Risk Factor Analysis
Sector: Technology
Industry:
I2
[Technology Hardware & Equipment]
Stock |
Beta |
Std_dev |
R_squared |
AXIO |
0.4571 |
0.2388 |
0.0418 |
Peers comparison
Stock |
Beta |
Std_dev |
R_squared |
MSTI |
0.3074 |
0.0843 |
0.1023 |
GLVA |
0.0379 |
0.0951 |
0.0012 |
MTDL |
0.1084 |
0.1010 |
0.0089 |
CHIP |
-0.1159 |
0.1225 |
0.0069 |
PTSN |
0.8428 |
0.1302 |
0.3226 |
ZYRX |
0.0537 |
0.2689 |
0.0005 |
LUCK |
1.3424 |
0.2844 |
0.2418 |
IOTF |
1.1794 |
0.6230 |
0.0389 |
MENN |
0.6882 |
0.9096 |
0.0062 |
index |
Beta |
Std_dev |
R_squared |
Average |
0.4938 |
0.2910 |
0.0810 |
Stock |
Sharpe_ratio |
Treynor_ratio |
AXIO |
-1.0533 |
-0.5503 |
Peers comparison
Stock |
Sharpe_ratio |
Treynor_ratio |
MENN |
3.0435 |
4.0229 |
LUCK |
0.4226 |
0.0895 |
PTSN |
-0.0919 |
-0.0142 |
MSTI |
-0.4702 |
-0.1290 |
IOTF |
-0.5056 |
-0.2671 |
ZYRX |
-0.8365 |
-4.1900 |
GLVA |
-1.2298 |
-3.0857 |
MTDL |
-1.3542 |
-1.2628 |
CHIP |
-2.0535 |
2.1687 |
index |
Sharpe_ratio |
Treynor_ratio |
Average |
-0.3417 |
-0.2964 |
Stock |
SML |
Alpha_SML |
CML |
Alpha_CML |
AXIO |
0.0544 |
-0.2410 |
0.0133 |
-0.1998 |
Peers comparison
Stock |
SML |
Alpha_SML |
CML |
Alpha_CML |
MENN |
0.0491 |
2.7842 |
-0.1369 |
2.9702 |
LUCK |
0.0340 |
0.1512 |
0.0019 |
0.1833 |
PTSN |
0.0455 |
0.0075 |
0.0307 |
0.0223 |
MSTI |
0.0579 |
-0.0325 |
0.0428 |
-0.0174 |
GLVA |
0.0641 |
-0.1161 |
0.0399 |
-0.0919 |
MTDL |
0.0625 |
-0.1343 |
0.0384 |
-0.1102 |
ZYRX |
0.0638 |
-0.2237 |
0.0107 |
-0.1707 |
CHIP |
0.0677 |
-0.2541 |
0.0327 |
-0.2192 |
IOTF |
0.0377 |
-0.2877 |
-0.0732 |
-0.1768 |
pandas-table-container
index |
SML |
Alpha_SML |
CML |
Alpha_CML |
Average |
0.0536 |
0.2105 |
-0.0014 |
0.2655 |