Stock Analysis on Net
Microsoft Excel LibreOffice Calc

Amgen Inc. (NASDAQ:AMGN)

Modelo de valoración de activos de capital (CAPM)

Nivel de dificultad medio

Las tasas de rendimiento

Amgen Inc., tasas de rendimiento mensuales

Microsoft Excel LibreOffice Calc
Amgen Inc. (AMGN) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioAMGN,t1 DividendoAMGN,t1 RAMGN,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2016 $152.73 1,940.24
1. 29 feb. 2016 $142.28 $1.00 -6.19% 1,932.23 -0.41%
2. 31 mar. 2016 $149.93 5.38% 2,059.74 6.60%
3. 30 abr. 2016 $158.30 5.58% 2,065.30 0.27%
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2020 $222.04 $1.60 3.09% 3,621.63 10.75%
59. 31 dic. 2020 $229.92 3.55% 3,756.07 3.71%
Promedio (R): 1.16% 1.22%
Desviación típica: 6.83% 4.36%

Fuente: Amgen Inc. (NASDAQ:AMGN) | CAPM (www.stock-analysis-on.net)

Amgen Inc. (AMGN) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioAMGN,t1 DividendoAMGN,t1 RAMGN,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2016 $152.73 1,940.24
1. 29 feb. 2016 $142.28 $1.00 -6.19% 1,932.23 -0.41%
2. 31 mar. 2016 $149.93 5.38% 2,059.74 6.60%
3. 30 abr. 2016 $158.30 5.58% 2,065.30 0.27%
4. 31 may. 2016 $157.95 $1.00 0.41% 2,096.95 1.53%
5. 30 jun. 2016 $152.15 -3.67% 2,098.86 0.09%
6. 31 jul. 2016 $172.03 13.07% 2,173.60 3.56%
7. 31 ago. 2016 $170.06 $1.00 -0.56% 2,170.95 -0.12%
8. 30 sept. 2016 $166.81 -1.91% 2,168.27 -0.12%
9. 31 oct. 2016 $141.16 -15.38% 2,126.15 -1.94%
10. 30 nov. 2016 $144.07 $1.00 2.77% 2,198.81 3.42%
11. 31 dic. 2016 $146.21 1.49% 2,238.83 1.82%
12. 31 ene. 2017 $156.68 7.16% 2,278.87 1.79%
13. 28 feb. 2017 $176.53 $1.15 13.40% 2,363.64 3.72%
14. 31 mar. 2017 $164.07 -7.06% 2,362.72 -0.04%
15. 30 abr. 2017 $163.32 -0.46% 2,384.20 0.91%
16. 31 may. 2017 $155.24 $1.15 -4.24% 2,411.80 1.16%
17. 30 jun. 2017 $172.23 10.94% 2,423.41 0.48%
18. 31 jul. 2017 $174.51 1.32% 2,470.30 1.93%
19. 31 ago. 2017 $177.77 $1.15 2.53% 2,471.65 0.05%
20. 30 sept. 2017 $186.45 4.88% 2,519.36 1.93%
21. 31 oct. 2017 $175.22 -6.02% 2,575.26 2.22%
22. 30 nov. 2017 $175.66 $1.15 0.91% 2,647.58 2.81%
23. 31 dic. 2017 $173.90 -1.00% 2,673.61 0.98%
24. 31 ene. 2018 $186.05 6.99% 2,823.81 5.62%
25. 28 feb. 2018 $183.77 $1.32 -0.52% 2,713.83 -3.89%
26. 31 mar. 2018 $170.48 -7.23% 2,640.87 -2.69%
27. 30 abr. 2018 $174.48 2.35% 2,648.05 0.27%
28. 31 may. 2018 $179.62 $1.32 3.70% 2,705.27 2.16%
29. 30 jun. 2018 $184.59 2.77% 2,718.37 0.48%
30. 31 jul. 2018 $196.55 6.48% 2,816.29 3.60%
31. 31 ago. 2018 $199.81 $1.32 2.33% 2,901.52 3.03%
32. 30 sept. 2018 $207.29 3.74% 2,913.98 0.43%
33. 31 oct. 2018 $192.79 -7.00% 2,711.74 -6.94%
34. 30 nov. 2018 $208.25 $1.32 8.70% 2,760.17 1.79%
35. 31 dic. 2018 $194.67 -6.52% 2,506.85 -9.18%
36. 31 ene. 2019 $187.11 -3.88% 2,704.10 7.87%
37. 28 feb. 2019 $190.08 $1.45 2.36% 2,784.49 2.97%
38. 31 mar. 2019 $189.98 -0.05% 2,834.40 1.79%
39. 30 abr. 2019 $179.32 -5.61% 2,945.83 3.93%
40. 31 may. 2019 $166.70 $1.45 -6.23% 2,752.06 -6.58%
41. 30 jun. 2019 $184.28 10.55% 2,941.76 6.89%
42. 31 jul. 2019 $186.58 1.25% 2,980.38 1.31%
43. 31 ago. 2019 $208.62 $1.45 12.59% 2,926.46 -1.81%
44. 30 sept. 2019 $193.51 -7.24% 2,976.74 1.72%
45. 31 oct. 2019 $213.25 10.20% 3,037.56 2.04%
46. 30 nov. 2019 $234.72 $1.45 10.75% 3,140.98 3.40%
47. 31 dic. 2019 $241.07 2.71% 3,230.78 2.86%
48. 31 ene. 2020 $216.05 -10.38% 3,225.52 -0.16%
49. 29 feb. 2020 $199.73 $1.60 -6.81% 2,954.22 -8.41%
50. 31 mar. 2020 $202.73 1.50% 2,584.59 -12.51%
51. 30 abr. 2020 $239.22 18.00% 2,912.43 12.68%
52. 31 may. 2020 $229.70 $1.60 -3.31% 3,044.31 4.53%
53. 30 jun. 2020 $235.86 2.68% 3,100.29 1.84%
54. 31 jul. 2020 $244.67 3.74% 3,271.12 5.51%
55. 31 ago. 2020 $253.32 $1.60 4.19% 3,500.31 7.01%
56. 30 sept. 2020 $254.16 0.33% 3,363.00 -3.92%
57. 31 oct. 2020 $216.94 -14.64% 3,269.96 -2.77%
58. 30 nov. 2020 $222.04 $1.60 3.09% 3,621.63 10.75%
59. 31 dic. 2020 $229.92 3.55% 3,756.07 3.71%
Promedio (R): 1.16% 1.22%
Desviación típica: 6.83% 4.36%

Fuente: Amgen Inc. (NASDAQ:AMGN) | 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 AMGN 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

Amgen Inc., cálculo de varianza y covarianza de retornos

Microsoft Excel LibreOffice Calc
t Fecha RAMGN,t RS&P 500,t (RAMGN,tRAMGN)2 (RS&P 500,tRS&P 500)2 (RAMGN,tRAMGN)×(RS&P 500,tRS&P 500)
1. 29 feb. 2016 -6.19% -0.41% 53.99 2.67 12.00
2. 31 mar. 2016 5.38% 6.60% 17.78 28.93 22.68
3. 30 abr. 2016 5.58% 0.27% 19.56 0.90 -4.20
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2020 3.09% 10.75% 3.72 90.91 18.38
59. 31 dic. 2020 3.55% 3.71% 5.71 6.21 5.95
Total (Σ): 2,707.62 1,103.45 828.57
t Fecha RAMGN,t RS&P 500,t (RAMGN,tRAMGN)2 (RS&P 500,tRS&P 500)2 (RAMGN,tRAMGN)×(RS&P 500,tRS&P 500)
1. 29 feb. 2016 -6.19% -0.41% 53.99 2.67 12.00
2. 31 mar. 2016 5.38% 6.60% 17.78 28.93 22.68
3. 30 abr. 2016 5.58% 0.27% 19.56 0.90 -4.20
4. 31 may. 2016 0.41% 1.53% 0.56 0.10 -0.23
5. 30 jun. 2016 -3.67% 0.09% 23.35 1.27 5.46
6. 31 jul. 2016 13.07% 3.56% 141.75 5.48 27.87
7. 31 ago. 2016 -0.56% -0.12% 2.97 1.80 2.31
8. 30 sept. 2016 -1.91% -0.12% 9.43 1.81 4.13
9. 31 oct. 2016 -15.38% -1.94% 273.47 10.00 52.30
10. 30 nov. 2016 2.77% 3.42% 2.59 4.83 3.54
11. 31 dic. 2016 1.49% 1.82% 0.11 0.36 0.20
12. 31 ene. 2017 7.16% 1.79% 36.01 0.32 3.41
13. 28 feb. 2017 13.40% 3.72% 149.89 6.25 30.60
14. 31 mar. 2017 -7.06% -0.04% 67.54 1.59 10.35
15. 30 abr. 2017 -0.46% 0.91% 2.62 0.10 0.50
16. 31 may. 2017 -4.24% 1.16% 29.20 0.00 0.34
17. 30 jun. 2017 10.94% 0.48% 95.73 0.55 -7.23
18. 31 jul. 2017 1.32% 1.93% 0.03 0.51 0.12
19. 31 ago. 2017 2.53% 0.05% 1.87 1.36 -1.59
20. 30 sept. 2017 4.88% 1.93% 13.86 0.50 2.64
21. 31 oct. 2017 -6.02% 2.22% 51.60 1.00 -7.17
22. 30 nov. 2017 0.91% 2.81% 0.06 2.52 -0.40
23. 31 dic. 2017 -1.00% 0.98% 4.67 0.06 0.51
24. 31 ene. 2018 6.99% 5.62% 33.95 19.34 25.62
25. 28 feb. 2018 -0.52% -3.89% 2.81 26.16 8.57
26. 31 mar. 2018 -7.23% -2.69% 70.43 15.28 32.80
27. 30 abr. 2018 2.35% 0.27% 1.41 0.90 -1.12
28. 31 may. 2018 3.70% 2.16% 6.46 0.89 2.39
29. 30 jun. 2018 2.77% 0.48% 2.58 0.54 -1.18
30. 31 jul. 2018 6.48% 3.60% 28.29 5.67 12.67
31. 31 ago. 2018 2.33% 3.03% 1.37 3.26 2.11
32. 30 sept. 2018 3.74% 0.43% 6.67 0.63 -2.04
33. 31 oct. 2018 -7.00% -6.94% 66.51 66.59 66.55
34. 30 nov. 2018 8.70% 1.79% 56.91 0.32 4.27
35. 31 dic. 2018 -6.52% -9.18% 59.00 108.11 79.87
36. 31 ene. 2019 -3.88% 7.87% 25.44 44.20 -33.53
37. 28 feb. 2019 2.36% 2.97% 1.44 3.07 2.11
38. 31 mar. 2019 -0.05% 1.79% 1.47 0.33 -0.69
39. 30 abr. 2019 -5.61% 3.93% 45.85 7.35 -18.36
40. 31 may. 2019 -6.23% -6.58% 54.60 60.81 57.62
41. 30 jun. 2019 10.55% 6.89% 88.09 32.18 53.24
42. 31 jul. 2019 1.25% 1.31% 0.01 0.01 0.01
43. 31 ago. 2019 12.59% -1.81% 130.64 9.18 -34.62
44. 30 sept. 2019 -7.24% 1.72% 70.61 0.25 -4.19
45. 31 oct. 2019 10.20% 2.04% 81.74 0.68 7.44
46. 30 nov. 2019 10.75% 3.40% 91.92 4.77 20.95
47. 31 dic. 2019 2.71% 2.86% 2.39 2.69 2.53
48. 31 ene. 2020 -10.38% -0.16% 133.15 1.91 15.96
49. 29 feb. 2020 -6.81% -8.41% 63.58 92.76 76.79
50. 31 mar. 2020 1.50% -12.51% 0.12 188.57 -4.69
51. 30 abr. 2020 18.00% 12.68% 283.56 131.43 193.05
52. 31 may. 2020 -3.31% 4.53% 19.99 10.94 -14.79
53. 30 jun. 2020 2.68% 1.84% 2.32 0.38 0.94
54. 31 jul. 2020 3.74% 5.51% 6.63 18.40 11.05
55. 31 ago. 2020 4.19% 7.01% 9.18 33.48 17.53
56. 30 sept. 2020 0.33% -3.92% 0.69 26.45 4.26
57. 31 oct. 2020 -14.64% -2.77% 249.78 15.89 63.01
58. 30 nov. 2020 3.09% 10.75% 3.72 90.91 18.38
59. 31 dic. 2020 3.55% 3.71% 5.71 6.21 5.95
Total (Σ): 2,707.62 1,103.45 828.57

Show all

VarianzaAMGN = Σ(RAMGN,tRAMGN)2 ÷ (59 – 1)
= 2,707.62 ÷ (59 – 1)
= 46.68

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

CovarianzaAMGN, S&P 500 = Σ(RAMGN,tRAMGN)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 828.57 ÷ (59 – 1)
= 14.29


Estimación sistemática de riesgos (β)

Microsoft Excel LibreOffice Calc
VarianzaAMGN 46.68
VarianzaS&P 500 19.02
CovarianzaAMGN, S&P 500 14.29
Coeficiente de correlaciónAMGN, S&P 5001 0.48
βAMGN2 0.75
αAMGN3 0.24%

Fuente: Amgen Inc. (NASDAQ:AMGN) | CAPM (www.stock-analysis-on.net)

Cálculos

1 Coeficiente de correlaciónAMGN, S&P 500
= CovarianzaAMGN, S&P 500 ÷ (Desviación típicaAMGN × Desviación típicaS&P 500)
= 14.29 ÷ (6.83% × 4.36%)
= 0.48

2 βAMGN
= CovarianzaAMGN, S&P 500 ÷ VarianzaS&P 500
= 14.29 ÷ 19.02
= 0.75

3 αAMGN
= PromedioAMGN – βAMGN × PromedioS&P 500
= 1.16%0.75 × 1.22%
= 0.24%


Tasa de rendimiento esperada

Microsoft Excel LibreOffice Calc
Supuestos
Tasa de rendimiento de LT Treasury Composite1 RF 2.06%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 12.41%
Riesgo sistemático de las acciones ordinarias de Amgen βAMGN 0.75
 
Tasa de rendimiento esperada de las acciones ordinarias de Amgen3 E(RAMGN) 9.83%

Fuente: Amgen Inc. (NASDAQ:AMGN) | 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(RAMGN) = RF + βAMGN [E(RM) – RF]
= 2.06% + 0.75 [12.41%2.06%]
= 9.83%