Risk Factor Analysis
Sector: Properties & Real Estate
Industry:
H1
[Properties & Real Estate]
| Stock |
Beta |
Std_dev |
VaR_95 |
| BSBK |
0.8686 |
0.1905 |
-0.0197 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| PLIN |
-0.0467 |
0.0223 |
-0.0023 |
| MKPI |
0.1571 |
0.0670 |
-0.0069 |
| SATU |
0.1852 |
0.0845 |
-0.0088 |
| JRPT |
0.0451 |
0.0860 |
-0.0089 |
| ADCP |
0.1958 |
0.0904 |
-0.0094 |
| MDLN |
0.5631 |
0.1237 |
-0.0128 |
| INPP |
0.0722 |
0.1238 |
-0.0128 |
| DMAS |
0.2989 |
0.1300 |
-0.0135 |
| CTRA |
0.5397 |
0.1364 |
-0.0141 |
| PWON |
0.6407 |
0.1388 |
-0.0144 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.2651 |
0.1003 |
-0.0104 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| BSBK |
-2.1977 |
-2.5390 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| ATAP |
10.5197 |
10.4274 |
| KOTA |
5.2680 |
5.1719 |
| JRPT |
5.4734 |
4.7177 |
| MPRO |
4.4085 |
4.1939 |
| BKDP |
4.3161 |
4.1868 |
| DMAS |
4.3225 |
3.8226 |
| CBPE |
3.6419 |
3.4951 |
| KDTN |
2.5086 |
2.4303 |
| GRPH |
2.5827 |
2.3912 |
| TRIN |
2.3810 |
2.3142 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
4.5422 |
4.3151 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| BSBK |
-0.5568 |
-0.1614 |
-0.2572 |
-0.2959 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| ATAP |
3.5501 |
-0.4743 |
7.8834 |
-1.2693 |
| KOTA |
2.6843 |
-0.2745 |
3.8355 |
-1.2156 |
| TRIN |
0.8135 |
-0.6560 |
2.9708 |
-1.7769 |
| KDTN |
1.3584 |
-0.3221 |
2.4041 |
-1.5073 |
| BKDP |
3.4381 |
-0.0946 |
2.2644 |
-0.8874 |
| ROCK |
0.7157 |
-0.4589 |
1.9620 |
-1.9282 |
| CBPE |
98.9064 |
0.0609 |
1.5517 |
-0.7739 |
| MPRO |
3.3643 |
-0.0334 |
1.3684 |
-0.5087 |
| OMRE |
1.2322 |
-0.1666 |
1.3262 |
-1.0648 |
| ELTY |
0.3052 |
-0.4774 |
1.1774 |
-1.0578 |
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| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
11.6368 |
-0.2897 |
2.6744 |
-1.1990 |