Index Fundamentals — Methodology
The pack covers four financial indicator families across eleven equity markets, with the S&P 500 IT sector as an additional basket. The first pack covers FY2025, 2026Q1 and 2026Q2. Validation remains open; availability differs by market, period and indicator.
This page describes the current calculation rules, source limitations and information to check alongside a value. Financial statements, constituent lists, share observations and market capitalisation have separate sources and dates.
Indicators and aggregation
| Indicator | Construction |
|---|---|
| Return on equity | Profit attributable to shareholders ÷ shareholders' equity |
| EBITDA margin | EBITDA ÷ revenue; the US operating proxy is described below |
| Gross margin | Gross profit ÷ revenue; revenue minus cost of sales may supply gross profit |
| Free-cash-flow yield | (Operating cash flow − cash capital expenditure) ÷ market capitalisation, with two company scopes below |
Each index indicator is the sum of its numerators divided by the sum of its denominators, multiplied by 100. A company enters only when the required inputs are available under that indicator's rules. There must be an included pair and a positive aggregate denominator. Missing inputs are not set to zero, and one missing indicator need not remove the company from another.
Coverage is the number of included company pairs divided by the full constituent count. It measures input availability, without weighting companies by revenue or market capitalisation. A large company becoming available can change an aggregate materially even when count coverage changes little. The internal EBITDA diagnostic separately reports revenue coverage against known constituent revenue.
Two free-cash-flow columns
The main column, FCF yield, ex-financials, excludes financial institutions from both the cash-flow numerator and the market-capitalisation denominator. FCF yield, all constituents retains them where both inputs are available. A bank's operating cash flow includes deposit and lending movements, so its contribution has a different economic meaning from an industrial company's cash generation.
Both columns use the full index constituent count as their coverage denominator. The provenance records the classification source, date, checksum and excluded members. An incomplete classification leaves the main column unavailable; the all-constituent calculation can still be inspected. Classification follows sourced industry lists, not missing gross-profit fields. Current membership and classification are used for historical calculations; they are not historical point-in-time lists.
Reporting windows and dates
Quarterly flow inputs use trailing twelve months (TTM) where the source history supports that construction. Cumulative reports can form TTM as prior full year + current year-to-date − prior-year year-to-date. Korea's income-statement path sums four single quarters, deriving Q4 from the full year less the first three quarters. It does not annualise the half-year profit.
The document-based Southeast Asian path uses an explicitly labelled annualised year-to-date fallback when prior-year files are unavailable. When both prior files are available but a required field is missing, that indicator stays missing; it does not switch to annualisation merely to fill the gap. This fallback is not a rule for every market.
Equity is the latest eligible reported stock value, rather than an average over the profit window. Its actual reporting date matters: carrying an annual filing into a quarterly view also carries that filing's equity date. Japan uses reconstructable half-year TTM or an annual fallback. Europe currently has annual statement inputs only: FY2025, 2026Q1 and 2026Q2 carry the available annual financials, while half-year inputs remain pending. Different dated market-capitalisation inputs can still change European FCF yield.
Quarterly delivery rows carry two bases side by side: as_published admits only filings with a verified publication date on or before the requested date; report_period retains statements whose reporting period ends by that date, including later publications or amendments. The quarterly comparison view defaults to as_published, labelled Bloomberg-comparable information cutoff. This label concerns the cutoff; it does not establish matching constituent membership, financial-institution scope or vendor adjustments. API calls without a basis retain report_period for compatibility. Annual rows are unchanged.
CSV and Excel identify the basis, report periods through and filings through. Coverage and Provenance keep these dates together. Missing publication evidence leaves the as_published value absent, with its reason, while the report_period row remains available. A snapshot export date, retrieval time or report-period end is not an issuer publication date. The currently cached Taiwan, ESEF, IDX and Southeast Asian registers lack verified publication dates for these inputs; those publication views await dated source metadata. New dated listing/share observations are also excluded when they postdate the cutoff.
Internal history covers six quarter-ends from 2025Q1 through 2026Q2. Missing windows remain explicit; current membership also limits comparison with an index's historical composition.
US operating EBITDA proxy
The US series uses operating income + reported depreciation and amortisation (D&A), divided by revenue. All three inputs must share the same flow window. This construction differs from a net-income-based EBITDA reconciliation. SEC guidance, questions 103.01–103.02, distinguishes these starting points.
For supported issuers without an operating-income subtotal, a reviewed issuer-specific bridge uses pretax profit and complete nonoperating lines. The same-filing, same-duration result must reconcile with the complete operating-cost side within printed rounding. Missing expenses are not zero; derived values retain that label.
Reviewed original filings can supplement missing D&A. Split depreciation and amortisation require both components from the same filing and duration. A property-depreciation subtotal is not complete D&A. Lines including unresolved “other”, discontinued operations or unrelated policy/debt costs are not substituted for pure D&A. A restored D&A field still cannot supply EBITDA if operating profit or a matching window is absent.
Some European filers disclose D&A combined with impairment. The existing European treatment can use that combined line and identifies it as such; it should not be interpreted as the US pure-D&A rule. Optional formula and fixed-company diagnostics are investigations, not replacements selected for numerical proximity to a reference series.
Statement sources and present coverage
| Market / basket | Statement source | Current frequency or limitation |
|---|---|---|
| United States: S&P 500 and IT sector | SEC EDGAR company filings | Quarterly and annual; field and window gaps remain |
| Eurozone: EURO STOXX 50 | ESEF through the open filings library and issuer/statutory packages | Annual inputs; half-year ingestion pending |
| Japan: TOPIX | EDINET | Annual and reconstructable half-year TTM; other rows carry annual inputs |
| China: CSI 300 | cninfo | Quarterly income data; D&A and cash-flow windows depend on half-year/annual inputs |
| India: S&P BSE 500 | BSE result filings in XBRL | Quarterly income data; half-year/annual cash flow; gross margin absent |
| South Korea: KOSPI | DART statements and filing XBRL notes | Quarterly and annual; missing D&A or operating-profit inputs exclude individual EBITDA pairs |
| Taiwan: TAIEX | TWSE open data and per-company statement pages | Quarterly and annual; missing/failed reports remain |
| Indonesia: JCI-labelled proxy | IDX XBRL for 44 LQ45 constituents | A proxy basket, with a different company population from the full Jakarta Composite |
| Thailand: SET50 | Thai SEC disclosure packages and issuer statements | Quarterly and annual; availability checked by indicator |
| Malaysia: FTSE Bursa Malaysia KLCI | Issuer financial reports | Incomplete statement coverage still blocks current first-pack market results |
| Philippines: PSEi | Issuer-published SEC Forms 17-Q / 17-A | Incomplete statements; dated market-capitalisation file also pending |
Reading Southeast Asian documents
Original packages and selected statements are retained with checksums, issuer/period details and amendment order. Native XLS/XLSX uses stored visible-cell values without recalculating formulas. PDF text is read directly; scanned statement pages use OCR, including mixed PDFs whose notes already contain text.
Located statement pages go whole to two independent transcription models. Printed line items and their citations are retained; code performs sums and unit conversions. Share counts, earnings per share and monetary share capital have distinct units. Statement identities, consolidated scope, dates, currency and cited lines are checked alongside transcription agreement.
Each field carries agreed, resolved, absent, disputed or failed status. Usable agreed fields survive a dispute elsewhere in the record; a recorded manual resolution takes precedence. A failure confined to unrelated fields does not discard an otherwise usable measure. Unresolved disputed fields stay missing: readings are never averaged or selected to resolve a disagreement. Global issuer, period or currency failures still invalidate the record.
ROE requires profit and equity; operating EBITDA requires revenue, operating profit and D&A; gross margin requires revenue plus gross profit or cost of sales; FCF requires operating cash flow and capex, then a usable market capitalisation. Disputed and failed fields remain visible in the review queue. Malaysia and the Philippines still face a market-level completeness gate, even where individual pairs can be inspected.
Pro forma and non-financial disclosures are excluded. Non-calendar fiscal windows remain unavailable until an explicit calendar mapping is supported. Net purchases after disposals are not substituted for gross cash capital expenditure.
Market capitalisation and transitional inputs
The target is market capitalisation at the requested period end. Check the share observation date and closing-price date separately; a dated close does not turn a later listing snapshot into historical shares.
| Market | Current capitalisation input |
|---|---|
| United States | FMP historical market capitalisation at the requested date; no current-cap fallback |
| Taiwan | Reported share capital divided by an assumed par value, combined with a dated public close; Q2 source dates have been checked, while the current constituent basket and par-value assumption remain limitations |
| China | Reported share capital and par value, combined with a dated public close |
| Japan | Issued shares less treasury shares from annual filings; flagged EPS-implied fallback when absent; dated public close |
| South Korea | Ordinary shares from filing XBRL; EPS-implied fallback when absent; dated public close |
| Europe and Indonesia | Same-filing profit/basic EPS as a weighted-average share proxy, combined with a dated public close |
| India | Filing paid-up equity capital divided by face value; flagged same-window EPS fallback when absent. Dated closes prefer BSE bhavcopy, then same-ISIN NSE bhavcopy, then transitional Yahoo NSE quotes |
| Thailand | SET listed shares preferred; flagged EPS-implied fallback when no usable listing observation exists; dated public close |
| Malaysia | Bursa issued shares preferred when available; otherwise flagged EPS-implied fallback; dated public close |
| Philippines | Dated PSE market-capitalisation/share/close file required; absent while the PoC awaits a paid price source. No public-quote or EPS fallback enables FCF |
Public closes in these transitional paths use the recorded price-cache source. The current SET listing observations dated 11 September 2026 are not June-end historical shares. An EPS-implied count is a weighted-average proxy, not a listing count. Missing required observations leave FCF unavailable; supported inferred-cap routes apply the existing price-to-book plausibility check.
US historical-cap requests require the exact weekday observation; a weekend can use the preceding Friday. Missing holiday observations remain absent. Indian prices retain the actual trading date, venue and original-file hash; a closed period-end date uses the preceding eligible trading day. The share observation retains its separate filing date. Retrieval-date index-weight capitalisation is retained only as comparison provenance.
Missing indicators and release checks
India's gross margin remains absent because the loaded results lack the required cost-of-sales/gross-profit split. China's Q1/Q3 D&A window cannot be filled with an unrelated half-year; March/September cash-flow windows can lag income data. Indian cash-flow windows can lag at June/December cutoffs. Company pairs missing required fields remain absent in every market.
Before release, the pack must pass the existing gates: ROE count coverage of at least 60%, and at least 40% for EBITDA margin, gross margin and each FCF column. The current registered exceptions are Indian gross margin and China 2026Q1 EBITDA, with reasons. Recording an FCF gap does not waive its release requirement.
Review also covers source/period/unit evidence, constituent and classification dates, changes from the prior pack, and matching results and missing-state explanations in Cockpit, Canvas, Qibo and exports. A successful build or export does not complete this review.
The delivery files are an Excel workbook with Annual, Quarterly, Coverage, Provenance and Changelog, the corresponding CSV, reloadable cells JSON and a checksum manifest. Internal reference comparisons stay outside the delivery directory. Final data acceptance and document review remain pending.