Risk Factor Analysis
Sector: Consumer Cyclicals
Industry:
E4
[Apparel & Luxury Goods]
| Stock |
Beta |
Std_dev |
VaR_95 |
| ZATA |
2.5320 |
0.7709 |
-0.0799 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| BIMA |
-0.0269 |
0.1113 |
-0.0115 |
| TRIS |
0.8977 |
0.2100 |
-0.0218 |
| BATA |
0.6327 |
0.2419 |
-0.0251 |
| ACRO |
1.2746 |
0.2474 |
-0.0256 |
| INDR |
0.7861 |
0.2629 |
-0.0272 |
| SURI |
1.2554 |
0.2687 |
-0.0278 |
| ARGO |
0.8888 |
0.3061 |
-0.0317 |
| HRTA |
1.5353 |
0.3523 |
-0.0365 |
| RICY |
0.6987 |
0.3734 |
-0.0387 |
| PBRX |
1.8109 |
0.3883 |
-0.0402 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.9753 |
0.2762 |
-0.0286 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| ZATA |
0.6486 |
0.5643 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| HRTA |
4.8115 |
4.6270 |
| ESTI |
1.3586 |
1.2918 |
| TFCO |
1.3249 |
1.1829 |
| ERTX |
0.9649 |
0.8075 |
| INOV |
0.8092 |
0.6736 |
| SSTM |
0.5866 |
0.5262 |
| SPRE |
0.5718 |
0.4633 |
| BELL |
0.4451 |
0.3872 |
| MYTX |
0.2799 |
0.1489 |
| BATA |
0.3828 |
0.1141 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
1.1535 |
1.0223 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| ZATA |
0.1718 |
-0.5951 |
1.0951 |
-1.3955 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| HRTA |
1.0616 |
-0.3353 |
2.0302 |
-0.6024 |
| ESTI |
0.7177 |
-0.3919 |
1.7148 |
-1.7798 |
| SSTM |
0.1884 |
-0.7184 |
1.3496 |
-1.9736 |
| BELL |
0.1745 |
-0.5849 |
1.0849 |
-2.0632 |
| SPRE |
0.1423 |
-0.4434 |
0.7858 |
-1.0696 |
| TFCO |
0.6467 |
-0.1533 |
0.7597 |
-0.8021 |
| ERTX |
0.2161 |
-0.3372 |
0.7355 |
-0.7172 |
| POLU |
0.0011 |
-0.5550 |
0.6225 |
-1.3031 |
| INOV |
0.2874 |
-0.2277 |
0.6155 |
-0.8428 |
| MYTX |
0.0738 |
-0.1962 |
0.3350 |
-0.8750 |
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| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
0.3510 |
-0.3943 |
1.0034 |
-1.2029 |