Hurdle Rates

Practice Test#1
Prof. Antonio Quiroz 20.00

1 Tabacalera Kiuba (TK)

Puntuación
Wacc (PEN) Wacc (PEN) 11.79% 11.79% 3
Kd (PEN) Kd (PEN) 7.40% 7.40% 2
Ke (PEN) Ke (PEN) 13.21% 13.21% 2
TIT TIT 36.55% 36.55% 1
D/E D/E 0.2 0.2
Kd (USD) Kd (USD) 6.35% 6.35%
Ke (USD) Ke (USD) 12.11% 12.11% 2
Inf. Rel. Inf. Rel. 0.98% 0.98% 1
Infl. LP Perú Infl. LP Perú 2.75% 2.75%
Infl. LP USA Infl. LP USA 1.75% 1.75%
Rf Rf 4.16% 4.16% 2
Rm Rm 9.00% 9.00% 2
Beta (TK/Perú) B lev 1.2234 1.2234 3
Embig Peru riesgo pais 1.83% 1.83% 1
Lambda Lambda 1.11 1.11 0.5
Beta (TK/USA) B unlev 1.0856 1.0856 0.5
IR IR 29.50% 29.50%
PT PT 10% 10%
%E %E 83% 83%
%D %D 17% 17%
Date updated: 1-Jan-19
Created by: Aswath Damodaran, adamodar@stern.nyu.edu
What is this data Historical returns: Stocks, T.Bonds & T.Bills with prem US companies
Home Page: http://www.damodaran.com
Data website: http://www.stern.nyu.edu/~adamodar/New_Home_Page/data.html
Companies in each http://www.stern.nyu.edu/~adamodar/pc/datasets/indname.xls
Variable definitio http://www.stern.nyu.edu/~adamodar/New_Home_Page/datafile/variable.htm
Customized Geometric risk premium estimator
What is your riskfree rate? LT Estimates of risk premiums from 1928, over
Enter your starting year 1981 are provided at the bottom of this table.

Value of stocks in starting year: S/ 7,934.26

Value of T.Bills in starting year: S/ 448.58
Value of T.bonds in starting year: S/ 448.17
Estimate of risk premium based on your inputs: 3.12%

Annual Returns on Investments in Compounded Value of $ 100

S&P 500
(includes
dividend 3-month Return on 10-
Year s) T.Bill year T. Bond Stocks T.Bills T.Bonds
1928 43.81% 3.08% 0.84% S/ 143.81 S/ 103.08 S/ 100.84
1929 -8.30% 3.16% 4.20% S/ 131.88 S/ 106.34 S/ 105.07
1930 -25.12% 4.55% 4.54% S/ 98.75 S/ 111.18 S/ 109.85
1931 -43.84% 2.31% -2.56% S/ 55.46 S/ 113.74 S/ 107.03
1932 -8.64% 1.07% 8.79% S/ 50.66 S/ 114.96 S/ 116.44
1933 49.98% 0.96% 1.86% S/ 75.99 S/ 116.06 S/ 118.60
1934 -1.19% 0.32% 7.96% S/ 75.09 S/ 116.44 S/ 128.05
1935 46.74% 0.18% 4.47% S/ 110.18 S/ 116.64 S/ 133.78
1936 31.94% 0.17% 5.02% S/ 145.38 S/ 116.84 S/ 140.49
1937 -35.34% 0.30% 1.38% S/ 94.00 S/ 117.19 S/ 142.43
1938 29.28% 0.08% 4.21% S/ 121.53 S/ 117.29 S/ 148.43
1939 -1.10% 0.04% 4.41% S/ 120.20 S/ 117.33 S/ 154.98
1940 -10.67% 0.03% 5.40% S/ 107.37 S/ 117.36 S/ 163.35
1941 -12.77% 0.08% -2.02% S/ 93.66 S/ 117.46 S/ 160.04
1942 19.17% 0.34% 2.29% S/ 111.61 S/ 117.85 S/ 163.72
1943 25.06% 0.38% 2.49% S/ 139.59 S/ 118.30 S/ 167.79
1944 19.03% 0.38% 2.58% S/ 166.15 S/ 118.75 S/ 172.12
1945 35.82% 0.38% 3.80% S/ 225.67 S/ 119.20 S/ 178.67
1946 -8.43% 0.38% 3.13% S/ 206.65 S/ 119.65 S/ 184.26
1947 5.20% 0.57% 0.92% S/ 217.39 S/ 120.33 S/ 185.95
1948 5.70% 1.02% 1.95% S/ 229.79 S/ 121.56 S/ 189.58
1949 18.30% 1.10% 4.66% S/ 271.85 S/ 122.90 S/ 198.42
1950 30.81% 1.17% 0.43% S/ 355.60 S/ 124.34 S/ 199.27
1951 23.68% 1.48% -0.30% S/ 439.80 S/ 126.18 S/ 198.68
1952 18.15% 1.67% 2.27% S/ 519.62 S/ 128.29 S/ 203.19
1953 -1.21% 1.89% 4.14% S/ 513.35 S/ 130.72 S/ 211.61
1954 52.56% 0.96% 3.29% S/ 783.18 S/ 131.98 S/ 218.57
1955 32.60% 1.66% -1.34% S/ 1,038.47 S/ 134.17 S/ 215.65
1956 7.44% 2.56% -2.26% S/ 1,115.73 S/ 137.60 S/ 210.79
1957 -10.46% 3.23% 6.80% S/ 999.05 S/ 142.04 S/ 225.11
1958 43.72% 1.78% -2.10% S/ 1,435.84 S/ 144.57 S/ 220.39
1959 12.06% 3.26% -2.65% S/ 1,608.95 S/ 149.27 S/ 214.56
1960 0.34% 3.05% 11.64% S/ 1,614.37 S/ 153.82 S/ 239.53
1961 26.64% 2.27% 2.06% S/ 2,044.40 S/ 157.30 S/ 244.46
1962 -8.81% 2.78% 5.69% S/ 1,864.26 S/ 161.67 S/ 258.38
1963 22.61% 3.11% 1.68% S/ 2,285.80 S/ 166.70 S/ 262.74
1964 16.42% 3.51% 3.73% S/ 2,661.02 S/ 172.54 S/ 272.53
1965 12.40% 3.90% 0.72% S/ 2,990.97 S/ 179.28 S/ 274.49
1966 -9.97% 4.84% 2.91% S/ 2,692.74 S/ 187.95 S/ 282.47
1967 23.80% 4.33% -1.58% S/ 3,333.69 S/ 196.10 S/ 278.01
1968 10.81% 5.26% 3.27% S/ 3,694.23 S/ 206.41 S/ 287.11
1969 -8.24% 6.56% -5.01% S/ 3,389.77 S/ 219.96 S/ 272.71
1970 3.56% 6.69% 16.75% S/ 3,510.49 S/ 234.66 S/ 318.41
1971 14.22% 4.54% 9.79% S/ 4,009.72 S/ 245.32 S/ 349.57
1972 18.76% 3.95% 2.82% S/ 4,761.76 S/ 255.01 S/ 359.42
1973 -14.31% 6.73% 3.66% S/ 4,080.44 S/ 272.16 S/ 372.57
1974 -25.90% 7.78% 1.99% S/ 3,023.54 S/ 293.33 S/ 379.98
1975 37.00% 5.99% 3.61% S/ 4,142.10 S/ 310.90 S/ 393.68
1976 23.83% 4.97% 15.98% S/ 5,129.20 S/ 326.35 S/ 456.61
1977 -6.98% 5.13% 1.29% S/ 4,771.20 S/ 343.09 S/ 462.50
1978 6.51% 6.93% -0.78% S/ 5,081.77 S/ 366.87 S/ 458.90
1979 18.52% 9.94% 0.67% S/ 6,022.89 S/ 403.33 S/ 461.98
1980 31.74% 11.22% -2.99% S/ 7,934.26 S/ 448.58 S/ 448.17
1981 -4.70% 14.30% 8.20% S/ 7,561.16 S/ 512.73 S/ 484.91
1982 20.42% 11.01% 32.81% S/ 9,105.08 S/ 569.18 S/ 644.04
1983 22.34% 8.45% 3.20% S/ 11,138.90 S/ 617.26 S/ 664.65
1984 6.15% 9.61% 13.73% S/ 11,823.51 S/ 676.60 S/ 755.92
1985 31.24% 7.49% 25.71% S/ 15,516.60 S/ 727.26 S/ 950.29
1986 18.49% 6.04% 24.28% S/ 18,386.33 S/ 771.15 S/ 1,181.06
1987 5.81% 5.72% -4.96% S/ 19,455.08 S/ 815.27 S/ 1,122.47
1988 16.54% 6.45% 8.22% S/ 22,672.40 S/ 867.86 S/ 1,214.78
1989 31.48% 8.11% 17.69% S/ 29,808.58 S/ 938.24 S/ 1,429.72
1990 -3.06% 7.55% 6.24% S/ 28,895.11 S/ 1,009.08 S/ 1,518.87
 1991 30.23% 5.61% 15.00% S/ 37,631.51 S/ 1,065.69 S/ 1,746.77
1992 7.49% 3.41% 9.36% S/ 40,451.51 S/ 1,101.98 S/ 1,910.30
1993 9.97% 2.98% 14.21% S/ 44,483.33 S/ 1,134.84 S/ 2,181.77
1994 1.33% 3.99% -8.04% S/ 45,073.14 S/ 1,180.07 S/ 2,006.43
1995 37.20% 5.52% 23.48% S/ 61,838.19 S/ 1,245.15 S/ 2,477.55
1996 22.68% 5.02% 1.43% S/ 75,863.69 S/ 1,307.68 S/ 2,512.94
1997 33.10% 5.05% 9.94% ### S/ 1,373.76 S/ 2,762.71
1998 28.34% 4.73% 14.92% ### S/ 1,438.70 S/ 3,174.95
1999 20.89% 4.51% -8.25% ### S/ 1,503.58 S/ 2,912.88
2000 -9.03% 5.76% 16.66% ### S/ 1,590.23 S/ 3,398.03
2001 -11.85% 3.67% 5.57% ### S/ 1,648.63 S/ 3,587.37
2002 -21.97% 1.66% 15.12% S/ 98,027.82 S/ 1,675.96 S/ 4,129.65
2003 28.36% 1.03% 0.38% ### S/ 1,693.22 S/ 4,145.15
2004 10.74% 1.23% 4.49% ### S/ 1,714.00 S/ 4,331.30
2005 4.83% 3.01% 2.87% ### S/ 1,765.59 S/ 4,455.50
2006 15.61% 4.68% 1.96% ### S/ 1,848.18 S/ 4,542.87
2007 5.48% 4.64% 10.21% ### S/ 1,933.98 S/ 5,006.69
2008 -36.55% 1.59% 20.10% ### S/ 1,964.64 S/ 6,013.10
2009 25.94% 0.14% -11.12% ### S/ 1,967.29 S/ 5,344.65
2010 14.82% 0.13% 8.46% ### S/ 1,969.84 S/ 5,796.96
2011 2.10% 0.03% 16.04% ### S/ 1,970.44 S/ 6,726.52
2012 15.89% 0.05% 2.97% ### S/ 1,971.42 S/ 6,926.40
2013 32.15% 0.07% -9.10% ### S/ 1,972.72 S/ 6,295.79
2014 13.52% 0.05% 10.75% ### S/ 1,973.77 S/ 6,972.34
2015 1.38% 0.21% 1.28% ### S/ 1,977.91 S/ 7,061.89
2016 11.77% 0.51% 0.69% ### S/ 1,988.00 S/ 7,110.65
2017 21.61% 1.39% 2.80% ### S/ 2,015.63 S/ 7,309.87
2018 -4.23% 2.37% -0.02% ### S/ 2,063.40 S/ 7,308.65
Risk Premium
Arithmetic Average Stocks - T.BilStocks - T.Bon
1928-2018 11.36% 3.43% 5.10% 7.93% 6.26%
1969-2018 11.10% 4.76% 7.10% 6.34% 4.00%
2009-2018 13.49% 0.49% 2.28% 13.00% 11.22%
Risk Premium
Geometric Average Stocks - T.BilStocks - T.Bonds
1928-2018 9.49% 3.38% 4.83% 6.11% 4.66%
1969-2018 9.73% 4.71% 6.69% 5.01% 3.04%
2009-2018 12.98% 0.49% 1.97% 12.48% 11.00%
premiums from 1928, over the last 50 years and over the last 10 years
e bottom of this table.

Real Returns on Investments in

S&P 500
Stocks - Historical risk Inflation (includes 3-month T. !0-year
Stocks - Bills Bonds premium Rate dividends)2 Bill (Real) T.Bonds
40.73% 42.98% 43.81% 3.08% 0.84%
-11.46% -12.50% -8.30% 3.16% 4.20%
-29.67% -29.66% -25.12% 4.55% 4.54%
-46.15% -41.28% -43.84% 2.31% -2.56%
-9.71% -17.43% -8.64% 1.07% 8.79%
49.02% 48.13% 49.98% 0.96% 1.86%
-1.51% -9.15% -1.19% 0.32% 7.96%
46.57% 42.27% 46.74% 0.17% 4.47%
31.77% 26.93% 31.94% 0.17% 5.02%
-35.64% -36.72% -35.34% 0.30% 1.38%
29.21% 25.07% 29.28% 0.08% 4.21%
-1.14% -5.51% -1.10% 0.04% 4.41%
-10.70% -16.08% -10.67% 0.03% 5.40%
-12.85% -10.75% -12.77% 0.08% -2.02%
18.84% 16.88% 19.17% 0.34% 2.29%
24.68% 22.57% 25.06% 0.38% 2.49%
18.65% 16.45% 19.03% 0.38% 2.58%
35.44% 32.02% 35.82% 0.38% 3.80%
-8.81% -11.56% -8.43% 0.38% 3.13%
4.63% 4.28% 5.20% 0.57% 0.92%
 4.68% 3.75% 5.70% 1.02% 1.95%
17.20% 13.64% 18.30% 1.10% 4.66%
29.63% 30.38% 30.81% 1.17% 0.43%
22.20% 23.97% 23.68% 1.48% -0.30%
16.48% 15.88% 18.15% 1.67% 2.27%
-3.10% -5.35% -1.21% 1.89% 4.14%
51.60% 49.27% 52.56% 0.96% 3.29%
30.94% 33.93% 32.60% 1.66% -1.34%
4.88% 9.70% 7.44% 2.56% -2.26%
-13.69% -17.25% -10.46% 3.23% 6.80%
41.94% 45.82% 43.72% 1.78% -2.10%
8.80% 14.70% 12.06% 3.26% -2.65%
-2.71% -11.30% 6.11% 0.34% 3.05% 11.64%
24.37% 24.58% 6.62% 26.64% 2.27% 2.06%
-11.59% -14.51% 5.97% -8.81% 2.78% 5.69%
19.50% 20.93% 6.36% 22.61% 3.11% 1.68%
12.91% 12.69% 6.53% 16.42% 3.51% 3.73%
8.50% 11.68% 6.66% 12.40% 3.90% 0.72%
-14.81% -12.88% 6.11% -9.97% 4.84% 2.91%
19.47% 25.38% 6.57% 23.80% 4.33% -1.58%
5.55% 7.54% 6.60% 10.81% 5.26% 3.27%
-14.80% -3.23% 6.33% -8.24% 6.56% -5.01%
-3.12% -13.19% 5.90% 3.56% 6.69% 16.75%
9.68% 4.43% 5.87% 14.22% 4.54% 9.79%
14.80% 15.94% 6.08% 18.76% 3.95% 2.82%
-21.03% -17.97% 5.50% -14.31% 6.73% 3.66%
-33.68% -27.89% 4.64% -25.90% 7.78% 1.99%
31.01% 33.39% 5.17% 37.00% 5.99% 3.61%
18.86% 7.85% 5.22% 23.83% 4.97% 15.98%
-12.11% -8.27% 4.93% -6.98% 5.13% 1.29%
-0.42% 7.29% 4.97% 6.51% 6.93% -0.78%
8.58% 17.85% 5.21% 18.52% 9.94% 0.67%
20.52% 34.72% 5.73% 31.74% 11.22% -2.99%
-19.00% -12.90% 5.37% -4.70% 14.30% 8.20%
9.41% -12.40% 5.10% 20.42% 11.01% 32.81%
13.89% 19.14% 5.34% 22.34% 8.45% 3.20%
-3.47% -7.59% 5.12% 6.15% 9.61% 13.73%
23.75% 5.52% 5.13% 31.24% 7.49% 25.71%
12.46% -5.79% 4.97% 18.49% 6.03% 24.28%
0.09% 10.77% 5.07% 5.81% 5.72% -4.96%
10.09% 8.31% 5.12% 16.54% 6.45% 8.22%
23.37% 13.78% 5.24% 31.48% 8.11% 17.69%
-10.61% -9.30% 5.00% -3.06% 7.55% 6.24%
 24.62% 15.23% 5.14% 30.23% 5.61% 15.00%
4.09% -1.87% 5.03% 7.49% 3.41% 9.36%
6.98% -4.24% 4.90% 9.97% 2.98% 14.21%
-2.66% 9.36% 4.97% 1.33% 3.99% -8.04%
31.68% 13.71% 5.08% 37.20% 5.52% 23.48%
17.66% 21.25% 5.30% 22.68% 5.02% 1.43%
28.05% 23.16% 5.53% 33.10% 5.05% 9.94%
23.61% 13.42% 5.63% 28.34% 4.73% 14.92%
16.38% 29.14% 5.96% 20.89% 4.51% -8.25%
-14.79% -25.69% 5.51% -9.03% 5.76% 16.66%
-15.52% -17.42% 5.17% -11.85% 3.67% 5.57%
-23.62% -37.08% 4.53% -21.97% 1.66% 15.12%
27.33% 27.98% 4.82% 28.36% 1.03% 0.38%
9.52% 6.25% 4.84% 10.74% 1.23% 4.49%
1.82% 1.97% 4.80% 4.83% 3.01% 2.87%
10.94% 13.65% 4.91% 15.61% 4.68% 1.96%
0.84% -4.73% 4.79% 5.48% 4.64% 10.21%
-38.14% -56.65% 3.88% -36.55% 1.59% 20.10%
25.80% 37.05% 4.29% 25.94% 0.13% -11.12%
14.69% 6.36% 4.31% 14.82% 0.13% 8.46%
2.07% -13.94% 4.10% 2.10% 0.03% 16.04%
15.84% 12.92% 4.20% 15.89% 0.05% 2.97%
32.08% 41.25% 4.62% 32.15% 0.07% -9.10%
13.47% 2.78% 4.60% 13.52% 0.05% 10.75%
1.17% 0.09% 4.54% 1.38% 0.21% 1.28%
11.26% 11.08% 4.62% 11.77% 0.51% 0.69%
20.22% 18.80% 4.77% 21.61% 1.39% 2.80%
-6.60% -4.22% 4.66% -4.23% 2.37% -0.02%
Standard Error
Stocks - T.BiStocks - T.Bonds
2.09% 2.22%
2.38% 2.71%
3.71% 5.50%

cks - T.Bonds
Date updated: 5-Jan-19
Created by: Aswath Damodaran, adamodar@stern.nyu.edu
What is this data? Beta, Unlevered beta and other risk measures
Home Page: http://www.damodaran.com
Data website: http://www.stern.nyu.edu/~adamodar/New_Home_Page/data.html
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?
If marginal tax rate, enter the marginal tax rate to use

Industry Name Number of firms Beta D/E Ratio

Advertising 48 1.22 71.06%
Aerospace/Defense 85 1.24 25.39%
Air Transport 18 1.02 89.82%
Apparel 50 0.93 35.00%
Auto & Truck 14 0.79 195.44%
Auto Parts 52 1.17 39.95%
Bank (Money Center) 10 0.71 203.85%
Banks (Regional) 633 0.57 76.51%
Beverage (Alcoholic) 31 1.30 34.18%
Beverage (Soft) 37 1.18 23.53%
Broadcasting 24 1.02 144.55%
Brokerage & Investment Banking 38 1.21 296.73%
Building Materials 42 1.10 32.99%
Business & Consumer Services 168 1.22 35.68%
Cable TV 14 1.13 70.70%
Chemical (Basic) 39 1.55 66.48%
Chemical (Diversified) 6 1.82 36.80%
Chemical (Specialty) 89 1.17 32.62%
Coal & Related Energy 23 1.17 67.40%
Computer Services 119 1.27 39.18%
Computers/Peripherals 57 1.68 25.13%
Construction Supplies 48 1.45 45.88%
Diversified 23 1.36 35.47%
Drugs (Biotechnology) 481 1.51 18.92%
Drugs (Pharmaceutical) 237 1.47 14.36%
Education 35 1.28 30.73%
Electrical Equipment 116 1.32 22.14%
Electronics (Consumer & Office) 19 1.19 9.77%
Electronics (General) 160 1.02 19.38%
Engineering/Construction 52 1.01 48.88%
Entertainment 120 1.33 19.85%
Environmental & Waste Services 91 1.19 33.64%
Farming/Agriculture 33 0.72 66.26%
Financial Svcs. (Non-bank & Insurance) 259 0.70 1138.31%
Food Processing 83 0.81 46.80%
Food Wholesalers 18 1.62 44.86%
Furn/Home Furnishings 30 0.88 50.67%
Green & Renewable Energy 21 1.62 146.40%
Healthcare Products 248 1.12 14.86%
Healthcare Support Services 111 1.15 36.22%
Heathcare Information and Technology 119 1.29 17.24%
Homebuilding 31 0.98 62.24%
Hospitals/Healthcare Facilities 34 1.12 139.76%
Hotel/Gaming 70 1.01 63.90%
Household Products 141 1.13 21.12%
Information Services 71 1.12 15.06%
Insurance (General) 20 0.87 47.86%
Insurance (Life) 23 1.11 104.73%
Insurance (Prop/Cas.) 50 0.74 25.46%
Investments & Asset Management 172 1.10 67.35%
Machinery 127 1.17 26.93%
Metals & Mining 94 1.32 41.78%
Office Equipment & Services 24 1.81 61.37%
Oil/Gas (Integrated) 5 1.16 17.25%
Oil/Gas (Production and Exploration) 301 1.45 55.19%
Oil/Gas Distribution 20 1.07 101.28%
Oilfield Svcs/Equip. 134 1.33 46.78%
Packaging & Container 27 1.07 66.41%
Paper/Forest Products 20 1.40 48.37%
Power 51 0.54 79.41%
Precious Metals 91 1.19 21.25%
Publishing & Newspapers 33 1.26 70.12%
R.E.I.T. 238 0.68 90.71%
Real Estate (Development) 18 1.19 69.45%
Real Estate (General/Diversified) 11 1.36 49.84%
Real Estate (Operations & Services) 59 1.35 65.34%
Recreation 72 0.98 36.32%
Reinsurance 2 0.97 29.87%
Restaurant/Dining 78 0.80 35.53%
Retail (Automotive) 24 1.15 71.91%
Retail (Building Supply) 17 1.12 22.84%
Retail (Distributors) 88 1.44 65.63%
Retail (General) 19 0.91 34.09%
Retail (Grocery and Food) 12 0.45 83.43%
Retail (Online) 79 1.42 12.00%
Retail (Special Lines) 91 1.07 51.62%
Rubber& Tires 4 0.42 119.65%
Semiconductor 72 1.34 14.14%
Semiconductor Equip 41 1.39 16.57%
Shipbuilding & Marine 9 1.08 56.70%
Shoe 10 0.75 7.43%
Software (Entertainment) 92 1.26 2.19%
Software (Internet) 44 1.46 21.65%
Software (System & Application) 355 1.23 12.87%
Steel 37 1.62 50.25%
Telecom (Wireless) 21 1.26 115.78%
Telecom. Equipment 98 1.09 18.05%
Telecom. Services 67 1.22 89.20%
Tobacco 17 1.29 25.23%
Transportation 19 1.14 42.47%
Transportation (Railroads) 10 2.47 26.93%
Trucking 28 1.22 103.10%
Utility (General) 18 0.27 71.36%
Utility (Water) 19 0.42 43.00%
Total Market 7209 1.12 66.64%
Total Market (without financials) 6004 1.21 34.51%
 YouTube Video explaining estimation choices and process.

s US companies

me_Page/data.html
ets/indname.xls
me_Page/datafile/variable.htm
Marginal
25.00%

Effective Tax
rate Unlevered beta Cash/Firm value Unlevered beta corrected for cash
5.69% 0.79 8.64% 0.87
11.40% 1.04 4.65% 1.09
6.48% 0.61 3.77% 0.63
14.19% 0.74 3.43% 0.76
10.15% 0.32 5.94% 0.34
11.57% 0.90 7.24% 0.97
26.01% 0.28 34.12% 0.43
26.99% 0.36 10.54% 0.40
2.55% 1.03 1.35% 1.05
3.87% 1.00 4.21% 1.04
2.54% 0.49 3.76% 0.51
22.47% 0.37 18.29% 0.46
16.11% 0.88 3.99% 0.91
7.60% 0.96 3.95% 1.00
3.61% 0.74 2.85% 0.76
7.33% 1.03 7.90% 1.12
3.18% 1.42 4.49% 1.49
10.71% 0.94 4.93% 0.99
1.75% 0.78 19.77% 0.97
8.75% 0.98 6.22% 1.05
6.60% 1.41 5.66% 1.50
13.21% 1.08 6.01% 1.15
7.41% 1.07 6.09% 1.14
0.93% 1.32 7.47% 1.43
2.26% 1.32 4.08% 1.38
6.14% 1.04 6.39% 1.11
4.36% 1.13 4.08% 1.18
7.67% 1.11 9.34% 1.22
11.67% 0.89 7.63% 0.96
7.62% 0.74 9.02% 0.81
1.93% 1.16 4.63% 1.21
3.23% 0.95 0.87% 0.96
9.64% 0.48 3.43% 0.50
20.38% 0.07 2.58% 0.08
5.17% 0.60 1.83% 0.61
4.71% 1.22 1.56% 1.23
16.96% 0.64 4.01% 0.67
0.00% 0.77 3.24% 0.80
5.46% 1.01 3.06% 1.04
8.33% 0.91 11.64% 1.03
5.65% 1.14 3.02% 1.18
24.35% 0.67 7.71% 0.72
6.88% 0.55 1.27% 0.55
9.55% 0.68 4.35% 0.71
7.14% 0.98 2.17% 1.00
10.37% 1.01 3.83% 1.05
13.97% 0.64 4.45% 0.67
3.47% 0.62 11.66% 0.70
15.95% 0.62 4.52% 0.65
7.09% 0.73 15.38% 0.87
13.62% 0.97 3.80% 1.01
3.06% 1.01 9.28% 1.11
13.71% 1.24 6.91% 1.33
8.91% 1.03 2.88% 1.06
1.93% 1.03 4.32% 1.07
8.05% 0.61 2.31% 0.62
4.22% 0.98 7.86% 1.07
13.01% 0.72 2.65% 0.74
8.42% 1.02 12.66% 1.17
13.59% 0.34 1.47% 0.35
2.08% 1.03 10.56% 1.15
12.00% 0.82 8.39% 0.90
2.42% 0.40 1.47% 0.41
0.00% 0.79 9.82% 0.87
7.10% 0.99 25.15% 1.33
8.46% 0.90 5.19% 0.95
7.43% 0.77 4.96% 0.81
9.80% 0.79 10.14% 0.88
8.96% 0.63 3.21% 0.65
8.89% 0.75 1.46% 0.76
20.08% 0.95 1.35% 0.97
8.15% 0.96 2.28% 0.99
10.85% 0.73 3.33% 0.75
3.01% 0.28 1.19% 0.28
3.85% 1.30 3.37% 1.34
13.81% 0.77 3.54% 0.80
25.00% 0.22 7.70% 0.24
10.19% 1.21 4.44% 1.26
13.77% 1.23 11.21% 1.39
0.00% 0.76 2.91% 0.78
18.57% 0.72 3.53% 0.74
3.47% 1.24 2.56% 1.27
0.85% 1.25 3.94% 1.31
4.62% 1.12 3.60% 1.16
4.18% 1.18 9.22% 1.29
2.38% 0.68 4.29% 0.71
6.20% 0.96 6.15% 1.02
3.72% 0.73 1.50% 0.74
7.27% 1.09 3.52% 1.13
5.29% 0.87 3.70% 0.90
0.00% 2.05 1.27% 2.08
1.23% 0.69 3.31% 0.71
14.66% 0.17 0.55% 0.17
9.49% 0.32 0.50% 0.32
8.76% 0.75 6.49% 0.80
6.21% 0.96 4.02% 1.00
 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 c

Standard deviation in
operating income (last
HiLo Risk Standard deviation of equity 10 years) 2015 2016
0.6668 66.44% 14.22% 0.83 0.74
0.5108 40.77% 14.93% 1.06 1.20
0.4134 34.19% 82.22% 0.61 0.85
0.5380 48.89% 20.31% 0.86 0.88
0.4878 38.24% 167.33% 0.59 0.47
0.5604 44.28% 53.51% 1.14 1.08
0.1730 18.29% NA 0.34 0.47
0.2015 20.60% NA 0.37 0.36
0.5694 33.49% 45.51% 0.89 0.82
0.6396 50.32% 11.51% 0.98 0.99
0.4222 37.29% 20.09% 0.83 0.75
0.3704 32.08% 36.54% 0.41 0.46
0.3707 33.40% 63.16% 0.93 0.98
0.5495 44.86% 23.12% 1.00 0.95
0.2818 26.32% 34.31% 0.70 0.89
0.5418 54.33% 44.65% 0.75 0.81
0.3575 32.60% 38.52% 0.99 1.27
0.4753 42.33% 17.28% 0.91 1.01
0.5707 53.58% 227.62% 0.83 0.39
0.6067 41.69% 11.07% 0.99 1.00
0.5360 49.87% 32.48% 1.17 1.22
0.4206 32.24% 29.67% 1.22 1.18
0.5055 39.46% 22.76% 0.70 0.74
0.6041 68.96% 49.59% 1.06 1.19
0.6491 72.45% 6.68% 0.95 0.94
0.5390 37.66% 33.28% 0.95 0.86
0.6493 57.29% 15.34% 1.14 1.03
0.5770 62.71% 441.09% 1.38 1.16
0.5159 46.69% 28.04% 1.01 0.98
0.4309 40.14% 8.76% 1.19 1.07
0.6944 54.34% 24.59% 0.99 0.98
0.6329 46.15% 13.94% 0.94 0.82
0.5497 29.07% 25.27% 0.58 0.77
0.3064 27.33% 52.61% 0.06 0.06
0.4401 27.46% 23.21% 0.82 0.74
0.5032 40.99% 17.34% 1.26 0.61
0.4822 43.51% 36.62% 0.92 1.00
0.7244 69.48% 76.39% 0.68 0.84
0.5501 56.32% 11.52% 0.90 0.92
0.5389 48.13% 23.27% 0.91 0.89
0.5598 53.01% 29.60% 0.84 0.99
0.4157 34.08% 106.97% 0.92 0.81
0.4838 49.69% 25.10% 0.59 0.44
0.4490 35.01% 31.98% 0.83 0.68
0.6117 54.64% 5.51% 0.91 0.91
0.4209 37.11% 34.13% 1.04 0.92
0.3298 24.63% 78.92% 0.80 0.82
0.2660 27.64% 34.68% 0.75 0.91
0.2261 23.90% 58.81% 0.69 0.75
0.3686 35.43% 31.54% 0.73 0.81
0.4303 34.36% 21.36% 1.11 1.23
0.6830 75.46% 40.16% 0.91 0.87
0.4706 39.46% 14.22% 1.00 1.29
0.3793 17.62% 70.40% 0.76 1.38
0.6041 57.36% 144.17% 0.91 0.95
0.4091 36.03% 31.61% 0.67 0.65
0.5599 49.29% 45.09% 1.32 1.41
0.3961 27.47% 17.02% 0.70 0.91
0.5161 42.72% 26.22% 0.59 0.89
0.2332 20.53% 9.03% 0.53 0.50
0.6987 74.54% 68.39% 1.05 1.03
0.4364 39.32% 11.72% 0.88 1.07
0.1997 21.22% 33.06% 0.43 0.41
0.5287 40.78% 128.52% 0.82 0.93
0.4907 21.50% 181.97% 1.47 1.03
0.5451 42.49% 44.41% 0.89 0.99
0.5168 42.73% 47.44% 0.99 0.75
0.1049 16.27% 35.84% 1.12 0.89
0.4410 38.18% 16.17% 0.74 0.64
0.4577 33.22% 33.22% 0.85 0.76
0.4176 46.94% 31.11% 1.29 1.31
0.5220 44.59% 33.33% 0.81 0.83
0.4058 39.63% 6.39% 0.85 0.92
0.3711 33.06% 25.50% 0.75 0.77
0.5960 54.22% 28.81% 1.39 1.53
0.5123 49.17% 19.55% 0.85 0.81
0.3703 29.03% 40.68% 0.65 1.18
0.4461 42.66% 33.27% 1.17 1.32
0.4373 48.66% 67.59% 1.17 1.22
0.5006 55.89% 33.84% 0.94 0.84
0.3572 38.65% 24.38% 0.82 0.81
0.6844 65.58% 61.18% 1.13 1.46
0.6444 51.90% 54.06% 1.29 1.33
0.5631 50.68% 11.03% 1.06 1.25
0.4899 44.32% 72.83% 0.90 0.86
0.6199 44.49% 44.28% 0.51 0.65
0.4932 45.72% 20.40% 1.20 1.17
0.6288 54.23% 33.75% 0.69 0.57
0.6225 48.08% 10.95% 0.94 1.66
0.4130 33.82% 27.46% 0.77 1.19
0.3941 20.12% 21.84% 0.92 0.93
0.4151 41.51% 34.19% 0.92 1.03
0.1259 15.34% 7.22% 0.42 0.36
0.3758 42.67% 21.58% 0.77 0.33
0.4864 42.67% 16.11% 0.70 0.73
0.5323 46.24% 14.99% 0.87 0.9
vered beta corrected for cash - Over time

Average
2017 2018 (2015-19)
0.91 0.78 0.83
0.94 0.99 1.05
0.76 0.67 0.70
0.71 0.85 0.81
0.38 0.59 0.47
0.94 0.92 1.01
0.41 0.32 0.39
0.36 0.39 0.38
0.71 1.12 0.92
0.78 0.63 0.88
0.70 0.65 0.69
0.42 0.54 0.46
0.87 0.99 0.94
0.85 1.01 0.96
0.82 0.67 0.77
0.68 0.96 0.87
1.22 1.79 1.35
0.98 0.95 0.97
0.61 1.04 0.77
0.83 0.94 0.96
0.94 0.93 1.15
1.02 0.95 1.11
0.63 1.01 0.84
1.25 1.36 1.26
0.93 1.13 1.06
1.05 0.96 0.98
1.04 1.02 1.08
0.97 1.08 1.16
0.83 0.91 0.94
1.01 1.13 1.04
0.97 0.96 1.02
0.63 0.70 0.81
0.62 0.56 0.60
0.07 0.07 0.07
0.63 0.56 0.67
0.93 1.41 1.09
0.69 0.67 0.79
0.47 0.72 0.70
0.92 0.89 0.93
0.82 0.82 0.89
0.83 0.88 0.94
0.77 0.89 0.82
0.45 0.51 0.51
0.67 0.74 0.73
0.69 0.88 0.88
0.87 0.82 0.94
0.71 0.63 0.73
0.80 0.81 0.80
0.70 0.73 0.71
0.68 0.87 0.79
0.93 1.04 1.06
0.89 0.96 0.95
1.09 1.10 1.16
0.95 1.25 1.08
0.99 1.00 0.99
0.69 0.72 0.67
1.11 1.06 1.19
0.60 0.55 0.70
0.83 0.98 0.89
0.33 0.32 0.41
1.10 0.95 1.06
0.96 0.83 0.93
0.41 0.42 0.42
0.47 0.61 0.74
1.09 0.73 1.13
0.62 0.80 0.85
0.76 0.73 0.81
0.65 0.47 0.80
0.61 0.70 0.67
0.63 0.65 0.73
1.12 0.76 1.09
0.77 0.87 0.85
0.82 0.87 0.84
0.46 0.44 0.54
1.17 1.12 1.31
0.76 0.82 0.81
0.89 0.64 0.72
1.11 1.16 1.20
1.10 0.99 1.17
0.85 1.01 0.89
0.83 0.86 0.81
0.96 0.91 1.15
1.12 1.20 1.25
0.99 1.02 1.10
1.19 1.53 1.16
0.58 0.71 0.63
0.86 0.96 1.04
0.68 0.72 0.68
1.13 1.15 1.20
0.83 0.80 0.90
0.66 0.87 1.09
0.76 0.81 0.84
0.25 0.20 0.28
0.47 0.27 0.43
0.65 0.72 0.72
0.85 0.90 0.90
Country Std deviation in Equities (weekly) sBond sEquity/ sBond
Argentina 38.11% NA NA
Bangladesh 13.48% NA NA
Bosnia 8.96% NA NA
Botswana 4.89% NA NA
Ghana 8.33% NA NA
Greece 43.21% 45.54% 0.95
Jamaica 16.93% NA NA
Jordan 7.14% NA NA
Kenya 10.90% NA NA
Kuwait 10.77% NA NA
Laos 16.00% NA NA
Macedonia 11.59% NA NA
Malta 7.75% NA NA
Mauritius 5.40% NA NA
Mongolia 17.21% NA NA
Montenegro 20.08% NA NA
Namibia 21.83% NA NA
Nigeria 27.08% NA NA
Oman 17.56% NA NA
Palestine 9.33% NA NA
Serbia 10.18% NA NA
Singapore 11.27% NA NA
Sri Lanka 8.88% NA NA
Taiwan 14.02% NA NA
Tanzania 19.44% NA NA
UAE 31.74% NA NA
Ukraine 29.74% NA NA
US 12.69% NA NA
Venezuela 51.23% 44.85% 1.14
Pakistan 14.21% NA NA
Tunisia 8.44% NA NA
Egypt 27.71% NA NA
Brazil 23.52% 12.21% 1.93
Lebanon 6.33% 3.15% 2.01
Costa Rica 8.31% NA NA
Bahrain 7.93% NA NA
South Africa 14.79% 20.21% 0.73
Russia 22.90% 40.10% 0.57
Kazakhastan 32.79% NA NA
Vietnam 17.55% NA NA
Turkey 20.97% 9.46% 2.22
Croatia 7.77% NA NA
Colombia 17.48% 7.09% 2.47
Portugal 22.96% 7.14% 3.22
Indonesia 15.19% 10.00% 1.52
Morocco 8.16% NA NA
Cyprus 32.96% NA NA
Mexico 13.68% 4.74% 2.89
Peru 15.94% 8.51% 1.11
Panama 4.69% NA NA
India 14.93% 2.93% 5.10
Malaysia 10.65% NA NA
Bulgaria 14.54% 13.05% 1.11
Thailand 12.08% 6.87% 1.76
Hungary 17.05% NA NA
Saudi Arabia 24.27% 17.55% 1.38
Italy 20.08% 7.23% 2.78
China 29.13% NA NA
Philippines 11.29% 30.36% 0.37
Romania 12.79% NA NA
Qatar 21.16% NA NA
Slovenia 14.17% 5.78% 2.45
Spain 22.89% 6.37% 3.59
Chile 12.29% 8.04% 1.53
Poland 13.93% 12.13% 1.15
Latvia 17.53% NA NA
Lithuania 7.63% NA NA
Iceland 10.01% 4.02% 2.49
Israel 10.30% 4.86% 2.12
Ireland 17.41% 3.08% 5.65
Korea 12.40% NA NA
Slovakia 17.69% 7.91% 2.24
Czech Republic 13.82% 4.93% 2.80
Estonia 10.89% NA NA

Average 2.12
Median 2.01

Average 1.94
Median 1.76
s (CDS) CDS CVCDS sEquity/ sCDS
NA NA NA NA
NA NA NA NA
NA NA NA NA
NA NA NA NA
NA NA NA NA
NA NA NA NA
NA NA NA NA
NA NA NA NA
NA NA NA NA
NA NA NA NA
NA NA NA NA
NA NA NA NA
NA NA NA NA
NA NA NA NA
NA NA NA NA
NA NA NA NA
NA NA NA NA
NA NA NA NA
NA NA NA NA
NA NA NA NA
NA NA NA NA
NA NA NA NA
NA NA NA NA
NA NA NA NA
NA NA NA NA
NA NA NA NA
NA NA NA NA
0.1100% NA NA NA
1.3700% NA NA NA
0.3219% 6.56% 4.90% 2.90
0.4039% 6.33% 6.38% 1.32
0.2988% 5.48% 5.45% 5.08
0.4111% 5.09% 8.07% 2.91
0.3565% 5.00% 7.13% 0.89
0.3136% 4.86% 6.45% 1.29
0.3200% 4.00% 8.00% 0.99
0.3821% 3.99% 9.58% 1.54
0.5519% 3.67% 15.05% 1.52
0.3585% 3.55% 10.10% 3.25
0.2610% 3.52% 7.41% 2.37
0.3261% 3.39% 9.61% 2.18
0.2240% 3.23% 6.93% 1.12
0.4247% 3.22% 13.19% 1.33
0.5728% 3.18% 18.03% 1.27
0.3922% 2.96% 13.27% 1.14
0.3185% 2.69% 11.84% 0.69
0.5916% 2.66% 22.24% 1.48
0.4093% 2.48% 16.50% 0.83
0.3400% 2.35% 14.50% 1.10
0.3181% 2.32% 13.70% 0.34
0.3731% 2.25% 16.59% 0.90
0.5214% 2.21% 23.59% 0.45
0.2917% 2.13% 13.69% 1.06
0.3830% 2.05% 18.73% 0.65
0.3111% 2.03% 15.33% 1.11
0.6852% 1.93% 35.50% 0.68
0.5215% 1.93% 27.09% 0.74
0.3936% 1.76% 22.36% 1.30
0.3890% 1.68% 23.22% 0.49
0.2938% 1.66% 17.72% 0.72
0.4138% 1.63% 25.42% 0.83
0.2665% 1.62% 16.47% 0.86
0.5239% 1.55% 33.85% 0.68
0.3765% 1.54% 24.50% 0.50
0.2970% 1.38% 21.57% 0.65
0.2699% 1.30% 20.76% 0.84
0.2612% 1.26% 20.73% 0.37
0.3686% 1.26% 29.31% 0.34
0.2495% 1.19% 20.97% 0.49
0.4114% 1.06% 38.81% 0.45
0.4744% 0.89% 53.60% 0.23
0.1457% 0.88% 16.63% 1.06
0.3475% 0.81% 42.90% 0.32
0.3969% 0.80% 49.71% 0.22

1.14
0.89

1.33
1.10
 PN01129XM
Indicadores de riesgo para países emergentes: EMBIG - Diferencial de Rendimientos del Índice de Bonos de Mercad
Ene98 471
Feb98 423.84211
Mar98 406.13636
Abr98 398.33333
May98 425.3
Jun98 491.13636
Jul98 536.81818
Ago98 687.04762
Sep98 935.7619
Oct98 797.61905
Nov98 631.89474
Dic98 655.18182
Ene99 701.21053
Feb99 706.10526
Mar99 598.47826
Abr99 522.80952
May99 553.25
Jun99 621.59091
Jul99 597.61905
Ago99 679.68182
Sep99 640.2381
Oct99 606.65
Nov99 549.9
Dic99 474.45455
Ene00 445.6
Feb00 449.5
Mar00 444.08696
Abr00 521.78947
May00 591.68182
Jun00 541.77273
Jul00 545.9
Ago00 499.08696
Sep00 596.25
Oct00 714.2381
Nov00 745.61905
Dic00 718.9
Ene01 659
Feb01 651.94737
Mar01 635.81818
Abr01 761.65
May01 763.45455
Jun01 662.7619
Jul01 642.90476
Ago01 625.6087
Sep01 638.94118
Oct01 665.36364
Nov01 590.6
Dic01 513.4
Ene02 481.42857
Feb02 478.47368
Mar02 414.85
Abr02 434.81818
May02 506.45455
Jun02 566.65
Jul02 719.90909
Ago02 816.27273
Sep02 805.9
Oct02 813.90909
Nov02 672.10526
Dic02 619.66667
Ene03 569.71429
Feb03 562.89474
Mar03 509.66667
Abr03 426.80952
May03 411.66667
Jun03 459.52381
Jul03 482.04545
Ago03 423.14286
Sep03 353.42857
Oct03 317.45455
Nov03 310.33333
Dic03 318.09091
Ene04 302.65
Feb04 361.05263
Mar04 357
Abr04 350.90476
May04 483.55
Jun04 449.36364
Jul04 434.57143
Ago04 385.18182
Sep04 336.7619
Oct04 350.85
Nov04 303.5
Dic04 257.22727
Ene05 266.45
Feb05 261.89474
Mar05 264.18182
Abr05 284.85714
May05 267.2381
Jun05 243.22727
Jul05 233.25
Ago05 206
Sep05 197.90476
Oct05 218.25
Nov05 203.25
Dic05 226.52381
Ene06 235.95
Feb06 184.10526
Mar06 220.08696
Abr06 218.78947
May06 196.72727
Jun06 206.86364
Jul06 193.65
Ago06 173.3913
Sep06 171.85
Oct06 147.95238
Nov06 146.7619
Dic06 131.35
Ene07 123.04762
Feb07 127.21053
Mar07 131.81818
Abr07 117.75
May07 110
Jun07 103.95238
Jul07 129.47619
Ago07 168.91304
Sep07 155.15789
Oct07 138.59091
Nov07 174.9
Dic07 174.95
Ene08 195.14286
Feb08 208.65
Mar08 220.9
Abr08 181.59091
May08 154.09524
Jun08 160.28571
Jul08 197.59091
Ago08 195.28571
Sep08 257.7619
Oct08 500.27273
Nov08 484.61111
Dic08 523.68182
Ene09 460.05
Feb09 419.05263
Mar09 408.90909
Abr09 359.57143
May09 292.15
Jun09 257.5
Jul09 273.86364
Ago09 240
Sep09 224.95238
Oct09 196.61905
Nov09 191.21053
Dic09 178.95455
Ene10 179.68421
Feb10 200.21053
Mar10 157.82609
Abr10 143.57143
May10 201.45
Jun10 206.81818
Jul10 185.71429
Ago10 156.59091
Sep10 167.57143
Oct10 156.45
Nov10 151.31579
Dic10 156.54545
Ene11 145.7
Feb11 146.05263
Mar11 156.78261
Abr11 192.35
May11 187.47619
Jun11 192.36364
Jul11 171
Ago11 199.56522
Sep11 238.90476
Oct11 230.5
Nov11 212.10526
Dic11 216.85714
Ene12 218.9
Feb12 199.6
Mar12 165.59091
Abr12 164.35
May12 179.77273
Jun12 188.42857
Jul12 162.04762
Ago12 133.13043
Sep12 122.89474
Oct12 107.85714
Nov12 122.89474
Dic12 117.4
Ene13 109.85714
Feb13 127.21053
Mar13 139.95
Abr13 132.54545
May13 133.04545
Jun13 179.8
Jul13 175
Ago13 190.54545
Sep13 182.2
Oct13 173.18182
Nov13 182.44444
Dic13 177.19048
Ene14 177.04762
Feb14 182.52632
Mar14 167.2381
Abr14 153.80952
May14 149.2381
Jun14 145.42857
Jul14 146.81818
Ago14 157.28571
Sep14 149.7619
Oct14 170.18182
Nov14 165.17647
Dic14 182.5
Ene15 201.8
Feb15 182.84211
Mar15 184.45455
Abr15 176.95455
May15 165.9
Jun15 176.5
Jul15 187.31818
Ago15 217.47619
Sep15 234.04762
Oct15 226.09524
Nov15 218.73684
Dic15 236.40909
Ene16 266.31579
Feb16 281.7
Mar16 226.90909
Abr16 210.04762
May16 207.90476
Jun16 209.90909
Jul16 183.75
Ago16 169.6087
Sep16 161.85714
Oct16 146.6
Nov16 167.65
Dic16 164.80952
Ene17 157.3
Feb17 152.10526
Mar17 141.08696
Abr17 149.15789
May17 141.18182
Jun17 143.5
Jul17 141.9
Ago17 156.03571
Sep17 144
Oct17 139.61905
Nov17 138.80952
Dic17 136.15
Ene18 121.57692
Feb18 132.10526
Mar18 145.46154
Abr18 145.2381
May18 157.59091
Jun18 163.33333
Jul18 150.2381
Ago18 149.26087
Sep18 139.52632
Oct18 143.31818
Nov18 156.9
Dic18 162.94737
Ene19 151.90476
Feb19 139.31579
dice de Bonos de Mercados Emergentes (EMBIG) - Perú