This section contains some basic risk vs. reward analytical information about each stock, including the following:
a) Annualized daily returns (estimated using “years” instead of “252 trading days”) of the PSE Index, the six sub-sector indices, and each individual stock.
b) Annual risk-free rate as represented by the 10-year PHP-denominated Philippine Treasury Bond as of the cut-off date for the period.
c) Regression beta of each sub-sector index and stock estimated using a simple linear regression against the main PSE Index. By definition, the PSE Index has a regression beta of 1.00.
d) Estimated annual market risk premium calculated as follows: (a) less (b).
e) Estimated cost of equity for each sub-sector index and stock calculated using the Capital Asset Pricing Model (CAPM).
f) Annualized standard deviation (using “square root of 252 trading days”) of the PSE Index, the six sub-sector indices, and each individual stock.
g) Annualized daily returns (using “square root of 252 trading days”) of the PSE Index, the six sub-sector indices, and each individual stock.
h) Coefficient of variation using (f) and (g).
i) Correlation of each sub-sector index and stock vs. the main PSE Index. By definition, the PSE Index has a correlation of 1.00.
These metrics are estimated for two time periods, with each time period covering five (5) years:
a) January 1, 2008 to December 31, 2012
b) January 1, 2013 to December 31, 2017
These two time periods represent the five years before and after the Philippines obtained investment-grade ratings from S&P, Moody’s, and Fitch Ratings in early 2013.
