Risk Factor Analysis
Sector: Consumer Cyclicals
Industry:
E6
[Media & Entertainment]
| Stock |
Beta |
Std_dev |
VaR_95 |
| DOOH |
1.8218 |
0.6461 |
-0.0670 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| MNCN |
0.9201 |
0.1684 |
-0.0175 |
| ABBA |
0.6516 |
0.2680 |
-0.0278 |
| IPTV |
0.5171 |
0.2787 |
-0.0289 |
| SCMA |
1.0021 |
0.2844 |
-0.0295 |
| MARI |
0.8138 |
0.2857 |
-0.0296 |
| WIFI |
1.5867 |
0.3085 |
-0.0320 |
| MSKY |
1.0801 |
0.3150 |
-0.0326 |
| VERN |
1.1258 |
0.3200 |
-0.0332 |
| RAAM |
1.3202 |
0.3532 |
-0.0366 |
| TMPO |
1.3892 |
0.3658 |
-0.0379 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
1.0407 |
0.2948 |
-0.0306 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| DOOH |
2.4489 |
2.3483 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| MMIX |
5.9716 |
5.8571 |
| MDIA |
3.2557 |
3.1960 |
| VERN |
2.1989 |
1.9958 |
| FORU |
2.0021 |
1.9084 |
| VIVA |
-0.0436 |
-0.1628 |
| TMPO |
-0.3197 |
-0.4974 |
| FUTR |
-0.8019 |
-0.9357 |
| DIGI |
-0.8341 |
-0.9866 |
| WIFI |
-0.8690 |
-1.0797 |
| MSKY |
-0.9258 |
-1.1321 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
0.9634 |
0.8163 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| DOOH |
0.8328 |
-0.4100 |
1.9922 |
-1.1591 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| MDIA |
1.3187 |
-0.6235 |
4.1711 |
-1.9994 |
| MMIX |
-4.9825 |
0.2389 |
3.1489 |
-1.0098 |
| FORU |
0.8463 |
-0.3428 |
1.7317 |
-1.2493 |
| VERN |
0.5673 |
-0.2285 |
0.9322 |
-0.5413 |
| VIVA |
-0.0430 |
-0.4734 |
0.4496 |
-0.9685 |
| FUTR |
-0.1863 |
-0.5711 |
0.1816 |
-0.8550 |
| TMPO |
-0.1310 |
-0.2972 |
0.1802 |
-0.6281 |
| WIFI |
-0.2099 |
-0.3487 |
0.0806 |
-0.5194 |
| MSKY |
-0.3302 |
-0.2166 |
-0.0751 |
-0.5319 |
| MNCN |
-0.3776 |
-0.1749 |
-0.1076 |
-0.2541 |
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| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
-0.3528 |
-0.3038 |
1.0693 |
-0.8557 |