Risk Factor Analysis
Sector: Transportation & Logistic
Industry:
K2.1
[Logistics & Deliveries - Oil Gas & Coal]
| Stock |
Beta |
Std_dev |
R_squared |
| ALII |
0.5586 |
0.2218 |
0.0722 |
Peers comparison
| Stock |
Beta |
Std_dev |
R_squared |
| PSSI |
0.2746 |
0.0815 |
0.0875 |
| TCPI |
0.6342 |
0.1730 |
0.1760 |
| TPMA |
0.9114 |
0.1797 |
0.3369 |
| HUMI |
0.0598 |
0.1835 |
0.0008 |
| HATM |
-0.4476 |
0.1860 |
0.0446 |
| WINS |
0.0056 |
0.2108 |
0.0000 |
| SOCI |
0.0969 |
0.2375 |
0.0022 |
| GTSI |
-0.5026 |
0.2433 |
0.0329 |
| BBRM |
0.4230 |
0.2575 |
0.0308 |
| LEAD |
0.6720 |
0.2732 |
0.0657 |
| index |
Beta |
Std_dev |
R_squared |
| Average |
0.2127 |
0.2026 |
0.0777 |
| Stock |
Sharpe_ratio |
Treynor_ratio |
| ALII |
2.8442 |
1.1296 |
Peers comparison
| Stock |
Sharpe_ratio |
Treynor_ratio |
| BESS |
10.1882 |
3.8944 |
| SHIP |
5.3548 |
-28.1044 |
| MBSS |
2.0673 |
1.5928 |
| PTIS |
1.9755 |
9.1549 |
| TAMU |
1.3711 |
2.2158 |
| RIGS |
1.3694 |
0.4080 |
| BBRM |
0.7026 |
0.4277 |
| MITI |
0.3735 |
0.1100 |
| GTSI |
0.3637 |
-0.1761 |
| SOCI |
0.0314 |
0.0771 |
| index |
Sharpe_ratio |
Treynor_ratio |
| Average |
2.3798 |
-1.0400 |
| Stock |
SML |
Alpha_SML |
CML |
Alpha_CML |
| ALII |
0.0521 |
0.6439 |
0.0170 |
0.6790 |
Peers comparison
| Stock |
SML |
Alpha_SML |
CML |
Alpha_CML |
| BESS |
0.0332 |
5.3869 |
-0.0488 |
5.4690 |
| SHIP |
0.0665 |
1.8255 |
-0.0249 |
1.9169 |
| TAMU |
0.0518 |
1.2816 |
-0.1219 |
1.4552 |
| MBSS |
0.0549 |
0.7039 |
-0.0095 |
0.7683 |
| PTIS |
0.0634 |
0.6289 |
-0.0187 |
0.7110 |
| RIGS |
0.0387 |
0.4907 |
-0.0243 |
0.5538 |
| BBRM |
0.0552 |
0.1907 |
0.0092 |
0.2367 |
| MITI |
0.0423 |
0.1308 |
0.0008 |
0.1723 |
| GTSI |
0.0766 |
0.0769 |
0.0009 |
0.1526 |
| SOCI |
0.0628 |
0.0097 |
0.0170 |
0.0554 |
pandas-table-container
| index |
SML |
Alpha_SML |
CML |
Alpha_CML |
| Average |
0.0545 |
1.0726 |
-0.0220 |
1.1491 |