Friday, September 26, 2008

S&P Sector Discounted Cash Flow Valuations

I've spent the last couple days building a valuation spreadsheet for the S&P 100 companies. It is fairly comprehensive, giving risk adjusted valuations for each company based on Discounted Cash Flow. The spread is dynamic, meaning it adjusts to treasury yields, market prices, and betas. I would like to embed this in the blog somehow (if you have suggestions please let me know).

The following are brief results from the spread:

Highest expected returns:
MO,HIG,COP,PFE,MRK,GS,UNH,ROK,RF,TXN

Most Undervalued:
MO,UNH,MRK,PFE,COP,CBS,TXN,HIG,ROK,CI

Highest Earnings quality (most predictable CFs):
PEP,AMGN,ABT,PG,CSCO,JNJ,MCD,CVS,BAX,ORCL

The following charts give a graphical breakdown of sector expected returns, beta, and earnings quality:



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