Documentos de Académico
Documentos de Profesional
Documentos de Cultura
Año 1
Prepago 350,000
Postpago 300,000
Servicio $ cliente/mensual
Año 0 1 2 3
Prepago 10.0 9.6 9.2 8.8
Reducción anual 4%
Postpago 25.0 24.5 24.0 23.5
Reducción anual 2%
Inversiones
Año 0 1 2
$ 45,000,000 35,000,000 20,000,000
Depreciación 15 años
Valor residual 10% del valor de adquisición
Otros Costos
Costos por servicios 35%
Gastos Administración y 20%
IR 30%
IGV 18%
Deuda
Infraestructura
Propio 50%
Financiado 50%
kd 9%
Plazo (años) 1000%
Capital de Trabajo
Propio 100%
Caja y Bancos 1/36 Gastos desembolsables
CxC 1/6 Ingresos por servicios
Inventarios 1/12 Costo total de equipos
CXP 1/12 Gastos desembolsables
Año 0 1 2 3
Precio equipo prepago subsidio 45 44 42
Precio equipo prepago empresa 15 15 14
Precio equipo postpago subsidio 113 109 106
Precio equipo postpago empresa 38 36 35
Demanda Prepago
Año 0 1 2 3
Permanente 175,000 288,750
Nuevos 350,000 402,500 201,250
Total 350,000 577,500 490,000
Demanda Postpago
Año 0 1 2 3
Permanente 150,000 240,000
Nuevos 300,000 330,000 165,000
Total 300,000 480,000 405,000
Cronograma de Inversiones
Año 0 1 2 3
Equipos 1 45,000,000 - - -
Equipos 2 35,000,000
Equipos 3 20,000,000
Total Inversiones 45,000,000 35,000,000 20,000,000 -
Cronograma de amortizaciones
Año 0 1 2 3
Equipos 1 3,000,000 3,000,000 3,000,000
Equipos 2 2,333,333 2,333,333
Equipos 3 1,333,333
Total amortizaciones - 3,000,000 5,333,333 6,666,667
Cronograma de deuda
Préstamos 1
Año 0 1 2 3
Préstamos 22,500,000
Saldo de Deuda 22,500,000 21,019,048 19,404,810 17,645,291
Amortización 1,480,952 1,614,238 1,759,519
Interés 2,025,000 1,891,714 1,746,433
Cuota 3,505,952 3,505,952 3,505,952
Préstamos 2
Año 0 1 2 3
Préstamos 17,500,000
Saldo de Deuda 17,500,000 16,348,148 15,092,630
Amortización - 1,151,852 1,255,518
Interés - 1,575,000 1,471,333
Cuota - 2,726,852 2,726,852
Préstamos 3
Año 0 1 2 3
Préstamos 10,000,000
Saldo de Deuda - 10,000,000 9,341,799
Amortización - 658,201
Interés - 900,000
Cuota - 1,558,201
Capital de Trabajo
Año 0 1 2 3
Caja y Bancos 61,111 96,133 79,111 89,345
CxC 1,833,333 2,884,000 2,373,315 2,680,355
Inventarios 1,375,000 1,488,344 721,847 1,131,786
CXP 183,333 288,400 237,332 268,036
Total Capital de Trabajo 3,452,778 4,756,877 3,411,604 4,169,522
P&L
Año 0 1 2 3
Ingresos por pago Prepago 3,500,000 5,544,000 4,515,840
Ingresos por pago Postpago 7,500,000 11,760,000 9,724,050
Venta equipos Prepago 15,750,000 17,569,125 8,521,026
Venta equipos Postpago 33,750,000 36,011,250 17,465,456
Total Ingresos 60,500,000 70,884,375 40,226,372
Costo por servicio 3,850,000 6,056,400 4,983,962
Costo equipos Prepago 5,250,000 5,856,375 2,840,342
Costo equipos Postpago 11,250,000 12,003,750 5,821,819
Utilidad Bruta 40,150,000 46,967,850 26,580,250
Gastos Administración y Ventas 2,200,000 3,460,800 2,847,978
Depreciación 3,000,000 5,333,333 6,666,667
Utilidad Operativa 34,950,000 38,173,717 17,065,605
Venta Activo Fijo
Costo de enajenación del Activo Fijo
Gastos Financieros - 2,025,000 3,466,714 4,117,766
Utilidad antes de impues - 32,925,000 34,707,002 12,947,839
Pérdidas acumuladas - - -
Utilidad impositiva 32,925,000 34,707,002 12,947,839
IR 9,877,500 10,412,101 3,884,352
Utilidad Neta - 23,047,500 24,294,902 9,063,487
FCF
Año 0 1 2 3
EBITDA 37,950,000 43,507,050 23,732,272
IR - 9,877,500 - 10,412,101 - 3,884,352
EBITDA después de Impuestos 28,072,500 33,094,949 19,847,920
Inversiones
Año 0 1 2 3
Edificio - 45,000,000 - 35,000,000 - 20,000,000 -
Var. Capital de Trabajo - 3,452,778 - 1,304,099 1,345,273 - 757,918
Total Inversiones - 48,452,778 - 36,304,099 - 18,654,727 - 757,918
R USA 11.9%
Spread 1.4%
R Perú (CAPM ajustado) 13.5%
VANE 52,478,026
TIRE 30.1%
VANF 69,857,353
TIRF 44.3%
Factores
Inversiones 100%
Subsidio Prepago 0%
Subsidio Postpago 0%
Pago Servicio Prepago 100%
Pago Servicio Postpago 100%
Deuda 100%
Sensibilidades Inversiones
Sensibilidad a la Deuda
30,000,000
20,000,000
10,000,000
-
0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15
-10,000,000
-20,000,000
-30,000,000
-40,000,000
4 5 6 7 8 9 10
15% 5% 5% 5% 5% 5% 5%
10% 5% 5% 5% 5% 5% 5%
4 5 6 7 8 9 10
8.5 8.2 7.8 7.5 7.2 6.9 6.6
4 5 6 7 8 9 10
245,000 288,531 285,141 294,049 296,723 302,738 307,149
332,063 281,750 302,958 299,398 308,752 311,560 317,874
577,063 570,281 588,098 593,447 605,475 614,297 625,023
4 5 6 7 8 9 10
202,500 233,250 228,000 236,456 237,928 243,104 246,464
264,000 222,750 244,913 239,400 248,279 249,825 255,259
466,500 456,000 472,913 475,856 486,207 492,928 501,723
4 5 6 7 8 9 10
- - - - - - -
- - - - - - -
4 5 6 7 8 9 10
3,000,000 3,000,000 3,000,000 3,000,000 3,000,000 3,000,000 3,000,000
2,333,333 2,333,333 2,333,333 2,333,333 2,333,333 2,333,333 2,333,333
1,333,333 1,333,333 1,333,333 1,333,333 1,333,333 1,333,333 1,333,333
6,666,667 6,666,667 6,666,667 6,666,667 6,666,667 6,666,667 6,666,667
4 5 6 7 8 9 10
4 5 6 7 8 9 10
4 5 6 7 8 9 10
85,326 86,012 84,353 83,900 82,864 82,146 81,291
2,559,777 2,580,347 2,530,599 2,517,008 2,485,934 2,464,376 2,438,718
928,036 982,434 934,905 938,724 917,098 908,496 893,642
255,978 258,035 253,060 251,701 248,593 246,438 243,872
3,829,116 3,906,827 3,802,916 3,791,333 3,734,490 3,701,456 3,657,522
4 5 6 7 8 9 10
5,105,480 4,843,664 4,795,194 4,645,252 4,549,827 4,431,476 4,328,497
10,976,652 10,514,997 10,686,886 10,538,341 10,552,222 10,484,126 10,457,757
13,637,902 11,224,406 11,707,208 11,222,544 11,225,973 10,988,225 10,874,611
27,106,388 22,184,885 23,660,403 22,434,019 22,568,088 22,027,311 21,831,260
56,826,421 48,767,952 50,849,692 48,840,155 48,896,110 47,931,137 47,492,125
5,628,746 5,375,531 5,418,728 5,314,257 5,285,717 5,220,460 5,175,189
4,545,967 3,741,469 3,902,403 3,740,848 3,741,991 3,662,742 3,624,870
9,035,463 7,394,962 7,886,801 7,478,006 7,522,696 7,342,437 7,277,087
37,616,245 32,255,990 33,641,760 32,307,043 32,345,706 31,705,498 31,414,979
3,216,426 3,071,732 3,096,416 3,036,718 3,020,410 2,983,120 2,957,251
6,666,667 6,666,667 6,666,667 6,666,667 6,666,667 6,666,667 6,666,667
27,733,152 22,517,591 23,878,677 22,603,658 22,658,629 22,055,711 21,791,062
4 5 6 7 8 9 10
- - - - - - -
340,405 - 77,710 103,910 11,583 56,844 33,034 43,934
340,405 - 77,710 103,910 11,583 56,844 33,034 43,934
- - - - - - -
- - - - - - -
- 7,791,004 - 7,791,004 - 7,791,004 - 7,791,004 - 7,791,004 - 7,791,004 - 7,791,004
- 7,791,004 - 7,791,004 - 7,791,004 - 7,791,004 - 7,791,004 - 7,791,004 - 7,791,004
4 5 6 7 8 9 10
10,228,756 8,778,231 9,152,945 8,791,228 8,801,300 8,627,605 8,548,583
- 578,957 - 552,912 - 557,355 - 546,609 - 543,674 - 536,962 - 532,305
- - - - - - -
9,649,799 8,225,320 8,595,590 8,244,619 8,257,626 8,090,643 8,016,277
- - - - - - -
9,649,799 8,225,320 8,595,590 8,244,619 8,257,626 8,090,643 8,016,277
- - - - - - -
11 12 13 14 15
11 12 13 14 15 16 17
5% 5% 5% 5% 5% 5% 5%
5% 5% 5% 5% 5% 5% 5%
11 12 13 14 15 16 17
6.4 6.1 5.9 5.6 5.4 5.2 5.0
11 12 13 14 15
312,512 317,509 322,823 328,104 333,534
322,506 328,137 333,384 338,964 344,509
635,018 645,646 656,207 667,068 678,043
11 12 13 14 15
250,861 254,824 259,114 263,340 267,705
258,787 263,404 267,566 272,070 276,507
509,649 518,229 526,680 535,410 544,212
11 12 13 14 15
- - - - -
- - - - - 100,000,000
11 12 13 14 15
3,000,000 3,000,000 3,000,000 3,000,000 3,000,000
2,333,333 2,333,333 2,333,333 2,333,333 2,333,333
1,333,333 1,333,333 1,333,333 1,333,333 1,333,333
6,666,667 6,666,667 6,666,667 6,666,667 6,666,667
11 12 13 14 15
22,500,000
11 12 13 14 15
-
2,501,699 17,500,000
225,153
2,726,852
11 12 13 14 15
1,429,542 -
1,311,507 1,429,542 10,000,000
246,694 128,659
1,558,201 1,558,201
471,847 128,659
4,285,052 1,558,201
11 12 13 14 15
80,527 79,739 78,985 78,235 -
2,415,803 2,392,168 2,369,543 2,347,042 -
882,189 869,296 857,386 845,240 -
241,580 239,217 236,954 234,704 -
3,620,099 3,580,420 3,542,868 3,505,221 -
11 12 13 14 15
4,221,804 4,120,766 4,020,645 3,923,701 3,828,725
10,410,502 10,374,052 10,332,365 10,293,559 10,253,526
10,702,067 10,562,261 10,409,224 10,265,940 10,120,851
21,469,047 21,196,530 20,885,436 20,599,939 20,307,802
46,803,420 46,253,609 45,647,669 45,083,140 44,510,904
5,121,307 5,073,186 5,023,553 4,976,041 4,928,788
3,567,356 3,520,754 3,469,741 3,421,980 3,373,617
7,156,349 7,065,510 6,961,812 6,866,646 6,769,267
30,958,408 30,594,159 30,192,563 29,818,472 29,439,232
2,926,461 2,898,964 2,870,602 2,843,452 2,816,450
6,666,667 6,666,667 6,666,667 6,666,667 6,666,667
21,365,280 21,028,529 20,655,294 20,308,353 19,956,115
10,000,000
5,000,000
471,847 128,659 - - -
20,893,433 20,899,870 20,655,294 20,308,353 24,956,115
- - - - -
20,893,433 20,899,870 20,655,294 20,308,353 24,956,115
6,268,030 6,269,961 6,196,588 6,092,506 7,486,834
14,625,403 14,629,909 14,458,706 14,215,847 17,469,280 233,681,930
11 12 13 14 15
28,031,947 27,695,195 27,321,961 26,975,020 26,622,781
- 6,268,030 - 6,269,961 - 6,196,588 - 6,092,506 - 7,486,834
21,763,917 21,425,234 21,125,372 20,882,514 19,135,947
11 12 13 14 15
- - - - 10,000,000
37,423 39,678 37,552 37,647 3,505,221
37,423 39,678 37,552 37,647 13,505,221
- - - - -
- - - - -
- 4,285,052 - 1,558,201 - - -
- 4,285,052 - 1,558,201 - - -
11 12 13 14 15
8,424,616 8,325,650 8,216,580 8,114,965 8,011,963
- 526,763 - 521,813 - 516,708 - 511,821 - 506,961
- - - - -
7,897,853 7,803,836 7,699,872 7,603,144 7,505,002
- - - - -
7,897,853 7,803,836 7,699,872 7,603,144 7,505,002
- - - - - -
5.1 13.8
10%
18 19 20
5% 5% 5%
5% 5% 5%
18 19 20
4.8 4.6 4.4
Date updated: 5-Jan-20 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, t
What is this data? Beta, Unlevered beta and other risk measures US companies unlevered beta corrected for cash is your best bet. Since even sect
betas can move over time, I have also reported the average of the
Home Page: http://www.damodaran.com sector beta across time in the last column. This number, for obviou
Data website: http://www.stern.nyu.edu/~adamodar/New_Home_Page/data.html reasons, is less likely to be volatile over 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 47 1.44 85.08% 4.13% 0.88 6.00% 0.93 0.6569
Aerospace/Defense 77 1.23 24.28% 8.54% 1.04 3.40% 1.08 0.4819
Air Transport 18 1.44 103.43% 18.47% 0.81 4.19% 0.84 0.4110
Apparel 51 1.06 41.77% 11.11% 0.80 3.16% 0.83 0.5031
Auto & Truck 13 1.10 164.93% 5.93% 0.49 6.89% 0.53 0.5015
Auto Parts 46 1.21 50.86% 7.25% 0.88 7.44% 0.95 0.5746
Bank (Money Center) 7 1.00 177.75% 19.36% 0.43 23.33% 0.56 0.1740
Banks (Regional) 611 0.57 62.92% 17.46% 0.39 10.69% 0.43 0.1582
Beverage (Alcoholic) 21 1.13 31.28% 6.62% 0.91 0.72% 0.92 0.5528
Beverage (Soft) 34 1.22 19.24% 4.00% 1.07 2.34% 1.09 0.6676
Broadcasting 27 1.21 98.45% 13.31% 0.70 4.35% 0.73 0.4313
Brokerage & Investment Banking 39 1.46 268.39% 12.83% 0.48 14.58% 0.57 0.4401
Building Materials 42 1.23 32.07% 16.26% 0.99 2.52% 1.02 0.3588
Business & Consumer Services 165 1.07 30.31% 8.32% 0.87 2.95% 0.89 0.5331
Cable TV 14 1.11 60.17% 14.55% 0.77 1.11% 0.78 0.3294
Chemical (Basic) 43 1.37 61.09% 6.66% 0.94 5.60% 0.99 0.5305
Chemical (Diversified) 6 1.85 78.66% 11.89% 1.17 4.06% 1.21 0.5056
Chemical (Specialty) 94 1.14 28.53% 11.01% 0.94 3.08% 0.96 0.4818
Coal & Related Energy 22 1.40 79.69% 0.97% 0.87 16.68% 1.05 0.6570
Computer Services 106 1.20 44.65% 8.92% 0.90 5.42% 0.95 0.5730
Computers/Peripherals 48 1.75 15.49% 6.21% 1.57 4.51% 1.64 0.5348
Construction Supplies 44 1.36 40.14% 15.82% 1.05 5.03% 1.10 0.3591
Diversified 23 1.40 31.16% 6.68% 1.14 8.99% 1.25 0.4954
Drugs (Biotechnology) 503 1.43 14.58% 0.61% 1.29 6.99% 1.39 0.5938
Drugs (Pharmaceutical) 267 1.36 14.93% 1.36% 1.22 4.76% 1.29 0.6777
Education 35 1.61 33.68% 6.56% 1.28 5.47% 1.36 0.6037
Electrical Equipment 113 1.44 21.00% 3.94% 1.25 4.51% 1.31 0.6364
Electronics (Consumer & Office) 20 1.28 20.67% 5.45% 1.10 11.72% 1.25 0.5480
Electronics (General) 153 1.15 18.24% 6.65% 1.01 5.46% 1.07 0.5053
Engineering/Construction 54 1.60 39.27% 9.44% 1.23 6.88% 1.33 0.5105
Entertainment 107 1.33 20.07% 1.93% 1.16 3.57% 1.20 0.6845
Environmental & Waste Services 82 1.27 31.69% 4.14% 1.02 2.25% 1.05 0.6241
Farming/Agriculture 31 0.89 62.39% 5.91% 0.61 2.98% 0.63 0.4956
Financial Svcs. (Non-bank & Insuranc 232 0.73 882.21% 14.42% 0.10 2.14% 0.10 0.2750
Food Processing 88 0.88 37.38% 6.44% 0.68 1.89% 0.70 0.5094
Food Wholesalers 17 0.87 43.95% 7.79% 0.65 0.75% 0.66 0.4787
Furn/Home Furnishings 35 1.08 48.35% 8.15% 0.79 3.45% 0.82 0.4694
Green & Renewable Energy 22 1.07 112.64% 1.52% 0.58 2.10% 0.59 0.6979
Healthcare Products 242 1.04 13.25% 3.52% 0.95 3.37% 0.98 0.5323
Global Companies Betas by Sector January 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 Support Services 128 1.17 39.91% 8.26% 0.90 4.81% 0.95 0.5414
Heathcare Information and Technolo 129 1.24 14.67% 3.84% 1.12 2.70% 1.15 0.5492
Homebuilding 32 0.83 44.20% 17.02% 0.62 6.39% 0.66 0.3990
Hospitals/Healthcare Facilities 36 1.22 130.18% 7.50% 0.62 1.18% 0.63 0.4905
Hotel/Gaming 65 1.26 56.41% 12.52% 0.89 3.05% 0.91 0.3999
Household Products 127 1.03 17.17% 5.93% 0.91 2.62% 0.94 0.6093
Information Services 69 1.09 11.89% 8.34% 1.00 2.70% 1.03 0.4556
Insurance (General) 19 0.74 41.41% 16.10% 0.57 4.40% 0.59 0.2792
Insurance (Life) 24 1.08 97.50% 14.78% 0.62 15.14% 0.73 0.2236
Insurance (Prop/Cas.) 51 0.68 26.36% 14.03% 0.57 3.86% 0.59 0.2254
Investments & Asset Management 192 1.03 54.41% 7.47% 0.73 15.18% 0.86 0.3148
Machinery 120 1.25 23.86% 12.32% 1.06 3.71% 1.10 0.4274
Metals & Mining 92 1.31 38.21% 1.96% 1.02 6.27% 1.09 0.6609
Office Equipment & Services 22 1.65 54.88% 15.29% 1.17 6.32% 1.24 0.4343
Oil/Gas (Integrated) 4 1.30 26.82% 24.54% 1.08 3.10% 1.12 0.3590
Oil/Gas (Production and Exploration) 269 1.48 56.39% 3.70% 1.04 3.51% 1.08 0.6405
Oil/Gas Distribution 24 1.02 89.69% 5.46% 0.61 1.63% 0.62 0.4422
Oilfield Svcs/Equip. 136 1.58 48.65% 5.06% 1.16 5.06% 1.22 0.5862
Packaging & Container 24 0.99 65.94% 12.18% 0.66 2.29% 0.68 0.3880
Paper/Forest Products 15 1.54 39.45% 10.41% 1.19 5.46% 1.25 0.4716
Power 52 0.58 72.51% 13.27% 0.37 1.44% 0.38 0.2225
Precious Metals 83 1.44 18.37% 1.75% 1.26 5.31% 1.33 0.7224
Publishing & Newspapers 31 1.07 67.57% 8.10% 0.71 6.38% 0.76 0.4608
R.E.I.T. 234 0.68 84.38% 1.92% 0.42 1.60% 0.43 0.2033
Real Estate (Development) 20 1.24 70.02% 2.19% 0.81 9.04% 0.89 0.6707
Real Estate (General/Diversified) 12 1.63 45.43% 6.55% 1.22 18.91% 1.50 0.4990
Real Estate (Operations & Services) 57 0.93 58.80% 5.58% 0.65 4.13% 0.68 0.5226
Recreation 63 0.90 33.68% 8.21% 0.72 4.52% 0.75 0.5429
Reinsurance 2 0.82 29.01% 17.55% 0.67 12.62% 0.77 0.1287
Restaurant/Dining 77 0.97 41.65% 6.57% 0.74 1.40% 0.75 0.4742
Retail (Automotive) 26 1.33 72.87% 14.04% 0.86 0.79% 0.87 0.4655
Retail (Building Supply) 17 1.36 25.71% 14.90% 1.14 1.03% 1.15 0.5042
Retail (Distributors) 80 1.28 60.86% 11.96% 0.88 1.74% 0.89 0.4662
Retail (General) 18 1.14 32.10% 15.49% 0.92 2.53% 0.95 0.4077
Retail (Grocery and Food) 13 0.59 96.66% 12.78% 0.34 1.26% 0.35 0.3984
Retail (Online) 70 1.23 12.87% 2.92% 1.12 3.24% 1.16 0.6393
Retail (Special Lines) 89 1.03 70.57% 11.89% 0.67 2.41% 0.69 0.5313
Rubber& Tires 4 0.98 178.03% 20.75% 0.42 7.11% 0.45 0.3918
Semiconductor 72 1.29 11.80% 6.15% 1.18 4.44% 1.24 0.4276
Semiconductor Equip 39 1.28 12.17% 9.71% 1.17 6.54% 1.25 0.4106
Shipbuilding & Marine 10 2.17 55.71% 4.89% 1.53 2.44% 1.57 0.5319
Shoe 11 0.87 8.80% 13.98% 0.81 2.30% 0.83 0.3598
Software (Entertainment) 86 1.29 3.80% 2.58% 1.25 2.58% 1.29 0.6360
Software (Internet) 30 1.67 20.41% 1.23% 1.45 3.49% 1.50 0.5671
Software (System & Application) 363 1.20 9.67% 2.60% 1.12 2.93% 1.15 0.5818
Steel 32 1.62 46.97% 9.25% 1.20 6.89% 1.29 0.4028
Telecom (Wireless) 18 1.14 131.19% 5.89% 0.58 3.49% 0.60 0.4804
Telecom. Equipment 91 0.89 17.22% 4.31% 0.79 5.25% 0.84 0.4903
Global Companies Betas by Sector January 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. Services 67 1.05 79.19% 4.17% 0.66 1.35% 0.67 0.5933
Tobacco 17 1.68 28.56% 11.48% 1.38 2.98% 1.43 0.5837
Transportation 18 1.31 54.23% 12.76% 0.93 3.08% 0.96 0.4159
Transportation (Railroads) 8 2.24 26.24% 12.24% 1.87 1.05% 1.89 0.4632
Trucking 33 1.37 57.88% 16.73% 0.96 8.09% 1.04 0.4343
Utility (General) 16 0.28 66.95% 13.45% 0.19 0.35% 0.19 0.1356
Utility (Water) 17 0.68 35.75% 10.01% 0.54 4.52% 0.57 0.3639
Total Market 7053 1.13 58.00% 7.32% 0.79 5.16% 0.83 0.4806
Total Market (without financials) 5878 1.21 31.60% 5.81% 0.98 3.43% 1.01 0.5323
Global Companies Betas by Sector January 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.
Standard deviation in
operating income Average
Standard deviation of equity (last 10 years) 2015 2016 2017 2018 2019 (2015-20)
62.38% 14.61% 0.83 0.74 0.91 0.78 0.87 0.84
38.74% 20.26% 1.06 1.20 0.94 0.99 1.09 1.06
31.74% 62.12% 0.61 0.85 0.76 0.67 0.63 0.73
51.10% 16.56% 0.86 0.88 0.71 0.85 0.76 0.82
35.02% 88.39% 0.59 0.47 0.38 0.59 0.34 0.48
50.43% 44.06% 1.14 1.08 0.94 0.92 0.97 1.00
17.74% NA 0.34 0.47 0.41 0.32 0.43 0.42
18.26% NA 0.37 0.36 0.36 0.39 0.40 0.39
42.46% 45.12% 0.89 0.82 0.71 1.12 1.05 0.92
57.08% 8.82% 0.98 0.99 0.78 0.63 1.04 0.92
32.65% 27.53% 0.83 0.75 0.70 0.65 0.51 0.70
27.36% 43.74% 0.41 0.46 0.42 0.54 0.46 0.48
30.78% 58.02% 0.93 0.98 0.87 0.99 0.91 0.95
43.80% 25.86% 1.00 0.95 0.85 1.01 1.00 0.95
25.03% 33.15% 0.70 0.89 0.82 0.67 0.76 0.77
51.96% 77.64% 0.75 0.81 0.68 0.96 1.12 0.89
35.92% 38.54% 0.99 1.27 1.22 1.79 1.49 1.33
48.36% 25.22% 0.91 1.01 0.98 0.95 0.99 0.97
54.71% 312.73% 0.83 0.39 0.61 1.04 0.97 0.81
45.52% 10.42% 0.99 1.00 0.83 0.94 1.05 0.96
50.41% 25.64% 1.17 1.22 0.94 0.93 1.50 1.23
29.91% 34.01% 1.22 1.18 1.02 0.95 1.15 1.10
38.16% 23.75% 0.70 0.74 0.63 1.01 1.14 0.91
67.45% 39.15% 1.06 1.19 1.25 1.36 1.43 1.28
77.14% 6.09% 0.95 0.94 0.93 1.13 1.38 1.10
37.64% 27.60% 0.95 0.86 1.05 0.96 1.11 1.05
53.67% 17.24% 1.14 1.03 1.04 1.02 1.18 1.12
62.17% 299.70% 1.38 1.16 0.97 1.08 1.22 1.18
42.78% 27.82% 1.01 0.98 0.83 0.91 0.96 0.96
33.19% 14.79% 1.19 1.07 1.01 1.13 0.81 1.09
55.57% 34.42% 0.99 0.98 0.97 0.96 1.21 1.05
44.34% 13.10% 0.94 0.82 0.63 0.70 0.96 0.85
46.88% 25.14% 0.58 0.77 0.62 0.56 0.50 0.61
25.70% 51.97% 0.06 0.06 0.07 0.07 0.08 0.07
31.53% 20.15% 0.82 0.74 0.63 0.56 0.61 0.68
31.58% 20.35% 1.26 0.61 0.93 1.41 1.23 1.02
43.38% 32.40% 0.92 1.00 0.69 0.67 0.67 0.80
53.76% 67.58% 0.68 0.84 0.47 0.72 0.80 0.68
53.09% 15.35% 0.90 0.92 0.92 0.89 1.04 0.94
Global Companies Betas by Sector January 2016
Standard deviation in
operating income Average
Standard deviation of equity (last 10 years) 2015 2016 2017 2018 2019 (2015-20)
49.95% 22.25% 0.91 0.89 0.82 0.82 1.03 0.90
53.86% 31.30% 0.84 0.99 0.83 0.88 1.18 0.98
36.55% 89.90% 0.92 0.81 0.77 0.89 0.72 0.80
42.63% 21.41% 0.59 0.44 0.45 0.51 0.55 0.53
34.10% 33.58% 0.83 0.68 0.67 0.74 0.71 0.76
50.91% 3.49% 0.91 0.91 0.69 0.88 1.00 0.89
37.80% 33.78% 1.04 0.92 0.87 0.82 1.05 0.96
31.00% 39.83% 0.80 0.82 0.71 0.63 0.67 0.71
25.13% 28.47% 0.75 0.91 0.80 0.81 0.70 0.78
21.71% 23.86% 0.69 0.75 0.70 0.73 0.65 0.69
27.88% 23.41% 0.73 0.81 0.68 0.87 0.87 0.80
35.39% 22.55% 1.11 1.23 0.93 1.04 1.01 1.07
73.25% 40.45% 0.91 0.87 0.89 0.96 1.11 0.97
31.28% 11.34% 1.00 1.29 1.09 1.10 1.33 1.18
28.62% 68.87% 0.76 1.38 0.95 1.25 1.06 1.09
59.37% 151.87% 0.91 0.95 0.99 1.00 1.07 1.00
32.66% 37.58% 0.67 0.65 0.69 0.72 0.62 0.66
53.50% 46.21% 1.32 1.41 1.11 1.06 1.07 1.20
33.14% 18.69% 0.70 0.91 0.60 0.55 0.74 0.70
37.37% 20.52% 0.59 0.89 0.83 0.98 1.17 0.95
18.49% 7.96% 0.53 0.50 0.33 0.32 0.35 0.40
82.64% 69.41% 1.05 1.03 1.10 0.95 1.15 1.10
38.18% 8.97% 0.88 1.07 0.96 0.83 0.90 0.90
19.86% 32.50% 0.43 0.41 0.41 0.42 0.41 0.42
47.22% 128.14% 0.82 0.93 0.47 0.61 0.87 0.77
21.35% 158.07% 1.47 1.03 1.09 0.73 1.33 1.19
39.15% 39.10% 0.89 0.99 0.62 0.80 0.95 0.82
47.53% 28.19% 0.99 0.75 0.76 0.73 0.81 0.80
14.87% 26.51% 1.12 0.89 0.65 0.47 0.88 0.80
38.76% 12.93% 0.74 0.64 0.61 0.70 0.65 0.68
37.37% 27.35% 0.85 0.76 0.63 0.65 0.76 0.75
47.29% 29.66% 1.29 1.31 1.12 0.76 0.97 1.10
42.83% 33.85% 0.81 0.83 0.77 0.87 0.99 0.86
40.40% 4.89% 0.85 0.92 0.82 0.87 0.75 0.86
37.18% 24.49% 0.75 0.77 0.46 0.44 0.28 0.51
55.97% 51.02% 1.39 1.53 1.17 1.12 1.34 1.29
44.95% 15.50% 0.85 0.81 0.76 0.82 0.80 0.79
57.59% 34.80% 0.65 1.18 0.89 0.64 0.24 0.67
43.69% 38.45% 1.17 1.32 1.11 1.16 1.26 1.21
41.06% 64.99% 1.17 1.22 1.10 0.99 1.39 1.19
34.05% 27.79% 0.94 0.84 0.85 1.01 0.78 1.00
37.56% 23.04% 0.82 0.81 0.83 0.86 0.74 0.82
61.37% 62.69% 1.13 1.46 0.96 0.91 1.27 1.17
44.78% 51.08% 1.29 1.33 1.12 1.20 1.31 1.29
49.50% 14.96% 1.06 1.25 0.99 1.02 1.16 1.10
39.39% 66.85% 0.90 0.86 1.19 1.53 1.29 1.18
41.85% 52.88% 0.51 0.65 0.58 0.71 0.71 0.63
46.30% 20.53% 1.20 1.17 0.86 0.96 1.02 1.01
Global Companies Betas by Sector January 2016
Standard deviation in
operating income Average
Standard deviation of equity (last 10 years) 2015 2016 2017 2018 2019 (2015-20)
54.47% 27.64% 0.69 0.57 0.68 0.72 0.74 0.68
38.49% 8.57% 0.94 1.66 1.13 1.15 1.13 1.24
27.99% 26.78% 0.77 1.19 0.83 0.80 0.90 0.91
18.25% 21.11% 0.92 0.93 0.66 0.87 2.08 1.22
41.85% 60.25% 0.92 1.03 0.76 0.81 0.71 0.88
13.11% 7.31% 0.42 0.36 0.25 0.20 0.17 0.27
42.36% 18.09% 0.77 0.33 0.47 0.27 0.32 0.45
42.36% 16.48% 0.70 0.73 0.65 0.72 0.80 0.74
46.41% 16.31% 0.87 0.9 0.85 0.90 1.00 0.92
Returns by year
S&P 500
(includes Baa S&P 500
dividend 3-month Corporate (includes 3-month
Year s) T.Bill US T. Bond Bond dividends)3 T.Bill4
1928 43.81% 3.08% 0.84% 3.22% $ 143.81 $ 103.08
1929 -8.30% 3.16% 4.20% 3.02% $ 131.88 $ 106.34
1930 -25.12% 4.55% 4.54% 0.54% $ 98.75 $ 111.18
1931 -43.84% 2.31% -2.56% -15.68% $ 55.46 $ 113.74
1932 -8.64% 1.07% 8.79% 23.59% $ 50.66 $ 114.96
1933 49.98% 0.96% 1.86% 12.97% $ 75.99 $ 116.06
1934 -1.19% 0.28% 7.96% 18.82% $ 75.09 $ 116.39
1935 46.74% 0.17% 4.47% 13.31% $ 110.18 $ 116.58
1936 31.94% 0.17% 5.02% 11.38% $ 145.38 $ 116.78
1937 -35.34% 0.28% 1.38% -4.42% $ 94.00 $ 117.11
1938 29.28% 0.07% 4.21% 9.24% $ 121.53 $ 117.18
1939 -1.10% 0.05% 4.41% 7.98% $ 120.20 $ 117.24
1940 -10.67% 0.04% 5.40% 8.65% $ 107.37 $ 117.28
1941 -12.77% 0.13% -2.02% 5.01% $ 93.66 $ 117.43
1942 19.17% 0.34% 2.29% 5.18% $ 111.61 $ 117.83
1943 25.06% 0.38% 2.49% 8.04% $ 139.59 $ 118.28
1944 19.03% 0.38% 2.58% 6.57% $ 166.15 $ 118.73
1945 35.82% 0.38% 3.80% 6.80% $ 225.67 $ 119.18
1946 -8.43% 0.38% 3.13% 2.51% $ 206.65 $ 119.63
Page 24
Returns by year
Page 25
Returns by year
Page 26
Returns by year
Page 27
Returns by year
premiums from 1928, over the last 50 years and over the last 10 years
he bottom of this table.
Page 28
Returns by year
Page 29
Returns by year
Page 30
Returns by year
12.93% 9.31%
Page 31
Returns by year
S&P 500
(includes 3-month T. !0-year Baa Corp
dividends)2 Bill (Real) T.Bonds Bonds
45.49% 4.28% 2.01% 4.42%
-8.30% 3.16% 4.20% 3.02%
-23.07% 7.42% 7.41% 3.30%
-38.33% 12.34% 7.00% -7.41%
1.85% 12.68% 21.28% 37.78%
58.20% 6.49% 7.43% 19.15%
-4.51% -3.09% 4.33% 14.82%
43.09% -2.33% 1.87% 10.49%
30.60% -0.85% 3.94% 10.25%
-37.66% -3.33% -2.26% -7.85%
31.96% 2.14% 6.37% 11.50%
0.21% 1.36% 5.79% 9.41%
-11.31% -0.68% 4.65% 7.87%
-17.02% -4.74% -6.79% -0.10%
7.44% -9.54% -7.78% -5.18%
18.02% -5.27% -3.28% 1.96%
17.11% -1.24% 0.93% 4.85%
32.80% -1.85% 1.50% 4.43%
-15.58% -7.46% -4.93% -5.50%
Page 32
Returns by year
Page 33
Returns by year
Page 34
Country GDP (in billions) in 2018 Moody's rating Adj. Default Spread
Angola 105.75 B3 7.63%
Benin 10.35 B2 6.46%
Botswana 18.62 A2 1.00%
Burkina Faso 14.12 B2 6.46%
Cameroon 38.68 B2 6.46%
Cape Verde 1.90 B2 6.46%
Congo (Democratic Republ 47.23 Caa1 8.80%
Congo (Republic of) 11.26 Caa2 10.57%
Côte d'Ivoire 43.01 Ba3 4.22%
Egypt 250.89 B2 6.46%
Ethiopia 84.36 B2 6.46%
Gabon 16.85 Caa1 8.80%
Ghana 65.56 B3 7.63%
Kenya 87.91 B2 6.46%
Mali 17.16 B3 7.63%
Morocco 117.92 Ba1 2.93%
Mozambique 14.72 Caa2 10.57%
Namibia 14.52 Ba2 3.53%
Niger 9.29 B3 7.63%
Nigeria 397.27 B2 6.46%
Rwanda 9.51 B2 6.46%
Senegal 24.13 Ba3 4.22%
South Africa 368.29 Ba1 2.93%
Swaziland 4.71 B2 6.46%
Tanzania 58.00 B1 5.28%
Togo 5.36 B3 7.63%
Tunisia 39.87 B2 6.46%
Uganda 27.46 B2 6.46%
Zambia 26.72 Ca 14.08%
Africa 1931.42 5.74%
Bangladesh 274.02 Ba3 4.22%
Cambodia 24.54 B2 6.46%
China 13608.15 A1 0.83%
Fiji 5.54 Ba3 4.22%
Hong Kong 362.68 Aa3 0.71%
India 2718.73 Baa3 2.58%
Indonesia 1042.17 Baa2 2.23%
Japan 4971.32 A1 0.83%
Korea 1619.42 Aa2 0.58%
Laos 17.95 B3 1.41%
Macao 55.08 Aa3 0.71%
Malaysia 358.58 A3 1.41%
Maldives 5.33 B3 7.63%
Mauritius 14.22 Baa1 1.87%
Mongolia 13.07 B3 7.63%
Pakistan 314.59 B3 7.63%
Papua New Guinea 23.50 B2 6.46%
Philippines 330.91 Baa2 2.23%
Singapore 364.16 Aaa 0.00%
Solomon Islands 1.40 B3 7.63%
Sri Lanka 88.90 B2 6.46%
Taiwan 646.00 Aa3 0.71%
Thailand 504.99 Baa1 1.87%
Vietnam 245.21 Ba3 4.22%
Asia 27610.4766658108 1.24%
Australia 1433.90 Aaa 0.00%
Cook Islands 1.20 B1 5.28%
New Zealand 204.92 Aaa 0.00%
Australia & New Zealand 1640.02826636947 0.00%
Aruba 2.70 Baa1 1.87%
Bahamas 12.42 Ba2 3.53%
Barbados 5.15 Caa1 8.80%
Bermuda 5.57 A2 1.00%
Cayman Islands 5.14 Aa3 0.71%
Cuba 100.02 Caa2 10.57%
Curacao 3.13 Baa2 2.23%
Dominican Republic 85.56 Ba3 4.22%
Jamaica 15.71 B2 6.46%
Montserrat 1.50 Baa3 2.58%
St. Maarten 1.50 Baa3 2.58%
St. Vincent & the Grenadi 0.92 B3 7.63%
Trinidad and Tobago 23.81 Ba1 2.93%
Turks and Caicos Islands 1.02 Baa1 1.87%
Caribbean 264.156268571415 6.50%
Argentina 519.87 Ca 14.08%
Belize 1.87 Caa1 8.80%
Bolivia 40.29 B1 5.28%
Brazil 1868.63 Ba2 3.53%
Chile 298.23 A1 0.83%
Colombia 331.05 Baa2 2.23%
Costa Rica 60.13 B2 6.46%
Ecuador 108.40 Caa3 11.73%
El Salvador 26.06 B3 7.63%
Guatemala 78.46 Ba1 2.93%
Honduras 23.97 B1 5.28%
Mexico 1220.70 Baa1 1.87%
Nicaragua 13.12 B3 7.63%
Panama 65.06 Baa1 1.87%
Paraguay 40.50 Ba1 2.93%
Peru 222.04 A3 1.41%
Suriname 3.59 B3 7.63%
Uruguay 59.60 Baa2 2.23%
Venezuela 100.00 C 17.50%
Central and South Americ 5081.55212304536 4.37%
Albania 15.10 B1 5.28%
Armenia 12.43 Ba3 4.22%
Azerbaijan 46.94 Ba2 3.53%
Belarus 59.66 B3 7.63%
Bosnia and Herzegovina 20.16 B3 7.63%
Bulgaria 65.13 Baa2 2.23%
Croatia 60.97 Ba2 3.53%
Czech Republic 245.23 Aa3 0.71%
Estonia 30.73 A1 0.83%
Georgia 17.60 Ba2 3.53%
Hungary 157.88 Baa3 2.58%
Kazakhstan 179.34 Baa3 2.58%
Kyrgyzstan 8.09 B2 6.46%
Latvia 34.41 A3 1.41%
Lithuania 53.43 A3 1.41%
Macedonia 12.67 Ba3 4.22%
Moldova 11.44 B3 7.63%
Montenegro 5.50 B1 5.28%
Poland 585.66 A2 1.00%
Romania 239.55 Baa3 2.58%
Russia 1657.55 Baa3 2.58%
Serbia 50.60 Ba3 4.22%
Slovakia 105.90 A2 1.00%
Slovenia 54.01 Baa1 1.87%
Tajikistan 7.52 B3 7.63%
Ukraine 130.83 B3 7.63%
Uzbekistan 50.50 B1 5.28%
Eastern Europe & Russia 3918.87 2.54%
Abu Dhabi 253.00 Aa2 0.58%
Bahrain 37.75 B2 6.46%
Iraq 224.23 Caa1 8.80%
Israel 370.59 A1 0.83%
Jordan 42.23 B1 5.28%
Kuwait 140.65 Aa2 0.58%
Lebanon 56.64 Ca 14.08%
Oman 79.28 Ba3 4.22%
Qatar 191.36 Aa3 0.71%
Ras Al Khaimah (Emirate 5.20 A2 1.00%
Saudi Arabia 786.52 A1 0.83%
Sharjah 5.00 Baa2 2.23%
United Arab Emirates 414.18 Aa2 0.58%
Middle East 2606.61758510203 1.98%
Canada 1713.34 Aaa 0.00%
United States 20544.34 Aaa 0.00%
North America 22257.6851618135 0.00%
Andorra (Principality of) 3.24 Baa2 2.23%
Austria 455.29 Aa1 0.47%
Belgium 542.76 Aa3 0.71%
Cyprus 24.96 Ba2 3.53%
Denmark 355.68 Aaa 0.00%
Finland 276.74 Aa1 0.47%
France 2777.54 Aa2 0.58%
Germany 3947.62 Aaa 0.00%
Greece 218.03 B1 5.28%
Guernsey (States of) 0.50 Aa3 0.71%
Iceland 25.88 A2 1.00%
Ireland 382.49 A2 1.00%
Isle of Man 6.77 Aa2 0.58%
Italy 2083.86 Baa3 2.58%
Jersey (States of) 1.00 Aa3 0.71%
Liechtenstein 6.21 Aaa 0.00%
Luxembourg 70.89 Aaa 0.00%
Malta 14.55 A2 1.00%
Netherlands 913.66 Aaa 0.00%
Norway 434.17 Aaa 0.00%
Portugal 240.67 Baa3 2.58%
Spain 1419.04 Baa1 1.87%
Sweden 556.09 Aaa 0.00%
Switzerland 705.14 Aaa 0.00%
Turkey 771.35 B1 5.28%
United Kingdom 2855.30 Aa2 0.58%
Western Europe 19089.42074047 0.96%
Region Weighted Average: TRP Weighted Average: CRPWeighted Average: Default Spreads
Africa 12.42% 7.19% 5.74%
Asia 6.78% 1.55% 1.24%
Australia & New Zealand 5.23% 0.00% 0.00%
Caribbean 13.37% 8.14% 6.50%
Central and South America 10.70% 5.47% 4.37%
Eastern Europe & Russia 8.42% 3.19% 2.54%
Middle East 7.70% 2.47% 1.98%
North America 5.23% 0.00% 0.00%
Western Europe 6.44% 1.21% 0.96%
Global 6.76% 1.53% 1.22%