Risk Factor Analysis
Sector: Consumer Cyclicals
Industry:
E1
[Automobiles & Components]
| Stock |
Beta |
Std_dev |
VaR_95 |
| TYRE |
0.6010 |
0.1223 |
-0.0127 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| BRAM |
0.1139 |
0.0851 |
-0.0088 |
| SMSM |
0.3419 |
0.0992 |
-0.0103 |
| GJTL |
0.5910 |
0.1238 |
-0.0128 |
| GDYR |
0.0646 |
0.1289 |
-0.0134 |
| DRMA |
0.2766 |
0.1309 |
-0.0136 |
| LPIN |
0.2934 |
0.1329 |
-0.0138 |
| BOLT |
0.3701 |
0.1377 |
-0.0143 |
| AUTO |
0.5635 |
0.1440 |
-0.0149 |
| IMAS |
1.1435 |
0.2319 |
-0.0240 |
| PART |
1.6047 |
0.3754 |
-0.0389 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.5363 |
0.1590 |
-0.0165 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| TYRE |
-1.0222 |
-1.5538 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| AUTO |
3.9947 |
3.5433 |
| GJTL |
3.2926 |
2.7676 |
| KAQI |
0.9170 |
0.7501 |
| LPIN |
1.0075 |
0.5183 |
| INDS |
0.1288 |
0.0788 |
| LMAX |
0.1426 |
0.0279 |
| AEGS |
0.0932 |
-0.0522 |
| PART |
0.0529 |
-0.1203 |
| DRMA |
0.2199 |
-0.2767 |
| GDYR |
-0.3663 |
-0.8707 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
0.9483 |
0.6366 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| TYRE |
-0.3161 |
-0.0917 |
-0.0333 |
-0.1667 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| KAQI |
0.1934 |
-0.3288 |
0.6859 |
-0.6729 |
| INDS |
0.0479 |
-0.4924 |
0.6598 |
-2.3979 |
| AUTO |
0.9053 |
-0.0819 |
0.6571 |
-0.2078 |
| LMAX |
0.0066 |
-0.5641 |
0.6449 |
-1.0089 |
| GJTL |
0.5797 |
-0.0891 |
0.4967 |
-0.1695 |
| PART |
-0.0281 |
-0.3533 |
0.3732 |
-0.6462 |
| AEGS |
-0.0166 |
-0.3025 |
0.3442 |
-0.7816 |
| LPIN |
0.2347 |
-0.0115 |
0.1454 |
-0.1867 |
| DRMA |
-0.1309 |
-0.0071 |
0.0359 |
-0.1830 |
| ISAP |
-0.2575 |
-0.4761 |
0.0067 |
-0.8407 |
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| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
0.1534 |
-0.2707 |
0.4050 |
-0.7095 |