Risk Factor Analysis
Sector: Transportation & Logistic
Industry:
K2.2
[Logistics & Deliveries]
| Stock |
Beta |
Std_dev |
VaR_95 |
| NELY |
1.3630 |
0.3001 |
-0.0311 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| BLOG |
0.4783 |
0.1333 |
-0.0138 |
| HAIS |
0.7576 |
0.1864 |
-0.0193 |
| TMAS |
0.7851 |
0.2152 |
-0.0223 |
| SMDR |
0.9342 |
0.2200 |
-0.0228 |
| RCCC |
0.6837 |
0.2521 |
-0.0261 |
| SAPX |
0.6365 |
0.2571 |
-0.0266 |
| KLAS |
1.1258 |
0.2603 |
-0.0270 |
| MPXL |
0.8958 |
0.2731 |
-0.0283 |
| LAJU |
1.2054 |
0.3118 |
-0.0323 |
| JAYA |
1.0184 |
0.3156 |
-0.0327 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.8521 |
0.2425 |
-0.0251 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| NELY |
-1.2849 |
-1.5015 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| PPGL |
5.6728 |
5.5751 |
| TRUK |
3.0056 |
2.9230 |
| JAYA |
1.6595 |
1.4536 |
| ELPI |
1.1168 |
1.0002 |
| SMDR |
1.1589 |
0.8634 |
| GTRA |
0.8678 |
0.6852 |
| AKSI |
0.7089 |
0.5471 |
| SDMU |
0.5350 |
0.3920 |
| CBRE |
0.2728 |
0.1681 |
| TMAS |
0.4445 |
0.1424 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
1.5443 |
1.3750 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| NELY |
-0.3306 |
-0.2903 |
-0.0953 |
-0.5036 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| PPGL |
1.9159 |
-0.4397 |
4.2137 |
-1.1954 |
| TRUK |
0.6568 |
-0.8478 |
3.2128 |
-1.4257 |
| ELPI |
0.6525 |
-0.1578 |
0.7805 |
-0.9914 |
| JAYA |
0.4505 |
-0.2005 |
0.7243 |
-0.5330 |
| SDMU |
0.0940 |
-0.4296 |
0.6728 |
-0.7964 |
| GTRA |
0.1664 |
-0.3171 |
0.6260 |
-0.6094 |
| AKSI |
0.1614 |
-0.2900 |
0.5748 |
-0.6960 |
| SMDR |
0.2033 |
-0.1786 |
0.4334 |
-0.3517 |
| CBRE |
0.0831 |
-0.2623 |
0.4317 |
-1.1112 |
| TMAS |
0.0390 |
-0.1397 |
0.2353 |
-0.3426 |
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| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
0.4423 |
-0.3263 |
1.1905 |
-0.8053 |