Risk Factor Analysis
Sector: Basic Materials
Industry:
B1.3
[Cement]
| Stock |
Beta |
Std_dev |
VaR_95 |
| BLES |
0.6609 |
0.2593 |
-0.0269 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| SMCB |
-0.0559 |
0.0246 |
-0.0025 |
| CMNT |
0.2754 |
0.1152 |
-0.0119 |
| WTON |
0.8276 |
0.1509 |
-0.0156 |
| INTP |
0.8793 |
0.1894 |
-0.0196 |
| SMBR |
1.1773 |
0.1958 |
-0.0203 |
| SMGR |
0.9245 |
0.2111 |
-0.0219 |
| SOLA |
0.9602 |
0.2470 |
-0.0256 |
| WSBP |
1.1757 |
0.3775 |
-0.0391 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.7705 |
0.1889 |
-0.0196 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| BLES |
0.8184 |
0.5677 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| SMCB |
2.0135 |
-0.6330 |
| CMNT |
-0.5823 |
-1.1467 |
| INTP |
-0.9012 |
-1.2444 |
| WSBP |
-1.3703 |
-1.5425 |
| SOLA |
-1.4750 |
-1.7382 |
| WTON |
-1.6763 |
-2.1070 |
| SMBR |
-2.0364 |
-2.3683 |
| SMGR |
-2.1563 |
-2.4642 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
-1.0230 |
-1.6555 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| BLES |
0.2228 |
-0.1073 |
0.3195 |
-0.4263 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| INTP |
-0.2680 |
-0.1642 |
-0.0065 |
-0.2938 |
| SMCB |
0.2783 |
0.0796 |
-0.0301 |
0.0185 |
| CMNT |
-0.4795 |
-0.0068 |
-0.0603 |
-0.1532 |
| WTON |
-0.3843 |
-0.1507 |
-0.1023 |
-0.2210 |
| SMBR |
-0.3940 |
-0.2419 |
-0.1569 |
-0.3060 |
| SOLA |
-0.4471 |
-0.1853 |
-0.1789 |
-0.4029 |
| WSBP |
-0.4952 |
-0.2415 |
-0.2757 |
-0.6501 |
| SMGR |
-0.5628 |
-0.1760 |
-0.2792 |
-0.3350 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
-0.3441 |
-0.1358 |
-0.1362 |
-0.2929 |