Risk Factor Analysis
Sector: Consumer Cyclicals
Industry:
E5
[Consumer Services]
| Stock |
Beta |
Std_dev |
VaR_95 |
| ESTA |
0.7355 |
0.7601 |
-0.0788 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| EAST |
0.2806 |
0.1069 |
-0.0111 |
| BAYU |
0.5180 |
0.1281 |
-0.0133 |
| PANR |
0.4314 |
0.1404 |
-0.0145 |
| PJAA |
0.5324 |
0.1471 |
-0.0152 |
| PNSE |
0.3148 |
0.1516 |
-0.0157 |
| CNMA |
0.6450 |
0.1604 |
-0.0166 |
| SNLK |
0.4700 |
0.1741 |
-0.0180 |
| PZZA |
0.6390 |
0.1809 |
-0.0187 |
| BLTZ |
0.0454 |
0.2201 |
-0.0228 |
| HAJJ |
0.6701 |
0.2204 |
-0.0228 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.4547 |
0.1630 |
-0.0169 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| ESTA |
1.8770 |
1.7915 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| NATO |
6.9002 |
6.8338 |
| ICON |
4.5643 |
4.4145 |
| JGLE |
4.4539 |
4.3501 |
| LUCY |
3.2622 |
3.1941 |
| RAFI |
2.7871 |
2.6577 |
| BAIK |
1.9625 |
1.8679 |
| AKKU |
1.5671 |
1.3171 |
| PSKT |
1.4084 |
1.3050 |
| IBOS |
1.4145 |
1.2828 |
| UANG |
0.8232 |
0.7648 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
2.9143 |
2.7988 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| ESTA |
1.8513 |
-0.1267 |
1.5534 |
-1.3750 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| NATO |
5.9753 |
-0.2267 |
6.9767 |
-1.7883 |
| LUCY |
1.9413 |
-0.3444 |
3.4580 |
-1.7432 |
| JGLE |
1.4825 |
-0.4141 |
3.2036 |
-1.1215 |
| ICON |
2.4515 |
-0.1387 |
2.1195 |
-0.7572 |
| UANG |
0.3109 |
-0.6498 |
1.5673 |
-2.0466 |
| BAIK |
1.2221 |
-0.2090 |
1.5585 |
-1.2378 |
| RAFI |
2.2575 |
-0.0892 |
1.4892 |
-0.8866 |
| PSKT |
0.3877 |
-0.4866 |
1.3719 |
-1.1258 |
| BUVA |
0.1434 |
-0.6736 |
1.1448 |
-1.0869 |
| IBOS |
0.4819 |
-0.2775 |
0.9757 |
-0.8700 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
1.6654 |
-0.3510 |
2.3865 |
-1.2664 |