Risk Factor Analysis
Sector: Financials
Industry:
G4
[Insurance]
| Stock |
Beta |
Std_dev |
VaR_95 |
| BHAT |
-0.0106 |
0.4814 |
-0.0499 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| PNIN |
0.4606 |
0.1138 |
-0.0118 |
| ASBI |
0.1859 |
0.1424 |
-0.0148 |
| AMAG |
0.1941 |
0.1470 |
-0.0152 |
| ASDM |
0.1930 |
0.1559 |
-0.0162 |
| ASRM |
0.4856 |
0.1665 |
-0.0173 |
| YOII |
0.8388 |
0.1886 |
-0.0195 |
| TUGU |
0.3628 |
0.1924 |
-0.0199 |
| MTWI |
0.6321 |
0.2037 |
-0.0211 |
| PNLF |
0.8567 |
0.2071 |
-0.0215 |
| MREI |
0.4598 |
0.2156 |
-0.0223 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.4669 |
0.1733 |
-0.0180 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| BHAT |
2.0771 |
1.9421 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| TUGU |
4.1047 |
3.7669 |
| LPGI |
1.7003 |
1.4472 |
| ABDA |
1.2602 |
1.1380 |
| JMAS |
1.2556 |
1.1157 |
| ASJT |
1.0935 |
0.9189 |
| AHAP |
0.5806 |
0.4781 |
| AMAG |
0.8471 |
0.4050 |
| ASRM |
0.6956 |
0.3054 |
| VINS |
0.1041 |
-0.0504 |
| ASDM |
0.2314 |
-0.1856 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
1.1873 |
0.9339 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| BHAT |
-88.2085 |
0.0678 |
0.9322 |
-0.8471 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| AHAP |
0.1273 |
-0.5566 |
0.9250 |
-1.1372 |
| TUGU |
1.9977 |
-0.0296 |
0.8193 |
-0.2995 |
| JMAS |
0.4576 |
-0.2303 |
0.8136 |
-0.8152 |
| ABDA |
7.3650 |
0.0436 |
0.6265 |
-0.9423 |
| ASJT |
0.3703 |
-0.1759 |
0.5830 |
-0.6403 |
| LPGI |
1.2215 |
-0.0143 |
0.4511 |
-0.4216 |
| VINS |
-0.0148 |
-0.3089 |
0.3527 |
-0.7320 |
| ASRM |
0.1047 |
-0.0616 |
0.1775 |
-0.2505 |
| LIFE |
-0.1272 |
-0.2271 |
0.1496 |
-1.2282 |
| AMAG |
0.3068 |
0.0144 |
0.1101 |
-0.2135 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
1.1809 |
-0.1546 |
0.5008 |
-0.6680 |