Risk Factor Analysis
Sector: Industrials
Industry:
C3
[Multi-Sector Holdings]
| Stock |
Beta |
Std_dev |
VaR_95 |
| HGII |
0.6508 |
0.1547 |
-0.0160 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| ASII |
0.6025 |
0.1480 |
-0.0153 |
| BHIT |
1.1244 |
0.2308 |
-0.0239 |
| BMTR |
1.3673 |
0.2555 |
-0.0265 |
| MLPL |
1.5998 |
0.3841 |
-0.0398 |
| FOLK |
2.8480 |
0.7735 |
-0.0802 |
| BNBR |
3.8936 |
0.8208 |
-0.0851 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
1.9059 |
0.4355 |
-0.0451 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| HGII |
-0.8592 |
-1.2794 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| FOLK |
2.0992 |
2.0151 |
| BNBR |
0.8361 |
0.7569 |
| BMTR |
-0.6989 |
-0.9533 |
| ASII |
-0.5147 |
-0.9540 |
| MLPL |
-1.2633 |
-1.4325 |
| BHIT |
-1.7963 |
-2.0780 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
-0.2230 |
-0.4410 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| HGII |
-0.3041 |
-0.1047 |
-0.0282 |
-0.2281 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| FOLK |
0.5473 |
-0.6775 |
2.3011 |
-1.4004 |
| BNBR |
0.1596 |
-0.9501 |
1.6363 |
-1.4901 |
| BMTR |
-0.1781 |
-0.2915 |
0.1129 |
-0.4191 |
| ASII |
-0.2343 |
-0.0921 |
0.0159 |
-0.2153 |
| MLPL |
-0.3439 |
-0.3521 |
-0.1331 |
-0.6627 |
| BHIT |
-0.4266 |
-0.2281 |
-0.1865 |
-0.3723 |
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| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
-0.0793 |
-0.4319 |
0.6244 |
-0.7600 |