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Theme Landscape

Investment horizon:

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This theme covers companies involved in drilling, production, and distribution of oil and gas pipelines 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 Oil And Gas

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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 *
CQP	Cheniere Energy Partners LP	0.41%	0.89%	0.37%	30.14	Strong Buy
BPL	Buckeye Partners LP	0.31%	1.54%	0.48%	69.53	Strong Hold
CVX	Chevron Corporation	0.30%	0.86%	0.27%	125.45	Strong Buy
RES	RPC Inc	0.27%	0.77%	0.22%	13.30	Buy
RDC	Rowan Companies plc	0.26%	1.43%	0.38%	34.50	Strong Buy
DPM	DCP Midstream Partners LP	0.23%	1.20%	0.29%	49.64	Strong Buy
TOT	Total SA	0.22%	0.88%	0.20%	51.10	Strong Buy
BP	BP plc	0.22%	0.76%	0.18%	43.52	Strong Buy
UNT	Unit Corporation	0.18%	1.45%	0.26%	45.09	Strong Buy
PXP	Plains Exploration Production Company	0.15%	1.95%	0.31%	48.97	Strong Hold
XOM	Exxon Mobil Corporation	0.13%	0.87%	0.12%	91.53	Strong Buy
RDS-B	Royal Dutch Shell plc	0.12%	1.02%	0.13%	69.57	Strong Buy
MMR	McMoRan Exploration Co	0.01%	0.42%	0.01%	16.78	Buy
PBR-A	Petr	0.01%	1.78%	0.01%	19.61	Strong Buy
SXL	Sunoco Logistics Partners LP	0.04%	1.58%	0.06%	62.65	Buy
PTR	PetroChina Co Ltd	0.06%	1.33%	0.07%	119.21	Strong Buy
EPB	El Paso Pipeline Partners LP	0.09%	1.00%	0.08%	42.68	Strong Buy
SEP	Spectra Energy Partners LP	0.15%	1.10%	0.15%	36.37	Strong Hold
CLMT	Calumet Specialty Products Partners LP	0.15%	1.33%	0.18%	36.05	Buy
CRR	CARBO Ceramics Inc	0.22%	4.02%	0.87%	69.86	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)

(0.07)

Beta (Market Sensitivity)

0.75

Efficiency (Sharpe Ratio)

0.09

Risk (Volatility)

0.75

Expected Return

0.08

Technical analysis of total daily returns

Risk Adjusted Performance	0.0774
Market Risk Adjusted Performance	0.1179
Mean Deviation	0.5783
Semi-Deviation	0.5071
Downside Deviation	0.626
Coefficient Of Variation	758.58
Standard Deviation	0.6896
Variance	0.4756
Information Ratio	(0.16)
Jensen Alpha	(0.06)
Total Risk Alpha	(0.15)
Sortino Ratio	(0.18)
Treynor Ratio	0.1079
Maximum Drawdown	1.95
Value At Risk	(0.99)

Oil And Gas Correlation Analysis

	PXP	CQP	RES	CRR	PBR-A	SEP	XOM	EPB	UNT	RDS-B	TOT	DPM	BPL	BP	CVX	PTR	RDC	CLMT	SXL	MMR
PXP		0.24	0.14	0.53	0.3	-0.09	0.47	0.26	0.2	-0.04	0.21	0.27	0.36	0.37	0.12	0.23	0.32	0.1	0.26	0.17
CQP	0.24		-0.24	0.31	-0.22	0.37	0.31	0.42	-0.01	-0.24	0.13	0.45	0.25	0.18	-0.08	0.06	-0.04	-0.02	0.46	0.28
RES	0.14	-0.24		0.16	0.43	0.18	0.17	-0.1	-0.06	0.26	0.19	-0.15	-0.26	0.24	0.44	0.11	0.13	0.06	-0.35	-0.32
CRR	0.53	0.31	0.16		0.16	-0.07	0.62	0.51	0.39	-0.11	0.12	0.19	0.27	0.17	0.15	-0.08	0.29	-0.03	0.06	-0.02
PBR-A	0.3	-0.22	0.43	0.16		-0.35	0.3	-0.11	0.27	0.19	0.26	0.04	-0.04	0.22	0.34	0.3	0.11	0.45	-0.43	-0.2
SEP	-0.09	0.37	0.18	-0.07	-0.35		-0.13	0.18	-0.18	0.14	0.23	0.26	0.06	-0.06	-0.12	0.12	-0.2	-0.13	0.25	0.03
XOM	0.47	0.31	0.17	0.62	0.3	-0.13		0.45	0.59	0.31	0.5	0.28	0.49	0.46	0.6	0.36	0.6	0.33	0.24	0.32
EPB	0.26	0.42	-0.1	0.51	-0.11	0.18	0.45		0.68	0.08	0.41	0.63	0.52	0.15	0.09	0.27	0.44	0.06	0.46	0.01
UNT	0.2	-0.01	-0.06	0.39	0.27	-0.18	0.59	0.68		0.23	0.45	0.42	0.44	0.11	0.12	0.37	0.64	0.16	0.13	0.15
RDS-B	-0.04	-0.24	0.26	-0.11	0.19	0.14	0.31	0.08	0.23		0.65	0.05	0.32	0.37	0.71	0.33	0.39	0.33	-0.05	0.29
TOT	0.21	0.13	0.19	0.12	0.26	0.23	0.5	0.41	0.45	0.65		0.41	0.43	0.69	0.56	0.53	0.5	0.3	0.16	0.18
DPM	0.27	0.45	-0.15	0.19	0.04	0.26	0.28	0.63	0.42	0.05	0.41		0.17	0.27	-0.11	0.5	0.12	0.08	0.56	-0.23
BPL	0.36	0.25	-0.26	0.27	-0.04	0.06	0.49	0.52	0.44	0.32	0.43	0.17		0.39	0.29	0.06	0.53	0.37	0.26	0.51
BP	0.37	0.18	0.24	0.17	0.22	-0.06	0.46	0.15	0.11	0.37	0.69	0.27	0.39		0.5	0.25	0.47	0.26	0.12	0.15
CVX	0.12	-0.08	0.44	0.15	0.34	-0.12	0.6	0.09	0.12	0.71	0.56	-0.11	0.29	0.5		0.26	0.46	0.52	-0.07	0.23
PTR	0.23	0.06	0.11	-0.08	0.3	0.12	0.36	0.27	0.37	0.33	0.53	0.5	0.06	0.25	0.26		0.41	0.16	0.46	-0.01
RDC	0.32	-0.04	0.13	0.29	0.11	-0.2	0.6	0.44	0.64	0.39	0.5	0.12	0.53	0.47	0.46	0.41		0.1	0.1	0.37
CLMT	0.1	-0.02	0.06	-0.03	0.45	-0.13	0.33	0.06	0.16	0.33	0.3	0.08	0.37	0.26	0.52	0.16	0.1		-0.11	0.05
SXL	0.26	0.46	-0.35	0.06	-0.43	0.25	0.24	0.46	0.13	-0.05	0.16	0.56	0.26	0.12	-0.07	0.46	0.1	-0.11		0.12
MMR	0.17	0.28	-0.32	-0.02	-0.2	0.03	0.32	0.01	0.15	0.29	0.18	-0.23	0.51	0.15	0.23	-0.01	0.37	0.05	0.12

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Correlation Matchups

High positive correlations

CVX	+ 0.71	RDS-B
BP	+ 0.69	TOT
UNT	+ 0.68	EPB
TOT	+ 0.65	RDS-B
RDC	+ 0.64	UNT
DPM	+ 0.63	EPB
XOM	+ 0.62	CRR
CVX	+ 0.6	XOM

Insignificant Correlation

UNT	- 0.01	CQP
MMR	- 0.01	PTR
CLMT	- 0.02	CQP
MMR	- 0.02	CRR

MMR	+ 0.01	EPB
MMR	+ 0.03	SEP
DPM	+ 0.04	PBR-A
MMR	+ 0.05	CLMT

High negative correlations

SXL	- 0.43	PBR-A
SEP	- 0.35	PBR-A
SXL	- 0.35	RES
MMR	- 0.32	RES
BPL	- 0.26	RES
RDS-B	- 0.24	CQP
RES	- 0.24	CQP
MMR	- 0.23	DPM

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
PXP	1.18	0.26	0.06	1.42	1.26	0.05	(1.25)	1.56	(2.61)	7.42	Backtest
CQP	0.74	0.27	0.20	0.77	0.30	0.19	(0.93)	1.46	(1.10)	2.93	Backtest
RES	0.64	0.17	0.02	1.22	0.32	0.02	(0.78)	1.41	(1.04)	2.83	Backtest
CRR	2.36	(1.05)	(0.15)	(0.98)	7.61	(0.26)	(1.04)	1.96	(3.83)	17.37	Backtest
PBR-A	1.38	(0.19)	(0.14)	(0.02)	1.52	(0.11)	(1.68)	2.59	(2.34)	7.89	Backtest
SEP	0.84	(0.16)	(0.26)	2.82	1.58	(0.32)	(0.62)	0.85	(2.06)	5.42	Backtest
XOM	0.72	(0.10)	(0.08)	0.10	0.84	(0.09)	(0.78)	1.28	(1.52)	2.55	Backtest
EPB	0.85	(0.24)	(0.24)	(0.13)	1.22	(0.28)	(0.76)	1.46	(1.38)	2.92	Backtest
UNT	1.09	(0.04)	0.05	0.17	0.88	0.04	(1.33)	3.24	(1.52)	5.36	Backtest
RDS-B	0.73	(0.02)	(0.06)	0.17	0.99	(0.07)	(0.85)	1.19	(1.28)	4.71	Backtest
TOT	0.75	0.02	0.00	0.21	0.65	(0.0004)	(0.83)	1.56	(1.10)	2.99	Backtest
DPM	0.97	0.16	0.07	0.47	0.70	0.07	(1.07)	2.57	(1.34)	3.99	Backtest
BPL	1.00	0.29	0.30	0.50	0.00	0.18	(1.21)	2.35	(1.52)	7.52	Backtest
BP	0.60	0.06	(0.04)	0.31	0.34	(0.03)	(0.72)	1.04	(0.85)	3.25	Backtest
CVX	0.69	0.11	0.07	0.33	0.47	0.07	(0.84)	1.47	(1.43)	3.34	Backtest
PTR	1.06	(0.35)	(0.20)	(0.06)	1.46	(0.20)	(1.21)	2.24	(2.14)	4.73	Backtest
RDC	1.09	0.04	0.12	0.22	0.86	0.12	(1.24)	2.50	(1.86)	6.67	Backtest
CLMT	0.97	(0.30)	(0.24)	(0.37)	2.09	(0.29)	(0.94)	1.61	(1.78)	4.99	Backtest
SXL	1.27	(0.17)	(0.14)	(0.13)	1.90	(0.16)	(1.20)	1.74	(3.10)	6.21	Backtest
MMR	0.33	(0.05)	(0.40)	0.02	0.38	(0.44)	(0.38)	0.72	(0.48)	1.32	Backtest

Theme Landscape

Risk and return landscape for Oil And Gas

Assets rated by market efficiency

Total return distribution analysis

Technical analysis of total daily returns

Oil And Gas 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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