FINANZAS II

PORTAFOLIO DE INVERSION
Rentabilidad

Ao
2010
2011
2012
2013
2014
Promedio

Alicorp

Exsa
4.83%
2.80%
7.34%
8.86%
8.74%
6.51%

Empresa
Alicorp
Exsa
El Comercio
A..Arequipa
Univer Textil
Lindley
Mot D Andino

9.11%
5.74%
0.78%
7.62%
7.20%
6.09%
Rentabilidad
6.51%
6.09%
15.30%
5.33%
1.78%
3.12%
8.45%

rE = rf + (rM rf ) + r
Riesgo Pas
Beta Promedio
Rm
Rf
CAPM

1.62
1.01
0.13
0.05
1.76

Rentabilidad

El Comercio
A..ArequipUniver Textil Lindley
14.14%
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%
Inversin
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 esper

im es el Beta (cantidad de riesgo c
E(rm rf) es el exceso de rentabilid
(rm) Rendimiento del mercado.
(rf) Rendimiento de un activo libre d

Mot D Andino
9.05%
8.43%
6.09%
10.95%
7.74%
8.45%
Rent.Prom*Part
0.46%
0.37%
11.32%
0.03%
0.00%
0.02%
1.01%
13.20%

tasa de rendimiento esperada de capital sobre el activo i.

Beta (cantidad de riesgo con respecto al Portafolio de Mercado)
es el exceso de rentabilidad del portafolio de mercado.
dimiento del mercado.
miento de un activo libre de riesgo.

Diferencial de rendimientos del ndice de bonos de mercados emergentes (EMBIG) / Emerging Market
Stripped Spread
Fecha
Per

Argentina

Brasil

Chile

Colombia

1998
Dic.

655

715

1207

673

1999
Ene.
Feb.
Mar.
Abr.
May.
Jun.
Jul.
Ago.
Set.
Oct.
Nov.
Dic.

701
706
590
522
553
624
597
684
637
607
550
469

828
771
705
623
674
749
867
841
703
654
634
579

1456
1321
1196
904
950
986
1049
1123
1016
940
798
688

187
185
192
187
159
156
146

643
609
559
471
532
666
685
693
647
576
539
456

2000
Ene.
Feb.
Mar.
Abr.
May.
Jun.
Jul.
Ago.
Set.
Oct.
Nov.
Dic.

446
450
446
522
599
542
546
498
596
714
746
719

558
561
535
590
686
667
642
684
682
761
860
803

692
702
653
747
816
721
705
680
694
744
794
772

150
161
173
200
184
220
225
184
192
216
228
228

442
469
522
649
802
718
701
683
718
756
794
767

2001
Ene.
Feb.
Mar.
Abr.
May
Jun.
Jul.

659
652
636
762
763
663
643

702
707
848
986
1007
956
1410

718
701
759
805
835
836
937

211
189
190
176
179
178
177

726
643
630
629
596
576
563

Ago.
Set.
Oct.
Nov.
Dic.

626
649
665
591
649

1502
687
1828
2768
1 452

944
689
1163
1002
939

183
218
227
203
183

534
587
598
558
531

2002
Ene.
Feb.
Mar.
Abr.
May.
Jun.
Jul.
Ago.
Set.
Oct.
Nov.
Dic.

481
478
415
435
506
567
720
816
806
814
672
620

5338
4272
4760
4837
5378
6258
6847
6707
6286
6338
6083
6181

844
842
732
755
939
1368
1766
2001
1954
2057
1711
1540

175
168
136
125
140
169
202
212
200
228
198
168

541
582
540
544
545
572
690
874
986
941
746
653

2003
Ene.
Feb.
Mar.
Abr.
May.
Jun.
Jul.
Ago.
Set.
Oct.
Nov.
Dic.

570
563
510
427
414
460
482
422
353
317
309
318

5983
6235
6560
5365
5142
4635
4748
5022
4995
5272
5918
5578

1334
1308
1097
902
785
752
776
774
666
621
565
483

168
164
166
141
126
129
121
118
108
97
87
86

630
683
630
530
469
458
462
451
429
447
469
439

2004
Ene.
Feb.
Mar.
Abr.
May.
Jun.
Jul.
Ago.
Set.
Oct.

302
361
357
351
484
449
435
385
337
351

5394
5521
4859
4565
4749
4914
4947
5159
5360
5235

431
544
552
590
723
664
611
556
485
467

88
93
93
86
98
86
85
73
72
78

387
433
402
380
529
487
454
424
398
401

Nov.
Dic.

304
257

5030
4826

435
394

73
68

361
347

2005
Ene.
Feb.
Mar.
Abr.
May.
Jun
Jul.
Ago.
Set.
Oct.
Nov.
Dic.

266
262
264
285
267
243
233
206
198
218
203
246

4 824
4 901
4 869
5 342
5 799
2 796
425
419
396
392
381
459

416
400
419
451
432
418
404
396
370
368
346
281

63
61
66
71
70
66
59
55
56
61
74
78

359
358
371
410
376
339
322
304
261
278
253
226

2006
Ene.
Feb.
Mar.
Abr.
May.
Jun.
Jul.
Ago.
Set.
Oct.
Nov.
Dic.

236
184
220
219
197
207
194
173
172
148
147
131

458
382
349
332
343
383
362
325
332
302
292
250

278
237
227
232
243
259
237
217
228
217
219
205

76
71
71
77
77
82
84
87
85
82
79
87

213
174
168
173
188
231
228
196
206
181
189
182

2007
Ene.
Feb.
Mar.
Abr.
May.
Jun.
Jul.
Ago.
Set.
Oct.
Nov.
Dic.

123
127
132
118
110
104
129
169
310
139
175
175

203
207
220
235
278
290
355
461
852
371
397
394

190
183
186
155
148
147
169
201
380
169
211
215

81
80
86
82
80
80
90
108
242
117
134
153

165
163
171
142
131
108
136
186
359
161
196
188

2008
Ene.
Feb.
Mar.
Abr.
May.
Jun.
Jul.
Ago.
Set.
Oct.
Nov.
Dic.
2009
Ene.
Feb.
Mar.
Abr.
May.
Jun.
Jul.
Ago.
Set.
Oct.
Nov.
Dic.

196
209
221
182
154
160
198
195
258
500
485
524

443
477
529
556
553
562
627
668
799
1488
1790
1829

242
256
276
243
204
194
231
235
292
493
470
479

165
169
169
172
159
166
181
173
189
307
353
351

241
249
263
216
179
181
217
222
273
533
551
538

460
419
409
360
292
258
274
240
225
197
191
179

1574
1645
1863
1786
Err:512
1139
1039
900
821
709
726
720

429
427
433
382
Err:512
279
268
253
240
227
220
202

383
371
319
303
249
172
163
135
143
138
130
111

502
478
483
417
Err:512
298
297
261
249
220
215
208

2010
Ene.
Feb.
Mar.
Abr.
May.
Jun.
Jul.
Ago.
Set.
Oct.
Nov.
Dic.

180
200
158
144
201
207
186
157
168
156
151
157

712
790
705
630
766
805
765
714
704
614
547
521

206
221
187
177
224
235
222
204
208
184
177
178

108
132
128
111
140
154
138
133
133
133
124
116

211
235
189
173
231
223
198
166
176
158
152
161

2011
Ene.
Feb.
Mar.

146
146
157

497
542
566

171
175
174

116
114
114

146
151
155

Abr.
May.
Jun.
Jul.
Ago.
Set.
Oct.
Nov.
Dic.

192
187
192
171
200
237
232
214
217

533
581
605
595
719
874
908
896
927

173
171
174
164
203
244
241
231
222

120
127
136
129
147
172
168
159
161

152
147
145
142
171
215
207
197
188

2012
Ene.
Feb.
Mar.
Abr.
May.
Jun.
Jul.
Ago.
Set.
Oct.
Nov.
Dic.

219
200
166
162
180
188
163
133
124
108
123
117

851
822
823
930
1089
1129
1090
1039
924
893
1195
1035

222
204
179
184
212
219
202
170
161
146
152
145

164
158
150
155
168
177
168
142
138
127
137
122

197
176
149
148
173
173
151
129
127
111
123
116

2013
Ene.
Feb.
Mar.
Abr.
May.
Jun.
Jul.
Aug.
Set.
Oct.
Nov.
Dic.

162

1069

215

157

164

110
127
140
133
133
180
175
191
182
173
182
222

1058
1114
1207
1223
1174
1204
1138
1068
1064
928
823
823

143
162
180
177
178
234
232
243
234
227
246
327

115
133
145
144
137
177
169
171
173
162
164
197

113
131
142
132
135
180
169
183
181
172
182
253

2014

162

787

235

143

167

Ene.
Feb.
Mar.
Abr.
May.
Jun.

177
183
167
154
149
145

932
971
880
788
798
763

256
258
239
225
214
209

155
159
149
138
136
122

183
189
177
162
154
144

Jul.
Ago.
Set.
Oct
Nov
Dic

147
157
150
170
165
182

651
761
719
760
674
747

212
221
216
244
252
272

124
130
126
150
151
172

146
154
152
174
173
200

Ene. 1-13

197

740

295

176

222

Nota: Var. %
Anual
Acumulada
Mensual

11.1
8.2
8.2

-20.6
-1.0
-1.0

14.9
8.4
8.4

13.6
2.6
2.6

20.8
10.8
10.8

2015

Riesgo pas promedio 2011

%Riesgo Pas

162
1.62

rgentes (EMBIG) / Emerging Market Bond Index (EMBIG)

ead
Ecuador

Mxico

Venezuela

1577

753

1453

1905
2095
2316
1692
1635
2047
2402
3106
4082
3959
3260
3312

769
710
606
538
570
583
638
650
580
545
472
383

1434
1411
1327
983
881
943
1007
1124
1037
936
854
916

3673
4043
3088
3372
4024
4414
3796
2513
1297
1301
1353
1451

395
376
316
390
423
396
349
328
323
354
360
389

866
872
831
947
1042
887
843
810
780
844
884
948

1322
1246
1326
1475
1366
1303
1388

384
401
405
375
339
314
338

887
844
864
851
826
827
895

1470
1486
1539
1410
1 488

343
393
400
364
343

907
954
1032
1052
0 910

1145
1152
1089
1001
1115
1312
1390
1744
1779
2001
1787
1795

303
281
248
243
258
302
343
379
403
386
347
312

1148
1163
943
894
877
1059
1189
1092
1094
1101
1027
1037

1600
1525
1450
1225
1109
1105
1172
1162
1106
1031
942
840

310
323
299
259
229
232
236
234
211
212
203
207

1335
1364
1334
1270
1141
985
920
833
803
772
716
607

724
746
724
763
921
886
922
836
802
731

193
194
187
180
219
216
207
193
186
187

598
664
679
638
686
625
612
563
508
463

722
711

175
177

425
411

682
638
633
738
835
819
759
714
682
683
651
616

179
166
173
195
191
183
171
163
151
157
137
142

438
451
431
470
494
476
438
417
355
325
304
291

610
549
538
492
469
503
487
477
565
560
528
724

137
128
138
143
143
163
136
129
134
130
132
124

275
238
215
187
189
223
210
202
229
224
228
206

904
746
695
611
625
630
714
702
1318
599
617
606

119
122
127
109
98
99
118
141
266
126
158
166

207
210
221
218
242
285
335
443
914
403
497
529

635
639
669
602
562
567
665
700
888
1987
3753
4241

188
190
193
170
154
162
198
199
243
436
459
463

528
556
624
631
640
581
623
681
827
1439
1528
1789

3901
3633
3534
3417
Err:512
2727
1264
1131
1020
853
822
820

422
433
449
370
Err:512
272
262
237
238
224
211
202

1706
1745
1595
1378
Err:512
1173
1209
1037
939
950
1062
1125

758
811
822
816
899
965
1015
1036
1036
1016
998
928

195
204
169
161
211
208
200
179
199
183
166
163

933
985
913
851
1096
1225
1188
1140
1222
1133
1149
1132

865
763
781

156
157
157

1120
1118
1148

761
786
799
783
864
880
888
868
842

161
162
167
161
197
238
237
223
220

1113
1170
1207
1119
1259
1382
1344
1306
1261

805
790
803
815
850
890
857
805
753
766
815
827

229
208
190
190
211
220
188
169
167
155
168
161

1207
1037
911
965
1072
1145
1108
1013
971
948
940
796

685

194

1095

728
704
700
678
638
643
644
631
646
568
530
1111

154
170
177
169
168
213
201
206
202
200
209
261

754
728
771
815
828
994
967
956
956
1036
1157
3181

510

183

1336

571
610
549
455
354
370

197
196
188
178
172
160

1236
1387
1200
1043
1040
954

425
477
427
520
549
817

163
169
168
190
192
217

921
1069
1297
1604
1820
2465

968

231

2814

69.6
18.4
18.4

17.2
6.4
6.4

127.6
14.2
14.2

Date updated:
4-Jan-11
Aswath Damodaran, adamodar@stern.nyu.edu
Created by:
What is this data?
Historical returns: Stocks, T.Bonds & T.Bills with premiums
Home Page:
http://www.damodaran.com
Data website:
http://www.stern.nyu.edu/~adamodar/New_Home_Page/data.html
Companies in each indushttp://www.stern.nyu.edu/~adamodar/pc/datasets/indname.xls
Variable definitions:
http://www.stern.nyu.edu/~adamodar/New_Home_Page/datafile/variable.htm
CustomixedGeometricriskpremiumestimator
Whatisyourriskfreerate?
LT
Enteryourstartingyear
1928
Valueofstocksinstartingyear:
ValueofT.Billsinstartingyear:
ValueofT.bondsinstartingyear:
Estimateofriskpremiumbasedonyourinputs:

100
100
100
4.62%
AnnualReturnsonInvestmentsin

Year
1928
1929
1930
1931
1932
1933
1934
1935
1936
1937
1938
1939
1940
1941
1942
1943
1944
1945
1946
1947
1948
1949
1950
1951
1952
1953
1954
1955
1956
1957
1958
1959
1960
1961
1962
1963
1964
1965
1966
1967
1968

S&P 500
43.81%
-8.30%
-25.12%
-43.84%
-8.64%
49.98%
-1.19%
46.74%
31.94%
-35.34%
29.28%
-1.10%
-10.67%
-12.77%
19.17%
25.06%
19.03%
35.82%
-8.43%
5.20%
5.70%
18.30%
30.81%
23.68%
18.15%
-1.21%
52.56%
32.60%
7.44%
-10.46%
43.72%
12.06%
0.34%
26.64%
-8.81%
22.61%
16.42%
12.40%
-9.97%
23.80%
10.81%

3-month T.Bill
3.08%
3.16%
4.55%
2.31%
1.07%
0.96%
0.32%
0.18%
0.17%
0.30%
0.08%
0.04%
0.03%
0.08%
0.34%
0.38%
0.38%
0.38%
0.38%
0.57%
1.02%
1.10%
1.17%
1.48%
1.67%
1.89%
0.96%
1.66%
2.56%
3.23%
1.78%
3.26%
3.05%
2.27%
2.78%
3.11%
3.51%
3.90%
4.84%
4.33%
5.26%

10-year T. Bond
0.84%
4.20%
4.54%
-2.56%
8.79%
1.86%
7.96%
4.47%
5.02%
1.38%
4.21%
4.41%
5.40%
-2.02%
2.29%
2.49%
2.58%
3.80%
3.13%
0.92%
1.95%
4.66%
0.43%
-0.30%
2.27%
4.14%
3.29%
-1.34%
-2.26%
6.80%
-2.10%
-2.65%
11.64%
2.06%
5.69%
1.68%
3.73%
0.72%
2.91%
-1.58%
3.27%

CompoundedValueof$100
Stocks
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.

143.81
131.88
98.75
55.46
50.66
75.99
75.09
110.18
145.38
94.00
121.53
120.20
107.37
93.66
111.61
139.59
166.15
225.67
206.65
217.39
229.79
271.85
355.60
439.80
519.62
513.35
783.18
1,038.47
1,115.73
999.05
1,435.84
1,608.95
1,614.37
2,044.40
1,864.26
2,285.80
2,661.02
2,990.97
2,692.74
3,333.69
3,694.23

1969
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014

-8.24%
3.56%
14.22%
18.76%
-14.31%
-25.90%
37.00%
23.83%
-6.98%
6.51%
18.52%
31.74%
-4.70%
20.42%
22.34%
6.15%
31.24%
18.49%
5.81%
16.54%
31.48%
-3.06%
30.23%
7.49%
9.97%
1.33%
37.20%
22.68%
33.10%
28.34%
20.89%
-9.03%
-11.85%
-21.97%
28.36%
10.74%
4.83%
15.61%
5.48%
-36.55%
25.94%
14.82%
2.10%
15.89%
32.15%
13.48%

6.56%
6.69%
4.54%
3.95%
6.73%
7.78%
5.99%
4.97%
5.13%
6.93%
9.94%
11.22%
14.30%
11.01%
8.45%
9.61%
7.49%
6.04%
5.72%
6.45%
8.11%
7.55%
5.61%
3.41%
2.98%
3.99%
5.52%
5.02%
5.05%
4.73%
4.51%
5.76%
3.67%
1.66%
1.03%
1.23%
3.01%
4.68%
4.64%
1.59%
0.14%
0.13%
0.03%
0.05%
0.07%
0.05%

-5.01%
16.75%
9.79%
2.82%
3.66%
1.99%
3.61%
15.98%
1.29%
-0.78%
0.67%
-2.99%
8.20%
32.81%
3.20%
13.73%
25.71%
24.28%
-4.96%
8.22%
17.69%
6.24%
15.00%
9.36%
14.21%
-8.04%
23.48%
1.43%
9.94%
14.92%
-8.25%
16.66%
5.57%
15.12%
0.38%
4.49%
2.87%
1.96%
10.21%
20.10%
-11.12%
8.46%
16.04%
2.97%
-9.10%
10.75%

ArithmeticAverage
19282014
19652014
20052014

11.53%
11.23%
9.37%

3.53%
5.04%
1.44%

5.28%
7.11%
5.31%

GeometricAverage
19282014
19652014
20052014

9.60%
9.84%
7.60%

3.49%
4.99%
1.42%

5.00%
6.70%
4.88%

S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.

3,389.77
3,510.49
4,009.72
4,761.76
4,080.44
3,023.54
4,142.10
5,129.20
4,771.20
5,081.77
6,022.89
7,934.26
7,561.16
9,105.08
11,138.90
11,823.51
15,516.60
18,386.33
19,455.08
22,672.40
29,808.58
28,895.11
37,631.51
40,451.51
44,483.33
45,073.14
61,838.19
75,863.69
100,977.34
129,592.25
156,658.05
142,508.98
125,622.01
98,027.82
125,824.39
139,341.42
146,077.85
168,884.34
178,147.20
113,030.22
142,344.87
163,441.94
166,871.56
193,388.43
255,553.31
289,995.13

US companies

ble.htm
Estimatesofriskpremiumsfrom1928,overthelast50yearsandoverthelast10years
areprovidedatthebottomofthistable.

CompoundedValueof$100
T.Bills
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.

103.08
106.34
111.18
113.74
114.96
116.06
116.44
116.64
116.84
117.19
117.29
117.33
117.36
117.46
117.85
118.30
118.75
119.20
119.65
120.33
121.56
122.90
124.34
126.18
128.29
130.72
131.98
134.17
137.60
142.04
144.57
149.27
153.82
157.30
161.67
166.70
172.54
179.28
187.95
196.10
206.41

T.Bonds
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.

100.84
105.07
109.85
107.03
116.44
118.60
128.05
133.78
140.49
142.43
148.43
154.98
163.35
160.04
163.72
167.79
172.12
178.67
184.26
185.95
189.58
198.42
199.27
198.68
203.19
211.61
218.57
215.65
210.79
225.11
220.39
214.56
239.53
244.46
258.38
262.74
272.53
274.49
282.47
278.01
287.11

Stocks - Bills
Stocks - Bonds
40.73%
42.98%
-11.46%
-12.50%
-29.67%
-29.66%
-46.15%
-41.28%
-9.71%
-17.43%
49.02%
48.13%
-1.51%
-9.15%
46.57%
42.27%
31.77%
26.93%
-35.64%
-36.72%
29.21%
25.07%
-1.14%
-5.51%
-10.70%
-16.08%
-12.85%
-10.75%
18.84%
16.88%
24.68%
22.57%
18.65%
16.45%
35.44%
32.02%
-8.81%
-11.56%
4.63%
4.28%
4.68%
3.75%
17.20%
13.64%
29.63%
30.38%
22.20%
23.97%
16.48%
15.88%
-3.10%
-5.35%
51.60%
49.27%
30.94%
33.93%
4.88%
9.70%
-13.69%
-17.25%
41.94%
45.82%
8.80%
14.70%
-2.71%
-11.30%
24.37%
24.58%
-11.59%
-14.51%
19.50%
20.93%
12.91%
12.69%
8.50%
11.68%
-14.81%
-12.88%
19.47%
25.38%
5.55%
7.54%

Historical risk
premium

6.11%
6.62%
5.97%
6.36%
6.53%
6.66%
6.11%
6.57%
6.60%

S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.
S/.

219.96 S/.
272.71
-14.80%
-3.23%
234.66 S/.
318.41
-3.12%
-13.19%
245.32 S/.
349.57
9.68%
4.43%
255.01 S/.
359.42
14.80%
15.94%
272.16 S/.
372.57
-21.03%
-17.97%
293.33 S/.
379.98
-33.68%
-27.89%
310.90 S/.
393.68
31.01%
33.39%
326.35 S/.
456.61
18.86%
7.85%
343.09 S/.
462.50
-12.11%
-8.27%
366.87 S/.
458.90
-0.42%
7.29%
403.33 S/.
461.98
8.58%
17.85%
448.58 S/.
448.17
20.52%
34.72%
512.73 S/.
484.91
-19.00%
-12.90%
569.18 S/.
644.04
9.41%
-12.40%
617.26 S/.
664.65
13.89%
19.14%
676.60 S/.
755.92
-3.47%
-7.59%
727.26 S/.
950.29
23.75%
5.52%
771.15 S/.
1,181.06
12.46%
-5.79%
815.27 S/.
1,122.47
0.09%
10.77%
867.86 S/.
1,214.78
10.09%
8.31%
938.24 S/.
1,429.72
23.37%
13.78%
1,009.08 S/.
1,518.87
-10.61%
-9.30%
1,065.69 S/.
1,746.77
24.62%
15.23%
1,101.98 S/.
1,910.30
4.09%
-1.87%
1,134.84 S/.
2,181.77
6.98%
-4.24%
1,180.07 S/.
2,006.43
-2.66%
9.36%
1,245.15 S/.
2,477.55
31.68%
13.71%
1,307.68 S/.
2,512.94
17.66%
21.25%
1,373.76 S/.
2,762.71
28.05%
23.16%
1,438.70 S/.
3,174.95
23.61%
13.42%
1,503.58 S/.
2,912.88
16.38%
29.14%
1,590.23 S/.
3,398.03
-14.79%
-25.69%
1,648.63 S/.
3,587.37
-15.52%
-17.42%
1,675.96 S/.
4,129.65
-23.62%
-37.08%
1,693.22 S/.
4,145.15
27.33%
27.98%
1,714.00 S/.
4,331.30
9.52%
6.25%
1,765.59 S/.
4,455.50
1.82%
1.97%
1,848.18 S/.
4,542.87
10.94%
13.65%
1,933.98 S/.
5,006.69
0.84%
-4.73%
1,964.64 S/.
6,013.10
-38.14%
-56.65%
1,967.29 S/.
5,344.65
25.80%
37.05%
1,969.84 S/.
5,796.96
14.69%
6.36%
1,970.44 S/.
6,726.52
2.07%
-13.94%
1,971.42 S/.
6,926.40
15.84%
12.92%
1,972.72 S/.
6,295.79
32.08%
41.25%
1,973.77 S/.
6,972.34
13.42%
2.73%
RiskPremium
StandardError
StocksT.Bills
StocksT.Bonds
StocksT.Bills
StocksT.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%
RiskPremium
StocksT.Bills
StocksT.Bonds
6.11%
4.60%
4.84%
3.14%
6.18%
2.73%

6.33%
5.90%
5.87%
6.08%
5.50%
4.64%
5.17%
5.22%
4.93%
4.97%
5.21%
5.73%
5.37%
5.10%
5.34%
5.12%
5.13%
4.97%
5.07%
5.12%
5.24%
5.00%
5.14%
5.03%
4.90%
4.97%
5.08%
5.30%
5.53%
5.63%
5.96%
5.51%
5.17%
4.53%
4.82%
4.84%
4.80%
4.91%
4.79%
3.88%
4.29%
4.31%
4.10%
4.20%
4.62%
4.60%

Date updated:
Created by:
What is this data?
Home Page:
Data website:
Companies in each industry:
Variable definitions:

5-Jan-15
Aswath Damodaran, adamodar@stern.nyu.edu

Beta, Unlevered beta and other risk measures

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.

Industry

Advertising
Aerospace/Defense
Air Transport
Apparel
Auto & Truck
Auto Parts
Bank (Money Center)
Banks (Regional)
Beverage (Alcoholic)
Beverage (Soft)
Broadcasting
Brokerage & Investment Banking
Building Materials
Business & Consumer Services
Cable TV
Chemical (Basic)
Chemical (Diversified)
Chemical (Specialty)
Coal & Related Energy
Computer Services
Computers/Peripherals
Construction Supplies
Diversified
Drugs (Biotechnology)
Drugs (Pharmaceutical)
Education
Electrical Equipment
Electronics (Consumer & Office)
Electronics (General)
Engineering/Construction
Entertainment
Environmental & Waste Services
Farming/Agriculture
Financial Svcs. (Non-bank & Insuran
Food Processing

Number of firms

Beta

D/E Ratio

52
93
22
64
22
75
13
676
22
46
28
46
39
177
18
46
10
103
42
119
64
55
23
400
151
42
126
28
189
56
84
103
37
288
96

1.18
1.16
0.98
0.99
1.09
1.35
0.81
0.53
1.06
1.14
1.30
1.16
1.12
1.19
0.91
0.94
1.17
1.03
1.64
1.16
1.21
1.60
1.00
1.10
1.03
1.13
1.24
1.37
1.03
1.31
1.21
1.28
0.84
0.67
0.99

50.62%
18.96%
81.51%
20.73%
105.95%
28.64%
218.66%
77.69%
21.88%
23.04%
71.06%
303.54%
32.23%
30.41%
44.80%
40.31%
33.20%
21.36%
110.41%
27.56%
9.47%
45.39%
60.89%
8.48%
13.42%
39.42%
16.86%
4.43%
14.69%
27.31%
27.52%
40.58%
60.46%
1206.66%
27.21%

Food Wholesalers
Furn/Home Furnishings
Green & Renewable Energy
Healthcare Products
Healthcare Support Services
Heathcare Information and Technol
Homebuilding
Hospitals/Healthcare Facilities
Hotel/Gaming
Household Products
Information Services
Insurance (General)
Insurance (Life)
Insurance (Prop/Cas.)
Investments & Asset Management
Machinery
Metals & Mining
Office Equipment & Services
Oil/Gas (Integrated)
Oil/Gas (Production and Exploration)
Oil/Gas Distribution
Oilfield Svcs/Equip.
Packaging & Container
Paper/Forest Products
Power
Precious Metals
Publshing & Newspapers
R.E.I.T.
Real Estate (Development)
Real Estate (General/Diversified)
Real Estate (Operations & Services)
Recreation
Reinsurance
Restaurant/Dining
Retail (Automotive)
Retail (Building Supply)
Retail (Distributors)
Retail (General)
Retail (Grocery and Food)
Retail (Online)
Retail (Special Lines)
Rubber& Tires
Semiconductor
Semiconductor Equip
Shipbuilding & Marine

14
27
26
261
138
127
35
56
80
135
67
24
25
52
148
137
124
25
8
392
85
161
26
22
82
147
43
213
18
11
52
68
4
79
30
5
90
23
21
46
128
4
100
47
14

1.41
1.09
1.32
0.99
1.05
0.95
1.29
0.97
1.18
1.03
1.11
1.03
1.04
0.83
1.10
1.23
1.28
1.34
0.81
1.27
0.96
1.54
0.95
0.84
0.83
1.29
1.15
0.79
1.02
1.82
1.30
1.21
1.35
0.89
1.18
1.44
1.12
1.03
1.05
1.40
1.07
1.02
1.21
1.23
1.36

17.10%
26.61%
109.96%
15.67%
26.66%
19.75%
60.76%
75.58%
54.64%
18.89%
13.31%
43.04%
71.23%
32.90%
74.07%
20.43%
50.69%
51.88%
11.06%
48.18%
47.75%
27.63%
48.60%
51.02%
75.74%
40.80%
47.39%
88.52%
45.42%
27.56%
57.34%
31.64%
37.59%
27.87%
50.19%
19.46%
48.00%
31.37%
56.14%
7.52%
41.45%
87.74%
10.75%
17.63%
53.62%

Shoe
Software (Entertainment)
Software (Internet)
Software (System & Application)
Steel
Telecom (Wireless)
Telecom. Equipment
Telecom. Services
Tobacco
Transportation
Transportation (Railroads)
Trucking
Unclassified
Utility (General)
Utility (Water)

Total Market

13
20
327
259
40
21
126
77
20
21
10
30
8
21
19

0.84
1.12
1.29
1.10
1.31
1.15
1.24
1.07
1.09
0.86
1.05
1.32
0.10
0.59
1.09

7.34%
17.30%
5.59%
9.70%
64.03%
154.38%
11.72%
65.43%
19.75%
21.03%
20.21%
66.66%
26.26%
61.30%
50.17%

7887

1.06

66.14%

ures

US companies

Page/data.html

indname.xls

Page/datafile/variable.htm

Tax rate

Unlevered beta

Cash/Firm value

Unlevered beta corrected for cash

4.13%
14.87%
18.71%
11.16%
4.45%
11.05%
26.43%
20.66%
8.54%
5.55%
18.34%
13.99%
17.45%
13.30%
21.18%
10.88%
22.47%
11.16%
0.99%
10.48%
7.35%
16.28%
13.96%
1.48%
4.58%
12.18%
5.99%
4.50%
8.64%
14.18%
4.11%
6.31%
9.36%
18.49%
13.70%

0.80
1.00
0.59
0.84
0.54
1.07
0.31
0.33
0.88
0.93
0.82
0.32
0.88
0.94
0.67
0.69
0.93
0.86
0.78
0.93
1.11
1.16
0.66
1.02
0.91
0.84
1.07
1.32
0.91
1.06
0.95
0.93
0.54
0.06
0.80

3.77%
5.61%
3.63%
2.52%
7.78%
6.06%
8.41%
12.56%
1.66%
4.23%
1.58%
21.95%
5.00%
5.17%
2.98%
8.61%
5.52%
5.54%
5.70%
5.64%
5.03%
4.99%
6.32%
4.02%
4.08%
11.55%
6.52%
4.51%
10.67%
11.07%
3.26%
1.17%
5.94%
2.51%
2.28%

0.83
1.06
0.61
0.86
0.59
1.14
0.34
0.37
0.89
0.98
0.83
0.41
0.93
1.00
0.70
0.75
0.99
0.91
0.83
0.99
1.17
1.22
0.70
1.06
0.95
0.95
1.14
1.38
1.01
1.19
0.99
0.94
0.58
0.06
0.82

13.47%
14.48%
1.94%
6.73%
13.27%
6.35%
18.11%
10.93%
11.41%
10.46%
17.93%
19.21%
24.30%
22.18%
6.84%
15.64%
1.80%
18.65%
14.56%
7.04%
4.68%
10.99%
18.18%
11.54%
20.77%
1.33%
14.93%
1.24%
7.21%
9.39%
8.63%
11.25%
15.53%
15.14%
18.76%
30.64%
16.84%
21.36%
22.94%
9.38%
20.44%
13.58%
10.11%
6.88%
6.75%

1.23
0.89
0.63
0.86
0.86
0.80
0.86
0.58
0.80
0.88
1.01
0.76
0.68
0.66
0.65
1.05
0.86
0.94
0.74
0.87
0.66
1.24
0.68
0.58
0.52
0.92
0.82
0.42
0.72
1.46
0.85
0.95
1.02
0.72
0.83
1.27
0.80
0.83
0.73
1.31
0.81
0.58
1.11
1.06
0.91

2.10%
3.65%
6.10%
4.54%
5.72%
4.16%
6.66%
1.28%
3.95%
3.40%
3.77%
4.99%
10.21%
4.74%
10.82%
5.94%
5.52%
5.51%
3.43%
4.30%
0.96%
6.07%
2.50%
3.25%
1.93%
11.87%
7.41%
1.69%
12.23%
1.32%
4.50%
4.09%
9.16%
2.35%
1.34%
1.52%
1.78%
2.68%
2.08%
6.18%
4.50%
11.24%
5.22%
9.76%
3.49%

1.26
0.92
0.68
0.90
0.91
0.84
0.92
0.59
0.83
0.91
1.04
0.80
0.75
0.69
0.73
1.11
0.91
1.00
0.76
0.91
0.67
1.32
0.70
0.59
0.53
1.05
0.88
0.43
0.82
1.47
0.89
0.99
1.12
0.74
0.85
1.29
0.81
0.85
0.75
1.39
0.85
0.65
1.17
1.17
0.94

20.15%
1.46%
5.07%
6.86%
13.99%
5.76%
8.70%
11.83%
12.39%
20.08%
21.30%
27.38%
3.93%
30.59%
15.10%

0.80
0.95
1.22
1.01
0.85
0.47
1.12
0.68
0.93
0.73
0.90
0.89
0.08
0.42
0.76

3.53%
15.83%
5.58%
4.58%
6.31%
7.90%
6.22%
1.96%
2.06%
4.11%
1.76%
2.72%
38.92%
0.84%
0.66%

0.82
1.13
1.29
1.06
0.90
0.51
1.20
0.69
0.94
0.77
0.92
0.92
0.14
0.42
0.77

10.76%

0.67

4.95%

0.70

HiLo Risk

Standard
deviation of
equity

0.6900
0.4353
0.4971
0.5106
0.6152
0.4917
0.1480
0.1969
0.5838
0.6977
0.4053
0.4180
0.3410
0.5382
0.3746
0.5541
0.3198
0.4312
0.6123
0.5193
0.4644
0.3884
0.3898
0.5719
0.5615
0.5092
0.5870
0.6108
0.4862
0.5367
0.6339
0.6112
0.5378
0.2987
0.4540

51.52%
50.15%
53.32%
56.24%
43.52%
53.89%
39.98%
37.41%
55.14%
61.94%
62.12%
44.77%
43.52%
52.77%
52.83%
50.32%
41.14%
51.80%
74.62%
59.41%
66.35%
47.26%
32.85%
93.06%
75.04%
70.19%
65.34%
56.16%
69.01%
47.91%
58.48%
65.61%
41.59%
38.80%
42.05%

0.5645
0.4335
0.7017
0.5028
0.5200
0.5306
0.3704
0.3416
0.4525
0.5794
0.3610
0.2812
0.1725
0.2422
0.4238
0.4598
0.7351
0.3942
0.4107
0.6440
0.3010
0.5574
0.3367
0.4571
0.3032
0.7545
0.3531
0.1767
0.6338
0.4916
0.5133
0.5114
0.4123
0.3574
0.4353
0.3399
0.4701
0.3159
0.4125
0.5190
0.4280
0.3456
0.4111
0.3887
0.4613

35.73%
54.24%
53.18%
64.48%
46.72%
70.49%
53.78%
43.11%
49.55%
61.63%
42.71%
35.35%
34.48%
36.73%
41.63%
46.22%
74.49%
49.87%
33.56%
71.93%
43.15%
65.23%
31.06%
44.94%
29.70%
93.69%
50.42%
31.55%
43.65%
45.97%
50.05%
50.41%
21.20%
44.43%
48.06%
50.71%
52.06%
46.36%
51.83%
70.16%
51.42%
49.54%
57.12%
60.18%
71.45%

0.4250
0.6514
0.6319
0.5374
0.3778
0.5844
0.4811
0.5288
0.6449
0.3829
0.3456
0.3604
0.6038
0.1577
0.3330

40.80%
69.84%
72.48%
61.85%
52.45%
53.05%
62.74%
55.60%
41.74%
42.36%
30.73%
48.49%
NA
23.02%
38.21%

0.4697

53.60%