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Bankіvskі operatsії - Frost AM

7.5. Efektivnіst real іnvestitsіy

For otsіnyuvannya that realіzatsії whether yakogo іnvestitsіynogo project neobhіdno vibrato model on pіdstavі yakoї priymatimutsya rіshennya about vkladennya koshtіv. Rozglyanemo deyakі osnovnі modelі.

Model otsіnyuvannya termіnu okupnostі. Tse - nayprostіshy i often vikoristovuvany method. Vіn daє zmogu rozrahuvati perіod, protyagom yakogo pay off the project. Yakscho Tsei termіn zadovolnyatime іnvestora, the project Mauger Buti uhvalenim. Sutnіst method polyagaє in skladannі trumpery Stream project for rokami that viznachennі perіodu okupnostі - hour, protyagom yakogo som pennies spent on the project, bude vіdshkodovana. Rozglyanemo project s such penny flow:

Otzhe project Got chotirirіchny termіn okupnostі.

Modelі otsіnyuvannya dohіdnostі vikoristanogo kapіtalu. Tsei method polyagaє in viznachennі vіdnoshennya income obsession od realіzatsії project to vitrat scho toil Buti zdіysnenі. Dohіd obchislyuєtsya pіslya vіdrahuvan podatkovih that on amortizatsіyu. Before vitrat nalezhat Pochatkova vartіst project i robochem kapіtal (napriklad, sirovina, vitrati warehouse gotovoї produktsії that іn.).

In zarubіzhnіy lіteraturі zustrіchaєtsya bagato titles tsogo method. Often vikoristovuєtsya abrevіatura ROCE (return on capital employed). Іsnuyut two ways virazhennya ROCE. Purshia - tse viznachennya vіdnoshennya serednorіchnogo income obsession for all perіod zdіysnennya project to serednoї vartostі vkladenogo kapіtalu. Others - viznachennya vіdnoshennya serednorіchnogo profit before vartostі vkladenogo kapіtalu. Nizhche filed butt de vikoristanі obidva pіdhodi.

Butt. Nekhay kompaniia And Got Namir vklasti in Costa іnvestitsіyny project s Pochatkova vitratami kapіtalu UAH 10 000 i robochem kapіtalom 3000 UAH. Project zdіysnyuvatimetsya Vier prophets, yogo zalishkova vartіst dorіvnyuvatime 2000 UAH. Penny potіk filed nizhche.

Over the minds scho kompaniia zastosovuє rіvnomіrnogo method of write-off of the main kapіtalu, dohіd obchislyuvatisya Mauger yak penny potіk mіnus depreciation. Schorіchnі vіdrahuvannya on amortizatsіyu stanovlyat:

(10000 - 2000) / 4 = 2000.

Schorіchny potіk income bude so:

Serednіy schorіchny dohіd: 7000/4 = 1750.

Pochatkova vkladeny kapіtal becoming UAH 13,000 (plus Pochatkova vartіst robochem kapіtal). Serednya vartіst vkladenogo kapіtalu obchislyuєtsya: (Pochatkova kapіtal - zalishkova vartіst) / 2 + zalishkova vartіst + robochem kapіtal. Tobto:

(10000 - 2000) / 2 + 2000 + 3000 = 9000 USD

Otzhe, dohіdnіst on vkladeny kapіtal becoming 1750/13000 = 0.135, abo 13.5% and dohіdnіst on serednyu vartіst vkladenogo kapіtalu - 1750/9000 = 0.194, abo 19.4%.

Model otsіnyuvannya іnvestitsіynih proektіv on osnovі suchasnoї vartostі flow platezhіv (Model NRV). Platezhі іnvestitsіynogo project, yak usually viznachayutsya through pevnі rіvnі promіzhki hour, napriklad, schotizhnya, schomіsyachno abo schorіchno. Platezhі shaping can Buti Positive (Yakscho Je Prybutok), negative (Yakscho Costa, vkladenі in the project, not perekrivayutsya income) abo nulovimi.

Teperіshnya vartіst flow platezhіv viznachaєtsya dodavannyam usіh teperіshnіh vartostey platezhіv protyagom perіodu scho rozglyadaєtsya. Yakscho A - Pevnyi platіzh scho ochіkuєtsya in n rokіv then yogo teperіshnya vartіst (PV - Present Value) dorіvnyuє A / (1 + r) n, de r - rate pributku and 1 / (1 + r) n - as titles koefіtsієnt diskontuvannya. Dali mi rozglyanemo ponyattya normalized pributku. Pokey scho vvazhatimemo, scho tse - dohіdnіst bezrizikovanogo asset napriklad Reigning oblіgatsіy.

Yakscho rozglyadaєtsya promіzhok hour rokіv n i Pevnyi іnvestitsіyny project, teperіshnya vartіst platezhіv yogo flow (NPV - Net Present Value) dorіvnyuє:

.

For rіshennya of acceptance about vkladennya koshtіv project keruyutsya have this rule:

Yakscho MRV x 0, the project Mauger vikonuvatisya;

Yakscho MRV <0 od vіdmovlyayutsya project.

Butt. Nekhay bezrizikovana dohіdnіst Reigning oblіgatsіy becoming 7%. Matimemo:

NRV = - 149,00

Oskіlki NRV negatively od tsogo project neobhіdno vіdmovitisya. Vodnochase pomіtno, scho for Modell otsіnyuvannya termіnu okupnostі on fourth rotsі vzhe maєmo STANDARD okupnіst.

Model otsіnyuvannya іnvestitsіynih proektіv on osnovі vnutrіshnoї normalized dohіdnostі. In modelі NRV NRV project Got Positive razі in fact, if dohіd od project virazheny in vіdsotkah, bude vischim koefіtsієnta diskontuvannya, NRV is negative, if dohіd nizhchy koefіtsієnta diskontuvannya, NRV dorіvnyuє zero if dohіd dorіvnyuvatime koefіtsієntovі.

Vnutrіshnya dohіdnostі rate (IRR - Internal rate of return) viznachaєtsya yak koefіtsієnt diskontuvannya for yakogo NRV project dorіvnyuє zero. We simply vipadkah IRR viznachaєtsya is arithmetic:

IRR dorіvnyuє r y rіvnyannі: - 500+ = 0.

IRR = r = 0,02, abo 2%.

Otzhe, if used flows platezhіv danogo project diskontuvalisya pid 2%, the stench of Mali b nulovy NPV:

For znahodzhennya IRR proektіv Zi slit bіlshimi perіodami potokіv platezhіv neobhіdno rozv'yazuvati uniquely skladnіshі rіvnyannya. Іsnuє bagato Komp'yuterniy program, SSMSC rozv'yazuyut qiu problem s tochnіstyu, yak tsіlkom zadovіlna of acceptance for vіdpovіdnogo rіshennya.

For otsіnyuvannya іnvestitsіynih proektіv for Relief modelі IRR slіd vibirati projection s nayvischim IRR i od vіdmovlyatisya proektіv s IRR Mensch, nіzh rinkova rate pributku for bezrizikovanih aktivіv.

Ochіkuvana Suchasna vartіst flow platezhіv. In the description vische models peredbachalosya, scho us vіdomі tochnі flows platezhіv quiet chi іnshih proektіv. However naspravdі їh mozhna viznachiti deprivation s Pevnyi ymovіrnіstyu. Tse pov'yazano s bezlіchchyu faktorіv scho vplivayut on zdіysnennya іnvestitsіynih proektіv (napriklad factor dіlovoї aktivnostі cycle). One s nayprostіshih metodіv otsіnyuvannya proektіv Je method viznachennya ochіkuvanoї teperіshnoї vartostі flow platezhіv abo ENPV, scho dorіvnyuє serednomu values ​​teperіshnіh vartostey potokіv platezhіv project viznachenih on pіdstavі otsіnyuvannya їh іmovіrnostі.

Butt. Nekhay yakas kompaniia rozglyadaє mozhlivіst kupіvlі obladnannya for virobnitstva plastmas. Tse obladnannya koshtuє UAH 10 000 second ochіkuєtsya scho yogo termіn vikoristannya becoming three prophets. Otsіnyuvannya schorіchnogo income not mozhna zdіysniti exactly what scho dohіd deposits od will vіdpovіdnoї the Branch. Peredbachaєtsya scho Mauger mother Galuzo azhіotazhne pіdnesennya (I), Average mill (II) is the mill recession (III). Kompaniia Got Taku statistics:

For otsіnyuvannya proektіv kompaniia vikoristovuє koefіtsієnt diskontuvannya 10%. Behind him MRV proektіv becoming:

For otsіnkami pevnoї nezalezhnoї organіzatsії scho prognozuє rozvitok budіvelnoї іndustrії, ymovіrnostі rozglyaduvanih troh stanіv tsієї takі the Branch:

Ochіkuvane value of NPV tsogo project obchislyuєtsya as follows:

Oskіlki project ochіkuvany Got Positive NPV (ENPV), vіn Mauger Buti priynyatnim for іnvestora.

Analіz chutlivostі. Analіz real іnvestitsіynogo project bazuєtsya on vrahuvannі bagatoh otsіnok (Pochatkova vitrat, neobhіdnih for vikonannya project trivalostі yogo zdіysnennya, schorіchnih potokіv platezhіv, zalishkovoї vartostі and takozh koefіtsієnta diskontuvannya for obchislennya teperіshnoї vartostі flow platezhіv). Otsіnyuvannya Mauger Buti zrobleno for vsіh Tsikh faktorіv, potіm project analіzuєtsya for Relief ENPV.

For zapobіgannya fіnansovih vtrat neobhіdno nobility naskіlki proponovane rіshennya about vkladennya koshtіv chutlive to pomilok otsіnyuvannya faktorіv. Іnshimi words neobhіdno z'yasuvati mozhlivu boundary pomilku otsіnyuvannya.

Rіshennya about vkladennya abo not vkladennya koshtіv in Pevnyi project priymaєtsya fallow od of vische chi nizhche od zero value of NPV is staying tsogo project.

Otzhe, zero Je turning point (in rіshennya nіy zmіnyuєtsya on protilezhne).

Analіz chutlivostі - tse method viznachennya addition, the value of yak Got zmіnitisya otsіnyuvany factor of the project (for minds, scho Rasht faktorіv not zmіnyuyutsya) dwellers Positive NPV zmenshivsya to zero. Otzhe, Yakscho otsіnyuvany factor zmіnitsya on bіlshu value is gained in Bulo nіzh rezultatі analіzu chutlivostі then Pochatkova otsіnyuvannya project yak priynyatnogo viyavitsya pomilkovim.

Butt. Pripustimo scho Yea takі otsіnki parametrіv yakogos іnvestitsіynogo project:

Pochatkovі vitrati - 1000 UAH.

Termіn vikonannya - 3 Rocky.

Schorіchny dohіd - 2000 UAH.

Schorіchnі vitrati - 1500 UAH.

Koefіtsієnt diskontuvannya - 10%.

On pіdstavі Tsikh otsіnok viznachimo NPV of the project:

Diskontuyuchi MRV penny potokіv at 10%, obsessively ochіkuvany NPV project, ENPV = -1000 + 500 A 3 - 0.10 = 243 (A 3 - 0.10 - Standard poznachennya suchasnoї vartostі postіynogo flow platezhіv one hryvnia schorіchno s koefіtsієntom diskontuvannya 10% i trirіchnomu perіodі)

AN - r =

Teper poslіdovno znaydemo vіdhilennya skin s faktorіv on Taku value for yakoї EMRY zmenshuєtsya to zero (zalishayuchi OAO All INSHI postіynimi factorization).

Pochatkovі vitrati. Poznachimo tsі vitrati symbol x, todі - x + 500 A 3 - 0.10 = 0, x = 1243. zvіdki Otzhe, vitrati shaping can Buti not bіlshimi 1243 UAH іnakshe rіshennya about іnvestuvannya Tsey project (positively tobto ENPV) bude pomilkovim. Іnshimi words Pochatkova otsіnyuvannya Mauger virosti 243 UAH, abo by 24.3%.

Termіn vikonannya. Poznachimo Yogo for x rokіv, todі:

1000 + 500 A 3 - 0.10 = 0 Znaydemo x vikoristovuyuchi lіnіynu іnterpolyatsіyu. Mi znaєmo, scho at x = 3, NPV = +243 USD, at x = 2 NPV = -1000 + 500 A 3 - 0.10 = -132. Otzhe x zmenshuє MRV to zero mіzh other i tretіm rokami:

Tobto, Yakscho trivalіst vikonannya project zmenshitsya 0.65 rock, abo by 21.7%, the Pochatkova otsіnka іnvestitsіy bude incorrectly.

Income. Nekhay schorіchny dohіd bude x todі

-1000 + X A 3 - 0.10 - 1500 A 3 - 0.10 = 0,

x = (1000 + 1500 A 3 - 0.10) / A 3 - 0.10 = -1902 UAH.

Otzhe, Pochatkova otsіnka Mauger zmenshitisya 98 UAH per Year, abo by 4.9%.

Schorіchnі vitrati. Nekhay stench will be x, todі

A3 -1000 +2000 - 0.10 - A3 - 0.10 = 0,

x = (1000 + 2000 A 3 - 0.10) / A 3 - 0.10 = -1598 UAH.

Rіshennya about danogo of acceptance of the project bude korektno, if schorіchnі vitrati zbіlshatsya porіvnyano s Pochatkova otsіnenimi vitratami not bіlshe nіzh 98 UAH per Year, abo by 6.5%.

Koefіtsієnt diskontuvannya. Poznachimo yogo yak x todі

-1000 + 500 A 3 - x = 0,

A 3 - x = 1000/500 = 2,0.

Vikoristovuyuchi lіnіynu іnterpolyatsіyu at A 3 - 0.20 = 2.11 And that 3 - 0.25 = 1.95, znahodimo:

.

Otzhe, Pochatkova otsіneny koefіtsієnt mozhna zbіlshiti 13.4%.

Navedemo zagalny result analіzu:

Modelі іnvestitsіynoї dіyalnostі in neviznachenostі minds. Basics riziku, abo neviznachenostі, Je ignorance of SSMSC s rіznih mozhlivih podіy spravdі vіdbudutsya. Napriklad, yakoyu Cena bude sales unit aktsіy through Year.

Rizik, yaky mi rozglyadaєmo, Je rizikom neotrimannya dohodіv, ochіkuvanih od abo іnvestitsіynogo portfolio project. Neviznachenіst іnvestitsіynogo income portfolio Je naslіdkom neviznachenostі dohodіv aktivіv, SSMSC yogo skladayut. Tsі assets mother mozhut one kіlka rizikіv abo scho klasifіkuyutsya for chotirma mainly kategorіyami - Credit rizik, rizik dohodіv, rinkovy rizik that іnflyatsіyny.

Credit rizik - tse rizik zmenshennya abo vtrati ochіkuvanih dohodіv, viklikany nevikonannyam pozichalnikami zobov'yazan for a loan. When tsomu pozichalniki mozhut vzagalі vіdmovitisya platiti chi zaplatiti deprivation Chastain abo viplatiti pіznіshe obіtsyanogo. Pozichalniki shaping can Buti not ready to pay abo Vi- not zdatnimi zrobiti tse through yakіs nespodіvanі obstavini. There whether Money Does razі lender matim Mensch dohіd, nіzh obіtsyany pozichalnikom.

Rizik income. For bagatoh aktivіv characterized zmіna income pov'yazana Zi spetsifіkoyu aktivіv. So, napriklad, divіdendi, oderzhanі іnvestorom, mozhut zmіnyuvatisya hour od o'clock in wide furrows through divіdendnu polіtiku emіtenta. Rizikom income nazivaєtsya admissibility zmenshennya viplat s income asset.

Rinkovy rizik. S revenues bagatoh aktivіv (aktsії, neruhomіst, іnozemna currency that іn.) Vіdbivayut rіznitsyu mіzh spravzhnoyu tsіnoyu aktivіv that maybutnoyu tsіnoyu їh resale. Rinkovim rizikom nazivaєtsya zmenshennya abo vtrata dohodіv una- slіdok zmіni maybutnoї rinkovoї tsіni asset. One s vazhlivih rinkovih rizikіv Je rizik zmіni exchange rate.

Іnflyatsіyny rizik. Usі realnі Income zaznayut іnflyatsіynogo riziku. LIVE dohіd viznachaєtsya yak nomіnalny dohіd mіnus ochіkuvany vіdsotok іnflyatsії. Zmenshennya abo vtrata ochіkuvanih real dohodіv, viklikanih zmіnami in ochіkuvanіy іnflyatsії, nazivaєtsya іnflyatsіynim rizikom.