Modelo de fijación de precios de activos de capital (CAPM)
El modelo de fijación de precios de activos de capital (CAPM) indica cuál debería ser la tasa de rendimiento esperada o requerida de los activos de riesgo, como las acciones ordinarias de Analog Devices.
Tasas de retorno
Analog Devices Inc., tasas de rendimiento mensuales
| Analog Devices Inc. (ADI) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Fecha | PrecioADI,t1 | DividendoADI,t1 | RADI,t2 | PrecioS&P 500,t | RS&P 500,t3 |
| 30 nov. 2015 | $61.63 | 2,080.41 | ||||
| 1. | 31 dic. 2015 | $55.32 | $0.40 | -9.59% | 2,043.94 | -1.75% |
| 2. | 31 ene. 2016 | $53.86 | -2.64% | 1,940.24 | -5.07% | |
| 3. | 29 feb. 2016 | $52.99 | $0.42 | -0.84% | 1,932.23 | -0.41% |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 30 sept. 2021 | $167.48 | 2.78% | 4,307.54 | -4.76% | |
| 71. | 31 oct. 2021 | $173.49 | 3.59% | 4,605.38 | 6.91% | |
| Promedio (R): | 1.94% | 1.21% | ||||
| Desviación estándar: | 7.62% | 4.24% | ||||
| Analog Devices Inc. (ADI) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Fecha | PrecioADI,t1 | DividendoADI,t1 | RADI,t2 | PrecioS&P 500,t | RS&P 500,t3 |
| 30 nov. 2015 | $61.63 | 2,080.41 | ||||
| 1. | 31 dic. 2015 | $55.32 | $0.40 | -9.59% | 2,043.94 | -1.75% |
| 2. | 31 ene. 2016 | $53.86 | -2.64% | 1,940.24 | -5.07% | |
| 3. | 29 feb. 2016 | $52.99 | $0.42 | -0.84% | 1,932.23 | -0.41% |
| 4. | 31 mar. 2016 | $59.19 | 11.70% | 2,059.74 | 6.60% | |
| 5. | 30 abr. 2016 | $56.32 | -4.85% | 2,065.30 | 0.27% | |
| 6. | 31 may. 2016 | $58.50 | $0.42 | 4.62% | 2,096.95 | 1.53% |
| 7. | 30 jun. 2016 | $56.64 | -3.18% | 2,098.86 | 0.09% | |
| 8. | 31 jul. 2016 | $63.83 | 12.69% | 2,173.60 | 3.56% | |
| 9. | 31 ago. 2016 | $62.56 | $0.42 | -1.33% | 2,170.95 | -0.12% |
| 10. | 30 sept. 2016 | $64.45 | 3.02% | 2,168.27 | -0.12% | |
| 11. | 31 oct. 2016 | $64.10 | -0.54% | 2,126.15 | -1.94% | |
| 12. | 30 nov. 2016 | $74.24 | $0.42 | 16.47% | 2,198.81 | 3.42% |
| 13. | 31 dic. 2016 | $72.62 | -2.18% | 2,238.83 | 1.82% | |
| 14. | 31 ene. 2017 | $74.94 | 3.19% | 2,278.87 | 1.79% | |
| 15. | 28 feb. 2017 | $81.93 | $0.45 | 9.93% | 2,363.64 | 3.72% |
| 16. | 31 mar. 2017 | $81.95 | 0.02% | 2,362.72 | -0.04% | |
| 17. | 30 abr. 2017 | $76.20 | -7.02% | 2,384.20 | 0.91% | |
| 18. | 31 may. 2017 | $85.76 | 12.55% | 2,411.80 | 1.16% | |
| 19. | 30 jun. 2017 | $77.80 | $0.45 | -8.76% | 2,423.41 | 0.48% |
| 20. | 31 jul. 2017 | $79.01 | 1.56% | 2,470.30 | 1.93% | |
| 21. | 31 ago. 2017 | $83.67 | 5.90% | 2,471.65 | 0.05% | |
| 22. | 30 sept. 2017 | $86.17 | $0.45 | 3.53% | 2,519.36 | 1.93% |
| 23. | 31 oct. 2017 | $91.30 | 5.95% | 2,575.26 | 2.22% | |
| 24. | 30 nov. 2017 | $86.11 | $0.45 | -5.19% | 2,647.58 | 2.81% |
| 25. | 31 dic. 2017 | $89.03 | 3.39% | 2,673.61 | 0.98% | |
| 26. | 31 ene. 2018 | $91.88 | 3.20% | 2,823.81 | 5.62% | |
| 27. | 28 feb. 2018 | $90.15 | -1.88% | 2,713.83 | -3.89% | |
| 28. | 31 mar. 2018 | $91.13 | $0.48 | 1.62% | 2,640.87 | -2.69% |
| 29. | 30 abr. 2018 | $87.35 | -4.15% | 2,648.05 | 0.27% | |
| 30. | 31 may. 2018 | $97.18 | 11.25% | 2,705.27 | 2.16% | |
| 31. | 30 jun. 2018 | $95.92 | $0.48 | -0.80% | 2,718.37 | 0.48% |
| 32. | 31 jul. 2018 | $96.14 | 0.23% | 2,816.29 | 3.60% | |
| 33. | 31 ago. 2018 | $98.85 | $0.48 | 3.32% | 2,901.52 | 3.03% |
| 34. | 30 sept. 2018 | $92.46 | -6.46% | 2,913.98 | 0.43% | |
| 35. | 31 oct. 2018 | $83.71 | -9.46% | 2,711.74 | -6.94% | |
| 36. | 30 nov. 2018 | $91.92 | $0.48 | 10.38% | 2,760.17 | 1.79% |
| 37. | 31 dic. 2018 | $85.83 | -6.63% | 2,506.85 | -9.18% | |
| 38. | 31 ene. 2019 | $98.86 | 15.18% | 2,704.10 | 7.87% | |
| 39. | 28 feb. 2019 | $106.96 | $0.54 | 8.74% | 2,784.49 | 2.97% |
| 40. | 31 mar. 2019 | $105.27 | -1.58% | 2,834.40 | 1.79% | |
| 41. | 30 abr. 2019 | $116.24 | 10.42% | 2,945.83 | 3.93% | |
| 42. | 31 may. 2019 | $96.62 | $0.54 | -16.41% | 2,752.06 | -6.58% |
| 43. | 30 jun. 2019 | $112.87 | 16.82% | 2,941.76 | 6.89% | |
| 44. | 31 jul. 2019 | $117.46 | 4.07% | 2,980.38 | 1.31% | |
| 45. | 31 ago. 2019 | $109.83 | $0.54 | -6.04% | 2,926.46 | -1.81% |
| 46. | 30 sept. 2019 | $111.73 | 1.73% | 2,976.74 | 1.72% | |
| 47. | 31 oct. 2019 | $106.63 | -4.56% | 3,037.56 | 2.04% | |
| 48. | 30 nov. 2019 | $112.95 | 5.93% | 3,140.98 | 3.40% | |
| 49. | 31 dic. 2019 | $118.84 | $0.54 | 5.69% | 3,230.78 | 2.86% |
| 50. | 31 ene. 2020 | $109.75 | -7.65% | 3,225.52 | -0.16% | |
| 51. | 29 feb. 2020 | $109.05 | $0.62 | -0.07% | 2,954.22 | -8.41% |
| 52. | 31 mar. 2020 | $89.65 | -17.79% | 2,584.59 | -12.51% | |
| 53. | 30 abr. 2020 | $109.60 | 22.25% | 2,912.43 | 12.68% | |
| 54. | 31 may. 2020 | $112.95 | $0.62 | 3.62% | 3,044.31 | 4.53% |
| 55. | 30 jun. 2020 | $122.64 | 8.58% | 3,100.29 | 1.84% | |
| 56. | 31 jul. 2020 | $114.85 | -6.35% | 3,271.12 | 5.51% | |
| 57. | 31 ago. 2020 | $116.88 | $0.62 | 2.31% | 3,500.31 | 7.01% |
| 58. | 30 sept. 2020 | $116.74 | -0.12% | 3,363.00 | -3.92% | |
| 59. | 31 oct. 2020 | $118.53 | 1.53% | 3,269.96 | -2.77% | |
| 60. | 30 nov. 2020 | $139.08 | 17.34% | 3,621.63 | 10.75% | |
| 61. | 31 dic. 2020 | $147.73 | $0.62 | 6.67% | 3,756.07 | 3.71% |
| 62. | 31 ene. 2021 | $147.33 | -0.27% | 3,714.24 | -1.11% | |
| 63. | 28 feb. 2021 | $155.82 | $0.69 | 6.23% | 3,811.15 | 2.61% |
| 64. | 31 mar. 2021 | $155.08 | -0.47% | 3,972.89 | 4.24% | |
| 65. | 30 abr. 2021 | $153.16 | -1.24% | 4,181.17 | 5.24% | |
| 66. | 31 may. 2021 | $164.60 | $0.69 | 7.92% | 4,204.11 | 0.55% |
| 67. | 30 jun. 2021 | $172.16 | 4.59% | 4,297.50 | 2.22% | |
| 68. | 31 jul. 2021 | $167.42 | -2.75% | 4,395.26 | 2.27% | |
| 69. | 31 ago. 2021 | $162.95 | $0.69 | -2.26% | 4,522.68 | 2.90% |
| 70. | 30 sept. 2021 | $167.48 | 2.78% | 4,307.54 | -4.76% | |
| 71. | 31 oct. 2021 | $173.49 | 3.59% | 4,605.38 | 6.91% | |
| Promedio (R): | 1.94% | 1.21% | ||||
| Desviación estándar: | 7.62% | 4.24% | ||||
Mostrar todo
1 Datos en US$ por acción de acciones ordinarias, ajustados por escisiones y dividendos de acciones.
2 Tasa de rendimiento de las acciones ordinarias de ADI 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
Analog Devices Inc., cálculo de varianza y covarianza de rendimientos
| t | Fecha | RADI,t | RS&P 500,t | (RADI,t–RADI)2 | (RS&P 500,t–RS&P 500)2 | (RADI,t–RADI)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 31 dic. 2015 | -9.59% | -1.75% | 132.83 | 8.81 | 34.20 |
| 2. | 31 ene. 2016 | -2.64% | -5.07% | 20.93 | 39.54 | 28.77 |
| 3. | 29 feb. 2016 | -0.84% | -0.41% | 7.68 | 2.65 | 4.51 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 30 sept. 2021 | 2.78% | -4.76% | 0.71 | 35.66 | -5.04 |
| 71. | 31 oct. 2021 | 3.59% | 6.91% | 2.73 | 32.49 | 9.42 |
| Total (Σ): | 4,066.80 | 1,258.13 | 1,502.92 | |||
| t | Fecha | RADI,t | RS&P 500,t | (RADI,t–RADI)2 | (RS&P 500,t–RS&P 500)2 | (RADI,t–RADI)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 31 dic. 2015 | -9.59% | -1.75% | 132.83 | 8.81 | 34.20 |
| 2. | 31 ene. 2016 | -2.64% | -5.07% | 20.93 | 39.54 | 28.77 |
| 3. | 29 feb. 2016 | -0.84% | -0.41% | 7.68 | 2.65 | 4.51 |
| 4. | 31 mar. 2016 | 11.70% | 6.60% | 95.35 | 28.99 | 52.58 |
| 5. | 30 abr. 2016 | -4.85% | 0.27% | 46.03 | 0.89 | 6.41 |
| 6. | 31 may. 2016 | 4.62% | 1.53% | 7.19 | 0.10 | 0.85 |
| 7. | 30 jun. 2016 | -3.18% | 0.09% | 26.17 | 1.26 | 5.75 |
| 8. | 31 jul. 2016 | 12.69% | 3.56% | 115.74 | 5.51 | 25.24 |
| 9. | 31 ago. 2016 | -1.33% | -0.12% | 10.68 | 1.79 | 4.37 |
| 10. | 30 sept. 2016 | 3.02% | -0.12% | 1.18 | 1.79 | -1.45 |
| 11. | 31 oct. 2016 | -0.54% | -1.94% | 6.14 | 9.97 | 7.83 |
| 12. | 30 nov. 2016 | 16.47% | 3.42% | 211.37 | 4.85 | 32.03 |
| 13. | 31 dic. 2016 | -2.18% | 1.82% | 16.96 | 0.37 | -2.49 |
| 14. | 31 ene. 2017 | 3.19% | 1.79% | 1.59 | 0.33 | 0.72 |
| 15. | 28 feb. 2017 | 9.93% | 3.72% | 63.88 | 6.28 | 20.02 |
| 16. | 31 mar. 2017 | 0.02% | -0.04% | 3.65 | 1.57 | 2.40 |
| 17. | 30 abr. 2017 | -7.02% | 0.91% | 80.14 | 0.09 | 2.74 |
| 18. | 31 may. 2017 | 12.55% | 1.16% | 112.58 | 0.00 | -0.61 |
| 19. | 30 jun. 2017 | -8.76% | 0.48% | 114.33 | 0.54 | 7.84 |
| 20. | 31 jul. 2017 | 1.56% | 1.93% | 0.14 | 0.52 | -0.27 |
| 21. | 31 ago. 2017 | 5.90% | 0.05% | 15.70 | 1.35 | -4.60 |
| 22. | 30 sept. 2017 | 3.53% | 1.93% | 2.53 | 0.51 | 1.14 |
| 23. | 31 oct. 2017 | 5.95% | 2.22% | 16.14 | 1.01 | 4.03 |
| 24. | 30 nov. 2017 | -5.19% | 2.81% | 50.80 | 2.54 | -11.36 |
| 25. | 31 dic. 2017 | 3.39% | 0.98% | 2.12 | 0.05 | -0.34 |
| 26. | 31 ene. 2018 | 3.20% | 5.62% | 1.60 | 19.39 | 5.57 |
| 27. | 28 feb. 2018 | -1.88% | -3.89% | 14.58 | 26.11 | 19.51 |
| 28. | 31 mar. 2018 | 1.62% | -2.69% | 0.10 | 15.23 | 1.23 |
| 29. | 30 abr. 2018 | -4.15% | 0.27% | 37.01 | 0.89 | 5.74 |
| 30. | 31 may. 2018 | 11.25% | 2.16% | 86.82 | 0.90 | 8.82 |
| 31. | 30 jun. 2018 | -0.80% | 0.48% | 7.50 | 0.53 | 2.00 |
| 32. | 31 jul. 2018 | 0.23% | 3.60% | 2.91 | 5.70 | -4.07 |
| 33. | 31 ago. 2018 | 3.32% | 3.03% | 1.91 | 3.28 | 2.50 |
| 34. | 30 sept. 2018 | -6.46% | 0.43% | 70.56 | 0.62 | 6.60 |
| 35. | 31 oct. 2018 | -9.46% | -6.94% | 129.94 | 66.50 | 92.96 |
| 36. | 30 nov. 2018 | 10.38% | 1.79% | 71.32 | 0.33 | 4.82 |
| 37. | 31 dic. 2018 | -6.63% | -9.18% | 73.29 | 108.00 | 88.97 |
| 38. | 31 ene. 2019 | 15.18% | 7.87% | 175.44 | 44.27 | 88.13 |
| 39. | 28 feb. 2019 | 8.74% | 2.97% | 46.29 | 3.09 | 11.96 |
| 40. | 31 mar. 2019 | -1.58% | 1.79% | 12.36 | 0.33 | -2.03 |
| 41. | 30 abr. 2019 | 10.42% | 3.93% | 72.00 | 7.38 | 23.05 |
| 42. | 31 may. 2019 | -16.41% | -6.58% | 336.72 | 60.72 | 142.99 |
| 43. | 30 jun. 2019 | 16.82% | 6.89% | 221.50 | 32.24 | 84.51 |
| 44. | 31 jul. 2019 | 4.07% | 1.31% | 4.54 | 0.01 | 0.21 |
| 45. | 31 ago. 2019 | -6.04% | -1.81% | 63.55 | 9.14 | 24.11 |
| 46. | 30 sept. 2019 | 1.73% | 1.72% | 0.04 | 0.25 | -0.10 |
| 47. | 31 oct. 2019 | -4.56% | 2.04% | 42.25 | 0.69 | -5.39 |
| 48. | 30 nov. 2019 | 5.93% | 3.40% | 15.93 | 4.80 | 8.74 |
| 49. | 31 dic. 2019 | 5.69% | 2.86% | 14.12 | 2.70 | 6.18 |
| 50. | 31 ene. 2020 | -7.65% | -0.16% | 91.87 | 1.90 | 13.20 |
| 51. | 29 feb. 2020 | -0.07% | -8.41% | 4.03 | 92.65 | 19.33 |
| 52. | 31 mar. 2020 | -17.79% | -12.51% | 389.10 | 188.42 | 270.77 |
| 53. | 30 abr. 2020 | 22.25% | 12.68% | 412.80 | 131.56 | 233.04 |
| 54. | 31 may. 2020 | 3.62% | 4.53% | 2.84 | 10.98 | 5.59 |
| 55. | 30 jun. 2020 | 8.58% | 1.84% | 44.13 | 0.39 | 4.15 |
| 56. | 31 jul. 2020 | -6.35% | 5.51% | 68.69 | 18.45 | -35.60 |
| 57. | 31 ago. 2020 | 2.31% | 7.01% | 0.14 | 33.55 | 2.15 |
| 58. | 30 sept. 2020 | -0.12% | -3.92% | 4.23 | 26.39 | 10.56 |
| 59. | 31 oct. 2020 | 1.53% | -2.77% | 0.16 | 15.85 | 1.60 |
| 60. | 30 nov. 2020 | 17.34% | 10.75% | 237.21 | 91.01 | 146.93 |
| 61. | 31 dic. 2020 | 6.67% | 3.71% | 22.37 | 6.24 | 11.81 |
| 62. | 31 ene. 2021 | -0.27% | -1.11% | 4.87 | 5.42 | 5.14 |
| 63. | 28 feb. 2021 | 6.23% | 2.61% | 18.45 | 1.94 | 5.99 |
| 64. | 31 mar. 2021 | -0.47% | 4.24% | 5.81 | 9.18 | -7.30 |
| 65. | 30 abr. 2021 | -1.24% | 5.24% | 10.07 | 16.22 | -12.78 |
| 66. | 31 may. 2021 | 7.92% | 0.55% | 35.81 | 0.44 | -3.99 |
| 67. | 30 jun. 2021 | 4.59% | 2.22% | 7.06 | 1.01 | 2.68 |
| 68. | 31 jul. 2021 | -2.75% | 2.27% | 21.99 | 1.12 | -4.97 |
| 69. | 31 ago. 2021 | -2.26% | 2.90% | 17.59 | 2.84 | -7.06 |
| 70. | 30 sept. 2021 | 2.78% | -4.76% | 0.71 | 35.66 | -5.04 |
| 71. | 31 oct. 2021 | 3.59% | 6.91% | 2.73 | 32.49 | 9.42 |
| Total (Σ): | 4,066.80 | 1,258.13 | 1,502.92 | |||
Mostrar todo
VarianzaADI = Σ(RADI,t–RADI)2 ÷ (71 – 1)
= 4,066.80 ÷ (71 – 1)
= 58.10
VarianzaS&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,258.13 ÷ (71 – 1)
= 17.97
CovarianzaADI, S&P 500 = Σ(RADI,t–RADI)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,502.92 ÷ (71 – 1)
= 21.47
Estimación sistemática del riesgo (β)
| VarianzaADI | 58.10 |
| VarianzaS&P 500 | 17.97 |
| CovarianzaADI, S&P 500 | 21.47 |
| Coeficiente de correlaciónADI, S&P 5001 | 0.66 |
| βADI2 | 1.19 |
| αADI3 | 0.48% |
Cálculos
1 Coeficiente de correlaciónADI, S&P 500
= CovarianzaADI, S&P 500 ÷ (Desviación estándarADI × Desviación estándarS&P 500)
= 21.47 ÷ (7.62% × 4.24%)
= 0.66
2 βADI
= CovarianzaADI, S&P 500 ÷ VarianzaS&P 500
= 21.47 ÷ 17.97
= 1.19
3 αADI
= PromedioADI – βADI × PromedioS&P 500
= 1.94% – 1.19 × 1.21%
= 0.48%
Tasa de rendimiento esperada
| Suposiciones | ||
| Tasa de rendimiento de LT Treasury Composite1 | RF | 3.12% |
| Tasa de rendimiento esperada de la cartera de mercado2 | E(RM) | 13.11% |
| Riesgo sistemático de acciones ordinarias Analog Devices | βADI | 1.19 |
| Tasa de rendimiento esperada de las acciones ordinarias de Analog Devices3 | E(RADI) | 15.06% |
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).
3 E(RADI) = RF + βADI [E(RM) – RF]
= 3.12% + 1.19 [13.11% – 3.12%]
= 15.06%