| Barra Predicted Beta |
The
capitalization-weighted average of the individual constituent Barra predicted betas. Barra
predicted beta is a forward-looking beta from Barra’s U.S. Equity Model. Unlike
historical beta, predicted beta fully captures any recent changes to corporate structure. |
Price/Earnings
(Excl Negative) |
The inverse of the
capitalization-weighted average of the individual constituent Earnings/Price ratios*. The
individual company Earnings/Price ratio is the sum of the most recently available four
quarters of income before extraordinary items divided by current company capitalization.
Negative earnings are excluded.
*Note that taking the average of the individual asset P/E ratios will yield a different
result. Our method is mathematically equivalent to taking the capitalization of the index
and dividing by the earnings of the index. This is more consistent with the spirit of the
index ratio than is a capitalization- weighted average of the individual asset P/E ratios
and is also a more stable quantity. |
Price/Earnings
(Incl Negative) |
Same as above but including
negative earnings. This quantity is always greater than or equal to P/E excluding
negative earnings. It is also closer to the P/E reported by Standard & Poor's. (It is
not identical to the quantity reported by S&P due to differences in data sources.) |
| Price/Book |
The
inverse of the capitalization-weighted average of the individual constituent Book/Price
ratios*. The individual company Book/Price ratio is the total common equity for the latest
quarter divided by current company capitalization. *Note
that taking the average of the individual asset P/B ratios will yield a different result.
Our method is mathematically equivalent to taking the capitalization of the index and
dividing by the book value of the index. This is more consistent with the spirit of the
index ratio than is a capitalization- weighted average of the individual asset P/B ratios
and is also a more stable quantity. |
| Dividend Yield (%) |
The
capitalization-weighted average of the individual constituent indicated annual dividend
yields. |
| Return on Equity (%) |
The
capitalization-weighted average of the individual constituent return on equity values. The
individual company return on equity is the sum of the most recently available four
quarters of income before extraordinary items divided by the average of the total common
equity at the beginning and the end of the corresponding calculation year. |
| Return on Assets (%) |
The capitalization-weighted average
of the individual constituent return on assets values. The individual company return on
assets is the sum of the most recently available four quarters of income before
extraordinary items divided by the average of the total assets at the beginning and the
end of the corresponding calculation year. |
| Price/Sales |
The inverse of
the capitalization-weighted average of the individual constituent Sales/Price values. The
individual company Sales/Price ratio is the sum of the most recently available four
quarters of net sales divided by current company capitalization. |
| Dividend Payout Ratio (%) |
The
capitalization-weighted average of the individual constituent dividend payout ratios. The
individual company payout ratio is the sum of
the dividends paid during the previous four quarters divided by the sum of earnings for
the previous four quarters. |
| Price to Cash Flow |
The inverse of the
capitalization-weighted average of the individual constituent cash flow to price ratios.
The individual company cash flow to price ratio is the sum of the last four quarters of
depreciation and amortization, deferred taxes and net income before extraordinary items
divided by the current market capitalization. |
| Price to Free Cash Flow |
The inverse of the
capitalization-weighted average of the individual constituent free cash flow to price
ratios. The individual company free cash flow to price ratio is the sum of the last four
quarters of deferred taxes, net income before extraordinary items and year-over-year
change (i.e. investment) inproperty, plant and equipment divided by the current market
capitalization. |
| Cash Flow Coverage Ratio |
The inverse of the
capitalization-weighted average of the individual constituent inverse cash flow coverage
ratios. The individual company cash flow coverage ratio is the sum of the last four
quarters of interest expense divided by the sum of last four quarters of depreciation and
amortization and pre-tax income. |
| Implied
Growth Rate (%) |
The
capitalization-weighted average of the individual constituent growth rates. The individual
company growth rate is the 60 month average of the historical EPS growth, a function of
return on equity and retention rate. |
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