OREANDA-NEWS. January 11, 2011. PFTS released Equity Index Performance Parameters (daily).

Major characteristics of Equity Index (PFTS Equity)

Parameter

Last

Daily change

Change since month beg.

Change since year beg.

Index Value

1 012.87

0.17%

3.88%

3.88%

Periodic Volatility*

31.5820%

-0.0004%

-0.0662%

-0.0662%

Intraday Volatility

0.0401%

-35.8099%

-35.8099%

-35.8099%

Free Float turnover per day **

0.1396%

-1.5417%

32.3204%

32.3204%

* 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

0.2339

-2.74%

61.0162%

0.48

янв.02

0.0821

AVDK

16.8630

5.25%

42.9171%

0.30

0.7469

0.0724

AZST

mar.75

-0.77%

43.0894%

0.62

1.0718

0.0433

BAVL

0.4028

-0.62%

41.4450%

0.55

0.9695

0.2193

CEEN

15.8555

2.47%

38.8542%

0.74

1.0577

0.0477

DNEN

0.0000

0.00%

47.9585%

0.32

0.8644

0.1899

DOEN

0.0000

0.00%

48.9834%

0.41

0.9901

0.0952

ENMZ

198.2348

-2.12%

46.4213%

0.60

1.1422

0.0658

KVBZ

36.7838

-0.28%

50.6939%

0.10

0.5069

0.5069

MSICH

3 032.2800

-0.91%

48.4378%

0.64

янв.04

0.2517

MZVM

oct.13

0.57%

70.7667%

0.29

янв.65

0.2143

NITR

jul.00

-3.74%

57.9073%

0.11

0.5942

0.1500

PGOK

45.7746

0.47%

81.8894%

0.35

янв.11

0.2179

STIR

0.0000

0.00%

62.2189%

0.09

0.5755

0.0965

SVGZ

sep.94

1.24%

60.0596%

0.43

янв.03

0.3532

UNAF

597.3700

0.57%

54.6482%

0.52

янв.77

0.1364

USCB

0.5693

-1.07%

61.4003%

0.52

янв.85

0.0652

UTLM

0.5515

-1.55%

46.9673%

0.35

0.8758

0.0489

YASK

5.1823

5.68%

71.7839%

0.30

янв.15

0.0656

ZAEN

466.9800

-0.43%

42.4802%

0.47

0.9227

0.0940

Average

 

1.0392

 

* 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

0.1293

1

 

 

 

 

 

 

DJIA

0.1371

0.9845

1

 

 

 

 

 

NASDAQ

0.1551

0.9665

0.9408

1

 

 

 

 

CBOE V

-0.0258

-0.8454

-0.8266

-0.8147

1

 

 

 

FTSE 100

0.0469

0.0657

0.0502

0.0542

-0.0771

1

 

 

DAX

0.0460

-0.0139

-0.0266

-0.0238

0.0403

0.2051

1

 

NIKKEI

0.0606

-0.0069

-0.0089

-0.0325

-0.0088

-0.1344

0.0584

1