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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, Kayne Anderson Energy Total Return Fund's Probability of Financial Distress (%) is 0.00%.
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.
For the Asset Management subindustry, Kayne Anderson Energy Total Return 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.
For the Asset Management industry and Financial Services sector, Kayne Anderson Energy Total Return Fund's Probability of Financial Distress (%) distribution charts can be found below:
* The bar in red indicates where Kayne Anderson Energy Total Return Fund's Probability of Financial Distress (%) falls into.
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 |
= | 0.00 |
The Probability of Financial Distress (%) (PFD) was then obtianed by:
PFD | = | 1 | / | (1 + e^(-LPFD)) | * | 100% |
= | 0.00% |
The eight explanatory variables are:
1. NIMTAAVG = Net Income to Market Total Assets
NIMTAAVG | = | Net Income | / | Market Total Assets |
= | Net Income | / | (Market Cap + Total Liabilities) |
*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
TLMTA | = | Total Liabilities | / | Market Total Assets |
3. CASHMTA = Cash to Market Total Assets
For banks, CASHMTA is measured as:
CASHMTA | = | (Balance Sheet Cash And Cash Equivalents + Money Market Investments) | / | Market Total Assets |
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
MB | = | Market Cap | / | Adjusted Book Equity |
= | Market Cap | / | (Total Stockholders Equity + 0.1 * ( Market Cap - Total Stockholders Equity)) |
8. PRICE
PRICE is measured as the log of the stock price, capped at log(15).
Kayne Anderson Energy Total Return Fund (NYSE:KYE) Probability of Financial Distress (%) Explanation
Like the Altman Z-Score, the PFD measures a company's bankruptcy risk in the upcoming year. 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.
Thank you for viewing the detailed overview of Kayne Anderson Energy Total Return Fund's Probability of Financial Distress (%) provided by GuruFocus.com. Please click on the following links to see related term pages.
Alan Boswell | officer: VICE PRESIDENT | 811 MAIN STREET, 14TH FLOOR, HOUSTON TX 77002 |
United Of Omaha Life Insurance Co | 10 percent owner | MUTUAL OF OMAHA PLZ 3RD FLOOR LAW, ATTN: JAN BROCKMAN, OMAHA NE 68175-1008 |
Mutual Of Omaha Insurance Co | 10 percent owner | 3300 MUTUAL OF OMAHA PLAZA, OMAHA NE 68175 |
Ka Fund Advisors Llc | other: Investment Advisor to Company | 811 MAIN STREET, 14TH FLOOR, HOUSTON TX 77002 |
Logan Ron M Jr | officer: Senior VP | PO BOX 131574, HOUSTON TX 77219 |
Gerald I Isenberg | director | C/O KAYNE ANDERSON CAPITAL ADVISORS, 1800 AVENUE OF THE STARS, SECOND FLOOR, LOS ANGELES CA 90067 |
Shea William H Jr | director | C/O NISKA GAS STORAGE PARTNERS LLC, 170 RADNOR CHESTER ROAD, SUITE 150, RADNOR PA 19087 |
Jody Meraz | officer: Vice President | 717 TEXAS AVENUE, SUITE 3100, HOUSTON TX 77002 |
James C Baker | officer: Vice President | C/O KAYNE ANDERSON CAPITAL ADVISORS, L.P, 1800 AVENUE OF THE STARS, THIRD FLOOR, LOS ANGELES CA 90067 |
Prudential Financial Inc | 10 percent owner | 751 BROAD ST, NEWARK NJ 07102 |
Robert V Sinnott | other: Investment Adviser Affiliate | 1800 AVENUE OF THE STARS, 3RD FLOOR, LOS ANGELES CA 90067 |
Reliastar Life Insurance Co Of New York | other: See Explanation Below | 1475 DUNWOODY DRIVE, SUITE 400, WEST CHESTER PA 19380-1478 |
Metropolitan Life Insurance Co/ny | 10 percent owner | 200 PARK AVENUE, NEW YORK NY 10166 |
David J Shladovsky | officer: Secretary, other: Investment Adv. Gen. Counsel | C/O KAYNE ANDERSON CAPITAL ADVISORS LP, 1800 AVENUE OF THE STARS, LOS ANGELES CA 90067 |
Terry A Hart | officer: Treasurer and CFO | 1000 LOUISIANA STREET SUITE 5800, HOUSTON TX 77002 |
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