Risk Factor Analysis
Sector: Energy
Industry:
A1.3
[Supporting Industries - Oil Gas & Coal]
| Stock |
Beta |
Std_dev |
VaR_95 |
| ITMA |
0.7780 |
0.3650 |
-0.0378 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| SUNI |
0.2228 |
0.1147 |
-0.0119 |
| MYOH |
0.4681 |
0.1284 |
-0.0133 |
| ATLA |
0.3799 |
0.1470 |
-0.0152 |
| SICO |
0.6996 |
0.1627 |
-0.0169 |
| AKRA |
0.4975 |
0.1633 |
-0.0169 |
| MAHA |
0.5904 |
0.1677 |
-0.0174 |
| DOID |
0.9620 |
0.1986 |
-0.0206 |
| OBMD |
0.8822 |
0.2024 |
-0.0210 |
| WOWS |
1.0557 |
0.2820 |
-0.0292 |
| CRSN |
1.1243 |
0.2860 |
-0.0296 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.6883 |
0.1853 |
-0.0192 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| ITMA |
0.6820 |
0.5039 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| PKPK |
13.0944 |
12.9656 |
| INPS |
9.2109 |
9.1050 |
| MKAP |
2.6237 |
2.5430 |
| ELSA |
1.6932 |
1.4799 |
| DEWA |
1.4164 |
1.2887 |
| AKRA |
1.6408 |
1.2429 |
| RMKO |
1.2732 |
1.2111 |
| APEX |
1.1341 |
0.9902 |
| BIPI |
0.9353 |
0.8413 |
| CRSN |
0.7875 |
0.5603 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
3.3809 |
3.2228 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| ITMA |
0.2364 |
-0.1378 |
0.3868 |
-0.6265 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| PKPK |
7.0459 |
-0.1772 |
6.7878 |
-0.8914 |
| INPS |
7.0811 |
-0.1409 |
5.7971 |
-1.0984 |
| RMKO |
0.3647 |
-0.8417 |
2.1750 |
-1.9191 |
| MKAP |
6.0211 |
-0.0237 |
2.1376 |
-1.4614 |
| BIPI |
0.1962 |
-0.7086 |
1.3556 |
-1.2457 |
| DEWA |
0.2533 |
-0.6104 |
1.3318 |
-0.8999 |
| APEX |
0.2714 |
-0.3647 |
0.8771 |
-0.7910 |
| TEBE |
0.1027 |
-0.4273 |
0.6863 |
-1.0197 |
| ELSA |
0.5450 |
-0.1508 |
0.6668 |
-0.5124 |
| PTRO |
-0.0125 |
-0.5819 |
0.6159 |
-0.8068 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
2.1869 |
-0.4027 |
2.2431 |
-1.0646 |