Risk Factor Analysis
Sector: Consumer Non-Cyclicals
Industry:
D2.3
[Basic & Specialty - Food & Beverage]
| Stock |
Beta |
Std_dev |
R_squared |
| MAXI |
-0.1260 |
0.0916 |
0.0205 |
Peers comparison
| Stock |
Beta |
Std_dev |
R_squared |
| CRAB |
0.3317 |
0.0642 |
0.2057 |
| ROTI |
0.0827 |
0.0653 |
0.0123 |
| FOOD |
0.0929 |
0.0850 |
0.0092 |
| MLBI |
0.3116 |
0.0902 |
0.1297 |
| GOOD |
0.0302 |
0.0923 |
0.0008 |
| ICBP |
0.3296 |
0.1018 |
0.0808 |
| MYOR |
0.0841 |
0.1072 |
0.0047 |
| BUDI |
0.4356 |
0.1179 |
0.1556 |
| TRGU |
0.0371 |
0.1211 |
0.0012 |
| DLTA |
0.7225 |
0.1243 |
0.2605 |
| index |
Beta |
Std_dev |
R_squared |
| Average |
0.2458 |
0.0969 |
0.0861 |
| Stock |
Sharpe_ratio |
Treynor_ratio |
| MAXI |
-1.8784 |
1.3667 |
Peers comparison
| Stock |
Sharpe_ratio |
Treynor_ratio |
| UDNG |
26.4043 |
12.4996 |
| AMMS |
5.5616 |
4.9211 |
| FORE |
4.1842 |
-106.9552 |
| IKAN |
3.1369 |
2.7214 |
| STRK |
2.5035 |
2.1683 |
| INDF |
2.2732 |
0.6529 |
| CEKA |
2.2380 |
0.6403 |
| SOUL |
2.1050 |
-3.5865 |
| COCO |
1.8008 |
0.4918 |
| NAYZ |
1.7525 |
-2.0667 |
| index |
Sharpe_ratio |
Treynor_ratio |
| Average |
5.1960 |
-8.8513 |
| Stock |
SML |
Alpha_SML |
CML |
Alpha_CML |
| MAXI |
0.0679 |
-0.1751 |
0.0447 |
-0.1518 |
Peers comparison
| Stock |
SML |
Alpha_SML |
CML |
Alpha_CML |
| UDNG |
0.0190 |
24.9069 |
-0.1252 |
25.0511 |
| AMMS |
0.0465 |
3.9535 |
-0.0882 |
4.0882 |
| IKAN |
0.0459 |
2.2699 |
-0.1240 |
2.4398 |
| SOUL |
0.0756 |
1.6387 |
-0.0933 |
1.8076 |
| FORE |
0.0653 |
1.5934 |
-0.0353 |
1.6941 |
| COCO |
0.0131 |
1.1549 |
-0.0964 |
1.2644 |
| NAYZ |
0.0778 |
1.1327 |
-0.1072 |
1.3177 |
| STRK |
0.0542 |
1.0258 |
-0.0169 |
1.0969 |
| KEJU |
0.0364 |
0.7587 |
-0.0492 |
0.8444 |
| ASHA |
0.0381 |
0.6619 |
-0.0517 |
0.7517 |
pandas-table-container
| index |
SML |
Alpha_SML |
CML |
Alpha_CML |
| Average |
0.0472 |
3.9096 |
-0.0787 |
4.0356 |