Risk Factor Analysis
Sector: Basic Materials
Industry:
B1.1
[Metal & Mineral Mining]
| Stock |
Beta |
Std_dev |
R_squared |
| BRMS |
0.8406 |
0.4227 |
0.0451 |
Peers comparison
| Stock |
Beta |
Std_dev |
R_squared |
| NCKL |
0.7283 |
0.1503 |
0.1808 |
| CITA |
1.0702 |
0.2639 |
0.1267 |
| AMMN |
0.9653 |
0.2723 |
0.1433 |
| TINS |
1.0385 |
0.2759 |
0.1856 |
| INCO |
1.0974 |
0.2834 |
0.1627 |
| NICE |
1.1500 |
0.2934 |
0.1183 |
| ANTM |
1.1112 |
0.2958 |
0.1608 |
| MDKA |
1.3050 |
0.3289 |
0.1709 |
| IFSH |
1.2516 |
0.3294 |
0.1112 |
| SMGA |
1.6277 |
0.3367 |
0.3062 |
| index |
Beta |
Std_dev |
R_squared |
| Average |
1.1345 |
0.2830 |
0.1666 |
| Stock |
Sharpe_ratio |
Treynor_ratio |
| BRMS |
4.1731 |
2.0984 |
Peers comparison
| Stock |
Sharpe_ratio |
Treynor_ratio |
| DKFT |
10.7344 |
2.7920 |
| ANTM |
4.6336 |
1.2337 |
| CITA |
4.0548 |
0.9999 |
| PSAB |
1.9065 |
3.2327 |
| DAAZ |
1.7696 |
-69.3426 |
| MINE |
1.5149 |
-50.8172 |
| TINS |
0.5240 |
0.1392 |
| INCO |
-0.2150 |
-0.0555 |
| MDKA |
-0.2727 |
-0.0687 |
| IFSH |
-0.2977 |
-0.0784 |
| index |
Sharpe_ratio |
Treynor_ratio |
| Average |
2.4352 |
-11.1965 |
| Stock |
SML |
Alpha_SML |
CML |
Alpha_CML |
| BRMS |
0.0456 |
1.7834 |
-0.0265 |
1.8555 |
Peers comparison
| Stock |
SML |
Alpha_SML |
CML |
Alpha_CML |
| DKFT |
0.0267 |
4.6610 |
-0.0484 |
4.7362 |
| DAAZ |
0.0658 |
2.5215 |
-0.3105 |
2.8978 |
| ANTM |
0.0393 |
1.3965 |
0.0009 |
1.4349 |
| CITA |
0.0403 |
1.0947 |
-0.0045 |
1.1395 |
| PSAB |
0.0584 |
0.9319 |
-0.0629 |
1.0531 |
| MINE |
0.0654 |
0.7865 |
-0.0503 |
0.9021 |
| TINS |
0.0410 |
0.1686 |
0.0093 |
0.2003 |
| INCO |
0.0396 |
-0.0356 |
0.0021 |
0.0020 |
| MDKA |
0.0348 |
-0.0595 |
-0.0080 |
-0.0167 |
| IFSH |
0.0361 |
-0.0691 |
-0.0218 |
-0.0113 |
pandas-table-container
| index |
SML |
Alpha_SML |
CML |
Alpha_CML |
| Average |
0.0447 |
1.1397 |
-0.0494 |
1.2338 |