AREA DE PROFUNDIZACIÓN II NIVEL III

ANÁLISIS DE SENSIBILIDAD
DÉCIMO SEMESTRE
CÓDIGO 131841003

MODELO SIMULACIÓN COSTO DE CAPITAL -TUTORIA III

FACULTAD DE CIENCIAS ECONÓMICAS, ADMINISTRATIVAS Y CO

PROGRAMA ADMINISTRACIÓN FINANCIERA

AUTORES: JOSE SAMUEL ARBELAEZ, VIVIANA MARCELA CALLEJAS Y BIANEY C

ÓN II NIVEL III
ILIDAD

CAPITAL -TUTORIA III

MINISTRATIVAS Y CONTABLES
ÓN FINANCIERA

CELA CALLEJAS Y BIANEY CASTRO

 Estado de Situación Financiera
A 31 de diciembre 2018
(Valores expresados en millones de pesos colombianos)
ACTIVO DICIEMBRE 2018 ANÁLISIS VERTICAL
Activo corriente
Efectivo y equivalentes de efectivo 347,520 3%
Deudores comerciales y otras cuentas por cobrar 1,020,579 8%
Inventarios 1,109,878 8%
Activos biológicos 94,569 1%
Otros activos corrientes 241,726 2%
Activos no corrientes mantenidos para la venta 6,777 0%
Total activo corriente 2,821,049 21%
Activo no corriente
Deudores comerciales y otras cuentas por cobrar 28,065 0%
Inversiones en asociadas y negocios conjuntos 192,795 1%
Otros activos financieros no corrientes 3,322,694 25%
Propiedades, planta y equipo, neto 3,376,364 25%
Propiedades de inversión 77,062 1%
Plusvalía 2,085,908 15%
Otros activos intangibles 1,167,536 9%
Activos por impuestos diferidos 379,753 3%
Otros activos no corrientes 72,471 1%
Total activo no corriente 10,702,648 79%
TOTAL ACTIVOS 13,523,697 100%
PASIVO
Pasivo corriente
Obligaciones financieras 522,302 10%
Proveedores y cuentas por pagar 1,094,960 21%
Impuesto sobre la renta e impuestos por pagar 228,841 4%
Pasivo por beneficios a empleados 165,833 3%
Provisiones corrientes 4,118 0%
Otros pasivos corrientes 26,676 1%
Total pasivo corriente 2,042,730 39%
Pasivos no corriente
Obligaciones financieras 2,265,743 44%
Proveedores y cuentas por pagar 158 0%
Pasivo por beneficios a empleados 175,036 3%
Pasivo por impuesto diferido 704,763 14%
Otros pasivos no corrientes 536 0%
Total pasivo no corriente 3,146,236 61%
TOTAL PASIVO 5,188,966 100%
PATRIMONIO
Patrimonio atribuible a las participaciones controladoras 8,290,443 61%
Participaciones no controladoras 44,288 0%
TOTAL PATRIMONIO 8,334,731 62%
TOTAL PASIVO Y PATRIMONIO 13,523,697 100%
nanciera
2018
e pesos colombianos)
DICIEMBRE 2017 ANÁLISIS VERTICAL ANÁLISIS HORIZONTAL

435,643 3% -20%
957,568 7% 7%
982,816 7% 13%
81,518 1% 16%
221,475 2% 9%
6,557 0% 3%
2,685,577 19% 5%

26,509 0% 6%
180,451 1% 7%
4,133,963 29% -20%
3,395,671 24% -1%
72,306 1% 7%
2,118,226 15% -2%
1,181,350 8% -1%
415,072 3% -9%
100,352 1% -28%
11,623,900 81% -8%
14,309,477 100% -5%

557,133 10% -6%

993,241 19% 10%
207,776 4% 10%
172,730 3% -4%
3,420 0% 20%
20,661 0% 29%
1,954,961 36% 4%

2,474,077 46% -8%

 158 0% 0%
226,574 4% -23%
702,967 13% 0%
559 0% -4%
3,404,335 64% -8%
5,359,296 100% -3%

8,907,656 62% -7%

42,525 0% 4%
8,950,181 63% -7%
14,309,477 100% -5%
 Estado de Situación Financiera
A 31 de diciembre 2018
(Valores expresados en millones de pesos colombianos)
A 31 DE
DICIEMBRE DE ANÁLISIS
2018 VERTICAL
Operaciones continuadas
Ingresos operacionales $ 9,016,066 100%
Costos de ventas $ (4,969,218) -55%
Utilidad bruta $ 4,046,848 45%
Gastos de administración $ (406,057) -5%
Gastos de venta $ (2,651,071) -29%
Gastos de producción $ (146,966) -2%
Diferencia en cambio de activos y pasivos operativos $ (4,260) 0%
Otros ingresos (egresos) netos operacionales $ 10,802 0%
Utilidad operativa $ 849,296 9%
Ingresos financieros $ 15,457 0%
Gastos financieros $ (247,304) -3%
Dividendos $ 58,851 1%
Diferencia en cambio de activos y pasivos no operativos $ 23,113 0%
Participación en asociadas y negocios conjuntos $ (400) 0%
Otros ingresos netos $ 5,202 0%
Utilidad antes de impuesto de renta e interés no controlante $ 704,215 8%
Impuesto sobre la renta corriente $ (164,423) -2%
Impuesto sobre la renta diferido $ (24,901) 0%
Utilidad del ejercicio de operaciones continuadas $ 514,891 6%
Operaciones discontinuadas, después de impuestos $ (6,135) 0%
Utilidad neta del ejercicio $ 508,756 6%

Resultado del período atribuible a:

Participaciones controladoras 505308
Participaciones no controladoras 3448
Utilidad neta del ejercicio 508756
Ebitda $ 1,126,422
 nciera
018
esos colombianos)

A 31 DE DICIEMBRE ANÁLISIS ANÁLISIS

DE 2017 VERTICAL HORIZONTAL

$ 8,695,604 100% 3.7%

$ (4,855,635) -56% 2.3%
$ 3,839,969 44% 5.4%
$ (399,846) -5% 1.6%
$ (2,551,874) -29% 3.9%
$ (139,088) -2% 5.7%
$ 255 0% -1770.6%
$ 25,109 0% -57.0%
$ 774,525 9% 9.7%
$ 13,941 0% 10.9%
$ (307,548) -4% -19.6%
$ 54,386 1% 8.2%
$ (21,401) 0% -208.0%
$ 5,994 0% -106.7%
$ 3,290 0% 58.1%
$ 523,187 6% 34.6%
$ (144,956) -2% 13.4%
$ 47,179 1% -152.8%
$ 425,410 5% 21.0%
$ (1,070) 0% 473.4%
$ 424,340 5% 19.9%

420207
4133
424340
$ 1,044,179
 ESTRUCTURA DE CAPITAL

(Valores expresados en millones de pesos colombianos)

Deuda fra CP $ 522,302
Deuda fra LP $ 2,265,743
Total deuda financiera $ 2,788,045 D
Patrimonio $ 8,334,731 E

D/E 33%

D/(D+E) 25.07%
E/(D+E) 74.93%
100.00%

Estructura de Capital

74.93%

25.07%

Column C
Total deuda financiera Patrimonio
 Prima de Riesgo
Date rf_e.a S&P 500 rm_m.mv rm_a.av (KM-KL)
10/1/2014 2.34% 2,018.05
11/1/2014 2.19% 2,067.56 2.42% 33.29% 31.10%
12/1/2014 2.17% 2,058.90 -0.42% -4.92% -7.09%
1/1/2015 1.68% 1,994.99 -3.15% -31.92% -33.60%
2/1/2015 2.00% 2,104.50 5.34% 86.77% 84.77%
3/1/2015 1.93% 2,067.89 -1.75% -19.14% -21.07%
4/1/2015 2.05% 2,085.51 0.85% 10.67% 8.62%
5/1/2015 2.10% 2,107.39 1.04% 13.27% 11.17%
6/1/2015 2.34% 2,063.11 -2.12% -22.71% -25.04%
7/1/2015 2.21% 2,103.84 1.95% 26.15% 23.95%
8/1/2015 2.20% 1,972.18 -6.46% -55.14% -57.34%
9/1/2015 2.06% 1,920.03 -2.68% -27.82% -29.88%
10/1/2015 2.15% 2,079.36 7.97% 151.03% 148.88%
11/1/2015 2.22% 2,080.41 0.05% 0.61% -1.61%
12/1/2015 2.27% 2,043.94 -1.77% -19.28% -21.54%
1/1/2016 1.93% 1,940.24 -5.21% -47.36% -49.29%
2/1/2016 1.74% 1,932.23 -0.41% -4.85% -6.59%
3/1/2016 1.79% 2,059.74 6.39% 110.30% 108.51%
4/1/2016 1.82% 2,065.30 0.27% 3.28% 1.46%
5/1/2016 1.83% 2,096.95 1.52% 19.86% 18.02%
6/1/2016 1.49% 2,098.86 0.09% 1.10% -0.39%
7/1/2016 1.46% 2,173.60 3.50% 51.09% 49.63%
8/1/2016 1.57% 2,170.95 -0.12% -1.45% -3.02%
9/1/2016 1.61% 2,168.27 -0.12% -1.47% -3.08%
10/1/2016 1.83% 2,126.15 -1.96% -21.16% -22.99%
11/1/2016 2.37% 2,198.81 3.36% 48.68% 46.31%
12/1/2016 2.48% 2,238.83 1.80% 23.93% 21.45%
1/1/2017 2.45% 2,278.87 1.77% 23.47% 21.02%
2/1/2017 2.36% 2,363.64 3.65% 53.80% 51.44%
3/1/2017 2.40% 2,362.72 -0.04% -0.47% -2.86%
4/1/2017 2.28% 2,384.20 0.91% 11.42% 9.14%
5/1/2017 2.20% 2,411.80 1.15% 14.72% 12.52%
6/1/2017 2.30% 2,423.41 0.48% 5.92% 3.62%
7/1/2017 2.29% 2,470.30 1.92% 25.58% 23.29%
8/1/2017 2.12% 2,471.65 0.05% 0.66% -1.46%
9/1/2017 2.33% 2,519.36 1.91% 25.52% 23.19%
10/1/2017 2.38% 2,575.26 2.19% 29.76% 27.38%
11/1/2017 2.42% 2,584.84 0.37% 4.55% 2.13%
12/1/2017 2.41% 2,673.61 3.38% 48.96% 46.55%
1/1/2018 2.72% 2,823.81 5.47% 89.38% 86.66%
2/1/2018 2.87% 2,713.83 -3.97% -38.52% -41.39%
3/1/2018 2.74% 2,640.87 -2.73% -28.22% -30.96%
4/1/2018 2.94% 2,648.05 0.27% 3.31% 0.37%
5/1/2018 2.82% 2,705.27 2.14% 28.90% 26.07%
 6/1/2018 2.85% 2,718.37 0.48% 5.95% 3.10%
7/1/2018 2.96% 2,816.29 3.54% 51.79% 48.82%
8/1/2018 2.85% 2,901.52 2.98% 42.27% 39.41%
9/1/2018 3.06% 2,913.98 0.43% 5.27% 2.21%
10/1/2018 3.16% 2,711.74 -7.19% -59.17% -62.33%
11/1/2018 3.01% 2,760.17 1.77% 23.44% 20.42%
12/1/2018 2.69% 2,506.85 -9.63% -70.32% -73.00%
1/1/2019 2.64% 2,704.10 7.57% 140.16% 137.52%
2/1/2019 2.71% 2,784.49 2.93% 41.41% 38.70%
3/1/2019 2.41% 2,834.40 1.78% 23.53% 21.12%
4/1/2019 2.51% 2,945.83 3.86% 57.46% 54.95%
5/1/2019 2.14% 2,752.06 -6.80% -57.07% -59.21%
6/1/2019 2.00% 2,941.76 6.67% 116.92% 114.92%
7/1/2019 2.02% 2,980.38 1.30% 16.82% 14.80%
8/1/2019 1.51% 2,926.46 -1.83% -19.84% -21.34%
9/1/2019 1.64% 2,966.60 1.36% 17.63% 15.99%
 Promedio Rf 2.27%
Promedio Rm 16.23%
Prima de Riesgo
2016 Promedio Tasa libre de Riesgo rf Promedio 1.83%
13.34% Riendimiento M rM Promedio 15.16%
13.34%

2017 Prima de Riesgo

Promedio Tasa libre de Riesgo rf Promedio 2.33%
18.00% Riendimiento M rM Promedio 20.32%
18.00%

2018 Prima de Riesgo

Promedio Tasa libre de Riesgo rf Promedio 2.89%
1.62% Riendimiento M rM Promedio 4.51%
1.62%
 Prima de riesgo de mercado implícita
Adaptación del modelo propuesto por el profesor Aswath Damodaran

Nivel actual del índice 2,506.85

Rendimiento Efectivo S&P500 4.51%

g de corto plazo -0.22%

g de largo plazo 2.24%

Tasa libre de riesgo 2.27%

Prima de mercado 4.09% Implicita
Beta del mercado 1
Tasa de descuento 6.35%

Año 1 2 3 4 5 Terminal
Índice 2,501.26 2,495.68 2,490.12 2,484.57 2,479.03 2,534.46
Cash 112.70 112.45 112.20 111.95 111.70 114.19
VP(Cash) 105.97 99.41 93.27 87.50 82.09 2,038.61
Valor implícito del índice 2,506.85
(0.00)

2018 2019 2020 2021 2022

Inflación esperada USA 2.34% 2.69% 2.19% 2.29% 2.24%
Fuente: http://www.imf.org/external/pubs/ft/weo/2017/02/weodata/weorept.aspx?sy=2015&ey=2022&scsm=1&ssd=1&sort=countr
scsm=1&ssd=1&sort=country&ds=.&br=1&pr1.x=67&pr1.y=7&c=111&s=PCPIEPCH&grp=0&a=
 S&P Dow Jones Indices
S&P 500, $ U.S. BILLIONS
Utilidad Dividendo Dividendos &
Valor
PERIODO Reportada Dividendos de Dividendos de
Patrimonial
Trimestral Recompra Recompra
$ BILLIONS $ BILLIONS $ BILLIONS $ BILLIONS YIELD
9/30/2018 $24,579 $306.70 $115.72 $203.76 4.75%
6/30/2018 $23,036 $288.55 $111.60 $190.62 4.69%
3/29/2018 $22,496 $281.28 $109.18 $189.05 4.46%
12/29/2017 $22,821 $230.12 $109.46 $136.97 4.12%
9/29/2017 $21,579 $243.68 $105.45 $129.17 4.32%
6/30/2017 $20,762 $231.40 $104.01 $120.11 4.37%
3/31/2017 $20,276 $235.65 $100.86 $133.15 4.49%
12/31/2016 $19,268 $207.93 $103.82 $135.29 4.85%
9/30/2016 $18,742 $219.46 $98.43 $112.20 5.01%
6/30/2016 $18,193 $201.79 $98.30 $127.50 5.36%
3/31/2016 $17,958 $189.37 $96.67 $161.39 5.43%
12/31/2015 $17,900 $163.76 $99.39 $145.88 5.33%
9/30/2015 $16,917 $204.58 $95.07 $150.58 4.19%
6/30/2015 $18,219 $201.35 $94.45 $131.56 2.54%
3/31/2015 $18,303 $193.05 $93.41 $144.13 1.30%
Rendimiento Efectivo Promedio
4.50%

ROE
4.50%

Razón de pago
105.0%
 Costo de la Deuda

Tasa libre de riesgo (Rf) 2.27%

UAII $ 849,296.00 Valores expresados en millones de pesos colombianos

Intereses netos $ 247,304.00 Valores expresados en millones de pesos colombianos

Cobertura de intereses 3.43

Spread 1.56% 1.56%

k'D 3.83% E.A

Riesgo país 1.84%

k'D (COL,USD) 5.67%

2018 2019 2020 2021
E(Inflación COL) 3.44% 3.30% 3.90% 3.65% 3.35%
E(Inflación USA) 2.35% 2.34% 2.69% 2.19% 2.29%
Diferencial de inflaciones 1.06%

E(Devaluación) 1.72% -4.10% 4.20% 1.40% 3.40%

kD 6.79% Están en pesos

 2022
3.00% Fuente: https://www.grupobancolombia.com/wps/portal/empresas/capital-inteligente/investigaciones-economicas/pu
2.24% Fuente: http://www.imf.org/external/pubs/ft/weo/2017/02/weodata/weorept.aspx?sy=2015&ey=2022&scsm=1&ssd=1

3.70% Fuente: https://www.grupobancolombia.com/wps/portal/empresas/capital-inteligente/investigaciones-economicas/pu

nte/investigaciones-economicas/publicaciones/tablas-macroeconomicos-proyectados
sy=2015&ey=2022&scsm=1&ssd=1&sort=country&ds=.&br=1&pr1.x=67&pr1.y=7&c=111&s=PCPIEPCH&grp=0&a=

nte/investigaciones-economicas/publicaciones/tablas-macroeconomicos-proyectados
Beta de la Deuda

rf 2.27%
Implied ERP 4.09% Prima de Riesgo
k'D 3.83%

beta D 0.38
Date of Analysis: Data used is as of January 2019.

For large manufacturing firms

If interest coverage ratio is
> ≤ to Rating is Spread is
-100000 0.199999 D2/D 19.38%
0.2 0.649999 C2/C 14.54%
0.65 0.799999 Ca2/CC 11.08%
0.8 1,249,999 Caa/CCC 9.00%
1.25 1,499,999 B3/B- 6.60%
1.5 1,749,999 B2/B 5.40%
1.75 1,999,999 B1/B+ 4.50%
2 22,499,999 Ba2/BB 3.60%
2.25 249,999 Ba1/BB+ 3.00%
2.5 2,999,999 Baa2/BBB 2.00%
3 4,249,999 A3/A- 1.56%
4.25 5,499,999 A2/A 1.38%
5.5 6,499,999 A1/A+ 1.25%
6.5 8,499,999 Aa2/AA 1.00%
8.50 100000 Aaa/AAA 0.75%
CUADRO 35 INDICADORES DE RIESGO PARA PAÍSES EMERGENTES: Índice de Bonos de Mercados Emerge
RISK INDICATORS FOR EMERGING COUNTRIES: Emerging Market Bond Index (EMBIG)

Diferencial de rendimientos del índice de bonos de mercados emergentes (EMBIG

Perú Argentina Brasil

2017 145 412 264

Ene. 157 467 300
Feb. 152 454 278
Mar. 141 444 272
Abr. 149 424 265
May. 141 403 266
Jun. 144 410 286
Jul. 142 436 272
Ago. 155 428 265
Set. 144 388 251
Oct. 140 362 235
Nov. 139 370 242
Dic. 136 356 232

2018 148 549 265

Ene. 122 365 217
Feb. 132 400 227
Mar. 147 412 233
Abr. 145 409 234
May. 158 470 260
Jun. 163 529 319
Jul. 150 571 288
Ago. 149 668 300
Set. 140 668 313
Oct. 143 658 263
Nov. 157 656 258
Dic. 165 778 268

2019 130 1035 237

Ene. 152 701 249
Feb. 139 679 236
Mar. 136 748 242
Abr. 122 839 244
May. 135 925 251
Jun. 129 883 242
 Jul. 116 790 213
Ago. 127 1568 233
Set. 1-17 112 2179 226

Nota: Var.
Anual -27 1512 -87
Acumulada -52 1401 -42
Mensual -15 611 -7

1/ La información de este cuadro se ha actualizado en la Nota Semanal N° 29 (19 de setiembre de 2019). Corresponde a dat
2/ Índice elaborado por el J.P. Morgan que refleja los retornos del portafolio de deuda según sea el caso, es decir, de cada pa
gentes en conjunto. Considera como deuda, eurobonos, bonos Brady y en menor medida deudas locales y préstamos. Es
disminución se asocia con una reducción del riesgo país percibido por los inversionistas. Se mide en puntos básicos y corr
bono del Tesoro de EUA de similar duración de la deuda en cuestión.
3/ Cien puntos básicos equivalen a uno porcentual.

Fuente: Reuters.
Elaboración: Gerencia de Información y Análisis Económico - Subgerencia de Economía Internacional.
ENTES: Índice de Bonos de Mercados Emergentes (EMBIG) 1/
Emerging Market Bond Index (EMBIG) 1/ Stripped Spread 2/ (In basis points) 3/

ce de bonos de mercados emergentes (EMBIG) / Emerging Market Bond Index (EMBIG) Stripped Spread

Chile Colombia Ecuador México Venezuela

130 194 621 256 2845

150 211 610 305 2089
132 199 607 282 2065
132 195 616 263 2126
137 197 711 260 2245
133 194 665 248 2241
132 196 710 252 2435
131 200 687 248 2616
124 201 641 244 3022
127 189 628 241 3110
122 185 571 243 3162
125 186 541 245 4279
118 174 470 242 4749

133 184 642 273 5188

110 159 451 235 4893
117 173 492 233 4760
123 179 546 246 4308
124 173 594 245 4237
136 190 687 269 4464
142 200 715 293 4711
137 180 651 268 4986
139 182 680 279 5364
133 177 690 269 6091
129 180 671 269 5807
146 202 746 327 6028
160 215 775 346 6601

134 186 625 321 7477

148 201 710 328 5738
136 191 653 319 4986
133 188 613 309 5191
128 177 552 295 5391
132 190 575 309 5548
137 190 590 333 6012
 129 172 578 327 11010
136 187 706 347 11526
129 174 646 322 11889

-5 -3 -44 53 5798
-32 -41 -129 -23 5288
-7 -14 -60 -24 363

(19 de setiembre de 2019). Corresponde a datos promedio del periodo.

deuda según sea el caso, es decir, de cada país, de los países latinoamericanos y de los países emer-
menor medida deudas locales y préstamos. Estos indicadores son promedio para cada período y su
versionistas. Se mide en puntos básicos y corresponde al diferencial de rendimientos con respecto al

Economía Internacional.
 LATIN EMBIG
EMBIG Países
Países
Emergentes /
Latinoamericanos /
Emerging Countries
Latin Countries
429 325 2017
463 354 Jan.
442 338 Feb.
431 329 Mar.
432 331 Apr.
420 320 May.
430 325 Jun.
435 327 Jul.
435 325 Aug.
416 314 Sep.
407 306 Oct.
422 320 Nov.
419 313 Dec.

471 360 2018

410 298 Jan.
419 308 Feb.
423 319 Mar.
422 322 Apr.
458 352 May.
486 377 Jun.
470 365 Jul.
493 383 Aug.
497 385 Sep.
492 378 Oct.
528 405 Nov.
553 425 Dec.

503 370 2019

518 400 Jan.
493 373 Feb.
488 371 Mar.
486 364 Apr.
505 377 May.
510 374 Jun.
509 354 Jul.
528 372 Aug.
494 345 Sep. 1-17

Note: bp chg.
-2 -40 Year-to-Year
-58 -80 Cumulative
-34 -28 Monthly
 Beta D Apalancada BL =BU + D/E (1-t) (BU-BD)

Beta U industria 1.22 1.22 Donde:

D/E 0.33
BU= Beta de la Industria
T 34%
Beta D 0.38 D/E= Relación Deuda Patrimonio

Beta L 1.40 t =Tasa Impositiva

1%
BD = Beta de la Deuda
1.40
1.18 1.36
1.20 1.38
1.21 1.39
1.22 1.41 Cual es la variacon de la Beta L, teniendo en cuenta una variacion
1.23 1.42 porcentual del 1%
1.24 1.44
1.26 1.45
000000Global Companies 000000Betas by Sector 000000January 2016

Date updated: 5-Jan-19 YouTube Video explaining estimation choices and process. Notes
Created by: Aswath Damodaran, adamodar@stern.nyu.edu if you are looking for a pure-play beta, i.e., a beta for a business, the unle
What is this data? Beta, Unlevered beta and other risk measures US companies beta corrected for cash is your best bet. Since even sector betas can mov
Home Page: http://www.damodaran.com time, I have also reported the average of the this sector beta across time
Data website: http://www.stern.nyu.edu/~adamodar/New_Home_Page/data.html last column. This number, for obvious reasons, is less likely to be volatile
time.
Companies in each industry: http://www.stern.nyu.edu/~adamodar/pc/datasets/indname.xls
Variable definitions: http://www.stern.nyu.edu/~adamodar/New_Home_Page/datafile/variable.htm
Do you want to use marginal or effective tax rates in unlevering betas? Marginal
If marginal tax rate, enter the marginal tax rate to use 25.00%

Effective Tax
Industry Name Number of firms Beta D/E Ratio rate Unlevered beta Cash/Firm value Unlevered beta corrected for cash HiLo Risk
Advertising 48 1.22 71.06% 5.69% 0.79 8.64% 0.87 0.6668
Aerospace/Defense 85 1.24 25.39% 11.40% 1.04 4.65% 1.09 0.5108
Air Transport 18 1.02 89.82% 6.48% 0.61 3.77% 0.63 0.4134
Apparel 50 0.93 35.00% 14.19% 0.74 3.43% 0.76 0.5380
Auto & Truck 14 0.79 195.44% 10.15% 0.32 5.94% 0.34 0.4878
Auto Parts 52 1.17 39.95% 11.57% 0.90 7.24% 0.97 0.5604
Bank (Money Center) 10 0.71 203.85% 26.01% 0.28 34.12% 0.43 0.1730
Banks (Regional) 633 0.57 76.51% 26.99% 0.36 10.54% 0.40 0.2015
Beverage (Alcoholic) 31 1.30 34.18% 2.55% 1.03 1.35% 1.05 0.5694
Beverage (Soft) 37 1.18 23.53% 3.87% 1.00 4.21% 1.04 0.6396
Broadcasting 24 1.02 144.55% 2.54% 0.49 3.76% 0.51 0.4222
Brokerage & Investment Banking 38 1.21 296.73% 22.47% 0.37 18.29% 0.46 0.3704
Building Materials 42 1.10 32.99% 16.11% 0.88 3.99% 0.91 0.3707
Business & Consumer Services 168 1.22 35.68% 7.60% 0.96 3.95% 1.00 0.5495
Cable TV 14 1.13 70.70% 3.61% 0.74 2.85% 0.76 0.2818
Chemical (Basic) 39 1.55 66.48% 7.33% 1.03 7.90% 1.12 0.5418
Chemical (Diversified) 6 1.82 36.80% 3.18% 1.42 4.49% 1.49 0.3575
Chemical (Specialty) 89 1.17 32.62% 10.71% 0.94 4.93% 0.99 0.4753
Coal & Related Energy 23 1.17 67.40% 1.75% 0.78 19.77% 0.97 0.5707
Computer Services 119 1.27 39.18% 8.75% 0.98 6.22% 1.05 0.6067
Computers/Peripherals 57 1.68 25.13% 6.60% 1.41 5.66% 1.50 0.5360
Construction Supplies 48 1.45 45.88% 13.21% 1.08 6.01% 1.15 0.4206
Diversified 23 1.36 35.47% 7.41% 1.07 6.09% 1.14 0.5055
Drugs (Biotechnology) 481 1.51 18.92% 0.93% 1.32 7.47% 1.43 0.6041
Drugs (Pharmaceutical) 237 1.47 14.36% 2.26% 1.32 4.08% 1.38 0.6491
Education 35 1.28 30.73% 6.14% 1.04 6.39% 1.11 0.5390
Electrical Equipment 116 1.32 22.14% 4.36% 1.13 4.08% 1.18 0.6493
Electronics (Consumer & Office) 19 1.19 9.77% 7.67% 1.11 9.34% 1.22 0.5770
Electronics (General) 160 1.02 19.38% 11.67% 0.89 7.63% 0.96 0.5159
Engineering/Construction 52 1.01 48.88% 7.62% 0.74 9.02% 0.81 0.4309
Entertainment 120 1.33 19.85% 1.93% 1.16 4.63% 1.21 0.6944
Environmental & Waste Services 91 1.19 33.64% 3.23% 0.95 0.87% 0.96 0.6329
Farming/Agriculture 33 0.72 66.26% 9.64% 0.48 3.43% 0.50 0.5497
Financial Svcs. (Non-bank & Insurance) 259 0.70 1138.31% 20.38% 0.07 2.58% 0.08 0.3064
Food Processing 83 0.81 46.80% 5.17% 0.60 1.83% 0.61 0.4401
Food Wholesalers 18 1.62 44.86% 4.71% 1.22 1.56% 1.23 0.5032
Furn/Home Furnishings 30 0.88 50.67% 16.96% 0.64 4.01% 0.67 0.4822
Green & Renewable Energy 21 1.62 146.40% 0.00% 0.77 3.24% 0.80 0.7244
000000Global Companies 000000Betas by Sector 000000January 2016

Effective Tax
Industry Name Number of firms Beta D/E Ratio rate Unlevered beta Cash/Firm value Unlevered beta corrected for cash HiLo Risk
Healthcare Products 248 1.12 14.86% 5.46% 1.01 3.06% 1.04 0.5501
Healthcare Support Services 111 1.15 36.22% 8.33% 0.91 11.64% 1.03 0.5389
Heathcare Information and Technology 119 1.29 17.24% 5.65% 1.14 3.02% 1.18 0.5598
Homebuilding 31 0.98 62.24% 24.35% 0.67 7.71% 0.72 0.4157
Hospitals/Healthcare Facilities 34 1.12 139.76% 6.88% 0.55 1.27% 0.55 0.4838
Hotel/Gaming 70 1.01 63.90% 9.55% 0.68 4.35% 0.71 0.4490
Household Products 141 1.13 21.12% 7.14% 0.98 2.17% 1.00 0.6117
Information Services 71 1.12 15.06% 10.37% 1.01 3.83% 1.05 0.4209
Insurance (General) 20 0.87 47.86% 13.97% 0.64 4.45% 0.67 0.3298
Insurance (Life) 23 1.11 104.73% 3.47% 0.62 11.66% 0.70 0.2660
Insurance (Prop/Cas.) 50 0.74 25.46% 15.95% 0.62 4.52% 0.65 0.2261
Investments & Asset Management 172 1.10 67.35% 7.09% 0.73 15.38% 0.87 0.3686
Machinery 127 1.17 26.93% 13.62% 0.97 3.80% 1.01 0.4303
Metals & Mining 94 1.32 41.78% 3.06% 1.01 9.28% 1.11 0.6830
Office Equipment & Services 24 1.81 61.37% 13.71% 1.24 6.91% 1.33 0.4706
Oil/Gas (Integrated) 5 1.16 17.25% 8.91% 1.03 2.88% 1.06 0.3793
Oil/Gas (Production and Exploration) 301 1.45 55.19% 1.93% 1.03 4.32% 1.07 0.6041
Oil/Gas Distribution 20 1.07 101.28% 8.05% 0.61 2.31% 0.62 0.4091
Oilfield Svcs/Equip. 134 1.33 46.78% 4.22% 0.98 7.86% 1.07 0.5599
Packaging & Container 27 1.07 66.41% 13.01% 0.72 2.65% 0.74 0.3961
Paper/Forest Products 20 1.40 48.37% 8.42% 1.02 12.66% 1.17 0.5161
Power 51 0.54 79.41% 13.59% 0.34 1.47% 0.35 0.2332
Precious Metals 91 1.19 21.25% 2.08% 1.03 10.56% 1.15 0.6987
Publishing & Newspapers 33 1.26 70.12% 12.00% 0.82 8.39% 0.90 0.4364
R.E.I.T. 238 0.68 90.71% 2.42% 0.40 1.47% 0.41 0.1997
Real Estate (Development) 18 1.19 69.45% 0.00% 0.79 9.82% 0.87 0.5287
Real Estate (General/Diversified) 11 1.36 49.84% 7.10% 0.99 25.15% 1.33 0.4907
Real Estate (Operations & Services) 59 1.35 65.34% 8.46% 0.90 5.19% 0.95 0.5451
Recreation 72 0.98 36.32% 7.43% 0.77 4.96% 0.81 0.5168
Reinsurance 2 0.97 29.87% 9.80% 0.79 10.14% 0.88 0.1049
Restaurant/Dining 78 0.80 35.53% 8.96% 0.63 3.21% 0.65 0.4410
Retail (Automotive) 24 1.15 71.91% 8.89% 0.75 1.46% 0.76 0.4577
Retail (Building Supply) 17 1.12 22.84% 20.08% 0.95 1.35% 0.97 0.4176
Retail (Distributors) 88 1.44 65.63% 8.15% 0.96 2.28% 0.99 0.5220
Retail (General) 19 0.91 34.09% 10.85% 0.73 3.33% 0.75 0.4058
Retail (Grocery and Food) 12 0.45 83.43% 3.01% 0.28 1.19% 0.28 0.3711
Retail (Online) 79 1.42 12.00% 3.85% 1.30 3.37% 1.34 0.5960
Retail (Special Lines) 91 1.07 51.62% 13.81% 0.77 3.54% 0.80 0.5123
Rubber& Tires 4 0.42 119.65% 25.00% 0.22 7.70% 0.24 0.3703
Semiconductor 72 1.34 14.14% 10.19% 1.21 4.44% 1.26 0.4461
Semiconductor Equip 41 1.39 16.57% 13.77% 1.23 11.21% 1.39 0.4373
Shipbuilding & Marine 9 1.08 56.70% 0.00% 0.76 2.91% 0.78 0.5006
Shoe 10 0.75 7.43% 18.57% 0.72 3.53% 0.74 0.3572
Software (Entertainment) 92 1.26 2.19% 3.47% 1.24 2.56% 1.27 0.6844
Software (Internet) 44 1.46 21.65% 0.85% 1.25 3.94% 1.31 0.6444
Software (System & Application) 355 1.23 12.87% 4.62% 1.12 3.60% 1.16 0.5631
Steel 37 1.62 50.25% 4.18% 1.18 9.22% 1.29 0.4899
000000Global Companies 000000Betas by Sector 000000January 2016

Effective Tax
Industry Name Number of firms Beta D/E Ratio rate Unlevered beta Cash/Firm value Unlevered beta corrected for cash HiLo Risk
Telecom (Wireless) 21 1.26 115.78% 2.38% 0.68 4.29% 0.71 0.6199
Telecom. Equipment 98 1.09 18.05% 6.20% 0.96 6.15% 1.02 0.4932
Telecom. Services 67 1.22 89.20% 3.72% 0.73 1.50% 0.74 0.6288
Tobacco 17 1.29 25.23% 7.27% 1.09 3.52% 1.13 0.6225
Transportation 19 1.14 42.47% 5.29% 0.87 3.70% 0.90 0.4130
Transportation (Railroads) 10 2.47 26.93% 0.00% 2.05 1.27% 2.08 0.3941
Trucking 28 1.22 103.10% 1.23% 0.69 3.31% 0.71 0.4151
Utility (General) 18 0.27 71.36% 14.66% 0.17 0.55% 0.17 0.1259
Utility (Water) 19 0.42 43.00% 9.49% 0.32 0.50% 0.32 0.3758
Total Market 7209 1.12 66.64% 8.76% 0.75 6.49% 0.80 0.4864
Total Market (without financials) 6004 1.21 34.51% 6.21% 0.96 4.02% 1.00 0.5323
 000000Global Companies 000000Betas by Sector 000000January 2016

Notes
if you are looking for a pure-play beta, i.e., a beta for a business, the unlevered
beta corrected for cash is your best bet. Since even sector betas can move over
time, I have also reported the average of the this sector beta across time in the
last column. This number, for obvious reasons, is less likely to be volatile over
time.

Unlevered beta corrected for cash - Over time

Standard deviation in
operating income (last Average (2015-
Standard deviation of equity 10 years) 2015 2016 2017 2018 19)
66.44% 14.22% 0.83 0.74 0.91 0.78 0.83
40.77% 14.93% 1.06 1.20 0.94 0.99 1.05
34.19% 82.22% 0.61 0.85 0.76 0.67 0.70
48.89% 20.31% 0.86 0.88 0.71 0.85 0.81
38.24% 167.33% 0.59 0.47 0.38 0.59 0.47
44.28% 53.51% 1.14 1.08 0.94 0.92 1.01
18.29% NA 0.34 0.47 0.41 0.32 0.39
20.60% NA 0.37 0.36 0.36 0.39 0.38
33.49% 45.51% 0.89 0.82 0.71 1.12 0.92
50.32% 11.51% 0.98 0.99 0.78 0.63 0.88
37.29% 20.09% 0.83 0.75 0.70 0.65 0.69
32.08% 36.54% 0.41 0.46 0.42 0.54 0.46
33.40% 63.16% 0.93 0.98 0.87 0.99 0.94
44.86% 23.12% 1.00 0.95 0.85 1.01 0.96
26.32% 34.31% 0.70 0.89 0.82 0.67 0.77
54.33% 44.65% 0.75 0.81 0.68 0.96 0.87
32.60% 38.52% 0.99 1.27 1.22 1.79 1.35
42.33% 17.28% 0.91 1.01 0.98 0.95 0.97
53.58% 227.62% 0.83 0.39 0.61 1.04 0.77
41.69% 11.07% 0.99 1.00 0.83 0.94 0.96
49.87% 32.48% 1.17 1.22 0.94 0.93 1.15
32.24% 29.67% 1.22 1.18 1.02 0.95 1.11
39.46% 22.76% 0.70 0.74 0.63 1.01 0.84
68.96% 49.59% 1.06 1.19 1.25 1.36 1.26
72.45% 6.68% 0.95 0.94 0.93 1.13 1.06
37.66% 33.28% 0.95 0.86 1.05 0.96 0.98
57.29% 15.34% 1.14 1.03 1.04 1.02 1.08
62.71% 441.09% 1.38 1.16 0.97 1.08 1.16
46.69% 28.04% 1.01 0.98 0.83 0.91 0.94
40.14% 8.76% 1.19 1.07 1.01 1.13 1.04
54.34% 24.59% 0.99 0.98 0.97 0.96 1.02
46.15% 13.94% 0.94 0.82 0.63 0.70 0.81
29.07% 25.27% 0.58 0.77 0.62 0.56 0.60
27.33% 52.61% 0.06 0.06 0.07 0.07 0.07
27.46% 23.21% 0.82 0.74 0.63 0.56 0.67
40.99% 17.34% 1.26 0.61 0.93 1.41 1.09
43.51% 36.62% 0.92 1.00 0.69 0.67 0.79
69.48% 76.39% 0.68 0.84 0.47 0.72 0.70
000000Global Companies 000000Betas by Sector 000000January 2016

Standard deviation in
operating income (last Average (2015-
Standard deviation of equity 10 years) 2015 2016 2017 2018 19)
56.32% 11.52% 0.90 0.92 0.92 0.89 0.93
48.13% 23.27% 0.91 0.89 0.82 0.82 0.89
53.01% 29.60% 0.84 0.99 0.83 0.88 0.94
34.08% 106.97% 0.92 0.81 0.77 0.89 0.82
49.69% 25.10% 0.59 0.44 0.45 0.51 0.51
35.01% 31.98% 0.83 0.68 0.67 0.74 0.73
54.64% 5.51% 0.91 0.91 0.69 0.88 0.88
37.11% 34.13% 1.04 0.92 0.87 0.82 0.94
24.63% 78.92% 0.80 0.82 0.71 0.63 0.73
27.64% 34.68% 0.75 0.91 0.80 0.81 0.80
23.90% 58.81% 0.69 0.75 0.70 0.73 0.71
35.43% 31.54% 0.73 0.81 0.68 0.87 0.79
34.36% 21.36% 1.11 1.23 0.93 1.04 1.06
75.46% 40.16% 0.91 0.87 0.89 0.96 0.95
39.46% 14.22% 1.00 1.29 1.09 1.10 1.16
17.62% 70.40% 0.76 1.38 0.95 1.25 1.08
57.36% 144.17% 0.91 0.95 0.99 1.00 0.99
36.03% 31.61% 0.67 0.65 0.69 0.72 0.67
49.29% 45.09% 1.32 1.41 1.11 1.06 1.19
27.47% 17.02% 0.70 0.91 0.60 0.55 0.70
42.72% 26.22% 0.59 0.89 0.83 0.98 0.89
20.53% 9.03% 0.53 0.50 0.33 0.32 0.41
74.54% 68.39% 1.05 1.03 1.10 0.95 1.06
39.32% 11.72% 0.88 1.07 0.96 0.83 0.93
21.22% 33.06% 0.43 0.41 0.41 0.42 0.42
40.78% 128.52% 0.82 0.93 0.47 0.61 0.74
21.50% 181.97% 1.47 1.03 1.09 0.73 1.13
42.49% 44.41% 0.89 0.99 0.62 0.80 0.85
42.73% 47.44% 0.99 0.75 0.76 0.73 0.81
16.27% 35.84% 1.12 0.89 0.65 0.47 0.80
38.18% 16.17% 0.74 0.64 0.61 0.70 0.67
33.22% 33.22% 0.85 0.76 0.63 0.65 0.73
46.94% 31.11% 1.29 1.31 1.12 0.76 1.09
44.59% 33.33% 0.81 0.83 0.77 0.87 0.85
39.63% 6.39% 0.85 0.92 0.82 0.87 0.84
33.06% 25.50% 0.75 0.77 0.46 0.44 0.54
54.22% 28.81% 1.39 1.53 1.17 1.12 1.31
49.17% 19.55% 0.85 0.81 0.76 0.82 0.81
29.03% 40.68% 0.65 1.18 0.89 0.64 0.72
42.66% 33.27% 1.17 1.32 1.11 1.16 1.20
48.66% 67.59% 1.17 1.22 1.10 0.99 1.17
55.89% 33.84% 0.94 0.84 0.85 1.01 0.89
38.65% 24.38% 0.82 0.81 0.83 0.86 0.81
65.58% 61.18% 1.13 1.46 0.96 0.91 1.15
51.90% 54.06% 1.29 1.33 1.12 1.20 1.25
50.68% 11.03% 1.06 1.25 0.99 1.02 1.10
44.32% 72.83% 0.90 0.86 1.19 1.53 1.16
000000Global Companies 000000Betas by Sector 000000January 2016

Standard deviation in
operating income (last Average (2015-
Standard deviation of equity 10 years) 2015 2016 2017 2018 19)
44.49% 44.28% 0.51 0.65 0.58 0.71 0.63
45.72% 20.40% 1.20 1.17 0.86 0.96 1.04
54.23% 33.75% 0.69 0.57 0.68 0.72 0.68
48.08% 10.95% 0.94 1.66 1.13 1.15 1.20
33.82% 27.46% 0.77 1.19 0.83 0.80 0.90
20.12% 21.84% 0.92 0.93 0.66 0.87 1.09
41.51% 34.19% 0.92 1.03 0.76 0.81 0.84
15.34% 7.22% 0.42 0.36 0.25 0.20 0.28
42.67% 21.58% 0.77 0.33 0.47 0.27 0.43
42.67% 16.11% 0.70 0.73 0.65 0.72 0.72
46.24% 14.99% 0.87 0.9 0.85 0.90 0.90
 CAPM

Tasa Libre de Riesgo Rf 2.27%

Prima de Mercado 4.09%
Beta 1.40

rE (US,USD) 7.98%

Riesgo pais 1.84%

rE (COL,USD) 9.83%

Devaluación 1.06% diferencia de Inflaciones

rE (COL,COL) 10.99%
 WACC

Costo
Participación Costo Ajustado Ponderación
Deuda 25.1% 6.79% 4.48% 1.1%
Patrimonio 74.9% 10.99% 10.99% 8.2%
WACC 9.36% Rentabilidad Mínima Esperada

T 34.00%

Fuente: Grupo Nutresa, Consolidados 2018

Mínima Esperada

Nutresa, Consolidados 2018, Pág 42.