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Theme Landscape

Investment horizon:

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This theme covers funds or etfs that invest in companies involved in research, development, testing, or distribution of technologically based goods and services 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 Tech Funds

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Theme Equities

Hypothetical Portfolio

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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 *
FSCSX	Fidelity Select Software Comp	0.83%	0.62%	0.53%	97.52	Buy
VITAX	Vanguard Information Technology Idx Adm	0.75%	0.63%	0.48%	39.43	Buy
XLK	Technology Select Sector SPDR	0.75%	0.56%	0.43%	32.20	Strong Hold
VGT	Vanguard Information Technology ETF	0.75%	0.62%	0.48%	77.01	Buy
IGM	iShares S P North Amer Technology	0.72%	0.64%	0.47%	77.06	Strong Hold
IYW	iShares Dow Jones US Technology	0.71%	0.65%	0.47%	77.17	Strong Hold
ROGSX	Red Oak Technology Select	0.66%	0.71%	0.48%	12.46	Strong Hold
PNQI	PowerShares NASDAQ Internet	0.62%	0.94%	0.59%	49.59	Strong Hold
IGV	iShares S P North Amer TechSoftware	0.60%	0.62%	0.38%	71.67	Strong Hold
FTCHX	Invesco Technology Investor	0.55%	0.73%	0.41%	35.87	Strong Hold
FTPIX	Invesco Technology R5	0.55%	0.72%	0.41%	39.47	Strong Hold
ITYYX	Invesco Technology Y	0.55%	0.73%	0.41%	36.11	Strong Hold
FDCPX	Fidelity Select Computers	0.43%	0.92%	0.41%	64.13	Strong Buy
AAIT	iShares MSCI AC Asia Information Tech	0.34%	0.96%	0.34%	29.76	Strong Buy
PXQ	PowerShares Dynamic Networking	0.32%	0.92%	0.31%	26.07	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)

0.14

Beta (Market Sensitivity)

0.82

Efficiency (Sharpe Ratio)

0.74

Risk (Volatility)

0.57

Expected Return

0.43

Technical analysis of total daily returns

Risk Adjusted Performance	0.396
Market Risk Adjusted Performance	0.5011
Mean Deviation	0.4425
Downside Deviation	0.5234
Coefficient Of Variation	138.41
Standard Deviation	0.5713
Variance	0.3263
Information Ratio	0.0944
Jensen Alpha	0.1167
Total Risk Alpha	0.0388
Sortino Ratio	0.103
Treynor Ratio	0.4911
Maximum Drawdown	2.29
Value At Risk	(0.32)
Potential Upside	1.23

Tech Funds Correlation Analysis

	VITAX	PXQ	IGM	ROGSX	FTCHX	FSCSX	FDCPX	IGV	FTPIX	XLK	AAIT	ITYYX	VGT	PNQI	IYW
VITAX		0.32	0.97	0.89	0.91	0.8	0.85	0.72	0.91	0.98	0.42	0.91	1.0	0.49	0.97
PXQ	0.32		0.38	0.41	0.5	0.32	0.2	0.21	0.49	0.38	-0.02	0.49	0.33	0.42	0.28
IGM	0.97	0.38		0.91	0.94	0.85	0.8	0.73	0.94	0.94	0.42	0.94	0.97	0.62	0.91
ROGSX	0.89	0.41	0.91		0.86	0.74	0.7	0.6	0.86	0.87	0.52	0.86	0.9	0.68	0.8
FTCHX	0.91	0.5	0.94	0.86		0.85	0.81	0.8	1.0	0.87	0.3	1.0	0.91	0.64	0.85
FSCSX	0.8	0.32	0.85	0.74	0.85		0.56	0.87	0.85	0.78	0.42	0.86	0.8	0.62	0.7
FDCPX	0.85	0.2	0.8	0.7	0.81	0.56		0.58	0.8	0.79	0.08	0.8	0.86	0.29	0.86
IGV	0.72	0.21	0.73	0.6	0.8	0.87	0.58		0.8	0.66	0.24	0.8	0.7	0.42	0.67
FTPIX	0.91	0.49	0.94	0.86	1.0	0.85	0.8	0.8		0.87	0.3	1.0	0.91	0.64	0.84
XLK	0.98	0.38	0.94	0.87	0.87	0.78	0.79	0.66	0.87		0.5	0.87	0.98	0.48	0.95
AAIT	0.42	-0.02	0.42	0.52	0.3	0.42	0.08	0.24	0.3	0.5		0.31	0.43	0.42	0.37
ITYYX	0.91	0.49	0.94	0.86	1.0	0.86	0.8	0.8	1.0	0.87	0.31		0.91	0.65	0.85
VGT	1.0	0.33	0.97	0.9	0.91	0.8	0.86	0.7	0.91	0.98	0.43	0.91		0.52	0.97
PNQI	0.49	0.42	0.62	0.68	0.64	0.62	0.29	0.42	0.64	0.48	0.42	0.65	0.52		0.33
IYW	0.97	0.28	0.91	0.8	0.85	0.7	0.86	0.67	0.84	0.95	0.37	0.85	0.97	0.33

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Correlation Matchups

High positive correlations

VGT	+ 1.0	VITAX
FTPIX	+ 1.0	FTCHX
ITYYX	+ 1.0	FTCHX
ITYYX	+ 1.0	FTPIX
XLK	+ 0.98	VITAX
VGT	+ 0.98	XLK
IGM	+ 0.97	VITAX
IYW	+ 0.97	VITAX

Insignificant Correlation

AAIT

- 0.02

PXQ

AAIT	+ 0.08	FDCPX
FDCPX	+ 0.2	PXQ
IGV	+ 0.21	PXQ
AAIT	+ 0.24	IGV

High negative correlations

AAIT

- 0.02

PXQ

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
VITAX	0.52	0.20	0.26	0.61	0.00	0.19	(0.82)	1.45	(0.31)	2.41	Backtest
PXQ	0.77	0.05	(0.01)	0.38	0.36	(0.0069)	(1.04)	1.86	(1.28)	3.15	Backtest
IGM	0.54	0.16	0.23	0.53	0.00	0.17	(0.83)	1.43	(0.39)	2.47	Backtest
ROGSX	0.59	0.14	0.15	0.49	0.00	0.17	(0.86)	1.46	(0.51)	2.95	Backtest
FTCHX	0.56	0.05	0.07	0.40	0.00	0.07	(0.80)	1.67	(0.53)	2.97	Backtest
FSCSX	0.53	0.17	0.38	0.52	0.00	0.26	(0.82)	1.54	(0.47)	2.03	Backtest
FDCPX	0.73	0.17	0.04	0.62	0.57	0.05	(0.91)	1.65	(1.40)	3.40	Backtest
IGV	0.52	0.10	0.05	0.47	0.00	0.04	(0.74)	1.21	(0.62)	1.99	Backtest
FTPIX	0.56	0.06	0.07	0.40	0.00	0.07	(0.81)	1.66	(0.54)	2.94	Backtest
XLK	0.46	0.17	0.15	0.58	0.00	0.12	(0.69)	1.28	(0.28)	2.31	Backtest
AAIT	0.77	0.05	0.03	0.37	0.36	0.03	(0.94)	2.14	(1.01)	4.03	Backtest
ITYYX	0.56	0.05	0.07	0.40	0.00	0.07	(0.81)	1.66	(0.56)	2.95	Backtest
VGT	0.50	0.20	0.26	0.60	0.00	0.19	(0.82)	1.43	(0.37)	2.33	Backtest
PNQI	0.71	0.11	0.21	0.43	0.00	0.25	(0.97)	2.16	(1.05)	3.91	Backtest
IYW	0.57	0.24	0.22	0.74	0.00	0.17	(0.77)	1.30	(0.45)	2.45	Backtest

Theme Landscape

Risk and return landscape for Tech Funds

Assets rated by market efficiency

Total return distribution analysis

Technical analysis of total daily returns

Tech Funds 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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