Risk Factor Analysis
Sector: Infrastructures
Industry:
J4
[Utilities]
| Stock |
Beta |
Std_dev |
VaR_95 |
| KEEN |
1.1044 |
0.2598 |
-0.0269 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| POWR |
0.0681 |
0.1055 |
-0.0109 |
| MPOW |
1.0829 |
0.3330 |
-0.0345 |
| LAPD |
1.4500 |
0.4503 |
-0.0467 |
| HADE |
1.3623 |
0.5092 |
-0.0528 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.9908 |
0.3495 |
-0.0362 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| KEEN |
0.2038 |
-0.0465 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| POWR |
5.7788 |
5.1627 |
| MPOW |
-0.1018 |
-0.2970 |
| HADE |
-0.8927 |
-1.0204 |
| LAPD |
-1.4079 |
-1.5523 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
0.8441 |
0.5733 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| KEEN |
-0.0109 |
-0.2229 |
0.2758 |
-0.4271 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| POWR |
8.0021 |
0.0473 |
0.5625 |
-0.1349 |
| MPOW |
-0.0913 |
-0.2173 |
0.1834 |
-0.5660 |
| HADE |
-0.3814 |
-0.2902 |
-0.1644 |
-0.8996 |
| LAPD |
-0.4820 |
-0.3130 |
-0.3209 |
-0.7880 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
1.7618 |
-0.1933 |
0.0651 |
-0.5971 |