Risk Factor Analysis
Sector: Consumer Non-Cyclicals
Industry:
D2.2
[Animal Feed]
| Stock |
Beta |
Std_dev |
VaR_95 |
| AYAM |
1.0534 |
0.3293 |
-0.0341 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| CPIN |
0.3524 |
0.2094 |
-0.0217 |
| CPRO |
0.7320 |
0.2118 |
-0.0219 |
| MAIN |
0.7486 |
0.2452 |
-0.0254 |
| JPFA |
0.5671 |
0.2481 |
-0.0257 |
| DEWI |
0.7729 |
0.3401 |
-0.0352 |
| SIPD |
1.3849 |
0.4043 |
-0.0419 |
| WMUU |
1.8957 |
0.5240 |
-0.0543 |
| WMPP |
0.9560 |
0.5950 |
-0.0617 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.9262 |
0.3472 |
-0.0360 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| AYAM |
5.6395 |
5.4421 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| DEWI |
2.4032 |
2.2121 |
| WMPP |
2.2408 |
2.1316 |
| WMUU |
1.3819 |
1.2579 |
| SIPD |
0.6006 |
0.4399 |
| JPFA |
0.5997 |
0.3377 |
| MAIN |
-0.1828 |
-0.4479 |
| CPRO |
-0.7204 |
-1.0273 |
| CPIN |
-1.5894 |
-1.8998 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
0.5917 |
0.3755 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| AYAM |
1.7013 |
-0.2096 |
2.0668 |
-0.5589 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| WMPP |
1.3267 |
-0.1842 |
1.5176 |
-1.0623 |
| WMUU |
0.3477 |
-0.4292 |
1.1534 |
-0.9277 |
| DEWI |
0.9734 |
-0.1365 |
0.9538 |
-0.5793 |
| SIPD |
0.1284 |
-0.2961 |
0.5389 |
-0.7010 |
| JPFA |
0.1477 |
-0.0829 |
0.2316 |
-0.4050 |
| MAIN |
-0.1467 |
-0.1302 |
0.0853 |
-0.3996 |
| CPRO |
-0.2972 |
-0.1258 |
-0.0267 |
-0.3362 |
| CPIN |
-1.1288 |
-0.0269 |
-0.3059 |
-0.3317 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
0.1689 |
-0.1765 |
0.5185 |
-0.5928 |