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, MFS Municipalome Trust's Probability of Financial Distress (%) is 0.03%.
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
For the Asset Management subindustry, MFS Municipalome Trust'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.
MFS Municipalome Trust Probability of Financial Distress (%) Distribution
For the Asset Management industry and Financial Services sector, MFS Municipalome Trust's Probability of Financial Distress (%) distribution charts can be found below:
* The bar in red indicates where MFS Municipalome Trust's Probability of Financial Distress (%) falls into.
MFS Municipalome Trust 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 |
| = | -8.11 |
The Probability of Financial Distress (%) (PFD) was then obtianed by:
| PFD | = | 1 | / | (1 + e^(-LPFD)) | * | 100% |
| = | 0.03% |
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).
MFS Municipalome Trust (MFS Municipalome Trust) Business Description
Traded in Other Exchanges
N/A
Address
111 Huntington Avenue, Boston, MA, USA, 02199
MFS Municipal Income Trust is a diversified closed-end management investment company. Its investment objective is to seek high current income exempt from federal income tax, but may also consider capital appreciation. The fund invests a majority of its net assets, including assets attributable to preferred shares and borrowings for investment purposes, in municipal bonds.
Executives
| Linda Dougherty |
other: OFFICER OF ADVISOR |
111 HUNTINGTON AVENUE, BOSTON MA 02199 |
| Rosa Licea-mailloux |
other: CHIEF COMPLIANCE OFFICER |
111 HUNTINGTON AVENUE, BOSTON MA 02199 |
| Michael L Dawson |
other: PORTFOLIO MANAGER |
500 BOYLSTON STREET, BOSTON MA 02116 |
| Robert J Manning |
director |
1201 THIRD AVE, STE 4900, SEATTLE WA 98101 |
| Jpmorgan Chase Bank, N.a. |
10 percent owner |
1111 POLARIS PARKWAY, COLUMBUS OH 43240 |
| Manjit Singh |
director |
111 HUNTINGTON AVENUE, BOSTON MA 02072 |
| Jason Kosty |
other: PORTFOLIO MANAGER |
111 HUNTINGTON AVENUE, BOSTON MA 02199 |
| Jacques Jr Goulet |
other: ADVISOR TO OFFICER |
111 HUNTINGTON AVENUE, BOSTON MA 02199 |
| Melissa Kennedy |
other: OFFICER OF ADVISOR |
111 HUNTINGTON AVENUE, BOSTON MA 02199 |
| James W. Kilman |
director |
111 HUNTINGTON AVENUE, BOSTON MA 02199 |
| Edward M. Maloney |
officer: Officer of Advisor |
111 HUNTINGTON AVENUE, BOSTON MA 02199 |
| Peter Darrell Jones |
director |
111 HUNTINGTON AVENUE, BOSTON MA 02199 |
| Carol W. Geremia |
officer: PRESIDENT |
111 HUNTINGTON AVENUE, BOSTON MA 02199 |
| Kevin D Strain |
other: Officer of Advisor |
MFS INVESTMENT MANAGEMENT, 111 HUNTINGTON AVENUE, BOSTON MA 02199 |
| Clarence Jr Otis |
director |
1095 AVENUE OF THE AMERICAS, NEW YORK NY 10036 |
MFS Municipalome Trust (MFS Municipalome Trust) Headlines
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