Stock Analysis on Net

Advanced Micro Devices Inc. (NASDAQ:AMD) 

Modelo de fijación de precios de activos de capital (CAPM)

Microsoft Excel

Tasas de retorno

Advanced Micro Devices Inc., tasas mensuales de retorno

Microsoft Excel
Advanced Micro Devices Inc. (AMD) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioAMD,t1 DividendoAMD,t1 RAMD,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2019 $24.41 2,704.10
1. 28 feb. 2019 $23.53 -3.61% 2,784.49 2.97%
2. 31 mar. 2019 $25.52 8.46% 2,834.40 1.79%
3. 30 abr. 2019 $27.63 8.27% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2023 $121.16 23.01% 4,567.80 8.92%
59. 31 dic. 2023 $147.41 21.67% 4,769.83 4.42%
Promedio (R): 4.16% 1.11%
Desviación estándar: 15.13% 5.31%
Advanced Micro Devices Inc. (AMD) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioAMD,t1 DividendoAMD,t1 RAMD,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2019 $24.41 2,704.10
1. 28 feb. 2019 $23.53 -3.61% 2,784.49 2.97%
2. 31 mar. 2019 $25.52 8.46% 2,834.40 1.79%
3. 30 abr. 2019 $27.63 8.27% 2,945.83 3.93%
4. 31 may. 2019 $27.41 -0.80% 2,752.06 -6.58%
5. 30 jun. 2019 $30.37 10.80% 2,941.76 6.89%
6. 31 jul. 2019 $30.45 0.26% 2,980.38 1.31%
7. 31 ago. 2019 $31.45 3.28% 2,926.46 -1.81%
8. 30 sept. 2019 $28.99 -7.82% 2,976.74 1.72%
9. 31 oct. 2019 $33.93 17.04% 3,037.56 2.04%
10. 30 nov. 2019 $39.15 15.38% 3,140.98 3.40%
11. 31 dic. 2019 $45.86 17.14% 3,230.78 2.86%
12. 31 ene. 2020 $47.00 2.49% 3,225.52 -0.16%
13. 29 feb. 2020 $45.48 -3.23% 2,954.22 -8.41%
14. 31 mar. 2020 $45.48 0.00% 2,584.59 -12.51%
15. 30 abr. 2020 $52.39 15.19% 2,912.43 12.68%
16. 31 may. 2020 $53.80 2.69% 3,044.31 4.53%
17. 30 jun. 2020 $52.61 -2.21% 3,100.29 1.84%
18. 31 jul. 2020 $77.43 47.18% 3,271.12 5.51%
19. 31 ago. 2020 $90.82 17.29% 3,500.31 7.01%
20. 30 sept. 2020 $81.99 -9.72% 3,363.00 -3.92%
21. 31 oct. 2020 $75.29 -8.17% 3,269.96 -2.77%
22. 30 nov. 2020 $92.66 23.07% 3,621.63 10.75%
23. 31 dic. 2020 $91.71 -1.03% 3,756.07 3.71%
24. 31 ene. 2021 $85.64 -6.62% 3,714.24 -1.11%
25. 28 feb. 2021 $84.51 -1.32% 3,811.15 2.61%
26. 31 mar. 2021 $78.50 -7.11% 3,972.89 4.24%
27. 30 abr. 2021 $81.62 3.97% 4,181.17 5.24%
28. 31 may. 2021 $80.08 -1.89% 4,204.11 0.55%
29. 30 jun. 2021 $93.93 17.30% 4,297.50 2.22%
30. 31 jul. 2021 $106.19 13.05% 4,395.26 2.27%
31. 31 ago. 2021 $110.72 4.27% 4,522.68 2.90%
32. 30 sept. 2021 $102.90 -7.06% 4,307.54 -4.76%
33. 31 oct. 2021 $120.23 16.84% 4,605.38 6.91%
34. 30 nov. 2021 $158.37 31.72% 4,567.00 -0.83%
35. 31 dic. 2021 $143.90 -9.14% 4,766.18 4.36%
36. 31 ene. 2022 $114.25 -20.60% 4,515.55 -5.26%
37. 28 feb. 2022 $123.34 7.96% 4,373.94 -3.14%
38. 31 mar. 2022 $109.34 -11.35% 4,530.41 3.58%
39. 30 abr. 2022 $85.52 -21.79% 4,131.93 -8.80%
40. 31 may. 2022 $101.86 19.11% 4,132.15 0.01%
41. 30 jun. 2022 $76.47 -24.93% 3,785.38 -8.39%
42. 31 jul. 2022 $94.47 23.54% 4,130.29 9.11%
43. 31 ago. 2022 $84.87 -10.16% 3,955.00 -4.24%
44. 30 sept. 2022 $63.36 -25.34% 3,585.62 -9.34%
45. 31 oct. 2022 $60.06 -5.21% 3,871.98 7.99%
46. 30 nov. 2022 $77.63 29.25% 4,080.11 5.38%
47. 31 dic. 2022 $64.77 -16.57% 3,839.50 -5.90%
48. 31 ene. 2023 $75.15 16.03% 4,076.60 6.18%
49. 28 feb. 2023 $78.58 4.56% 3,970.15 -2.61%
50. 31 mar. 2023 $98.01 24.73% 4,109.31 3.51%
51. 30 abr. 2023 $89.37 -8.82% 4,169.48 1.46%
52. 31 may. 2023 $118.21 32.27% 4,179.83 0.25%
53. 30 jun. 2023 $113.91 -3.64% 4,376.86 4.71%
54. 31 jul. 2023 $114.40 0.43% 4,588.96 4.85%
55. 31 ago. 2023 $105.72 -7.59% 4,507.66 -1.77%
56. 30 sept. 2023 $102.82 -2.74% 4,288.05 -4.87%
57. 31 oct. 2023 $98.50 -4.20% 4,193.80 -2.20%
58. 30 nov. 2023 $121.16 23.01% 4,567.80 8.92%
59. 31 dic. 2023 $147.41 21.67% 4,769.83 4.42%
Promedio (R): 4.16% 1.11%
Desviación estándar: 15.13% 5.31%

Mostrar todo

1 Datos en dólares estadounidenses por acción ordinaria, ajustados por divisiones y dividendos de acciones.

2 Tasa de rendimiento de las acciones ordinarias de AMD 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

Advanced Micro Devices Inc., cálculo de la varianza y covarianza de los rendimientos

Microsoft Excel
t Fecha RAMD,t RS&P 500,t (RAMD,tRAMD)2 (RS&P 500,tRS&P 500)2 (RAMD,tRAMD)×(RS&P 500,tRS&P 500)
1. 28 feb. 2019 -3.61% 2.97% 60.33 3.49 -14.50
2. 31 mar. 2019 8.46% 1.79% 18.45 0.47 2.95
3. 30 abr. 2019 8.27% 3.93% 16.86 7.98 11.60
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2023 23.01% 8.92% 355.04 61.03 147.20
59. 31 dic. 2023 21.67% 4.42% 306.36 11.00 58.06
Total (Σ): 13,283.86 1,634.30 2,675.93
t Fecha RAMD,t RS&P 500,t (RAMD,tRAMD)2 (RS&P 500,tRS&P 500)2 (RAMD,tRAMD)×(RS&P 500,tRS&P 500)
1. 28 feb. 2019 -3.61% 2.97% 60.33 3.49 -14.50
2. 31 mar. 2019 8.46% 1.79% 18.45 0.47 2.95
3. 30 abr. 2019 8.27% 3.93% 16.86 7.98 11.60
4. 31 may. 2019 -0.80% -6.58% 24.59 59.04 38.10
5. 30 jun. 2019 10.80% 6.89% 44.04 33.49 38.41
6. 31 jul. 2019 0.26% 1.31% 15.20 0.04 -0.81
7. 31 ago. 2019 3.28% -1.81% 0.77 8.50 2.56
8. 30 sept. 2019 -7.82% 1.72% 143.63 0.37 -7.34
9. 31 oct. 2019 17.04% 2.04% 165.84 0.88 12.07
10. 30 nov. 2019 15.38% 3.40% 125.94 5.28 25.80
11. 31 dic. 2019 17.14% 2.86% 168.40 3.07 22.75
12. 31 ene. 2020 2.49% -0.16% 2.81 1.61 2.13
13. 29 feb. 2020 -3.23% -8.41% 54.71 90.57 70.39
14. 31 mar. 2020 0.00% -12.51% 17.33 185.44 56.68
15. 30 abr. 2020 15.19% 12.68% 121.68 134.06 127.72
16. 31 may. 2020 2.69% 4.53% 2.16 11.71 -5.03
17. 30 jun. 2020 -2.21% 1.84% 40.63 0.54 -4.67
18. 31 jul. 2020 47.18% 5.51% 1,850.28 19.40 189.45
19. 31 ago. 2020 17.29% 7.01% 172.41 34.82 77.48
20. 30 sept. 2020 -9.72% -3.92% 192.79 25.29 69.82
21. 31 oct. 2020 -8.17% -2.77% 152.13 15.00 47.76
22. 30 nov. 2020 23.07% 10.75% 357.52 93.10 182.44
23. 31 dic. 2020 -1.03% 3.71% 26.91 6.79 -13.52
24. 31 ene. 2021 -6.62% -1.11% 116.23 4.93 23.93
25. 28 feb. 2021 -1.32% 2.61% 30.05 2.26 -8.24
26. 31 mar. 2021 -7.11% 4.24% 127.10 9.85 -35.38
27. 30 abr. 2021 3.97% 5.24% 0.04 17.11 -0.78
28. 31 may. 2021 -1.89% 0.55% 36.59 0.31 3.37
29. 30 jun. 2021 17.30% 2.22% 172.47 1.24 14.65
30. 31 jul. 2021 13.05% 2.27% 79.03 1.37 10.39
31. 31 ago. 2021 4.27% 2.90% 0.01 3.22 0.19
32. 30 sept. 2021 -7.06% -4.76% 126.01 34.37 65.81
33. 31 oct. 2021 16.84% 6.91% 160.76 33.74 73.65
34. 30 nov. 2021 31.72% -0.83% 759.56 3.76 -53.45
35. 31 dic. 2021 -9.14% 4.36% 176.87 10.60 -43.30
36. 31 ene. 2022 -20.60% -5.26% 613.41 40.51 157.63
37. 28 feb. 2022 7.96% -3.14% 14.39 17.99 -16.09
38. 31 mar. 2022 -11.35% 3.58% 240.66 6.11 -38.34
39. 30 abr. 2022 -21.79% -8.80% 673.28 98.04 256.92
40. 31 may. 2022 19.11% 0.01% 223.33 1.21 -16.45
41. 30 jun. 2022 -24.93% -8.39% 846.16 90.21 276.28
42. 31 jul. 2022 23.54% 9.11% 375.44 64.09 155.12
43. 31 ago. 2022 -10.16% -4.24% 205.19 28.62 76.63
44. 30 sept. 2022 -25.34% -9.34% 870.67 109.11 308.21
45. 31 oct. 2022 -5.21% 7.99% 87.81 47.34 -64.48
46. 30 nov. 2022 29.25% 5.38% 629.59 18.23 107.13
47. 31 dic. 2022 -16.57% -5.90% 429.66 49.04 145.16
48. 31 ene. 2023 16.03% 6.18% 140.74 25.70 60.14
49. 28 feb. 2023 4.56% -2.61% 0.16 13.82 -1.49
50. 31 mar. 2023 24.73% 3.51% 422.88 5.76 49.34
51. 30 abr. 2023 -8.82% 1.46% 168.43 0.13 -4.65
52. 31 may. 2023 32.27% 0.25% 790.05 0.74 -24.11
53. 30 jun. 2023 -3.64% 4.71% 60.84 13.02 -28.14
54. 31 jul. 2023 0.43% 4.85% 13.93 13.99 -13.96
55. 31 ago. 2023 -7.59% -1.77% 138.06 8.28 33.81
56. 30 sept. 2023 -2.74% -4.87% 47.69 35.73 41.28
57. 31 oct. 2023 -4.20% -2.20% 69.96 10.92 27.63
58. 30 nov. 2023 23.01% 8.92% 355.04 61.03 147.20
59. 31 dic. 2023 21.67% 4.42% 306.36 11.00 58.06
Total (Σ): 13,283.86 1,634.30 2,675.93

Mostrar todo

VarianzaAMD = Σ(RAMD,tRAMD)2 ÷ (59 – 1)
= 13,283.86 ÷ (59 – 1)
= 229.03

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18

CovarianzaAMD, S&P 500 = Σ(RAMD,tRAMD)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 2,675.93 ÷ (59 – 1)
= 46.14


Estimación sistemática del riesgo (β)

Microsoft Excel
VarianzaAMD 229.03
VarianzaS&P 500 28.18
CovarianzaAMD, S&P 500 46.14
Coeficiente de correlaciónAMD, S&P 5001 0.57
βAMD2 1.64
αAMD3 2.35%

Cálculos

1 Coeficiente de correlaciónAMD, S&P 500
= CovarianzaAMD, S&P 500 ÷ (Desviación estándarAMD × Desviación estándarS&P 500)
= 46.14 ÷ (15.13% × 5.31%)
= 0.57

2 βAMD
= CovarianzaAMD, S&P 500 ÷ VarianzaS&P 500
= 46.14 ÷ 28.18
= 1.64

3 αAMD
= PromedioAMD – βAMD × PromedioS&P 500
= 4.16%1.64 × 1.11%
= 2.35%


Tasa de rendimiento esperada

Microsoft Excel
Suposiciones
Tasa de rendimiento del LT Treasury Composite1 RF 4.53%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 13.63%
Riesgo sistemático de AMD acciones ordinarias βAMD 1.64
 
Tasa de rendimiento esperada de las acciones ordinarias de AMD3 E(RAMD) 19.43%

1 Promedio no ponderado de los rendimientos de las ofertas de todos los bonos del Tesoro de EE. UU. con cupón fijo en circulación que no vencen ni son rescatables en menos de 10 años (proxy de tasa de rendimiento libre de riesgo).

2 Ver detalles »

3 E(RAMD) = RF + βAMD [E(RM) – RF]
= 4.53% + 1.64 [13.63%4.53%]
= 19.43%