2008 to 2012

This section contains risk vs. reward information for the following time period:

Start date: Janaury 1, 2008

End date: December 31, 2012

Number of trading days: 1,226

Risk-free rate: 4.15%

 

Guide to understanding the column headers:

“Annual Returns” : Index simple arithmetic average of daily return (% per year)

“Beta” : Regression beta using daily returns vs. PSEi

“MRP” : Market risk premium (% per year)

“CAPM” : Cost of equity (% per year) estimated using the Capital Asset Pricing Model (CAPM)

“Ann Std Dev” : Annualized standard deviation estimated by multiplying the daily standard deviation with the square root of 252 trading days per year.

“Ann Daily Ret” : Annualized daily returns estimated by multiplying the daily returns with 252 trading days per year.

“Ann CV” : Coefficient of variation estimated using “Ann Std Dev” and “Ann Daily Ret” as inputs.

“Correlation” : Correlation of the sub-sector or stock vs. the main PSE Index.

 

The six (6) sub-sector indices are:

“FIN” : Financials

“HOLF” : Holding Firms

“INDS” : Industrials

“M&O” : Mining and Oil

“PROP” : Property Developers

“SERV” : Services

“ALLSH” : All Shares

 

For a complete list of the listed companies and their corresponding ticker codes, go to the website of the Philippine Stock Exchange at www.pse.com.ph

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