Risk Factor Analysis
Sector: Basic Materials
Industry:
B1.2
[Metal and Allied Products]
| Stock |
Beta |
Std_dev |
VaR_95 |
| KRAS |
1.0810 |
0.2578 |
-0.0267 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| BTON |
0.1047 |
0.0833 |
-0.0086 |
| ISSP |
0.5889 |
0.1561 |
-0.0162 |
| GDST |
0.8210 |
0.2131 |
-0.0221 |
| TBMS |
0.6704 |
0.2205 |
-0.0228 |
| GGRP |
0.2892 |
0.2610 |
-0.0270 |
| PICO |
1.5626 |
0.3795 |
-0.0393 |
| BAJA |
1.1168 |
0.4089 |
-0.0424 |
| INAI |
0.6810 |
0.4285 |
-0.0444 |
| NIKL |
1.4463 |
0.5227 |
-0.0542 |
| ALKA |
-0.8273 |
1.1839 |
-0.1227 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.6454 |
0.3857 |
-0.0400 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| KRAS |
-1.0512 |
-1.3034 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| ALKA |
19.3181 |
19.2632 |
| BAJA |
3.5824 |
3.4234 |
| GGRP |
1.9447 |
1.6957 |
| TBMS |
1.1917 |
0.8970 |
| GDST |
0.6213 |
0.3163 |
| INAI |
0.2720 |
0.1203 |
| ISSP |
0.4789 |
0.0624 |
| NIKL |
-0.0729 |
-0.1973 |
| PICO |
-0.6917 |
-0.8630 |
| BTON |
-0.1916 |
-0.9718 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
2.6453 |
2.3746 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| KRAS |
-0.3108 |
-0.2168 |
-0.0542 |
-0.4233 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| ALKA |
-27.5671 |
0.2807 |
22.5903 |
-2.1780 |
| BAJA |
1.2533 |
-0.2262 |
1.6910 |
-0.7097 |
| GGRP |
1.5306 |
-0.0104 |
0.5180 |
-0.4295 |
| TBMS |
0.2950 |
-0.1098 |
0.3726 |
-0.3527 |
| GDST |
0.0821 |
-0.1490 |
0.2814 |
-0.3387 |
| NIKL |
-0.0713 |
-0.3121 |
0.2739 |
-0.9253 |
| INAI |
0.0757 |
-0.1125 |
0.2291 |
-0.7468 |
| ISSP |
0.0165 |
-0.0885 |
0.1633 |
-0.2307 |
| PICO |
-0.2096 |
-0.3424 |
0.0799 |
-0.6540 |
| BTON |
-0.7733 |
0.0377 |
-0.0537 |
-0.0928 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
-2.5368 |
-0.1032 |
2.6146 |
-0.6658 |