PFTS Released December 27 Equity Index Performance Parameters
OREANDA-NEWS. December 28, 2010. PFTS announced December 27 Equity Index Performance Parameters.
Major characteristics of Equity Index (PFTS Equity)
|
Parameter |
Last |
Daily change |
Change since month beg. |
Change since year beg. |
|
Index Value |
960.97 |
-0.53% |
14.64% |
64.17% |
|
Periodic Volatility* |
31.6888% |
0.0171% |
0.5970% |
-6.9856% |
|
Intraday Volatility |
0.0846% |
-79.6616% |
-28.2064% |
|
|
Free Float turnover per day ** |
0.1538% |
5.9867% |
-16.7823% |
|
* Periodic Volatility is annualized standard deviation of Index closing values, based on past 245 trading sessions (calendar year). Intraday Volatility is annualized standard deviation of Index values during the trading session.
** Free Float daily turnover = daily trade volume of Index Base Companies / these Companies free float capitalization at closing prices of the day.
Analytical data for PFTS Equity Index base companies
|
Close (UAH) |
Daily change |
Volatility |
R2 * |
Beta ** |
Beta Volatility | |
|
ALMK |
0.2232 |
1.13% |
66.1106% |
0.45 |
1.4028 |
0.0846 |
|
AVDK |
14.7400 |
-0.07% |
46.0685% |
0.25 |
0.7241 |
0.0709 |
|
AZST |
2.7893 |
-0.63% |
42.3640% |
0.63 |
1.0625 |
0.0425 |
|
BAVL |
0.3976 |
3.09% |
41.8524% |
0.54 |
0.9743 |
0.2225 |
|
CEEN |
14.6081 |
-0.15% |
38.8908% |
0.74 |
1.0577 |
0.0484 |
|
DNEN |
0.0000 |
0.00% |
47.9640% |
0.32 |
0.8581 |
0.1905 |
|
DOEN |
0.0000 |
0.00% |
49.2449% |
0.41 |
0.9962 |
0.0954 |
|
ENMZ |
171.0000 |
-1.15% |
45.4634% |
0.62 |
1.1321 |
0.0653 |
|
KVBZ |
35.0154 |
-0.31% |
50.6251% |
0.10 |
0.5063 |
0.5063 |
|
MSICH |
2 933.0000 |
-0.61% |
48.5484% |
0.65 |
1.2323 |
0.2581 |
|
MZVM |
11.1598 |
-5.13% |
70.7460% |
0.29 |
1.2110 |
0.2191 |
|
NITR |
7.8100 |
-0.51% |
58.2763% |
0.10 |
0.5941 |
0.1585 |
|
PGOK |
41.9248 |
-0.73% |
81.7379% |
0.35 |
1.5217 |
0.2298 |
|
STIR |
0.0000 |
0.00% |
62.2189% |
0.08 |
0.5715 |
0.1011 |
|
SVGZ |
8.9142 |
-0.16% |
61.0176% |
0.41 |
1.2344 |
0.3653 |
|
UNAF |
581.4951 |
-1.20% |
54.8316% |
0.53 |
1.2557 |
0.1427 |
|
USCB |
0.5385 |
-0.28% |
61.5558% |
0.52 |
1.4025 |
0.0662 |
|
UTLM |
0.5332 |
-2.35% |
47.2356% |
0.33 |
0.8560 |
0.0489 |
|
YASK |
4.3394 |
10.34% |
71.4419% |
0.29 |
1.2122 |
0.0666 |
|
ZAEN |
457.0000 |
-5.95% |
42.6623% |
0.47 |
0.9227 |
0.0941 |
|
Average |
|
1.0364 |
| |||
* R2 – coefficient of determination, suggests part of price volatility statistically explained by market volatility (PFTS Equity Index).
** Beta is calculated based on logarithmic changes of historical closing prices within the last 245 trading sessions. Beta volatility shows its stationary character.
Correlation matrix
Of PFTS Equity Index
|
Index |
PFTS |
S&P 500 |
DJIA |
NASDAQ Composit |
CBOE Volatility |
FTSE 100 |
DAX |
NIKKEI 225 |
|
PFTS |
1 |
|
|
|
|
|
|
|
|
S&P 500 |
0.1303 |
1 |
|
|
|
|
|
|
|
DJIA |
0.1381 |
0.9848 |
1 |
|
|
|
|
|
|
NASDAQ |
0.1547 |
0.9671 |
0.9424 |
1 |
|
|
|
|
|
CBOE V |
-0.0252 |
-0.8487 |
-0.8284 |
-0.8193 |
1 |
|
|
|
|
FTSE 100 |
0.0482 |
0.0701 |
0.0517 |
0.0609 |
-0.0766 |
1 |
|
|
|
DAX |
0.0433 |
-0.0175 |
-0.0306 |
-0.0290 |
0.0449 |
0.2133 |
1 |
|
|
NIKKEI |
0.0580 |
-0.0056 |
-0.0084 |
-0.0325 |
-0.0110 |
-0.1445 |
0.0570 |
1 |
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