Risk Factor Analysis
Sector: Healthcare
Industry:
F1
[Healthcare Equipment & Providers]
| Stock |
Beta |
Std_dev |
VaR_95 |
| HALO |
1.2777 |
0.3175 |
-0.0329 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| PRDA |
0.0857 |
0.1004 |
-0.0104 |
| PRAY |
0.2585 |
0.1548 |
-0.0160 |
| MIKA |
0.5855 |
0.1573 |
-0.0163 |
| MTMH |
0.4279 |
0.1676 |
-0.0174 |
| HEAL |
0.5554 |
0.1789 |
-0.0185 |
| CHEK |
0.7756 |
0.1795 |
-0.0186 |
| SILO |
0.0927 |
0.1815 |
-0.0188 |
| IRRA |
0.5224 |
0.1839 |
-0.0191 |
| BMHS |
0.4782 |
0.1883 |
-0.0195 |
| SRAJ |
0.2896 |
0.2105 |
-0.0218 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.4072 |
0.1703 |
-0.0176 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| HALO |
-0.8591 |
-1.0638 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| DGNS |
3.3090 |
3.0877 |
| PRIM |
1.6464 |
1.3521 |
| SRAJ |
1.3624 |
1.0536 |
| CARE |
0.9004 |
0.7347 |
| BMHS |
0.9009 |
0.5556 |
| LABS |
0.7090 |
0.4893 |
| RSCH |
0.7226 |
0.4743 |
| OMED |
0.7737 |
0.4706 |
| PRDA |
1.0159 |
0.3688 |
| MEDS |
0.3714 |
0.2541 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
1.1712 |
0.8841 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| HALO |
-0.2643 |
-0.2681 |
-0.0046 |
-0.5364 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| DGNS |
1.4692 |
-0.0959 |
1.0675 |
-0.4913 |
| MEDS |
0.0950 |
-0.3217 |
0.5276 |
-0.9853 |
| CARE |
0.3352 |
-0.1592 |
0.5126 |
-0.6785 |
| PRIM |
0.4132 |
-0.1234 |
0.4871 |
-0.3534 |
| RSCH |
0.1265 |
-0.1910 |
0.3802 |
-0.4310 |
| SRAJ |
0.7658 |
-0.0105 |
0.2973 |
-0.3338 |
| RSGK |
0.0318 |
-0.1966 |
0.2936 |
-0.5593 |
| OMED |
0.1390 |
-0.1243 |
0.2902 |
-0.3413 |
| LABS |
0.2874 |
-0.0663 |
0.2761 |
-0.4956 |
| BMHS |
0.2187 |
-0.0597 |
0.2293 |
-0.2917 |
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| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
0.3882 |
-0.1349 |
0.4361 |
-0.4961 |