MOEX: RUAL - Русал (Rusal)

Price = EPS * (1 + CAGR EPS) / (Key Rate * Excess Key Rate)
EPS = Earning Per Share
CAGR EPS = CAGR 5 EPS
Key Rate — キーレート
Excess Key Rate — 必要なキーレートの超過
EPS = 5.63
CAGR EPS = 3.24%
Key Rate = 0.21
Excess Key Rate = 2
Price = 5.63 * (1 + 3.24%) / (0.21 * 2) = 13.84

Price = (Terminal Value + Company Value) / Count shares
Price - 適正価格
Terminal Value — 予測後の期間のコスト
Company Value — 予測期間中のコスト
Count shares - 株式数
Terminal Value = Discount Ebitda(5) * (1 + Ebitda Yield) / (WACC - Ebitda Yield)
Company Value = ∑ (Discount Ebitda / (1 + WACC) ^ 5)
Discount Ebitda(5) = 137.81
Ebitda Yield = -0.0283
WACC = (Interest Expense / Debt) * (Weight Cost Debt) * (1 - Tax) + Cost Of Equity * Weight Debt
Interest Expense - 債務返済コスト
Debt - 義務
Weight Debt - 負債に対する資本の重み
Weight Cost Debt - 資本総額に対する負債の重み
Tax - 税
Interest Expense = 56.55
Debt = 843.27
Market Cap = 657.1
Weight Debt = Market Cap / (Market Cap + Debt) = 657.1 / (657.1 + 843.27) = 0.438
Weight Cost Debt = 100% - 0.438 = 0.562
Tax = 0.2
Cost Of Equity — 割引率
Cost Of Equity = k(f) + β * Risk Premium + Country Premium (Damodaran table)
k(f) — リスクフリーの収益率
β (beta) — 市場に関連した株式 (資産) のリスクの尺度を決定し、市場の収益性の変化に対する株式の収益性の変化の感応度を示します。
Risk Premium — リスクプレミアム - 株式投資のリスクに対するプレミアム
Country Premium - カントリーリスク
k(f) = 10.34
β = 0.8854
Risk Premium = 5.91
Country Premium = 12.94
Cost Of Equity = 10.34 + 0.8854 * 5.91 + 12.94 = 0.2851
WACC = (56.55 / 843.27) * (100% - 0.438) * (1 - 0.2) + 0.2851 + 0.438 = 5.47
Terminal Value = Discount (137.81 * (1 + -0.0283) / (5.47 - -0.0283)) = 1236.39
Company Value = ∑ (137.81 / (1 + 5.47) ^ 5) = 626.31
Price = (Terminal Value + Company Value) / Count shares = (1236.39 + 626.31) / 15193000000 = 122.6

Price = (Terminal Value + Company Value) / Count shares
Price - 適正価格
Terminal Value — 予測後の期間のコスト
Company Value — 予測期間中のコスト
Count shares - 株式数
Terminal Value = Discount FCF(5) * (1 + FCF Yield) / (WACC - FCF Yield)
Company Value = ∑ (Discount FCF / (1 + WACC) ^ 5)
Discount FCF(5) = 57.32
FCF Yield = -1.91
WACC = (Interest Expense / Debt) * (Weight Cost Debt) * (1 - Tax) + Cost Of Equity * Weight Debt
Interest Expense - 債務返済コスト
Debt - 義務
Weight Debt - 負債に対する資本の重み
Weight Cost Debt - 資本総額に対する負債の重み
Tax - 税
Interest Expense = 56.55
Debt = 843.27
Market Cap = 657.1
Weight Debt = Market Cap / (Market Cap + Debt) = 657.1 / (657.1 + 843.27) = 0.438
Weight Cost Debt = 100% - 0.438 = 0.562
Tax = 0.2
Cost Of Equity — 割引率
Cost Of Equity = k(f) + β * Risk Premium + Country Premium (Damodaran table)
k(f) — リスクフリーの収益率
β (beta) — 市場に関連した株式 (資産) のリスクの尺度を決定し、市場の収益性の変化に対する株式の収益性の変化の感応度を示します。
Risk Premium — リスクプレミアム - 株式投資のリスクに対するプレミアム
Country Premium - カントリーリスク
k(f) = 10.34
β = 0.8854
Risk Premium = 5.91
Country Premium = 12.94
Cost Of Equity = 10.34 + 0.8854 * 5.91 + 12.94 = 0.2851
WACC = (56.55 / 843.27) * (100% - 0.438) * (1 - 0.2) + 0.2851 + 0.438 = 5.47
Terminal Value = Discount (57.32 * (1 + -1.91) / (5.47 - -1.91)) = -20.3
Company Value = ∑ (57.32 / (1 + 5.47) ^ 5) = 63.74
Price = (Terminal Value + Company Value) / Count shares = (-20.3 + 63.74) / 15193000000 = 2.86