OREANDA-NEWS. December 29, 2010. PFTS released daily 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

966.73

0.60%

15.33%

65.15%

Periodic Volatility*

31.6908%

0.0065%

0.6035%

-6.9795%

Intraday Volatility

0.1290%

52.3860%

9.4033%

 

Free Float turnover per day **

0.1848%

6.4079%

-0.0498%

 

* 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

Company Code

Close (UAH)

Daily change

Volatility

R2 *

Beta **

Beta Volatility

ALMK

0.2140

-4.21%

66.2566%

0.45

1.4010

0.0847

AVDK

14.8200

0.54%

46.0509%

0.25

0.7240

0.0711

AZST

2.8130

0.85%

42.3582%

0.63

1.0625

0.0427

BAVL

0.3968

-0.20%

41.8538%

0.54

0.9740

0.2225

CEEN

14.6699

0.42%

38.8831%

0.74

1.0576

0.0484

DNEN

0.0000

0.00%

47.9640%

0.32

0.8580

0.1907

DOEN

0.0000

0.00%

49.2221%

0.41

0.9963

0.0954

ENMZ

169.4598

-0.90%

45.4722%

0.62

1.1316

0.0653

KVBZ

34.8942

-0.35%

50.6282%

0.10

0.5063

0.5063

MSICH

0.0000

0.00%

48.5457%

0.65

1.2319

0.2579

MZVM

11.0707

-0.80%

70.7466%

0.29

1.2108

0.2187

NITR

7.8000

-0.13%

58.2719%

0.10

0.5941

0.1582

PGOK

42.6914

1.81%

81.7540%

0.35

1.5221

0.2295

STIR

79.8150

0.00%

62.2189%

0.08

0.5714

0.1009

SVGZ

9.1368

2.47%

61.0467%

0.41

1.2349

0.3649

UNAF

587.9500

1.10%

54.8299%

0.53

1.2557

0.1425

USCB

0.5542

2.87%

61.6142%

0.52

1.4033

0.0662

UTLM

0.5489

2.90%

47.0882%

0.33

0.8576

0.0489

YASK

4.3277

-0.27%

71.4429%

0.29

1.2118

0.0665

ZAEN

460.5000

0.76%

42.6669%

0.47

0.9228

0.0939

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