Metodología del Costo de Capital por CAPM con Betas Comparables

Fórmulas

𝑊𝐴𝐶𝐶=𝐾_𝐷∗(1−𝑡)∗(𝐷𝑒𝑢𝑑𝑎/(𝐷𝑒𝑢𝑑𝑎+𝑃𝑎𝑡𝑟𝑖𝑚𝑜𝑛𝑖𝑜))+𝐾_𝐸∗(𝑃𝑎𝑡𝑟𝑖𝑚𝑜𝑛𝑖𝑜/(𝐷𝑒𝑢𝑑𝑎+𝑃𝑎𝑡𝑟𝑖𝑚𝑜𝑛𝑖𝑜))

modelo CAPM país emergente

𝐾_𝑒=𝑟_𝑓+𝛽_(𝐴𝑝𝑎𝑙𝑎𝑛𝑐𝑎𝑑𝑜 𝑑𝑒 𝑙𝑎 𝑒𝑚𝑝𝑟𝑒𝑠𝑎) (𝑝𝑟𝑖𝑚𝑎 𝑑𝑒 𝑚𝑒𝑟𝑐𝑎𝑑𝑜 𝑎𝑣𝑎𝑛𝑧𝑎𝑑𝑜)+𝐶𝑜𝑢𝑛𝑡𝑟𝑦 𝑅𝑖𝑠
𝑃𝑟𝑒𝑚𝑖𝑢𝑚
desapalancar betas

apalancar beta desapalancado

Parámetros
Inflación Perú 2.00%
Inflación EEUU 1.00%
Tasa impositiva 29.5%
Costo de deuda (USD) 5.35%
Costo de deuda (PEN) 8.94%
País Peru
Industria Healthcare Products
Country Risk Premium 1.67% BCRP
Beta desapalancado 1.34
Beta apalancado de la empresa 1.67
Tasa libre de Riesgo 4.64% 2020
Retorno de mercado avanzado 14.34% Promedio 10 años
Costo de capital del accionista (USD) 22.56%
Costo de capital del accionista (PEN) 24.45%

CPPC de empresa en país emergente

Inversión en capital = activos Estructura del capital Valor en MM
Pasivo operativo $ 583,168.0
1,154,883 Deuda financiera $ 149,655.0
Patrimonio $ 422,060.0
$ 571,715.0
 Datos de mercado de la página de Damodaran
Betas por industría de economía emergentes
Fuente: http://www.stern.nyu.edu/~adamodar/pc/archives/totalbetaemerg18.xls

Average
Induistry Name Number of firms Unlevered
Beta
Advertising 91 1.39
Aerospace/Defense 82 1.14
Air Transport 87 0.57
Apparel 898 0.72
Auto & Truck 81 1.28
Auto Parts 453 1.16
Bank (Money Center) 463 0.42
Banks (Regional) 82 0.35
Beverage (Alcoholic) 114 1.05
Beverage (Soft) 35 0.53
Broadcasting 59 0.78
Brokerage & Investment Banking 392 0.51
Building Materials 213 0.82
Business & Consumer Services 240 1.18
Cable TV 32 1.06
Chemical (Basic) 605 0.96
Chemical (Diversified) 35 0.86
Chemical (Specialty) 505 1.03
Coal & Related Energy 108 1.13
Computer Services 449 1.06
Computers/Peripherals 209 1.53
Construction Supplies 518 0.96
Diversified 229 0.47
Drugs (Biotechnology) 179 1.45
Drugs (Pharmaceutical) 626 1.14
Education 100 1.32
Electrical Equipment 574 1.06
Electronics (Consumer & Office) 92 1.15
Electronics (General) 812 1.49
Engineering/Construction 797 0.89
Entertainment 286 1.40
Environmental & Waste Services 117 1.06
Farming/Agriculture 284 0.63
Financial Svcs. (Non-bank & Insurance) 559 0.42
Food Processing 829 0.73
Food Wholesalers 82 0.67
Furn/Home Furnishings 218 1.11
Green & Renewable Energy 90 0.68
Healthcare Products 198 1.34
Healthcare Support Services 134 1.04
Heathcare Information and Technology 83 1.80
Homebuilding 34 0.76
Hospitals/Healthcare Facilities 107 0.78
Hotel/Gaming 396 0.82
Household Products 257 0.98
Information Services 70 1.19
Insurance (General) 140 0.47
Insurance (Life) 71 0.72
Insurance (Prop/Cas.) 138 0.44
Investments & Asset Management 334 0.21
Machinery 723 1.14
Metals & Mining 311 1.10
Office Equipment & Services 72 0.80
Oil/Gas (Integrated) 24 0.96
Oil/Gas (Production and Exploration) 133 1.32
Oil/Gas Distribution 84 0.86
Oilfield Svcs/Equip. 236 1.10
Packaging & Container 278 0.67
Paper/Forest Products 194 0.69
Power 360 0.52
Precious Metals 89 1.21
Publishing & Newspapers 170 1.14
R.E.I.T. 203 0.33
Real Estate (Development) 701 0.69
Real Estate (General/Diversified) 262 0.79
Real Estate (Operations & Services) 297 0.63
Recreation 133 0.82
Reinsurance 30 0.96
Restaurant/Dining 126 1.01
Retail (Automotive) 87 0.72
Retail (Building Supply) 23 1.14
Retail (Distributors) 575 0.62
Retail (General) 136 0.90
Retail (Grocery and Food) 64 0.73
Retail (Online) 60 1.46
Retail (Special Lines) 163 1.00
Rubber& Tires 74 0.70
Semiconductor 399 1.73
Semiconductor Equip 183 1.66
Shipbuilding & Marine 231 0.69
Shoe 60 0.91
Software (Entertainment) 40 1.78
Software (Internet) 30 0.85
Software (System & Application) 335 1.46
Steel 508 0.89
Telecom (Wireless) 60 0.76
Telecom. Equipment 296 1.45
Telecom. Services 128 0.81
Tobacco 27 0.83
Transportation 176 0.87
Transportation (Railroads) 11 1.30
Trucking 100 0.72
Utility (General) 10 0.41
Utility (Water) 66 0.82
Total Market 21855 0.84
Total Market (without financials) 19676 0.93

Fuente: http://www.stern.nyu.edu/~adamodar/pc/archives/ctryprem18.xls

Country Africa Moody's rating

Abu Dhabi Middle East Aa2

Albania Eastern Europe & Russia B1
Andorra (Principality of) Western Europe Baa2
Angola Africa B3
Argentina Central and South America B2
Armenia Eastern Europe & Russia B1
Aruba Caribbean Baa1
Australia Australia & New Zealand Aaa
Austria Western Europe Aa1
Azerbaijan Eastern Europe & Russia Ba2
Bahamas Caribbean Baa3
Bahrain Middle East B2
Bangladesh Asia Ba3
Barbados Caribbean Caa3
Belarus Eastern Europe & Russia B3
Belgium Western Europe Aa3
Belize Central and South America B3
Benin Africa B1
Bermuda Caribbean A2
Bolivia Central and South America Ba3
Bosnia and Herzegovina Eastern Europe & Russia B3
Botswana Africa A2
Brazil Central and South America Ba2
Bulgaria Eastern Europe & Russia Baa2
Burkina Faso Africa B2
Cambodia Asia B2
Cameroon Africa B2
Canada North America Aaa
Cape Verde Africa B2
Cayman Islands Caribbean Aa3
Chile Central and South America A1
China Asia A1
Colombia Central and South America Baa2
Congo (Democratic Republic of) Africa B3
Congo (Republic of) Africa Caa2
Cook Islands Australia & New Zealand B1
Costa Rica Central and South America B1
Côte d'Ivoire Africa Ba3
Croatia Eastern Europe & Russia Ba2
Cuba Caribbean Caa2
Curacao Caribbean A3
Cyprus Western Europe Ba2
Czech Republic Eastern Europe & Russia A1
Denmark Western Europe Aaa
Dominican Republic Caribbean Ba3
Ecuador Central and South America B3
Egypt Africa B3
El Salvador Central and South America Caa1
Estonia Eastern Europe & Russia A1
Ethiopia Africa B1
Fiji Asia Ba3
Finland Western Europe Aa1
France Western Europe Aa2
Gabon Africa Caa1
Georgia Eastern Europe & Russia Ba2
Germany Western Europe Aaa
Ghana Africa B3
Greece Western Europe B3
Guatemala Central and South America Ba1
Guernsey (States of) Western Europe Aa3
Honduras Central and South America B1
Hong Kong Asia Aa2
Hungary Eastern Europe & Russia Baa3
Iceland Western Europe A3
India Asia Baa2
Indonesia Asia Baa2
Iraq Middle East Caa1
Ireland Western Europe A2
Isle of Man Western Europe Aa2
Israel Middle East A1
Italy Western Europe Baa3
Jamaica Caribbean B3
Japan Asia A1
Jersey (States of) Western Europe Aa3
Jordan Middle East B1
Kazakhstan Eastern Europe & Russia Baa3
Kenya Africa B2
Korea Asia Aa2
Kuwait Middle East Aa2
Kyrgyzstan Eastern Europe & Russia B2
Latvia Eastern Europe & Russia A3
Lebanon Middle East B3
Liechtenstein Western Europe Aaa
Lithuania Eastern Europe & Russia A3
Luxembourg Western Europe Aaa
Macao Asia Aa3
Macedonia Eastern Europe & Russia Ba3
Malaysia Asia A3
Maldives Asia B2
Malta Western Europe A3
Mauritius Asia Baa1
Mexico Central and South America A3
Moldova Eastern Europe & Russia B3
Mongolia Asia B3
Montenegro Eastern Europe & Russia B1
Montserrat Caribbean Baa3
Morocco Africa Ba1
Mozambique Africa Caa3
Namibia Africa Ba1
Netherlands Western Europe Aaa
New Zealand Australia & New Zealand Aaa
Nicaragua Central and South America B2
Nigeria Africa B2
Norway Western Europe Aaa
Oman Middle East Baa3
Pakistan Asia B3
Panama Central and South America Baa2
Papua New Guinea Asia B2
Paraguay Central and South America Ba1
Peru Central and South America A3
Philippines Asia Baa2
Poland Eastern Europe & Russia A2
Portugal Western Europe Baa3
Qatar Middle East Aa3
Ras Al Khaimah (Emirate of) Middle East A2
Romania Eastern Europe & Russia Baa3
Russia Eastern Europe & Russia Ba1
Rwanda Africa B2
Saudi Arabia Middle East A1
Senegal Africa Ba3
Serbia Eastern Europe & Russia Ba3
Sharjah Middle East A3
Singapore Asia Aaa
Slovakia Eastern Europe & Russia A2
Slovenia Eastern Europe & Russia Baa1
Solomon Islands Asia B3
South Africa Africa Baa3
Spain Western Europe Baa1
Sri Lanka Asia B1
St. Maarten Caribbean Baa2
St. Vincent & the Grenadines Caribbean B3
Suriname Central and South America B2
Swaziland Africa B2
Sweden Western Europe Aaa
Switzerland Western Europe Aaa
Taiwan Asia Aa3
Tajikistan Eastern Europe & Russia B3
Tanzania Africa B1
Thailand Asia Baa1
Trinidad and Tobago Caribbean Ba1
Tunisia Africa B2
Turkey Western Europe Ba3
Turks and Caicos Islands Caribbean Baa1
Uganda Africa B2
Ukraine Eastern Europe & Russia Caa1
United Arab Emirates Middle East Aa2
United Kingdom Western Europe Aa2
United States North America Aaa
Uruguay Central and South America Baa2
Venezuela Central and South America C
Vietnam Asia Ba3
Zambia Africa Caa1

Lease Debt (My

Industry Name Number of firms
Estimate)

Advertising 103 $4,217.78

Aerospace/Defense 89 $9,359.49
Air Transport 86 $222,723.52
Apparel 907 $19,380.94
Auto & Truck 83 $33,585.22
Auto Parts 459 $11,882.46
Bank (Money Center) 449 $399,161.16
Banks (Regional) 95 $131,270.78
Beverage (Alcoholic) 120 $6,488.13
Beverage (Soft) 31 $1,476.14
Broadcasting 63 $2,212.91
Brokerage & Investment Banking 392 $52,839.22
Building Materials 223 $4,009.22
Business & Consumer Services 254 $3,453.75
Cable TV 33 $2,723.18
Chemical (Basic) 612 $23,260.80
Chemical (Diversified) 37 $3,850.19
Chemical (Specialty) 521 $14,266.44
Coal & Related Energy 105 $21,969.35
Computer Services 442 $17,798.74
Computers/Peripherals 209 $20,326.58
Construction Supplies 515 $61,647.76
Diversified 212 $239,159.76
Drugs (Biotechnology) 206 $1,122.50
Drugs (Pharmaceutical) 638 $19,224.72
Education 121 $5,706.62
Electrical Equipment 576 $62,377.76
Electronics (Consumer & Office) 88 $5,719.49
Electronics (General) 846 $26,810.53
Engineering/Construction 829 $68,698.23
Entertainment 303 $13,300.08
Environmental & Waste Services 128 $5,379.79
Farming/Agriculture 276 $32,784.18
Financial Svcs. (Non-bank & Insurance) 589 $87,300.12
Food Processing 858 $47,490.76
Food Wholesalers 81 $7,767.54
Furn/Home Furnishings 225 $17,639.86
Green & Renewable Energy 108 $24,355.08
Healthcare Products 224 $1,814.56
Healthcare Support Services 152 $18,879.87
Heathcare Information and Technology 88 $482.87
Homebuilding 35 $3,434.92
Hospitals/Healthcare Facilities 110 $9,669.07
Hotel/Gaming 400 $51,536.17
Household Products 266 $5,001.44
Information Services 75 $2,893.43
Insurance (General) 141 $2,493.75
Insurance (Life) 77 $22,715.91
Insurance (Prop/Cas.) 141 $3,317.12
Investments & Asset Management 356 $152,133.75
Machinery 741 $21,315.17
Metals & Mining 294 $33,344.74
Office Equipment & Services 64 $703.22
Oil/Gas (Integrated) 25 $172,177.48
Oil/Gas (Production and Exploration) 121 $16,828.14
Oil/Gas Distribution 95 $16,636.45
Oilfield Svcs/Equip. 233 $40,465.17
Packaging & Container 283 $5,482.22
Paper/Forest Products 190 $9,726.68
Power 368 $114,756.66
Precious Metals 84 $6,686.70
Publishing & Newspapers 167 $2,207.98
R.E.I.T. 213 $13,567.19
Real Estate (Development) 728 $298,114.58
Real Estate (General/Diversified) 245 $63,265.07
Real Estate (Operations & Services) 319 $30,319.84
Recreation 129 $3,925.49
Reinsurance 28 $741.34
Restaurant/Dining 130 $18,601.43
Retail (Automotive) 98 $20,131.61
Retail (Building Supply) 26 $4,104.29
Retail (Distributors) 594 $28,524.28
Retail (General) 133 $85,779.46
Retail (Grocery and Food) 70 $35,598.90
Retail (Online) 72 $4,746.38
Retail (Special Lines) 172 $43,016.76
Rubber& Tires 70 $2,449.87
Semiconductor 411 $17,744.82
Semiconductor Equip 195 $6,346.76
Shipbuilding & Marine 233 $73,480.40
Shoe 56 $5,581.31
Software (Entertainment) 49 $7,130.72
Software (Internet) 31 $891.89
Software (System & Application) 372 $2,739.43
Steel 508 $33,383.29
Telecom (Wireless) 58 $134,643.30
Telecom. Equipment 287 $3,558.97
Telecom. Services 132 $105,448.18
Tobacco 29 $424.08
Transportation 183 $17,803.08
Transportation (Railroads) 14 $5,272.08
Trucking 100 $6,081.64
Utility (General) 9 $6,871.81
Utility (Water) 66 $7,683.29
Total Market 22402 $3,535,415.79
Total Market (without financials) 20162 $2,684,183.96
𝑎𝑑𝑜)+𝐶𝑜𝑢𝑛𝑡𝑟𝑦 𝑅𝑖𝑠𝑘

dio 10 años
𝐾_𝑒=𝑟_𝑓+𝛽_(𝐴𝑝𝑎𝑙𝑎𝑛𝑐𝑎𝑑𝑜 𝑑𝑒 𝑙𝑎 𝑒𝑚𝑝𝑟𝑒𝑠𝑎) (𝑝𝑟𝑖𝑚𝑎 𝑑𝑒 𝑚𝑒𝑟𝑐𝑎𝑑𝑜 𝑎𝑣𝑎𝑛𝑧𝑎𝑑𝑜)+𝐶𝑜𝑢𝑛𝑡𝑟𝑦 𝑅𝑖𝑠𝑘
𝐾 =𝑟 +𝛽
𝑃𝑟𝑒𝑚𝑖𝑢𝑚
𝑒 𝑓 ( 𝑝𝑟𝑖𝑚𝑎𝑑𝑒 𝑚𝑒𝑟𝑐𝑎𝑑𝑜𝑎𝑣𝑎𝑛𝑧𝑎𝑑𝑜 )+𝐶𝑜𝑢𝑛𝑡𝑟𝑦 𝑅𝑖𝑠𝑘 𝑃𝑟𝑒𝑚𝑖𝑢𝑚
𝐴𝑝𝑎𝑙𝑎𝑛𝑐𝑎𝑑𝑜 𝑑𝑒𝑙𝑎 𝑒𝑚𝑝𝑟𝑒𝑠𝑎

Ponderación K ponderado

26.2% 1.65%
73.8% 18.05%
100.0% 19.70% Wacc
an

Average
Average Total Total
correlation
Levered Unlevered Levered
with the
Beta Beta Beta
market
140.00% 15.47% 8.97 9.02
118.00% 17.42% 6.53 6.76
99.00% 21.61% 2.66 4.57
82.00% 14.64% 4.95 5.59
147.00% 21.64% 5.90 6.80
122.00% 17.92% 6.47 6.80
67.00% 19.84% 2.11 3.38
80.00% 18.02% 1.97 4.47
101.00% 19.94% 5.29 5.05
58.00% 11.93% 4.45 4.90
86.00% 16.65% 4.71 5.18
110.00% 19.75% 2.58 5.56
96.00% 16.75% 4.88 5.72
121.00% 16.32% 7.21 7.44
107.00% 17.63% 6.00 6.06
106.00% 17.52% 5.46 6.06
101.00% 18.44% 4.68 5.48
117.00% 17.77% 5.82 6.61
130.00% 18.46% 6.15 7.03
115.00% 17.91% 5.94 6.40
152.00% 24.05% 6.38 6.33
114.00% 17.55% 5.47 6.51
82.00% 18.92% 2.47 4.32
143.00% 19.64% 7.37 7.29
117.00% 18.79% 6.05 6.21
134.00% 18.74% 7.05 7.15
127.00% 18.97% 5.60 6.69
153.00% 21.36% 5.39 7.17
149.00% 22.46% 6.62 6.64
126.00% 17.81% 4.99 7.06
143.00% 17.75% 7.91 8.06
125.00% 16.22% 6.51 7.69
84.00% 14.47% 4.37 5.79
78.00% 14.91% 2.84 5.21
82.00% 14.48% 5.01 5.65
 90.00% 14.39% 4.66 6.24
106.00% 18.40% 6.03 5.74
106.00% 16.49% 4.12 6.45
134.00% 20.87% 6.44 6.43
114.00% 19.29% 5.38 5.93
178.00% 21.23% 8.47 8.37
98.00% 17.70% 4.31 5.54
85.00% 14.85% 5.25 5.74
94.00% 16.05% 5.12 5.85
99.00% 15.12% 6.48 6.55
119.00% 17.45% 6.80 6.81
52.00% 12.83% 3.63 4.02
91.00% 23.87% 3.02 3.79
47.00% 14.64% 2.99 3.24
87.00% 14.31% 1.47 6.11
124.00% 18.77% 6.07 6.61
142.00% 20.04% 5.49 7.07
84.00% 14.78% 5.40 5.66
119.00% 25.99% 3.68 4.57
162.00% 17.90% 7.35 9.07
127.00% 20.51% 4.17 6.20
140.00% 17.76% 6.18 7.87
80.00% 14.43% 4.67 5.53
97.00% 15.25% 4.49 6.35
85.00% 17.57% 2.93 4.84
144.00% 14.72% 8.21 9.79
106.00% 16.37% 6.98 6.46
44.00% 15.67% 2.09 2.81
121.00% 19.63% 3.49 6.14
109.00% 20.32% 3.91 5.38
86.00% 16.78% 3.73 5.14
98.00% 17.24% 4.76 5.69
96.00% 21.67% 4.43 4.45
110.00% 16.44% 6.17 6.66
105.00% 18.04% 3.98 5.81
124.00% 15.39% 7.43 8.07
94.00% 14.21% 4.39 6.58
113.00% 21.16% 4.24 5.34
83.00% 15.90% 4.61 5.24
133.00% 18.88% 7.71 7.03
118.00% 18.42% 5.41 6.41
87.00% 19.79% 3.56 4.39
171.00% 26.75% 6.48 6.39
 184.00% 28.04% 5.91 6.55
107.00% 18.77% 3.67 5.72
98.00% 16.94% 5.38 5.78
179.00% 20.72% 8.61 8.66
88.00% 16.72% 5.09 5.29
141.00% 18.04% 8.11 7.81
121.00% 16.85% 5.27 7.16
99.00% 19.73% 3.87 5.03
145.00% 20.28% 7.17 7.16
99.00% 16.19% 4.99 6.10
82.00% 13.98% 5.96 5.89
111.00% 20.04% 4.35 5.53
145.00% 27.11% 4.80 5.35
94.00% 16.30% 4.40 5.77
112.00% 22.64% 1.80 4.95
111.00% 20.48% 4.00 5.40
111.00% 18.02% 4.65 6.16
114.00% 18.14% 5.15 6.31

Sovereign Total Equity

Rating-based Total Equity Country Risk CDS, net of Risk Country Risk
Default Spread Risk Premium Premium Premium3
US Premium2
0.56% 6.65% 0.69% 0.82% 6.97% 1.01%
5.08% 12.21% 6.25% NA NA NA
2.15% 8.60% 2.64% NA NA NA
7.34% 14.99% 9.03% 5.49% 12.71% 6.75%
6.21% 13.60% 7.64% 7.90% 15.68% 9.72%
5.08% 12.21% 6.25% NA NA NA
1.80% 8.18% 2.22% NA NA NA
0.00% 5.96% 0.00% 0.12% 6.11% 0.15%
0.45% 6.51% 0.55% 0.00% 5.96% 0.00%
3.39% 10.13% 4.17% NA NA NA
2.48% 9.02% 3.06% NA NA NA
6.21% 13.60% 7.64% 3.42% 10.17% 4.21%
4.06% 10.96% 5.00% NA NA NA
11.28% 19.83% 13.87% NA NA NA
7.34% 14.99% 9.03% NA NA NA
0.68% 6.80% 0.84% 0.19% 6.19% 0.23%
7.34% 14.99% 9.03% NA NA NA
5.08% 12.21% 6.25% NA NA NA
0.96% 7.14% 1.18% NA NA NA
4.06% 10.96% 5.00% NA NA NA
 7.34% 14.99% 9.03% NA NA NA
0.96% 7.14% 1.18% NA NA NA
3.39% 10.13% 4.17% 2.57% 9.12% 3.16%
2.15% 8.60% 2.64% 1.00% 7.19% 1.23%
6.21% 13.60% 7.64% NA NA NA
6.21% 13.60% 7.64% 4.33% 11.29% 5.33%
6.21% 13.60% 7.64% 5.72% 13.00% 7.04%
0.00% 5.96% 0.00% NA NA NA
6.21% 13.60% 7.64% NA NA NA
0.68% 6.80% 0.84% 0.71% 6.83% 0.87%
0.79% 6.94% 0.98% 0.81% 6.96% 1.00%
0.79% 6.94% 0.98% 0.84% 6.99% 1.03%
2.15% 8.60% 2.64% 2.07% 8.51% 2.55%
7.34% 14.99% 9.03% NA NA NA
10.16% 18.46% 12.50% NA NA NA
5.08% 12.21% 6.25% NA NA NA
5.08% 12.21% 6.25% 4.13% 11.04% 5.08%
4.06% 10.96% 5.00% NA NA NA
3.39% 10.13% 4.17% 1.21% 7.45% 1.49%
10.16% 18.46% 12.50% NA NA NA
1.35% 7.63% 1.67% NA NA NA
3.39% 10.13% 4.17% 1.27% 7.52% 1.56%
0.79% 6.94% 0.98% 0.45% 6.51% 0.55%
0.00% 5.96% 0.00% 0.00% 5.96% 0.00%
4.06% 10.96% 5.00% NA NA NA
7.34% 14.99% 9.03% NA NA NA
7.34% 14.99% 9.03% 4.28% 11.22% 5.26%
8.46% 16.37% 10.41% 5.08% 12.21% 6.25%
0.79% 6.94% 0.98% 0.57% 6.66% 0.70%
5.08% 12.21% 6.25% NA NA NA
4.06% 10.96% 5.00% NA NA NA
0.45% 6.51% 0.55% 0.00% 5.96% 0.00%
0.56% 6.65% 0.69% 0.31% 6.34% 0.38%
8.46% 16.37% 10.41% NA NA NA
3.39% 10.13% 4.17% NA NA NA
0.00% 5.96% 0.00% 0.00% 5.96% 0.00%
7.34% 14.99% 9.03% NA NA NA
7.34% 14.99% 9.03% 4.80% 11.86% 5.90%
2.82% 9.43% 3.47% 2.25% 8.73% 2.77%
0.68% 6.80% 0.84% NA NA NA
5.08% 12.21% 6.25% NA NA NA
0.56% 6.65% 0.69% 0.37% 6.42% 0.46%
2.48% 9.02% 3.06% 1.10% 7.31% 1.35%
 1.35% 7.63% 1.67% 0.50% 6.58% 0.62%
2.15% 8.60% 2.64% 1.55% 7.87% 1.91%
2.15% 8.60% 2.64% 0.00% 5.96% 0.00%
8.46% 16.37% 10.41% 5.80% 13.09% 7.13%
0.96% 7.14% 1.18% 0.38% 6.43% 0.47%
0.56% 6.65% 0.69% NA NA NA
0.79% 6.94% 0.98% 0.81% 6.96% 1.00%
2.48% 9.02% 3.06% 2.14% 8.59% 2.63%
7.34% 14.99% 9.03% NA NA NA
0.79% 6.94% 0.98% 0.14% 6.13% 0.17%
0.68% 6.80% 0.84% NA NA NA
5.08% 12.21% 6.25% NA NA NA
2.48% 9.02% 3.06% 1.02% 7.21% 1.25%
6.21% 13.60% 7.64% 5.60% 12.85% 6.89%
0.56% 6.65% 0.69% 0.34% 6.38% 0.42%
0.56% 6.65% 0.69% 0.87% 7.03% 1.07%
6.21% 13.60% 7.64% NA NA NA
1.35% 7.63% 1.67% 0.83% 6.98% 1.02%
7.34% 14.99% 9.03% 7.62% 15.33% 9.37%
0.00% 5.96% 0.00% NA NA NA
1.35% 7.63% 1.67% 0.84% 6.99% 1.03%
0.00% 5.96% 0.00% NA NA NA
0.68% 6.80% 0.84% NA NA NA
4.06% 10.96% 5.00% 1.24% 7.49% 1.53%
1.35% 7.63% 1.67% 1.47% 7.77% 1.81%
6.21% 13.60% 7.64% NA NA NA
1.35% 7.63% 1.67% NA NA NA
1.80% 8.18% 2.22% NA NA NA
1.35% 7.63% 1.67% 2.05% 8.48% 2.52%
7.34% 14.99% 9.03% NA NA NA
7.34% 14.99% 9.03% NA NA NA
5.08% 12.21% 6.25% NA NA NA
2.48% 9.02% 3.06% NA NA NA
2.82% 9.43% 3.47% 1.35% 7.62% 1.66%
11.28% 19.83% 13.87% NA NA NA
2.82% 9.43% 3.47% NA NA NA
0.00% 5.96% 0.00% 0.00% 5.96% 0.00%
0.00% 5.96% 0.00% 0.09% 6.07% 0.11%
6.21% 13.60% 7.64% NA NA NA
6.21% 13.60% 7.64% 4.21% 11.14% 5.18%
0.00% 5.96% 0.00% 0.00% 5.96% 0.00%
2.48% 9.02% 3.06% NA NA NA
7.34% 14.99% 9.03% 4.79% 11.85% 5.89%
2.15% 8.60% 2.64% 1.12% 7.34% 1.38%
6.21% 13.60% 7.64% NA NA NA
2.82% 9.43% 3.47% NA NA NA
1.35% 7.63% 1.67% 1.31% 7.57% 1.61%
2.15% 8.60% 2.64% 1.14% 7.36% 1.40%
0.96% 7.14% 1.18% 0.79% 6.93% 0.97%
2.48% 9.02% 3.06% 1.06% 7.26% 1.30%
0.68% 6.80% 0.84% NA NA NA
0.96% 7.14% 1.18% 1.12% 7.34% 1.38%
2.48% 9.02% 3.06% 1.22% 7.46% 1.50%
2.82% 9.43% 3.47% 1.75% 8.11% 2.15%
6.21% 13.60% 7.64% 4.06% 10.95% 4.99%
0.79% 6.94% 0.98% 1.20% 7.44% 1.48%
4.06% 10.96% 5.00% 4.11% 11.02% 5.06%
4.06% 10.96% 5.00% 1.35% 7.62% 1.66%
1.35% 7.63% 1.67% NA NA NA
0.00% 5.96% 0.00% NA NA NA
0.96% 7.14% 1.18% 0.57% 6.66% 0.70%
1.80% 8.18% 2.22% 1.09% 7.30% 1.34%
7.34% 14.99% 9.03% NA NA NA
2.48% 9.02% 3.06% 2.62% 9.18% 3.22%
1.80% 8.18% 2.22% 0.90% 7.07% 1.11%
5.08% 12.21% 6.25% NA NA NA
2.15% 8.60% 2.64% NA NA NA
7.34% 14.99% 9.03% NA NA NA
6.21% 13.60% 7.64% NA NA NA
6.21% 13.60% 7.64% NA NA NA
0.00% 5.96% 0.00% 0.00% 5.96% 0.00%
0.00% 5.96% 0.00% 0.00% 5.96% 0.00%
0.68% 6.80% 0.84% NA NA NA
7.34% 14.99% 9.03% NA NA NA
5.08% 12.21% 6.25% NA NA NA
1.80% 8.18% 2.22% 0.54% 6.62% 0.66%
2.82% 9.43% 3.47% NA NA NA
6.21% 13.60% 7.64% 3.41% 10.15% 4.19%
4.06% 10.96% 5.00% 3.89% 10.74% 4.78%
1.80% 8.18% 2.22% NA NA NA
6.21% 13.60% 7.64% NA NA NA
8.46% 16.37% 10.41% 7.33% 14.98% 9.02%
0.56% 6.65% 0.69% NA NA NA
0.56% 6.65% 0.69% 0.31% 6.34% 0.38%
0.00% 5.96% 0.00% 0.00% 5.96% 0.00%
2.15% 8.60% 2.64% NA NA NA
 18.00% 28.10% 22.14% NA NA NA
4.06% 10.96% 5.00% 2.14% 8.59% 2.63%
8.46% 16.37% 10.41% 2.14% 8.59% 2.63%

Conventional Total Debt with Book interest Short term Lease Debt
Interest expense Debt as % of
Debt leases rate (Accounting)
Total Debt

$2,747.11 $6,964.90 $250.33 9.11% 42.99% 2,687.54 €

$17,425.76 $26,785.25 $1,427.23 8.19% 35.74% 1,840.92 €
$77,562.47 $300,285.99 $8,437.40 10.88% 29.25% 124,827.04 €
$59,159.66 $78,540.59 $4,360.75 7.37% 60.51% 24,942.51 €
$137,549.24 $171,134.47 $5,388.14 3.92% 35.14% 7,695.58 €
$50,788.33 $62,670.79 $2,886.62 5.68% 52.07% 5,759.01 €
$4,463,400.47 $4,862,561.64 $1,039.50 0.02% 18.76% 0.01 €
$570,881.17 $702,151.95 $4.41 0.00% 28.36% 49.40 €
$17,318.96 $23,807.10 $1,333.03 7.70% 22.54% 5,004.81 €
$4,130.98 $5,607.11 $308.40 7.47% 11.86% 904.70 €
$5,763.30 $7,976.21 $527.74 9.16% 15.57% 2,942.20 €
$643,911.94 $696,751.16 $692.32 0.11% 50.64% 366.27 €
$17,407.36 $21,416.58 $1,041.62 5.98% 46.86% 2,025.41 €
$10,086.63 $13,540.38 $761.87 7.55% 58.44% 3,678.39 €
$6,620.89 $9,344.07 $477.91 7.22% 20.20% 1,290.93 €
$158,301.39 $181,562.19 $7,001.72 4.42% 36.51% 8,123.55 €
$14,652.95 $18,503.13 $520.04 3.55% 11.71% 1,491.65 €
$79,116.32 $93,382.76 $5,156.01 6.52% 47.61% 4,578.25 €
$68,123.79 $90,093.15 $5,163.36 7.58% 21.06% 15,795.08 €
$26,723.91 $44,522.65 $2,170.72 8.12% 67.07% 17,386.04 €
$70,022.75 $90,349.33 $3,428.51 4.90% 63.32% 11,530.28 €
$180,717.37 $242,365.13 $13,965.14 7.73% 39.27% 15,979.38 €
$426,147.82 $665,307.57 $39,804.04 9.34% 12.53% 88,049.41 €
$6,347.82 $7,470.32 $289.67 4.56% 36.96% 852.76 €
$63,040.44 $82,265.16 $5,616.39 8.91% 49.08% 8,114.34 €
$5,833.83 $11,540.45 $559.45 9.59% 19.61% 4,528.26 €
$73,050.27 $135,428.02 $4,739.00 6.49% 57.64% 6,685.65 €
$27,196.71 $32,916.20 $1,887.53 6.94% 35.66% 3,581.52 €
$134,247.64 $161,058.17 $6,566.63 4.89% 43.57% 9,393.83 €
$399,565.84 $468,264.07 $17,465.89 4.37% 28.70% 36,860.82 €
$12,930.02 $26,230.10 $1,229.82 9.51% 44.82% 9,268.34 €
$27,472.86 $32,852.65 $1,403.36 5.11% 21.40% 935.67 €
$41,953.66 $74,737.84 $3,387.63 8.07% 38.17% 6,130.12 €
$670,217.31 $757,517.43 $2,237.86 0.33% 20.09% 2,746.92 €
$132,651.31 $180,142.06 $9,155.59 6.90% 33.00% 31,803.86 €
$5,885.79 $13,653.32 $632.02 10.74% 12.17% 4,288.98 €
$27,449.25 $45,089.11 $2,156.30 7.86% 40.44% 12,313.68 €
$86,437.65 $110,792.73 $5,632.10 6.52% 16.10% 1,234.51 €
$7,370.69 $9,185.24 $394.29 5.35% 42.95% 1,228.42 €
$24,405.94 $43,285.80 $2,039.12 8.36% 55.98% 7,606.24 €
$2,872.61 $3,355.48 $165.43 5.76% 53.71% 505.56 €
$4,870.77 $8,305.70 $503.64 10.34% 14.80% 338.23 €
$18,268.85 $27,937.91 $960.57 5.26% 9.95% 5,061.80 €
$73,320.47 $124,856.64 $4,092.83 5.58% 8.54% 31,170.62 €
$15,265.19 $20,266.63 $896.12 5.87% 49.07% 5,272.78 €
$7,323.05 $10,216.48 $412.61 5.63% 30.11% 1,693.13 €
$37,932.57 $40,426.32 $2,785.66 7.34% 33.24% 3,176.62 €
$328,840.74 $351,556.65 $9,012.94 2.74% 20.77% 11,289.52 €
$42,330.62 $45,647.74 $2,558.73 6.04% 26.28% 6,262.00 €
$180,523.89 $332,657.65 $2,842.09 1.57% 8.25% 1,439.30 €
$55,286.26 $76,601.43 $3,155.77 5.71% 58.44% 5,614.23 €
$139,377.52 $172,722.26 $9,303.52 6.68% 36.89% 6,269.49 €
$1,518.39 $2,221.61 $141.43 9.31% 62.66% 1,003.54 €
$257,141.96 $429,319.44 $13,107.30 5.10% 20.88% 69,486.70 €
$63,889.59 $80,717.73 $3,953.76 6.19% 5.56% 6,412.71 €
$43,426.79 $60,063.23 $3,015.46 6.94% 13.41% 6,448.31 €
$144,679.74 $185,144.90 $8,550.78 5.91% 26.43% 24,282.32 €
$13,909.14 $19,391.36 $970.57 6.98% 48.54% 1,994.41 €
$57,837.34 $67,564.03 $3,212.70 5.55% 34.26% 1,910.38 €
$638,141.52 $752,898.18 $32,910.24 5.16% 13.86% 30,164.64 €
$32,433.20 $39,119.90 $2,222.07 6.85% 25.16% 3,463.15 €
$6,800.36 $9,008.34 $385.23 5.66% 27.42% 3,231.92 €
$74,021.55 $87,588.74 $3,625.02 4.90% 1.43% 1,065.09 €
$950,786.63 $1,248,901.21 $23,459.26 2.47% 11.88% 27,644.71 €
$231,699.94 $294,965.00 $7,875.41 3.40% 10.61% 12,160.85 €
$108,459.11 $138,778.94 $4,530.92 4.18% 6.88% 6,667.89 €
$26,354.32 $30,279.82 $1,125.89 4.27% 27.06% 2,648.50 €
$10,107.50 $10,848.84 $733.74 7.26% 22.76% 1,053.85 €
$4,298.05 $22,899.48 $548.59 12.76% 20.44% 26,422.45 €
$28,573.26 $48,704.87 $2,332.42 8.16% 48.77% 6,576.29 €
$1,720.89 $5,825.18 $158.93 9.24% 59.20% 4,297.30 €
$91,165.80 $119,690.08 $5,014.98 5.50% 35.91% 8,722.75 €
$55,509.95 $141,289.41 $4,447.36 8.01% 25.00% 65,831.74 €
$17,035.98 $52,634.88 $1,244.33 7.30% 31.77% 31,890.15 €
$8,374.50 $13,120.89 $692.19 8.27% 30.28% 2,158.70 €
$24,806.88 $67,823.64 $2,164.41 8.73% 41.01% 64,853.79 €
$17,473.41 $19,923.28 $855.76 4.90% 43.49% 1,565.53 €
 $55,781.62 $73,526.43 $2,395.95 4.30% 41.97% 4,735.82 €
$11,862.06 $18,208.81 $852.16 7.18% 39.74% 1,411.88 €
$112,302.46 $185,782.86 $6,653.64 5.92% 14.30% 33,326.22 €
$5,945.77 $11,527.09 $359.33 6.04% 45.75% 8,788.60 €
$30,249.60 $37,380.31 $996.15 3.29% 10.97% 3,878.83 €
$3,311.43 $4,203.32 $132.49 4.00% 48.50% 674.59 €
$8,508.06 $11,247.50 $549.66 6.46% 52.29% 5,385.73 €
$206,616.13 $239,999.42 $14,007.17 6.78% 41.17% 20,030.84 €
$124,980.17 $259,623.48 $11,612.06 9.29% 6.37% 157,632.38 €
$20,315.42 $23,874.39 $1,276.00 6.28% 73.06% 3,535.43 €
$89,620.50 $195,068.67 $7,997.06 8.92% 9.35% 77,216.58 €
$1,259.35 $1,683.43 $124.24 9.87% 67.19% 1,030.42 €
$80,515.55 $98,318.63 $4,376.28 5.44% 17.31% 16,894.52 €
$15,099.18 $20,371.26 $1,019.46 6.75% 5.97% 6,601.50 €
$14,814.28 $20,895.92 $1,054.78 7.12% 22.37% 6,132.84 €
$35,280.96 $42,152.77 $1,804.42 5.11% 3.46% 831.71 €
$38,625.30 $46,308.59 $1,819.07 4.71% 12.51% 1,297.95 €
$13,526,083.73 $17,061,499.52 $392,537.98 2.90% 23.45% 1,333,979.03 €
$6,588,045.02 $9,272,228.98 $371,364.49 5.64% 24.37% 1,308,648.99 €
)+𝐶𝑜𝑢𝑛𝑡𝑟𝑦 𝑅𝑖𝑠𝑘
𝑜𝑢𝑛𝑡𝑟𝑦 𝑅𝑖𝑠𝑘 𝑃𝑟𝑒𝑚𝑖𝑢𝑚
 DATA

Date updated: 31-Dec-16

Created by: Aswath Damodaran, adamodar@stern.nyu.edu
What is this data Historical returns: Stocks, Bonds & T.Bills with premiu 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 1928 are provided at the bottom of this table.

Value of stocks in starting year: $ 100.00

Value of T.Bills in starting year: $ 100.00
Value of T.bonds in starting year: $ 100.00
Estimate of risk premium based on your inputs: 4.84%

Annual Returns on Investments in Value of $100 invested at start of 1

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

Page 22
 DATA

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
1947 5.20% 0.60% 0.92% 0.26% $ 217.39 $ 120.35
1948 5.70% 1.05% 1.95% 3.44% $ 229.79 $ 121.61
1949 18.30% 1.12% 4.66% 5.38% $ 271.85 $ 122.96
1950 30.81% 1.20% 0.43% 4.24% $ 355.60 $ 124.44
1951 23.68% 1.52% -0.30% -0.19% $ 439.80 $ 126.33
1952 18.15% 1.72% 2.27% 4.44% $ 519.62 $ 128.51
1953 -1.21% 1.89% 4.14% 1.62% $ 513.35 $ 130.94
1954 52.56% 0.94% 3.29% 6.16% $ 783.18 $ 132.17
1955 32.60% 1.73% -1.34% 2.04% $ 1,038.47 $ 134.45
1956 7.44% 2.63% -2.26% -2.35% $ 1,115.73 $ 137.98
1957 -10.46% 3.23% 6.80% -0.72% $ 999.05 $ 142.43
1958 43.72% 1.77% -2.10% 6.43% $ 1,435.84 $ 144.95
1959 12.06% 3.39% -2.65% 1.57% $ 1,608.95 $ 149.86
1960 0.34% 2.88% 11.64% 6.66% $ 1,614.37 $ 154.18
1961 26.64% 2.35% 2.06% 5.10% $ 2,044.40 $ 157.81
1962 -8.81% 2.77% 5.69% 6.50% $ 1,864.26 $ 162.19
1963 22.61% 3.16% 1.68% 5.46% $ 2,285.80 $ 167.31
1964 16.42% 3.55% 3.73% 5.16% $ 2,661.02 $ 173.25
1965 12.40% 3.95% 0.72% 3.19% $ 2,990.97 $ 180.09
1966 -9.97% 4.86% 2.91% -3.45% $ 2,692.74 $ 188.84
1967 23.80% 4.31% -1.58% 0.90% $ 3,333.69 $ 196.98
1968 10.81% 5.34% 3.27% 4.85% $ 3,694.23 $ 207.49
1969 -8.24% 6.67% -5.01% -2.03% $ 3,389.77 $ 221.32
1970 3.56% 6.39% 16.75% 5.65% $ 3,510.49 $ 235.47
1971 14.22% 4.33% 9.79% 14.00% $ 4,009.72 $ 245.67
1972 18.76% 4.07% 2.82% 11.41% $ 4,761.76 $ 255.68
1973 -14.31% 7.03% 3.66% 4.32% $ 4,080.44 $ 273.66
1974 -25.90% 7.83% 1.99% -4.38% $ 3,023.54 $ 295.08
1975 37.00% 5.78% 3.61% 11.05% $ 4,142.10 $ 312.12
1976 23.83% 4.97% 15.98% 19.75% $ 5,129.20 $ 327.65
1977 -6.98% 5.27% 1.29% 9.95% $ 4,771.20 $ 344.91
1978 6.51% 7.19% -0.78% 3.14% $ 5,081.77 $ 369.71
1979 18.52% 10.07% 0.67% -2.01% $ 6,022.89 $ 406.93
1980 31.74% 11.43% -2.99% -3.32% $ 7,934.26 $ 453.46
1981 -4.70% 14.03% 8.20% 8.46% $ 7,561.16 $ 517.06
1982 20.42% 10.61% 32.81% 29.05% $ 9,105.08 $ 571.94
1983 22.34% 8.61% 3.20% 16.19% $ 11,138.90 $ 621.19
1984 6.15% 9.52% 13.73% 15.62% $ 11,823.51 $ 680.35
1985 31.24% 7.48% 25.71% 23.86% $ 15,516.60 $ 731.23

Page 23
 DATA

1986 18.49% 5.98% 24.28% 21.49% $ 18,386.33 $ 774.95

1987 5.81% 5.78% -4.96% 2.29% $ 19,455.08 $ 819.70
1988 16.54% 6.67% 8.22% 15.12% $ 22,672.40 $ 874.35
1989 31.48% 8.11% 17.69% 15.79% $ 29,808.58 $ 945.28
1990 -3.06% 7.49% 6.24% 6.14% $ 28,895.11 $ 1,016.11
1991 30.23% 5.38% 15.00% 17.85% $ 37,631.51 $ 1,070.73
1992 7.49% 3.43% 9.36% 12.17% $ 40,451.51 $ 1,107.47
1993 9.97% 3.00% 14.21% 16.43% $ 44,483.33 $ 1,140.67
1994 1.33% 4.25% -8.04% -1.32% $ 45,073.14 $ 1,189.11
1995 37.20% 5.49% 23.48% 20.16% $ 61,838.19 $ 1,254.39
1996 22.68% 5.01% 1.43% 4.79% $ 75,863.69 $ 1,317.18
1997 33.10% 5.06% 9.94% 11.83% ### $ 1,383.84
1998 28.34% 4.78% 14.92% 7.95% ### $ 1,449.94
1999 20.89% 4.64% -8.25% 0.84% ### $ 1,517.20
2000 -9.03% 5.82% 16.66% 9.33% ### $ 1,605.45
2001 -11.85% 3.39% 5.57% 7.82% ### $ 1,659.84
2002 -21.97% 1.60% 15.12% 12.18% $ 98,027.82 $ 1,686.44
2003 28.36% 1.01% 0.38% 13.53% ### $ 1,703.49
2004 10.74% 1.37% 4.49% 9.89% ### $ 1,726.86
2005 4.83% 3.15% 2.87% 4.92% ### $ 1,781.19
2006 15.61% 4.73% 1.96% 7.05% ### $ 1,865.39
2007 5.48% 4.35% 10.21% 3.15% ### $ 1,946.59
2008 -36.55% 1.37% 20.10% -5.07% ### $ 1,973.16
2009 25.94% 0.15% -11.12% 23.33% ### $ 1,976.12
2010 14.82% 0.14% 8.46% 8.35% ### $ 1,978.82
2011 2.10% 0.05% 16.04% 12.58% ### $ 1,979.86
2012 15.89% 0.09% 2.97% 10.12% ### $ 1,981.56
2013 32.15% 0.06% -9.10% -1.06% ### $ 1,982.72
2014 13.52% 0.03% 10.75% 10.38% ### $ 1,983.36
2015 1.38% 0.05% 1.28% -0.70% ### $ 1,984.40
2016 11.77% 0.32% 0.69% 10.37% ### $ 1,990.70
2017 21.61% 0.93% 2.80% 9.72% ### $ 2,009.23
2018 -4.23% 1.94% -0.02% -2.76% ### $ 2,048.20
2019 31.21% 1.55% 9.64% 15.33% ### $ 2,079.94
2020 18.01% 0.09% 11.33% 10.41% ### $ 2,081.82

Arithmetic Average Historical Return

1928-2020 11.64% 3.36% 5.21% 7.25%
1971-2020 12.18% 4.51% 7.29% 9.55%
2011-2020 14.34% 0.51% 4.64% 7.44%

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Geometric Average Historical Return

1928-2020 9.79% 3.32% 4.95% 6.99%
1971-2020 10.80% 4.46% 6.89% 9.28%
2011-2020 13.75% 0.51% 4.40% 7.26%

14.34% Market return

4.64% Risk Free rate
Risk Premium

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premiums from 1928, over the last 50 years and over the last 10 years
he bottom of this table.

100 invested at start of 1928 in Annual Risk Premium

Baa Stocks - Historical

Corporate Baa Corp risk Inflation
US T. Bond5 Bond6 Stocks - Bills Stocks - Bonds Bond premium Rate
$ 100.84 $ 103.22 40.73% 42.98% 40.59% -1.15%
$ 105.07 $ 106.33 -11.46% -12.50% -11.32% 0.00%
$ 109.85 $ 106.91 -29.67% -29.66% -25.66% -2.67%
$ 107.03 $ 90.14 -46.15% -41.28% -28.16% -8.93%
$ 116.44 $ 111.41 -9.71% -17.43% -32.23% -10.30%
$ 118.60 $ 125.86 49.02% 48.13% 37.02% -5.19%
$ 128.05 $ 149.54 -1.47% -9.15% -20.00% 3.48%
$ 133.78 $ 169.44 46.57% 42.27% 33.43% 2.55%
$ 140.49 $ 188.73 31.77% 26.93% 20.56% 1.03%
$ 142.43 $ 180.39 -35.61% -36.72% -30.92% 3.73%
$ 148.43 $ 197.05 29.22% 25.07% 20.05% -2.03%
$ 154.98 $ 212.78 -1.14% -5.51% -9.08% -1.30%
$ 163.35 $ 231.18 -10.71% -16.08% -19.32% 0.72%
$ 160.04 $ 242.76 -12.90% -10.75% -17.78% 5.12%
$ 163.72 $ 255.33 18.83% 16.88% 13.99% 10.92%
$ 167.79 $ 275.88 24.68% 22.57% 17.02% 5.97%
$ 172.12 $ 293.99 18.65% 16.45% 12.46% 1.64%

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$ 178.67 $ 313.98 35.44% 32.02% 29.02% 2.27%

$ 184.26 $ 321.85 -8.81% -11.56% -10.94% 8.48%
$ 185.95 $ 322.70 4.60% 4.28% 4.94% 14.39%
$ 189.58 $ 333.79 4.66% 3.75% 2.27% 7.69%
$ 198.42 $ 351.74 17.19% 13.64% 12.93% -0.97%
$ 199.27 $ 366.65 29.60% 30.38% 26.57% 1.09%
$ 198.68 $ 365.95 22.16% 23.97% 23.87% 7.86%
$ 203.19 $ 382.20 16.43% 15.88% 13.71% 2.28%
$ 211.61 $ 388.39 -3.10% -5.35% -2.83% 0.82%
$ 218.57 $ 412.31 51.62% 49.27% 46.41% 0.31%
$ 215.65 $ 420.74 30.87% 33.93% 30.55% -0.28%
$ 210.79 $ 410.84 4.81% 9.70% 9.79% 1.53%
$ 225.11 $ 407.89 -13.68% -17.25% -9.74% 3.34%
$ 220.39 $ 434.11 41.95% 45.82% 37.29% 2.73%
$ 214.56 $ 440.95 8.67% 14.70% 10.48% 1.01%
$ 239.53 $ 470.33 -2.55% -11.30% -6.33% 6.11% 1.46%
$ 244.46 $ 494.32 24.28% 24.58% 21.54% 6.62% 1.07%
$ 258.38 $ 526.43 -11.58% -14.51% -15.31% 5.97% 1.20%
$ 262.74 $ 555.19 19.45% 20.93% 17.15% 6.36% 1.24%
$ 272.53 $ 583.85 12.87% 12.69% 11.25% 6.53% 1.28%
$ 274.49 $ 602.47 8.45% 11.68% 9.21% 6.66% 1.59%
$ 282.47 $ 581.72 -14.83% -12.88% -6.53% 6.11% 3.02%
$ 278.01 $ 586.92 19.50% 25.38% 22.91% 6.57% 2.77%
$ 287.11 $ 615.36 5.48% 7.54% 5.97% 6.60% 4.27%
$ 272.71 $ 602.90 -14.91% -3.23% -6.22% 6.33% 5.46%
$ 318.41 $ 636.96 -2.83% -13.19% -2.09% 5.90% 5.84%
$ 349.57 $ 726.14 9.89% 4.43% 0.22% 5.87% 4.29%
$ 359.42 $ 808.99 14.68% 15.94% 7.35% 6.08% 3.27%
$ 372.57 $ 843.92 -21.34% -17.97% -18.63% 5.50% 6.18%
$ 379.98 $ 806.95 -33.73% -27.89% -21.52% 4.64% 11.05%
$ 393.68 $ 896.12 31.22% 33.39% 25.95% 5.17% 9.14%
$ 456.61 $ 1,073.13 18.86% 7.85% 4.08% 5.22% 5.74%
$ 462.50 $ 1,179.96 -12.25% -8.27% -16.93% 4.93% 6.50%
$ 458.90 $ 1,216.98 -0.68% 7.29% 3.37% 4.97% 7.63%
$ 461.98 $ 1,192.53 8.45% 17.85% 20.53% 5.21% 11.25%
$ 448.17 $ 1,152.99 20.30% 34.72% 35.05% 5.73% 13.55%
$ 484.91 $ 1,250.56 -18.73% -12.90% -13.16% 5.37% 10.33%
$ 644.04 $ 1,613.88 9.80% -12.40% -8.63% 5.10% 6.13%
$ 664.65 $ 1,875.23 13.73% 19.14% 6.14% 5.34% 3.21%
$ 755.92 $ 2,168.13 -3.38% -7.59% -9.47% 5.12% 4.30%
$ 950.29 $ 2,685.50 23.76% 5.52% 7.37% 5.13% 3.55%

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$ 1,181.06 $ 3,262.50 12.52% -5.79% -2.99% 4.97% 1.90%

$ 1,122.47 $ 3,337.20 0.04% 10.77% 3.52% 5.07% 3.66%
$ 1,214.78 $ 3,841.62 9.87% 8.31% 1.42% 5.12% 4.08%
$ 1,429.72 $ 4,448.20 23.36% 13.78% 15.69% 5.24% 4.83%
$ 1,518.87 $ 4,721.33 -10.56% -9.30% -9.20% 5.00% 5.40%
$ 1,746.77 $ 5,564.25 24.86% 15.23% 12.38% 5.14% 4.23%
$ 1,910.30 $ 6,241.54 4.06% -1.87% -4.68% 5.03% 3.03%
$ 2,181.77 $ 7,267.12 6.97% -4.24% -6.46% 4.90% 2.95%
$ 2,006.43 $ 7,171.25 -2.92% 9.36% 2.65% 4.97% 2.61%
$ 2,477.55 $ 8,616.71 31.71% 13.71% 17.04% 5.08% 2.81%
$ 2,512.94 $ 9,029.67 17.68% 21.25% 17.89% 5.30% 2.93%
$ 2,762.71 $ 10,098.32 28.04% 23.16% 21.27% 5.53% 2.34%
$ 3,174.95 $ 10,900.68 23.56% 13.42% 20.39% 5.63% 1.55%
$ 2,912.88 $ 10,992.59 16.25% 29.14% 20.04% 5.96% 2.19%
$ 3,398.03 $ 12,018.16 -14.85% -25.69% -18.36% 5.51% 3.38%
$ 3,587.37 $ 12,957.88 -15.24% -17.42% -19.67% 5.17% 2.83%
$ 4,129.65 $ 14,535.88 -23.57% -37.08% -34.14% 4.53% 1.59%
$ 4,145.15 $ 16,502.87 27.34% 27.98% 14.82% 4.82% 2.27%
$ 4,331.30 $ 18,134.78 9.37% 6.25% 0.85% 4.84% 2.68%
$ 4,455.50 $ 19,026.57 1.69% 1.97% -0.08% 4.80% 3.39%
$ 4,542.87 $ 20,367.63 10.89% 13.65% 8.56% 4.91% 3.23%
$ 5,006.69 $ 21,009.29 1.13% -4.73% 2.33% 4.79% 2.85%
$ 6,013.10 $ 19,945.02 -37.92% -56.65% -31.49% 3.88% 3.84%
$ 5,344.65 $ 24,598.10 25.79% 37.05% 2.61% 4.29% -0.36%
$ 5,796.96 $ 26,651.51 14.68% 6.36% 6.47% 4.31% 1.64%
$ 6,726.52 $ 30,005.47 2.05% -13.94% -10.49% 4.10% 3.16%
$ 6,926.40 $ 33,043.43 15.80% 12.92% 5.77% 4.20% 2.07%
$ 6,295.79 $ 32,694.52 32.09% 41.25% 33.20% 4.62% 1.46%
$ 6,972.34 $ 36,089.82 13.49% 2.78% 3.14% 4.60% 1.62%
$ 7,061.89 $ 35,838.08 1.33% 0.09% 2.08% 4.54% 0.12%
$ 7,110.65 $ 39,552.74 11.46% 11.08% 1.41% 4.62% 1.26%
$ 7,309.87 $ 43,398.81 20.67% 18.80% 11.88% 4.77% 2.13%
$ 7,308.65 $ 42,199.86 -6.17% -4.21% -1.46% 4.66% 2.44%
$ 8,012.89 $ 48,668.87 29.66% 21.58% 15.88% 4.83% 2.29%
$ 8,920.90 $ 53,736.05 17.92% 6.68% 7.60% 4.84% 1.20%
Risk Premium Standard Error
Stocks - T.BiStocks - T.Bo Stocks - T.Bill Stocks - T.Bonds Arithmetic Average An
8.28% 6.43% 2.06% 2.18% 1928-2020
7.67% 4.90% 2.38% 2.70% 1971-2020
13.83% 9.70% 3.88% 4.87% 2011-2020

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Risk Premium
Stocks - T.BiStocks - T.Bonds
6.47% 4.84%
6.35% 3.91%
13.24% 9.35%

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Annual Real Returns on

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%

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32.80% -1.85% 1.50% 4.43%

-15.58% -7.46% -4.93% -5.50%
-8.03% -12.05% -11.78% -12.35%
-1.84% -6.17% -5.33% -3.95%
19.46% 2.11% 5.69% 6.41%
29.40% 0.12% -0.65% 3.12%
14.67% -5.88% -7.56% -7.46%
15.52% -0.54% -0.01% 2.11%
-2.01% 1.07% 3.30% 0.80%
52.09% 0.63% 2.97% 5.83%
32.97% 2.01% -1.06% 2.33%
5.83% 1.09% -3.72% -3.82%
-13.35% -0.11% 3.34% -3.93%
39.90% -0.93% -4.70% 3.60%
10.94% 2.35% -3.62% 0.56%
-1.11% 1.40% 10.04% 5.13%
25.30% 1.27% 0.98% 3.99%
-9.89% 1.56% 4.44% 5.23%
21.11% 1.90% 0.44% 4.17%
14.95% 2.24% 2.42% 3.83%
10.65% 2.33% -0.85% 1.58%
-12.61% 1.79% -0.10% -6.27%
20.46% 1.49% -4.24% -1.83%
6.28% 1.02% -0.96% 0.55%
-12.99% 1.14% -9.93% -7.10%
-2.15% 0.52% 10.31% -0.18%
9.52% 0.04% 5.27% 9.31%
14.99% 0.77% -0.44% 7.88%
-19.29% 0.80% -2.37% -1.75%
-33.28% -2.90% -8.16% -13.90%
25.52% -3.09% -5.07% 1.75%
17.10% -0.73% 9.68% 13.25%
-12.66% -1.16% -4.89% 3.24%
-1.04% -0.41% -7.81% -4.17%
6.53% -1.07% -9.51% -11.92%
16.02% -1.86% -14.57% -14.85%
-13.63% 3.34% -1.94% -1.70%
13.46% 4.22% 25.14% 21.60%
18.53% 5.23% -0.01% 12.58%
1.77% 5.01% 9.04% 10.85%
26.74% 3.80% 21.41% 19.62%

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16.29% 4.00% 21.97% 19.22%

2.07% 2.04% -8.32% -1.33%
11.97% 2.49% 3.98% 10.60%
25.42% 3.13% 12.27% 10.46%
-8.03% 1.99% 0.79% 0.70%
24.94% 1.09% 10.33% 13.07%
4.33% 0.39% 6.15% 8.87%
6.81% 0.04% 10.94% 13.09%
-1.25% 1.60% -10.37% -3.83%
33.45% 2.61% 20.11% 16.88%
19.19% 2.02% -1.46% 1.81%
30.06% 2.66% 7.43% 9.28%
26.38% 3.18% 13.16% 6.30%
18.30% 2.40% -10.22% -1.32%
-12.00% 2.36% 12.84% 5.76%
-14.27% 0.55% 2.67% 4.86%
-23.18% 0.02% 13.32% 10.43%
25.51% -1.23% -1.85% 11.01%
7.86% -1.27% 1.77% 7.02%
1.39% -0.24% -0.51% 1.47%
12.00% 1.45% -1.23% 3.70%
2.56% 1.46% 7.15% 0.29%
-38.90% -2.38% 15.66% -8.58%
26.38% 0.51% -10.80% 23.77%
12.97% -1.48% 6.71% 6.60%
-1.03% -3.01% 12.48% 9.14%
13.54% -1.94% 0.88% 7.89%
30.24% -1.39% -10.42% -2.48%
11.71% -1.56% 8.98% 8.62%
1.26% -0.07% 1.16% -0.82%
10.38% -0.93% -0.56% 8.99%
19.07% -1.17% 0.66% 7.44%
-6.51% -0.49% -2.40% -5.08%
28.27% -0.72% 7.18% 12.75%
16.61% -1.10% 10.01% 9.10%

Arithmetic Average Annual Real Return

8.50% 0.42% 2.25% 4.27%
8.08% 0.58% 3.33% 5.55%
12.36% -1.24% 2.80% 5.55%

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