Risk Factor Analysis
Sector: Transportation & Logistic
Industry:
K1
[Transportation]
| Stock |
Beta |
Std_dev |
VaR_95 |
| BPTR |
0.8676 |
0.1676 |
-0.0174 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| BIRD |
0.3713 |
0.1298 |
-0.0135 |
| HELI |
0.7235 |
0.1630 |
-0.0169 |
| CMPP |
0.4136 |
0.1860 |
-0.0193 |
| TRJA |
0.9558 |
0.2433 |
-0.0252 |
| ASSA |
1.1339 |
0.2477 |
-0.0257 |
| WEHA |
0.5833 |
0.2561 |
-0.0265 |
| LRNA |
0.4982 |
0.2601 |
-0.0270 |
| GIAA |
1.0820 |
0.3839 |
-0.0398 |
| TAXI |
1.6377 |
0.5138 |
-0.0532 |
| SAFE |
0.9903 |
0.5879 |
-0.0609 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.8390 |
0.2972 |
-0.0308 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| BPTR |
-1.5220 |
-1.9098 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| SAFE |
7.8039 |
7.6933 |
| LRNA |
0.7947 |
0.5448 |
| WEHA |
-0.0679 |
-0.3217 |
| GIAA |
-0.3925 |
-0.5618 |
| BIRD |
-0.0813 |
-0.5820 |
| TRJA |
-0.4024 |
-0.6696 |
| TAXI |
-0.8109 |
-0.9374 |
| HELI |
-0.8181 |
-1.2169 |
| ASSA |
-1.2171 |
-1.4795 |
| CMPP |
-1.4717 |
-1.8213 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
0.3337 |
0.0648 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| BPTR |
-0.3690 |
-0.1612 |
-0.0939 |
-0.2526 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| SAFE |
4.5676 |
-0.1932 |
4.7814 |
-1.0489 |
| LRNA |
0.2844 |
-0.0649 |
0.2716 |
-0.4278 |
| TRJA |
-0.1704 |
-0.1842 |
0.0863 |
-0.3959 |
| WEHA |
-0.1413 |
-0.0871 |
0.0697 |
-0.4201 |
| GIAA |
-0.1993 |
-0.2171 |
0.0664 |
-0.6623 |
| BIRD |
-0.2035 |
-0.0318 |
0.0212 |
-0.1809 |
| HELI |
-0.2741 |
-0.1236 |
-0.0097 |
-0.2438 |
| TAXI |
-0.2941 |
-0.3619 |
-0.0547 |
-0.9085 |
| ASSA |
-0.3231 |
-0.2306 |
-0.0708 |
-0.4042 |
| CMPP |
-0.8188 |
-0.0428 |
-0.2309 |
-0.2873 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
0.2427 |
-0.1537 |
0.4930 |
-0.4980 |