Risk Factor Analysis
Sector: Basic Materials
Industry:
B1.7
[Others - Basic Materials]
| Stock |
Beta |
Std_dev |
VaR_95 |
| INCF |
0.9602 |
0.3648 |
-0.0378 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| KMTR |
0.5431 |
0.1230 |
-0.0127 |
| LTLS |
0.6336 |
0.1362 |
-0.0141 |
| CLPI |
0.4012 |
0.1594 |
-0.0165 |
| BMSR |
0.5198 |
0.1721 |
-0.0178 |
| BATR |
1.0990 |
0.1984 |
-0.0206 |
| NPGF |
0.7386 |
0.2120 |
-0.0220 |
| PNGO |
0.5561 |
0.2210 |
-0.0229 |
| OKAS |
1.2914 |
0.3222 |
-0.0334 |
| INTD |
0.7548 |
0.3227 |
-0.0334 |
| DEPO |
1.1070 |
0.3382 |
-0.0350 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.7645 |
0.2205 |
-0.0228 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| INCF |
-0.0537 |
-0.2319 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| PNGO |
2.9368 |
2.6427 |
| SQMI |
2.6298 |
2.4985 |
| CLPI |
2.6963 |
2.2885 |
| ARCI |
1.5134 |
1.3496 |
| LTLS |
1.7561 |
1.2787 |
| AYLS |
0.9393 |
0.8203 |
| INTD |
0.7513 |
0.5499 |
| BMSR |
0.6901 |
0.3123 |
| DEPO |
0.3110 |
0.1188 |
| OPMS |
0.0000 |
-0.1292 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
1.4224 |
1.1730 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| INCF |
-0.0881 |
-0.1853 |
0.1657 |
-0.6262 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| SQMI |
1.0624 |
-0.2386 |
1.5409 |
-0.8732 |
| ARCI |
0.3073 |
-0.3893 |
0.9899 |
-0.6868 |
| PNGO |
1.0503 |
-0.0800 |
0.7290 |
-0.3537 |
| AYLS |
0.4735 |
-0.1817 |
0.6948 |
-0.9698 |
| OPMS |
-0.0314 |
-0.4738 |
0.4738 |
-0.8884 |
| CLPI |
0.9091 |
-0.0396 |
0.4693 |
-0.2370 |
| INTD |
0.2351 |
-0.1318 |
0.3742 |
-0.5463 |
| LTLS |
0.2748 |
-0.1002 |
0.3393 |
-0.1930 |
| DEPO |
0.0363 |
-0.2236 |
0.3288 |
-0.5757 |
| BMSR |
0.1034 |
-0.0705 |
0.1893 |
-0.2610 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
0.4421 |
-0.1929 |
0.6129 |
-0.5585 |