Risk Factor Analysis
Sector: Consumer Cyclicals
Industry:
E7
[Retailing]
| Stock |
Beta |
Std_dev |
VaR_95 |
| MPMX |
-0.1400 |
0.1392 |
-0.0144 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| MDIY |
0.2430 |
0.1118 |
-0.0116 |
| ACES |
0.5605 |
0.1293 |
-0.0134 |
| CSAP |
0.4423 |
0.1302 |
-0.0135 |
| RALS |
0.1773 |
0.1380 |
-0.0143 |
| LPPF |
0.4355 |
0.1528 |
-0.0158 |
| HYGN |
0.5906 |
0.1586 |
-0.0164 |
| ERAL |
0.6380 |
0.1777 |
-0.0184 |
| MAPA |
0.3791 |
0.1847 |
-0.0191 |
| ERAA |
0.8109 |
0.2117 |
-0.0219 |
| MAPI |
0.1810 |
0.2125 |
-0.0220 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.4458 |
0.1607 |
-0.0166 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| MPMX |
2.1749 |
1.7079 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| VKTR |
6.8982 |
6.7752 |
| EURO |
5.3623 |
5.2771 |
| GLOB |
4.8775 |
4.5879 |
| BOGA |
2.7231 |
2.6342 |
| ERAA |
2.3493 |
2.0423 |
| MAPA |
1.4230 |
1.0710 |
| PMJS |
1.2116 |
0.9119 |
| MAPI |
1.1183 |
0.8124 |
| HYGN |
0.9629 |
0.5530 |
| RALS |
0.7403 |
0.2693 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
2.7667 |
2.4934 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| MPMX |
-1.6985 |
0.1015 |
0.2012 |
-0.1987 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| VKTR |
1.4852 |
-0.5634 |
4.2084 |
-0.9361 |
| EURO |
7.6526 |
-0.0721 |
4.1628 |
-1.3802 |
| BOGA |
2.5933 |
-0.1286 |
2.1193 |
-1.3200 |
| GLOB |
12.8256 |
0.0441 |
1.0505 |
-0.3602 |
| ERAA |
0.5332 |
-0.1464 |
0.6438 |
-0.3361 |
| PMJS |
0.1969 |
-0.1969 |
0.4597 |
-0.3460 |
| BAUT |
0.0482 |
-0.2954 |
0.4270 |
-0.7561 |
| MAPA |
0.5216 |
-0.0338 |
0.2966 |
-0.2848 |
| TOOL |
-0.0054 |
-0.1897 |
0.2494 |
-0.5849 |
| HYGN |
0.1485 |
-0.0890 |
0.2417 |
-0.2354 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
2.6000 |
-0.1671 |
1.3859 |
-0.6540 |