Average Price Ratios
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1 Average Prce Ratos Morgstar Methodology Paper August 3, Morgstar, Ic. All rghts reserved. The formato ths documet s the property of Morgstar, Ic. Reproducto or trascrpto by ay meas, whole or part, wthout the pror wrtte coset of Morgstar, Ic., s prohbted.
2 Cotets Itroducto 3 What Ths Meas For Ivestors 4 Harmoc Weghted Average 5 Frequetly Asked Questos 7 Cocluso 8 Average Prce Ratos August 3, Morgstar, Ic. All rghts reserved. The formato ths documet s the property of Morgstar, Ic. Reproducto or trascrpto by ay meas, whole or part, wthout the pror wrtte coset of Morgstar, Ic., s prohbted. 2
3 Itroducto Ivestors ofte evaluate how reasoable a stock s prce s by lookg at a prce rato, such as prce-to-eargs (P/E), prce-to-book (P/B), prce-to-cash flow (P/C), or prce-to-sales (P/S). Prceto-eargs measures the rato of the most-recet stock prce to 2 moths of eargs-pershare, ad the other ratos follow ths form. Prce ratos are ofte based o tralg-2-moth facal data, but they ca also be forward-lookg. The recprocal of a prce rato s a yeld, whch s obtaed by takg oe dvded by the prce rato. For example, E/P s a eargs yeld. Ths measures the stock s eargs per share as a percetage of the stock prce. A commo yeld measure s dvded yeld, the rato of the dvded per share to the stock prce (D/P). Morgstar s prce rato calculatos for a stock are farly straghtforward, usg the prce from the most-recet moth-ed, fudametal data from facal statemets, ad/or aalysts eargs estmates. Morgstar also calculates average prce ratos for dexes ad vestmet portfolos, such as mutual fuds, varable auty uderlyg fuds, exchage-traded fuds, separate accouts, ad closed-ed fuds. Ths documet explas the methodology for calculatg these average prce ratos. Morgstar dsplays both prce ratos ad yelds over tralg ad forward tme perods our dfferet products. Check the product help fles or product support f t s ot clear whch verso s dsplayed. Average Prce Ratos August 3, Morgstar, Ic. All rghts reserved. The formato ths documet s the property of Morgstar, Ic. Reproducto or trascrpto by ay meas, whole or part, wthout the pror wrtte coset of Morgstar, Ic., s prohbted. 3
4 What Ths Meas For Ivestors Prce ratos gve vestors a dcato of what they are payg for a certa level of eargs, book value, etc. a sgle stock or a portfolo. Ivestors ca compare a vestmet s prce rato over tme, agast a dex, or agast a peer group to evaluate f t s sellg for a far prce. Calculatg a meagful average prce rato for a group of stocks s ot as straghtforward as takg a smple average. Pror to November 30, 2005, Morgstar calculated tralg prce ratos for portfolos usg a arthmetc weghted average (weghted by the market value of each holdg). Whle ths method s commoly used the dustry, ts ma dsadvatage s that outlers ca easly dstort the results. For example, f a fud has equal (25%) postos four stocks wth P/E ratos of 60, 25, 2, ad 6, the arthmetc weghted average s 3, whch s hgher tha 75% of the assets the portfolo. The result s skewed upward by oe stock. Morgstar ow exclusvely uses a harmoc weghted average method for calculatg the average prce rato for a vestmet portfolo. Ths method measures the valuato of the portfolo as a whole, for example, the total prce of the portfolo to the total eargs purchased. For P/E, t s the rato of the portfolo s total market value equtes to ts share of the uderlyg stocks eargs. (For example, f a portfolo ows 500 shares of a stock reportg eargs per share of $2.00, the portfolo s share of those eargs s $,000.) The harmoc average aswers the questo, What s the value ad the eargs of all the stocks bought by the portfolo maager? Ths method evaluates the etre portfolo lke a sgle stock ad t mmzes the mpact of outlers. A descrpto of ths method follows. Average Prce Ratos August 3, Morgstar, Ic. All rghts reserved. The formato ths documet s the property of Morgstar, Ic. Reproducto or trascrpto by ay meas, whole or part, wthout the pror wrtte coset of Morgstar, Ic., s prohbted. 4
5 Harmoc Weghted Average Morgstar calculates the average prce rato for a vestmet portfolo or dex as a harmoc weghted average. For prce-to-eargs, the harmoc average s the rato of the portfolo s total market value to the total eargs of the portfolo: [] where: P E = = = ( P S ( EPS ) S P/E = Prce-to-eargs rato of the portfolo P = Moth-ed closg prce of stock S = Number of shares of stock held the portfolo EPS = Eargs-per-share for stock (over 2 moths, tralg or forward) ) = Number of stocks the portfolo that have prce avalable ad EPS > 0. To calculate the portfolo P/B, P/C, ad P/S, replace EPS equato wth BPS (book value per share), CPS (cash flow per share) ad SPS (sales per share), respectvely. To calculate dvded yeld, substtute DPS (dvded per share) for EPS equato ad take the recprocal of the result. If a stock has a egatve value for the facal varable (EPS, CPS), the stock wll be excluded from the calculato. The prce rato wll oly be calculated f at least 50% of the vestmet portfolo has prce ad postve facal data. ADRs are cluded f coverage s avalable. All fudametal values (prce, eargs-per-share, etc.) are coverted to a sgle commo currecy before performg ths calculato. Ths allows us to aggregate stocks that report facal statemets dfferet curreces. Average Prce Ratos August 3, Morgstar, Ic. All rghts reserved. The formato ths documet s the property of Morgstar, Ic. Reproducto or trascrpto by ay meas, whole or part, wthout the pror wrtte coset of Morgstar, Ic., s prohbted. 5
6 There are two dfferet but equvalet ways to calculate the harmoc average prce rato. The prevous formula (equato ) s equvalet to the recprocal of the weghted average yeld. Because ths approach s based o yelds, t aturally mmzes the fluece of very large prce ratos. [2] P E = ( P S ) = = = ( EPS S ) = EPS ( P w ) where: w = weght of stock the portfolo (market value of stock dvded by the total market value of all portfolo equtes wth avalable eargs yelds) The rght-had sde of the above harmoc equato looks smlar to the arthmetc method; however, the two methods are dstct ad are ot mathematcally equvalet. [3] = Harmoc EPS ( w ) P Arthmetc = P ( EPS w ) Average Prce Ratos August 3, Morgstar, Ic. All rghts reserved. The formato ths documet s the property of Morgstar, Ic. Reproducto or trascrpto by ay meas, whole or part, wthout the pror wrtte coset of Morgstar, Ic., s prohbted. 6
7 Frequetly Asked Questos Morgstar s prce ratos do t match the prce ratos from my fud compay. Why? There s o sgle dustry stadard for calculatg average prce ratos. Some sttutos use the arthmetc weghted average, whle others use the harmoc average, a trmmed mea, a meda by market value, or a meda by cout. Ths meas that Morgstar s data may ot always match the data provded by aother facal sttuto. Msmatches may also occur f the other sttuto s usg stock or portfolo data from a dfferet date tha Morgstar or f oe s tralg ad the other s forward-lookg. Whe dd Morgstar adopt ths approach? Pror to November 30, 2005, Morgstar calculated tralg prce ratos for portfolos wth the arthmetc method ad prospectve prce ratos wth the harmoc method. After that date, Morgstar bega usg the harmoc method exclusvely for ths calculato. Prce ratos for hstorcal portfolos were recalculated wth the harmoc method, usg hstorcal stock data from the portfolo date. Do these prce ratos affect my fud s Morgstar Style Box? No, fud-level prce ratos do ot drectly affect Style Box assgmets for fuds. Morgstar uses stock-level prce ratos ad growth rates to determe a stock s style score, whch determes ts posto alog the horzotal axs of the Style Box. A fud s Style Box s based o a asset-weghted average of the style ad sze scores for the uderlyg stocks. 2 Therefore, the fud s Style Box assgmet wll ot be drectly affected by the fud prce ratos; those are ot used the fud Style Box calculato. Stock Prce Ratos Stock Growth Rates Fud Prce Ratos Stock Style Score Fud Style Score & Style Box Wth the arthmetc method, Morgstar appled the followg caps to stock data to mmze the mpact of outlers: P/E at 60, P/B at 30, P/C at 40 ad P/S at 30. These upper bouds are ot eeded wth the harmoc method. 2 See the documet ettled The Morgstar Style Box Methodology for more detals. Average Prce Ratos August 3, Morgstar, Ic. All rghts reserved. The formato ths documet s the property of Morgstar, Ic. Reproducto or trascrpto by ay meas, whole or part, wthout the pror wrtte coset of Morgstar, Ic., s prohbted. 7
8 Cocluso Ivestors use prce ratos (prce-to-eargs (P/E), prce-to-book (P/B), prce-to-cash flow (P/C), prce-to-sales (P/S), ad dvded yeld (D/P)) to determe f a stock s uder- or over-valued ad to evaluate a portfolo maager s stock choces. Morgstar calculates average prce ratos for dexes ad vestmet portfolos usg the harmoc weghted average. Ths method compares the total market value of the portfolo to the portfolo s share of the uderlyg stocks eargs (or book value, cash flow, sales or dvdeds). Morgstar prefers the harmoc method to a arthmetc weghted average, because outlers ca easly skew the results of the arthmetc method. Aother advatage of the harmoc method s that t evaluates a portfolo lke a sgle stock ad measures ts overall valuato. Average Prce Ratos August 3, Morgstar, Ic. All rghts reserved. The formato ths documet s the property of Morgstar, Ic. Reproducto or trascrpto by ay meas, whole or part, wthout the pror wrtte coset of Morgstar, Ic., s prohbted. 8
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