Risk Factor Analysis
Sector: Energy
Industry:
A1.1
[Crude Petroleum & Natural Gas Production]
| Stock |
Beta |
Std_dev |
VaR_95 |
| RATU |
2.4184 |
0.5277 |
-0.0547 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| PGAS |
0.7120 |
0.1736 |
-0.0180 |
| SURE |
0.1570 |
0.1886 |
-0.0195 |
| CGAS |
0.9994 |
0.2413 |
-0.0250 |
| KOPI |
1.2437 |
0.2456 |
-0.0254 |
| MEDC |
0.9600 |
0.2499 |
-0.0259 |
| RAJA |
2.2784 |
0.5372 |
-0.0557 |
| ENRG |
2.1172 |
0.5653 |
-0.0586 |
| MTFN |
1.9729 |
0.6702 |
-0.0695 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
1.3051 |
0.3590 |
-0.0372 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| RATU |
-0.5182 |
-0.6414 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| ENRG |
1.8379 |
1.7230 |
| MEDC |
0.7711 |
0.5110 |
| RAJA |
0.4647 |
0.3437 |
| CGAS |
0.1469 |
-0.1225 |
| MTFN |
-0.3511 |
-0.4480 |
| SURE |
-0.4821 |
-0.8267 |
| PGAS |
-0.5671 |
-0.9415 |
| KOPI |
-1.5863 |
-1.8510 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
0.0292 |
-0.2015 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| RATU |
-0.1400 |
-0.5655 |
0.2920 |
-0.9348 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| ENRG |
0.4601 |
-0.4870 |
1.5260 |
-1.0061 |
| RAJA |
0.0810 |
-0.5290 |
0.7786 |
-0.9527 |
| MEDC |
0.1330 |
-0.1853 |
0.3780 |
-0.4085 |
| CGAS |
-0.0296 |
-0.1955 |
0.2310 |
-0.3922 |
| MTFN |
-0.1522 |
-0.4493 |
0.2141 |
-1.2048 |
| PGAS |
-0.2296 |
-0.1206 |
0.0221 |
-0.2639 |
| SURE |
-0.9928 |
0.0241 |
-0.1150 |
-0.2923 |
| KOPI |
-0.3655 |
-0.2592 |
-0.1303 |
-0.4002 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
-0.1369 |
-0.2752 |
0.3631 |
-0.6151 |