Risk Factor Analysis
Sector: Consumer Non-Cyclicals
Industry:
D1
[Foods & Staples Retailing]
| Stock |
Beta |
Std_dev |
VaR_95 |
| HERO |
0.5777 |
0.3087 |
-0.0320 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| EPMT |
0.1330 |
0.0743 |
-0.0077 |
| KMDS |
0.3157 |
0.1273 |
-0.0132 |
| DMND |
0.5514 |
0.1529 |
-0.0158 |
| MIDI |
0.4040 |
0.1560 |
-0.0162 |
| AMRT |
0.3662 |
0.1813 |
-0.0188 |
| PCAR |
0.3057 |
0.2023 |
-0.0210 |
| DAYA |
0.6138 |
0.2260 |
-0.0234 |
| MPPA |
0.9970 |
0.2626 |
-0.0272 |
| RANC |
0.6398 |
0.7369 |
-0.0764 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.4807 |
0.2355 |
-0.0244 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| HERO |
-0.5021 |
-0.7126 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| EPMT |
2.0471 |
1.1727 |
| RANC |
0.4353 |
0.3471 |
| DMND |
0.6502 |
0.2250 |
| DAYA |
0.1933 |
-0.0943 |
| PCAR |
-0.6784 |
-0.9997 |
| KMDS |
-0.8194 |
-1.3300 |
| MPPA |
-1.6981 |
-1.9456 |
| AMRT |
-1.8910 |
-2.2494 |
| MIDI |
-2.5224 |
-2.9392 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
-0.4759 |
-0.8682 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| HERO |
-0.3808 |
-0.0856 |
-0.0694 |
-0.5199 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| RANC |
0.3998 |
-0.1018 |
0.4225 |
-1.3310 |
| DMND |
0.0624 |
-0.0787 |
0.1781 |
-0.2246 |
| DAYA |
-0.0347 |
-0.0950 |
0.1387 |
-0.3633 |
| EPMT |
0.6557 |
0.0303 |
0.1218 |
-0.0758 |
| KMDS |
-0.5363 |
-0.0173 |
-0.0870 |
-0.1762 |
| PCAR |
-0.6616 |
-0.0147 |
-0.1226 |
-0.3183 |
| MPPA |
-0.5125 |
-0.1949 |
-0.2510 |
-0.4325 |
| AMRT |
-1.1138 |
-0.0305 |
-0.3124 |
-0.2786 |
| MIDI |
-1.1349 |
-0.0403 |
-0.3531 |
-0.2305 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
-0.3195 |
-0.0603 |
-0.0294 |
-0.3812 |