Risk Factor Analysis
Sector: Basic Materials
Industry:
B1.6
[Plastic & Packaging]
| Stock |
Beta |
Std_dev |
VaR_95 |
| AKPI |
0.2974 |
0.1226 |
-0.0127 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| PBID |
0.1045 |
0.0747 |
-0.0077 |
| IPOL |
0.5277 |
0.1185 |
-0.0123 |
| TRST |
0.4186 |
0.1362 |
-0.0141 |
| BRNA |
0.1397 |
0.1592 |
-0.0165 |
| SMKL |
0.3484 |
0.1743 |
-0.0181 |
| IGAR |
0.3737 |
0.1838 |
-0.0190 |
| PDPP |
0.5333 |
0.2350 |
-0.0243 |
| APLI |
-0.4172 |
0.3750 |
-0.0389 |
| PPRI |
1.5303 |
0.3940 |
-0.0408 |
| EPAC |
0.6685 |
0.4413 |
-0.0457 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.4228 |
0.2292 |
-0.0237 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| AKPI |
-0.6348 |
-1.1652 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| YPAS |
3.4952 |
3.4136 |
| FPNI |
2.1584 |
2.0934 |
| PBID |
2.4719 |
1.6012 |
| ESIP |
1.1447 |
1.0464 |
| TALF |
0.9578 |
0.8508 |
| EPAC |
0.5665 |
0.4192 |
| SMKL |
-0.1125 |
-0.4854 |
| TRST |
-0.0155 |
-0.4928 |
| IGAR |
-0.3438 |
-0.6975 |
| BRNA |
-0.4302 |
-0.8385 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
0.9892 |
0.6910 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| AKPI |
-0.4802 |
-0.0125 |
-0.0653 |
-0.1672 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| YPAS |
1.8609 |
-0.3161 |
3.1014 |
-1.4448 |
| FPNI |
0.7355 |
-0.6769 |
2.8348 |
-1.8291 |
| ESIP |
0.6336 |
-0.2199 |
0.9772 |
-1.1885 |
| TALF |
0.5122 |
-0.1981 |
0.7799 |
-1.0858 |
| EPAC |
0.2767 |
-0.1093 |
0.3593 |
-0.7711 |
| PBID |
1.1436 |
0.0377 |
0.1468 |
-0.0764 |
| TRST |
-0.1603 |
-0.0441 |
0.0420 |
-0.1930 |
| SMKL |
-0.2429 |
-0.0258 |
0.0062 |
-0.2653 |
| IGAR |
-0.3430 |
-0.0324 |
-0.0308 |
-0.2832 |
| IPOL |
-0.4252 |
-0.0726 |
-0.0868 |
-0.1595 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
0.3991 |
-0.1658 |
0.8130 |
-0.7297 |