Risk Factor Analysis
Sector: Financials
Industry:
G5
[Holding & Investment Companies]
| Stock |
Beta |
Std_dev |
VaR_95 |
| VICO |
0.7545 |
0.1797 |
-0.0186 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| SFAN |
0.0750 |
0.0231 |
-0.0024 |
| DNET |
0.0844 |
0.0717 |
-0.0074 |
| BCAP |
0.2732 |
0.1119 |
-0.0116 |
| BPII |
0.2889 |
0.1710 |
-0.0177 |
| SMMA |
-0.4208 |
0.1845 |
-0.0191 |
| SRTG |
0.8231 |
0.2339 |
-0.0242 |
| CASA |
0.5054 |
0.2670 |
-0.0277 |
| MERI |
1.4754 |
0.3069 |
-0.0318 |
| GSMF |
0.9284 |
0.3636 |
-0.0377 |
| NICK |
0.5936 |
0.3866 |
-0.0401 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.4627 |
0.2120 |
-0.0220 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| VICO |
-0.7306 |
-1.0922 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| MGNA |
3.4385 |
3.3694 |
| STAR |
3.1567 |
3.0804 |
| NICK |
2.7182 |
2.5500 |
| CASA |
2.0664 |
1.8230 |
| SMMA |
1.5150 |
1.1627 |
| DNET |
1.1150 |
0.2078 |
| PEGE |
0.2764 |
0.1549 |
| GSMF |
0.2366 |
0.0578 |
| LPPS |
-0.0201 |
-0.1282 |
| SRTG |
0.0631 |
-0.2148 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
1.4566 |
1.2063 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| VICO |
-0.2602 |
-0.1317 |
0.0004 |
-0.2755 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| MGNA |
1.5701 |
-0.4614 |
3.6967 |
-1.7176 |
| STAR |
3.9690 |
-0.1074 |
2.7967 |
-1.5490 |
| NICK |
1.6609 |
-0.0897 |
1.1407 |
-0.6675 |
| CASA |
0.9631 |
-0.0668 |
0.6185 |
-0.4408 |
| PEGE |
0.0616 |
-0.2857 |
0.4335 |
-0.9483 |
| LPPS |
-0.0559 |
-0.2941 |
0.2820 |
-1.0732 |
| GSMF |
0.0226 |
-0.1770 |
0.2630 |
-0.6238 |
| SRTG |
-0.0610 |
-0.1496 |
0.1643 |
-0.3782 |
| SMMA |
-0.5098 |
0.1747 |
0.1048 |
-0.2846 |
| DNET |
0.1765 |
0.0430 |
0.0369 |
-0.0707 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
0.7797 |
-0.1414 |
0.9537 |
-0.7754 |