Risk Factor Analysis
Sector: Technology
Industry:
I2
[Technology Hardware & Equipment]
| Stock |
Beta |
Std_dev |
VaR_95 |
| ZYRX |
0.6378 |
0.1891 |
-0.0196 |
Peers comparison
| Stock |
Beta |
Std_dev |
VaR_95 |
| MENN |
-0.0102 |
0.0662 |
-0.0069 |
| MTDL |
0.5059 |
0.1142 |
-0.0118 |
| AXIO |
0.3895 |
0.1154 |
-0.0120 |
| MSTI |
0.0843 |
0.1187 |
-0.0123 |
| CHIP |
0.4071 |
0.1424 |
-0.0148 |
| GLVA |
0.5047 |
0.1468 |
-0.0152 |
| IOTF |
1.0230 |
0.2652 |
-0.0275 |
| LUCK |
0.8625 |
0.2695 |
-0.0279 |
| PTSN |
0.4369 |
0.2732 |
-0.0283 |
| index |
Beta |
Std_dev |
VaR_95 |
| Average |
0.4671 |
0.1680 |
-0.0174 |
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| ZYRX |
-0.4190 |
-0.7628 |
Peers comparison
| Stock |
Risk-adj_Return |
Sharpe_ratio |
| LUCK |
0.1337 |
-0.1075 |
| GLVA |
0.2559 |
-0.1868 |
| PTSN |
-0.2218 |
-0.4597 |
| MSTI |
-0.3062 |
-0.8537 |
| AXIO |
-0.4509 |
-1.0140 |
| IOTF |
-1.3098 |
-1.5549 |
| MTDL |
-1.1993 |
-1.7682 |
| CHIP |
-3.4202 |
-3.8767 |
| MENN |
-2.9762 |
-3.9584 |
| index |
Risk-adj_Return |
Sharpe_ratio |
| Average |
-1.0550 |
-1.5311 |
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| ZYRX |
-0.2261 |
-0.1013 |
0.0220 |
-0.2932 |
Peers comparison
| Stock |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| LUCK |
-0.0336 |
-0.1599 |
0.1959 |
-0.4455 |
| GLVA |
-0.0543 |
-0.0666 |
0.1041 |
-0.2131 |
| PTSN |
-0.2875 |
-0.0489 |
-0.0117 |
-0.4526 |
| AXIO |
-0.3005 |
-0.0365 |
-0.0155 |
-0.1537 |
| MTDL |
-0.3993 |
-0.0669 |
-0.0701 |
-0.1514 |
| MSTI |
-1.2029 |
0.0430 |
-0.0794 |
-0.1599 |
| IOTF |
-0.4031 |
-0.2017 |
-0.1457 |
-0.4374 |
| MENN |
25.5951 |
0.0677 |
-0.2646 |
-0.0604 |
| CHIP |
-1.3559 |
-0.0411 |
-0.4459 |
-0.2048 |
pandas-table-container
| index |
Treynor_ratio |
SML |
Alpha_SML |
CML |
| Average |
2.3953 |
-0.0568 |
-0.0814 |
-0.2532 |