Risk Factor Analysis
Sector: Consumer Non-Cyclicals
Industry:
D3
[Tobacco]
| Stock |
Beta |
Std_dev |
VaR_95 |
| ITIC |
1.0793 |
0.3776 |
-0.0391 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| HMSP |
0.4328 |
0.2465 |
-0.0255 |
| GGRM |
0.3465 |
0.3062 |
-0.0317 |
| WIIM |
0.6658 |
0.3108 |
-0.0322 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.4817 |
0.2878 |
-0.0298 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| ITIC |
-0.9166 |
-1.0887 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| GGRM |
2.5261 |
2.3138 |
| WIIM |
1.9128 |
1.7037 |
| HMSP |
0.5122 |
0.2485 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
1.6504 |
1.4220 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| ITIC |
-0.3809 |
-0.2164 |
-0.1298 |
-0.6505 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| GGRM |
2.0446 |
-0.0253 |
0.7987 |
-0.5150 |
| WIIM |
0.7954 |
-0.1086 |
0.7032 |
-0.5239 |
| HMSP |
0.1416 |
-0.0478 |
0.1741 |
-0.4020 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
0.9939 |
-0.0606 |
0.5587 |
-0.4803 |