Want to invest in COAL THEME? Avoid as it was among the worst performers

Coal was among the worst performers today. It returned -0.72% to close at 1068.71. It's recent 5 day performance has been -1.33%, -2.2%, +0.2%, +0.91% and +0.37%.

[Theme constituents]

~COAL showed a strong down trend over the last 3 months. During this period ~COAL returned -14.07% and saw a maximum drawdown of -16.02%. There were 3 short signals during this period that returned a cumulative of +8.19% to investors.

Trend

Monthly Performance

Alpha (outperformance)

Heatmap

Volatility

Return distribution

~COAL has been underperforming the SP500 index in recent time, after having outperformed till 5 Jun, 2018. Over the last 1 year and 1 month, ~COAL outperformed the SP500 index on 53% days.

~COAL returned losses on 58% days in the last three months. During this time, it delivered on average -0.23% per day. It delivered it's worst daily return of -4.62%, during this period, on Wednesday, 24 Oct, 2018. There was initially a bullish trend during this period which started on 1 Oct, 2018 and went on till 3 Oct, 2018. The bullish trend returned +2.91% to investors. This was followed by a bearish trend that started on 6 Nov, 2018 and ended on 15 Nov, 2018. This bearish trend lost -6.4% of investor capital.

On monthly basis, ~COAL delivered losses in more months over the last year, than profits. ~COAL delivered profits less regularly than SP500 index. ~COAL significantly outperformed SP500 index in May 2018, when it returned +11.1% compared to +4.75% returned by SP500 index during it's best month in the last one year - Jan 2018. ~COAL had a longer winning streak of losing months than SP500 index. It went down in 3 straight months (from Feb 2018 to Apr 2018) during which period it delivered -8.41%. It is interesting to note that both ~COAL and SP500 index significantly outperform during months when quarterly/annual results are announced.

"There are two kinds of investors, be they large or small: those who don't know where the market is headed, and those who don't know that they don't know. Then again, there is a third type of investor -the investment professional, who indeed knows that he or she doesn't know, but whose livelihood depends upon appearing to know.

~COAL is becoming less volatile overall. In comparison, the SP500 index is seeing a rise in volatility. During the last three months, there was a significant surge in ~COAL's volatility from 20 Sep, 2018 to 25 Oct, 2018. While there was a significant surge in the SP500 index's volatility from 19 Sep, 2018 to 29 Oct, 2018.

Advanced/professional short-term investors should note that ~COAL has significant positive skewness in it's return distribution. This indicates that investors can expect ~COAL to recover from drawdowns quickly. Which makes ~COAL a good candidate for investing on short-term bullish trends or even counter-trends hoping for a pull-back.

~COAL has more chance of extreme outcomes than the SP500 index. Therefore, ~COAL must receive a lower allocation than SP500 in your portfolio. SP500 index usually has shorter drawdown period than ~COAL.

On a general note (since you are interested in ~COAL), if you are an investor in ICPT, you need to be extra careful (consider limiting your exposure or diversifying) as it is extremely unpredictable and therefore risky.