Risk Factor Analysis
Sector: Consumer Non-Cyclicals
Industry:
D4
[NonDurable Household Products]
| Stock |
Beta |
Std_dev |
VaR_95 |
| TCID |
0.5779 |
0.1530 |
-0.0159 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| KINO |
0.2150 |
0.1341 |
-0.0139 |
| UCID |
0.4825 |
0.1424 |
-0.0148 |
| UNVR |
0.2721 |
0.2043 |
-0.0212 |
| MSJA |
0.8240 |
0.3468 |
-0.0359 |
| MRAT |
0.2233 |
0.3558 |
-0.0369 |
| VICI |
1.0088 |
0.4171 |
-0.0432 |
| NANO |
1.6302 |
0.4390 |
-0.0455 |
| MBTO |
0.6775 |
0.4638 |
-0.0481 |
| FLMC |
0.7680 |
0.4989 |
-0.0517 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.6779 |
0.3336 |
-0.0346 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| TCID |
-0.8507 |
-1.2755 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| MSJA |
5.1777 |
4.9903 |
| VICI |
1.9855 |
1.8296 |
| MRAT |
1.7793 |
1.5966 |
| KINO |
1.5515 |
1.0666 |
| UCID |
1.1892 |
0.7326 |
| MBTO |
0.3981 |
0.2579 |
| UNVR |
0.3489 |
0.0307 |
| NANO |
-1.1871 |
-1.3351 |
| FLMC |
-1.3566 |
-1.4869 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
1.0985 |
0.8536 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| TCID |
-0.3376 |
-0.0857 |
-0.0445 |
-0.2248 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| MSJA |
2.1004 |
-0.1498 |
1.9456 |
-0.5921 |
| VICI |
0.7564 |
-0.1980 |
1.0261 |
-0.7252 |
| MRAT |
2.5438 |
0.0068 |
0.6262 |
-0.6090 |
| MBTO |
0.1766 |
-0.1116 |
0.2962 |
-0.8136 |
| UCID |
0.2162 |
-0.0608 |
0.2301 |
-0.2047 |
| KINO |
0.6651 |
0.0090 |
0.1990 |
-0.1890 |
| UNVR |
0.0230 |
-0.0059 |
0.0772 |
-0.3220 |
| NANO |
-0.3595 |
-0.3600 |
-0.1611 |
-0.7667 |
| FLMC |
-0.9660 |
-0.1352 |
-0.5417 |
-0.8803 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
0.5729 |
-0.1117 |
0.4108 |
-0.5670 |