Risk Factor Analysis
Sector: Industrials
Industry:
C1.3
[Others - Industrial Goods]
| Stock |
Beta |
Std_dev |
R_squared |
| ARKA |
2.2037 |
0.7341 |
0.1027 |
Peers comparison
| Stock |
Beta |
Std_dev |
R_squared |
| NTBK |
-0.0015 |
0.0005 |
0.0666 |
| KUAS |
0.2464 |
0.0851 |
0.0911 |
| KOIN |
0.0477 |
0.0862 |
0.0033 |
| APII |
0.0042 |
0.0879 |
0.0000 |
| HEXA |
0.9485 |
0.1178 |
0.4997 |
| SPTO |
0.5764 |
0.1212 |
0.2961 |
| AMIN |
0.5211 |
0.1247 |
0.1992 |
| UNTR |
0.5274 |
0.1291 |
0.2185 |
| AVIA |
0.6671 |
0.1991 |
0.1279 |
| CTTH |
-0.0527 |
0.2431 |
0.0004 |
| index |
Beta |
Std_dev |
R_squared |
| Average |
0.3485 |
0.1195 |
0.1503 |
| Stock |
Sharpe_ratio |
Treynor_ratio |
| ARKA |
1.5213 |
0.5068 |
Peers comparison
| Stock |
Sharpe_ratio |
Treynor_ratio |
| PACK |
113.0378 |
-116.7462 |
| PIPA |
7.6649 |
1.3084 |
| HOPE |
5.4157 |
-8.1145 |
| SPTO |
3.3774 |
0.7103 |
| SINI |
2.7764 |
0.7904 |
| SKRN |
2.1485 |
0.8555 |
| WIDI |
1.9908 |
1.4573 |
| GPSO |
1.7645 |
15.4727 |
| CTTH |
1.5608 |
-7.1961 |
| INTA |
1.0444 |
0.3933 |
| index |
Sharpe_ratio |
Treynor_ratio |
| Average |
14.0781 |
-11.1069 |
| Stock |
SML |
Alpha_SML |
CML |
Alpha_CML |
| ARKA |
0.0140 |
1.1678 |
-0.0940 |
1.2758 |
Peers comparison
| Stock |
SML |
Alpha_SML |
CML |
Alpha_CML |
| PACK |
0.0874 |
113.0303 |
-0.1985 |
113.3161 |
| PIPA |
-0.0443 |
6.2943 |
-0.1476 |
6.3976 |
| HOPE |
0.0752 |
3.5612 |
-0.1087 |
3.7451 |
| GPSO |
0.0611 |
2.5902 |
-0.3211 |
2.9725 |
| SINI |
0.0031 |
2.1792 |
-0.1359 |
2.3181 |
| WIDI |
0.0484 |
1.0627 |
-0.0412 |
1.1523 |
| INTA |
0.0184 |
0.8387 |
-0.1033 |
0.9605 |
| SKRN |
0.0488 |
0.6147 |
-0.0084 |
0.6720 |
| LABA |
0.0190 |
0.5650 |
-0.0945 |
0.6786 |
| SPTO |
0.0517 |
0.4227 |
0.0405 |
0.4339 |
pandas-table-container
| index |
SML |
Alpha_SML |
CML |
Alpha_CML |
| Average |
0.0369 |
13.1159 |
-0.1119 |
13.2647 |