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'Ratio'에 해당되는 글 4건




  1. 2012.10.29 샤프지수, 트레이너지수 비교 (Sharpe Ratio, Treynor Ratio) 1
  2. 2012.10.17 Comprehensive EPS meaning & example
  3. 2009.04.09 미국 도매재고, U.S. Wholesales Inventories 2월 월간 -1.5% 감소 _09.04.09
  4. 2009.03.13 미국 Business Inventories/Sales Ratio _ 기업재고/매출 비율 _2009.03

 

샤프지수는 '포트폴리오 위험 프리미엄'을 '위험'으로 나눈 값이다.

(Sharpe Ratio is defined as the portfolio's risk premium divided by its risk.)

 

 

(p: portfolio, f: risk-free, R: returns)

 

샤프지수에서 고려되는 리스크는 '전체위험'(total risk) 이다. 체계적 위험(systematic risk)이 아니다.

 

'전체위험'(total risk)의 사용은 해당 포트폴리오가 투자자의 전체 포트폴리오(total portfolio)일 때에만 적절하다.

 

샤프지수는 양의 값을 가질 때, 포트폴리오의 상대적인 우열을 비교할 수 있다.

 

샤프지수의 한계로는,

1) '전체위험'(total risk, )을 기준으로 사용하고 있는데, 체계적 위험(systematic risk)의 값을 측정할 수 있는 전제 상황에서만 유효하다.

 

2) 샤프지수(Sharpe Ratio) 그 값 자체로는 어떤 정보도 주지 못하며, 다른 포트폴리오의 '샤프지수' 값과의 비교를 통해서 상대적인 우열만 비교할 수 있다.

 

 

트레이너지수는 '전체위험'(total risk) 대신에, '베타위험'(beta risk)으로만 '샤프지수'의 그 자리를 대신한 것이다. 즉, 체계적 위험(systematic risk)에 대한 '리스크 프리미엄'(risk premium)을 그 측정 대상으로 하고 있다.  

 

(beta : systematic risk)

 

트레이너지수(Treynor Ratio) 역시 '샤프지수'와 마찬가지의 한계를 지니며, 양의 값을 가질 때만 의미있는 결과를 줄 수 있다. 즉 음(-)의 베타에서는 의미를 주지 못한다.

 

트레이너지수도 포트폴리오의 상대적인 우열만 비교할 수 있을 뿐, 트레이너지수 값 그 자체로는 어떠한 의미도 주지 못한다.

 

샤프지수(Sharpe Ratio), 트레이너지수(Treynor Ratio) 모두 값 그 자체로는 어떤 의미도 주지 못하며, 해당 포트폴리오가 '소극적 시장 포트폴리오'(passive market portfolio) 보다 우수한지 어떤 정보도 주지 못한다.

 

이러한 문제점을 해결하기 위해, 와 같은 측정도구가 도입될 수 있으며, 포트폴리오들의 비교를 통해서, 그 성과의 우열을 측정하고, 위와 같은 문제점을 해결할 수 있다.

 

 


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Comprehensive EPS

is EPS plus(+) OCI per share.

 

* Comprehensive EPS = EPS + OCI per share.

 

- EPS : Earnings per share

- OCI per share : Other Comprehensive Income per share

 

ex) Company X

- price (stock) : $ 10

- EPS : $ 1

- P/E ratio : 10.0X

- Other comprehensive income (loss) $million : $(5.0)

- Shares (millions) : 10

 

then,

- OCI (loss) per share : $(0.5)

- Comprehensive EPS = EPS + OCI per share = $1 + $(0.5) = $0.5

 

 

 


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미국 도매재고, Wholesales Inventories 월간수치가(m/m) 2월 -1.5% 감소하였습니다.  미국 통계국(Census Bureau) 발표


Sales. The U.S. Census Bureau announced today that February 2009 sales of merchant wholesalers, except manufacturers’ sales branches and
offices, after adjustment for seasonal variations and trading-day differences but not for price changes, were $319.7 billion, up 0.6 percent (+/-0.7%)*
from the revised January level and were down 14.3 percent (+/-1.6%) from the February 2008 level. The January preliminary estimate was revised
downward $0.7 billion or 0.2 percent. February sales of durable goods were up 2.0 percent (+/-1.4%) from last month, but were down 14.8 percent
(+/-2.1%) from a year ago. Compared to last month, sales of motor vehicle and motor vehicle parts and supplies were up 3.7 percent, while sales of
metals and minerals, except petroleum, were down 5.6 percent. Sales of nondurable goods were down 0.4 percent (+/-0.7%)* from last month and
were down 13.8 percent (+/-1.6%) from last year. Sales of chemicals and allied products were down 4.6 percent from last month.

Inventories. Total inventories of merchant wholesalers, except manufacturers’ sales branches and offices, after adjustment for seasonal variations
but not for price changes, were $419.3 billion at the end of February, down 1.5 percent (+/-0.4%) from the revised January level, and were down 1.7
percent (+/-0.9%) from a year ago. The January preliminary estimate was revised upward $0.2 billion. End-of-month inventories of durable goods
were down 2.4 percent (+/-0.5%) from last month, but were up 0.7 percent (+/-1.1%)* from last February. Inventories of motor vehicle and motor
vehicle parts and supplies were down 7.9 percent from last month and inventories of furniture and home furnishings were down 3.0 percent. End-ofmonth
inventories of nondurable goods decreased 0.2 percent (+/-0.5%)* from January and were down 5.5 percent (+/-1.9%) compared to last
February. Inventories of farm product raw materials were down 5.4 percent from last month, and inventories of paper and paper products were down
4.8 percent.

Inventories/Sales Ratio. The February inventories/sales ratio for merchant wholesalers, except manufacturers’ sales branches and offices, based
on seasonally adjusted data, was 1.31. The February 2008 ratio was 1.14.
Data in this report are based on a sample and, therefore, are subject to sampling and nonsampling error. A discussion of the reliability of the estimates
and general survey methodology can be found at: <
http://www.census.gov/wholesale/www/how_surveys_are_collected/011340.html>.




자료 : 첨부파일, 출처 : http://www.census.gov/wholesale/index.html



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다음은 US Business Inventories/Sales Ratio : 2000~2009,  미국 기업재고/매출 비율 입니다. (2009년 3월 12일 발표, 현지)



Census Bureau

FOR IMMEDIATE RELEASE

THURSDAY, MARCH 12, 2009, AT 10:00 A.M. EDT


Timothy Winters (Retail): (301) 763-2713                                                                                                                            CB09-35
John Miller (Wholesale): (301) 763-2703
Chris Savage (Manufacturing): (301) 763-4832

MANUFACTURING AND TRADE INVENTORIES AND SALES
January 2009

INTENTION TO REVISE: Revisions to the Wholesale and Retail adjusted and not adjusted monthly estimates for sales and inventories are scheduled for release in March 2009 and April 2009, respectively. Estimates will be revised to reflect the results of the 2007 Annual Wholesale and Annual Retail Trade Surveys. Manufacturing estimates will be revised at a later date. Revisions to the Wholesale data will be reflected in the February 2009 Manufacturing and Trade Inventories and Sales (MTIS) release scheduled for April 14, 2009. Revisions to the Retail data will be reflected in the March 2009 MTIS release scheduled for May 13, 2009.

Sales. The U.S. Census Bureau announced today that the combined value of distributive trade sales and manufacturers’ shipments for January, adjusted for seasonal and trading-day differences but not for price changes, was estimated at $1,004.0 billion, down 1.0 percent (±0.4%) from December 2008 and down 14.0 percent (±0.4%) from January 2008.

Inventories. Manufacturers’ and trade inventories, adjusted for seasonal variations but not for price changes, were estimated at an end-of-month level of $1,440.1 billion, down 1.1 percent (±0.1%) from December 2008 and down 1.5 percent (±0.3%) from January 2008.

Inventories/Sales Ratio. The total business inventories/sales ratio based on seasonally adjusted data at the end of January was 1.43. The January 2008 ratio was 1.25.


The Manufacturing and Trade Inventories and Sales Report for February is scheduled to be released April 14, 2009 at 10:00 a.m. EDT.

For information, visit the Census Bureau’s Web site at <http://www.census.gov/bussales>. This report is also available the day of issue through the Department of Commerce’s STAT-USA (202-482-1986).

* The 90 percent confidence interval includes zero. The Census Bureau does not have sufficient statistical evidence to conclude that the actual change is different from zero.

 

Table 1. Estimated Monthly Sales and Inventories for Manufacturers, Retailers, and Merchant Wholesalers
(In millions of dollars)

See footnotes and notes at the end of Table 3.

(p) Preliminary estimate.
(r) Revised estimate.

 

Table 2. Percent Changes for Sales and Inventories--Manufacturers, Retailers, and Merchant Wholesalers

 

 


Table 3. Estimated Monthly Retail Sales, Inventories, and Inventories/Sales Ratios, By Kind of Business
(In millions of dollars)

(p) Preliminary estimate.
(r) Revised estimate.

1 Inventories are on a non-LIFO basis as of the end of the month.
2 Adjusted for seasonal variations and, in the case of sales, for trading-day differences and holiday variations. Concurrent seasonal adjustment is being used to adjust all sales, shipment, and inventory estimates. Concurrent seasonal adjustment uses all available unadjusted estimates as input to the X-12-ARIMA program. The factors derived from the program are applied to the current and previous month estimates and for retail and wholesale estimates a year ago as well. For retail sales, concurrent seasonal adjustment is also used to adjust the advance estimates (published one month before the preliminary estimates) and the estimates one year before the advance month. This explains the revision to retail estimates from a year ago.
3 Manufacturers sales refer to the value of shipments by manufacturers. The shipments data from individual manufacturers are adjusted prior to tabulation for the number of trading days as well as for any variations in the length of the reporting period.
4 The 2002 North American Industry Classification System (NAICS) defines merchant wholesalers as including manufacturers' sales branches and offices. However, the estimates included in this release exclude manufacturers' sales branches and offices. Note that this is not a change in coverage from prior releases and is consistent with the description used in the Monthly Wholesale Trade Survey data products.

Note: U.S. and group totals include kinds of business not shown. The Manufacturing and Trade Inventory and Sales estimates are based on data from three surveys: the Monthly Retail Trade Survey, the Monthly Wholesale Trade Survey, and the Manufacturers’ Shipments, Inventories, and Orders Survey. The sampling variability for retailers and merchant wholesalers can be used to construct a 90 percent confidence interval for the estimates. Over all possible samples, 90 percent of such intervals will cover the true estimate. These intervals are given in parentheses for the estimates on the front page. If, for example, the estimate is up 0.8 percent and the margin of sampling error is ±1.2 percent, the 90 percent confidence interval is -0.4 percent to +2.0 percent. If the range contains 0, it is uncertain whether there was an increase or decrease. Measures of reliability for Retail and Wholesale sales and inventory levels and changes are included in the detailed monthly press releases for those Industries. Manufacturers do not contribute to estimates of sampling variability because the manufacturer’s mail panel is not a probability sample from a known frame and standard errors of the industry estimates cannot be calculated. Estimates from all three surveys are also subject to nonsampling errors, which can arise in any stage of the survey. Such errors include coverage error (failure to accurately represent all population units in the sample), response errors, coding errors, and nonresponse. Although no direct measurement of these errors has been obtained, precautionary steps were taken in all phases of the collection, processing, and tabulation of the data to minimize their influence.

Horizontal Rule
Source: Retail Indicators Branch, U.S. Census Bureau | Last Revised: March 12, 2009


출처 : http://www.census.gov/mtis/www/mtis_current.html


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