Risk Factor Analysis
Sector: Basic Materials
Industry:
B1.5
[Forestry]
| Stock |
Beta |
Std_dev |
VaR_95 |
| TIRT |
1.2752 |
0.9543 |
-0.0989 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| KDSI |
0.0750 |
0.0651 |
-0.0067 |
| INRU |
-0.0054 |
0.0698 |
-0.0072 |
| IFII |
0.2883 |
0.1331 |
-0.0138 |
| SPMA |
0.5610 |
0.1951 |
-0.0202 |
| ALDO |
0.1545 |
0.2328 |
-0.0241 |
| INKP |
1.2046 |
0.2564 |
-0.0266 |
| FWCT |
1.1441 |
0.2769 |
-0.0287 |
| TKIM |
1.3633 |
0.3095 |
-0.0321 |
| SULI |
0.9286 |
0.3103 |
-0.0322 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.6349 |
0.2054 |
-0.0213 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| TIRT |
13.0029 |
12.9348 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| ALDO |
3.9813 |
3.7021 |
| INKP |
0.6641 |
0.4106 |
| TKIM |
0.1531 |
-0.0570 |
| SPMA |
0.0965 |
-0.2367 |
| SULI |
-0.3085 |
-0.5180 |
| IFII |
-0.7124 |
-1.2008 |
| KDSI |
-0.3370 |
-1.3360 |
| FWCT |
-1.5543 |
-1.7890 |
| INRU |
-3.4922 |
-4.4240 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
-0.1677 |
-0.6054 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| TIRT |
9.6801 |
-0.2674 |
12.6765 |
-1.7430 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| ALDO |
5.5767 |
0.0247 |
0.9021 |
-0.3760 |
| INKP |
0.0874 |
-0.2490 |
0.4193 |
-0.4207 |
| TKIM |
-0.0129 |
-0.2904 |
0.3378 |
-0.5213 |
| SPMA |
-0.0823 |
-0.0813 |
0.1001 |
-0.3046 |
| SULI |
-0.1731 |
-0.1771 |
0.0813 |
-0.5229 |
| KDSI |
-1.1593 |
0.0455 |
-0.0674 |
-0.0583 |
| IFII |
-0.5543 |
-0.0102 |
-0.0847 |
-0.1872 |
| FWCT |
-0.4330 |
-0.2333 |
-0.1971 |
-0.4596 |
| INRU |
56.9094 |
0.0664 |
-0.3100 |
-0.0672 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
6.6843 |
-0.1005 |
0.1313 |
-0.3242 |