Risk Factor Analysis
Sector: Energy
Industry:
A1.3
[Supporting Industries - Oil Gas & Coal]
| Stock |
Beta |
Std_dev |
R_squared |
| DOID |
0.9463 |
0.1737 |
0.2287 |
Peers comparison
| Stock |
Beta |
Std_dev |
R_squared |
| ATLA |
0.0176 |
0.0111 |
0.0288 |
| ELSA |
0.6333 |
0.1287 |
0.1866 |
| RUIS |
-0.0745 |
0.1335 |
0.0024 |
| MAHA |
0.1577 |
0.1361 |
0.0146 |
| MYOH |
-0.2409 |
0.1388 |
0.0232 |
| SICO |
0.3506 |
0.1655 |
0.0346 |
| CRSN |
0.2391 |
0.1749 |
0.0144 |
| OBMD |
0.9198 |
0.1835 |
0.1936 |
| RGAS |
-0.0593 |
0.1980 |
0.0007 |
| RMKO |
0.7879 |
0.2020 |
0.1171 |
| index |
Beta |
Std_dev |
R_squared |
| Average |
0.2731 |
0.1472 |
0.0616 |
| Stock |
Sharpe_ratio |
Treynor_ratio |
| DOID |
-3.3981 |
-0.6237 |
Peers comparison
| Stock |
Sharpe_ratio |
Treynor_ratio |
| CTBN |
10.7515 |
5.8156 |
| PTRO |
8.2036 |
1.6422 |
| DEWA |
5.7108 |
0.8290 |
| WOWS |
3.3036 |
10.0461 |
| SUNI |
2.1199 |
1.1023 |
| RGAS |
1.8126 |
-6.0491 |
| PKPK |
1.7976 |
1.9393 |
| MYOH |
1.3284 |
-0.7650 |
| TEBE |
1.3110 |
0.5110 |
| BIPI |
1.0610 |
0.3543 |
| index |
Sharpe_ratio |
Treynor_ratio |
| Average |
3.7400 |
1.5426 |
| Stock |
SML |
Alpha_SML |
CML |
Alpha_CML |
| DOID |
0.0431 |
-0.5683 |
0.0192 |
-0.5444 |
Peers comparison
| Stock |
SML |
Alpha_SML |
CML |
Alpha_CML |
| CTBN |
0.0376 |
6.9117 |
-0.1037 |
7.0530 |
| PTRO |
0.0171 |
3.4521 |
-0.0443 |
3.5134 |
| DEWA |
-0.0018 |
2.4621 |
-0.0455 |
2.5058 |
| WOWS |
0.0619 |
1.3294 |
-0.0161 |
1.4074 |
| SUNI |
0.0495 |
0.7558 |
-0.0055 |
0.8108 |
| PKPK |
0.0561 |
0.7527 |
-0.0440 |
0.8528 |
| TEBE |
0.0410 |
0.5536 |
-0.0166 |
0.6112 |
| BIPI |
0.0404 |
0.4023 |
-0.0121 |
0.4547 |
| RGAS |
0.0664 |
0.3575 |
0.0128 |
0.4111 |
| MKAP |
0.0531 |
0.2351 |
-0.0139 |
0.3021 |
pandas-table-container
| index |
SML |
Alpha_SML |
CML |
Alpha_CML |
| Average |
0.0421 |
1.7212 |
-0.0289 |
1.7922 |