Risk Factor Analysis
Sector: Energy
Industry:
A2
[Alternative Energy]
| Stock |
Beta |
Std_dev |
VaR_95 |
| BREN |
1.7302 |
0.4294 |
-0.0445 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| PGEO |
0.6442 |
0.1559 |
-0.0162 |
| SEMA |
0.1179 |
0.6543 |
-0.0678 |
| ARKO |
3.0544 |
1.0283 |
-0.1066 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
1.2722 |
0.6128 |
-0.0635 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| BREN |
-1.5117 |
-1.6631 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| SEMA |
2.4274 |
2.3281 |
| ARKO |
1.1997 |
1.1364 |
| PGEO |
-1.0214 |
-1.4383 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
0.8686 |
0.6754 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| BREN |
-0.4128 |
-0.3861 |
-0.2631 |
-0.7485 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| ARKO |
0.3826 |
-0.7313 |
1.9649 |
-1.8832 |
| SEMA |
12.9233 |
0.0343 |
1.5540 |
-1.1746 |
| PGEO |
-0.3481 |
-0.1029 |
-0.0563 |
-0.2304 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
4.3193 |
-0.2666 |
1.1542 |
-1.0961 |