What is the z-score of an investment trust?
Investment trust Z-score. The Z-score (not to be confused with Altman's Z-score used to predict company bankruptcy risk) compares the current discount or premium with the average discount or premium over a specified time period.
If you are prepared to pay for a service, try Sharepad. They state on their website they provide information on investment trusts and a screenshot of a specific trust trust does show rolling z-scores over different time periods.
A Z-Score is a statistical measurement of a score's relationship to the mean in a group of scores. A Z-score can reveal to a trader if a value is typical for a specified data set or if it is atypical. In general, a Z-score of -3.0 to 3.0 suggests that a stock is trading within three standard deviations of its mean.
What Is a Good Z-Score? 0 is used as the mean and indicates average Z-scores. Any positive Z-score is a good, standard score. However, a larger Z-score of around 3 shows strong financial stability and would be considered above the standard score.
In simple terms, the z-score illustrates whether a fund is trading above (positive) or below (negative) its average valuation over a specific period and the magnitude of that deviation represented by the current premium or discount.
The formula for Altman Z-Score is 1.2*(working capital / total assets) + 1.4*(retained earnings / total assets) + 3.3*(earnings before interest and tax / total assets) + 0.6*(market value of equity / total liabilities) + 1.0*(sales / total assets).
- A Z-Score is a metric that measures the potential bankruptcy or insolvency of a company. ...
- The Z-score is found by subtracting the mean from the total score and then dividing that by the standard deviation. ...
- Z–score = Score−Mean / Standard Deviation.
- A good Z-score for a company is anything above 3.
S&P Global's operated at median altman z-score of 10.5 from fiscal years ending December 2019 to 2023. Looking back at the last 5 years, S&P Global's altman z-score peaked in December 2021 at 12.1. S&P Global's altman z-score hit its 5-year low in December 2022 of 8.5.
A z-score describes the position of a raw score in terms of its distance from the mean when measured in standard deviation units. The z-score is positive if the value lies above the mean and negative if it lies below the mean.
What Is a Z-Table? A z-table, or standard normal table, tells the percentage of values that are less than a given z-score. This percentage also represents the probability of a value falling within the area to the left of a z-score in a standard normal distribution.
Does a Z score of 2.5 mean?
z score of 2.5 means the actual test score is 2.5 standard deviations above the mean, or 79 + 2.5 * 6 = 94.
A high z -score means a very low probability of data above this z -score. For example, the figure below shows the probability of z -score above 2.6 . Probability for this is 0.47% , which is less than half-percent. Note that if z -score rises further, area under the curve fall and probability reduces further.
Z-scores generally range from -3 standard deviations (which would fall to the far left of the normal distribution curve) up to +3 standard deviations (which would fall to the far right of the normal distribution curve).
Z-score compares the buffer of a country's commercial banking system (capitalization and returns) with the volatility of those returns. It captures the probability of default of a country's banking system.
Under the final amendments, when a fund employs a derivatives strategy, the fund will generally be required to use the notional value to determine if 80% of its funds are invested in accordance with the focus its name suggests.
| Input | Financial Ratio | 2000 |
|---|---|---|
| X1 | Working capital/ Total Assets | -0.08 |
| X2 | Retained earnings/Total Assets | 0.03 |
| X3 | EBIT/Total Assets | 0.08 |
| X4 | Market Value/Total Liabilities | 1.20 |
Z-scores are measured in standard deviation units.
For example, a Z-score of 1.2 shows that your observed value is 1.2 standard deviations from the mean. A Z-score of 2.5 means your observed value is 2.5 standard deviations from the mean and so on.
For reference, below are the formulas for some of the other more common model variations: Private Manufacturing Companies → Z-Score = 0.717 × X1 + 0.847 × X2 + 3.107 × X3 + 0.42 × X4 + 0.998 × X5. Private General Non-Manufacturing Services Companies → Z-Score = 6.56 × X1 + 3.26 × X2 + 6.72 × X3 + 1.05 × X4.
Moody's has a Altman Z-Score of 6.18, indicating it is in Safe Zones. This implies the Altman Z-Score is strong. The zones of discrimination were as such: When Altman Z-Score <= 1.8, it is in Distress Zones.
The S&P 500 has a beta of 1.0. Stocks with betas above 1 will tend to move with more momentum than the S&P 500; stocks with betas less than 1 with less momentum.
What is the top 15% Z-score?
Consequently, the z-score that marks off the top 15% of the area under the standard normal curve is approximately 1.04.
Z-score indicates how much a given value differs from the standard deviation. The Z-score, or standard score, is the number of standard deviations a given data point lies above or below mean. Standard deviation is essentially a reflection of the amount of variability within a given data set.
The standard score (more commonly referred to as a z-score) is a very useful statistic because it (a) allows us to calculate the probability of a score occurring within our normal distribution and (b) enables us to compare two scores that are from different normal distributions.
A Standard Normal Distribution is a special type of normal distribution that has a fixed mean of 0, and a standard deviation of 1. The horizontal axis on the Standard Normal Distribution is called the Z-axis, and values along this axis are called Z-scores.
If the number of elements in the set is large, about 68% of the elements have a z-score between -1 and 1; about 95% have a z-score between -2 and 2 and about 99% have a z-score between -3 and 3.
