Risk Factor Analysis
Sector: Consumer Cyclicals
Industry:
E3
[Leisure Goods]
| Stock |
Beta |
Std_dev |
VaR_95 |
| BIKE |
1.2839 |
0.5026 |
-0.0521 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
nan |
nan |
nan |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| BIKE |
0.1932 |
0.0638 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
nan |
nan |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| BIKE |
0.0250 |
-0.2697 |
0.3668 |
-0.8871 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
nan |
nan |
nan |
nan |