Risk Factor Analysis
Sector: Technology
Industry:
I1
[Software & IT Services]
| Stock |
Beta |
Std_dev |
VaR_95 |
| AWAN |
0.4969 |
0.2338 |
-0.0242 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| EDGE |
-0.0857 |
0.1069 |
-0.0111 |
| DCII |
0.2921 |
0.1297 |
-0.0134 |
| GOTO |
0.2818 |
0.1323 |
-0.0137 |
| JATI |
0.6519 |
0.1920 |
-0.0199 |
| BUKA |
1.0424 |
0.2107 |
-0.0218 |
| NFCX |
0.1728 |
0.2220 |
-0.0230 |
| CYBR |
0.6191 |
0.2323 |
-0.0241 |
| BELI |
0.6321 |
0.2536 |
-0.0263 |
| VTNY |
1.4238 |
0.2542 |
-0.0263 |
| DMMX |
1.3822 |
0.2688 |
-0.0279 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.6413 |
0.2002 |
-0.0208 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| AWAN |
-1.5703 |
-1.8483 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| MPIX |
4.1890 |
4.0359 |
| UVCR |
2.3009 |
2.1973 |
| CASH |
1.8941 |
1.7745 |
| IRSX |
1.2410 |
1.1290 |
| ELIT |
1.0094 |
0.8767 |
| TOSK |
0.8758 |
0.6410 |
| EDGE |
1.2129 |
0.6051 |
| TFAS |
0.3421 |
0.1980 |
| DIVA |
0.2800 |
0.0828 |
| TRON |
0.1494 |
0.0765 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
1.3495 |
1.1617 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| AWAN |
-0.8697 |
-0.0646 |
-0.3026 |
-0.3780 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| UVCR |
0.6898 |
-0.4561 |
1.8998 |
-1.1238 |
| MPIX |
3.9108 |
-0.0492 |
1.8270 |
-0.7390 |
| CASH |
0.7804 |
-0.2573 |
1.2872 |
-0.9651 |
| IRSX |
0.3458 |
-0.4288 |
1.1486 |
-1.0339 |
| ELIT |
0.3048 |
-0.3023 |
0.7968 |
-0.8632 |
| KIOS |
0.0352 |
-0.4876 |
0.6272 |
-2.2869 |
| TRON |
0.0396 |
-0.3848 |
0.5181 |
-1.6263 |
| TOSK |
0.1792 |
-0.1932 |
0.4356 |
-0.4594 |
| DIVA |
0.0200 |
-0.2910 |
0.3833 |
-0.5596 |
| TFAS |
0.1010 |
-0.1654 |
0.3198 |
-0.7896 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
0.6407 |
-0.3016 |
0.9243 |
-1.0447 |