Risk Factor Analysis
Sector: Infrastructures
Industry:
J3
[Telecommunication]
| Stock |
Beta |
Std_dev |
VaR_95 |
| MTEL |
0.0751 |
0.1613 |
-0.0167 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| GOLD |
0.4199 |
0.1761 |
-0.0182 |
| TLKM |
0.8055 |
0.1859 |
-0.0193 |
| GHON |
0.5805 |
0.2043 |
-0.0212 |
| BALI |
0.5227 |
0.2101 |
-0.0218 |
| TOWR |
1.0944 |
0.2248 |
-0.0233 |
| TBIG |
0.8793 |
0.2343 |
-0.0243 |
| ISAT |
0.5747 |
0.2391 |
-0.0248 |
| PMUI |
1.3017 |
0.2795 |
-0.0290 |
| IBST |
0.3924 |
0.2975 |
-0.0308 |
| EXCL |
1.1850 |
0.3040 |
-0.0315 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.7756 |
0.2356 |
-0.0244 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| MTEL |
-0.7080 |
-1.1109 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| MORA |
10.7682 |
10.7008 |
| PADA |
2.6247 |
2.5306 |
| KETR |
1.3400 |
1.2555 |
| ISAT |
1.5004 |
1.2285 |
| INET |
0.9947 |
0.8642 |
| IBST |
0.9877 |
0.7693 |
| OASA |
0.1890 |
0.0699 |
| GOLD |
0.2989 |
-0.0702 |
| BALI |
0.0000 |
-0.3094 |
| GHON |
-0.0444 |
-0.3624 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
1.8659 |
1.6677 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| MTEL |
-2.3855 |
0.0454 |
-0.1596 |
-0.2407 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| MORA |
3.6377 |
-0.6746 |
11.0596 |
-1.7621 |
| PADA |
0.6286 |
-0.6594 |
2.4710 |
-1.2426 |
| KETR |
1.0086 |
-0.1846 |
1.2152 |
-1.3921 |
| INET |
0.1958 |
-0.5083 |
1.0038 |
-0.8788 |
| OASA |
0.0194 |
-0.4486 |
0.5518 |
-0.9693 |
| ISAT |
0.5111 |
-0.0848 |
0.4435 |
-0.3880 |
| IBST |
0.5833 |
-0.0373 |
0.3312 |
-0.4987 |
| CENT |
-0.1252 |
-0.3920 |
0.2375 |
-0.7020 |
| EXCL |
-0.1037 |
-0.2439 |
0.1860 |
-0.5109 |
| JAST |
-0.1435 |
-0.2846 |
0.1572 |
-0.6279 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
0.6212 |
-0.3518 |
1.7657 |
-0.8972 |