Backtest
VIG	0.66	(0.01)	(0.01)	(0.06)	0.99	(0.01)	(0.57)	1.31	(1.41)	2.21	Backtest
DLN	0.66	(0.01)	0.00	(0.05)	0.85	(0.0032)	(0.72)	1.14	(1.33)	2.22	Backtest
TMW	0.58	0.00	0.01	(0.05)	0.83	0.0096	(0.58)	1.17	(1.23)	2.31	Backtest
IVW	0.70	(0.01)	(0.01)	(0.06)	0.95	(0.0095)	(0.76)	1.30	(1.33)	2.26	Backtest
IWV	0.71	0.01	0.01	(0.04)	0.96	0.0059	(0.78)	1.29	(1.32)	2.35	Backtest
EWW	0.91	(0.38)	(0.29)	(0.65)	1.64	(0.29)	(1.64)	1.88	(1.78)	4.67	Backtest
PSI	1.01	0.05	0.03	0.00	1.34	0.03	(1.02)	2.06	(1.98)	4.28	Backtest
FDL	0.60	(0.04)	(0.03)	(0.10)	0.92	(0.04)	(0.55)	1.11	(1.24)	1.87	Backtest
FXP	2.05	0.84	0.41	(0.42)	2.01	0.40	(2.62)	4.20	(3.17)	8.30	Backtest
IDU	0.71	(0.14)	(0.13)	(0.24)	1.12	(0.15)	(0.63)	1.15	(1.54)	1.83	Backtest
IJK	0.80	(0.06)	(0.07)	(0.11)	1.11	(0.07)	(0.93)	1.36	(1.57)	2.52	Backtest
ITA	0.76	0.16	0.20	0.11	0.67	0.18	(0.92)	1.44	(1.21)	2.59	Backtest
MATH	0.77	(0.02)	(0.01)	(0.07)	1.17	(0.01)	(0.67)	1.26	(1.33)	2.63	Backtest
CUT	0.89	(0.13)	(0.12)	(0.15)	1.40	(0.12)	(1.08)	1.32	(1.68)	3.03	Backtest
XLE	0.82	(0.05)	(0.06)	(0.09)	1.08	(0.06)	(0.97)	1.44	(1.52)	3.12	Backtest