Risk Factor Analysis
Sector: Basic Materials
Industry:
B1.1
[Metal & Mineral Mining]
| Stock |
Beta |
Std_dev |
VaR_95 |
| SMGA |
1.7664 |
0.3492 |
-0.0362 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| MINE |
1.2664 |
0.2419 |
-0.0251 |
| CITA |
0.5406 |
0.2422 |
-0.0251 |
| NCKL |
1.3159 |
0.2725 |
-0.0282 |
| NICE |
1.2754 |
0.2844 |
-0.0295 |
| DKFT |
1.2724 |
0.2947 |
-0.0305 |
| ANTM |
1.4386 |
0.3003 |
-0.0311 |
| INCO |
1.5937 |
0.3085 |
-0.0320 |
| MDKA |
1.3659 |
0.3147 |
-0.0326 |
| AMMN |
1.5966 |
0.3185 |
-0.0330 |
| MBMA |
1.5751 |
0.3500 |
-0.0363 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
1.3241 |
0.2928 |
-0.0303 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| SMGA |
-0.5402 |
-0.7264 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| TINS |
6.5742 |
6.4486 |
| PSAB |
1.0193 |
0.8501 |
| INCO |
0.7755 |
0.5648 |
| BRMS |
0.6713 |
0.5246 |
| MDKA |
0.7296 |
0.5230 |
| MBMA |
0.4559 |
0.2702 |
| IFSH |
0.2225 |
0.1472 |
| ANTM |
0.1600 |
-0.0564 |
| DKFT |
0.1640 |
-0.0566 |
| NCKL |
-0.2791 |
-0.5176 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
1.0493 |
0.8698 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| SMGA |
-0.1436 |
-0.3955 |
0.2068 |
-0.5967 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| TINS |
2.8716 |
-0.2381 |
3.6414 |
-0.9158 |
| BRMS |
0.1074 |
-0.4991 |
0.7964 |
-0.7740 |
| PSAB |
0.2318 |
-0.3023 |
0.6939 |
-0.6628 |
| INCO |
0.1093 |
-0.3505 |
0.5898 |
-0.5195 |
| MDKA |
0.1205 |
-0.2911 |
0.5207 |
-0.5311 |
| MBMA |
0.0600 |
-0.3456 |
0.5052 |
-0.5982 |
| IFSH |
0.1164 |
-0.2193 |
0.4113 |
-1.5692 |
| ANTM |
-0.0118 |
-0.3100 |
0.3581 |
-0.5040 |
| DKFT |
-0.0131 |
-0.2667 |
0.3150 |
-0.4933 |
| NCKL |
-0.1072 |
-0.2781 |
0.2020 |
-0.4513 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
0.3485 |
-0.3101 |
0.8034 |
-0.7019 |