Stock Analysis on Net

Advanced Micro Devices Inc. (NASDAQ:AMD)

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

Microsoft Excel LibreOffice Calc

Tasas de retorno

Advanced Micro Devices Inc., tasas de rendimiento mensuales

Microsoft Excel LibreOffice Calc
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. 2017 $10.37 2,278.87
1. 28 feb. 2017 $14.46 39.44% 2,363.64 3.72%
2. 31 mar. 2017 $14.55 0.62% 2,362.72 -0.04%
3. 30 abr. 2017 $13.30 -8.59% 2,384.20 0.91%
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2021 $158.37 31.72% 4,567.00 -0.83%
59. 31 dic. 2021 $143.90 -9.14% 4,766.18 4.36%
Promedio (R): 5.78% 1.36%
Desviación estándar: 16.10% 4.48%
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. 2017 $10.37 2,278.87
1. 28 feb. 2017 $14.46 39.44% 2,363.64 3.72%
2. 31 mar. 2017 $14.55 0.62% 2,362.72 -0.04%
3. 30 abr. 2017 $13.30 -8.59% 2,384.20 0.91%
4. 31 may. 2017 $11.19 -15.86% 2,411.80 1.16%
5. 30 jun. 2017 $12.48 11.53% 2,423.41 0.48%
6. 31 jul. 2017 $13.61 9.05% 2,470.30 1.93%
7. 31 ago. 2017 $13.00 -4.48% 2,471.65 0.05%
8. 30 sept. 2017 $12.75 -1.92% 2,519.36 1.93%
9. 31 oct. 2017 $10.99 -13.80% 2,575.26 2.22%
10. 30 nov. 2017 $10.89 -0.91% 2,647.58 2.81%
11. 31 dic. 2017 $10.28 -5.60% 2,673.61 0.98%
12. 31 ene. 2018 $13.74 33.66% 2,823.81 5.62%
13. 28 feb. 2018 $12.11 -11.86% 2,713.83 -3.89%
14. 31 mar. 2018 $10.05 -17.01% 2,640.87 -2.69%
15. 30 abr. 2018 $10.88 8.26% 2,648.05 0.27%
16. 31 may. 2018 $13.73 26.19% 2,705.27 2.16%
17. 30 jun. 2018 $14.99 9.18% 2,718.37 0.48%
18. 31 jul. 2018 $18.33 22.28% 2,816.29 3.60%
19. 31 ago. 2018 $25.17 37.32% 2,901.52 3.03%
20. 30 sept. 2018 $30.89 22.73% 2,913.98 0.43%
21. 31 oct. 2018 $18.21 -41.05% 2,711.74 -6.94%
22. 30 nov. 2018 $21.30 16.97% 2,760.17 1.79%
23. 31 dic. 2018 $18.46 -13.33% 2,506.85 -9.18%
24. 31 ene. 2019 $24.41 32.23% 2,704.10 7.87%
25. 28 feb. 2019 $23.53 -3.61% 2,784.49 2.97%
26. 31 mar. 2019 $25.52 8.46% 2,834.40 1.79%
27. 30 abr. 2019 $27.63 8.27% 2,945.83 3.93%
28. 31 may. 2019 $27.41 -0.80% 2,752.06 -6.58%
29. 30 jun. 2019 $30.37 10.80% 2,941.76 6.89%
30. 31 jul. 2019 $30.45 0.26% 2,980.38 1.31%
31. 31 ago. 2019 $31.45 3.28% 2,926.46 -1.81%
32. 30 sept. 2019 $28.99 -7.82% 2,976.74 1.72%
33. 31 oct. 2019 $33.93 17.04% 3,037.56 2.04%
34. 30 nov. 2019 $39.15 15.38% 3,140.98 3.40%
35. 31 dic. 2019 $45.86 17.14% 3,230.78 2.86%
36. 31 ene. 2020 $47.00 2.49% 3,225.52 -0.16%
37. 29 feb. 2020 $45.48 -3.23% 2,954.22 -8.41%
38. 31 mar. 2020 $45.48 0.00% 2,584.59 -12.51%
39. 30 abr. 2020 $52.39 15.19% 2,912.43 12.68%
40. 31 may. 2020 $53.80 2.69% 3,044.31 4.53%
41. 30 jun. 2020 $52.61 -2.21% 3,100.29 1.84%
42. 31 jul. 2020 $77.43 47.18% 3,271.12 5.51%
43. 31 ago. 2020 $90.82 17.29% 3,500.31 7.01%
44. 30 sept. 2020 $81.99 -9.72% 3,363.00 -3.92%
45. 31 oct. 2020 $75.29 -8.17% 3,269.96 -2.77%
46. 30 nov. 2020 $92.66 23.07% 3,621.63 10.75%
47. 31 dic. 2020 $91.71 -1.03% 3,756.07 3.71%
48. 31 ene. 2021 $85.64 -6.62% 3,714.24 -1.11%
49. 28 feb. 2021 $84.51 -1.32% 3,811.15 2.61%
50. 31 mar. 2021 $78.50 -7.11% 3,972.89 4.24%
51. 30 abr. 2021 $81.62 3.97% 4,181.17 5.24%
52. 31 may. 2021 $80.08 -1.89% 4,204.11 0.55%
53. 30 jun. 2021 $93.93 17.30% 4,297.50 2.22%
54. 31 jul. 2021 $106.19 13.05% 4,395.26 2.27%
55. 31 ago. 2021 $110.72 4.27% 4,522.68 2.90%
56. 30 sept. 2021 $102.90 -7.06% 4,307.54 -4.76%
57. 31 oct. 2021 $120.23 16.84% 4,605.38 6.91%
58. 30 nov. 2021 $158.37 31.72% 4,567.00 -0.83%
59. 31 dic. 2021 $143.90 -9.14% 4,766.18 4.36%
Promedio (R): 5.78% 1.36%
Desviación estándar: 16.10% 4.48%

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1 Datos en US$ por acción de acciones ordinarias, ajustados por escisiones 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 varianza y covarianza de rendimientos

Microsoft Excel LibreOffice Calc
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. 2017 39.44% 3.72% 1,133.07 5.58 79.50
2. 31 mar. 2017 0.62% -0.04% 26.60 1.95 7.20
3. 30 abr. 2017 -8.59% 0.91% 206.52 0.20 6.45
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2021 31.72% -0.83% 673.03 4.80 -56.85
59. 31 dic. 2021 -9.14% 4.36% 222.50 9.02 -44.80
Total (Σ): 15,037.00 1,164.17 2,181.72
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. 2017 39.44% 3.72% 1,133.07 5.58 79.50
2. 31 mar. 2017 0.62% -0.04% 26.60 1.95 7.20
3. 30 abr. 2017 -8.59% 0.91% 206.52 0.20 6.45
4. 31 may. 2017 -15.86% 1.16% 468.48 0.04 4.33
5. 30 jun. 2017 11.53% 0.48% 33.05 0.77 -5.04
6. 31 jul. 2017 9.05% 1.93% 10.72 0.33 1.89
7. 31 ago. 2017 -4.48% 0.05% 105.30 1.70 13.37
8. 30 sept. 2017 -1.92% 1.93% 59.33 0.33 -4.41
9. 31 oct. 2017 -13.80% 2.22% 383.52 0.74 -16.86
10. 30 nov. 2017 -0.91% 2.81% 44.75 2.10 -9.70
11. 31 dic. 2017 -5.60% 0.98% 129.53 0.14 4.26
12. 31 ene. 2018 33.66% 5.62% 777.18 18.15 118.76
13. 28 feb. 2018 -11.86% -3.89% 311.27 27.59 92.67
14. 31 mar. 2018 -17.01% -2.69% 519.40 16.37 92.22
15. 30 abr. 2018 8.26% 0.27% 6.15 1.18 -2.69
16. 31 may. 2018 26.19% 2.16% 416.78 0.64 16.39
17. 30 jun. 2018 9.18% 0.48% 11.54 0.76 -2.97
18. 31 jul. 2018 22.28% 3.60% 272.31 5.04 37.03
19. 31 ago. 2018 37.32% 3.03% 994.53 2.78 52.62
20. 30 sept. 2018 22.73% 0.43% 287.16 0.86 -15.73
21. 31 oct. 2018 -41.05% -6.94% 2,192.91 68.86 388.59
22. 30 nov. 2018 16.97% 1.79% 125.19 0.18 4.79
23. 31 dic. 2018 -13.33% -9.18% 365.31 111.00 201.37
24. 31 ene. 2019 32.23% 7.87% 699.72 42.39 172.22
25. 28 feb. 2019 -3.61% 2.97% 88.07 2.61 -15.16
26. 31 mar. 2019 8.46% 1.79% 7.17 0.19 1.16
27. 30 abr. 2019 8.27% 3.93% 6.19 6.62 6.40
28. 31 may. 2019 -0.80% -6.58% 43.24 62.97 52.18
29. 30 jun. 2019 10.80% 6.89% 25.19 30.64 27.78
30. 31 jul. 2019 0.26% 1.31% 30.43 0.00 0.25
31. 31 ago. 2019 3.28% -1.81% 6.23 10.03 7.90
32. 30 sept. 2019 -7.82% 1.72% 185.00 0.13 -4.90
33. 31 oct. 2019 17.04% 2.04% 126.80 0.47 7.72
34. 30 nov. 2019 15.38% 3.40% 92.26 4.19 19.66
35. 31 dic. 2019 17.14% 2.86% 129.04 2.25 17.05
36. 31 ene. 2020 2.49% -0.16% 10.85 2.31 5.01
37. 29 feb. 2020 -3.23% -8.41% 81.25 95.43 88.05
38. 31 mar. 2020 0.00% -12.51% 33.40 192.37 80.16
39. 30 abr. 2020 15.19% 12.68% 88.62 128.29 106.63
40. 31 may. 2020 2.69% 4.53% 9.54 10.05 -9.79
41. 30 jun. 2020 -2.21% 1.84% 63.86 0.23 -3.84
42. 31 jul. 2020 47.18% 5.51% 1,713.77 17.24 171.89
43. 31 ago. 2020 17.29% 7.01% 132.56 31.91 65.03
44. 30 sept. 2020 -9.72% -3.92% 240.32 27.89 81.86
45. 31 oct. 2020 -8.17% -2.77% 194.64 17.01 57.54
46. 30 nov. 2020 23.07% 10.75% 298.98 88.30 162.48
47. 31 dic. 2020 -1.03% 3.71% 46.31 5.54 -16.02
48. 31 ene. 2021 -6.62% -1.11% 153.72 6.11 30.64
49. 28 feb. 2021 -1.32% 2.61% 50.40 1.57 -8.88
50. 31 mar. 2021 -7.11% 4.24% 166.18 8.33 -37.20
51. 30 abr. 2021 3.97% 5.24% 3.26 15.09 -7.01
52. 31 may. 2021 -1.89% 0.55% 58.77 0.65 6.20
53. 30 jun. 2021 17.30% 2.22% 132.61 0.75 9.94
54. 31 jul. 2021 13.05% 2.27% 52.89 0.84 6.67
55. 31 ago. 2021 4.27% 2.90% 2.29 2.38 -2.33
56. 30 sept. 2021 -7.06% -4.76% 164.93 37.39 78.53
57. 31 oct. 2021 16.84% 6.91% 122.37 30.87 61.47
58. 30 nov. 2021 31.72% -0.83% 673.03 4.80 -56.85
59. 31 dic. 2021 -9.14% 4.36% 222.50 9.02 -44.80
Total (Σ): 15,037.00 1,164.17 2,181.72

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VarianzaAMD = Σ(RAMD,tRAMD)2 ÷ (59 – 1)
= 15,037.00 ÷ (59 – 1)
= 259.26

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,164.17 ÷ (59 – 1)
= 20.07

CovarianzaAMD, S&P 500 = Σ(RAMD,tRAMD)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 2,181.72 ÷ (59 – 1)
= 37.62


Estimación sistemática del riesgo (β)

Microsoft Excel LibreOffice Calc
VarianzaAMD 259.26
VarianzaS&P 500 20.07
CovarianzaAMD, S&P 500 37.62
Coeficiente de correlaciónAMD, S&P 5001 0.52
βAMD2 1.87
αAMD3 3.23%

Cálculos

1 Coeficiente de correlaciónAMD, S&P 500
= CovarianzaAMD, S&P 500 ÷ (Desviación estándarAMD × Desviación estándarS&P 500)
= 37.62 ÷ (16.10% × 4.48%)
= 0.52

2 βAMD
= CovarianzaAMD, S&P 500 ÷ VarianzaS&P 500
= 37.62 ÷ 20.07
= 1.87

3 αAMD
= PromedioAMD – βAMD × PromedioS&P 500
= 5.78%1.87 × 1.36%
= 3.23%


Tasa de rendimiento esperada

Microsoft Excel LibreOffice Calc
Suposiciones
Tasa de rendimiento de LT Treasury Composite1 RF 3.26%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 13.05%
Riesgo sistemático de acciones ordinarias AMD βAMD 1.87
 
Tasa de rendimiento esperada de las acciones ordinarias de AMD3 E(RAMD) 21.61%

1 Promedio no ponderado de los rendimientos de las ofertas en todos los bonos del Tesoro de los Estados Unidos con cupón fijo pendientes, ni vencidos ni exigibles en menos de 10 años (proxy de tasa de rendimiento libre de riesgo).

2 Ver detalles »

3 E(RAMD) = RF + βAMD [E(RM) – RF]
= 3.26% + 1.87 [13.05%3.26%]
= 21.61%