Risk Factor Analysis
Sector: Consumer Non-Cyclicals
Industry:
D2.3
[Basic & Specialty - Food & Beverage]
| Stock |
Beta |
Std_dev |
VaR_95 |
| NASI |
0.2219 |
0.4251 |
-0.0441 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| MAXI |
0.0986 |
0.0597 |
-0.0062 |
| MLBI |
0.1551 |
0.0742 |
-0.0077 |
| BUDI |
0.2414 |
0.0779 |
-0.0081 |
| DLTA |
0.0743 |
0.0821 |
-0.0085 |
| BUAH |
0.1300 |
0.0848 |
-0.0088 |
| GOOD |
0.2770 |
0.0936 |
-0.0097 |
| TRGU |
0.0748 |
0.0957 |
-0.0099 |
| CLEO |
0.3799 |
0.1143 |
-0.0118 |
| ICBP |
0.2053 |
0.1144 |
-0.0118 |
| CEKA |
0.4927 |
0.1160 |
-0.0120 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.2129 |
0.0913 |
-0.0095 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| NASI |
2.2347 |
2.0818 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| ADES |
4.2883 |
4.0975 |
| MLBI |
3.9985 |
3.1230 |
| GULA |
3.1282 |
2.9705 |
| ULTJ |
2.6925 |
2.3932 |
| OILS |
2.4523 |
2.3248 |
| GRPM |
2.1364 |
2.0544 |
| FORE |
1.9641 |
1.7227 |
| ENZO |
0.8592 |
0.7635 |
| SKBM |
0.7121 |
0.6211 |
| PSDN |
0.6679 |
0.5485 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
2.2900 |
2.0619 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| NASI |
3.9879 |
0.0071 |
0.9429 |
-0.7404 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| GRPM |
46.7184 |
0.0559 |
1.6376 |
-1.4368 |
| OILS |
0.9185 |
-0.2713 |
1.5213 |
-0.9007 |
| GULA |
1.8237 |
-0.1100 |
1.3993 |
-0.7158 |
| ADES |
-4.2012 |
0.1516 |
1.3092 |
-0.5804 |
| ENZO |
0.3683 |
-0.3019 |
0.8853 |
-1.2212 |
| SKBM |
0.2984 |
-0.3226 |
0.8312 |
-1.2882 |
| PSDN |
0.1478 |
-0.4617 |
0.8254 |
-0.9665 |
| FORE |
0.6010 |
-0.1362 |
0.6651 |
-0.4451 |
| ULTJ |
2.1706 |
0.0026 |
0.5820 |
-0.3464 |
| MLBI |
1.4947 |
0.0246 |
0.2723 |
-0.0757 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
5.0340 |
-0.1369 |
0.9929 |
-0.7977 |