Risk Factor Analysis
Sector: Consumer Non-Cyclicals
Industry:
D2.1
[Plantation]
| Stock |
Beta |
Std_dev |
VaR_95 |
| UNSP |
2.0986 |
0.5641 |
-0.0585 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| MGRO |
0.3519 |
0.0915 |
-0.0095 |
| AALI |
0.5319 |
0.1507 |
-0.0156 |
| PALM |
0.6246 |
0.1521 |
-0.0158 |
| MKTR |
0.6598 |
0.1547 |
-0.0160 |
| CSRA |
0.4004 |
0.1671 |
-0.0173 |
| LSIP |
0.6299 |
0.1865 |
-0.0193 |
| PSGO |
0.2085 |
0.1899 |
-0.0197 |
| ANJT |
0.9042 |
0.2130 |
-0.0221 |
| JAWA |
1.0594 |
0.2191 |
-0.0227 |
| PTPS |
0.9864 |
0.2233 |
-0.0231 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.6357 |
0.1748 |
-0.0181 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| UNSP |
0.3629 |
0.2476 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| LSIP |
2.0377 |
1.6891 |
| JARR |
1.5049 |
1.4129 |
| NSSS |
1.1280 |
1.0281 |
| PGUN |
0.7336 |
0.6469 |
| SMAR |
0.8892 |
0.6034 |
| STAA |
0.8324 |
0.5508 |
| AALI |
0.9145 |
0.4832 |
| DSNG |
0.5696 |
0.2977 |
| JAWA |
0.2467 |
-0.0500 |
| SIMP |
0.2192 |
-0.0679 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
0.9076 |
0.6594 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| UNSP |
0.0666 |
-0.4821 |
0.6868 |
-1.0036 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| JARR |
0.4522 |
-0.5109 |
1.5748 |
-1.2744 |
| NSSS |
0.2607 |
-0.6044 |
1.3389 |
-1.1687 |
| PGUN |
0.2495 |
-0.4422 |
0.9927 |
-1.3567 |
| LSIP |
0.5001 |
-0.0992 |
0.4792 |
-0.2883 |
| SMAR |
0.1507 |
-0.1725 |
0.3747 |
-0.3659 |
| GZCO |
-0.0998 |
-0.4006 |
0.2874 |
-0.5675 |
| STAA |
0.2212 |
-0.0848 |
0.2770 |
-0.3724 |
| JAWA |
-0.0103 |
-0.2112 |
0.2652 |
-0.3500 |
| SIMP |
-0.0143 |
-0.2143 |
0.2640 |
-0.3640 |
| SGRO |
-0.0425 |
-0.2481 |
0.2620 |
-0.6084 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
0.1668 |
-0.2988 |
0.6116 |
-0.6716 |