Risk Factor Analysis
Sector: Financials
Industry:
G3
[Investment Service]
| Stock |
Beta |
Std_dev |
VaR_95 |
| TRIM |
1.0426 |
0.2911 |
-0.0302 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| PANS |
0.2283 |
0.0997 |
-0.0103 |
| YULE |
0.1140 |
0.1082 |
-0.0112 |
| RELI |
0.3219 |
0.1325 |
-0.0137 |
| AMOR |
0.5341 |
0.1395 |
-0.0145 |
| PADI |
3.3580 |
0.7675 |
-0.0795 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.9113 |
0.2495 |
-0.0258 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| TRIM |
4.3761 |
4.1528 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| PANS |
3.7674 |
3.1153 |
| YULE |
3.0709 |
2.4703 |
| PADI |
-0.2400 |
-0.3247 |
| AMOR |
-1.0390 |
-1.5049 |
| RELI |
-1.0448 |
-1.5353 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
0.9029 |
0.4441 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| TRIM |
1.1597 |
-0.2068 |
1.4809 |
-0.4866 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| PADI |
-0.0742 |
-0.8104 |
0.6262 |
-1.3890 |
| PANS |
1.3602 |
0.0055 |
0.3700 |
-0.1238 |
| YULE |
2.3462 |
0.0353 |
0.2971 |
-0.1400 |
| AMOR |
-0.3932 |
-0.0742 |
-0.0708 |
-0.1994 |
| RELI |
-0.6320 |
-0.0189 |
-0.1195 |
-0.1861 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
0.5214 |
-0.1725 |
0.2206 |
-0.4077 |