What is BrightSphere Investment Group 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, BrightSphere Investment Group's Probability of Financial Distress (%) is 0.05%.
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 BrightSphere Investment Group's Probability of Financial Distress (%)
For the Asset Management subindustry, BrightSphere Investment Group'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.
BrightSphere Investment Group's Probability of Financial Distress (%) Distribution in the Asset Management Industry
For the Asset Management industry and Financial Services sector, BrightSphere Investment Group's Probability of Financial Distress (%) distribution charts can be found below:
* The bar in red indicates where BrightSphere Investment Group's Probability of Financial Distress (%) falls into.
BrightSphere Investment Group 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 |
| = | -7.68 |
The Probability of Financial Distress (%) (PFD) was then obtianed by:
| PFD | = | 1 | / | (1 + e^(-LPFD)) | * | 100% |
| = | 0.05% |
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 non-financial companies, 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).
BrightSphere Investment Group (BrightSphere Investment Group) Business Description
Traded in Other Exchanges
Address
200 State Street, 13th Floor, Boston, MA, USA, 02109
BrightSphere Investment Group Inc is a diversified, multi-boutique asset management company. The company's diverse affiliates offer alpha-generating investment products to investors around the world. Its reportable segment includes Quant and Solutions, which comprises of versatile, tailored strategies that leverage data and technology in a computational, factor-based investment process across a range of asset classes in developed and emerging markets, including non-U.S. and small-cap equities, as well as managed volatility, ESG, multi-asset, equity alternatives, and long/short strategies.. Its affiliates offer products in the U.S, international and emerging markets equities; U.S. fixed income; and alternative investments, including timber and secondary Funds.
Executives
| Richard Jonathan Hart |
officer: Chief Legal Officer |
200 CLARENDON STREET, 53RD FLOOR, BOSTON MA 02116 |
| Christina Wiater |
officer: Principal Accounting Officer |
200 CLARENDON STREET, 53RD FLOOR, BOSTON MA 02116 |
| Suren Rana |
director, officer: President and CEO |
245 PARK AVENUE, 40TH FLOOR, NEW YORK NY 10167 |
| Paulson & Co. Inc. |
10 percent owner |
1133 AVENUE OF THE AMERICAS, 33RD FLOOR, NEW YORK NY 10036 |
| John Paulson |
director, 10 percent owner |
1133 AVENUE OF THE AMERICAS, 33RD FLOOR, NEW YORK NY 10036 |
| Daniel K. Mahoney |
officer: Head of Finance/PAO |
C/O OLD MUTUAL ASSET MANAGEMENT, 200 CLARENDON STREET, BOSTON MA 02116 |
| Guang Yang |
director, officer: President and CEO |
850 THIRD AVENUE, 16TH FLOOR, NEW YORK NY 10022 |
| Robert J Chersi |
director |
C/O OMAM INC, 200 CLARENDON STREET, 53RD FLOOR, BOSTON MA 02116 |
| Maliz E Beams |
director |
C/O PORT FINANCIAL CORP, 1380 SOLDIERS FIELD RD, BRIGHTON MA 02135 |
| Barbara Trebbi |
director |
C/O OMAM INC., 200 CLARENDON STREET, 53RD FLOOR, BOSTON MA 02116 |
| Reginald Love |
director |
C/O BRIGHTSPHERE INC., 200 CLARENDON STREET, BOSTON MA 02116 |
| Andrew D Kim |
director |
1133 AVENUE OF THE AMERICAS, 33RD FLOOR, NEW YORK NY 10036 |
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