Risk Factor Analysis
Sector: Financials
Industry:
G2
[Financing Service]
| Stock |
Beta |
Std_dev |
VaR_95 |
| VRNA |
0.7988 |
0.2190 |
-0.0227 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| ADMF |
0.1910 |
0.0764 |
-0.0079 |
| WOMF |
0.2596 |
0.0922 |
-0.0096 |
| BPFI |
0.3643 |
0.1118 |
-0.0116 |
| CFIN |
0.3703 |
0.1728 |
-0.0179 |
| BBLD |
0.3686 |
0.1848 |
-0.0191 |
| BFIN |
0.9861 |
0.2471 |
-0.0256 |
| TIFA |
0.6698 |
0.3017 |
-0.0313 |
| HDFA |
1.2310 |
0.3151 |
-0.0327 |
| TRUS |
0.4540 |
0.3448 |
-0.0357 |
| IMJS |
1.7167 |
0.3884 |
-0.0403 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.6611 |
0.2235 |
-0.0232 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| VRNA |
-0.3011 |
-0.5979 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| CFIN |
2.1060 |
1.7299 |
| BFIN |
1.4074 |
1.1444 |
| POLA |
0.9579 |
0.8542 |
| IBFN |
0.4862 |
0.4007 |
| TRUS |
0.0644 |
-0.1241 |
| ADMF |
0.5816 |
-0.2688 |
| DEFI |
-0.6348 |
-0.6931 |
| IMJS |
-0.6075 |
-0.7749 |
| HDFA |
-0.6045 |
-0.8107 |
| TIFA |
-0.6937 |
-0.9091 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
0.3063 |
0.0548 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| VRNA |
-0.1639 |
-0.1433 |
0.0773 |
-0.3499 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| POLA |
0.3881 |
-0.2944 |
0.8944 |
-1.1216 |
| IBFN |
0.2351 |
-0.2728 |
0.6423 |
-1.3750 |
| BFIN |
0.2868 |
-0.1921 |
0.5399 |
-0.4032 |
| CFIN |
0.8073 |
-0.0315 |
0.3955 |
-0.2624 |
| IMJS |
-0.1753 |
-0.3826 |
0.1466 |
-0.6709 |
| DEFI |
-0.2204 |
-0.8493 |
0.1414 |
-2.0477 |
| TRUS |
-0.0943 |
-0.0534 |
0.0756 |
-0.5883 |
| HDFA |
-0.2075 |
-0.2559 |
0.0655 |
-0.5320 |
| ADMF |
-0.1076 |
0.0152 |
0.0292 |
-0.0798 |
| TIFA |
-0.4095 |
-0.1096 |
-0.0997 |
-0.5066 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
0.0503 |
-0.2426 |
0.2831 |
-0.7587 |