Wednesday, August 20, 2008

Market Indicators

Holding Period Return (HPR)
Holding Period Return Income plus price appreciation or less price depreciation during a specified time period divided by the cost or market value of the investment. Earnings Per Share (EPS)

Earnings Per Share (EPS)
Earnings Per Share (EPS) represents the portion of a firm's profit allocated to each share of outstanding common stock for the 12 months that end on the latest 12-month earnings date.
If a corporation reports interim (quarterly, semi-annual, etc.) earnings, the earnings per share figure represents the sum of the earnings per share reported over the last rolling 12-month period.
If a revised EPS value is not provided on the ex-date of a stock split or stock dividend, the market data provider for, Sungard Data Management Systems, will automatically apply the adjustment factor associated with the stock split or stock dividend to the EPS value.

Price to Earnings (P/E)
The Price to Earnings (P/E) Ratio is an indicator of a company's expected growth in earnings. The P/E Ratio is calculated by dividing the most recent close price of a stock by its most recent reported Earnings Per Share (EPS) value.

Indicated Annual Dividend (IAD)
The Indicated Annual Dividend (IAD), accurate to 1/10 of a cent, applies only to common stocks, preferred stocks, and mutual funds. For a stock that pays dividends at a fixed frequency, the IAD is computed by multiplying the most recent payment times the frequency. However, when a dividend frequency is unavailable FTID calculates the IAD by totaling the dividends for the latest twelve months. The IAD is zero in the cases where dividend history is not available or when future dividend payments have been suspended or canceled. If a revised IAD value is not provided by FTID on the ex-date of a stock split or stock dividend, SunGard will automatically apply the adjustment factor associated with the stock split or stock dividend to the IAD.

Yield (or Dividend Yield)

Yield (or Dividend Yield) is calculated as follows: (Annual Dividend (iad) / Previous Day Close Price) * 100

Beta is a statistical coefficient that gives a measure of a stock's price volatility relative to the market. An issue's beta value compares its rate of return to fluctuations in the market as a whole. By definition, the market (Nabil uses the NEPSE) has a beta value of 1.0. An issue with a beta of 2.0 is twice as volatile as the NEPSE, while an issue with a beta of 0.5 is half as volatile as the NEPSE. The Nabil beta value is calculated weekly using the most recent three years of data for common.
Formula: Beta = (Covariance with the market returns/Variance of the market returns)

Standard Deviation (SD, s)
The square root of the mean of the squared deviations of members of a population from their mean. The most widely used measurement of variation about a mean, and, for many purposes, a proxy for risk. The standard deviation of normally distributed random variables has many useful characteristics that, unfortunately, do not usually apply to distributions truncated or skewed by option payoff patterns.
where s= standard deviation of population, n = number of observations, S= summation sign, xi = the value of each observation, and = mean of population. Note that the standard deviation for a sample is calculated by substituting n-1 for n in the denominator.

The mean of the squared deviations of each observation from the mean. The square of the standard deviation.