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Theme Landscape

Investment horizon:

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Risk and return landscape for Financials

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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 *
WFC	Wells Fargo Company	0.58%	0.78%	0.47%	40.68	Strong Hold
CNS	Cohen Steers Inc	0.52%	0.98%	0.52%	42.93	Strong Hold
PSB	PS Business Parks Inc	0.52%	0.85%	0.45%	85.72	Strong Hold
C	Citigroup Inc	0.48%	1.28%	0.62%	51.66	Strong Buy
EPR	EPR Properties	0.48%	1.03%	0.50%	60.70	Strong Buy
JPM	JPMorgan Chase Co	0.45%	1.14%	0.52%	53.02	Strong Buy
BAC	Bank of America Corporation	0.43%	1.46%	0.63%	13.44	Strong Hold
IBOC	International Bancshares Corporation	0.41%	1.56%	0.65%	21.60	Strong Buy
CLP	Colonial Properties Trust	0.35%	0.93%	0.33%	24.73	Strong Buy
V	Visa Inc	0.31%	1.53%	0.49%	181.55	Strong Buy
AFG	American Financial Group Inc	0.27%	0.65%	0.19%	48.99	Strong Buy
FCFS	First Cash Financial Services Inc	0.22%	1.17%	0.27%	55.36	Strong Buy
PHH	PHH Corporation	0.22%	1.66%	0.38%	21.65	Strong Buy
1398	Industrial and Commercial Bank of China Limited	0.21%	1.07%	0.23%	5.53	Strong Hold
CBG	CBRE Group Inc	0.20%	1.26%	0.26%	25.08	Strong Buy
2628	China Life Insurance Co Ltd	0.20%	1.45%	0.30%	21.60	Strong Hold
0388	Hong Kong Exchanges and Clearing Ltd	0.17%	1.23%	0.22%	133.80	Strong Hold
BBDC4	Banco Bradesco SA	0.16%	0.58%	0.10%	34.85	Buy
HDB	HDFC Bank Ltd	0.04%	1.36%	0.06%	42.01	Strong Buy
MRH	Montpelier Re Holdings Ltd	0.10%	1.25%	0.11%	24.84	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)

0.06

Beta (Market Sensitivity)

1.02

Efficiency (Sharpe Ratio)

0.52

Risk (Volatility)

0.69

Expected Return

0.37

Technical analysis of total daily returns

Risk Adjusted Performance	0.2878
Market Risk Adjusted Performance	0.3482
Mean Deviation	0.5095
Downside Deviation	0.8286
Coefficient Of Variation	189.4
Standard Deviation	0.6724
Variance	0.4521
Information Ratio	0.0788
Jensen Alpha	0.0472
Total Risk Alpha	(0.02)
Sortino Ratio	0.064
Treynor Ratio	0.3382
Maximum Drawdown	2.41
Value At Risk	(0.89)
Potential Upside	1.19

Financials Correlation Analysis

	IBOC	CBG	BBDC4	C	CNS	FCFS	PSB	WFC	BAC	0388	CLP	2628	MRH	V	JPM	HDB	AFG	EPR	PHH	1398
IBOC		0.41	0.09	0.66	0.7	0.61	0.68	0.59	0.47	0.02	0.67	0.01	0.56	0.48	0.47	0.15	0.81	0.58	0.24	0.26
CBG	0.41		-0.24	0.73	0.51	0.21	0.36	0.57	0.44	0.28	0.36	0.0	0.63	0.32	0.6	0.34	0.38	0.63	0.24	0.2
BBDC4	0.09	-0.24		-0.03	-0.08	0.45	0.19	-0.1	-0.21	-0.5	0.37	-0.2	-0.06	-0.1	-0.1	-0.23	-0.05	-0.14	-0.02	-0.36
C	0.66	0.73	-0.03		0.55	0.46	0.43	0.68	0.63	0.03	0.42	-0.04	0.54	0.48	0.73	0.51	0.64	0.54	0.48	0.12
CNS	0.7	0.51	-0.08	0.55		0.5	0.45	0.64	0.28	0.04	0.44	-0.18	0.33	0.55	0.39	-0.08	0.54	0.63	0.04	-0.05
FCFS	0.61	0.21	0.45	0.46	0.5		0.42	0.27	0.31	-0.2	0.36	-0.03	0.23	0.67	0.2	0.17	0.42	0.42	0.02	-0.07
PSB	0.68	0.36	0.19	0.43	0.45	0.42		0.5	0.16	0.16	0.67	-0.15	0.46	0.31	0.31	0.1	0.54	0.47	0.17	0.41
WFC	0.59	0.57	-0.1	0.68	0.64	0.27	0.5		0.41	0.0	0.56	-0.16	0.37	0.25	0.77	0.29	0.58	0.61	0.49	0.15
BAC	0.47	0.44	-0.21	0.63	0.28	0.31	0.16	0.41		0.34	0.17	0.51	0.49	0.14	0.46	0.29	0.46	0.25	0.38	0.25
0388	0.02	0.28	-0.5	0.03	0.04	-0.2	0.16	0.0	0.34		-0.12	0.51	0.14	0.1	-0.04	0.16	0.03	0.14	-0.3	0.58
CLP	0.67	0.36	0.37	0.42	0.44	0.36	0.67	0.56	0.17	-0.12		-0.19	0.4	0.01	0.53	0.09	0.62	0.48	0.4	0.11
2628	0.01	0.0	-0.2	-0.04	-0.18	-0.03	-0.15	-0.16	0.51	0.51	-0.19		0.12	-0.05	-0.19	-0.14	0.08	-0.07	-0.1	0.22
MRH	0.56	0.63	-0.06	0.54	0.33	0.23	0.46	0.37	0.49	0.14	0.4	0.12		0.08	0.27	0.23	0.6	0.4	0.15	0.53
V	0.48	0.32	-0.1	0.48	0.55	0.67	0.31	0.25	0.14	0.1	0.01	-0.05	0.08		0.26	0.37	0.36	0.59	-0.18	0.03
JPM	0.47	0.6	-0.1	0.73	0.39	0.2	0.31	0.77	0.46	-0.04	0.53	-0.19	0.27	0.26		0.59	0.52	0.58	0.57	0.08
HDB	0.15	0.34	-0.23	0.51	-0.08	0.17	0.1	0.29	0.29	0.16	0.09	-0.14	0.23	0.37	0.59		0.27	0.3	0.29	0.39
AFG	0.81	0.38	-0.05	0.64	0.54	0.42	0.54	0.58	0.46	0.03	0.62	0.08	0.6	0.36	0.52	0.27		0.51	0.39	0.42
EPR	0.58	0.63	-0.14	0.54	0.63	0.42	0.47	0.61	0.25	0.14	0.48	-0.07	0.4	0.59	0.58	0.3	0.51		-0.02	0.17
PHH	0.24	0.24	-0.02	0.48	0.04	0.02	0.17	0.49	0.38	-0.3	0.4	-0.1	0.15	-0.18	0.57	0.29	0.39	-0.02		-0.06
1398	0.26	0.2	-0.36	0.12	-0.05	-0.07	0.41	0.15	0.25	0.58	0.11	0.22	0.53	0.03	0.08	0.39	0.42	0.17	-0.06

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Correlation Matchups

High positive correlations

AFG	+ 0.81	IBOC
JPM	+ 0.77	WFC
C	+ 0.73	CBG
JPM	+ 0.73	C
CNS	+ 0.7	IBOC
PSB	+ 0.68	IBOC
WFC	+ 0.68	C
CLP	+ 0.67	IBOC

Insignificant Correlation

2628	- 0.0	CBG
0388	- 0.0	WFC
PHH	- 0.02	BBDC4
PHH	- 0.02	EPR

0388	+ 0.0	WFC
2628	+ 0.0	CBG
V	+ 0.01	CLP
2628	+ 0.01	IBOC

High negative correlations

0388	- 0.5	BBDC4
1398	- 0.36	BBDC4
PHH	- 0.3	0388
BBDC4	- 0.24	CBG
HDB	- 0.23	BBDC4
BAC	- 0.21	BBDC4
0388	- 0.2	FCFS
2628	- 0.2	BBDC4

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
IBOC	1.19	(0.03)	0.16	0.28	1.17	0.22	(1.37)	2.96	(1.22)	6.05	Backtest
CBG	1.00	(0.13)	(0.03)	0.19	0.95	(0.03)	(1.18)	2.00	(1.83)	4.56	Backtest
BBDC4	1.09	0.40	0.00	3.95	0.00	0.11	0.00	2.02	(1.01)	2.60	Backtest
C	1.08	0.07	0.29	0.33	0.04	0.24	(1.37)	2.50	(1.42)	4.59	Backtest
CNS	0.73	0.11	0.21	0.37	0.00	0.22	(1.01)	2.27	(0.63)	4.37	Backtest
FCFS	0.99	(0.23)	(0.03)	0.16	0.71	(0.03)	(1.24)	1.99	(1.21)	3.79	Backtest
PSB	0.63	0.17	0.21	0.48	0.00	0.17	(0.77)	2.27	(0.83)	3.14	Backtest
WFC	0.60	0.18	0.14	0.48	0.00	0.21	(0.84)	1.47	(1.37)	2.78	Backtest
BAC	1.04	0.29	0.45	0.54	0.00	0.22	(1.44)	2.99	(0.84)	6.07	Backtest
0388	1.06	0.28	(0.03)	(2.50)	0.70	(0.03)	(1.70)	2.91	(1.66)	4.06	Backtest
CLP	0.70	0.09	0.02	0.41	0.84	0.03	(0.84)	1.44	(1.30)	3.60	Backtest
2628	1.26	0.37	0.05	(18.05)	1.07	0.04	(1.79)	4.23	(3.15)	7.38	Backtest
MRH	1.00	(0.39)	(0.26)	(0.13)	1.64	(0.32)	(0.88)	1.57	(2.49)	4.65	Backtest
V	1.05	(0.14)	0.19	0.23	0.28	0.12	(1.30)	2.65	(1.45)	7.25	Backtest
JPM	0.96	0.18	0.20	0.45	0.43	0.19	(1.19)	1.99	(1.45)	3.77	Backtest
HDB	1.08	(0.17)	(0.14)	0.07	1.47	(0.17)	(1.05)	1.98	(2.45)	5.31	Backtest
AFG	0.53	(0.06)	(0.15)	0.22	0.34	(0.17)	(0.58)	1.11	(0.92)	2.50	Backtest
EPR	0.85	0.12	0.14	0.39	0.72	0.19	(1.05)	1.75	(1.26)	3.56	Backtest
PHH	1.35	0.08	0.05	0.37	1.22	0.05	(1.60)	2.80	(1.38)	6.17	Backtest
1398	0.92	0.20	(0.02)	1.24	0.80	(0.03)	(1.04)	2.55	(2.13)	3.96	Backtest

Theme Landscape

Risk and return landscape for Financials

Assets rated by market efficiency

Total return distribution analysis

Technical analysis of total daily returns

Financials 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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