Risk Factor Analysis
Sector: Infrastructures
Industry:
J1
[Transportation Infrastructure]
| Stock |
Beta |
Std_dev |
VaR_95 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| IPCM |
0.1750 |
0.0992 |
-0.0103 |
| IPCC |
0.6757 |
0.1789 |
-0.0185 |
| JSMR |
0.4124 |
0.1854 |
-0.0192 |
| CASS |
0.0903 |
0.1954 |
-0.0203 |
| CMNP |
0.6353 |
0.2587 |
-0.0268 |
| PORT |
0.4892 |
0.2700 |
-0.0280 |
| GMFI |
0.7067 |
0.3749 |
-0.0388 |
| KARW |
0.9904 |
0.4100 |
-0.0425 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.5219 |
0.2466 |
-0.0255 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| IPCC |
0.5307 |
0.1672 |
| IPCM |
0.5532 |
-0.1023 |
| CMNP |
0.1464 |
-0.1048 |
| PORT |
-0.0570 |
-0.2977 |
| GMFI |
-0.2501 |
-0.4235 |
| JSMR |
-0.7680 |
-1.1186 |
| KARW |
-1.6614 |
-1.8199 |
| CASS |
-1.5331 |
-1.8657 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
-0.3799 |
-0.6957 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| IPCC |
0.0443 |
-0.1112 |
0.2061 |
-0.2739 |
| CMNP |
-0.0427 |
-0.1006 |
0.1385 |
-0.4251 |
| PORT |
-0.1643 |
-0.0625 |
0.0472 |
-0.4465 |
| IPCM |
-0.0580 |
0.0194 |
0.0355 |
-0.1229 |
| GMFI |
-0.2246 |
-0.1192 |
0.0255 |
-0.6452 |
| JSMR |
-0.5028 |
-0.0425 |
-0.0998 |
-0.2862 |
| CASS |
-4.0391 |
0.0415 |
-0.3411 |
-0.3052 |
| KARW |
-0.7535 |
-0.1932 |
-0.4880 |
-0.7118 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
-0.7176 |
-0.0710 |
-0.0595 |
-0.4021 |