Risk Factor Analysis
Sector: Energy
Industry:
A2
[Alternative Energy]
| Stock |
Beta |
Std_dev |
R_squared |
| BREN |
2.6703 |
0.4589 |
0.3859 |
Peers comparison
| Stock |
Beta |
Std_dev |
R_squared |
| SEMA |
0.6958 |
0.1422 |
0.1845 |
| PGEO |
1.0759 |
0.2381 |
0.1573 |
| ARKO |
1.0126 |
0.2991 |
0.1306 |
| index |
Beta |
Std_dev |
R_squared |
| Average |
0.9281 |
0.2265 |
0.1575 |
| Stock |
Sharpe_ratio |
Treynor_ratio |
| BREN |
-0.3294 |
-0.0566 |
Peers comparison
| Stock |
Sharpe_ratio |
Treynor_ratio |
| PGEO |
1.0904 |
0.2413 |
| ARKO |
-0.4368 |
-0.1290 |
| SEMA |
-2.2310 |
-0.4559 |
| index |
Sharpe_ratio |
Treynor_ratio |
| Average |
-0.5258 |
-0.1145 |
| Stock |
SML |
Alpha_SML |
CML |
Alpha_CML |
| BREN |
0.0033 |
-0.0894 |
-0.0344 |
-0.0518 |
Peers comparison
| Stock |
SML |
Alpha_SML |
CML |
Alpha_CML |
| PGEO |
0.0401 |
0.2845 |
0.0023 |
0.3223 |
| ARKO |
0.0416 |
-0.1072 |
0.0002 |
-0.0659 |
| SEMA |
0.0489 |
-0.3011 |
0.0275 |
-0.2797 |
pandas-table-container
| index |
SML |
Alpha_SML |
CML |
Alpha_CML |
| Average |
0.0435 |
-0.0413 |
0.0100 |
-0.0078 |