Risk Factor Analysis
Sector: Energy
Industry:
A1.2
[Coal Mining]
| Stock |
Beta |
Std_dev |
VaR_95 |
| ITMG |
0.1879 |
0.1332 |
-0.0138 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| BSSR |
0.2204 |
0.0987 |
-0.0102 |
| MCOL |
-0.0644 |
0.1318 |
-0.0137 |
| PTBA |
0.2962 |
0.1445 |
-0.0150 |
| ABMM |
0.7309 |
0.1463 |
-0.0152 |
| MBAP |
0.4335 |
0.1521 |
-0.0158 |
| ARII |
0.3929 |
0.1779 |
-0.0184 |
| GEMS |
0.8050 |
0.1788 |
-0.0185 |
| ADRO |
0.5152 |
0.1951 |
-0.0202 |
| AADI |
0.5632 |
0.2073 |
-0.0215 |
| KKGI |
0.6778 |
0.2096 |
-0.0217 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.4571 |
0.1642 |
-0.0170 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| ITMG |
1.9943 |
1.5064 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| BSSR |
5.5415 |
4.8826 |
| AADI |
4.5423 |
4.2287 |
| ADRO |
4.2312 |
3.8981 |
| SMMT |
3.3188 |
3.1696 |
| SGER |
2.3983 |
2.2577 |
| PTBA |
2.5638 |
2.1138 |
| ADMR |
1.8618 |
1.6633 |
| RMKE |
1.6009 |
1.4951 |
| BUMI |
1.4144 |
1.2846 |
| AIMS |
0.9097 |
0.7948 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
2.8383 |
2.5788 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| ITMG |
1.0680 |
0.0160 |
0.2497 |
-0.1874 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| SGER |
0.4950 |
-0.4846 |
1.5930 |
-0.8106 |
| SMMT |
1.7492 |
-0.1407 |
1.5861 |
-0.7601 |
| RMKE |
0.4309 |
-0.4908 |
1.4744 |
-1.0990 |
| BUMI |
0.3306 |
-0.4420 |
1.1500 |
-0.8833 |
| AADI |
1.5562 |
-0.0818 |
1.0233 |
-0.3277 |
| ADMR |
0.3645 |
-0.3245 |
0.9341 |
-0.5553 |
| ADRO |
1.4762 |
-0.0693 |
0.8949 |
-0.3047 |
| AIMS |
0.2897 |
-0.3397 |
0.8544 |
-1.0070 |
| IATA |
0.1746 |
-0.4277 |
0.8228 |
-0.9402 |
| INDY |
0.1730 |
-0.3172 |
0.6357 |
-0.7296 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
0.7040 |
-0.3118 |
1.0969 |
-0.7418 |