Risk Factor Analysis
Sector: Basic Materials
Industry:
B1.4
[Chemicals]
| Stock |
Beta |
Std_dev |
VaR_95 |
| CHEM |
1.5274 |
0.5023 |
-0.0520 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| DPNS |
-0.0199 |
0.0519 |
-0.0054 |
| SAMF |
0.4416 |
0.1231 |
-0.0128 |
| SBMA |
0.6117 |
0.1330 |
-0.0138 |
| MDKI |
0.3703 |
0.1451 |
-0.0150 |
| INCI |
0.5269 |
0.1974 |
-0.0205 |
| DGWG |
0.8385 |
0.2124 |
-0.0220 |
| ADMG |
0.5318 |
0.2178 |
-0.0226 |
| UNIC |
0.4352 |
0.2518 |
-0.0261 |
| ESSA |
0.9490 |
0.2967 |
-0.0307 |
| SRSN |
0.3915 |
0.3398 |
-0.0352 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.5077 |
0.1969 |
-0.0204 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| CHEM |
-0.7105 |
-0.8399 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| AGII |
6.9640 |
6.8405 |
| UNIC |
4.6149 |
4.3567 |
| ADMG |
3.5998 |
3.3014 |
| EKAD |
2.7905 |
2.6458 |
| SRSN |
2.7232 |
2.5319 |
| KKES |
2.6558 |
2.5019 |
| MOLI |
1.9307 |
1.7736 |
| INCI |
1.9322 |
1.6029 |
| ESSA |
0.1348 |
-0.0843 |
| MDKI |
0.2181 |
-0.2298 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
2.7564 |
2.5241 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| CHEM |
-0.2762 |
-0.3332 |
-0.0236 |
-0.8866 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| AGII |
54.7201 |
0.0478 |
3.6185 |
-0.9324 |
| KKES |
0.7608 |
-0.2972 |
1.4191 |
-0.7354 |
| EKAD |
2.1359 |
-0.0801 |
1.3336 |
-0.7861 |
| UNIC |
2.5206 |
-0.0485 |
1.2104 |
-0.4120 |
| MOLI |
0.7298 |
-0.1972 |
0.9963 |
-0.7191 |
| SRSN |
2.1975 |
-0.0371 |
0.9624 |
-0.5788 |
| ADMG |
1.3523 |
-0.0736 |
0.8578 |
-0.3477 |
| INCI |
0.6004 |
-0.0724 |
0.4537 |
-0.3089 |
| ESSA |
-0.0264 |
-0.1824 |
0.2224 |
-0.4972 |
| SMLE |
-0.1492 |
-0.3043 |
0.1580 |
-0.6679 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
6.4842 |
-0.1245 |
1.1232 |
-0.5986 |