What is Eaton Vance Durationome Fund Probability of Financial Distress (%)?
Probability of Financial Distress (%) measures the probability that a company will go bankrupt in the upcoming year given its current financial position. A higher ratio indicates a larger probability of bankruptcy for the company, while a lower ratio indicates a healthier fundamental. As of today, Eaton Vance Durationome Fund's Probability of Financial Distress (%) is 0.06%.
Like the Altman Z-Score, the PFD measures a company's bankruptcy risk. However, the main drawback of the Z-score is it does not apply to banks and insurance companies. According to Investopedia, the concept of "working capital" does not apply to banks and insurance companies, as financial institutions do not have typical current assets or current liabilities like inventories or accounts payable.
Competitive Comparison of Eaton Vance Durationome Fund's Probability of Financial Distress (%)
For the Asset Management subindustry, Eaton Vance Durationome Fund's Probability of Financial Distress (%), along with its competitors' market caps and Probability of Financial Distress (%) data, can be viewed below:
* Competitive companies are chosen from companies within the same industry, with headquarter located in same country, with closest market capitalization; x-axis shows the market cap, and y-axis shows the term value; the bigger the dot, the larger the market cap. Note that "N/A" values will not show up in the chart.
Eaton Vance Durationome Fund's Probability of Financial Distress (%) Distribution in the Asset Management Industry
For the Asset Management industry and Financial Services sector, Eaton Vance Durationome Fund's Probability of Financial Distress (%) distribution charts can be found below:
* The bar in red indicates where Eaton Vance Durationome Fund's Probability of Financial Distress (%) falls into.
Eaton Vance Durationome Fund Probability of Financial Distress (%) Calculation
Probability of Financial Distress (%) (PFD) was developed by John Campbell, Jens Hilscher and Jan Szilagyi in their Search of Distress Risk. It measures the probability that a company will go bankrupt within the next 12 months given its current financial position.
The Probability of Financial Distress (%) was obtained by a logit probability model based on eight explanatory variables. The logit formula to compute the probability of financial distress (LPFD) is given below:
| LPFD | = | -20.12 * NIMTAAVG | + | 1.60 * TLMTA | - | 7.88 * EXRETAVG | + | 1.55 * SIGMA | - | 0.005 * RSIZE | - | 2.27 * CASHMTA | + | 0.070 * MB | - | 0.09 * PRICE | - | 8.87 |
| = | -7.38 |
The Probability of Financial Distress (%) (PFD) was then obtianed by:
| PFD | = | 1 | / | (1 + e^(-LPFD)) | * | 100% |
| = | 0.06% |
The eight explanatory variables are:
1. NIMTAAVG = Net Income to Market Total Assets
*Note that for companies reported quarterly, geometrically declining weighted quarterly Net Income data in latest four quarters are used.
2. TLMTA = Total liabilities to Market Total Assets
3. CASHMTA = Cash to Market Total Assets
For banks, CASHMTA is measured as:
4. EXRETAVG = Excess Return compared to the S&P 500
EXRETAVG is the weighted excess return compared to the S&P 500 in past 12 month. Geometrically declining weights are imposed on the monthly excess return to reflect lagged information. The weight is halved each quarter.
5. SIGMA = Standard Deviation of Daily Returns
For sigma, we use the annualized standard deviation of a company's returns over the past 92 days (or 63 trading days).
6. RSIZE = Relative Size
| RSIZE | = | log (Market Cap | / | Total Market Cap of S&P 500 companies) |
7. MB = Market to Adjusted Book Equity Ratio
8. PRICE
PRICE is measured as the log of the stock price, capped at log(15).
Eaton Vance Durationome Fund (Eaton Vance Durationome Fund) Business Description
Traded in Other Exchanges
N/A
Address
Two International Place, Boston, MA, USA, 02110
Eaton Vance Ltd Duration Income Fund is a diversified closed-end management investment company. The company's investment objective is to provide a high level of current income. The Fund may, as a secondary objective, also seek capital appreciation. The Fund invests primarily in Senior Floating-Rate Loans, Debt Obligations, Equity Securities, Derivatives as well as Foreign Securities and Currencies. The Fund invests in various industries, including aerospace and defense, automotive, building and development, healthcare, leisure amongst others.
Executives
| Kenneth A Topping |
officer: President |
TWO INTERNATIONAL PLACE, BOSTON MA 02110 |
| Tara O'brien |
other: Portfolio Manager |
TWO INTERNATIONAL PLACE, BOSTON MA 02110 |
| Anchal Pachnanda |
officer: Officer |
TWO INTERNATIONAL PLACE, BOSTON MA 02110 |
| S Donald Sussman |
10 percent owner |
888 EAST LAS OLAS BLVD, SUITE 710, FORT LAUDERDALE FL 33301 |
| Paloma International L P |
10 percent owner |
TWO AMERICAN LANE, GREENWICH CT 06836 |
| Paloma Partners Management Co |
10 percent owner |
TWO AMERICAN LANE, GREENWICH CT 06836 |
| Paloma Partners Advisors, Inc. |
10 percent owner |
888 EAST LAS OLAS BLVD., SUITE 710, FORT LAUDERDALE FL 33301 |
| Sunrise Partners Limited Partnership |
10 percent owner |
TWO AMERICAN LANE, GREENWICH CT 06836-2571 |
| Paloma Partners Advisors Lp |
10 percent owner |
888 E. LAS OLAS BLVD. SUITE 710, FORT LAUDERDALE FL 33301 |
| Gregory S. Hayt |
10 percent owner |
2 AMERICAN LANE, GREENWICH CT 06836 |
| Alan C. Bowser |
other: Trustee |
TWO INTERNATIONAL PLACE, BOSTON MA 02110 |
| Nicholas Dilorenzo |
officer: Secretary |
TWO INTERNATIONAL PLACE, BOSTON MA 02110 |
| Keith Quinton |
other: Trustee |
TWO INTERNATIONAL PLACE, BOSTON MA 02110 |
| Nancy A Wiser |
other: Trustee |
WELLS FARGO FUNDS MANAGEMENT, 200 BERKELEY STREET, 19TH FLOOR, BOSTON MA 02116 |
| Jill Damon |
officer: Secretary |
TWO INTERNATIONAL PLACE, BOSTON MA 02110 |
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