Risk Factor Analysis
Sector: Industrials
Industry:
C2
[Industrial Services]
| Stock |
Beta |
Std_dev |
VaR_95 |
| KONI |
1.5169 |
0.8128 |
-0.0842 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| MFMI |
0.0182 |
0.0113 |
-0.0012 |
| DYAN |
0.4266 |
0.1539 |
-0.0159 |
| JTPE |
0.4803 |
0.1606 |
-0.0166 |
| NAIK |
0.9857 |
0.1966 |
-0.0204 |
| PTMP |
1.1079 |
0.2217 |
-0.0230 |
| MUTU |
0.4468 |
0.2668 |
-0.0276 |
| ASGR |
0.7896 |
0.2732 |
-0.0283 |
| TIRA |
0.4955 |
0.2785 |
-0.0289 |
| KING |
-0.0112 |
0.3492 |
-0.0362 |
| INDX |
1.5307 |
0.3692 |
-0.0383 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.6270 |
0.2281 |
-0.0236 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| KONI |
0.2475 |
0.1675 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| VISI |
8.9022 |
8.8194 |
| JTPE |
5.3917 |
4.9870 |
| BLUE |
4.7681 |
4.6889 |
| ASGR |
3.6514 |
3.4134 |
| KING |
2.4987 |
2.3126 |
| MUTU |
1.6252 |
1.3815 |
| SOSS |
0.0746 |
-0.0716 |
| DYAN |
-0.1494 |
-0.5718 |
| MDRN |
-0.6603 |
-0.7729 |
| MHKI |
-0.8017 |
-0.9647 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
2.5301 |
2.3222 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| KONI |
0.0898 |
-0.3305 |
0.5316 |
-1.4749 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| VISI |
25.0861 |
-0.0070 |
7.0004 |
-1.4233 |
| BLUE |
2.8084 |
-0.2922 |
4.2048 |
-1.4896 |
| ASGR |
1.1810 |
-0.1408 |
1.1384 |
-0.4526 |
| JTPE |
1.6678 |
-0.0602 |
0.9262 |
-0.2393 |
| KING |
-72.0082 |
0.0679 |
0.8046 |
-0.5966 |
| MUTU |
0.8249 |
-0.0515 |
0.4850 |
-0.4404 |
| MHKI |
-0.2047 |
-0.4251 |
0.1053 |
-0.6905 |
| MDRN |
-0.2185 |
-0.4671 |
0.0861 |
-1.0281 |
| SOSS |
-0.0936 |
-0.0237 |
0.0569 |
-0.7774 |
| DYAN |
-0.2062 |
-0.0462 |
0.0232 |
-0.2265 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
-4.1163 |
-0.1446 |
1.4831 |
-0.7364 |