1. Home
  2. Equity Data Terminal
  3. Spread Analysis and Relative Performance
  1. Home
  2. Plotter
  3. Spread Analysis and Relative Performance

Spread Analysis and Relative Performance

Spread Analysis and Relative Performance

Sentieo offers several tools to help you compare companies operational and market performance, such as Screener, Comparable Table or Plotter;

Relative Performance is a new tool with a more dedicated focus on delivering a flexible and in-depth analysis of the historical relationship between two series.

Available metrics include Total Return, Stock Price Return, Various Trading Mutliples and Financial Metrics based on LTM and Forward Estimates.

You can plot two quotes against each other, or a growing list of benchmark ETFs, as well as simulate a portfolio based on a watchlist or any ticker aggregate inputed on the fly.

Spread Analysis ABC

Setting up the Spread analysis is an easy three step process:

1/ Select a metric; (1)

2/ Select the securities being compared (3);  you can choose a single stock, an ETF, a watchlist, or an aggregate (up to certain limits) of multiple sources to simulate a portfolio. (see portfolio basics)

3/ Select which operator will be used to compare the series: Spread (-), Ratio (%), Sum  (+), Product (x) (2)

The series selected, post transformation (see below), will appear in (4) and the spread as calculation in (5).

You can change the observation time range by using the zoom controls at the top left of (4), the date inputs at the top right of (4), or the sliders in the mini timeline at the bottom of (5).

Additional Chart transformations

Spread Analysis is also very flexible and offers multiple ways to transform the input time series, before those are processed for the spread calculation.

To unveil the series transformation options, click on the “show optional parameters” option (1).

Basic Transformation (2)

You can apply a multiplier and an offset to the series before the spread is calculated.

Among other things, Multiplier and Offset are particularly useful to match visually series , such as for example a leveraged ETF to its vanilla sister fund, or an ETF to another tracking the same Index but with a different base value.

Another common use case would be to quickly help estimate the hedging ratio of a stock to another

Both Multiple and Offset can can be configured for each time series independently.

More Advanced Series Normalization (3)

Spread analysis offers multiple ways to normalize the series to fit your different use cases and make them more easily comparables.

  • Factor: Select a value to index both series to (eg: 1, or 100); Effectively, every datapoint of each series will be divided by the first datapoint of the series then multiplied by the normalization factor.
  • Series A: Series B will become normalized to the value of Series A; Effectively, Series A will nullily and Series B will become the first values of Series A.
  • Series B: Series A will become normalized to the value of Series B; Effectively, Series B will nullily and Series A will become the first values of Series B.
  • Simple Appreciation: Both series are set to start at zero and each datapoint afterwards is the absolute change over the previous datapoint value.
  • Percent Appreciation: Both series are set to start at zero and each datapoint afterwards is the percentage change over the previous datapoint value.

The series will automatically renormalze each time you change the observation range.

Additional Analysis

Relative Performance offers additional advanced calculations around the Spread that can be accessed by pressing the “Show Additional Analysis” button at the top right of the view.

Descriptive statistics, Correlation and a Histogram will become visible and are refreshed to reflect the new obersation range each time you change the start and end date of the graph.

Descriptive Statistics (Spread)

Spread Analysis offers a summary of descriptive statistics of the spread series.

  • Last: Lastest value of the spread in the observation period
  • Mean: Average value of the spread over the selected observation period
  • Difference from Mean: Difference between Last spread value and the average spread value over the observation period
  • Median: Median Value of the spread over the observation period
  • Standard Deviation: Standard deviation of the spread over the observation period
  • Standard Deviations from Mean: Difference between the Median Value of the spread over the observation period
  • Percentile Rank: The rank of the latest spread value relative to the rest of the datapoints over the observation period
  • High: Maximum value of the spread over the observation period
  • Low: Minimum value of the spread over the observation period

Historical Correlation Graph

The historical correlation graph plots the correlation between the two time series on the basis of a 30 day sliding window, which means datapoint reflects the correlation between the series in the previous 30 days.

Correlation in brief

Correlation helps understand empirically how much the two series tend to move in tango; A correlation of 1 means each the movements are perfectly equal,  -1 means they are perfectly opposite, 0 means there is no relationship between the movement of one and the other.

A correlation of 1 does not mean that the % change is the same, there could be a factor offset between the series; but the magnitude is stable.

Spread Histogram

The histogram shows the distribution of the spread history into buckets that are dynamically adjusting based on the series boundaries and standard deviation.

the Histogram is aligned with the historical spread graph and have the same y-axis scale; Both graphs are also link, so hovering with the mouse over one of the ranges will draw a line across both graphs, so it is easy to visually locate when each of the observations from a bucket took place.

Portfolio basics

You can simulate an investment portfolio by inputting multiple tickers at once, a watchlist, or a combination of both.

While some of the metrics are straightforward simple averages of the individual constituents’ values, others such as EV/Sales LTM are more complex and involve multiple calculations of the different components individually then together (see definition section). They also depend on the weight of each security in the portfolio, which could be different everyday based on the portfolio weighting methodology;

This is why you have to take a small number of assumptions that will define how the simulated portfolio evolve over time.

Portfolio Weighting Strategy

Spread Analysis offers two methods of weighting, which together represent the vast majority of the usual way Indexes and ETFs are built: Equalweighted, and Market Cap weighted.

  • Market Cap weighted means that the weight of each security in the portfolio is the size of the company’s market cap relative to the total market cap of all the companies behind the securities in the portfolio. On rebalancing days, the relative weight of each company is recalibrated to match that of its market cap.
    For example, On day 1, the portfolio is made of GOOG and AAPL; with Alphabet market cap of $1.1trn and Apple at $1.9trn; this means GOOG’s weight is 37%  (1.1/3) and AAPL’s 63%. After 4 weeks, AAPL is now $2.4trn and GOOG $1.0trn; this means that GOOGL’s weight should now become 30% (1.1/3.3) and AAPL 70%.
  • Equal Weighted means that the portfolio is built so that the market value of each of the positions in the portfolio is the same.
    For example, the portfolio is made of AAPL and GOOGL; If the portfolio is worth $100,000,000, and on Day 1 AAPL share is worth $100 and GOOG $1600, an equal weighted portfolio will assume $500,000 in each, so it will hold 5,000 AAPL shars and 312 GOOGL shares. After 4 weeks, AAPL shares are now worth $120 and GOOGL $2,000; An equal weighted portfolio will now be 4,166 AAPL shares and 250 GOOGL shares.

Rebalancing frequency

You can also define the frequency of rebalancing in steps from Daily to Annually. If the frequency is not selected to be Daily, the weight will remain static in between observation dates (aka “drifting weights”)

Cases of an IPO or delisting

Note that in the case of selected tickers that started trading after the first day of the observation range, or that stopped trading before the end of the range, the portfolio rebalances on that first or last day.

Available Metrics and methodology

Valuation Metrics

Market Cap
Excel Code SM.MarketCap
Frequency Daily
Definition Market Cap represent the consolidated market value of all the traded share classes of the company;
For a portfolio, it represents the sum of the market value of all the shares held in the portfolio
Entreprise Value
Excel Code SM.EnterpriseValue
Available periods Daily
Definition EV represents Enterprise Value of the company;
For and ETF, it is the EV inferred by the underlying portfolio holdings over time;
For a watchlist, it reflects the implicit EV from the simulated portfolio based on the selected rebalancing strategy and frequency.For Single Stocks: EV
For Portfolios: Sum(EV/Consolidated Share Count * Shares Held) / Coverage Factor (EV)Fields used
* EV = SM.Entreprive Value
* Consolidated Share Count = SM.SharesConsolidated
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
EV/Sales
Excel Code EV_Sales
Available periods LTM, NTM, FY1, FY2
Definition EV/Sales represents the ratio of the Enterprise Value and Revenue of the company;
For and ETF, it is the EV and Revenue inferred by the underlying portfolio holdings over time;
For a watchlist, it reflects the implicit EV and Revenue from the simulated portfolio based on the selected rebalancing strategy and frequency.For Single Stocks: EV / Sales
For Portfolios: [ Sum(EV/Consolidated Share Count* Shares Held )/ Coverage Factor (EV)] / [ Sum(Sales/Basic Weighted Average Shares * Shares Held) / Coverage Factor (Sales) ]Portfolio LTM Sales / Share is the sum of Revenue / Share of each periods adding up to LTM calculated individually;
FY1/FY2/NTM rely on the latest reported Basic Weighted Average Shares each dayFields used
* EV = SM.Entreprive Value
* Consolidated Share Count = SM.SharesConsolidated
* Sales LTM = SM.Revenue
* Sales NTM, FY1, FY2 = SE.Revenue_Est
* Basic Weighted Average Shares = SF.IS.BasicWeightedAvgShrs
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
EV/EBITDA (As Reported)
Excel Code EV_EBITDA_Rep
Available periods LTM
Definition EV/EBITDA represents the ratio of the Enterprise Value and EBITDA of the company;
For an ETF, it is the EV and EBITDA inferred by the underlying portfolio holdings over time;
For a watchlist, it reflects the implicit EV and EBITDA from the simulated portfolio based on the selected rebalancing strategy and frequency.For Single Stocks: EV / EBITDA
For Portfolios: [ Sum(EV/Consolidated Share Count * Shares Held) / Coverage Factor (EV)] / [ Sum(EBITDA/Basic Weighted Average Shares * Shares Held) / Coverage Factor (EBITDA) ]Portfolio LTM EBITDA / Share is the sum of EBITDA / Share of each periods adding up to LTM calculated individually;
DIVERSIFIED BANKS ARE EXCLUDED, NULL
Fields used
* EV = SM.Entreprive Value
* Consolidated Share Count = SM.SharesConsolidated
* EBITDA LTM = SF.IS.OpIncome + SF.CF.Amortization + SF.CF.Depreciation_Depletion
* Basic Weighted Average Shares = SF.IS.BasicWeightedAvgShrs
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
EV/EBITDA (Adj)
Excel Code EV_EBITDA
Available periods LTM, NTM, FY1, FY2
Definition EV/EBITDA represents the ratio of the Enterprise Value and EBITDA of the company;
For an ETF, it is the EV and EBITDA inferred by the underlying portfolio holdings over time;
For a watchlist, it reflects the implicit EV and EBITDA from the simulated portfolio based on the selected rebalancing strategy and frequency.For Single Stocks: EV / EBITDA
For Portfolios: [ Sum(EV/Consolidated Share Count * Shares Held) / Coverage Factor (EV)] / [ Sum(EBITDA Adj. /Basic Weighted Average Shares * Shares Held) / Coverage Factor (EBITDA) ]Portfolio LTM EBITDA / Share is the sum of EBITDA / Share of each periods adding up to LTM calculated individually;
FY1/FY2/NTM rely on the latest reported Basic Weighted Average Shares each dayFields used
* EV = SM.Entreprive Value
* Consolidated Share Count = SM.SharesConsolidated
* EBITDA Adj. LTM = SM.EBITDA_Adj
* EBITDA Adj, NTM, FY1, FY2 = SE.EBITDA_Adj_Est
* Basic Weighted Average Shares = SF.IS.BasicWeightedAvgShrs
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
EV/EBIT, Reported
Excel Code EV_EBIT_Rep
Available periods LTM
Definition EV/EBIT represents the ratio of the Enterprise Value and EBIT of the company;
For an ETF, it is the EV and EBIT inferred by the underlying portfolio holdings over time;
For a watchlist, it reflects the implicit EV and EBIT from the simulated portfolio based on the selected rebalancing strategy and frequency.For Single Stocks: EV / EBIT
For Portfolios: [ Sum(EV/Consolidated Share Count * Shares Held) / Coverage Factor (EV)] / [ Sum(EBIT/Basic Weighted Average Shares * Shares Held) / Coverage Factor (EBIT) ]Portfolio LTM EBIT / Share is the sum of EBIT / Share of each periods adding up to LTM calculated individually;Fields used
* EV = SM.Entreprive Value
* Consolidated Share Count = SM.SharesConsolidated
* EBIT LTM for Diversified Banks (GICS) = SF.IS.NetIncomeBeforeTaxes – SF.IS.OtherUnusualExp_Banks – SF.IS.OtherUnusualIncome
* EBIT LTM for other industry groups = SF.IS.OpIncome
* Basic Weighted Average Shares = SF.IS.BasicWeightedAvgShrs
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
EV/EBIT (Adj)
Excel Code EV_EBIT
Available periods LTM, NTM, FY1, FY2
Definition EV/EBIT represents the ratio of the Enterprise Value and EBIT of the company;
For an ETF, it is the EV and EBIT inferred by the underlying portfolio holdings over time;
For a watchlist, it reflects the implicit EV and EBIT from the simulated portfolio based on the selected rebalancing strategy and frequency.For Single Stocks: EV / EBIT
For Portfolios: [ Sum(EV/Consolidated Share Count * Shares Held) / Coverage Factor (EV)] / [ Sum(EBIT/Basic Weighted Average Shares * Shares Held) / Coverage Factor (EBIT) ]Portfolio LTM EBIT / Share is the sum of EBIT / Share of each periods adding up to LTM calculated individually;
FY1/FY2/NTM rely on the latest reported Basic Weighted Average Shares each dayFields used
* EV = SM.Entreprive Value
* Consolidated Share Count = SM.SharesConsolidated
* EBIT LTM = SM.EBIT_Adj
* EBIT NTM, FY1, FY2 = SE.EBIT_Adj_Est
* Basic Weighted Average Shares = SF.IS.BasicWeightedAvgShrs
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
P/E, Adj
Excel Code P_EPS
Available periods LTM, NTM, FY1, FY2
Definition P/E, Adjusted represents the ratio of the security price divided by the EPS Adjusted to non-recurring items according to analysts methodology.
For portfolios, it is the total market value of all the shares held in the portfolio, divided by the sum of the individual Net Income contributions for each holdingsFor Single Stocks: Stock Price / EPS
For Portfolios: [ Sum(Stock Price*Shares Held)/Coverage Factor(Price)] / [ Sum(EPS*Shares Held)/Coverage Factor(EPS)]Fields used
* Stock Price = close
* Consolidated Share Count = SM.SharesConsolidated
* EPS LTM = SM.DEPS_Adj
* EPS NTM, FY1, FY2 = SE.DEPS_Adj_Est
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
P/E, b/f XO
Excel Code P_EPS_bf_xo
Available periods LTM, NTM, FY1, FY2
Definition P/E, before Extraordinary represents the ratio of the security price divided by the EPS adjusted to non-recurring items, according to a standardized templated methodology which is common to all companies.
For portfolios, it is the total market value of all the shares held in the portfolio, divided by the sum of the individual Net Income contributions for each holdingsFor Single Stocks: Stock Price / EPS
For Portfolios: [ Sum(Stock Price*Shares Held)/Coverage Factor(Price)] / [ Sum(EPS*Shares Held)/Coverage Factor(EPS)]Fields used
* Stock Price = close
* EPS LTM = SF.IS.DEPSExclExtraordinaryItems
* EPS NTM, FY1, FY2 = SE.DEPS_Adj_Est
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
P/E, Positive
Excel Code P_EPS_Pos
Available periods LTM, NTM, FY1, FY2
Definition P/E, positive represents the ratio of the security price divided by the EPS adjusted to non-recurring items, only when the EPS is positive. The methodology for adjustements is standardized and common to all companies. (Check P/E, Adj for a consensus based methodology of adjustments).
For portfolios, it is the weighted average of the P/Es of all the holdings, excluding the contributors with a negative P/EFor Single Stocks: Stock Price / EPS (when positive)
For Portfolios: [Sum(Stock Price*Shares Held)/ Coverage Factor(Price)] / [Sum(EPS(when positive)*Shares Held) / Coverage Factor(EPS)]Fields used
* Stock Price = close
* EPS LTM = SF.IS.DEPSExclExtraordinaryItems, only when it is positive, n/a otherwise
* EPS NTM, FY1, FY2 = SE.DEPS_Adj_Est, only when it is positive, n/a otherwise
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
Dividend Yield
Excel Code Div_Yield
Frequency LTM, NTM, FY1, FY2
Definition Dividiend Yield represents the value of Dividend paid to common shareholders relative to the price of the underlying stock;
For Portfolios, it is the aggregate dividend earned by the shares held, relative to the aggregate value of the shares heldFor Single Stocks: Dividend Per Share / Stock Price
For Portfolios: [Sum(Dividend Per Share * Shares Held)/Coverage Factor(Dividend Per Share)] / [ Sum(Stock Price * Shares Held)/Coverage Factor (Stock Price)]Portfolio LTM Dividend / Share is the sum of Dividend / Share of each periods adding up to LTM calculated individually;
FY1/FY2/NTM rely on the Dividend per common share as communicated by brokers to Refinitiv IBESFields used
* Stock Price = close
* Dividend Per Share LTM = SF.CF.CashDividendsPaid_Common / SF.IS.BasicWeightedAvgShrs
* Dividend Per Share FY1/FY2/NTM = SE.DPS_Est
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
P/Sales
Excel Code P_Sales
Frequency LTM, NTM, FY1, FY2
Definition Price to Sales is the ratio of a share price to the revenue generated by the company;
For portfolios, it is the market value of the portfolio holdings divided by sum of the contribution from each share held by its share of the underlying company revenue per shareFor Single Stocks: Stock Price / Revenue
For Portfolios: [Sum(Stock Price*Shares Held) / Coverage Factor(Price)] / [ Sum (Revenue/Basic Average Share Count * Shares Held) / Coverage Factor(Revenue) ]Portfolio LTM Sales / Share is the sum of Revenue / Share of each periods adding up to LTM calculated individually;
FY1/FY2/NTM rely on the latest reported Basic Weighted Average Shares each dayFields used
* Stock Price = close
* Revenue LTM = SM.Revenue
* Revenue NTM, FY1, FY2 = SE.Revenue_Est
* Shares Held = Shares of the company held in the portfolio
* Basic Average Share Count = SF.IS.BasicWeightedAvgShrs
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
P/Book Value
Excel Code P_BV
Frequency LTM, NTM, FY1, FY2
Definition Price to Book Value is the ratio of a share price to the Book Value of Equity per common share reported by the company on its Balance Sheet;
For portfolios, it is the market value of the portfolio holdings divided by sum of the contribution from each share held by its share of the underlying company Book Value per shareFor Single Stocks: Stock Price / Book Value Per Share
For Portfolios: [Sum(Stock Price*Shares Held) / Coverage Factor(Price)] / [ Sum (Book Value Per Share * Shares Held) / Coverage Factor(Book Value Per Share) ]Fields used
* Stock Price = close
* Book Value Per Share LTM = SF.BS.BookValuePerShare
* Book Value Per Share NTM, FY1, FY2 = SE.BVPS_Est
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
P/Tangible Book Value
Excel Code P_TBV
Frequency LTM, NTM, FY1, FY2
Definition Price to Tangible Book Value is the ratio of a share price to the Tangible Book Value of Equity per common share reported by the company on its Balance Sheet;
For portfolios, it is the market value of the portfolio holdings divided by sum of the contribution from each share held by its share of the underlying company Tangible Book Value per shareFor Single Stocks: Stock Price / Tangible Book Value Per Share
For Portfolios: [Sum(Stock Price*Shares Held) / Coverage Factor(Price)] / [ Sum (Tangible Book Value Per Share * Shares Held) / Coverage Factor(Tangible Book Value Per Share) ]Fields used
* Stock Price = close
* Tangible Book Value Per Share LTM = SF.BS.TangibleBookValuePerShareCommonEq
* Tangible Book Value Per Share NTM, FY1, FY2 = SE.TBVPS_Est
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
ROA
Excel Code SM.ROA
SE.ROA_Est
Frequency LTM, NTM, FY1, FY2
Definition Return on Assets is the ratio of Net Income to Common Shareholders (As reported) relative ot the Total Assets of the Company.
For a portfolio, it represents the aggregate Net Income contributions of each holding divided by the aggregate contribution of Total Assets of each holdingFor Single Stocks: Net Income / Total Assets
For Portfolios: [ Sum(Net Income/Consolidated Share Count*Shares Held)/Coverage Factor (Net Income)] / [ Sum(Total Assets/ Consolidated Share Count * Shares Held) / Coverage Factor (Total Assets)]Fields used
* Net Income LTM: SF.IS.IncomeAvailableToComInclExtraorinatyItems
* Net Income FY1/FY2/NTM: SE.NI_Est
* Total Assets LTM: SF.BS.TotalAssets
* Total Assets FY1/FY2/NTM: SE.TotalAssets_Est
* Consolidated Share Count = SM.SharesConsolidated
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
ROE
Excel Code SM.ROE
SE.ROE_Est
Frequency LTM, NTM, FY1, FY2
Definition Return on Equity is the ratio of Net Income to Common Shareholders (As reported) to the Book Value of Total Equity of the Company.
For a portfolio, it represents the aggregate Net Income contributions of each holding divided by the aggregate contribution of Total Equity of each holdingFor Single Stocks: Net Income / Total Assets
For Portfolios: [ Sum(Net Income/Consolidated Share Count*Shares Held)/Coverage Factor (Net Income)] / [ Sum(Total Equity/ Consolidated Share Count * Shares Held) / Coverage Factor (Total Assets)]Fields used
* Net Income LTM: SF.IS.IncomeAvailableToComInclExtraorinatyItems
* Net Income FY1/FY2/NTM: SE.NI_Est
* Total Equity LTM: SF.BS.TotalEquity
* Total Equity FY1/FY2/NTM: SE.ShEquity_Est
* Consolidated Share Count = SM.SharesConsolidated
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributorz
P/FFO
Excel Code P_FFO
Frequency LTM, NTM, FY1, FY2
Definition Price to FFO is the ratio of a share price to the Fund From Operations generated by the company;
For portfolios, it is the market value of the portfolio holdings divided by sum of the contribution from each share held of its share of the underlying company Fund From OperationsFor Single Stocks: Stock Price / FFO per share
For Portfolios: [Sum(Stock Price*Shares Held) / Coverage Factor(Price)] / [ Sum ( FFO Per Share * Shares Held) / Coverage Factor(FFO) ]Note that FFO is only available for certain REIT stocks, rendering the calculation of P/FFO for multi-sector portfolios insignificant.Fields used
* Stock Price = close
* FFO LTM = SE.FFOPS
* FFO NTM, FY1, FY2 = SE.FFOPS_Est
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
P/AFFO
Excel Code P_AFFO
Frequency LTM, NTM, FY1, FY2
Definition Price to AFFO is the ratio of a share price to the Adjusted Fund From Operations generated by the company;
For portfolios, it is the market value of the portfolio holdings divided by sum of the contribution from each share held of its share of the underlying company Adjusted Fund From OperationsFor Single Stocks: Stock Price / AFFO per share
For Portfolios: [Sum(Stock Price*Shares Held) / Coverage Factor(Price)] / [ Sum ( FFO Per Share * Shares Held) / Coverage Factor(AFFO) ]Note that AFFO is only available for certain REIT stocks, rendering the calculation of P/AFFO for multi-sector portfolios insignificant.Fields used
* Stock Price = close
* AFFO LTM = SE.AFFOPS
* AFFO NTM, FY1, FY2 = SE.AFFOPS_Est
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
P/NAV
Excel Code P_NAV
Frequency LTM, NTM, FY1, FY2
Definition Price to NAV is the ratio of a share price to the Net Asset Value of the assets of the company;
For portfolios, it is the market value of the portfolio holdings divided by sum of the contribution from each share held by its share of the underlying company’ s NAVFor Single Stocks: Stock Price / NAV per share
For Portfolios: [Sum(Stock Price/*Shares Held) / Coverage Factor(Price)] / [ Sum ( NAV/Basic Average Share Count * Shares Held) / Coverage Factor(NAV) ]Note that NAV is only available for certain REIT stocks and relatively poorly covered by analysts, rendering the calculation of P/NAV for forward looking periods and multi-sector portfolios insignificant.Fields used
* Stock Price = close
* NAV LTM = SF.KPI.BS.NAV_Reit
* NAV NTM, FY1, FY2 = SE.NAV_Est
* Basic Average Share Count = SF.IS.BasicWeightedAvgShrs
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors

Financials

Revenue
Excel Code SM.Revenue (LTM)
SE.Revenue_Est (FY1, FY2, NTM)
Frequency LTM, NTM, FY1, FY2
Definition Revenue represents the Revenue of the company;
For an ETF, it is the Revenue inferred by the underlying portfolio holdings over time;
For a watchlist, it reflects the Revenue from the simulated portfolio based on the selected rebalancing strategy and frequency.For Single Stocks: Sales
For Portfolios: Sum(Sales/Basic Weighted Average Shares * Shares Held) / Coverage Factor (Sales)Portfolio LTM Sales / Share is the sum of Revenue / Share of each periods adding up to LTM calculated individually;
FY1/FY2/NTM rely on the latest reported Basic Weighted Average Shares each dayFields used
* Revenue LTM = SM.Revenue
* Revenue NTM, FY1, FY2 = SE.Revenue_Est
* Basic Average Share Count = SF.IS.BasicWeightedAvgShrs
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
Gross Profit (As Reported)
Excel Code SM.Gross_Profit_Rep (LTM)
Frequency LTM
Definition Gross Profit represents Revenue minus Costs of Goods Sold; Gross Profit is defined differently based on the type of company given the differences in industry and the nature of costs and revenue.

For Single Stock: Gross Profit
For Portfolios: Sum(GrossProfit/Basic Weighted Average Shares * Shares Held) / Coverage Factor (Gross Profit)

Portfolio LTM Gross Profit / Share is the sum of Gross Profit / Share of each periods adding up to LTM calculated individually;
FY1/FY2/NTM rely on the latest reported Basic Weighted Average Shares each day

Fields used
* Gross Profit LTM For Industrial companies: SF.IS.GrossProfit
* Gross Profit LTM For Utilities: SF.IS.TotalRevenue – SF.IS.FuelExpense – SF.IS.CostOfRevenue – SF.IS.PurchasedPower – SF.IS.FuelPurchasedforResale
* Gross Profit LTM For Energy Companies: SF.IS.TotalRevenue – SF.IS.CostOfRevenueTotal – SF.IS.DAExp
* Basic Average Share Count = SF.IS.BasicWeightedAvgShrs
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors

Gross Profit (Adj)
Excel Code SM.Gross_Profit (LTM)
SE.Gross_Profit_Est (FY1, FY2, NTM)
Frequency LTM, NTM, FY1, FY2
Definition Gross Profit represents Revenue minus Costs of Goods Sold; Gross Profit is built on consensus from sell side analyst contributions.

For Single Stock: Gross Profit
For Portfolios: Sum(GrossProfit/Basic Weighted Average Shares *Shares Held) / Coverage Factor (Gross Profit)

Portfolio LTM Gross Profit / Share is the sum of Gross Profit / Share of each periods adding up to LTM calculated individually;
FY1/FY2/NTM rely on the latest reported Basic Weighted Average Shares each day

Fields used
* Gross Profit LTM: SM.Gross_Profit
* Gross Profit FY1 / FY2 / NTM (All): SE.Gross_Profit_Est
* Basic Average Share Count = SF.IS.BasicWeightedAvgShrs
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors

EBIT
Excel Code SM.EBIT (LTM)
Frequency LTM
Definition EBIT is the Operating profit before interest and tax of the company;
For an ETF, it is the EBIT inferred by the underlying portfolio holdings over time;
For a watchlist, it reflects the implicit EBIT from the simulated portfolio based on the selected rebalancing strategy and frequency.For Single Stocks: EBIT
For Portfolios: Sum(EBIT/Basic Weighted Average Shares * Shares Held) / Coverage Factor (EBIT)Portfolio LTM EBIT / Share is the sum of EBIT / Share of each periods adding up to LTM calculated individually;Fields used
* EBIT LTM for Diversified Banks (GICS) = SF.IS.NetIncomeBeforeTaxes – SF.IS.OtherUnusualExp_Banks – SF.IS.OtherUnusualIncome
* EBIT LTM for other industry groups = SF.IS.OpIncome
* Basic Weighted Average Shares = SF.IS.BasicWeightedAvgShrs
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
EBIT (Adj)
Excel Code SM.EBIT_Adj (LTM)
SE.EBIT_Adj_Est (FY1, FY2, NTM)
Frequency LTM, NTM, FY1, FY2
Definition EBIT is the Operating profit before interest and tax of the company;
For an ETF, it is the EBIT inferred by the underlying portfolio holdings over time;
For a watchlist, it reflects the implicit EBIT from the simulated portfolio based on the selected rebalancing strategy and frequency.For Single Stocks: EBIT
For Portfolios: Sum(EBIT/Basic Weighted Average Shares * Shares Held) / Coverage Factor (EBIT)Portfolio LTM EBIT / Share is the sum of EBIT / Share of each periods adding up to LTM calculated individually;
FY1/FY2/NTM rely on the latest reported Basic Weighted Average Shares each dayFields used
* EBIT LTM = SM.EBIT_Adj
* EBIT NTM, FY1, FY2 = SE.EBIT_Adj_Est
* Basic Weighted Average Shares = SF.IS.BasicWeightedAvgShrs
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
EBITDA
Excel Code SM.EBITDA (LTM)
Frequency LTM
Definition EBITDA is the Operating profit before interest tax, depreciation and amortization of the company;
For an ETF, it is the EBITDA inferred by the underlying portfolio holdings over time;
For a watchlist, it reflects the implicit EBITDA from the simulated portfolio based on the selected rebalancing strategy and frequency.For Single Stocks: EBITDA
For Portfolios: Sum(EBITDA/Basic Weighted Average Shares * Shares Held) / Coverage Factor (EBITDA)Portfolio LTM EBITDA / Share is the sum of EBITDA / Share of each periods adding up to LTM calculated individually;
NOT AVAILABLE FOR DIVERSIFIED BANKS, NULL
Fields used
* EBITDA LTM = SF.IS.OpIncome + SF.CF.Amortization + SF.CF.Depreciation_Depletion
* Basic Weighted Average Shares = SF.IS.BasicWeightedAvgShrs
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
EBITDA, Adj
Excel Code SM.EBITDA_Adj (LTM)
SE.EBITDA_Adj_Est (FY1, FY2, NTM)
Frequency LTM, NTM, FY1, FY2
Definition EBITDA is the Operating profit before interest tax, depreciation and amortization of the company;
For an ETF, it is the EBITDA inferred by the underlying portfolio holdings over time;
For a watchlist, it reflects the implicit EBITDA from the simulated portfolio based on the selected rebalancing strategy and frequency.For Single Stocks: EBITDA
For Portfolios: Sum(EBITDA/Basic Weighted Average Shares * Shares Held) / Coverage Factor (EBITDA)Portfolio LTM EBITDA / Share is the sum of EBITDA / Share of each periods adding up to LTM calculated individually;
FY1/FY2/NTM rely on the latest reported Basic Weighted Average Shares each dayFields used
* EBITDA LTM = SM.EBITDA_Adj
* EBITDA NTM, FY1, FY2 = SE.EBITDA_Adj_Est
* Basic Weighted Average Shares = SF.IS.BasicWeightedAvgShrs
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
NI, b/f XO Profit
Excel Code SM.NI (LTM)
SE.NI_Est (FY1, FY2, NTM)
Frequency LTM, NTM, FY1, FY2
Definition Net Income before Extraordinary represents the Net Income EPS adjusted to non-recurring items, according to a standardized templated methodology which is common to all companies.
For portfolios, it is the sum of the individual Net Income contributions for each holdingsFor Single Stocks: Net Income Excluding Extraordinary
For Portfolios: Sum(Diluted EPS Excluding Extraordinary * Shares Held)/Coverage Factor(EPS)Fields used
* Diluted EPS Ex Extraordinary LTM = SF.IS.DEPSExclExtraordinaryItems
* Diluted EPS Ex Extraordinary FY1,FY2,NTM = SE.DEPS_Adj_Est
* Diluted Weighted Average Shares = SF.IS.BasicWeightedAvgShrs
* Net Income LTM = SF.IS.NetIncomeBeforeExtraordinaryItems
* Net Income NTM, FY1, FY2 = SE.NI_Est
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
Net Income
Excel Code SM.NI_Adj (LTM)
SE.NI_Adj_Est (FY1, FY2, NTM)
Frequency LTM, NTM, FY1, FY2
Definition Net Income before Extraordinary represents the Net Income EPS adjusted to non-recurring items, according to analysts methodology.
For portfolios, it is the sum of the individual Net Income contributions for each holdingsFor Single Stocks: Net Income Adjusted
For Portfolios: Sum(Diluted EPS Adjusted * Shares Held)/Coverage Factor(EPS)Fields used
* Diluted EPS Adjusted LTM = SM.DEPS_Adj
* Diluted EPS Adjusted FY1,FY2,NTM = SE.DEPS_Adj_Est
* Diluted Weighted Average Shares = SF.IS.BasicWeightedAvgShrs
* Net Income LTM = SM.NI_Adj
* Net Income NTM, FY1, FY2 = SE.NI_Adj_Est
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
CapEx
Excel Code SM.Capex (LTM)
SE.Capex_Est (FY1, FY2, NTM)
Frequency LTM, NTM, FY1, FY2
Definition Capital Expenditure reflects the cash spent on capital investments over a period, based on reported figures and analysts consensus methodology.
For portfolios, it is the sum of the individual Net Income contributions for each holdingsFor Single Stocks: Capex
For Portfolios: Sum(Capex Per Share * Shares Held)/Coverage Factor(Capex)Portfolio LTM Capex / Share is the sum of Capex / Share of each periods adding up to LTM calculated individually;
FY1/FY2/NTM rely on the latest reported Basic Weighted Average Shares each dayFields used
* Capex LTM = SM.Capex
* Capex FY1,FY2,NTM = SE.Capex_Est
* Diluted Weighted Average Shares = SF.IS.BasicWeightedAvgShrs
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors

Financials, Per Share Metrics

DEPS, Adj
Excel Code SM.DEPS_Adj (LTM)
SE.DEPS_Adj_Est (FY1, FY2, NTM)
Frequency LTM, NTM, FY1, FY2
Definition P/E, Adjusted represents the ratio of the security price divided by the EPS Adjusted to non-recurring items according to analysts methodology.
For portfolios, it is the sum of the individual Net Income contributions for each holdings, divided by the number of units availableFor Single Stocks: EPS
For Portfolios: [Sum(EPS*Shares Held)/Coverage Factor(EPS)] / Portfolio sharesFields used
* Stock Price = close
* EPS LTM = SM.DEPS_Adj
* EPS NTM, FY1, FY2 = SE.DEPS_Adj_Est
* Shares Held = Shares of the company held in the portfolio
* Portfolio shares = Number of shares or units issued for the portfolio = SM.SharesConsolidated
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
EPS, b/f XO
Excel Code SM.DEPS (LTM)
SE.DEPS_Est (FY1, FY2, NTM)
Frequency LTM, NTM, FY1, FY2
Definition P/E, Adjusted represents the ratio of the security price divided by the EPS Adjusted to non-recurring items, according to a standardized templated methodology which is common to all companies.
For portfolios, it is the sum of the individual Net Income contributions for each holdings, divided by the number of units availableFor Single Stocks: EPS
For Portfolios: [Sum(EPS*Shares Held)/Coverage Factor(EPS)] / Portfolio sharesFields used
* Stock Price = close
* EPS LTM = SF.IS.DEPSExclExtraordinaryItems
* EPS NTM, FY1, FY2 = SE.DEPS_Adj_Est
* Shares Held = Shares of the company held in the portfolio
* Portfolio shares = Number of shares or units issued for the portfolio = SM.SharesConsolidated
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
FFO/Shr
Excel Code SE.FFOPS (LTM)
SE.FFOPS_Est (FY1, FY2, NTM)
Frequency LTM, NTM, FY1, FY2
Definition FFO is the Fund From Operations generated by the company;
For portfolios, it is the contribution from each share held by its share of the underlying company Fund From Operations per shareFor Single Stocks: FFO Per Share
For Portfolios: [Sum ( FFO Per Share * Shares Held) / Coverage Factor(FFO) ] / Portfolio SharesNote that FFO is only available for certain REIT stocks, rendering the calculation for multi-sector portfolios of FFO insignificant.Fields used
* Stock Price = close
* FFO LTM = SE.FFOPS
* FFO NTM, FY1, FY2 = SE.FFOPS_Est
* Shares Held = Shares of the company held in the portfolio
* Portfolio shares = Number of shares or units issued for the portfolio = SM.SharesConsolidated
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
AFFO/Shr
Excel Code SE.AFFOPS (LTM)
SE.AFFOPS_Est (FY1, FY2, NTM)
Frequency LTM, NTM, FY1, FY2
Definition AFFO is the Fund From Operations generated by the company;
For portfolios, it is the contribution from each share held by its share of the underlying company Adjusted Fund From Operations per shareFor Single Stocks: AFFO Per Share
For Portfolios: Sum ( AFFO Per Share * Shares Held) / Coverage Factor(AFFO) / Portfolio SharesNote that AFFO is only available for certain REIT stocks, rendering the calculation for multi-sector portfolios of AFFO insignificant.Fields used
* Stock Price = close
* AFFO LTM = SE.AFFOPS
* AFFO NTM, FY1, FY2 = SE.AFFOPS_Est
* Shares Held = Shares of the company held in the portfolio
* Portfolio shares = Number of shares or units issued for the portfolio = SM.SharesConsolidated
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
Dividend Per Share
Excel Code SM.DPS (LTM)
SE.DEPS_Est (FY1,FY2, NTM)
Frequency LTM, NTM, FY1, FY2
Definition Dividend per share is the amount of dividend paid over a period for a share of the underlying stock;
For Portfolios, it is the aggregate dividend earned by the shares heldFor Single Stocks: Dividend Per Share
For Portfolios: Sum(Dividend Per Share * Shares Held)/Coverage Factor(Dividend Per Share) / Portfolio SharesFields used
* Dividend Per Share LTM = SF.CF.CashDividendsPaid_Common / SF.IS.BasicWeightedAvgShrs
* Dividend Per Share FY1/FY2/NTM = SE.DPS_Est
* Shares Held = Shares of the company held in the portfolio
* Portfolio shares = Number of shares or units issued for the portfolio = SM.SharesConsolidated
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors”

Financials, % Margin Metrics

Gross Margin
Excel Code SM.Gross_Margin (LTM)
SE.Gross_Margin_Est (FY1, FY2, NTM)
Frequency LTM, NTM, FY1, FY2
Definition Gross Margin represents the gross profit of the company relative to its revenue; Gross Profit is defined differently based on the type of company given the differences in industry and the nature of costs and revenue.

For Single Stock: Gross Profit / Revenue
For Portfolios: [Sum(GrossProfit/Basic Weighted Average Shares * Shares Held) / Coverage Factor (Gross Profit)] / [Sum(Revenue/Basic Weighted Average Shares * Shares Held) / Coverage Factor (Revenue)]

Portfolio LTM Gross Profit per share and Revenue per share are the sum of the contributions for Gross Profit per share and Revenue per share of each periods adding up to LTM calculated individually;
FY1/FY2/NTM rely on the latest reported Basic Weighted Average Shares each day

Fields used
* Gross Profit LTM For Industrial companies: SF.IS.GrossProfit
* Gross Profit LTM For Utilities: SF.IS.TotalRevenue – SF.IS.FuelExpense – SF.IS.CostOfRevenue – SF.IS.PurchasedPower – SF.IS.FuelPurchasedforResale
* Gross Profit LTM For Energy Companies: SF.IS.TotalRevenue – SF.IS.CostOfRevenueTotal – SF.IS.DAExp
* Gross Profit FY1 / FY2 / NTM (All): SE.Gross_Profit_Est
* Revenue LTM (All): SM.Revenue
* Revenue FY1 / FY2 / NTM (All): SE.Revenue_est
* Basic Weighted Average Shares = SF.IS.BasicWeightedAvgShrs
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors

EBIT Margin
Excel Code SM.EBIT_Margin (LTM)
Frequency LTM
Definition EBIT margin is the Operating profit before interest tax of the company, relative to its Revenue.
For an ETF, it is the EBIT inferred by the underlying portfolio holdings over time;
For a watchlist, it reflects the implicit EBIT from the simulated portfolio based on the selected rebalancing strategy and frequency.For Single Stocks: EBIT / Revenue
For Portfolios: [Sum(EBIT/Basic Weighted Average Shares * Shares Held) / Coverage Factor (EBIT)] / [Sum(Revenue/Basic Weighted Average Shares * Shares Held) / Coverage Factor (Revenue)]Portfolio LTM EBIT per share and Revenue per share are the sum of the contributions for EBIT per share and Revenue per share of each periods adding up to LTM calculated individually;Fields used
* EBIT LTM for Diversified Banks (GICS) = SF.IS.NetIncomeBeforeTaxes – SF.IS.OtherUnusualExp_Banks – SF.IS.OtherUnusualIncome
* EBIT LTM for other industry groups = SF.IS.OpIncome
* Revenue LTM (All): SM.Revenue
* Basic Weighted Average Shares = SF.IS.BasicWeightedAvgShrs
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
EBIT Margin (Adj)
Excel Code SM.EBIT_Adj_Margin (LTM)
SE.EBIT_Adj_ Margin_Est (FY1, FY2, NTM)
Frequency LTM, NTM, FY1, FY2
Definition EBIT margin is the Operating profit before interest tax of the company, relative to its Revenue.
For an ETF, it is the EBIT inferred by the underlying portfolio holdings over time;
For a watchlist, it reflects the implicit EBIT from the simulated portfolio based on the selected rebalancing strategy and frequency.For Single Stocks: EBIT / Revenue
For Portfolios: [Sum(EBIT/Basic Weighted Average Shares * Shares Held) / Coverage Factor (EBIT)] / [Sum(Revenue/Basic Weighted Average Shares*Shares Held) / Coverage Factor (Revenue)]Portfolio LTM EBIT per share and Revenue per share are the sum of the contributions for EBIT per share and Revenue per share of each periods adding up to LTM calculated individually;
FY1/FY2/NTM rely on the latest reported Basic Weighted Average Shares each dayFields used
* EBIT LTM = SM.EBIT_Adj
* EBIT NTM, FY1, FY2 = SE.EBIT_Adj_Est
* Revenue LTM (All): SM.Revenue
* Revenue FY1 / FY2 / NTM (All): SE.Revenue_est
* Basic Weighted Average Shares = SF.IS.BasicWeightedAvgShrs
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
EBITDA margin
Excel Code SM.EBITDA_Margin (LTM)
Frequency LTM
Definition EBITDA margin is the Operating profit before interest tax of the company, relative to its Revenue.
For an ETF, it is the EBIT inferred by the underlying portfolio holdings over time;
For a watchlist, it reflects the implicit EBIT from the simulated portfolio based on the selected rebalancing strategy and frequency.For Single Stocks: EBITDA / Revenue
For Portfolios: [Sum(EBITDA/Basic Weighted Average Shares * Shares Held) / Coverage Factor (EBITDA)] / [Sum(Revenue/Basic Weighted Average Shares * Shares Held) / Coverage Factor (Revenue)]Portfolio LTM EBIT per share and Revenue per share are the sum of the contributions for EBITDA per share and Revenue per share of each periods adding up to LTM calculated individually;
NOT AVAILABLE FOR DIVERSIFIED BANKS, NULL
Fields used
* EBITDA LTM for other industry groups = SF.IS.OpIncome + SF.CF.Amortization + SF.CF.Depreciation_Depletion
* Revenue LTM (All): SM.Revenue
* Basic Weighted Average Shares = SF.IS.BasicWeightedAvgShrs
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
EBITDA Adj. margin
Excel Code SM.EBITDA_Adj_Margin (LTM)
SE.EBITDA_Adj_ Margin_Est (FY1, FY2, NTM)
Frequency LTM, NTM, FY1, FY2
Definition EBITDA margin is the Operating profit before interest tax, depreciation and amortization of the company, relative to its Revenue.
For an ETF, it is the EBITDA inferred by the underlying portfolio holdings over time;
For a watchlist, it reflects the implicit EBITDA from the simulated portfolio based on the selected rebalancing strategy and frequency.For Single Stocks: EBITDA / Revenue
For Portfolios: [Sum(EBITDA/Basic Weighted Average Shares * Shares Held) / Coverage Factor (EBITDA)] / [Sum(Revenue/Basic Weighted Average Shares*Shares Held) / Coverage Factor (Revenue)]Portfolio LTM EBITDA per share and Revenue per share are the sum of the contributions for EBITDA per share and Revenue per share of each periods adding up to LTM calculated individually;
FY1/FY2/NTM rely on the latest reported Basic Weighted Average Shares each dayFields used
* EBITDA LTM = SM.EBITDA_Adj
* EBITDA NTM, FY1, FY2 = SE.EBITDA_Adj_Est
* Basic Weighted Average Shares = SF.IS.BasicWeightedAvgShrs
* Shares Held = Shares of the company held in the portfolio
* Coverage Factor = 100% – weights of contributors not included in the calculation (Exclusion can be due to data being unavailable, non-existent for that type of company, or unfit for the calculation methodology); The coverage factor is used to adjust inflate the calculation of the metric to compensate for inadequate or missing contributors
Updated on December 16, 2020

Was this article helpful?

Related Articles