Stock Analysis on Net
Microsoft Excel LibreOffice Calc

Autodesk Inc. (NASDAQ:ADSK)

Modelo de valoración de activos de capital (CAPM)

Nivel de dificultad medio

Las tasas de rendimiento

Autodesk Inc., tasas de rendimiento mensuales

Microsoft Excel LibreOffice Calc
Autodesk Inc. (ADSK) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioADSK,t1 DividendoADSK,t1 RADSK,t2 PrecioS&P 500,t RS&P 500,t3
28 feb. 2014 $52.48 1,859.45
1. 31 mar. 2014 $49.18 -6.29% 1,872.34 0.69%
2. 30 abr. 2014 $48.02 -2.36% 1,883.95 0.62%
3. 31 may. 2014 $52.37 9.06% 1,923.57 2.10%
. . . . . . .
. . . . . . .
. . . . . . .
70. 31 dic. 2019 $183.46 1.42% 3,230.78 2.86%
71. 31 ene. 2020 $196.85 7.30% 3,225.52 -0.16%
Promedio (R): 2.32% 0.83%
Desviación típica: 9.57% 3.24%

Fuente: Autodesk Inc. (NASDAQ:ADSK) | CAPM (www.stock-analysis-on.net)

Autodesk Inc. (ADSK) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioADSK,t1 DividendoADSK,t1 RADSK,t2 PrecioS&P 500,t RS&P 500,t3
28 feb. 2014 $52.48 1,859.45
1. 31 mar. 2014 $49.18 -6.29% 1,872.34 0.69%
2. 30 abr. 2014 $48.02 -2.36% 1,883.95 0.62%
3. 31 may. 2014 $52.37 9.06% 1,923.57 2.10%
4. 30 jun. 2014 $56.38 7.66% 1,960.23 1.91%
5. 31 jul. 2014 $53.35 -5.37% 1,930.67 -1.51%
6. 31 ago. 2014 $53.64 0.54% 2,003.37 3.77%
7. 30 sept. 2014 $55.10 2.72% 1,972.29 -1.55%
8. 31 oct. 2014 $57.54 4.43% 2,018.05 2.32%
9. 30 nov. 2014 $62.00 7.75% 2,067.56 2.45%
10. 31 dic. 2014 $60.06 -3.13% 2,058.90 -0.42%
11. 31 ene. 2015 $54.01 -10.07% 1,994.99 -3.10%
12. 28 feb. 2015 $64.24 18.94% 2,104.50 5.49%
13. 31 mar. 2015 $58.64 -8.72% 2,067.89 -1.74%
14. 30 abr. 2015 $56.83 -3.09% 2,085.51 0.85%
15. 31 may. 2015 $54.15 -4.72% 2,107.39 1.05%
16. 30 jun. 2015 $50.08 -7.52% 2,063.11 -2.10%
17. 31 jul. 2015 $50.58 1.00% 2,103.84 1.97%
18. 31 ago. 2015 $46.75 -7.57% 1,972.18 -6.26%
19. 30 sept. 2015 $44.14 -5.58% 1,920.03 -2.64%
20. 31 oct. 2015 $55.19 25.03% 2,079.36 8.30%
21. 30 nov. 2015 $63.47 15.00% 2,080.41 0.05%
22. 31 dic. 2015 $60.93 -4.00% 2,043.94 -1.75%
23. 31 ene. 2016 $46.82 -23.16% 1,940.24 -5.07%
24. 29 feb. 2016 $51.74 10.51% 1,932.23 -0.41%
25. 31 mar. 2016 $58.31 12.70% 2,059.74 6.60%
26. 30 abr. 2016 $59.82 2.59% 2,065.30 0.27%
27. 31 may. 2016 $58.27 -2.59% 2,096.95 1.53%
28. 30 jun. 2016 $54.14 -7.09% 2,098.86 0.09%
29. 31 jul. 2016 $59.45 9.81% 2,173.60 3.56%
30. 31 ago. 2016 $67.40 13.37% 2,170.95 -0.12%
31. 30 sept. 2016 $72.33 7.31% 2,168.27 -0.12%
32. 31 oct. 2016 $72.28 -0.07% 2,126.15 -1.94%
33. 30 nov. 2016 $72.61 0.46% 2,198.81 3.42%
34. 31 dic. 2016 $74.01 1.93% 2,238.83 1.82%
35. 31 ene. 2017 $81.34 9.90% 2,278.87 1.79%
36. 28 feb. 2017 $86.30 6.10% 2,363.64 3.72%
37. 31 mar. 2017 $86.47 0.20% 2,362.72 -0.04%
38. 30 abr. 2017 $90.07 4.16% 2,384.20 0.91%
39. 31 may. 2017 $111.77 24.09% 2,411.80 1.16%
40. 30 jun. 2017 $100.82 -9.80% 2,423.41 0.48%
41. 31 jul. 2017 $110.79 9.89% 2,470.30 1.93%
42. 31 ago. 2017 $114.46 3.31% 2,471.65 0.05%
43. 30 sept. 2017 $112.26 -1.92% 2,519.36 1.93%
44. 31 oct. 2017 $124.96 11.31% 2,575.26 2.22%
45. 30 nov. 2017 $109.70 -12.21% 2,647.58 2.81%
46. 31 dic. 2017 $104.83 -4.44% 2,673.61 0.98%
47. 31 ene. 2018 $115.62 10.29% 2,823.81 5.62%
48. 28 feb. 2018 $117.47 1.60% 2,713.83 -3.89%
49. 31 mar. 2018 $125.58 6.90% 2,640.87 -2.69%
50. 30 abr. 2018 $125.90 0.25% 2,648.05 0.27%
51. 31 may. 2018 $129.10 2.54% 2,705.27 2.16%
52. 30 jun. 2018 $131.09 1.54% 2,718.37 0.48%
53. 31 jul. 2018 $128.44 -2.02% 2,816.29 3.60%
54. 31 ago. 2018 $154.35 20.17% 2,901.52 3.03%
55. 30 sept. 2018 $156.11 1.14% 2,913.98 0.43%
56. 31 oct. 2018 $129.25 -17.21% 2,711.74 -6.94%
57. 30 nov. 2018 $144.50 11.80% 2,760.17 1.79%
58. 31 dic. 2018 $128.61 -11.00% 2,506.85 -9.18%
59. 31 ene. 2019 $147.20 14.45% 2,704.10 7.87%
60. 28 feb. 2019 $163.01 10.74% 2,784.49 2.97%
61. 31 mar. 2019 $155.82 -4.41% 2,834.40 1.79%
62. 30 abr. 2019 $178.21 14.37% 2,945.83 3.93%
63. 31 may. 2019 $160.91 -9.71% 2,752.06 -6.58%
64. 30 jun. 2019 $162.90 1.24% 2,941.76 6.89%
65. 31 jul. 2019 $156.17 -4.13% 2,980.38 1.31%
66. 31 ago. 2019 $142.82 -8.55% 2,926.46 -1.81%
67. 30 sept. 2019 $147.70 3.42% 2,976.74 1.72%
68. 31 oct. 2019 $147.36 -0.23% 3,037.56 2.04%
69. 30 nov. 2019 $180.90 22.76% 3,140.98 3.40%
70. 31 dic. 2019 $183.46 1.42% 3,230.78 2.86%
71. 31 ene. 2020 $196.85 7.30% 3,225.52 -0.16%
Promedio (R): 2.32% 0.83%
Desviación típica: 9.57% 3.24%

Fuente: Autodesk Inc. (NASDAQ:ADSK) | 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 ADSK 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

Autodesk Inc., cálculo de varianza y covarianza de retornos

Microsoft Excel LibreOffice Calc
t Fecha RADSK,t RS&P 500,t (RADSK,tRADSK)2 (RS&P 500,tRS&P 500)2 (RADSK,tRADSK)×(RS&P 500,tRS&P 500)
1. 31 mar. 2014 -6.29% 0.69% 74.11 0.02 1.18
2. 30 abr. 2014 -2.36% 0.62% 21.90 0.04 0.99
3. 31 may. 2014 9.06% 2.10% 45.40 1.62 8.57
. . . . . . .
. . . . . . .
. . . . . . .
70. 31 dic. 2019 1.42% 2.86% 0.82 4.11 -1.84
71. 31 ene. 2020 7.30% -0.16% 24.78 0.99 -4.95
Total (Σ): 6,408.39 734.39 1,363.17
t Fecha RADSK,t RS&P 500,t (RADSK,tRADSK)2 (RS&P 500,tRS&P 500)2 (RADSK,tRADSK)×(RS&P 500,tRS&P 500)
1. 31 mar. 2014 -6.29% 0.69% 74.11 0.02 1.18
2. 30 abr. 2014 -2.36% 0.62% 21.90 0.04 0.99
3. 31 may. 2014 9.06% 2.10% 45.40 1.62 8.57
4. 30 jun. 2014 7.66% 1.91% 28.48 1.16 5.74
5. 31 jul. 2014 -5.37% -1.51% 59.21 5.47 18.00
6. 31 ago. 2014 0.54% 3.77% 3.16 8.61 -5.22
7. 30 sept. 2014 2.72% -1.55% 0.16 5.67 -0.96
8. 31 oct. 2014 4.43% 2.32% 4.44 2.22 3.14
9. 30 nov. 2014 7.75% 2.45% 29.49 2.63 8.81
10. 31 dic. 2014 -3.13% -0.42% 29.70 1.56 6.81
11. 31 ene. 2015 -10.07% -3.10% 153.61 15.48 48.77
12. 28 feb. 2015 18.94% 5.49% 276.23 21.70 77.42
13. 31 mar. 2015 -8.72% -1.74% 121.84 6.61 28.37
14. 30 abr. 2015 -3.09% 0.85% 29.24 0.00 -0.12
15. 31 may. 2015 -4.72% 1.05% 49.51 0.05 -1.54
16. 30 jun. 2015 -7.52% -2.10% 96.77 8.60 28.84
17. 31 jul. 2015 1.00% 1.97% 1.75 1.31 -1.51
18. 31 ago. 2015 -7.57% -6.26% 97.87 50.25 70.13
19. 30 sept. 2015 -5.58% -2.64% 62.47 12.08 27.47
20. 31 oct. 2015 25.03% 8.30% 515.89 55.76 169.61
21. 30 nov. 2015 15.00% 0.05% 160.83 0.61 -9.90
22. 31 dic. 2015 -4.00% -1.75% 39.98 6.68 16.34
23. 31 ene. 2016 -23.16% -5.07% 649.15 34.86 150.43
24. 29 feb. 2016 10.51% -0.41% 67.04 1.55 -10.18
25. 31 mar. 2016 12.70% 6.60% 107.69 33.27 59.86
26. 30 abr. 2016 2.59% 0.27% 0.07 0.31 -0.15
27. 31 may. 2016 -2.59% 1.53% 24.13 0.49 -3.45
28. 30 jun. 2016 -7.09% 0.09% 88.52 0.55 6.96
29. 31 jul. 2016 9.81% 3.56% 56.06 7.45 20.44
30. 31 ago. 2016 13.37% -0.12% 122.14 0.91 -10.53
31. 30 sept. 2016 7.31% -0.12% 24.94 0.91 -4.77
32. 31 oct. 2016 -0.07% -1.94% 5.71 7.69 6.63
33. 30 nov. 2016 0.46% 3.42% 3.48 6.69 -4.82
34. 31 dic. 2016 1.93% 1.82% 0.15 0.98 -0.39
35. 31 ene. 2017 9.90% 1.79% 57.51 0.92 7.26
36. 28 feb. 2017 6.10% 3.72% 14.27 8.35 10.91
37. 31 mar. 2017 0.20% -0.04% 4.51 0.76 1.85
38. 30 abr. 2017 4.16% 0.91% 3.39 0.01 0.14
39. 31 may. 2017 24.09% 1.16% 474.00 0.11 7.12
40. 30 jun. 2017 -9.80% 0.48% 146.84 0.12 4.23
41. 31 jul. 2017 9.89% 1.93% 57.28 1.22 8.36
42. 31 ago. 2017 3.31% 0.05% 0.98 0.60 -0.77
43. 30 sept. 2017 -1.92% 1.93% 18.00 1.21 -4.67
44. 31 oct. 2017 11.31% 2.22% 80.86 1.93 12.48
45. 30 nov. 2017 -12.21% 2.81% 211.20 3.91 -28.74
46. 31 dic. 2017 -4.44% 0.98% 45.70 0.02 -1.03
47. 31 ene. 2018 10.29% 5.62% 63.55 22.92 38.16
48. 28 feb. 2018 1.60% -3.89% 0.52 22.33 3.41
49. 31 mar. 2018 6.90% -2.69% 21.00 12.38 -16.13
50. 30 abr. 2018 0.25% 0.27% 4.27 0.31 1.15
51. 31 may. 2018 2.54% 2.16% 0.05 1.77 0.29
52. 30 jun. 2018 1.54% 0.48% 0.61 0.12 0.27
53. 31 jul. 2018 -2.02% 3.60% 18.86 7.68 -12.03
54. 31 ago. 2018 20.17% 3.03% 318.70 4.82 39.20
55. 30 sept. 2018 1.14% 0.43% 1.39 0.16 0.47
56. 31 oct. 2018 -17.21% -6.94% 381.29 60.39 151.74
57. 30 nov. 2018 11.80% 1.79% 89.83 0.91 9.05
58. 31 dic. 2018 -11.00% -9.18% 177.35 100.17 133.29
59. 31 ene. 2019 14.45% 7.87% 147.23 49.53 85.39
60. 28 feb. 2019 10.74% 2.97% 70.89 4.59 18.04
61. 31 mar. 2019 -4.41% 1.79% 45.31 0.92 -6.47
62. 30 abr. 2019 14.37% 3.93% 145.16 9.61 37.36
63. 31 may. 2019 -9.71% -6.58% 144.68 54.89 89.11
64. 30 jun. 2019 1.24% 6.89% 1.18 36.75 -6.57
65. 31 jul. 2019 -4.13% 1.31% 41.63 0.23 -3.11
66. 31 ago. 2019 -8.55% -1.81% 118.14 6.97 28.69
67. 30 sept. 2019 3.42% 1.72% 1.20 0.79 0.97
68. 31 oct. 2019 -0.23% 2.04% 6.51 1.47 -3.09
69. 30 nov. 2019 22.76% 3.40% 417.79 6.63 52.61
70. 31 dic. 2019 1.42% 2.86% 0.82 4.11 -1.84
71. 31 ene. 2020 7.30% -0.16% 24.78 0.99 -4.95
Total (Σ): 6,408.39 734.39 1,363.17

Show all

VarianzaADSK = Σ(RADSK,tRADSK)2 ÷ (71 – 1)
= 6,408.39 ÷ (71 – 1)
= 91.55

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 734.39 ÷ (71 – 1)
= 10.49

CovarianzaADSK, S&P 500 = Σ(RADSK,tRADSK)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 1,363.17 ÷ (71 – 1)
= 19.47


Estimación sistemática de riesgos (β)

Microsoft Excel LibreOffice Calc
VarianzaADSK 91.55
VarianzaS&P 500 10.49
CovarianzaADSK, S&P 500 19.47
Coeficiente de correlaciónADSK, S&P 5001 0.63
βADSK2 1.86
αADSK3 0.78%

Fuente: Autodesk Inc. (NASDAQ:ADSK) | CAPM (www.stock-analysis-on.net)

Cálculos

1 Coeficiente de correlaciónADSK, S&P 500
= CovarianzaADSK, S&P 500 ÷ (Desviación típicaADSK × Desviación típicaS&P 500)
= 19.47 ÷ (9.57% × 3.24%)
= 0.63

2 βADSK
= CovarianzaADSK, S&P 500 ÷ VarianzaS&P 500
= 19.47 ÷ 10.49
= 1.86

3 αADSK
= PromedioADSK – βADSK × PromedioS&P 500
= 2.32%1.86 × 0.83%
= 0.78%


Tasa de rendimiento esperada

Microsoft Excel LibreOffice Calc
Supuestos
Tasa de rendimiento de LT Treasury Composite1 RF 2.05%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 12.38%
Riesgo sistemático de las acciones ordinarias de Autodesk βADSK 1.86
 
Tasa de rendimiento esperada de las acciones ordinarias de Autodesk3 E(RADSK) 21.22%

Fuente: Autodesk Inc. (NASDAQ:ADSK) | 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(RADSK) = RF + βADSK [E(RM) – RF]
= 2.05% + 1.86 [12.38%2.05%]
= 21.22%