Stock Analysis on Net

Adobe Inc. (NASDAQ:ADBE)

Modelo de valoración de activos de capital (CAPM) 

Microsoft Excel

Tasas de retorno

Adobe Inc., tasas mensuales de retorno

Microsoft Excel
Adobe Inc. (ADBE) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioADBE,t1 DividendoADBE,t1 RADBE,t2 PrecioS&P 500,t RS&P 500,t3
31 dic. 2016 $102.95 2,238.83
1. 31 ene. 2017 $113.38 10.13% 2,278.87 1.79%
2. 28 feb. 2017 $118.34 4.37% 2,363.64 3.72%
3. 31 mar. 2017 $130.13 9.96% 2,362.72 -0.04%
. . . . . . .
. . . . . . .
. . . . . . .
70. 31 oct. 2022 $318.50 15.73% 3,871.98 7.99%
71. 30 nov. 2022 $344.93 8.30% 4,080.11 5.38%
Promedio (R): 2.10% 0.97%
Desviación estándar: 8.65% 4.91%
Adobe Inc. (ADBE) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioADBE,t1 DividendoADBE,t1 RADBE,t2 PrecioS&P 500,t RS&P 500,t3
31 dic. 2016 $102.95 2,238.83
1. 31 ene. 2017 $113.38 10.13% 2,278.87 1.79%
2. 28 feb. 2017 $118.34 4.37% 2,363.64 3.72%
3. 31 mar. 2017 $130.13 9.96% 2,362.72 -0.04%
4. 30 abr. 2017 $133.74 2.77% 2,384.20 0.91%
5. 31 may. 2017 $141.86 6.07% 2,411.80 1.16%
6. 30 jun. 2017 $141.44 -0.30% 2,423.41 0.48%
7. 31 jul. 2017 $146.49 3.57% 2,470.30 1.93%
8. 31 ago. 2017 $155.16 5.92% 2,471.65 0.05%
9. 30 sept. 2017 $149.18 -3.85% 2,519.36 1.93%
10. 31 oct. 2017 $175.16 17.42% 2,575.26 2.22%
11. 30 nov. 2017 $181.47 3.60% 2,647.58 2.81%
12. 31 dic. 2017 $175.24 -3.43% 2,673.61 0.98%
13. 31 ene. 2018 $199.76 13.99% 2,823.81 5.62%
14. 28 feb. 2018 $209.13 4.69% 2,713.83 -3.89%
15. 31 mar. 2018 $216.08 3.32% 2,640.87 -2.69%
16. 30 abr. 2018 $221.60 2.55% 2,648.05 0.27%
17. 31 may. 2018 $249.28 12.49% 2,705.27 2.16%
18. 30 jun. 2018 $243.81 -2.19% 2,718.37 0.48%
19. 31 jul. 2018 $244.68 0.36% 2,816.29 3.60%
20. 31 ago. 2018 $263.51 7.70% 2,901.52 3.03%
21. 30 sept. 2018 $269.95 2.44% 2,913.98 0.43%
22. 31 oct. 2018 $245.76 -8.96% 2,711.74 -6.94%
23. 30 nov. 2018 $250.89 2.09% 2,760.17 1.79%
24. 31 dic. 2018 $226.24 -9.83% 2,506.85 -9.18%
25. 31 ene. 2019 $247.82 9.54% 2,704.10 7.87%
26. 28 feb. 2019 $262.50 5.92% 2,784.49 2.97%
27. 31 mar. 2019 $266.49 1.52% 2,834.40 1.79%
28. 30 abr. 2019 $289.25 8.54% 2,945.83 3.93%
29. 31 may. 2019 $270.90 -6.34% 2,752.06 -6.58%
30. 30 jun. 2019 $294.65 8.77% 2,941.76 6.89%
31. 31 jul. 2019 $298.86 1.43% 2,980.38 1.31%
32. 31 ago. 2019 $284.51 -4.80% 2,926.46 -1.81%
33. 30 sept. 2019 $276.25 -2.90% 2,976.74 1.72%
34. 31 oct. 2019 $277.93 0.61% 3,037.56 2.04%
35. 30 nov. 2019 $309.53 11.37% 3,140.98 3.40%
36. 31 dic. 2019 $329.81 6.55% 3,230.78 2.86%
37. 31 ene. 2020 $351.14 6.47% 3,225.52 -0.16%
38. 29 feb. 2020 $345.12 -1.71% 2,954.22 -8.41%
39. 31 mar. 2020 $318.24 -7.79% 2,584.59 -12.51%
40. 30 abr. 2020 $353.64 11.12% 2,912.43 12.68%
41. 31 may. 2020 $386.60 9.32% 3,044.31 4.53%
42. 30 jun. 2020 $435.31 12.60% 3,100.29 1.84%
43. 31 jul. 2020 $444.32 2.07% 3,271.12 5.51%
44. 31 ago. 2020 $513.39 15.55% 3,500.31 7.01%
45. 30 sept. 2020 $490.43 -4.47% 3,363.00 -3.92%
46. 31 oct. 2020 $447.10 -8.84% 3,269.96 -2.77%
47. 30 nov. 2020 $478.47 7.02% 3,621.63 10.75%
48. 31 dic. 2020 $500.12 4.52% 3,756.07 3.71%
49. 31 ene. 2021 $458.77 -8.27% 3,714.24 -1.11%
50. 28 feb. 2021 $459.67 0.20% 3,811.15 2.61%
51. 31 mar. 2021 $475.37 3.42% 3,972.89 4.24%
52. 30 abr. 2021 $508.34 6.94% 4,181.17 5.24%
53. 31 may. 2021 $504.58 -0.74% 4,204.11 0.55%
54. 30 jun. 2021 $585.64 16.06% 4,297.50 2.22%
55. 31 jul. 2021 $621.63 6.15% 4,395.26 2.27%
56. 31 ago. 2021 $663.70 6.77% 4,522.68 2.90%
57. 30 sept. 2021 $575.72 -13.26% 4,307.54 -4.76%
58. 31 oct. 2021 $650.36 12.96% 4,605.38 6.91%
59. 30 nov. 2021 $669.85 3.00% 4,567.00 -0.83%
60. 31 dic. 2021 $567.06 -15.35% 4,766.18 4.36%
61. 31 ene. 2022 $534.30 -5.78% 4,515.55 -5.26%
62. 28 feb. 2022 $467.68 -12.47% 4,373.94 -3.14%
63. 31 mar. 2022 $455.62 -2.58% 4,530.41 3.58%
64. 30 abr. 2022 $395.95 -13.10% 4,131.93 -8.80%
65. 31 may. 2022 $416.48 5.18% 4,132.15 0.01%
66. 30 jun. 2022 $366.06 -12.11% 3,785.38 -8.39%
67. 31 jul. 2022 $410.12 12.04% 4,130.29 9.11%
68. 31 ago. 2022 $373.44 -8.94% 3,955.00 -4.24%
69. 30 sept. 2022 $275.20 -26.31% 3,585.62 -9.34%
70. 31 oct. 2022 $318.50 15.73% 3,871.98 7.99%
71. 30 nov. 2022 $344.93 8.30% 4,080.11 5.38%
Promedio (R): 2.10% 0.97%
Desviación estándar: 8.65% 4.91%

Mostrar todo

1 Datos en US$ por acción ordinaria, ajustados por divisiones y dividendos de acciones.

2 Tasa de rendimiento de las acciones ordinarias de ADBE durante el período t.

3 Tasa de rendimiento del S&P 500 (el proxy de la cartera de mercado) durante el período t.


Varianza y covarianza

Adobe Inc., cálculo de la varianza y covarianza de los rendimientos

Microsoft Excel
t Fecha RADBE,t RS&P 500,t (RADBE,tRADBE)2 (RS&P 500,tRS&P 500)2 (RADBE,tRADBE)×(RS&P 500,tRS&P 500)
1. 31 ene. 2017 10.13% 1.79% 64.57 0.67 6.58
2. 28 feb. 2017 4.37% 3.72% 5.19 7.57 6.27
3. 31 mar. 2017 9.96% -0.04% 61.89 1.02 -7.93
. . . . . . .
. . . . . . .
. . . . . . .
70. 31 oct. 2022 15.73% 7.99% 186.00 49.24 95.70
71. 30 nov. 2022 8.30% 5.38% 38.47 19.42 27.33
Total (Σ): 5,232.62 1,688.51 2,124.77
t Fecha RADBE,t RS&P 500,t (RADBE,tRADBE)2 (RS&P 500,tRS&P 500)2 (RADBE,tRADBE)×(RS&P 500,tRS&P 500)
1. 31 ene. 2017 10.13% 1.79% 64.57 0.67 6.58
2. 28 feb. 2017 4.37% 3.72% 5.19 7.57 6.27
3. 31 mar. 2017 9.96% -0.04% 61.89 1.02 -7.93
4. 30 abr. 2017 2.77% 0.91% 0.46 0.00 -0.04
5. 31 may. 2017 6.07% 1.16% 15.81 0.04 0.75
6. 30 jun. 2017 -0.30% 0.48% 5.72 0.24 1.17
7. 31 jul. 2017 3.57% 1.93% 2.17 0.93 1.42
8. 31 ago. 2017 5.92% 0.05% 14.61 0.84 -3.50
9. 30 sept. 2017 -3.85% 1.93% 35.40 0.92 -5.72
10. 31 oct. 2017 17.42% 2.22% 234.68 1.56 19.15
11. 30 nov. 2017 3.60% 2.81% 2.27 3.38 2.77
12. 31 dic. 2017 -3.43% 0.98% 30.57 0.00 -0.08
13. 31 ene. 2018 13.99% 5.62% 141.52 21.61 55.31
14. 28 feb. 2018 4.69% -3.89% 6.73 23.66 -12.62
15. 31 mar. 2018 3.32% -2.69% 1.51 13.38 -4.49
16. 30 abr. 2018 2.55% 0.27% 0.21 0.49 -0.32
17. 31 may. 2018 12.49% 2.16% 108.06 1.42 12.39
18. 30 jun. 2018 -2.19% 0.48% 18.41 0.23 2.08
19. 31 jul. 2018 0.36% 3.60% 3.02 6.93 -4.58
20. 31 ago. 2018 7.70% 3.03% 31.36 4.23 11.52
21. 30 sept. 2018 2.44% 0.43% 0.12 0.29 -0.19
22. 31 oct. 2018 -8.96% -6.94% 122.25 62.56 87.45
23. 30 nov. 2018 2.09% 1.79% 0.00 0.67 -0.01
24. 31 dic. 2018 -9.83% -9.18% 142.11 102.95 120.96
25. 31 ene. 2019 9.54% 7.87% 55.39 47.60 51.35
26. 28 feb. 2019 5.92% 2.97% 14.65 4.02 7.67
27. 31 mar. 2019 1.52% 1.79% 0.33 0.68 -0.47
28. 30 abr. 2019 8.54% 3.93% 41.54 8.78 19.09
29. 31 may. 2019 -6.34% -6.58% 71.23 56.95 63.69
30. 30 jun. 2019 8.77% 6.89% 44.51 35.09 39.52
31. 31 jul. 2019 1.43% 1.31% 0.44 0.12 -0.23
32. 31 ago. 2019 -4.80% -1.81% 47.57 7.72 19.16
33. 30 sept. 2019 -2.90% 1.72% 24.99 0.56 -3.75
34. 31 oct. 2019 0.61% 2.04% 2.21 1.15 -1.60
35. 30 nov. 2019 11.37% 3.40% 86.01 5.93 22.59
36. 31 dic. 2019 6.55% 2.86% 19.86 3.57 8.42
37. 31 ene. 2020 6.47% -0.16% 19.11 1.28 -4.95
38. 29 feb. 2020 -1.71% -8.41% 14.52 87.98 35.74
39. 31 mar. 2020 -7.79% -12.51% 97.70 181.73 133.25
40. 30 abr. 2020 11.12% 12.68% 81.50 137.25 105.77
41. 31 may. 2020 9.32% 4.53% 52.19 12.67 25.71
42. 30 jun. 2020 12.60% 1.84% 110.33 0.76 9.14
43. 31 jul. 2020 2.07% 5.51% 0.00 20.62 -0.12
44. 31 ago. 2020 15.55% 7.01% 180.88 36.45 81.20
45. 30 sept. 2020 -4.47% -3.92% 43.14 23.93 32.13
46. 31 oct. 2020 -8.84% -2.77% 119.49 13.95 40.83
47. 30 nov. 2020 7.02% 10.75% 24.21 95.76 48.15
48. 31 dic. 2020 4.52% 3.71% 5.90 7.53 6.66
49. 31 ene. 2021 -8.27% -1.11% 107.41 4.34 21.58
50. 28 feb. 2021 0.20% 2.61% 3.61 2.69 -3.12
51. 31 mar. 2021 3.42% 4.24% 1.74 10.73 4.32
52. 30 abr. 2021 6.94% 5.24% 23.42 18.26 20.68
53. 31 may. 2021 -0.74% 0.55% 8.04 0.18 1.19
54. 30 jun. 2021 16.06% 2.22% 195.13 1.57 17.50
55. 31 jul. 2021 6.15% 2.27% 16.40 1.71 5.29
56. 31 ago. 2021 6.77% 2.90% 21.83 3.73 9.02
57. 30 sept. 2021 -13.26% -4.76% 235.68 32.79 87.90
58. 31 oct. 2021 12.96% 6.91% 118.13 35.35 64.62
59. 30 nov. 2021 3.00% -0.83% 0.81 3.25 -1.62
60. 31 dic. 2021 -15.35% 4.36% 304.19 11.51 -59.17
61. 31 ene. 2022 -5.78% -5.26% 61.98 38.78 49.03
62. 28 feb. 2022 -12.47% -3.14% 212.12 16.85 59.79
63. 31 mar. 2022 -2.58% 3.58% 21.85 6.80 -12.19
64. 30 abr. 2022 -13.10% -8.80% 230.80 95.35 148.35
65. 31 may. 2022 5.18% 0.01% 9.54 0.93 -2.98
66. 30 jun. 2022 -12.11% -8.39% 201.70 87.63 132.94
67. 31 jul. 2022 12.04% 9.11% 98.81 66.30 80.94
68. 31 ago. 2022 -8.94% -4.24% 121.87 27.17 57.55
69. 30 sept. 2022 -26.31% -9.34% 806.71 106.27 292.79
70. 31 oct. 2022 15.73% 7.99% 186.00 49.24 95.70
71. 30 nov. 2022 8.30% 5.38% 38.47 19.42 27.33
Total (Σ): 5,232.62 1,688.51 2,124.77

Mostrar todo

VarianzaADBE = Σ(RADBE,tRADBE)2 ÷ (71 – 1)
= 5,232.62 ÷ (71 – 1)
= 74.75

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,688.51 ÷ (71 – 1)
= 24.12

CovarianzaADBE, S&P 500 = Σ(RADBE,tRADBE)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 2,124.77 ÷ (71 – 1)
= 30.35


Estimación sistemática del riesgo (β)

Microsoft Excel
VarianzaADBE 74.75
VarianzaS&P 500 24.12
CovarianzaADBE, S&P 500 30.35
Coeficiente de correlaciónADBE, S&P 5001 0.71
βADBE2 1.26
αADBE3 0.88%

Cálculos

1 Coeficiente de correlaciónADBE, S&P 500
= CovarianzaADBE, S&P 500 ÷ (Desviación estándarADBE × Desviación estándarS&P 500)
= 30.35 ÷ (8.65% × 4.91%)
= 0.71

2 βADBE
= CovarianzaADBE, S&P 500 ÷ VarianzaS&P 500
= 30.35 ÷ 24.12
= 1.26

3 αADBE
= PromedioADBE – βADBE × PromedioS&P 500
= 2.10%1.26 × 0.97%
= 0.88%


Tasa de rendimiento esperada

Microsoft Excel
Suposiciones
Tasa de rendimiento de LT Treasury Composite1 RF 4.37%
Tasa de rendimiento esperada en la cartera de mercado2 E(RM) 13.31%
Riesgo sistemático de Adobe acciones ordinarias βADBE 1.26
 
Tasa de rendimiento esperada de las acciones ordinarias de Adobe3 E(RADBE) 15.61%

1 Promedio no ponderado de los rendimientos de las ofertas de todos los bonos del Tesoro de los Estados Unidos de cupón fijo en circulación que no vencen ni se pueden exigir en menos de 10 años (proxy de tasa de rendimiento libre de riesgo).

2 Ver detalles »

3 E(RADBE) = RF + βADBE [E(RM) – RF]
= 4.37% + 1.26 [13.31%4.37%]
= 15.61%