Модель DCF: логика и структура

Дисконтированные денежные потоки как основа оценки Discounted Cash Flow (DCF) — фундаментальный подход к оценке бизнеса, основанный на принципе, что стоимость компании равна present value её будущих денежных потоков. DCF — «первопринцип» оценки, от которого производны другие методы. Логика DCF Intrinsic value: DCF оценивает intrinsic value — что компания реально стоит на основе её cash-generating ability. В отличие от market value (текущая цена) или book value (accounting). Present value: future cash flows дисконтируются к сегодняшнему дню. $1 сегодня > $1 завтра из-за opportunity cost, risk, inflation. Fundamental equation: Value = Σ CFt / (1+r)^t. Sum of all future cash flows discounted at appropriate rate. Два подхода DCF FCFF/WACC approach: discount Free Cash Flow to Firm at WACC → Enterprise Value. Then subtract Net Debt → Equity Value. Most common approach. FCFE/Cost of Equity approach: discount Free Cash Flow to Equity at Cost of Equity → Equity Value directly. Equivalent result если consistent assumptions. Consistency critical: FCFF (for all capital providers) with WACC (cost of all capital). FCFE (for equity) with Cost of Equity. Mixing is error. DCF structure Step 1: Forecast FCFF (или FCFE) for explicit forecast period — typically 5-10 years. Step 2: Calculate Terminal Value — value beyond forecast period. Usually 60-80% of total value. Step 3: Discount FCF и Terminal Value to present using WACC (or Cost of Equity). Step 4: Sum = Enterprise Value. Subtract Net Debt, add cash = Equity Value. Divide by shares = per share value. Forecast period Explicit period: project FCF year by year until company reaches «steady state» — stable growth, mature margins, normalized CAPEX. Length: 5 years standard. 10 years for high-growth companies ещё не at steady state. Beyond 10 years редко — uncertainty too high. Detailed projections: revenue growth, margins, working capital, CAPEX. Each assumption based on analysis — historical trends, industry dynamics, management guidance. Terminal Value Captures value beyond forecast period. Company assumed to operate indefinitely at steady state. Two methods: Gordon Growth Model (perpetuity formula); Exit Multiple approach. Terminal value often dominates: 60-80% of DCF value from terminal value. Critical to get right. Gordon Growth Model TV = FCF(n+1) / (WACC - g). Где FCF(n+1) — FCF в первый год после forecast period, g — perpetual growth rate. Growth rate (g): must be ≤ long-term economy growth (GDP + inflation). Typically 2-3% for mature company. Higher not sustainable indefinitely. FCF(n+1) = FCF(n) × (1+g). Assumes stable growth begins immediately after forecast period. Exit Multiple approach TV = EBITDA(n) × Exit Multiple. Value based on applying multiple to final year financials. Multiple selection: based on comparable companies' current multiples, или historical average. Implies perpetual growth assumption. Cross-check: implied growth rate from exit multiple. If multiple is 10x, WACC 10%, implied g = WACC - 1/Multiple = 10% - 10% = 0%. If multiple = 8x, implied g = 10% - 12.5% = negative (makes little sense). Discount rate selection WACC: weighted average cost of debt и equity. Reflects company's overall cost of capital. Cost of Equity: via CAPM (Rf + β × ERP) или alternative methods. Cost of Debt: yield on company's bonds или bank debt, after-tax. Target weights: use target capital structure для forward-looking analysis. Enterprise Value to Equity Value Enterprise Value: value of operating business = PV(FCF) + PV(Terminal Value). Equity Value = Enterprise Value - Net Debt + Non-operating Assets. Net Debt = Debt - Cash. Non-operating: excess cash, investments, unconsolidated subs. Per share value = Equity Value / Diluted Shares Outstanding. Account for options, convertibles. DCF advantages Fundamental: based on cash generation ability, не market sentiment или accounting policies. Flexible: can incorporate detailed projections, scenarios, sensitivities. Forward-looking: values future potential, not just current state. DCF limitations Sensitive to assumptions: small changes in growth, margin, WACC → large value changes. Terminal value particularly sensitive. «Garbage in, garbage out»: quality depends on forecast quality. Biased forecasts → biased valuation. Not useful for: early-stage companies с negative cash flows и no visibility, distressed companies, companies undergoing significant changes. Best practices Sensitivity analysis: test key assumptions (growth, margin, WACC). Present range of values, не single point. Scenario analysis: base case, bull case, bear case. Weight scenarios для expected value. Cross-check: compare DCF to trading multiples, transaction comps. Large discrepancy warrants investigation. Document assumptions: transparent about inputs. Allows challenge and refinement.