Stock Analysis on Net

Charter Communications Inc. (NASDAQ:CHTR)

Modelo de fijación de precios 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 los activos de riesgo, como las acciones ordinarias de Charter.


Tasas de retorno

Charter Communications Inc., tasas de rendimiento mensuales

Microsoft Excel LibreOffice Calc
Charter Communications Inc. (CHTR) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioCHTR,t1 DividendoCHTR,t1 RCHTR,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2017 $323.95 2,278.87
1. 28 feb. 2017 $323.06 -0.27% 2,363.64 3.72%
2. 31 mar. 2017 $327.32 1.32% 2,362.72 -0.04%
3. 30 abr. 2017 $345.16 5.45% 2,384.20 0.91%
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2021 $646.28 -4.24% 4,567.00 -0.83%
59. 31 dic. 2021 $651.97 0.88% 4,766.18 4.36%
Promedio (R): 1.45% 1.36%
Desviación estándar: 7.33% 4.48%
Charter Communications Inc. (CHTR) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioCHTR,t1 DividendoCHTR,t1 RCHTR,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2017 $323.95 2,278.87
1. 28 feb. 2017 $323.06 -0.27% 2,363.64 3.72%
2. 31 mar. 2017 $327.32 1.32% 2,362.72 -0.04%
3. 30 abr. 2017 $345.16 5.45% 2,384.20 0.91%
4. 31 may. 2017 $345.55 0.11% 2,411.80 1.16%
5. 30 jun. 2017 $336.85 -2.52% 2,423.41 0.48%
6. 31 jul. 2017 $391.97 16.36% 2,470.30 1.93%
7. 31 ago. 2017 $398.54 1.68% 2,471.65 0.05%
8. 30 sept. 2017 $363.42 -8.81% 2,519.36 1.93%
9. 31 oct. 2017 $334.17 -8.05% 2,575.26 2.22%
10. 30 nov. 2017 $326.21 -2.38% 2,647.58 2.81%
11. 31 dic. 2017 $335.96 2.99% 2,673.61 0.98%
12. 31 ene. 2018 $377.25 12.29% 2,823.81 5.62%
13. 28 feb. 2018 $341.93 -9.36% 2,713.83 -3.89%
14. 31 mar. 2018 $311.22 -8.98% 2,640.87 -2.69%
15. 30 abr. 2018 $271.29 -12.83% 2,648.05 0.27%
16. 31 may. 2018 $261.04 -3.78% 2,705.27 2.16%
17. 30 jun. 2018 $293.21 12.32% 2,718.37 0.48%
18. 31 jul. 2018 $304.58 3.88% 2,816.29 3.60%
19. 31 ago. 2018 $310.40 1.91% 2,901.52 3.03%
20. 30 sept. 2018 $325.88 4.99% 2,913.98 0.43%
21. 31 oct. 2018 $320.37 -1.69% 2,711.74 -6.94%
22. 30 nov. 2018 $329.20 2.76% 2,760.17 1.79%
23. 31 dic. 2018 $284.97 -13.44% 2,506.85 -9.18%
24. 31 ene. 2019 $331.05 16.17% 2,704.10 7.87%
25. 28 feb. 2019 $344.91 4.19% 2,784.49 2.97%
26. 31 mar. 2019 $346.91 0.58% 2,834.40 1.79%
27. 30 abr. 2019 $371.19 7.00% 2,945.83 3.93%
28. 31 may. 2019 $376.80 1.51% 2,752.06 -6.58%
29. 30 jun. 2019 $395.18 4.88% 2,941.76 6.89%
30. 31 jul. 2019 $385.38 -2.48% 2,980.38 1.31%
31. 31 ago. 2019 $409.59 6.28% 2,926.46 -1.81%
32. 30 sept. 2019 $412.12 0.62% 2,976.74 1.72%
33. 31 oct. 2019 $467.86 13.53% 3,037.56 2.04%
34. 30 nov. 2019 $470.01 0.46% 3,140.98 3.40%
35. 31 dic. 2019 $485.08 3.21% 3,230.78 2.86%
36. 31 ene. 2020 $517.46 6.68% 3,225.52 -0.16%
37. 29 feb. 2020 $493.17 -4.69% 2,954.22 -8.41%
38. 31 mar. 2020 $436.31 -11.53% 2,584.59 -12.51%
39. 30 abr. 2020 $495.23 13.50% 2,912.43 12.68%
40. 31 may. 2020 $544.00 9.85% 3,044.31 4.53%
41. 30 jun. 2020 $510.04 -6.24% 3,100.29 1.84%
42. 31 jul. 2020 $580.00 13.72% 3,271.12 5.51%
43. 31 ago. 2020 $615.61 6.14% 3,500.31 7.01%
44. 30 sept. 2020 $624.34 1.42% 3,363.00 -3.92%
45. 31 oct. 2020 $603.82 -3.29% 3,269.96 -2.77%
46. 30 nov. 2020 $651.99 7.98% 3,621.63 10.75%
47. 31 dic. 2020 $661.55 1.47% 3,756.07 3.71%
48. 31 ene. 2021 $607.56 -8.16% 3,714.24 -1.11%
49. 28 feb. 2021 $613.42 0.96% 3,811.15 2.61%
50. 31 mar. 2021 $617.02 0.59% 3,972.89 4.24%
51. 30 abr. 2021 $673.45 9.15% 4,181.17 5.24%
52. 31 may. 2021 $694.53 3.13% 4,204.11 0.55%
53. 30 jun. 2021 $721.45 3.88% 4,297.50 2.22%
54. 31 jul. 2021 $744.05 3.13% 4,395.26 2.27%
55. 31 ago. 2021 $816.66 9.76% 4,522.68 2.90%
56. 30 sept. 2021 $727.56 -10.91% 4,307.54 -4.76%
57. 31 oct. 2021 $674.89 -7.24% 4,605.38 6.91%
58. 30 nov. 2021 $646.28 -4.24% 4,567.00 -0.83%
59. 31 dic. 2021 $651.97 0.88% 4,766.18 4.36%
Promedio (R): 1.45% 1.36%
Desviación estándar: 7.33% 4.48%

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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 CHTR 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

Charter Communications Inc., cálculo de varianza y covarianza de rendimientos

Microsoft Excel LibreOffice Calc
t Fecha RCHTR,t RS&P 500,t (RCHTR,tRCHTR)2 (RS&P 500,tRS&P 500)2 (RCHTR,tRCHTR)×(RS&P 500,tRS&P 500)
1. 28 feb. 2017 -0.27% 3.72% 2.99 5.58 -4.08
2. 31 mar. 2017 1.32% -0.04% 0.02 1.95 0.19
3. 30 abr. 2017 5.45% 0.91% 15.97 0.20 -1.79
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2021 -4.24% -0.83% 32.41 4.80 12.48
59. 31 dic. 2021 0.88% 4.36% 0.33 9.02 -1.72
Total (Σ): 3,113.06 1,164.17 1,099.41
t Fecha RCHTR,t RS&P 500,t (RCHTR,tRCHTR)2 (RS&P 500,tRS&P 500)2 (RCHTR,tRCHTR)×(RS&P 500,tRS&P 500)
1. 28 feb. 2017 -0.27% 3.72% 2.99 5.58 -4.08
2. 31 mar. 2017 1.32% -0.04% 0.02 1.95 0.19
3. 30 abr. 2017 5.45% 0.91% 15.97 0.20 -1.79
4. 31 may. 2017 0.11% 1.16% 1.80 0.04 0.27
5. 30 jun. 2017 -2.52% 0.48% 15.78 0.77 3.48
6. 31 jul. 2017 16.36% 1.93% 222.28 0.33 8.60
7. 31 ago. 2017 1.68% 0.05% 0.05 1.70 -0.29
8. 30 sept. 2017 -8.81% 1.93% 105.40 0.33 -5.88
9. 31 oct. 2017 -8.05% 2.22% 90.30 0.74 -8.18
10. 30 nov. 2017 -2.38% 2.81% 14.72 2.10 -5.56
11. 31 dic. 2017 2.99% 0.98% 2.36 0.14 -0.58
12. 31 ene. 2018 12.29% 5.62% 117.42 18.15 46.16
13. 28 feb. 2018 -9.36% -3.89% 117.00 27.59 56.82
14. 31 mar. 2018 -8.98% -2.69% 108.90 16.37 42.23
15. 30 abr. 2018 -12.83% 0.27% 204.04 1.18 15.51
16. 31 may. 2018 -3.78% 2.16% 27.38 0.64 -4.20
17. 30 jun. 2018 12.32% 0.48% 118.15 0.76 -9.50
18. 31 jul. 2018 3.88% 3.60% 5.87 5.04 5.44
19. 31 ago. 2018 1.91% 3.03% 0.21 2.78 0.76
20. 30 sept. 2018 4.99% 0.43% 12.48 0.86 -3.28
21. 31 oct. 2018 -1.69% -6.94% 9.89 68.86 26.10
22. 30 nov. 2018 2.76% 1.79% 1.70 0.18 0.56
23. 31 dic. 2018 -13.44% -9.18% 221.71 111.00 156.87
24. 31 ene. 2019 16.17% 7.87% 216.56 42.39 95.81
25. 28 feb. 2019 4.19% 2.97% 7.47 2.61 4.41
26. 31 mar. 2019 0.58% 1.79% 0.76 0.19 -0.38
27. 30 abr. 2019 7.00% 3.93% 30.74 6.62 14.27
28. 31 may. 2019 1.51% -6.58% 0.00 62.97 -0.45
29. 30 jun. 2019 4.88% 6.89% 11.72 30.64 18.95
30. 31 jul. 2019 -2.48% 1.31% 15.48 0.00 0.18
31. 31 ago. 2019 6.28% -1.81% 23.31 10.03 -15.29
32. 30 sept. 2019 0.62% 1.72% 0.70 0.13 -0.30
33. 31 oct. 2019 13.53% 2.04% 145.71 0.47 8.27
34. 30 nov. 2019 0.46% 3.40% 0.99 4.19 -2.04
35. 31 dic. 2019 3.21% 2.86% 3.07 2.25 2.63
36. 31 ene. 2020 6.68% -0.16% 27.26 2.31 -7.94
37. 29 feb. 2020 -4.69% -8.41% 37.80 95.43 60.06
38. 31 mar. 2020 -11.53% -12.51% 168.58 192.37 180.08
39. 30 abr. 2020 13.50% 12.68% 145.20 128.29 136.48
40. 31 may. 2020 9.85% 4.53% 70.46 10.05 26.61
41. 30 jun. 2020 -6.24% 1.84% 59.24 0.23 -3.70
42. 31 jul. 2020 13.72% 5.51% 150.37 17.24 50.92
43. 31 ago. 2020 6.14% 7.01% 21.95 31.91 26.47
44. 30 sept. 2020 1.42% -3.92% 0.00 27.89 0.19
45. 31 oct. 2020 -3.29% -2.77% 22.48 17.01 19.55
46. 30 nov. 2020 7.98% 10.75% 42.55 88.30 61.30
47. 31 dic. 2020 1.47% 3.71% 0.00 5.54 0.03
48. 31 ene. 2021 -8.16% -1.11% 92.45 6.11 23.76
49. 28 feb. 2021 0.96% 2.61% 0.24 1.57 -0.61
50. 31 mar. 2021 0.59% 4.24% 0.75 8.33 -2.50
51. 30 abr. 2021 9.15% 5.24% 59.16 15.09 29.88
52. 31 may. 2021 3.13% 0.55% 2.81 0.65 -1.36
53. 30 jun. 2021 3.88% 2.22% 5.87 0.75 2.09
54. 31 jul. 2021 3.13% 2.27% 2.82 0.84 1.54
55. 31 ago. 2021 9.76% 2.90% 68.97 2.38 12.80
56. 30 sept. 2021 -10.91% -4.76% 152.88 37.39 75.61
57. 31 oct. 2021 -7.24% 6.91% 75.58 30.87 -48.30
58. 30 nov. 2021 -4.24% -0.83% 32.41 4.80 12.48
59. 31 dic. 2021 0.88% 4.36% 0.33 9.02 -1.72
Total (Σ): 3,113.06 1,164.17 1,099.41

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VarianzaCHTR = Σ(RCHTR,tRCHTR)2 ÷ (59 – 1)
= 3,113.06 ÷ (59 – 1)
= 53.67

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,164.17 ÷ (59 – 1)
= 20.07

CovarianzaCHTR, S&P 500 = Σ(RCHTR,tRCHTR)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,099.41 ÷ (59 – 1)
= 18.96


Estimación sistemática del riesgo (β)

Microsoft Excel LibreOffice Calc
VarianzaCHTR 53.67
VarianzaS&P 500 20.07
CovarianzaCHTR, S&P 500 18.96
Coeficiente de correlaciónCHTR, S&P 5001 0.58
βCHTR2 0.94
αCHTR3 0.17%

Cálculos

1 Coeficiente de correlaciónCHTR, S&P 500
= CovarianzaCHTR, S&P 500 ÷ (Desviación estándarCHTR × Desviación estándarS&P 500)
= 18.96 ÷ (7.33% × 4.48%)
= 0.58

2 βCHTR
= CovarianzaCHTR, S&P 500 ÷ VarianzaS&P 500
= 18.96 ÷ 20.07
= 0.94

3 αCHTR
= PromedioCHTR – βCHTR × PromedioS&P 500
= 1.45%0.94 × 1.36%
= 0.17%


Tasa de rendimiento esperada

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Suposiciones
Tasa de rendimiento de LT Treasury Composite1 RF 3.31%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 12.71%
Riesgo sistemático de acciones ordinarias Charter βCHTR 0.94
 
Tasa de rendimiento esperada de las acciones ordinarias de Charter3 E(RCHTR) 12.19%

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(RCHTR) = RF + βCHTR [E(RM) – RF]
= 3.31% + 0.94 [12.71%3.31%]
= 12.19%