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Theme Landscape

Investment horizon:

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This theme covers companies that develop and distribute software and software systems to individuals or business 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 Software

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Daily Expected Return (%)

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Assets rated by market efficiency

		Efficiency (Sharpe Ratio)	Risk (Volatility)	Expected Return	Current Price	Advice *
TRAK	Dealertrack Technologies Inc	0.62%	1.34%	0.83%	31.89	Strong Hold
CVG	Convergys Corporation	0.57%	1.07%	0.62%	18.14	Strong Hold
N	NetSuite Inc	0.54%	1.47%	0.81%	93.78	Strong Hold
SINA	SINA Corporation	0.52%	2.40%	1.27%	60.72	Strong Hold
TIBX	TIBCO Software Inc	0.49%	1.45%	0.72%	22.16	Strong Buy
MSFT	Microsoft Corporation	0.43%	1.29%	0.57%	34.85	Strong Buy
ORCL	Oracle Corporation	0.41%	0.83%	0.35%	35.10	Strong Sell
TYL	Tyler Technologies Inc	0.40%	1.72%	0.70%	67.56	Strong Hold
KNM	Konami Corp	0.39%	4.14%	1.63%	27.99	Buy
DATA	DATATRAK International Inc	0.22%	1,252%	275.38%	53.25	Strong Sell
FIRE	Sourcefire Inc	0.21%	2.43%	0.51%	56.80	Hold
VHC	VirnetX Holding Corp	0.21%	3.43%	0.73%	22.66	Hold
MANH	Manhattan Associates Inc	0.20%	1.47%	0.30%	74.01	Strong Buy
SLH	Solera Holdings Inc	0.19%	1.04%	0.21%	56.24	Strong Buy
RHT	Red Hat Inc	0.19%	1.52%	0.31%	51.86	Strong Buy
ANSS	Ansys Inc	0.02%	1.92%	0.04%	75.35	Strong Hold
MCRS	MICROS Systems Inc	0.02%	0.92%	0.02%	43.69	Strong Buy
TSS	Total System Services Inc	0.01%	0.93%	0.00%	24.01	Strong Buy
ACIW	ACI Worldwide Inc	0.02%	1.07%	0.02%	45.35	Strong Buy
NATI	National Instruments Corporation	0.03%	2.59%	0.06%	28.98	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)

20.41

Beta (Market Sensitivity)

(13.52)

Efficiency (Sharpe Ratio)

0.23

Risk (Volatility)

72.02

Expected Return

16.33

Technical analysis of total daily returns

Risk Adjusted Performance	0.1305
Market Risk Adjusted Performance	(1.04)
Mean Deviation	26.04
Downside Deviation	0.6234
Coefficient Of Variation	449.14
Standard Deviation	63.99
Variance	4094.56
Information Ratio	0.2179
Jensen Alpha	18.18
Total Risk Alpha	(20.27)
Sortino Ratio	22.37
Treynor Ratio	(1.05)
Maximum Drawdown	300.84
Value At Risk	(0.30)
Potential Upside	1.99

Software Correlation Analysis

	SINA	FIRE	SLH	ACIW	N	CVG	KNM	MANH	ORCL	VHC	TSS	TIBX	RHT	TYL	ANSS	TRAK	MCRS	DATA	MSFT	NATI
SINA		-0.08	0.24	0.18	0.3	0.32	0.15	0.25	-0.05	-0.27	0.22	-0.01	-0.1	0.18	0.19	-0.11	0.01	-0.19	0.38	0.07
FIRE	-0.08		-0.16	-0.23	0.05	-0.08	0.03	-0.13	0.04	-0.12	0.16	0.09	0.33	0.04	-0.34	0.25	0.4	-0.17	-0.3	0.05
SLH	0.24	-0.16		0.54	0.16	0.52	0.18	0.01	-0.11	-0.08	0.37	0.1	0.14	0.47	0.31	0.47	0.3	-0.22	0.16	0.28
ACIW	0.18	-0.23	0.54		0.2	0.33	0.6	0.1	-0.24	0.05	0.18	-0.04	0.07	0.27	0.44	0.45	0.03	-0.08	0.31	0.21
N	0.3	0.05	0.16	0.2		0.22	0.01	0.11	-0.32	0.26	0.06	0.24	0.17	0.22	0.05	0.15	-0.2	0.06	0.12	-0.63
CVG	0.32	-0.08	0.52	0.33	0.22		0.25	0.35	0.17	0.09	0.57	-0.01	0.07	0.31	-0.2	0.18	0.26	-0.31	-0.01	0.12
KNM	0.15	0.03	0.18	0.6	0.01	0.25		-0.01	-0.21	0.1	-0.05	-0.02	-0.12	0.12	0.35	0.19	0.3	-0.09	0.12	0.33
MANH	0.25	-0.13	0.01	0.1	0.11	0.35	-0.01		0.38	0.15	0.14	0.37	0.24	0.12	-0.47	-0.13	0.08	-0.16	0.36	0.07
ORCL	-0.05	0.04	-0.11	-0.24	-0.32	0.17	-0.21	0.38		-0.17	0.13	0.02	0.0	-0.32	-0.29	-0.05	-0.02	-0.28	0.06	0.03
VHC	-0.27	-0.12	-0.08	0.05	0.26	0.09	0.1	0.15	-0.17		-0.39	-0.08	-0.14	0.04	-0.34	-0.29	-0.09	0.5	0.06	-0.36
TSS	0.22	0.16	0.37	0.18	0.06	0.57	-0.05	0.14	0.13	-0.39		0.26	0.37	0.27	0.05	0.4	0.21	-0.27	-0.22	0.34
TIBX	-0.01	0.09	0.1	-0.04	0.24	-0.01	-0.02	0.37	0.02	-0.08	0.26		0.46	0.3	0.1	-0.01	0.04	-0.31	0.1	-0.05
RHT	-0.1	0.33	0.14	0.07	0.17	0.07	-0.12	0.24	0.0	-0.14	0.37	0.46		0.5	-0.05	0.52	0.22	-0.03	0.03	0.3
TYL	0.18	0.04	0.47	0.27	0.22	0.31	0.12	0.12	-0.32	0.04	0.27	0.3	0.5		0.05	0.15	0.11	-0.11	0.12	0.27
ANSS	0.19	-0.34	0.31	0.44	0.05	-0.2	0.35	-0.47	-0.29	-0.34	0.05	0.1	-0.05	0.05		0.31	-0.23	-0.11	0.04	0.15
TRAK	-0.11	0.25	0.47	0.45	0.15	0.18	0.19	-0.13	-0.05	-0.29	0.4	-0.01	0.52	0.15	0.31		0.31	-0.22	-0.07	0.36
MCRS	0.01	0.4	0.3	0.03	-0.2	0.26	0.3	0.08	-0.02	-0.09	0.21	0.04	0.22	0.11	-0.23	0.31		-0.07	0.23	0.57
DATA	-0.19	-0.17	-0.22	-0.08	0.06	-0.31	-0.09	-0.16	-0.28	0.5	-0.27	-0.31	-0.03	-0.11	-0.11	-0.22	-0.07		0.08	-0.08
MSFT	0.38	-0.3	0.16	0.31	0.12	-0.01	0.12	0.36	0.06	0.06	-0.22	0.1	0.03	0.12	0.04	-0.07	0.23	0.08		0.16
NATI	0.07	0.05	0.28	0.21	-0.63	0.12	0.33	0.07	0.03	-0.36	0.34	-0.05	0.3	0.27	0.15	0.36	0.57	-0.08	0.16

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Correlation Matchups

High positive correlations

KNM	+ 0.6	ACIW
TSS	+ 0.57	CVG
NATI	+ 0.57	MCRS
ACIW	+ 0.54	SLH
CVG	+ 0.52	SLH
TRAK	+ 0.52	RHT
DATA	+ 0.5	VHC
TYL	+ 0.5	RHT

Insignificant Correlation

RHT	- 0.0	ORCL
TIBX	- 0.01	SINA
TIBX	- 0.01	CVG
MSFT	- 0.01	CVG

RHT	+ 0.0	ORCL
KNM	+ 0.01	N
MANH	+ 0.01	SLH
MCRS	+ 0.01	SINA

High negative correlations

NATI	- 0.63	N
ANSS	- 0.47	MANH
TSS	- 0.39	VHC
NATI	- 0.36	VHC
ANSS	- 0.34	VHC
ANSS	- 0.34	FIRE
TYL	- 0.32	ORCL
ORCL	- 0.32	N

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
SINA	1.74	0.89	0.73	1.01	0.00	0.39	(2.53)	3.50	(1.38)	11.59	Backtest
FIRE	1.51	0.53	0.08	(5.61)	1.73	0.09	(1.61)	3.78	(1.39)	8.87	Backtest
SLH	0.81	(0.07)	(0.11)	0.22	0.61	(0.09)	(0.95)	1.87	(1.09)	4.04	Backtest
ACIW	0.82	(0.33)	(0.25)	(0.02)	1.27	(0.29)	(0.80)	1.40	(1.66)	4.13	Backtest
N	1.09	0.60	0.92	1.16	0.00	0.34	(1.49)	3.44	(0.75)	6.37	Backtest
CVG	0.83	0.27	0.37	0.51	0.00	0.31	(1.16)	2.35	(0.86)	4.62	Backtest
KNM	3.25	0.61	0.37	0.47	2.39	0.31	(3.94)	9.81	(4.00)	15.20	Backtest
MANH	1.01	0.01	0.00	0.30	0.77	(0.0025)	(1.09)	3.37	(1.32)	5.84	Backtest
ORCL	0.71	0.41	0.08	(1.36)	0.00	0.06	(0.93)	1.67	(0.75)	2.60	Backtest
VHC	2.58	0.75	0.13	(7.21)	2.29	0.12	(2.75)	6.55	(3.48)	12.58	Backtest
TSS	0.67	(0.29)	(0.25)	(0.01)	1.12	(0.31)	(0.68)	1.18	(1.16)	4.05	Backtest
TIBX	1.21	0.44	0.35	0.72	0.71	0.30	(1.73)	2.82	(1.44)	5.23	Backtest
RHT	1.13	(0.10)	0.00	0.22	1.70	0.0028	(1.12)	2.35	(1.80)	6.99	Backtest
TYL	1.31	0.24	0.46	0.45	0.00	0.22	(1.80)	2.80	(1.23)	7.81	Backtest
ANSS	1.20	(0.06)	(0.10)	0.10	2.59	(0.13)	(1.14)	2.28	(1.13)	10.05	Backtest
TRAK	1.09	0.53	0.67	0.82	0.00	0.39	(1.43)	3.28	(0.72)	4.81	Backtest
MCRS	0.68	(0.18)	(0.27)	0.02	0.90	(0.29)	(0.82)	1.47	(1.16)	3.15	Backtest
DATA	631	421.04	61.90	(1.16)	0.00	0.24	(675)	6,014	(7.37)	6,009	Backtest
MSFT	1.03	0.33	0.26	0.72	0.30	0.20	(1.34)	2.58	(1.15)	5.09	Backtest
NATI	1.32	(0.65)	(0.06)	(0.03)	5.74	(0.14)	(0.85)	1.73	(1.72)	13.26	Backtest

Theme Landscape

Risk and return landscape for Software

Assets rated by market efficiency

Total return distribution analysis

Technical analysis of total daily returns

Software 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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