CLASIFICACIÓN GICS

The Global Industry Classification Standard (GICS®) was developed by MSCI, a premier independent provider of global indexes and benchmark-related products and servic
and Standard & Poor's (S&P), an independent international financial data and investment services company and a leading provider of global equity indexes.
http://www.msci.com/products/indexes/sector/gics/

Beta Sectorial Promedio simple de las Betas desapalancadas

Promedio Beta apalancado Promedio simple de las Betas apalancadas
COMPONENTES Número de empresas que se utilizan para el cáculo
#N/A Acciones que no fueron cáculadas por falta de datos
DESCARTADO (DISCARTED) Los Betas menores a 0,05 y mayores a 5 no se consideran para el cálculo de promedio de los Betas para los sect
ACTIVO (ACTIVE) Empresas consideradas para cálcular el Beta por sector
ENTRADA VACÍA (EMPTY INPUT) Entrada vacía

Fuentes de datos primarios: Thomson Reuters

ÍNDICE .COLCAP

FILTRO (COPIA) ACTIVO (ACTIVE)

GICS Industry Group GICS Industry

Banks Commercial Banks
Commercial Banks Result
Banks Result
Diversified Financials Diversified Financial Services

Diversified Financial Services Result

Diversified Financials Result
Energy Oil, Gas & Consumable Fuels

Oil, Gas & Consumable Fuels Result

Energy Result
Food & Staples Retailing Food & Staples Retailing
Food & Staples Retailing Result
Food & Staples Retailing Result
Food, Beverage & Tobacco Food Products
Food Products Result
Food, Beverage & Tobacco Result
Materials Construction Materials
Construction Materials Result
Materials Result
Transportation Airlines
Airlines Result
Transportation Result
Utilities Electric Utilities
Electric Utilities Result
Gas Utilities
Gas Utilities Result
Utilities Result
benchmark-related products and services,
of global equity indexes.

de promedio de los Betas para los sectores

Colombian Capitalization Index

Data
GICS Sub-Industry Average - BETA apala Average - Beta Count - BETA apal
Diversified Banks 0.5915083495 0.0918210354 2
0.5915083495 0.0918210354 2
0.5915083495 0.0918210354 2
Multi-Sector Holdings 0.7663661825 0.1438277911 1
Specialized Finance 0.5977840541 0.5470189278 1
0.6820751183 0.3454233595 2
0.6820751183 0.3454233595 2
Integrated Oil & Gas 1.232731706 0.8270373417 1
Oil & Gas Exploration & Production 1.6222853384 1.6212127799 2
1.4924341276 1.3564876338 3
1.4924341276 1.3564876338 3
Hypermarkets & Super Centers 0.8786185988 0.750291794 1
0.8786185988 0.750291794 1
0.8786185988 0.750291794 1
Packaged Foods & Meats 0.697686086 0.5893321885 1
0.697686086 0.5893321885 1
0.697686086 0.5893321885 1
Construction Materials 0.9636302257 0.7084057399 3
0.9636302257 0.7084057399 3
 0.9636302257 0.7084057399 3
Airlines 0.5843222612 0.5826861854 1
0.5843222612 0.5826861854 1
0.5843222612 0.5826861854 1
Electric Utilities 0.876989071 0.4573018713 3
0.876989071 0.4573018713 3
Gas Utilities 0.472740692 0.3235590167 1
0.472740692 0.3235590167 1
0.7759269762 0.4238661576 4
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CLASIFICACIÓN REUTERS BUSINESS
TRBC classifies the primary business activity of over 72,000 listed companies from 130 countries into a five level hierarchy.
Dedicated, local language speaking analysts utilize company filings, Reuters news and Thomson Reuters corporate actions services in order to assign and maintain a comp
http://thomsonreuters.com/business-classification/

Beta Sectorial Promedio simple de las Betas desapalancadas

Promedio Beta apalancado Promedio simple de las Betas apalancadas
COMPONENTES Número de empresas que se utilizan para el cáculo
#N/A Acciones que no fueron cáculadas por falta de datos
DESCARTADO (DISCARTED) Los Betas menores a 0,05 y mayores a 5 no se consideran para el cálculo de promedio de los Betas para los s
ACTIVO (ACTIVE) Empresas consideradas para cálcular el Beta por sector
ENTRADA VACÍA (EMPTY INPUT) Entrada vacía

Fuentes de datos primarios: Thomson Reuters

ÍNDICE .COLCAP

FILTRO (COPIA) ACTIVO (ACTIVE)

TRBC Economic Sector TRBC Business Sector Code

Basic Materials Mineral Resources
Mineral Resources Result
Basic Materials Result
Cyclical Consumer Goods & Services Retailers
Retailers Result
Cyclical Consumer Goods & Services Result
Energy Energy
Energy Result
Energy Result
Financials Banking & Investment Services

Banking & Investment Services Result

Financials Result
Industrials Transportation
Transportation Result
Industrials Result
Non-Cyclical Consumer Goods & Services Food & Beverages
Food & Beverages Result
Non-Cyclical Consumer Goods & Services Result
Utilities Utilities

Utilities Result
Utilities Result
vices in order to assign and maintain a company's activity.

el cálculo de promedio de los Betas para los sectores

Colombian Capitalization Index

Data
TRBC Industry Group Code Average - BETA apala Average - Beta Min - FECHA ACT
Construction Materials 0.9636302257 0.7084057399 02/06/15
0.9636302257 0.7084057399 02/06/15
0.9636302257 0.7084057399 02/06/15
Diversified Retail 0.8786185988 0.750291794 02/06/15
0.8786185988 0.750291794 02/06/15
0.8786185988 0.750291794 02/06/15
Oil & Gas 1.4924341276 1.3564876338 02/06/15
1.4924341276 1.3564876338 02/06/15
1.4924341276 1.3564876338 02/06/15
Banking Services 0.5915083495 0.0918210354 02/06/15
Investment Banking & Investment Services 0.6820751183 0.3454233595 02/06/15
0.6367917339 0.2186221974 02/06/15
0.6367917339 0.2186221974 02/06/15
Airline Services 0.5843222612 0.5826861854 02/06/15
0.5843222612 0.5826861854 02/06/15
0.5843222612 0.5826861854 02/06/15
Food & Tobacco 0.697686086 0.5893321885 02/06/15
0.697686086 0.5893321885 02/06/15
 0.697686086 0.5893321885 02/06/15
Electric Utilities 0.876989071 0.4573018713 02/06/15
Multiline Utilities 0.472740692 0.3235590167 02/06/15
0.7759269762 0.4238661576 02/06/15
0.7759269762 0.4238661576 02/06/15
Count - BETA apalancado
3
3
3
1
1
1
3
3
3
2
2
4
4
1
1
1
1
1
1
3
1
4
4
BETAS POR EMPRESA

Fuentes de datos primarios: Thomson Reuters

ÍNDICE .COLCAP Colombian Capitalization Index

FILTRO (COPIA) - multiple -

COMPAÑÍA BETA apalancado Beta desampalanca

Almacenes Exito SA 0.8786185988 0.750291794
Avianca Holdings SA 0.5843222612 0.5826861854
Banco Davivienda SA 0.6889176862 0.0411442814
Banco de Bogota SA 0.2796658807 0.0747309889
Bancolombia SA 0.9033508183 0.1089110818
Bolsa de Valores de Colombia SA 0.5977840541 0.5470189278
Canacol Energy Ltd 1.4581287065 1.4579567323
Celsia SA ESP 0.89507439 0.5023589477
Cementos Argos SA 1.0065723809 0.7858512488
CEMEX Latam Holdings SA 0.7038444366 0.7037128883
Corporacion Financiera Colombiana SA 0.4890091279 (empty)
Ecopetrol SA 1.232731706 0.8270373417
Empresa de Energia de Bogota SA ESP 0.472740692 0.3235590167
Grupo Argos SA 1.1804738596 0.6356530826
Grupo Aval Acciones y Valores SA 0.5719374323 0.044536408
Grupo de Inversiones Suramericana SA 0.7663661825 0.1438277911
Grupo Nutresa SA 0.697686086 0.5893321885
Interconexion Electrica SA ESP 1.0579943315 0.3824193584
Isagen SA ESP 0.6778984914 0.4871273078
Pacific Rubiales Energy Corp 1.7864419703 1.7844688274
bian Capitalization Index

TRBC Economic Sector TRBC Business Sector Code

Cyclical Consumer Goods & Services Retailers
Industrials Transportation
Financials Banking & Investment Services
Financials Banking & Investment Services
Financials Banking & Investment Services
Financials Banking & Investment Services
Energy Energy
Utilities Utilities
Basic Materials Mineral Resources
Basic Materials Mineral Resources
Financials Banking & Investment Services
Energy Energy
Utilities Utilities
Basic Materials Mineral Resources
Financials Banking & Investment Services
Financials Banking & Investment Services
Non-Cyclical Consumer Goods & Services Food & Beverages
Utilities Utilities
Utilities Utilities
Energy Energy
TRBC Industry Group Code GICS Sector GICS Industry
Diversified Retail Consumer Staples Food & Staples Retailing
Airline Services Industrials Airlines
Banking Services Financials Commercial Banks
Banking Services Financials Commercial Banks
Banking Services Financials Commercial Banks
Investment Banking & Investment Services Financials Diversified Financial Services
Oil & Gas Energy Oil, Gas & Consumable Fuels
Electric Utilities Utilities Electric Utilities
Construction Materials Materials Construction Materials
Construction Materials Materials Construction Materials
Investment Banking & Investment Services Financials Diversified Financial Services
Oil & Gas Energy Oil, Gas & Consumable Fuels
Multiline Utilities Utilities Gas Utilities
Construction Materials Materials Construction Materials
Banking Services Financials Commercial Banks
Investment Banking & Investment Services Financials Diversified Financial Services
Food & Tobacco Consumer Staples Food Products
Electric Utilities Utilities Electric Utilities
Electric Utilities Utilities Electric Utilities
Oil & Gas Energy Oil, Gas & Consumable Fuels
GICS Sub-Industry Min - FECHA ACTUALIZACIÓN
Hypermarkets & Super Centers 02/06/15
Airlines 02/06/15
Diversified Banks 02/06/15
Diversified Banks 02/06/15
Diversified Banks 02/06/15
Specialized Finance 02/06/15
Oil & Gas Exploration & Production 02/06/15
Electric Utilities 02/06/15
Construction Materials 02/06/15
Construction Materials 02/06/15
Multi-Sector Holdings 02/06/15
Integrated Oil & Gas 02/06/15
Gas Utilities 02/06/15
Construction Materials 02/06/15
Diversified Banks 02/06/15
Multi-Sector Holdings 02/06/15
Packaged Foods & Meats 02/06/15
Electric Utilities 02/06/15
Electric Utilities 02/06/15
Oil & Gas Exploration & Production 02/06/15
 ACTUALIZACIÓN DEL SISTEMA 2/6/2015

FICHA TÉCNICA

ESPAÑOL

Para el cálculo de los betas se utiliza el método CAPM (Capital Assets Pricing Model).*
Todos los datos son obtenidos de la base de Reuters
Para el cálculo del beta apalancado de cada compañía (Bi) se utilizan las cotizaciones de los últimos 1000 días al precio de
Se utiliza como fecha raíz las fechas de cotización de cada índice.
Por razones técnicas no se consideran los dividendos para este calculó. Se consideraron desestimables.
La rentabilidad de cada acción se calcula diaria utilizando el Logaritmo Neperiano (Ln), y luego es anualizada a 240 días
La deuda se obtiene de el promedio de la Deuda total de los dos últimos reportes trimestre les publicados. Código Reuter
EL patrimonio se calcula multiplicando el precio de cierre de la acción al día por la cantidad de acciones en el mercado. Có
La tasa efectiva de impuestos se obtiene del estado de resultados del último año publicado. Si una tasa efectiva de impues
Para el cálculo promedio de los Betas por sector se consideran los mayores a 0,05 y los menores a 5 , los que no cumplen t
0
Los resultados se presentan agrupados según dos clasificaciones: GICS ( Global Industry Classification Standard)*** y TRBC
Los resultados se presentan como un promedio simple de las betas apalancadas: Promedio Beta Apalancado . Y las Betas

0
0
* Sharpe, William F. 1964. "Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk." Journal of Fina
** Esto tiene su fundamento en el trabajo: Buenaventura Vera, Guillermo; Gómez Restrepo, Carlos Augusto & Ortiz Romo,
*** The Global Industry Classification Standard (GICS®) was developed by MSCI, a premier independent provider of global
**** TRBC classifies the primary business activity of over 72,000 listed companies from 130 countries into a five level hier
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mos 1000 días al precio de cierre del índice y de cada acción.** Código de Reuters: TRDPRC_1.CLOSE

es anualizada a 240 días

publicados. Código Reuters: RF.BS.TotLiab
acciones en el mercado. Código Reuters para el precio de la acción: CF_CLOSE . Código Reuters para las acciones en el mercado: RCA.S.Outstanding
una tasa efectiva de impuestos es menor que cero, se considera 0 para ese año.
s a 5 , los que no cumplen tese parámetro se consideranDESCARTADO (DISCARTED)

cation Standard)*** y TRBC (Thomson Reuters Business Classification)****

a Apalancado . Y las Betas desampalancadas : BETA SECTORIAL

ons of Risk." Journal of Finance. 19:3, pp. 425–42.

rlos Augusto & Ortiz Romo, Juan Carlos. 2010. Aplicación de las Teorías de la Firma: Operacionalización del CAPM para empresas de Colombia y Latino
pendent provider of global indexes and benchmark-related products and services, and Standard & Poor's (S&P), an independent international financ
untries into a five level hierarchy. Dedicated, local language speaking analysts utilize company filings, Reuters news and Thomson Reuters corporate a
n el mercado: RCA.S.Outstanding

para empresas de Colombia y Latinoamericanas. En http://www.icesi.edu.co/departamentos/finanzas_contabilidad/workingpapers.php

n independent international financial data and investment services company and a leading provider of global equity indexes.http://www.msci.com/
s and Thomson Reuters corporate actions services in order to assign and maintain a company's activity. http://thomsonreuters.com/business-classifi
dad/workingpapers.php
uity indexes.http://www.msci.com/products/indexes/sector/gics/
omsonreuters.com/business-classification/