Risk Factor Analysis
Sector: Transportation & Logistic
Industry:
K2.1
[Logistics & Deliveries - Oil Gas & Coal]
| Stock |
Beta |
Std_dev |
VaR_95 |
| CANI |
2.3634 |
1.0068 |
-0.1043 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| RIGS |
0.4433 |
0.1194 |
-0.0124 |
| PSSI |
0.6311 |
0.1588 |
-0.0165 |
| WINS |
0.3720 |
0.1623 |
-0.0168 |
| PTIS |
0.5074 |
0.1820 |
-0.0189 |
| TPMA |
0.8091 |
0.1873 |
-0.0194 |
| PSAT |
1.1621 |
0.2142 |
-0.0222 |
| BSML |
0.6852 |
0.2494 |
-0.0258 |
| HATM |
0.6036 |
0.3020 |
-0.0313 |
| BESS |
0.9300 |
0.3270 |
-0.0339 |
| TCPI |
0.5583 |
0.3580 |
-0.0371 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.6702 |
0.2260 |
-0.0234 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| CANI |
1.5854 |
1.5208 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| BSML |
16.4061 |
16.1455 |
| HATM |
4.0834 |
3.8682 |
| SOCI |
3.5887 |
3.4803 |
| WINS |
2.5941 |
2.1935 |
| BULL |
1.8882 |
1.7786 |
| MBSS |
1.4580 |
1.3275 |
| GTSI |
1.0732 |
0.9766 |
| BBRM |
0.9126 |
0.7580 |
| ALII |
0.7923 |
0.6442 |
| LEAD |
0.5703 |
0.4562 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
3.3367 |
3.1629 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| CANI |
0.6479 |
-0.5512 |
2.1473 |
-1.8424 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| BSML |
5.8769 |
-0.1136 |
4.2054 |
-0.4075 |
| SOCI |
0.8996 |
-0.5397 |
2.6911 |
-1.0708 |
| BULL |
0.4550 |
-0.5392 |
1.6588 |
-1.0583 |
| GTSI |
0.2503 |
-0.6201 |
1.3428 |
-1.2109 |
| HATM |
1.9357 |
-0.0923 |
1.3257 |
-0.5072 |
| MBSS |
0.4912 |
-0.2859 |
1.0121 |
-0.8786 |
| LEAD |
0.1113 |
-0.5442 |
0.8692 |
-1.0146 |
| BBRM |
0.1789 |
-0.3995 |
0.7832 |
-0.7316 |
| ALII |
0.2206 |
-0.2691 |
0.6168 |
-0.7663 |
| HUMI |
-0.0678 |
-0.5632 |
0.4649 |
-0.9888 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
1.0352 |
-0.3967 |
1.4970 |
-0.8635 |