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Calculate Return on Capital
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TOPIC: Calculate Return on Capital

Re: Calculate Return on Capital 1 week ago #2675

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I tried the bracket change and that had no impact. The multiplication is function takes care of that automatically.
Steve

Re: Calculate Return on Capital 1 week ago #2676

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Thanks for the input from you both.

I did try the brackets but as expected that did not change the result (multiplication function handles that).

I did manage to find the BB definitions for RETURN_ON_CAP (It's a bit fiddly, and also answers the question regards FY numbers or TTM) As follows:

Metric that measures the return that an investment generates for capital contributors, in percentage. It indicates how effective a company is turning capital into profits.

INDUSTRIALS & UTILITIES
Calculated as:
((T12 Net Income (Losses) + T12 Minority Interest + T12 Interest Expense * (1 – (T12 Effective Tax Rate / 100))) / Average of Total Capital) * 100
Where:
Trailing 12 M Net Income is RR813, TRAIL_12M_NET_INC
Trailing 12M Minority Interest is RR812, TRAIL_12M_MINORITY_INT
Trailing 12M Interest Expense is RR804, TRAIL_12M_INT_EXP
Trailing 12M Effective Tax Rate is RR712, TRAIL_12M_EFF_TAX_RT
Total Capital is RR006, BS_TOT_CAP
Average is the average of the beginning and ending balances. Trailing 12 month values use the latest 4 quarters, 2 semi annuals or annual.
Return on Capital is not computed if the Effective Tax Rate is negative or Interest Expense (IS034, IS_INT_EXPENSE) is not available.

BANKS, FINANCIALS & REITS
Calculated as:
((T12 Net Income (Losses) + T12 Minority Interest) / Average of Total Capital) * 100 Where:
Trailing 12 M Net Income is RR813, TRAIL_12M_NET_INC
Trailing 12M Minority Interest is RR812, TRAIL_12M_MINORITY_INT
Trailing 12M Effective Tax Rate is RR712, TRAIL_12M_EFF_TAX_RTTotal Capital is RR006, BS_TOT_CAP
Average is the average of the beginning and ending balances. Trailing 12 month values use the latest 4 quarters, 2 semi annuals or annual.
Return on Capital is not computed if the Effective Tax Rate is negative

INSURANCE (they had another calc for insurance but I'm happy to leave that same as finance above)


If the above 2 functions are feasible in Screener.co, I will look to try set them up, I have already played with a conditional advance variable that could handle the 2. Just not sure of the exact Screener variables to use.

Is anyone able to help with what the equivalent fields in Screener.co would be to create the above functions?

If it all looks 'too hard' then I might just go with the approach of:

ROC = EBIT(TTM) / ( Total Assets(A) - Total Current Liabilities(A) ) ---where Total Current Liabilities is not Null
Else
EBIT(TTM) / (Shareholder Equity-most recent fiscal year + Long Term Debt(A))--- Curr Liabilities Null for Finance Entities

And tweak my selecton parameters for the changeover between Bloomberg ROC and SCreener ROC.

Thanks in advance
Steve

Re: Calculate Return on Capital 6 days, 22 hours ago #2677

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We do not break out minority interest as its own line item, so you would not be able to precisely replicate the Bloomberg variable for companies that have minority interest. How do they calculate "total capital" (BS_TOTAL_CAP)? The (A) variables you are using are for the most recent fiscal year, not the trailing twelve month period.

Do all of the markets you are screening report quarterly? That would make the TTM formulas a lot easier because they would always be the last four interim periods.

It is a bit confusing that interest expense is included for non-financials but not for financials. Also, is the tax rate variable used for financials? It is listed but not included in the formula. It might be easier to have two separate variables rather than a conditional.

Re: Calculate Return on Capital 6 days, 16 hours ago #2678

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Hi

Thanks for you reply. Not too sure about the Total Cap calc nor the questions around int rates and tax rates. As you may have noticed, I'm not much of a finance person, more into the algorithm programming side (sorry for all the dumb questions).

The stocks all report biannually, so the TTM variables make most sense.

I think I will just go with the simplified ratios using the EBIT TTM as I noted above.

Is there a reason why you suggest using 2 variables rather than conditional? I have set-up the following and it's working fine (for context, my stock universe is only ~250 stocks):

if(acurliab is null, (ttmebit*100*1000000)/(longtermdebta+atotse), (ttmebit*100)/(ata-acurliab))

I am a little pressed to keep to the limit of 10 variables per view so would rather not "waste" another variable by having 2 for ROC.
Steve

Re: Calculate Return on Capital 6 days, 12 hours ago #2679

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You can use one variable if you prefer; it just makes the formula longer.

Your EBIT is TTM but you are using other variables from the end of the most recent fiscal year. You may be better served by using the most recent interim variables instead (they can be more recent, and would reflect the end of the TTM period).
The following user(s) said Thank You: Pottz

Re: Calculate Return on Capital 6 days, 11 hours ago #2680

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Great - thanks for the tip. Is there a data dictionary somewhere to help finding specific fields?
Steve
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