Portfolio & Risk Analytics

 

1 Year Ex-Post Risk Analysis and BlackBox Trading model for ADX & DFM Securities

To DFM Alpha Beta Beta+ Beta- R-squared Annualized Alpha Correlation Tracking Error Active Premium Information Ratio Treynor Ratio
AIRARABIA -0.00160 0.58400 0.69390 0.87430 0.27140 -0.33720 0.52100 0.23400 -0.06390 -0.27290 -1.05110
AJMANBANK -0.00480 0.36840 0.37510 0.04680 0.04200 -0.70360 0.20500 0.41910 -0.60110 -1.43420 -2.17750
ALSALAMSUDAN -0.00230 0.56090 0.81150 0.37330 0.11420 -0.44160 0.33790 0.36400 -0.25330 -0.69590 -1.21290
AMAN -0.00280 0.52520 0.29140 0.54850 0.07520 -0.51260 0.27410 0.42670 -0.36360 -0.85210 -1.36910
AMANAT -0.00180 0.58280 -0.07770 0.59480 0.13510 -0.35990 0.36750 0.34380 -0.13210 -0.38430 -1.09450
ARTC 0.00050 1.74780 1.64710 1.45010 0.61730 0.14520 0.78570 0.35130 -0.53530 -1.52380 -0.44580
DEYAAR 0.00120 1.59370 1.32500 1.49490 0.71690 0.35340 0.84670 0.26110 -0.28230 -1.08120 -0.43330
DFMC 0.00210 1.84830 2.01020 1.65780 0.79350 0.71100 0.89080 0.28450 -0.28670 -1.00780 -0.37440
DIB -0.00020 0.94280 0.80420 1.12790 0.59810 -0.05440 0.77340 0.17380 -0.02160 -0.12420 -0.63540
DIC 0.00230 1.45990 1.40880 1.38070 0.62350 0.80340 0.78960 0.27460 0.16420 0.59820 -0.36570
DSI -0.00080 1.23360 1.16120 1.25540 0.39550 -0.17670 0.62890 0.34600 -0.43640 -1.26130 -0.60350
DU -0.00300 0.24920 0.07500 0.27350 0.09200 -0.52770 0.30330 0.24330 -0.09940 -0.40840 -2.51290
DUBAIPARKS 0.00250 0.85660 -0.14700 1.29920 0.20800 0.87470 0.45610 0.37620 1.16200 3.08850 -0.21400
EMAAR 0.00100 1.29610 1.81650 1.19680 0.74050 0.27590 0.86050 0.18450 -0.05100 -0.27640 -0.47020
EMAARMALLS -0.00100 0.55100 0.43780 0.58620 0.21870 -0.23070 0.46770 0.25430 0.14700 0.57780 -0.97990
EMIRATESNBD -0.00100 0.53610 0.44460 0.57690 0.18000 -0.21460 0.42430 0.27690 0.18460 0.66680 -0.98240
GGICO 0.00330 1.58700 0.76450 2.05660 0.35410 1.31550 0.59510 0.49850 0.23160 0.46460 -0.32170
GULFNAV 0.00180 1.47990 0.52870 1.31320 0.25360 0.56800 0.50360 0.57950 -0.16580 -0.28610 -0.43910
SHUAA -0.00160 0.81280 0.79070 1.07320 0.18210 -0.33290 0.42670 0.38860 -0.30940 -0.79620 -0.86130
TABREED 0.00130 1.01290 1.03720 1.41690 0.24700 0.39810 0.49700 0.39670 0.32700 0.82430 -0.47080
UPP 0.00220 1.83820 1.69000 1.55470 0.64280 0.72600 0.80170 0.36030 -0.29200 -0.81050 -0.37750
ALSALAM.DFM -0.00480 0.29550 0.18130 0.54360 0.02390 -0.70420 0.15460 0.45210 -0.57180 -1.26470 -2.67950
EKTTITAB.DFM -0.00370 0.10200 0.03430 -0.04570 0.00270 -0.60360 0.05220 0.48210 -0.22560 -0.46800 -6.57220
GFH.DFM 0.00060 1.48220 0.92680 1.35670 0.30260 0.15450 0.55010 0.51620 -0.40660 -0.78770 -0.49530
HITSTELEC.DFM -0.00270 0.45920 0.30730 0.35570 0.05410 -0.49460 0.23260 0.44740 -0.28930 -0.64650 -1.50910
SALAM.DFM 0.00150 1.45510 1.19990 1.79650 0.42390 0.47080 0.65110 0.39400 -0.11930 -0.30280 -0.43530
SALAMA.DFM 0.00120 1.33060 1.18420 1.37660 0.41210 0.36790 0.64190 0.36410 -0.06180 -0.16960 -0.46090
ADCB -0.00050 0.65740 0.65040 0.58650 0.21130 -0.12880 0.45970 0.29510 0.16720 0.56650 -0.81060
ADIB -0.00300 0.45210 0.37220 0.55220 0.14200 -0.53060 0.37690 0.27790 -0.29580 -1.06450 -1.53770
ALDAR 0.00050 1.25350 1.11380 1.13420 0.66320 0.14860 0.81440 0.20830 -0.12770 -0.61300 -0.50760
DANA -0.00140 0.65440 0.81990 0.75850 0.11250 -0.29410 0.33540 0.41960 -0.12850 -0.30630 -0.97280
ESHRAQ 0.00120 1.55670 1.43190 1.30190 0.37840 0.35220 0.61520 0.46460 -0.31540 -0.67880 -0.45110
ETISALAT -0.00240 0.01140 -0.24360 0.37360 0.00010 -0.45680 0.00880 0.36400 0.30630 0.84150 -42.49120
FGB -0.00260 0.35160 0.78710 0.26660 0.11190 -0.48400 0.33460 0.26550 -0.11160 -0.42030 -1.79370
METHAQ 0.00180 0.81620 -0.19370 0.98680 0.11650 0.59150 0.34130 0.50590 0.77520 1.53230 -0.39150
NBAD -0.00450 0.40600 0.77230 0.19870 0.07260 -0.68000 0.26950 0.35170 -0.56140 -1.59630 -1.94130
RAKPROP -0.00140 1.03870 1.04830 1.02310 0.38130 -0.29440 0.61750 0.29690 -0.40710 -1.37130 -0.70680
UNB -0.00190 0.26590 -0.17870 0.18430 0.04890 -0.38020 0.22120 0.31020 0.18730 0.60380 -1.97750
WAHA -0.00410 0.26550 -0.12230 0.56640 0.04470 -0.64320 0.21130 0.32100 -0.38940 -1.21320 -2.74180

 

 

Blackbox-results-ADX-DFM

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