Risk Factor Analysis
Sector: Infrastructures
Industry:
J2
[Heavy Constructions & Civil Engineering]
| Stock |
Beta |
Std_dev |
VaR_95 |
| PTPW |
-0.0460 |
0.2546 |
-0.0264 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| BDKR |
0.4400 |
0.1412 |
-0.0146 |
| JKON |
0.6856 |
0.1922 |
-0.0199 |
| ADHI |
0.7457 |
0.1989 |
-0.0206 |
| PTPP |
1.1101 |
0.2089 |
-0.0216 |
| ACST |
0.7411 |
0.2092 |
-0.0217 |
| TOTL |
0.4655 |
0.2109 |
-0.0219 |
| WEGE |
0.2694 |
0.2156 |
-0.0223 |
| SSIA |
0.7762 |
0.2255 |
-0.0234 |
| MTPS |
-0.0389 |
0.2351 |
-0.0244 |
| DGIK |
0.7034 |
0.2567 |
-0.0266 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.5898 |
0.2094 |
-0.0217 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| PTPW |
0.9428 |
0.6875 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| TAMA |
5.7319 |
5.6158 |
| TOTL |
5.3531 |
5.0449 |
| PTDU |
4.8577 |
4.7642 |
| ASLI |
4.7528 |
4.7032 |
| MTPS |
2.6367 |
2.3603 |
| DGIK |
1.5825 |
1.3293 |
| KOKA |
0.3260 |
0.2680 |
| BUKK |
0.0886 |
-0.0135 |
| PPRE |
0.1069 |
-0.0307 |
| IDPR |
-0.0503 |
-0.2176 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
2.5386 |
2.3824 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| PTPW |
-3.8043 |
0.0770 |
0.1630 |
-0.4173 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| ASLI |
2.3578 |
-0.6178 |
6.8578 |
-2.4224 |
| PTDU |
4.2403 |
-0.1385 |
3.5135 |
-1.2513 |
| TAMA |
3.1271 |
-0.1971 |
3.4054 |
-0.9954 |
| TOTL |
2.2852 |
-0.0564 |
1.1852 |
-0.3345 |
| KOKA |
0.1610 |
-0.4206 |
0.7856 |
-2.0558 |
| MTPS |
-14.2718 |
0.0751 |
0.5449 |
-0.3805 |
| DGIK |
0.4851 |
-0.1184 |
0.5246 |
-0.4214 |
| PPRE |
-0.0090 |
-0.3539 |
0.4044 |
-0.8298 |
| BUKK |
-0.0057 |
-0.3303 |
0.3867 |
-1.1406 |
| PBSA |
-0.1283 |
-0.3923 |
0.2322 |
-1.0364 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
-0.1758 |
-0.2550 |
1.7840 |
-1.0868 |