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Theme Landscape

Investment horizon:

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This theme covers companies that are involved with the development and processing of raw materials such as silver or forestry 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 Raw Materials

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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 *
GE	General Electric Company	0.42%	0.64%	0.28%	23.53	Strong Hold
GTLS	Chart Industries Inc	0.40%	2.39%	0.96%	93.35	Strong Buy
MLM	Martin Marietta Materials Inc	0.35%	1.53%	0.55%	108.22	Strong Buy
GVA	Granite Construction Incorporated	0.35%	1.49%	0.53%	31.35	Strong Buy
SNA	Snapon Inc	0.25%	1.24%	0.32%	90.23	Strong Buy
ERJ	Embraer SA	0.24%	2.05%	0.51%	36.31	Strong Buy
DCI	Donaldson Company Inc	0.19%	1.19%	0.23%	37.54	Strong Buy
MTZ	MasTec Inc	0.18%	3.03%	0.57%	31.59	Strong Buy
FLS	Flowserve Corp	0.18%	1.48%	0.28%	166.84	Strong Buy
MLI	Mueller Industries Inc	0.16%	1.43%	0.24%	53.20	Strong Buy
AGCO	AGCO Corporation	0.16%	1.69%	0.28%	53.52	Strong Buy
ESL	Esterline Technologies Corp	0.15%	1.09%	0.18%	76.58	Strong Buy
AWI	Armstrong World Industries Inc	0.01%	1.37%	0.03%	52.53	Strong Buy
HI	Hillenbrand Inc	0.01%	1.64%	0.01%	24.38	Strong Buy
PRIM	Primoris Services Corporation	0.05%	1.66%	0.07%	21.38	Strong Buy
CNH	CNH Global NV	0.05%	2.45%	0.12%	42.75	Strong Hold
AZZ	AZZ incorporated	0.08%	1.42%	0.10%	41.98	Strong Buy
RAVN	Raven Industries Inc	0.10%	2.24%	0.22%	31.27	Strong Hold
DHI	DR Horton Inc	0.12%	1.34%	0.16%	25.75	Strong Buy
RBC	Regal Beloit Corporation	0.16%	4.47%	0.70%	64.86	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)

(0.13)

Beta (Market Sensitivity)

1.87

Efficiency (Sharpe Ratio)

0.18

Risk (Volatility)

1.27

Expected Return

0.24

Technical analysis of total daily returns

Risk Adjusted Performance	0.0922
Market Risk Adjusted Performance	0.0996
Mean Deviation	0.8539
Semi-Deviation	1.18
Downside Deviation	1.34
Coefficient Of Variation	669.73
Standard Deviation	1.19
Variance	1.42
Information Ratio	(0.02)
Jensen Alpha	(0.19)
Total Risk Alpha	(0.22)
Sortino Ratio	(0.02)
Treynor Ratio	0.0896
Maximum Drawdown	3.95
Value At Risk	(1.79)

Raw Materials Correlation Analysis

	MLM	ESL	DHI	GE	PRIM	HI	AZZ	MLI	SNA	ERJ	AGCO	AWI	DCI	GTLS	MTZ	CNH	RBC	FLS	GVA	RAVN
MLM		0.67	0.35	0.42	0.59	0.19	0.74	0.73	0.72	0.48	0.74	0.42	0.55	0.64	0.71	0.02	0.53	0.76	0.2	0.46
ESL	0.67		0.56	0.33	0.41	0.41	0.48	0.75	0.82	0.23	0.73	0.7	0.61	0.52	0.51	0.03	0.64	0.74	0.48	0.57
DHI	0.35	0.56		0.39	0.31	0.37	0.35	0.51	0.54	-0.04	0.46	0.67	0.19	0.02	0.43	0.25	0.44	0.55	0.45	0.42
GE	0.42	0.33	0.39		0.28	0.04	0.34	0.52	0.51	0.28	0.14	0.35	0.25	0.13	0.53	0.22	0.4	0.61	0.33	0.27
PRIM	0.59	0.41	0.31	0.28		0.03	0.54	0.67	0.48	0.16	0.35	0.46	0.05	0.32	0.56	0.11	0.5	0.59	0.37	0.58
HI	0.19	0.41	0.37	0.04	0.03		0.1	0.47	0.38	0.08	0.46	0.16	0.28	0.43	-0.15	-0.14	0.51	0.24	-0.08	0.18
AZZ	0.74	0.48	0.35	0.34	0.54	0.1		0.65	0.46	0.22	0.44	0.54	0.36	0.25	0.68	0.37	0.6	0.82	0.3	0.31
MLI	0.73	0.75	0.51	0.52	0.67	0.47	0.65		0.78	0.47	0.65	0.63	0.39	0.58	0.61	-0.05	0.84	0.87	0.3	0.54
SNA	0.72	0.82	0.54	0.51	0.48	0.38	0.46	0.78		0.46	0.64	0.69	0.71	0.54	0.72	0.05	0.63	0.79	0.45	0.47
ERJ	0.48	0.23	-0.04	0.28	0.16	0.08	0.22	0.47	0.46		0.48	0.0	0.39	0.7	0.34	-0.5	0.32	0.4	-0.22	0.22
AGCO	0.74	0.73	0.46	0.14	0.35	0.46	0.44	0.65	0.64	0.48		0.32	0.61	0.78	0.35	-0.16	0.55	0.6	0.05	0.33
AWI	0.42	0.7	0.67	0.35	0.46	0.16	0.54	0.63	0.69	0.0	0.32		0.37	0.08	0.72	0.29	0.53	0.73	0.76	0.35
DCI	0.55	0.61	0.19	0.25	0.05	0.28	0.36	0.39	0.71	0.39	0.61	0.37		0.57	0.42	0.16	0.23	0.53	0.33	0.07
GTLS	0.64	0.52	0.02	0.13	0.32	0.43	0.25	0.58	0.54	0.7	0.78	0.08	0.57		0.21	-0.49	0.38	0.42	-0.17	0.24
MTZ	0.71	0.51	0.43	0.53	0.56	-0.15	0.68	0.61	0.72	0.34	0.35	0.72	0.42	0.21		0.24	0.49	0.8	0.52	0.41
CNH	0.02	0.03	0.25	0.22	0.11	-0.14	0.37	-0.05	0.05	-0.5	-0.16	0.29	0.16	-0.49	0.24		-0.01	0.23	0.43	-0.17
RBC	0.53	0.64	0.44	0.4	0.5	0.51	0.6	0.84	0.63	0.32	0.55	0.53	0.23	0.38	0.49	-0.01		0.81	0.21	0.46
FLS	0.76	0.74	0.55	0.61	0.59	0.24	0.82	0.87	0.79	0.4	0.6	0.73	0.53	0.42	0.8	0.23	0.81		0.47	0.46
GVA	0.2	0.48	0.45	0.33	0.37	-0.08	0.3	0.3	0.45	-0.22	0.05	0.76	0.33	-0.17	0.52	0.43	0.21	0.47		0.31
RAVN	0.46	0.57	0.42	0.27	0.58	0.18	0.31	0.54	0.47	0.22	0.33	0.35	0.07	0.24	0.41	-0.17	0.46	0.46	0.31

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Correlation Matchups

High positive correlations

FLS	+ 0.87	MLI
RBC	+ 0.84	MLI
SNA	+ 0.82	ESL
FLS	+ 0.82	AZZ
FLS	+ 0.81	RBC
FLS	+ 0.8	MTZ
FLS	+ 0.79	SNA
SNA	+ 0.78	MLI

Insignificant Correlation

AWI	- 0.0	ERJ
RBC	- 0.01	CNH
ERJ	- 0.04	DHI
CNH	- 0.05	MLI

AWI	+ 0.0	ERJ
GTLS	+ 0.02	DHI
CNH	+ 0.02	MLM
HI	+ 0.03	PRIM

High negative correlations

CNH	- 0.5	ERJ
CNH	- 0.49	GTLS
GVA	- 0.22	ERJ
RAVN	- 0.17	CNH
GVA	- 0.17	GTLS
CNH	- 0.16	AGCO
MTZ	- 0.15	HI
CNH	- 0.14	HI

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
MLM	1.18	0.14	0.26	0.26	0.77	0.22	(1.52)	3.54	(1.51)	6.57	Backtest
ESL	0.92	(0.12)	(0.02)	0.11	1.13	(0.02)	(0.99)	1.56	(1.92)	3.51	Backtest
DHI	1.08	(0.46)	(0.25)	(0.11)	1.48	(0.26)	(1.09)	1.60	(1.92)	5.58	Backtest
GE	0.52	0.14	0.10	0.40	0.00	0.12	(0.60)	1.12	(0.84)	2.45	Backtest
PRIM	1.29	(0.38)	(0.11)	(0.05)	2.36	(0.16)	(1.05)	2.78	(2.92)	6.02	Backtest
HI	1.23	(0.19)	(0.10)	(0.02)	2.22	(0.13)	(1.16)	1.59	(3.10)	7.20	Backtest
AZZ	1.05	(0.42)	(0.18)	(0.07)	1.67	(0.21)	(1.11)	2.05	(3.14)	5.76	Backtest
MLI	1.03	(0.14)	0.02	0.12	1.21	0.03	(1.31)	2.48	(1.07)	5.78	Backtest
SNA	0.97	(0.06)	0.08	0.16	1.03	0.09	(1.07)	1.89	(2.13)	4.91	Backtest
ERJ	1.62	0.24	0.23	0.37	1.01	0.15	(2.40)	2.72	(1.94)	8.82	Backtest
AGCO	1.21	(0.08)	0.03	0.15	1.66	0.04	(1.16)	3.61	(2.70)	7.04	Backtest
AWI	1.17	(0.32)	(0.13)	0.01	1.29	(0.12)	(1.40)	1.92	(1.75)	3.98	Backtest
DCI	0.85	(0.02)	0.02	0.18	1.13	0.03	(0.84)	1.63	(1.27)	5.62	Backtest
GTLS	1.59	0.61	0.42	0.53	0.32	0.31	(1.75)	3.38	(1.76)	12.46	Backtest
MTZ	2.15	(0.20)	0.18	0.14	1.47	0.12	(2.71)	4.71	(3.02)	12.97	Backtest
CNH	1.51	(0.32)	(0.08)	(0.13)	4.08	(0.13)	(1.19)	2.70	(2.25)	12.23	Backtest
RBC	2.25	(1.66)	(0.13)	(0.14)	9.05	(0.20)	(1.30)	2.14	(2.79)	20.82	Backtest
FLS	1.03	(0.17)	0.04	0.12	1.44	0.05	(1.01)	2.01	(1.93)	4.80	Backtest
GVA	1.13	0.27	0.28	0.40	0.39	0.21	(1.35)	3.01	(1.35)	5.92	Backtest
RAVN	1.63	(0.61)	(0.11)	(0.11)	3.75	(0.18)	(1.08)	2.39	(3.87)	10.49	Backtest

Theme Landscape

Risk and return landscape for Raw Materials

Assets rated by market efficiency

Total return distribution analysis

Technical analysis of total daily returns

Raw Materials 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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