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 * 1.2764 | + | 0.528 * 1 | + | 0.404 * 0.9673 | + | 0.892 * 1.1141 | + | 0.115 * 0.8219 |
| - | 0.172 * SGAI | + | 4.679 * TATA | - | 0.327 * LVGI |
| - | 0.172 * 1.1084 | + | 4.679 * -0.033323 | - | 0.327 * 1.0888 |
| = | -2.36 |
* 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 CHF31,038 Mil.
Revenue was 9008.622 + 9659.005 + 8590.716 + 8092.572 = CHF35,351 Mil.
Gross Profit was 9008.622 + 9659.005 + 8590.716 + 8092.572 = CHF35,351 Mil.
Total Current Assets was CHF307,294 Mil.
Total Assets was CHF1,485,074 Mil.
Property, Plant and Equipment(Net PPE) was CHF15,436 Mil.
Depreciation, Depletion and Amortization(DDA) was CHF3,339 Mil.
Selling, General, & Admin. Expense(SGA) was CHF25,425 Mil.
Total Current Liabilities was CHF116,900 Mil.
Long-Term Debt & Capital Lease Obligation was CHF293,301 Mil.
Net Income was -241.279 + -706.186 + 25999.05 + 952.34 = CHF26,004 Mil.
Non Operating Income was 0 + 0 + 0 + 0 = CHF0 Mil.
Cash Flow from Operations was 32807.918 + 27407.214 + 38511.008 + -23235.603 = CHF75,491 Mil.
|
Total Receivables was CHF21,827 Mil.
Revenue was 7441.621 + 7743.575 + 7826.603 + 8719.631 = CHF31,731 Mil.
Gross Profit was 7441.621 + 7743.575 + 7826.603 + 8719.631 = CHF31,731 Mil.
Total Current Assets was CHF184,917 Mil.
Total Assets was CHF1,028,826 Mil.
Property, Plant and Equipment(Net PPE) was CHF11,448 Mil.
Depreciation, Depletion and Amortization(DDA) was CHF1,960 Mil.
Selling, General, & Admin. Expense(SGA) was CHF20,591 Mil.
Total Current Liabilities was CHF108,596 Mil.
Long-Term Debt & Capital Lease Obligation was CHF152,410 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) |
| = | (31037.672 / 35350.915) | / | (21827.388 / 31731.43) |
| = | 0.877988 | / | 0.687879 |
| | = | 1.2764 |
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) |
| = | (31731.43 / 31731.43) | / | (35350.915 / 35350.915) |
| = | 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 - (307293.708 + 15435.815) / 1485074.341) | / | (1 - (184917.01 + 11447.501) / 1028825.502) |
| = | 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 |
| = | 35350.915 | / | 31731.43 |
| | = | 1.1141 |
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)) |
| = | (1959.513 / (1959.513 + 11447.501)) | / | (3338.757 / (3338.757 + 15435.815)) |
| = | 0.146156 | / | 0.177834 |
| | = | 0.8219 |
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) |
| = | (25425.099 / 35350.915) | / | (20590.709 / 31731.43) |
| = | 0.71922 | / | 0.648906 |
| | = | 1.1084 |
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) |
| = | ((293301.244 + 116900.205) / 1485074.341) | / | ((152409.76 + 108595.681) / 1028825.502) |
| = | 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 |
| = | (26003.925 - 0 | - | 75490.537) | / | 1485074.341 |
| | = | -0.033323 |
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 -2.36 suggests that the company is unlikely to be a manipulator.
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