UBS Group AG Beneish M-Score Calculation
The M-score was created by Professor Messod Beneish. Instead of measuring the bankruptcy risk (Altman Z-Score) or business trend (Piotroski F-Score), M-score can be used to detect the risk of earnings manipulation. This is the original research paper on M-score.
The M-Score Variables:
The M-score of UBS Group AG for today is based on a combination of the following eight different indices:
| M | = | -4.84 | + | 0.92 * DSRI | + | 0.528 * GMI | + | 0.404 * AQI | + | 0.892 * SGI | + | 0.115 * DEPI |
| = | -4.84 | + | 0.92 * 1.2647 | + | 0.528 * 1 | + | 0.404 * 0.9673 | + | 0.892 * 2.6081 | + | 0.115 * 0.7802 |
| - | 0.172 * SGAI | + | 4.679 * TATA | - | 0.327 * LVGI |
| - | 0.172 * 1.1265 | + | 4.679 * -0.036947 | - | 0.327 * 1.0888 |
| = | -1.06 |
* For Operating Data section: All numbers are indicated by the unit behind each term and all currency related amount are in USD.
* For other sections: All numbers are in millions except for per share data, ratio, and percentage. All currency related amount are indicated in the company's associated stock exchange currency.
| This Year (Dec23) TTM: | Last Year (Dec22) TTM: |
Total Receivables was ARS12,956,290 Mil.
Revenue was 3760537.003 + 3757413.254 + 2289839.982 + 1727377.24 = ARS11,535,167 Mil.
Gross Profit was 3760537.003 + 3757413.254 + 2289839.982 + 1727377.24 = ARS11,535,167 Mil.
Total Current Assets was ARS128,275,935 Mil.
Total Assets was ARS619,925,807 Mil.
Property, Plant and Equipment(Net PPE) was ARS6,443,489 Mil.
Depreciation, Depletion and Amortization(DDA) was ARS1,152,655 Mil.
Selling, General, & Admin. Expense(SGA) was ARS8,483,275 Mil.
Total Current Liabilities was ARS48,798,536 Mil.
Long-Term Debt & Capital Lease Obligation was ARS122,434,955 Mil.
Net Income was -100719 + -274710.758 + 6929999.945 + 203278.955 = ARS6,757,849 Mil.
Non Operating Income was 0 + 0 + 0 + 0 = ARS0 Mil.
Cash Flow from Operations was 13695257.012 + 10661576.994 + 10265039.918 + -4959690.415 = ARS29,662,184 Mil.
|
Total Receivables was ARS3,928,039 Mil.
Revenue was 1339188.163 + 1105486.184 + 970702.123 + 1007364.617 = ARS4,422,741 Mil.
Gross Profit was 1339188.163 + 1105486.184 + 970702.123 + 1007364.617 = ARS4,422,741 Mil.
Total Current Assets was ARS33,277,518 Mil.
Total Assets was ARS185,146,619 Mil.
Property, Plant and Equipment(Net PPE) was ARS2,060,083 Mil.
Depreciation, Depletion and Amortization(DDA) was ARS276,644 Mil.
Selling, General, & Admin. Expense(SGA) was ARS2,887,326 Mil.
Total Current Liabilities was ARS19,542,792 Mil.
Long-Term Debt & Capital Lease Obligation was ARS27,427,539 Mil.
|
1. DSRI = Days Sales in Receivables Index
Measured as the ratio of Revenue in Total Receivables in year t to year t-1.
A large increase in DSR could be indicative of revenue inflation.
| DSRI | = | (Receivables_t / Revenue_t) | / | (Receivables_t-1 / Revenue_t-1) |
| = | (12956290.012 / 11535167.479) | / | (3928039.391 / 4422741.087) |
| = | 1.123199 | / | 0.888146 |
| | = | 1.2647 |
2. GMI = Gross Margin Index
Measured as the ratio of gross margin in year t-1 to gross margin in year t.
Gross margin has deteriorated when this index is above 1. A firm with poorer prospects is more likely to manipulate earnings.
| GMI | = | GrossMargin_t-1 | / | GrossMargin_t |
| = | (GrossProfit_t-1 / Revenue_t-1) | / | (GrossProfit_t / Revenue_t) |
| = | (4422741.087 / 4422741.087) | / | (11535167.479 / 11535167.479) |
| = | 1 | / | 1 |
| | = | 1 |
3. AQI = Asset Quality Index
AQI is the ratio of asset quality in year t to year t-1.
Asset quality is measured as the ratio of non-current assets other than Property, Plant and Equipment to Total Assets.
| AQI | = | (1 - (CurrentAssets_t + PPE_t) / TotalAssets_t) | / | (1 - (CurrentAssets_t-1 + PPE_t-1) / TotalAssets_t-1) |
| = | (1 - (128275935.116 + 6443489.006) / 619925806.558) | / | (1 - (33277518.179 + 2060083.143) / 185146619.477) |
| = | 0.782685 | / | 0.809137 |
| | = | 0.9673 |
4. SGI = Sales Growth Index
Ratio of Revenue in year t to sales in year t-1.
Sales growth is not itself a measure of manipulation. However, growth companies are likely to find themselves under pressure to manipulate in order to keep up appearances.
| SGI | = | Sales_t | / | Sales_t-1 |
| = | Revenue_t | / | Revenue_t-1 |
| = | 11535167.479 | / | 4422741.087 |
| | = | 2.6081 |
5. DEPI = Depreciation Index
Measured as the ratio of the rate of Depreciation, Depletion and Amortization in year t-1 to the corresponding rate in year t.
DEPI greater than 1 indicates that assets are being depreciated at a slower rate. This suggests that the firm might be revising useful asset life assumptions upwards, or adopting a new method that is income friendly.
| DEPI | = | (Depreciation_t-1 / (Depreciaton_t-1 + PPE_t-1)) | / | (Depreciation_t / (Depreciaton_t + PPE_t)) |
| = | (276644.447 / (276644.447 + 2060083.143)) | / | (1152655.259 / (1152655.259 + 6443489.006)) |
| = | 0.11839 | / | 0.151742 |
| | = | 0.7802 |
Note: If the Depreciation, Depletion and Amortization data is not available, we assume that the depreciation rate is constant and set the Depreciation Index to 1.
6. SGAI = Sales, General and Administrative expenses Index
The ratio of Selling, General, & Admin. Expense(SGA) to Sales in year t relative to year t-1.
SGA expenses index > 1 means that the company is becoming less efficient in generate sales.
| SGAI | = | (SGA_t / Sales_t) | / | (SGA_t-1 /Sales_t-1) |
| = | (8483274.691 / 11535167.479) | / | (2887326.188 / 4422741.087) |
| = | 0.735427 | / | 0.652836 |
| | = | 1.1265 |
7. LVGI = Leverage Index
The ratio of total debt to Total Assets in year t relative to yeat t-1.
An LVGI > 1 indicates an increase in leverage
| LVGI | = | ((LTD_t + CurrentLiabilities_t) / TotalAssets_t) | / | ((LTD_t-1 + CurrentLiabilities_t-1) / TotalAssets_t-1) |
| = | ((122434955.11 + 48798536.044) / 619925806.558) | / | ((27427539.241 + 19542792.309) / 185146619.477) |
| = | 0.276216 | / | 0.253693 |
| | = | 1.0888 |
8. TATA = Total Accruals to Total Assets
Total accruals calculated as the change in working capital accounts other than cash less depreciation.
| TATA | = | (IncomefromContinuingOperations_t | - | CashFlowsfromOperations_t) | / | TotalAssets_t |
| = | (NetIncome_t - NonOperatingIncome_t | - | CashFlowsfromOperations_t) | / | TotalAssets_t |
| = | (6757849.142 - 0 | - | 29662183.509) | / | 619925806.558 |
| | = | -0.036947 |
An M-Score of equal or less than -1.78 suggests that the company is unlikely to be a manipulator. An M-Score of greater than -1.78 signals that the company is likely to be a manipulator.
UBS Group AG has a M-score of -1.06 signals that the company is likely to be a manipulator.
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