Risk Factor Analysis
Sector: Consumer Cyclicals
Industry:
E2
[Household Goods]
| Stock |
Beta |
Std_dev |
VaR_95 |
| KICI |
0.9291 |
0.5168 |
-0.0536 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| CINT |
0.8044 |
0.1753 |
-0.0182 |
| GEMA |
0.9103 |
0.1937 |
-0.0201 |
| WOOD |
0.6931 |
0.2754 |
-0.0285 |
| SCNP |
0.5268 |
0.2886 |
-0.0299 |
| MICE |
0.1220 |
0.3243 |
-0.0336 |
| LFLO |
-0.2066 |
0.3460 |
-0.0359 |
| OLIV |
0.7181 |
0.3802 |
-0.0394 |
| LMPI |
0.7009 |
0.3810 |
-0.0395 |
| SOFA |
1.7113 |
0.5990 |
-0.0621 |
| MEJA |
2.1159 |
0.6439 |
-0.0667 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.8096 |
0.3607 |
-0.0374 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| KICI |
2.7621 |
2.6364 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| MGLV |
13.6054 |
13.5312 |
| SOFA |
5.1250 |
5.0165 |
| LFLO |
2.5095 |
2.3216 |
| CINT |
1.2481 |
0.8773 |
| MEJA |
0.6291 |
0.5281 |
| MICE |
0.4332 |
0.2327 |
| LMPI |
0.3099 |
0.1393 |
| SCNP |
-0.3835 |
-0.6088 |
| GEMA |
-1.0494 |
-1.3851 |
| OLIV |
-1.2663 |
-1.4373 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
2.1161 |
1.9215 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| KICI |
1.4665 |
-0.1772 |
1.6048 |
-0.9142 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| MGLV |
6.8164 |
-0.3882 |
12.3030 |
-1.5941 |
| SOFA |
1.7558 |
-0.3812 |
3.4509 |
-1.0698 |
| MEJA |
0.1607 |
-0.4866 |
0.8917 |
-1.1550 |
| LFLO |
-3.8893 |
0.1188 |
0.7495 |
-0.5906 |
| CINT |
0.1911 |
-0.1447 |
0.3634 |
-0.2670 |
| LMPI |
0.0757 |
-0.1177 |
0.2358 |
-0.6567 |
| MICE |
0.6188 |
0.0332 |
0.1073 |
-0.5493 |
| GEMA |
-0.2946 |
-0.1723 |
-0.0309 |
-0.3019 |
| SCNP |
-0.3335 |
-0.0723 |
-0.0383 |
-0.4818 |
| OLIV |
-0.7610 |
-0.1222 |
-0.3593 |
-0.6553 |
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| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
0.4340 |
-0.1733 |
1.7673 |
-0.7321 |