Risk Factor Analysis
Sector: Consumer Non-Cyclicals
Industry:
D2.4
[Others - Food & Beverage]
| Stock |
Beta |
Std_dev |
VaR_95 |
| FISH |
1.0046 |
0.5860 |
-0.0607 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| FAPA |
0.0004 |
0.0535 |
-0.0055 |
| BISI |
0.4122 |
0.1048 |
-0.0109 |
| TGKA |
0.0821 |
0.1112 |
-0.0115 |
| TAPG |
0.5161 |
0.2473 |
-0.0256 |
| DSFI |
1.2607 |
0.2571 |
-0.0266 |
| ISEA |
1.5511 |
0.2759 |
-0.0286 |
| NEST |
0.4151 |
0.3295 |
-0.0341 |
| WAPO |
1.2254 |
0.4194 |
-0.0435 |
| DPUM |
0.9408 |
0.7141 |
-0.0740 |
| AGAR |
1.0807 |
0.7384 |
-0.0765 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.7485 |
0.3251 |
-0.0337 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| FISH |
-0.8266 |
-0.9375 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| AGAR |
8.4559 |
8.3678 |
| NEST |
5.4728 |
5.2755 |
| FAPA |
4.6622 |
3.4469 |
| TAPG |
2.5918 |
2.3290 |
| DPUM |
1.5628 |
1.4718 |
| WAPO |
0.8131 |
0.6581 |
| BEEF |
0.3489 |
0.2787 |
| DSFI |
0.3204 |
0.0675 |
| ISEA |
-0.2643 |
-0.4999 |
| TGKA |
-0.5028 |
-1.0875 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
2.3461 |
2.0308 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| FISH |
-0.5469 |
-0.1969 |
-0.2875 |
-1.0452 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| AGAR |
5.7177 |
-0.2167 |
6.4608 |
-1.3340 |
| NEST |
4.1868 |
-0.0432 |
1.8463 |
-0.5592 |
| DPUM |
1.1171 |
-0.1803 |
1.2962 |
-1.2878 |
| BEEF |
0.1103 |
-0.5442 |
0.8670 |
-1.6876 |
| TAPG |
1.1162 |
-0.0695 |
0.7106 |
-0.4036 |
| WAPO |
0.2253 |
-0.2545 |
0.5955 |
-0.7296 |
| DSFI |
0.0138 |
-0.2637 |
0.3460 |
-0.4220 |
| ISEA |
-0.0889 |
-0.3394 |
0.2665 |
-0.4577 |
| FAPA |
513.8544 |
0.0649 |
0.1845 |
-0.0363 |
| TGKA |
-1.4722 |
0.0436 |
-0.0995 |
-0.1456 |
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| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
52.4780 |
-0.1803 |
1.2474 |
-0.7063 |