Risk Factor Analysis
Sector: Consumer Cyclicals
Industry:
E5
[Consumer Services]
| Stock |
Beta |
Std_dev |
R_squared |
| ESTA |
-0.3795 |
0.1381 |
0.0582 |
Peers comparison
| Stock |
Beta |
Std_dev |
R_squared |
| RISE |
-0.0421 |
0.0513 |
0.0052 |
| DFAM |
0.0784 |
0.0665 |
0.0107 |
| EAST |
0.4126 |
0.0778 |
0.2166 |
| PJAA |
0.3768 |
0.0990 |
0.1115 |
| NATO |
0.5401 |
0.1033 |
0.2106 |
| BLTZ |
0.2331 |
0.1063 |
0.0548 |
| BAYU |
0.4084 |
0.1204 |
0.1312 |
| GOLF |
0.6342 |
0.1319 |
0.1781 |
| PTSP |
0.8689 |
0.2258 |
0.1141 |
| BOLA |
1.0085 |
0.2377 |
0.2051 |
| index |
Beta |
Std_dev |
R_squared |
| Average |
0.4519 |
0.1220 |
0.1238 |
| Stock |
Sharpe_ratio |
Treynor_ratio |
| ESTA |
-3.9153 |
1.4250 |
Peers comparison
| Stock |
Sharpe_ratio |
Treynor_ratio |
| CLAY |
5.1621 |
-12.2880 |
| TGUK |
3.3133 |
2.0623 |
| PANR |
3.1915 |
-1.7685 |
| PDES |
2.8101 |
0.7349 |
| BUVA |
2.7372 |
4.2484 |
| PLAN |
2.4013 |
-1.5005 |
| MINA |
2.2565 |
0.8517 |
| IDEA |
1.9555 |
0.5019 |
| AKKU |
1.7864 |
0.6109 |
| ICON |
1.7126 |
1.7216 |
| index |
Sharpe_ratio |
Treynor_ratio |
| Average |
2.7327 |
-0.4825 |
| Stock |
SML |
Alpha_SML |
CML |
Alpha_CML |
| ESTA |
0.0738 |
-0.5496 |
0.0286 |
-0.5044 |
Peers comparison
| Stock |
SML |
Alpha_SML |
CML |
Alpha_CML |
| CLAY |
0.0699 |
2.6007 |
-0.0680 |
2.7386 |
| MINA |
0.0062 |
2.2246 |
-0.1480 |
2.3788 |
| TGUK |
0.0462 |
1.6938 |
-0.0371 |
1.7771 |
| BUVA |
0.0571 |
1.4523 |
-0.0493 |
1.5587 |
| JSPT |
0.0684 |
1.2185 |
-0.2689 |
1.5558 |
| JIHD |
0.1250 |
0.9696 |
-0.2416 |
1.3362 |
| AKKU |
0.0323 |
0.8963 |
-0.0397 |
0.9683 |
| PDES |
0.0390 |
0.8517 |
-0.0124 |
0.9032 |
| PANR |
0.0751 |
0.7601 |
0.0014 |
0.8337 |
| FITT |
0.0689 |
0.7594 |
-0.0842 |
0.9125 |
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| index |
SML |
Alpha_SML |
CML |
Alpha_CML |
| Average |
0.0588 |
1.3427 |
-0.0948 |
1.4963 |