MISC / TIME SERIES IDs
#SPEPSCNY
Full Description

#SPEPSCY: SP500 Current Year EPS Estimate
#SPEPSNY: SP500 Next Year EPS Estimate
#SPEPSCNY: SP500 Blended Current and Next Year EPS Estimate
#SPEPSQ: SP500 EPS Blended Estimate of two past and two future quarters
#SPEPSTTM: SP500 EPS for the trailing twelve months
#SPEPSTTM: SP500 EPS for the trailing twelve months
#SPYIELD: SP500 Estimated Yield (SP500 curr year estimates) / (SP500 price)
#SPRP: Risk Premium (SP500 Estimated Yield) - (10Y T-Note Yield)

Usage

You can use these IDs in functions that have a series parameter. For example to retrieve the latest value for the 3 month T-Bill you can use the Close(bars,series) functions and enter either:

Close(0,##UST3MO)

or

Close(0,GetSeries("##UST3MO"))

Formulas

For the formulas below "Sum" represents a sum for each stock in the SP500. NA's are accounted for with and adjustment factor (which is not shown for simplicity).

#SPEPSCY: Calculated using the Current Year Consensus Estimates for the S&P500 stocks

num = Sum { CurFYEPSMean (i) * Shares (i) }
den = Sum { MktCap (i) }

#SPEPSCY = ( S&P500 Close * (num/dem) )

#SPEPSNY: Calculated using the Next Year Consensus Estimates for the S&P500 stocks

num = Sum { NextFYEPSMean (i) * Shares (i) }
den = Sum { MktCap (i) }

#SPEPSNY = ( S&P500 Close * (num/dem) )

#SPEPSCNY: Calculated using a blend of the Current and Next Year estimates for the S&P500 stocks. The weight given to the CurrY and Next Y depends on which quarter was the most recent. For each SP500 stocks the following is calculated:

BlendCNY =
  • if Q4 then (CurFYEPSMean)
  • if Q1 then 75% (CurFYEPSMean) + 25% (NextFYEPSMean)
  • if Q2 then 50% (CurFYEPSMean) + 50% (NextFYEPSMean)
  • if Q3 then 25% (CurFYEPSMean) + 75% (NextFYEPSMean)

The SP500 Blended EPS is then computed as

num = Sum { BlendCNY (i) * Shares (i) }
den = Sum { MktCap (i) }

#SPEPSNY = ( S&P500 Close * (num/dem) )

#SPEPSQ: Calculated using a blend of the two most recently filed quarters and the next two quarterly estimates. For each SP500 stocks the following is calculated:

BlendQ = Sum { Actual Q1+ Actual Q2 + CurQEPSMean + NextQEPSMean }

The SP500 Blended Q EPS is then computed as

num = Sum { BlendQ (i) * Shares (i) }
den = Sum { MktCap (i) }

#SPEPSQ = ( S&P500 Close * (num/dem) )

#SPEPSTTM: Calculated using the trailing twelve months EPS for the S&P500 stocks

num = Sum { EPSExclXorTTM(i) * Shares (i) }
den = Sum { MktCap (i) }

#SPEPSTTM = ( S&P500 Close * (num/dem) )