Risk Factor Analysis
Sector: Infrastructures
Industry:
J2
[Heavy Constructions & Civil Engineering]
| Stock |
Beta |
Std_dev |
R_squared |
| KRYA |
3.0267 |
0.9663 |
0.1065 |
Peers comparison
| Stock |
Beta |
Std_dev |
R_squared |
| ASLI |
0.0192 |
0.0239 |
0.0074 |
| PTPW |
0.2095 |
0.0529 |
0.1209 |
| BUKK |
0.3640 |
0.0900 |
0.1862 |
| JKON |
0.5687 |
0.1228 |
0.2328 |
| PBSA |
0.4079 |
0.1322 |
0.0733 |
| DGIK |
0.1645 |
0.1445 |
0.0100 |
| PPRE |
0.8220 |
0.1944 |
0.1378 |
| IDPR |
1.0662 |
0.1974 |
0.2248 |
| ACST |
1.1296 |
0.2197 |
0.3014 |
| TOTL |
1.2159 |
0.2514 |
0.3063 |
| index |
Beta |
Std_dev |
R_squared |
| Average |
0.5967 |
0.1429 |
0.1601 |
| Stock |
Sharpe_ratio |
Treynor_ratio |
| KRYA |
3.1464 |
1.0045 |
Peers comparison
| Stock |
Sharpe_ratio |
Treynor_ratio |
| RONY |
14.4813 |
22.9101 |
| NRCA |
3.5913 |
0.7607 |
| PBSA |
3.2183 |
1.0430 |
| SSIA |
2.2815 |
1.5407 |
| MTPS |
2.0687 |
8.7040 |
| IDPR |
1.8933 |
0.3505 |
| FIMP |
1.5044 |
-1.4520 |
| TAMA |
1.1411 |
0.7321 |
| SMKM |
1.0304 |
0.5288 |
| TOTL |
0.9577 |
0.1980 |
| index |
Sharpe_ratio |
Treynor_ratio |
| Average |
3.2168 |
3.5316 |
| Stock |
SML |
Alpha_SML |
CML |
Alpha_CML |
| KRYA |
-0.0050 |
3.1102 |
-0.1494 |
3.2547 |
Peers comparison
| Stock |
SML |
Alpha_SML |
CML |
Alpha_CML |
| RONY |
0.0518 |
13.0519 |
-0.1722 |
13.2760 |
| NRCA |
0.0020 |
2.1358 |
-0.0870 |
2.2248 |
| SSIA |
0.0453 |
1.3320 |
-0.0512 |
1.4285 |
| MTPS |
0.0617 |
1.2508 |
-0.0939 |
1.4064 |
| FIMP |
0.0787 |
0.8481 |
-0.0859 |
1.0127 |
| TAMA |
0.0434 |
0.7066 |
-0.0563 |
0.8063 |
| SMKM |
0.0460 |
0.4540 |
-0.0203 |
0.5203 |
| PTDU |
0.0105 |
0.4440 |
-0.0956 |
0.5502 |
| PBSA |
0.0556 |
0.4349 |
0.0302 |
0.4603 |
| IDPR |
0.0403 |
0.3983 |
0.0130 |
0.4256 |
pandas-table-container
| index |
SML |
Alpha_SML |
CML |
Alpha_CML |
| Average |
0.0435 |
2.1056 |
-0.0619 |
2.2111 |