Stock Analysis on Net

Analog Devices Inc. (NASDAQ:ADI)

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

Microsoft Excel LibreOffice Calc

Tasas de retorno

Analog Devices Inc., tasas de rendimiento mensuales

Microsoft Excel LibreOffice Calc
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%

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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 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

Microsoft Excel LibreOffice Calc
t Fecha RADI,t RS&P 500,t (RADI,tRADI)2 (RS&P 500,tRS&P 500)2 (RADI,tRADI)×(RS&P 500,tRS&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,tRADI)2 (RS&P 500,tRS&P 500)2 (RADI,tRADI)×(RS&P 500,tRS&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

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VarianzaADI = Σ(RADI,tRADI)2 ÷ (71 – 1)
= 4,066.80 ÷ (71 – 1)
= 58.10

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,258.13 ÷ (71 – 1)
= 17.97

CovarianzaADI, S&P 500 = Σ(RADI,tRADI)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 1,502.92 ÷ (71 – 1)
= 21.47


Estimación sistemática del riesgo (β)

Microsoft Excel LibreOffice Calc
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

Microsoft Excel LibreOffice Calc
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).

2 Ver detalles »

3 E(RADI) = RF + βADI [E(RM) – RF]
= 3.12% + 1.19 [13.11%3.12%]
= 15.06%