Risk Factor Analysis
Sector: Industrials
Industry:
C1.2
[Ceramics Glass & Porcelain]
| Stock |
Beta |
Std_dev |
VaR_95 |
| MARK |
0.1518 |
0.1882 |
-0.0195 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| MLIA |
0.1710 |
0.0635 |
-0.0066 |
| TOTO |
0.4034 |
0.1064 |
-0.0110 |
| ARNA |
0.4617 |
0.1211 |
-0.0125 |
| AMFG |
0.3398 |
0.1230 |
-0.0127 |
| CAKK |
0.7278 |
0.1546 |
-0.0160 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.4207 |
0.1137 |
-0.0118 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| MARK |
5.9789 |
5.6335 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| TOTO |
0.1970 |
-0.4137 |
| AMFG |
0.0680 |
-0.4606 |
| CAKK |
-0.1540 |
-0.5743 |
| ARNA |
-0.0605 |
-0.5974 |
| MLIA |
-6.1155 |
-7.1385 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
-1.2130 |
-1.8369 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| MARK |
6.9868 |
0.0254 |
1.0998 |
-0.2916 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| CAKK |
-0.1220 |
-0.1247 |
0.1009 |
-0.2280 |
| TOTO |
-0.1092 |
-0.0402 |
0.0611 |
-0.1367 |
| ARNA |
-0.1566 |
-0.0554 |
0.0480 |
-0.1643 |
| AMFG |
-0.1667 |
-0.0236 |
0.0320 |
-0.1680 |
| MLIA |
-2.6521 |
0.0204 |
-0.4090 |
-0.0554 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
-0.6413 |
-0.0447 |
-0.0334 |
-0.1505 |