Risk Factor Analysis
Sector: Industrials
Industry:
C1.3
[Others - Industrial Goods]
| Stock |
Beta |
Std_dev |
VaR_95 |
| INTA |
1.8069 |
0.6655 |
-0.0690 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| SPTO |
0.2418 |
0.1005 |
-0.0104 |
| HEXA |
0.2678 |
0.1033 |
-0.0107 |
| APII |
0.2519 |
0.1294 |
-0.0134 |
| AVIA |
0.8042 |
0.1645 |
-0.0170 |
| UNTR |
0.5882 |
0.1812 |
-0.0188 |
| AMIN |
0.4742 |
0.2264 |
-0.0235 |
| ARKA |
0.8422 |
0.2699 |
-0.0280 |
| KOIN |
0.2429 |
0.2843 |
-0.0295 |
| SMIL |
0.8441 |
0.3222 |
-0.0334 |
| KOBX |
0.8151 |
0.3265 |
-0.0338 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.5372 |
0.2108 |
-0.0218 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| INTA |
1.1933 |
1.0957 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| SINI |
4.3819 |
4.2967 |
| CTTH |
2.2573 |
2.1882 |
| KUAS |
0.8028 |
0.6628 |
| AMIN |
0.8996 |
0.6126 |
| ASPR |
0.6236 |
0.5341 |
| KOBX |
0.6759 |
0.4769 |
| HOPE |
0.5499 |
0.4553 |
| APII |
0.9075 |
0.4052 |
| NTBK |
0.3231 |
0.2433 |
| IMPC |
0.1818 |
0.0267 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
1.1603 |
0.9902 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| INTA |
0.4035 |
-0.4061 |
1.2002 |
-1.1957 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| SINI |
1.0104 |
-0.7811 |
4.1256 |
-1.3810 |
| CTTH |
3.0175 |
-0.1127 |
2.2347 |
-1.7159 |
| NTBK |
0.0735 |
-0.6377 |
0.9009 |
-1.4777 |
| HOPE |
0.1461 |
-0.4936 |
0.8716 |
-1.2375 |
| KUAS |
0.2525 |
-0.2525 |
0.6250 |
-0.8140 |
| IMPC |
0.0058 |
-0.4353 |
0.5115 |
-0.7292 |
| ASPR |
2.0042 |
0.0145 |
0.4384 |
-1.3111 |
| KOBX |
0.1910 |
-0.1475 |
0.3682 |
-0.5536 |
| PIPA |
-0.1146 |
-0.4829 |
0.3070 |
-1.3066 |
| AMIN |
0.2925 |
-0.0586 |
0.2623 |
-0.3640 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
0.6879 |
-0.3387 |
1.0645 |
-1.0891 |