Stock Analysis on Net

Alphabet Inc. (NASDAQ:GOOG)

Modelo de valoración de activos de capital (CAPM)

Microsoft Excel LibreOffice Calc

El modelo de fijación de precios de activos de capital (CAPM) indica cuál debería ser la tasa de rendimiento esperada o requerida de activos de riesgo como las acciones ordinarias de Alphabet.


Las tasas de rendimiento

Alphabet Inc., tasas de rendimiento mensuales

Microsoft Excel LibreOffice Calc
Alphabet Inc. (GOOG) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioGOOG,t1 DividendoGOOG,t1 RGOOG,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2016 $742.95 1,940.24
1. 29 feb. 2016 $697.77 -6.08% 1,932.23 -0.41%
2. 31 mar. 2016 $744.95 6.76% 2,059.74 6.60%
3. 30 abr. 2016 $693.01 -6.97% 2,065.30 0.27%
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2020 $1,760.74 8.62% 3,621.63 10.75%
59. 31 dic. 2020 $1,751.88 -0.50% 3,756.07 3.71%
Promedio (R): 1.65% 1.22%
Desviación típica: 6.18% 4.36%

Fuente: Alphabet Inc. (NASDAQ:GOOG) | CAPM (www.stock-analysis-on.net)

Alphabet Inc. (GOOG) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioGOOG,t1 DividendoGOOG,t1 RGOOG,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2016 $742.95 1,940.24
1. 29 feb. 2016 $697.77 -6.08% 1,932.23 -0.41%
2. 31 mar. 2016 $744.95 6.76% 2,059.74 6.60%
3. 30 abr. 2016 $693.01 -6.97% 2,065.30 0.27%
4. 31 may. 2016 $735.72 6.16% 2,096.95 1.53%
5. 30 jun. 2016 $692.10 -5.93% 2,098.86 0.09%
6. 31 jul. 2016 $768.79 11.08% 2,173.60 3.56%
7. 31 ago. 2016 $767.05 -0.23% 2,170.95 -0.12%
8. 30 sept. 2016 $777.29 1.33% 2,168.27 -0.12%
9. 31 oct. 2016 $784.54 0.93% 2,126.15 -1.94%
10. 30 nov. 2016 $758.04 -3.38% 2,198.81 3.42%
11. 31 dic. 2016 $771.82 1.82% 2,238.83 1.82%
12. 31 ene. 2017 $796.79 3.24% 2,278.87 1.79%
13. 28 feb. 2017 $823.21 3.32% 2,363.64 3.72%
14. 31 mar. 2017 $829.56 0.77% 2,362.72 -0.04%
15. 30 abr. 2017 $905.96 9.21% 2,384.20 0.91%
16. 31 may. 2017 $964.86 6.50% 2,411.80 1.16%
17. 30 jun. 2017 $908.73 -5.82% 2,423.41 0.48%
18. 31 jul. 2017 $930.50 2.40% 2,470.30 1.93%
19. 31 ago. 2017 $939.33 0.95% 2,471.65 0.05%
20. 30 sept. 2017 $959.11 2.11% 2,519.36 1.93%
21. 31 oct. 2017 $1,016.64 6.00% 2,575.26 2.22%
22. 30 nov. 2017 $1,021.41 0.47% 2,647.58 2.81%
23. 31 dic. 2017 $1,046.40 2.45% 2,673.61 0.98%
24. 31 ene. 2018 $1,169.94 11.81% 2,823.81 5.62%
25. 28 feb. 2018 $1,104.73 -5.57% 2,713.83 -3.89%
26. 31 mar. 2018 $1,031.79 -6.60% 2,640.87 -2.69%
27. 30 abr. 2018 $1,017.33 -1.40% 2,648.05 0.27%
28. 31 may. 2018 $1,084.99 6.65% 2,705.27 2.16%
29. 30 jun. 2018 $1,115.65 2.83% 2,718.37 0.48%
30. 31 jul. 2018 $1,217.26 9.11% 2,816.29 3.60%
31. 31 ago. 2018 $1,218.19 0.08% 2,901.52 3.03%
32. 30 sept. 2018 $1,193.47 -2.03% 2,913.98 0.43%
33. 31 oct. 2018 $1,076.77 -9.78% 2,711.74 -6.94%
34. 30 nov. 2018 $1,094.43 1.64% 2,760.17 1.79%
35. 31 dic. 2018 $1,035.61 -5.37% 2,506.85 -9.18%
36. 31 ene. 2019 $1,116.37 7.80% 2,704.10 7.87%
37. 28 feb. 2019 $1,119.92 0.32% 2,784.49 2.97%
38. 31 mar. 2019 $1,173.31 4.77% 2,834.40 1.79%
39. 30 abr. 2019 $1,188.48 1.29% 2,945.83 3.93%
40. 31 may. 2019 $1,103.63 -7.14% 2,752.06 -6.58%
41. 30 jun. 2019 $1,080.91 -2.06% 2,941.76 6.89%
42. 31 jul. 2019 $1,216.68 12.56% 2,980.38 1.31%
43. 31 ago. 2019 $1,188.10 -2.35% 2,926.46 -1.81%
44. 30 sept. 2019 $1,219.00 2.60% 2,976.74 1.72%
45. 31 oct. 2019 $1,260.11 3.37% 3,037.56 2.04%
46. 30 nov. 2019 $1,304.96 3.56% 3,140.98 3.40%
47. 31 dic. 2019 $1,337.02 2.46% 3,230.78 2.86%
48. 31 ene. 2020 $1,434.23 7.27% 3,225.52 -0.16%
49. 29 feb. 2020 $1,339.33 -6.62% 2,954.22 -8.41%
50. 31 mar. 2020 $1,162.81 -13.18% 2,584.59 -12.51%
51. 30 abr. 2020 $1,348.66 15.98% 2,912.43 12.68%
52. 31 may. 2020 $1,428.92 5.95% 3,044.31 4.53%
53. 30 jun. 2020 $1,413.61 -1.07% 3,100.29 1.84%
54. 31 jul. 2020 $1,482.96 4.91% 3,271.12 5.51%
55. 31 ago. 2020 $1,634.18 10.20% 3,500.31 7.01%
56. 30 sept. 2020 $1,469.60 -10.07% 3,363.00 -3.92%
57. 31 oct. 2020 $1,621.01 10.30% 3,269.96 -2.77%
58. 30 nov. 2020 $1,760.74 8.62% 3,621.63 10.75%
59. 31 dic. 2020 $1,751.88 -0.50% 3,756.07 3.71%
Promedio (R): 1.65% 1.22%
Desviación típica: 6.18% 4.36%

Fuente: Alphabet Inc. (NASDAQ:GOOG) | CAPM (www.stock-analysis-on.net)

Mostrar todo

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

2 Tasa de rendimiento de las acciones ordinarias de GOOG 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

Alphabet Inc., cálculo de varianza y covarianza de retornos

Microsoft Excel LibreOffice Calc
t Fecha RGOOG,t RS&P 500,t (RGOOG,tRGOOG)2 (RS&P 500,tRS&P 500)2 (RGOOG,tRGOOG)×(RS&P 500,tRS&P 500)
1. 29 feb. 2016 -6.08% -0.41% 59.78 2.67 12.63
2. 31 mar. 2016 6.76% 6.60% 26.12 28.93 27.49
3. 30 abr. 2016 -6.97% 0.27% 74.36 0.90 8.19
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2020 8.62% 10.75% 48.57 90.91 66.45
59. 31 dic. 2020 -0.50% 3.71% 4.64 6.21 -5.37
Total (Σ): 2,215.79 1,103.45 1,102.34
t Fecha RGOOG,t RS&P 500,t (RGOOG,tRGOOG)2 (RS&P 500,tRS&P 500)2 (RGOOG,tRGOOG)×(RS&P 500,tRS&P 500)
1. 29 feb. 2016 -6.08% -0.41% 59.78 2.67 12.63
2. 31 mar. 2016 6.76% 6.60% 26.12 28.93 27.49
3. 30 abr. 2016 -6.97% 0.27% 74.36 0.90 8.19
4. 31 may. 2016 6.16% 1.53% 20.36 0.10 1.41
5. 30 jun. 2016 -5.93% 0.09% 57.45 1.27 8.56
6. 31 jul. 2016 11.08% 3.56% 88.92 5.48 22.07
7. 31 ago. 2016 -0.23% -0.12% 3.52 1.80 2.52
8. 30 sept. 2016 1.33% -0.12% 0.10 1.81 0.42
9. 31 oct. 2016 0.93% -1.94% 0.52 10.00 2.27
10. 30 nov. 2016 -3.38% 3.42% 25.29 4.83 -11.05
11. 31 dic. 2016 1.82% 1.82% 0.03 0.36 0.10
12. 31 ene. 2017 3.24% 1.79% 2.51 0.32 0.90
13. 28 feb. 2017 3.32% 3.72% 2.77 6.25 4.16
14. 31 mar. 2017 0.77% -0.04% 0.77 1.59 1.11
15. 30 abr. 2017 9.21% 0.91% 57.14 0.10 -2.35
16. 31 may. 2017 6.50% 1.16% 23.53 0.00 -0.30
17. 30 jun. 2017 -5.82% 0.48% 55.78 0.55 5.52
18. 31 jul. 2017 2.40% 1.93% 0.55 0.51 0.53
19. 31 ago. 2017 0.95% 0.05% 0.49 1.36 0.82
20. 30 sept. 2017 2.11% 1.93% 0.21 0.50 0.32
21. 31 oct. 2017 6.00% 2.22% 18.90 1.00 4.34
22. 30 nov. 2017 0.47% 2.81% 1.40 2.52 -1.88
23. 31 dic. 2017 2.45% 0.98% 0.63 0.06 -0.19
24. 31 ene. 2018 11.81% 5.62% 103.13 19.34 44.66
25. 28 feb. 2018 -5.57% -3.89% 52.20 26.16 36.95
26. 31 mar. 2018 -6.60% -2.69% 68.12 15.28 32.26
27. 30 abr. 2018 -1.40% 0.27% 9.32 0.90 2.89
28. 31 may. 2018 6.65% 2.16% 25.00 0.89 4.70
29. 30 jun. 2018 2.83% 0.48% 1.38 0.54 -0.86
30. 31 jul. 2018 9.11% 3.60% 55.60 5.67 17.76
31. 31 ago. 2018 0.08% 3.03% 2.48 3.26 -2.84
32. 30 sept. 2018 -2.03% 0.43% 13.54 0.63 2.91
33. 31 oct. 2018 -9.78% -6.94% 130.62 66.59 93.27
34. 30 nov. 2018 1.64% 1.79% 0.00 0.32 -0.01
35. 31 dic. 2018 -5.37% -9.18% 49.36 108.11 73.05
36. 31 ene. 2019 7.80% 7.87% 37.79 44.20 40.87
37. 28 feb. 2019 0.32% 2.97% 1.78 3.07 -2.34
38. 31 mar. 2019 4.77% 1.79% 9.71 0.33 1.78
39. 30 abr. 2019 1.29% 3.93% 0.13 7.35 -0.97
40. 31 may. 2019 -7.14% -6.58% 77.27 60.81 68.54
41. 30 jun. 2019 -2.06% 6.89% 13.76 32.18 -21.04
42. 31 jul. 2019 12.56% 1.31% 119.03 0.01 1.01
43. 31 ago. 2019 -2.35% -1.81% 16.00 9.18 12.12
44. 30 sept. 2019 2.60% 1.72% 0.90 0.25 0.47
45. 31 oct. 2019 3.37% 2.04% 2.96 0.68 1.42
46. 30 nov. 2019 3.56% 3.40% 3.64 4.77 4.17
47. 31 dic. 2019 2.46% 2.86% 0.65 2.69 1.32
48. 31 ene. 2020 7.27% -0.16% 31.58 1.91 -7.77
49. 29 feb. 2020 -6.62% -8.41% 68.35 92.76 79.63
50. 31 mar. 2020 -13.18% -12.51% 219.95 188.57 203.65
51. 30 abr. 2020 15.98% 12.68% 205.41 131.43 164.31
52. 31 may. 2020 5.95% 4.53% 18.49 10.94 14.23
53. 30 jun. 2020 -1.07% 1.84% 7.41 0.38 -1.68
54. 31 jul. 2020 4.91% 5.51% 10.60 18.40 13.96
55. 31 ago. 2020 10.20% 7.01% 73.04 33.48 49.45
56. 30 sept. 2020 -10.07% -3.92% 137.40 26.45 60.28
57. 31 oct. 2020 10.30% -2.77% 74.86 15.89 -34.49
58. 30 nov. 2020 8.62% 10.75% 48.57 90.91 66.45
59. 31 dic. 2020 -0.50% 3.71% 4.64 6.21 -5.37
Total (Σ): 2,215.79 1,103.45 1,102.34

Show all

VarianzaGOOG = Σ(RGOOG,tRGOOG)2 ÷ (59 – 1)
= 2,215.79 ÷ (59 – 1)
= 38.20

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,103.45 ÷ (59 – 1)
= 19.02

CovarianzaGOOG, S&P 500 = Σ(RGOOG,tRGOOG)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,102.34 ÷ (59 – 1)
= 19.01


Estimación sistemática de riesgos (β)

Microsoft Excel LibreOffice Calc
VarianzaGOOG 38.20
VarianzaS&P 500 19.02
CovarianzaGOOG, S&P 500 19.01
Coeficiente de correlaciónGOOG, S&P 5001 0.70
βGOOG2 1.00
αGOOG3 0.43%

Fuente: Alphabet Inc. (NASDAQ:GOOG) | CAPM (www.stock-analysis-on.net)

Cálculos

1 Coeficiente de correlaciónGOOG, S&P 500
= CovarianzaGOOG, S&P 500 ÷ (Desviación típicaGOOG × Desviación típicaS&P 500)
= 19.01 ÷ (6.18% × 4.36%)
= 0.70

2 βGOOG
= CovarianzaGOOG, S&P 500 ÷ VarianzaS&P 500
= 19.01 ÷ 19.02
= 1.00

3 αGOOG
= PromedioGOOG – βGOOG × PromedioS&P 500
= 1.65%1.00 × 1.22%
= 0.43%


Tasa de rendimiento esperada

Microsoft Excel LibreOffice Calc
Supuestos
Tasa de rendimiento de LT Treasury Composite1 RF 1.82%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 11.82%
Riesgo sistemático de las acciones ordinarias de Alphabet βGOOG 1.00
 
Tasa de rendimiento esperada de las acciones ordinarias de Alphabet3 E(RGOOG) 11.81%

Fuente: Alphabet Inc. (NASDAQ:GOOG) | CAPM (www.stock-analysis-on.net)

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

2 Ver detalles »

3 E(RGOOG) = RF + βGOOG [E(RM) – RF]
= 1.82% + 1.00 [11.82%1.82%]
= 11.81%