Risk Factor Analysis
Sector: Healthcare
Industry:
F2
[Pharmaceuticals & Health Care Research]
| Stock |
Beta |
Std_dev |
VaR_95 |
| MERK |
0.2553 |
0.1414 |
-0.0147 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| DVLA |
0.1560 |
0.0545 |
-0.0056 |
| TSPC |
0.2532 |
0.1166 |
-0.0121 |
| SIDO |
0.6068 |
0.1346 |
-0.0139 |
| MDLA |
0.3420 |
0.1401 |
-0.0145 |
| SDPC |
0.5519 |
0.1692 |
-0.0175 |
| KLBF |
0.5361 |
0.1839 |
-0.0191 |
| IKPM |
0.6682 |
0.2201 |
-0.0228 |
| PEVE |
0.9684 |
0.2281 |
-0.0236 |
| OBAT |
0.9185 |
0.2511 |
-0.0260 |
| PEHA |
0.9791 |
0.2685 |
-0.0278 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.5980 |
0.1767 |
-0.0183 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| MERK |
3.5722 |
3.1124 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| SDPC |
2.7607 |
2.3764 |
| SOHO |
1.6513 |
1.5657 |
| TSPC |
1.9262 |
1.3687 |
| DVLA |
0.7562 |
-0.4370 |
| KAEF |
-0.3533 |
-0.5512 |
| PEHA |
-0.3683 |
-0.6104 |
| IKPM |
-0.6174 |
-0.9127 |
| MDLA |
-0.6122 |
-1.0764 |
| PYFA |
-1.2279 |
-1.4003 |
| PEVE |
-1.3210 |
-1.6059 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
0.2594 |
-0.1283 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| MERK |
1.7235 |
-0.0016 |
0.5066 |
-0.2029 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| SOHO |
0.9364 |
-0.2659 |
1.5196 |
-1.3733 |
| SDPC |
0.7284 |
-0.0789 |
0.5459 |
-0.2555 |
| TSPC |
0.6301 |
-0.0010 |
0.2256 |
-0.1559 |
| PEHA |
-0.1674 |
-0.1903 |
0.0914 |
-0.4437 |
| KAEF |
-0.1799 |
-0.1973 |
0.0813 |
-0.5571 |
| DVLA |
-0.1526 |
0.0243 |
0.0169 |
-0.0382 |
| IKPM |
-0.3007 |
-0.1092 |
-0.0267 |
-0.3521 |
| MDLA |
-0.4407 |
-0.0242 |
-0.0616 |
-0.2003 |
| PYFA |
-0.2970 |
-0.3983 |
-0.0646 |
-0.6492 |
| PEVE |
-0.3783 |
-0.1875 |
-0.1139 |
-0.3672 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
0.0378 |
-0.1428 |
0.2214 |
-0.4393 |