DCF valuation
5-year discounted cash flows, Gordon terminal value, WACC / growth sensitivity, live Notitia price.
1 sheet Excel
Notitia
The same models in Notitia Sheets, the Excel add-in and the terminal (SHEET function). Download them as Excel: native formulas, the Notitia charter, live prices with the add-in.
5-year discounted cash flows, Gordon terminal value, WACC / growth sensitivity, live Notitia price.
EV / EBITDA and P / E of listed peers with live prices, median, mean and implied target price.
Sources and uses, senior debt swept with cash, bullet subordinated note, IRR, MOIC, value-creation bridge and entry / exit multiple sensitivity.
Value, weights, volatilities, historical VaR and expected shortfall, drawdown, Sharpe on one year of Notitia closes.
Covariances on one year of live closes, minimum-variance and maximum-Sharpe weights (Markowitz), return, volatility, Sharpe and correlations.
1,000 price paths over 12 months from the live price: distribution, probability of reaching a target, VaR and expected shortfall, histogram.
Price, modified duration, convexity and DV01 per line and for the book, parallel rate shock with exact P&L and the duration-convexity approximation.
Black-Scholes-Merton, Greeks and put-call parity on the live price.
Payment, interest and outstanding balance period by period.
Value of a share from a dividend growing at a constant rate.
High growth for N years, then perpetual growth.
Book value plus the present value of income above the cost of equity.
P/E consistent with growth, payout and the cost of equity.
From enterprise value to a price per share.
P/E, yields and enterprise value from the live Notitia price.
Benjamin Graham’s two value yardsticks.
The perpetual growth the market price implies.
Three divisions at their own multiples, less holding costs and debt.
Target price from an EV/EBITDA multiple on forward EBITDA.
CAPM cost of equity, after-tax cost of debt, market-value weights.
Hamada: asset beta, then beta at the target structure.
Investment, five annual flows, NPV, IRR, MIRR and payback.
Break-even, margin of safety, operating, financial and combined leverage.
Receivable, inventory and payable days, working capital in days and amount.
Wilson formula, number of orders and total cost.
WACC across leverage, with a rising cost of debt.
Sustainable growth, retention and sustainable dividend.
Net advantage of leasing versus borrowing to buy.
Price, accrued, durations and convexity of a fixed-rate bond.
The yield a price implies, and the current yield.
Price, yield and duration of a zero-coupon bond.
The forward rate between two zero-curve maturities.
Fair rate of an FRA and value of an existing position.
Par fixed rate of an annual 5-year swap from the zero curve, and value at a given rate.
Inflation implied by a nominal and an inflation-linked bond.
Yield to maturity, to first call, and the lower of the two.
Two zero-coupon bonds matching a liability’s value and duration.
Expected bond return over a horizon if the curve does not move.
European call and put on the live price, Greeks and parity.
CRR tree parameters and risk-neutral probability.
Options on futures, commodities and rates.
Cost of carry, basis and implied repo rate.
Covered interest parity: forward, forward points and premium.
Spots a parity gap and the trade that captures it.
Cost, break-evens and implied move of a straddle.
Return if called, if unchanged, downside protection.
At-the-money implied volatility approximation.
Breaks an option premium down.
Required return, Jensen alpha and the security market line.
Return and volatility by weight and correlation.
Normal VaR and expected shortfall, scaled to the horizon.
One-day VaR of a position at the live price, your volatility.
Optimal capital fraction, for a bet and for a continuous asset.
Weights inversely proportional to volatility, four assets.
Futures contracts to hedge a portfolio.
Volatility of an equal-weight portfolio of N correlated assets.
Equity, rate and FX shocks on a portfolio.
Trades back to target weights, three lines.
Tracking error from volatilities and correlation.
Risk-adjusted return ratios of a fund.
Performance per unit of market risk.
Compound annual growth and projected value.
Allocation, selection and interaction effects.
What annual fees cost over the long run.
Two sub-periods with a deposit, time-weighted return and IRR.
Gain needed to recover a loss, and how long it takes.
Gain, return and annualised return of a holding at the live price.
Distress score for listed manufacturers.
Distance to default and default probability from asset value.
PD x LGD x EAD and break-even credit spread.
Hazard rate and cumulative default probability from a CDS spread.
Interest cover, debt service cover, leverage.
Credit bond return under a spread scenario.
Nine financial strength tests (1 = pass).
Position size from the risk you accept and your stop.
Stop at a multiple of ATR and the matching size.
Average gain per trade, profit factor, approximate risk of ruin.
Classic pivot, supports and resistances for the session.
Retracement levels of a move.
Normalised spread between two stocks and the signal.
Spread, square-root market impact and total cost of an order.
Price that triggers a margin call on a leveraged position.
The gap between arithmetic and compound returns.
Expected return of a 2x or 3x ETF by volatility.
Probability that a return beats a threshold.
t-statistic of an excess return and the years needed.
Confidence interval of an observed mean return.
Move returns and volatilities between daily, weekly, monthly and annual.
Beta, alpha and R² of a simple regression.
ROE as margin, turnover, leverage, tax and interest burden.
Current, quick, cash ratios and days of cash.
Return on invested capital against WACC.
From operating profit to cash flow to the firm and to equity.
Gross, operating and net margins, two-year growth.
Sloan accrual ratio: earnings backed by cash or by accounting.
Policy rate suggested by inflation and the output gap.
Exact and approximate real rate.
Long-run fair exchange rate from relative inflation.
Purchasing power of a sum after N years of inflation.
Foreign asset return in local currency, hedged or not.
Contributions of consumption, investment, government and net trade.
Primary balance that stabilises debt, snowball effect.
Monthly payment, total cost and balance after N years.
How much you can borrow for your income and debt-to-income cap.
Capital at retirement and sustainable monthly income.
Monthly saving needed to reach a goal.
Final capital with regular contributions.
Yearly cost of owning versus renting over a horizon.
Payment and total cost of two offers.
Effective rate of a loan with fees, nominal to effective.
50/30/20 rule and an emergency fund in months of spending.
Average cost of regular purchases over four prices.
Annual income of a holding at the live price, yield on cost.