Risk Factor Analysis
Sector: Consumer Non-Cyclicals
Industry:
D3
[Tobacco]
| Stock |
Beta |
Std_dev |
R_squared |
| ITIC |
0.0637 |
0.1161 |
0.0033 |
Peers comparison
| Stock |
Beta |
Std_dev |
R_squared |
| HMSP |
0.3001 |
0.1356 |
0.0377 |
| GGRM |
0.7227 |
0.1603 |
0.1566 |
| WIIM |
1.2481 |
0.2726 |
0.2746 |
| index |
Beta |
Std_dev |
R_squared |
| Average |
0.7570 |
0.1895 |
0.1563 |
| Stock |
Sharpe_ratio |
Treynor_ratio |
| ITIC |
-2.1669 |
-3.9506 |
Peers comparison
| Stock |
Sharpe_ratio |
Treynor_ratio |
| HMSP |
-0.7003 |
-0.3164 |
| WIIM |
-0.9552 |
-0.2086 |
| GGRM |
-3.0158 |
-0.6689 |
| index |
Sharpe_ratio |
Treynor_ratio |
| Average |
-1.5571 |
-0.3980 |
| Stock |
SML |
Alpha_SML |
CML |
Alpha_CML |
| ITIC |
0.0635 |
-0.2501 |
0.0392 |
-0.2258 |
Peers comparison
| Stock |
SML |
Alpha_SML |
CML |
Alpha_CML |
| HMSP |
0.0581 |
-0.0880 |
0.0293 |
-0.0592 |
| WIIM |
0.0361 |
-0.2315 |
0.0099 |
-0.2053 |
| GGRM |
0.0483 |
-0.4667 |
0.0228 |
-0.4412 |
pandas-table-container
| index |
SML |
Alpha_SML |
CML |
Alpha_CML |
| Average |
0.0475 |
-0.2621 |
0.0207 |
-0.2352 |