Risk Factor Analysis
Sector: Properties & Real Estate
Industry:
H1
[Properties & Real Estate]
| Stock |
Beta |
Std_dev |
R_squared |
| POLI |
0.1345 |
0.1156 |
0.0104 |
Peers comparison
| Stock |
Beta |
Std_dev |
R_squared |
| GRPH |
-0.0008 |
0.0140 |
0.0000 |
| ADCP |
0.0330 |
0.0295 |
0.0143 |
| JRPT |
0.1015 |
0.0684 |
0.0239 |
| KOCI |
0.1067 |
0.0699 |
0.0253 |
| NIRO |
-0.0713 |
0.0723 |
0.0075 |
| MKPI |
-0.0308 |
0.0932 |
0.0012 |
| PLIN |
0.1339 |
0.0935 |
0.0158 |
| INPP |
-0.1558 |
0.1031 |
0.0248 |
| MDLN |
0.1130 |
0.1046 |
0.0127 |
| GWSA |
0.2997 |
0.1050 |
0.0628 |
| index |
Beta |
Std_dev |
R_squared |
| Average |
0.0529 |
0.0754 |
0.0188 |
| Stock |
Sharpe_ratio |
Treynor_ratio |
| POLI |
-0.5038 |
-0.4329 |
Peers comparison
| Stock |
Sharpe_ratio |
Treynor_ratio |
| REAL |
8.7517 |
2.3774 |
| MTSM |
6.9517 |
18.1382 |
| HBAT |
5.1851 |
1.9606 |
| PANI |
4.7747 |
0.9133 |
| VAST |
3.7744 |
3.3724 |
| INDO |
3.3235 |
1.3146 |
| MPRO |
3.2742 |
-6.6036 |
| BKSL |
2.9681 |
0.9312 |
| KIJA |
2.7684 |
0.6934 |
| SMDM |
2.5680 |
9.6957 |
| index |
Sharpe_ratio |
Treynor_ratio |
| Average |
4.4340 |
3.2793 |
| Stock |
SML |
Alpha_SML |
CML |
Alpha_CML |
| POLI |
0.0619 |
-0.0551 |
0.0345 |
-0.0278 |
Peers comparison
| Stock |
SML |
Alpha_SML |
CML |
Alpha_CML |
| REAL |
0.0156 |
5.1325 |
-0.0880 |
5.2361 |
| MTSM |
0.0586 |
5.0390 |
-0.1257 |
5.2233 |
| SMDM |
0.0598 |
2.1882 |
-0.1589 |
2.4070 |
| PANI |
0.0148 |
2.0340 |
-0.0444 |
2.0932 |
| BKSL |
0.0256 |
1.6266 |
-0.0508 |
1.7030 |
| HBAT |
0.0479 |
1.4694 |
-0.0088 |
1.5260 |
| FMII |
0.0898 |
1.4139 |
-0.1313 |
1.6350 |
| VAST |
0.0568 |
1.2020 |
0.0011 |
1.2577 |
| CITY |
0.0077 |
0.9323 |
-0.0732 |
1.0132 |
| INDO |
0.0489 |
0.9309 |
0.0039 |
0.9759 |
pandas-table-container
| index |
SML |
Alpha_SML |
CML |
Alpha_CML |
| Average |
0.0425 |
2.1969 |
-0.0676 |
2.3070 |