Embed Size (px)
DESCRIPTION
Rentabilidad Mixta - Modelo CPAM 2014
Citation preview
FINANZAS IIPORTAFOLIO DE INVERSION
Rentabilidad
Año Alicorp Exsa2010 4.83% 9.11%2011 2.80% 5.74%2012 7.34% 0.78%2013 8.86% 7.62%2014 8.74% 7.20%Promedio 6.51% 6.09%
Empresa RentabilidadAlicorp 6.51%Exsa 6.09%El Comercio 15.30%A..Arequipa 5.33%Univer Textil 1.78%Lindley 3.12%Mot D Andino 8.45%
Riesgo País 1.62 Beta Promedio 1.01 Rm 0.13 Rf 0.05 CAPM 1.76
rE = rf + (rM – rf ) + r
Rentabilidad
El Comercio A..ArequipUniver Textil Lindley14.14% 8% 2.34% 3.53%12.94% 5.15% 0.44% 2.51%15.81% -2.14% 1.93% 4.42%15.80% 6.76% 1.74% 2.51%17.81% 8.90% 2.48% 2.65%15.30% 5.33% 1.78% 3.12%
Inversión Betas DesaRiesgo Frac Cart invert 70,000.00 0.99 7.00% 7.00% 60,000.00 1.23 6.00% 6.00% 740,000.00 1.18 74.00% 74.00% 5,000.00 0.94 0.50% 0.50% - 1.17 0.00% 0.00% 5,000.00 1.41 0.50% 0.50% 120,000.00 0.16 12.00% 12.00% 1,000,000.00 1.01 100.00% 100.00%
– rf ) + rp = CAPM
E(re) es la tasa de rendimiento esperada de capital sobre el activo i.• βim es el Beta (cantidad de riesgo con respecto al Portafolio de Mercado)• E(rm − rf) es el exceso de rentabilidad del portafolio de mercado.• (rm) Rendimiento del mercado.• (rf) Rendimiento de un activo libre de riesgo.
Rentabilidad
Mot D Andino9.05%8.43%6.09%
10.95%7.74%8.45%
Rent.Prom*Part0.46%0.37%
11.32%0.03%0.00%0.02%1.01%
13.20%
E(re) es la tasa de rendimiento esperada de capital sobre el activo i.• βim es el Beta (cantidad de riesgo con respecto al Portafolio de Mercado)• E(rm − rf) es el exceso de rentabilidad del portafolio de mercado.• (rm) Rendimiento del mercado.• (rf) Rendimiento de un activo libre de riesgo.
Fecha
Perú Argentina Brasil Chile Colombia
1998
Dic. 655 715 1207 673
1999
Ene. 701 828 1456 643
Feb. 706 771 1321 609
Mar. 590 705 1196 559
Abr. 522 623 904 471
May. 553 674 950 532
Jun. 624 749 986 187 666
Jul. 597 867 1049 185 685
Ago. 684 841 1123 192 693
Set. 637 703 1016 187 647
Oct. 607 654 940 159 576
Nov. 550 634 798 156 539
Dic. 469 579 688 146 456
2000
Ene. 446 558 692 150 442
Feb. 450 561 702 161 469
Mar. 446 535 653 173 522
Abr. 522 590 747 200 649
May. 599 686 816 184 802
Jun. 542 667 721 220 718
Jul. 546 642 705 225 701
Ago. 498 684 680 184 683
Set. 596 682 694 192 718
Oct. 714 761 744 216 756
Nov. 746 860 794 228 794
Dic. 719 803 772 228 767
2001
Ene. 659 702 718 211 726
Feb. 652 707 701 189 643
Mar. 636 848 759 190 630
Abr. 762 986 805 176 629
May 763 1007 835 179 596
Jun. 663 956 836 178 576
Jul. 643 1410 937 177 563
Diferencial de rendimientos del índice de bonos de mercados emergentes (EMBIG) / Emerging Market Bond Index (EMBIG) Stripped Spread
Ago. 626 1502 944 183 534
Set. 649 687 689 218 587
Oct. 665 1828 1163 227 598
Nov. 591 2768 1002 203 558
Dic. 649 1 452 939 183 531
2002
Ene. 481 5338 844 175 541
Feb. 478 4272 842 168 582
Mar. 415 4760 732 136 540
Abr. 435 4837 755 125 544
May. 506 5378 939 140 545
Jun. 567 6258 1368 169 572
Jul. 720 6847 1766 202 690
Ago. 816 6707 2001 212 874
Set. 806 6286 1954 200 986
Oct. 814 6338 2057 228 941
Nov. 672 6083 1711 198 746
Dic. 620 6181 1540 168 653
2003
Ene. 570 5983 1334 168 630
Feb. 563 6235 1308 164 683
Mar. 510 6560 1097 166 630
Abr. 427 5365 902 141 530
May. 414 5142 785 126 469
Jun. 460 4635 752 129 458
Jul. 482 4748 776 121 462
Ago. 422 5022 774 118 451
Set. 353 4995 666 108 429
Oct. 317 5272 621 97 447
Nov. 309 5918 565 87 469
Dic. 318 5578 483 86 439
2004
Ene. 302 5394 431 88 387
Feb. 361 5521 544 93 433
Mar. 357 4859 552 93 402
Abr. 351 4565 590 86 380
May. 484 4749 723 98 529
Jun. 449 4914 664 86 487
Jul. 435 4947 611 85 454
Ago. 385 5159 556 73 424
Set. 337 5360 485 72 398
Oct. 351 5235 467 78 401
Nov. 304 5030 435 73 361
Dic. 257 4826 394 68 347
2005
Ene. 266 4 824 416 63 359
Feb. 262 4 901 400 61 358
Mar. 264 4 869 419 66 371
Abr. 285 5 342 451 71 410
May. 267 5 799 432 70 376
Jun 243 2 796 418 66 339
Jul. 233 425 404 59 322
Ago. 206 419 396 55 304
Set. 198 396 370 56 261
Oct. 218 392 368 61 278
Nov. 203 381 346 74 253
Dic. 246 459 281 78 226
2006
Ene. 236 458 278 76 213
Feb. 184 382 237 71 174
Mar. 220 349 227 71 168
Abr. 219 332 232 77 173
May. 197 343 243 77 188
Jun. 207 383 259 82 231
Jul. 194 362 237 84 228
Ago. 173 325 217 87 196
Set. 172 332 228 85 206
Oct. 148 302 217 82 181
Nov. 147 292 219 79 189
Dic. 131 250 205 87 182
2007
Ene. 123 203 190 81 165
Feb. 127 207 183 80 163
Mar. 132 220 186 86 171
Abr. 118 235 155 82 142
May. 110 278 148 80 131
Jun. 104 290 147 80 108
Jul. 129 355 169 90 136
Ago. 169 461 201 108 186
Set. 310 852 380 242 359
Oct. 139 371 169 117 161
Nov. 175 397 211 134 196
Dic. 175 394 215 153 188
2008
Ene. 196 443 242 165 241
Feb. 209 477 256 169 249
Mar. 221 529 276 169 263
Abr. 182 556 243 172 216
May. 154 553 204 159 179
Jun. 160 562 194 166 181
Jul. 198 627 231 181 217
Ago. 195 668 235 173 222
Set. 258 799 292 189 273
Oct. 500 1488 493 307 533
Nov. 485 1790 470 353 551
Dic. 524 1829 479 351 538
2009
Ene. 460 1574 429 383 502
Feb. 419 1645 427 371 478
Mar. 409 1863 433 319 483
Abr. 360 1786 382 303 417
May. 292 Err:512 Err:512 249 Err:512
Jun. 258 1139 279 172 298
Jul. 274 1039 268 163 297
Ago. 240 900 253 135 261
Set. 225 821 240 143 249
Oct. 197 709 227 138 220
Nov. 191 726 220 130 215
Dic. 179 720 202 111 208
2010
Ene. 180 712 206 108 211
Feb. 200 790 221 132 235
Mar. 158 705 187 128 189
Abr. 144 630 177 111 173
May. 201 766 224 140 231
Jun. 207 805 235 154 223
Jul. 186 765 222 138 198
Ago. 157 714 204 133 166
Set. 168 704 208 133 176
Oct. 156 614 184 133 158
Nov. 151 547 177 124 152
Dic. 157 521 178 116 161
2011
Ene. 146 497 171 116 146
Feb. 146 542 175 114 151
Mar. 157 566 174 114 155
Abr. 192 533 173 120 152
May. 187 581 171 127 147
Jun. 192 605 174 136 145
Jul. 171 595 164 129 142
Ago. 200 719 203 147 171
Set. 237 874 244 172 215
Oct. 232 908 241 168 207
Nov. 214 896 231 159 197
Dic. 217 927 222 161 188
2012
Ene. 219 851 222 164 197
Feb. 200 822 204 158 176
Mar. 166 823 179 150 149
Abr. 162 930 184 155 148
May. 180 1089 212 168 173
Jun. 188 1129 219 177 173
Jul. 163 1090 202 168 151
Ago. 133 1039 170 142 129
Set. 124 924 161 138 127
Oct. 108 893 146 127 111
Nov. 123 1195 152 137 123
Dic. 117 1035 145 122 116
2013 162 1069 215 157 164
Ene. 110 1058 143 115 113Feb. 127 1114 162 133 131Mar. 140 1207 180 145 142Abr. 133 1223 177 144 132May. 133 1174 178 137 135Jun. 180 1204 234 177 180Jul. 175 1138 232 169 169
Aug. 191 1068 243 171 183Set. 182 1064 234 173 181Oct. 173 928 227 162 172Nov. 182 823 246 164 182Dic. 222 823 327 197 253
2014 162 787 235 143 167
Ene. 177 932 256 155 183Feb. 183 971 258 159 189Mar. 167 880 239 149 177Abr. 154 788 225 138 162May. 149 798 214 136 154Jun. 145 763 209 122 144
Jul. 147 651 212 124 146Ago. 157 761 221 130 154Set. 150 719 216 126 152Oct 170 760 244 150 174Nov 165 674 252 151 173Dic 182 747 272 172 200
2015
Ene. 1-13 197 740 295 176 222
Nota: Var. %
Anual 11.1 -20.6 14.9 13.6 20.8Acumulada 8.2 -1.0 8.4 2.6 10.8
Mensual 8.2 -1.0 8.4 2.6 10.8
Riesgo país promedio 2011 162%Riesgo País 1.62
Ecuador México Venezuela
1577 753 1453
1905 769 1434
2095 710 1411
2316 606 1327
1692 538 983
1635 570 881
2047 583 943
2402 638 1007
3106 650 1124
4082 580 1037
3959 545 936
3260 472 854
3312 383 916
3673 395 866
4043 376 872
3088 316 831
3372 390 947
4024 423 1042
4414 396 887
3796 349 843
2513 328 810
1297 323 780
1301 354 844
1353 360 884
1451 389 948
1322 384 887
1246 401 844
1326 405 864
1475 375 851
1366 339 826
1303 314 827
1388 338 895
Diferencial de rendimientos del índice de bonos de mercados emergentes (EMBIG) / Emerging Market Bond Index (EMBIG) Stripped Spread
1470 343 907
1486 393 954
1539 400 1032
1410 364 1052
1 488 343 0 910
1145 303 1148
1152 281 1163
1089 248 943
1001 243 894
1115 258 877
1312 302 1059
1390 343 1189
1744 379 1092
1779 403 1094
2001 386 1101
1787 347 1027
1795 312 1037
1600 310 1335
1525 323 1364
1450 299 1334
1225 259 1270
1109 229 1141
1105 232 985
1172 236 920
1162 234 833
1106 211 803
1031 212 772
942 203 716
840 207 607
724 193 598
746 194 664
724 187 679
763 180 638
921 219 686
886 216 625
922 207 612
836 193 563
802 186 508
731 187 463
722 175 425
711 177 411
682 179 438
638 166 451
633 173 431
738 195 470
835 191 494
819 183 476
759 171 438
714 163 417
682 151 355
683 157 325
651 137 304
616 142 291
610 137 275
549 128 238
538 138 215
492 143 187
469 143 189
503 163 223
487 136 210
477 129 202
565 134 229
560 130 224
528 132 228
724 124 206
904 119 207
746 122 210
695 127 221
611 109 218
625 98 242
630 99 285
714 118 335
702 141 443
1318 266 914
599 126 403
617 158 497
606 166 529
635 188 528
639 190 556
669 193 624
602 170 631
562 154 640
567 162 581
665 198 623
700 199 681
888 243 827
1987 436 1439
3753 459 1528
4241 463 1789
3901 422 1706
3633 433 1745
3534 449 1595
3417 370 1378
Err:512 Err:512 Err:512
2727 272 1173
1264 262 1209
1131 237 1037
1020 238 939
853 224 950
822 211 1062
820 202 1125
758 195 933
811 204 985
822 169 913
816 161 851
899 211 1096
965 208 1225
1015 200 1188
1036 179 1140
1036 199 1222
1016 183 1133
998 166 1149
928 163 1132
865 156 1120
763 157 1118
781 157 1148
761 161 1113
786 162 1170
799 167 1207
783 161 1119
864 197 1259
880 238 1382
888 237 1344
868 223 1306
842 220 1261
805 229 1207
790 208 1037
803 190 911
815 190 965
850 211 1072
890 220 1145
857 188 1108
805 169 1013
753 167 971
766 155 948
815 168 940
827 161 796
685 194 1095
728 154 754704 170 728700 177 771678 169 815638 168 828643 213 994644 201 967631 206 956646 202 956568 200 1036530 209 1157
1111 261 3181
510 183 1336
571 197 1236610 196 1387549 188 1200455 178 1043354 172 1040370 160 954
425 163 921477 169 1069427 168 1297520 190 1604549 192 1820817 217 2465
968 231 2814
69.6 17.2 127.618.4 6.4 14.218.4 6.4 14.2
Date updated: 4-Jan-11Created by:What is this data? Historical returns: Stocks, T.Bonds & T.Bills with premiumsHome Page:Data website:Companies in each indus
Variable definitions:Customixed Geometric risk premium estimatorWhat is your riskfree rate? LTEnter your starting year 1928
Value of stocks in starting year: 100Value of T.Bills in starting year: 100Value of T.bonds in starting year: 100Estimate of risk premium based on your inputs: 4.62%
Annual Returns on Investments in Compounded Value of $ 100
Year S&P 500 3-month T.Bill 10-year T. Bond Stocks1928 43.81% 3.08% 0.84% S/. 143.81 1929 -8.30% 3.16% 4.20% S/. 131.88 1930 -25.12% 4.55% 4.54% S/. 98.75 1931 -43.84% 2.31% -2.56% S/. 55.46 1932 -8.64% 1.07% 8.79% S/. 50.66 1933 49.98% 0.96% 1.86% S/. 75.99 1934 -1.19% 0.32% 7.96% S/. 75.09 1935 46.74% 0.18% 4.47% S/. 110.18 1936 31.94% 0.17% 5.02% S/. 145.38 1937 -35.34% 0.30% 1.38% S/. 94.00 1938 29.28% 0.08% 4.21% S/. 121.53 1939 -1.10% 0.04% 4.41% S/. 120.20 1940 -10.67% 0.03% 5.40% S/. 107.37 1941 -12.77% 0.08% -2.02% S/. 93.66 1942 19.17% 0.34% 2.29% S/. 111.61 1943 25.06% 0.38% 2.49% S/. 139.59 1944 19.03% 0.38% 2.58% S/. 166.15 1945 35.82% 0.38% 3.80% S/. 225.67 1946 -8.43% 0.38% 3.13% S/. 206.65 1947 5.20% 0.57% 0.92% S/. 217.39 1948 5.70% 1.02% 1.95% S/. 229.79 1949 18.30% 1.10% 4.66% S/. 271.85 1950 30.81% 1.17% 0.43% S/. 355.60 1951 23.68% 1.48% -0.30% S/. 439.80 1952 18.15% 1.67% 2.27% S/. 519.62 1953 -1.21% 1.89% 4.14% S/. 513.35 1954 52.56% 0.96% 3.29% S/. 783.18 1955 32.60% 1.66% -1.34% S/. 1,038.47 1956 7.44% 2.56% -2.26% S/. 1,115.73 1957 -10.46% 3.23% 6.80% S/. 999.05 1958 43.72% 1.78% -2.10% S/. 1,435.84 1959 12.06% 3.26% -2.65% S/. 1,608.95 1960 0.34% 3.05% 11.64% S/. 1,614.37 1961 26.64% 2.27% 2.06% S/. 2,044.40 1962 -8.81% 2.78% 5.69% S/. 1,864.26 1963 22.61% 3.11% 1.68% S/. 2,285.80 1964 16.42% 3.51% 3.73% S/. 2,661.02 1965 12.40% 3.90% 0.72% S/. 2,990.97 1966 -9.97% 4.84% 2.91% S/. 2,692.74 1967 23.80% 4.33% -1.58% S/. 3,333.69 1968 10.81% 5.26% 3.27% S/. 3,694.23
Aswath Damodaran, [email protected]
http://www.damodaran.comhttp://www.stern.nyu.edu/~adamodar/New_Home_Page/data.htmlhttp://www.stern.nyu.edu/~adamodar/pc/datasets/indname.xls
http://www.stern.nyu.edu/~adamodar/New_Home_Page/datafile/variable.htm
1969 -8.24% 6.56% -5.01% S/. 3,389.77 1970 3.56% 6.69% 16.75% S/. 3,510.49 1971 14.22% 4.54% 9.79% S/. 4,009.72 1972 18.76% 3.95% 2.82% S/. 4,761.76 1973 -14.31% 6.73% 3.66% S/. 4,080.44 1974 -25.90% 7.78% 1.99% S/. 3,023.54 1975 37.00% 5.99% 3.61% S/. 4,142.10 1976 23.83% 4.97% 15.98% S/. 5,129.20 1977 -6.98% 5.13% 1.29% S/. 4,771.20 1978 6.51% 6.93% -0.78% S/. 5,081.77 1979 18.52% 9.94% 0.67% S/. 6,022.89 1980 31.74% 11.22% -2.99% S/. 7,934.26 1981 -4.70% 14.30% 8.20% S/. 7,561.16 1982 20.42% 11.01% 32.81% S/. 9,105.08 1983 22.34% 8.45% 3.20% S/. 11,138.90 1984 6.15% 9.61% 13.73% S/. 11,823.51 1985 31.24% 7.49% 25.71% S/. 15,516.60 1986 18.49% 6.04% 24.28% S/. 18,386.33 1987 5.81% 5.72% -4.96% S/. 19,455.08 1988 16.54% 6.45% 8.22% S/. 22,672.40 1989 31.48% 8.11% 17.69% S/. 29,808.58 1990 -3.06% 7.55% 6.24% S/. 28,895.11 1991 30.23% 5.61% 15.00% S/. 37,631.51 1992 7.49% 3.41% 9.36% S/. 40,451.51 1993 9.97% 2.98% 14.21% S/. 44,483.33 1994 1.33% 3.99% -8.04% S/. 45,073.14 1995 37.20% 5.52% 23.48% S/. 61,838.19 1996 22.68% 5.02% 1.43% S/. 75,863.69 1997 33.10% 5.05% 9.94% S/. 100,977.34 1998 28.34% 4.73% 14.92% S/. 129,592.25 1999 20.89% 4.51% -8.25% S/. 156,658.05 2000 -9.03% 5.76% 16.66% S/. 142,508.98 2001 -11.85% 3.67% 5.57% S/. 125,622.01 2002 -21.97% 1.66% 15.12% S/. 98,027.82 2003 28.36% 1.03% 0.38% S/. 125,824.39 2004 10.74% 1.23% 4.49% S/. 139,341.42 2005 4.83% 3.01% 2.87% S/. 146,077.85 2006 15.61% 4.68% 1.96% S/. 168,884.34 2007 5.48% 4.64% 10.21% S/. 178,147.20 2008 -36.55% 1.59% 20.10% S/. 113,030.22 2009 25.94% 0.14% -11.12% S/. 142,344.87 2010 14.82% 0.13% 8.46% S/. 163,441.94 2011 2.10% 0.03% 16.04% S/. 166,871.56 2012 15.89% 0.05% 2.97% S/. 193,388.43 2013 32.15% 0.07% -9.10% S/. 255,553.31 2014 13.48% 0.05% 10.75% S/. 289,995.13
Arithmetic Average19282014 11.53% 3.53% 5.28%19652014 11.23% 5.04% 7.11%20052014 9.37% 1.44% 5.31%
Geometric Average19282014 9.60% 3.49% 5.00%19652014 9.84% 4.99% 6.70%20052014 7.60% 1.42% 4.88%
4-Jan-11
US companies
Estimates of risk premiums from 1928, over the last 50 years and over the last 10 yearsare provided at the bottom of this table.
Compounded Value of $ 100
T.Bills T.Bonds Stocks - Bills Stocks - Bonds S/. 103.08 S/. 100.84 40.73% 42.98% S/. 106.34 S/. 105.07 -11.46% -12.50% S/. 111.18 S/. 109.85 -29.67% -29.66% S/. 113.74 S/. 107.03 -46.15% -41.28% S/. 114.96 S/. 116.44 -9.71% -17.43% S/. 116.06 S/. 118.60 49.02% 48.13% S/. 116.44 S/. 128.05 -1.51% -9.15% S/. 116.64 S/. 133.78 46.57% 42.27% S/. 116.84 S/. 140.49 31.77% 26.93% S/. 117.19 S/. 142.43 -35.64% -36.72% S/. 117.29 S/. 148.43 29.21% 25.07% S/. 117.33 S/. 154.98 -1.14% -5.51% S/. 117.36 S/. 163.35 -10.70% -16.08% S/. 117.46 S/. 160.04 -12.85% -10.75% S/. 117.85 S/. 163.72 18.84% 16.88% S/. 118.30 S/. 167.79 24.68% 22.57% S/. 118.75 S/. 172.12 18.65% 16.45% S/. 119.20 S/. 178.67 35.44% 32.02% S/. 119.65 S/. 184.26 -8.81% -11.56% S/. 120.33 S/. 185.95 4.63% 4.28% S/. 121.56 S/. 189.58 4.68% 3.75% S/. 122.90 S/. 198.42 17.20% 13.64% S/. 124.34 S/. 199.27 29.63% 30.38% S/. 126.18 S/. 198.68 22.20% 23.97% S/. 128.29 S/. 203.19 16.48% 15.88% S/. 130.72 S/. 211.61 -3.10% -5.35% S/. 131.98 S/. 218.57 51.60% 49.27% S/. 134.17 S/. 215.65 30.94% 33.93% S/. 137.60 S/. 210.79 4.88% 9.70% S/. 142.04 S/. 225.11 -13.69% -17.25% S/. 144.57 S/. 220.39 41.94% 45.82% S/. 149.27 S/. 214.56 8.80% 14.70% S/. 153.82 S/. 239.53 -2.71% -11.30% 6.11% S/. 157.30 S/. 244.46 24.37% 24.58% 6.62% S/. 161.67 S/. 258.38 -11.59% -14.51% 5.97% S/. 166.70 S/. 262.74 19.50% 20.93% 6.36% S/. 172.54 S/. 272.53 12.91% 12.69% 6.53% S/. 179.28 S/. 274.49 8.50% 11.68% 6.66% S/. 187.95 S/. 282.47 -14.81% -12.88% 6.11% S/. 196.10 S/. 278.01 19.47% 25.38% 6.57% S/. 206.41 S/. 287.11 5.55% 7.54% 6.60%
http://www.stern.nyu.edu/~adamodar/New_Home_Page/datafile/variable.htm
Historical risk premium
S/. 219.96 S/. 272.71 -14.80% -3.23% 6.33% S/. 234.66 S/. 318.41 -3.12% -13.19% 5.90% S/. 245.32 S/. 349.57 9.68% 4.43% 5.87% S/. 255.01 S/. 359.42 14.80% 15.94% 6.08% S/. 272.16 S/. 372.57 -21.03% -17.97% 5.50% S/. 293.33 S/. 379.98 -33.68% -27.89% 4.64% S/. 310.90 S/. 393.68 31.01% 33.39% 5.17% S/. 326.35 S/. 456.61 18.86% 7.85% 5.22% S/. 343.09 S/. 462.50 -12.11% -8.27% 4.93% S/. 366.87 S/. 458.90 -0.42% 7.29% 4.97% S/. 403.33 S/. 461.98 8.58% 17.85% 5.21% S/. 448.58 S/. 448.17 20.52% 34.72% 5.73% S/. 512.73 S/. 484.91 -19.00% -12.90% 5.37% S/. 569.18 S/. 644.04 9.41% -12.40% 5.10% S/. 617.26 S/. 664.65 13.89% 19.14% 5.34% S/. 676.60 S/. 755.92 -3.47% -7.59% 5.12% S/. 727.26 S/. 950.29 23.75% 5.52% 5.13% S/. 771.15 S/. 1,181.06 12.46% -5.79% 4.97% S/. 815.27 S/. 1,122.47 0.09% 10.77% 5.07% S/. 867.86 S/. 1,214.78 10.09% 8.31% 5.12% S/. 938.24 S/. 1,429.72 23.37% 13.78% 5.24% S/. 1,009.08 S/. 1,518.87 -10.61% -9.30% 5.00% S/. 1,065.69 S/. 1,746.77 24.62% 15.23% 5.14% S/. 1,101.98 S/. 1,910.30 4.09% -1.87% 5.03% S/. 1,134.84 S/. 2,181.77 6.98% -4.24% 4.90% S/. 1,180.07 S/. 2,006.43 -2.66% 9.36% 4.97% S/. 1,245.15 S/. 2,477.55 31.68% 13.71% 5.08% S/. 1,307.68 S/. 2,512.94 17.66% 21.25% 5.30% S/. 1,373.76 S/. 2,762.71 28.05% 23.16% 5.53% S/. 1,438.70 S/. 3,174.95 23.61% 13.42% 5.63% S/. 1,503.58 S/. 2,912.88 16.38% 29.14% 5.96% S/. 1,590.23 S/. 3,398.03 -14.79% -25.69% 5.51% S/. 1,648.63 S/. 3,587.37 -15.52% -17.42% 5.17% S/. 1,675.96 S/. 4,129.65 -23.62% -37.08% 4.53% S/. 1,693.22 S/. 4,145.15 27.33% 27.98% 4.82% S/. 1,714.00 S/. 4,331.30 9.52% 6.25% 4.84% S/. 1,765.59 S/. 4,455.50 1.82% 1.97% 4.80% S/. 1,848.18 S/. 4,542.87 10.94% 13.65% 4.91% S/. 1,933.98 S/. 5,006.69 0.84% -4.73% 4.79% S/. 1,964.64 S/. 6,013.10 -38.14% -56.65% 3.88% S/. 1,967.29 S/. 5,344.65 25.80% 37.05% 4.29% S/. 1,969.84 S/. 5,796.96 14.69% 6.36% 4.31% S/. 1,970.44 S/. 6,726.52 2.07% -13.94% 4.10% S/. 1,971.42 S/. 6,926.40 15.84% 12.92% 4.20% S/. 1,972.72 S/. 6,295.79 32.08% 41.25% 4.62% S/. 1,973.77 S/. 6,972.34 13.42% 2.73% 4.60%
Risk Premium Standard ErrorStocks T.Bills Stocks T.Bonds Stocks T.Bills Stocks T.Bonds
8.00% 6.25% 2.17% 2.32%6.19% 4.12% 2.42% 2.74%7.94% 4.06% 6.05% 8.65%
Risk PremiumStocks T.Bills Stocks T.Bonds
6.11% 4.60%4.84% 3.14%6.18% 2.73%
Date updated: 5-Jan-15Created by:What is this data? Beta, Unlevered beta and other risk measuresHome Page:Data website:Companies in each industry:Variable definitions:
Industry Number of firms Beta D/E RatioAdvertising 52 1.18 50.62%Aerospace/Defense 93 1.16 18.96%Air Transport 22 0.98 81.51%Apparel 64 0.99 20.73%Auto & Truck 22 1.09 105.95%Auto Parts 75 1.35 28.64%Bank (Money Center) 13 0.81 218.66%Banks (Regional) 676 0.53 77.69%Beverage (Alcoholic) 22 1.06 21.88%Beverage (Soft) 46 1.14 23.04%Broadcasting 28 1.30 71.06%Brokerage & Investment Banking 46 1.16 303.54%Building Materials 39 1.12 32.23%Business & Consumer Services 177 1.19 30.41%Cable TV 18 0.91 44.80%Chemical (Basic) 46 0.94 40.31%Chemical (Diversified) 10 1.17 33.20%Chemical (Specialty) 103 1.03 21.36%Coal & Related Energy 42 1.64 110.41%Computer Services 119 1.16 27.56%Computers/Peripherals 64 1.21 9.47%Construction Supplies 55 1.60 45.39%Diversified 23 1.00 60.89%Drugs (Biotechnology) 400 1.10 8.48%Drugs (Pharmaceutical) 151 1.03 13.42%Education 42 1.13 39.42%Electrical Equipment 126 1.24 16.86%Electronics (Consumer & Office) 28 1.37 4.43%Electronics (General) 189 1.03 14.69%Engineering/Construction 56 1.31 27.31%Entertainment 84 1.21 27.52%Environmental & Waste Services 103 1.28 40.58%Farming/Agriculture 37 0.84 60.46%Financial Svcs. (Non-bank & Insuran 288 0.67 1206.66%Food Processing 96 0.99 27.21%
Aswath Damodaran, [email protected]
http://www.damodaran.com
http://www.stern.nyu.edu/~adamodar/New_Home_Page/data.html
http://www.stern.nyu.edu/~adamodar/pc/datasets/indname.xls
http://www.stern.nyu.edu/~adamodar/New_Home_Page/datafile/variable.htm
Food Wholesalers 14 1.41 17.10%Furn/Home Furnishings 27 1.09 26.61%Green & Renewable Energy 26 1.32 109.96%Healthcare Products 261 0.99 15.67%Healthcare Support Services 138 1.05 26.66%Heathcare Information and Technol 127 0.95 19.75%Homebuilding 35 1.29 60.76%Hospitals/Healthcare Facilities 56 0.97 75.58%Hotel/Gaming 80 1.18 54.64%Household Products 135 1.03 18.89%Information Services 67 1.11 13.31%Insurance (General) 24 1.03 43.04%Insurance (Life) 25 1.04 71.23%Insurance (Prop/Cas.) 52 0.83 32.90%Investments & Asset Management 148 1.10 74.07%Machinery 137 1.23 20.43%Metals & Mining 124 1.28 50.69%Office Equipment & Services 25 1.34 51.88%Oil/Gas (Integrated) 8 0.81 11.06%Oil/Gas (Production and Exploration) 392 1.27 48.18%Oil/Gas Distribution 85 0.96 47.75%Oilfield Svcs/Equip. 161 1.54 27.63%Packaging & Container 26 0.95 48.60%Paper/Forest Products 22 0.84 51.02%Power 82 0.83 75.74%Precious Metals 147 1.29 40.80%Publshing & Newspapers 43 1.15 47.39%R.E.I.T. 213 0.79 88.52%Real Estate (Development) 18 1.02 45.42%Real Estate (General/Diversified) 11 1.82 27.56%Real Estate (Operations & Services) 52 1.30 57.34%Recreation 68 1.21 31.64%Reinsurance 4 1.35 37.59%Restaurant/Dining 79 0.89 27.87%Retail (Automotive) 30 1.18 50.19%Retail (Building Supply) 5 1.44 19.46%Retail (Distributors) 90 1.12 48.00%Retail (General) 23 1.03 31.37%Retail (Grocery and Food) 21 1.05 56.14%Retail (Online) 46 1.40 7.52%Retail (Special Lines) 128 1.07 41.45%Rubber& Tires 4 1.02 87.74%Semiconductor 100 1.21 10.75%Semiconductor Equip 47 1.23 17.63%Shipbuilding & Marine 14 1.36 53.62%
Shoe 13 0.84 7.34%Software (Entertainment) 20 1.12 17.30%Software (Internet) 327 1.29 5.59%Software (System & Application) 259 1.10 9.70%Steel 40 1.31 64.03%Telecom (Wireless) 21 1.15 154.38%Telecom. Equipment 126 1.24 11.72%Telecom. Services 77 1.07 65.43%Tobacco 20 1.09 19.75%Transportation 21 0.86 21.03%Transportation (Railroads) 10 1.05 20.21%Trucking 30 1.32 66.66%Unclassified 8 0.10 26.26%Utility (General) 21 0.59 61.30%Utility (Water) 19 1.09 50.17%Total Market 7887 1.06 66.14%
5-Jan-15
Beta, Unlevered beta and other risk measures US companies
Tax rate Unlevered beta Cash/Firm value Unlevered beta corrected for cash4.13% 0.80 3.77% 0.83
14.87% 1.00 5.61% 1.0618.71% 0.59 3.63% 0.6111.16% 0.84 2.52% 0.864.45% 0.54 7.78% 0.59
11.05% 1.07 6.06% 1.1426.43% 0.31 8.41% 0.3420.66% 0.33 12.56% 0.378.54% 0.88 1.66% 0.895.55% 0.93 4.23% 0.98
18.34% 0.82 1.58% 0.8313.99% 0.32 21.95% 0.4117.45% 0.88 5.00% 0.9313.30% 0.94 5.17% 1.0021.18% 0.67 2.98% 0.7010.88% 0.69 8.61% 0.7522.47% 0.93 5.52% 0.9911.16% 0.86 5.54% 0.910.99% 0.78 5.70% 0.83
10.48% 0.93 5.64% 0.997.35% 1.11 5.03% 1.17
16.28% 1.16 4.99% 1.2213.96% 0.66 6.32% 0.701.48% 1.02 4.02% 1.064.58% 0.91 4.08% 0.95
12.18% 0.84 11.55% 0.955.99% 1.07 6.52% 1.144.50% 1.32 4.51% 1.388.64% 0.91 10.67% 1.01
14.18% 1.06 11.07% 1.194.11% 0.95 3.26% 0.996.31% 0.93 1.17% 0.949.36% 0.54 5.94% 0.58
18.49% 0.06 2.51% 0.0613.70% 0.80 2.28% 0.82
http://www.stern.nyu.edu/~adamodar/New_Home_Page/data.html
http://www.stern.nyu.edu/~adamodar/pc/datasets/indname.xls
http://www.stern.nyu.edu/~adamodar/New_Home_Page/datafile/variable.htm
13.47% 1.23 2.10% 1.2614.48% 0.89 3.65% 0.921.94% 0.63 6.10% 0.686.73% 0.86 4.54% 0.90
13.27% 0.86 5.72% 0.916.35% 0.80 4.16% 0.84
18.11% 0.86 6.66% 0.9210.93% 0.58 1.28% 0.5911.41% 0.80 3.95% 0.8310.46% 0.88 3.40% 0.9117.93% 1.01 3.77% 1.0419.21% 0.76 4.99% 0.8024.30% 0.68 10.21% 0.7522.18% 0.66 4.74% 0.696.84% 0.65 10.82% 0.73
15.64% 1.05 5.94% 1.111.80% 0.86 5.52% 0.91
18.65% 0.94 5.51% 1.0014.56% 0.74 3.43% 0.767.04% 0.87 4.30% 0.914.68% 0.66 0.96% 0.67
10.99% 1.24 6.07% 1.3218.18% 0.68 2.50% 0.7011.54% 0.58 3.25% 0.5920.77% 0.52 1.93% 0.531.33% 0.92 11.87% 1.05
14.93% 0.82 7.41% 0.881.24% 0.42 1.69% 0.437.21% 0.72 12.23% 0.829.39% 1.46 1.32% 1.478.63% 0.85 4.50% 0.89
11.25% 0.95 4.09% 0.9915.53% 1.02 9.16% 1.1215.14% 0.72 2.35% 0.7418.76% 0.83 1.34% 0.8530.64% 1.27 1.52% 1.2916.84% 0.80 1.78% 0.8121.36% 0.83 2.68% 0.8522.94% 0.73 2.08% 0.759.38% 1.31 6.18% 1.39
20.44% 0.81 4.50% 0.8513.58% 0.58 11.24% 0.6510.11% 1.11 5.22% 1.176.88% 1.06 9.76% 1.176.75% 0.91 3.49% 0.94
20.15% 0.80 3.53% 0.821.46% 0.95 15.83% 1.135.07% 1.22 5.58% 1.296.86% 1.01 4.58% 1.06
13.99% 0.85 6.31% 0.905.76% 0.47 7.90% 0.518.70% 1.12 6.22% 1.20
11.83% 0.68 1.96% 0.6912.39% 0.93 2.06% 0.9420.08% 0.73 4.11% 0.7721.30% 0.90 1.76% 0.9227.38% 0.89 2.72% 0.923.93% 0.08 38.92% 0.14
30.59% 0.42 0.84% 0.4215.10% 0.76 0.66% 0.7710.76% 0.67 4.95% 0.70
HiLo Risk0.6900 51.52%0.4353 50.15%0.4971 53.32%0.5106 56.24%0.6152 43.52%0.4917 53.89%0.1480 39.98%0.1969 37.41%0.5838 55.14%0.6977 61.94%0.4053 62.12%0.4180 44.77%0.3410 43.52%0.5382 52.77%0.3746 52.83%0.5541 50.32%0.3198 41.14%0.4312 51.80%0.6123 74.62%0.5193 59.41%0.4644 66.35%0.3884 47.26%0.3898 32.85%0.5719 93.06%0.5615 75.04%0.5092 70.19%0.5870 65.34%0.6108 56.16%0.4862 69.01%0.5367 47.91%0.6339 58.48%0.6112 65.61%0.5378 41.59%0.2987 38.80%0.4540 42.05%
Standard deviation of
equity
0.5645 35.73%0.4335 54.24%0.7017 53.18%0.5028 64.48%0.5200 46.72%0.5306 70.49%0.3704 53.78%0.3416 43.11%0.4525 49.55%0.5794 61.63%0.3610 42.71%0.2812 35.35%0.1725 34.48%0.2422 36.73%0.4238 41.63%0.4598 46.22%0.7351 74.49%0.3942 49.87%0.4107 33.56%0.6440 71.93%0.3010 43.15%0.5574 65.23%0.3367 31.06%0.4571 44.94%0.3032 29.70%0.7545 93.69%0.3531 50.42%0.1767 31.55%0.6338 43.65%0.4916 45.97%0.5133 50.05%0.5114 50.41%0.4123 21.20%0.3574 44.43%0.4353 48.06%0.3399 50.71%0.4701 52.06%0.3159 46.36%0.4125 51.83%0.5190 70.16%0.4280 51.42%0.3456 49.54%0.4111 57.12%0.3887 60.18%0.4613 71.45%
0.4250 40.80%0.6514 69.84%0.6319 72.48%0.5374 61.85%0.3778 52.45%0.5844 53.05%0.4811 62.74%0.5288 55.60%0.6449 41.74%0.3829 42.36%0.3456 30.73%0.3604 48.49%0.6038 NA0.1577 23.02%0.3330 38.21%0.4697 53.60%
