Stock Analysis on Net

Cisco Systems Inc. (NASDAQ:CSCO)

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

Microsoft Excel

El modelo de fijación de precios de activos de capital (CAPM, por sus siglas en inglés) indica cuál debería ser la tasa de rendimiento esperada o requerida en activos de riesgo como las acciones ordinarias de Cisco.


Tasas de retorno

Cisco Systems Inc., tasas mensuales de retorno

Microsoft Excel
Cisco Systems Inc. (CSCO) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioCSCO,t1 DividendoCSCO,t1 RCSCO,t2 PrecioS&P 500,t RS&P 500,t3
31 ago. 2017 $32.21 2,471.65
1. 30 sept. 2017 $33.63 4.41% 2,519.36 1.93%
2. 31 oct. 2017 $34.15 $0.29 2.41% 2,575.26 2.22%
3. 30 nov. 2017 $37.30 9.22% 2,647.58 2.81%
. . . . . . .
. . . . . . .
. . . . . . .
70. 30 jun. 2023 $51.74 4.17% 4,376.86 4.71%
71. 31 jul. 2023 $52.04 $0.39 1.33% 4,588.96 4.85%
Promedio (R): 1.21% 1.00%
Desviación estándar: 7.46% 5.07%
Cisco Systems Inc. (CSCO) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioCSCO,t1 DividendoCSCO,t1 RCSCO,t2 PrecioS&P 500,t RS&P 500,t3
31 ago. 2017 $32.21 2,471.65
1. 30 sept. 2017 $33.63 4.41% 2,519.36 1.93%
2. 31 oct. 2017 $34.15 $0.29 2.41% 2,575.26 2.22%
3. 30 nov. 2017 $37.30 9.22% 2,647.58 2.81%
4. 31 dic. 2017 $38.30 2.68% 2,673.61 0.98%
5. 31 ene. 2018 $41.54 $0.29 9.22% 2,823.81 5.62%
6. 28 feb. 2018 $44.78 7.80% 2,713.83 -3.89%
7. 31 mar. 2018 $42.89 -4.22% 2,640.87 -2.69%
8. 30 abr. 2018 $44.29 $0.33 4.03% 2,648.05 0.27%
9. 31 may. 2018 $42.71 -3.57% 2,705.27 2.16%
10. 30 jun. 2018 $43.03 0.75% 2,718.37 0.48%
11. 31 jul. 2018 $42.29 $0.33 -0.95% 2,816.29 3.60%
12. 31 ago. 2018 $47.77 12.96% 2,901.52 3.03%
13. 30 sept. 2018 $48.65 1.84% 2,913.98 0.43%
14. 31 oct. 2018 $45.75 $0.33 -5.28% 2,711.74 -6.94%
15. 30 nov. 2018 $47.87 4.63% 2,760.17 1.79%
16. 31 dic. 2018 $43.33 -9.48% 2,506.85 -9.18%
17. 31 ene. 2019 $47.29 $0.33 9.90% 2,704.10 7.87%
18. 28 feb. 2019 $51.77 9.47% 2,784.49 2.97%
19. 31 mar. 2019 $53.99 4.29% 2,834.40 1.79%
20. 30 abr. 2019 $55.95 $0.35 4.28% 2,945.83 3.93%
21. 31 may. 2019 $52.03 -7.01% 2,752.06 -6.58%
22. 30 jun. 2019 $54.73 5.19% 2,941.76 6.89%
23. 31 jul. 2019 $55.40 $0.35 1.86% 2,980.38 1.31%
24. 31 ago. 2019 $46.81 -15.51% 2,926.46 -1.81%
25. 30 sept. 2019 $49.41 5.55% 2,976.74 1.72%
26. 31 oct. 2019 $47.51 $0.35 -3.14% 3,037.56 2.04%
27. 30 nov. 2019 $45.31 -4.63% 3,140.98 3.40%
28. 31 dic. 2019 $47.96 5.85% 3,230.78 2.86%
29. 31 ene. 2020 $45.97 $0.35 -3.42% 3,225.52 -0.16%
30. 29 feb. 2020 $39.93 -13.14% 2,954.22 -8.41%
31. 31 mar. 2020 $39.31 -1.55% 2,584.59 -12.51%
32. 30 abr. 2020 $42.38 $0.36 8.73% 2,912.43 12.68%
33. 31 may. 2020 $47.82 12.84% 3,044.31 4.53%
34. 30 jun. 2020 $46.64 -2.47% 3,100.29 1.84%
35. 31 jul. 2020 $47.10 $0.36 1.76% 3,271.12 5.51%
36. 31 ago. 2020 $42.22 -10.36% 3,500.31 7.01%
37. 30 sept. 2020 $39.39 -6.70% 3,363.00 -3.92%
38. 31 oct. 2020 $35.90 $0.36 -7.95% 3,269.96 -2.77%
39. 30 nov. 2020 $43.02 19.83% 3,621.63 10.75%
40. 31 dic. 2020 $44.75 4.02% 3,756.07 3.71%
41. 31 ene. 2021 $44.58 $0.36 0.42% 3,714.24 -1.11%
42. 28 feb. 2021 $44.87 0.65% 3,811.15 2.61%
43. 31 mar. 2021 $51.71 15.24% 3,972.89 4.24%
44. 30 abr. 2021 $50.91 $0.37 -0.83% 4,181.17 5.24%
45. 31 may. 2021 $52.90 3.91% 4,204.11 0.55%
46. 30 jun. 2021 $53.00 0.19% 4,297.50 2.22%
47. 31 jul. 2021 $55.37 $0.37 5.17% 4,395.26 2.27%
48. 31 ago. 2021 $59.02 6.59% 4,522.68 2.90%
49. 30 sept. 2021 $54.43 -7.78% 4,307.54 -4.76%
50. 31 oct. 2021 $55.97 $0.37 3.51% 4,605.38 6.91%
51. 30 nov. 2021 $54.84 -2.02% 4,567.00 -0.83%
52. 31 dic. 2021 $63.37 15.55% 4,766.18 4.36%
53. 31 ene. 2022 $55.67 $0.37 -11.57% 4,515.55 -5.26%
54. 28 feb. 2022 $55.77 0.18% 4,373.94 -3.14%
55. 31 mar. 2022 $55.76 -0.02% 4,530.41 3.58%
56. 30 abr. 2022 $48.98 $0.38 -11.48% 4,131.93 -8.80%
57. 31 may. 2022 $45.05 -8.02% 4,132.15 0.01%
58. 30 jun. 2022 $42.64 -5.35% 3,785.38 -8.39%
59. 31 jul. 2022 $45.37 $0.38 7.29% 4,130.29 9.11%
60. 31 ago. 2022 $44.72 -1.43% 3,955.00 -4.24%
61. 30 sept. 2022 $40.00 -10.55% 3,585.62 -9.34%
62. 31 oct. 2022 $45.43 $0.38 14.53% 3,871.98 7.99%
63. 30 nov. 2022 $49.72 9.44% 4,080.11 5.38%
64. 31 dic. 2022 $47.64 -4.18% 3,839.50 -5.90%
65. 31 ene. 2023 $48.67 $0.38 2.96% 4,076.60 6.18%
66. 28 feb. 2023 $48.42 -0.51% 3,970.15 -2.61%
67. 31 mar. 2023 $52.28 7.97% 4,109.31 3.51%
68. 30 abr. 2023 $47.25 $0.39 -8.88% 4,169.48 1.46%
69. 31 may. 2023 $49.67 5.12% 4,179.83 0.25%
70. 30 jun. 2023 $51.74 4.17% 4,376.86 4.71%
71. 31 jul. 2023 $52.04 $0.39 1.33% 4,588.96 4.85%
Promedio (R): 1.21% 1.00%
Desviación estándar: 7.46% 5.07%

Mostrar todo

1 Datos en dólares estadounidenses por acción ordinaria, ajustados por divisiones y dividendos de acciones.

2 Tasa de rendimiento de las acciones ordinarias de CSCO 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

Cisco Systems Inc., cálculo de la varianza y covarianza de los rendimientos

Microsoft Excel
t Fecha RCSCO,t RS&P 500,t (RCSCO,tRCSCO)2 (RS&P 500,tRS&P 500)2 (RCSCO,tRCSCO)×(RS&P 500,tRS&P 500)
1. 30 sept. 2017 4.41% 1.93% 10.24 0.86 2.97
2. 31 oct. 2017 2.41% 2.22% 1.44 1.48 1.46
3. 30 nov. 2017 9.22% 2.81% 64.26 3.26 14.47
. . . . . . .
. . . . . . .
. . . . . . .
70. 30 jun. 2023 4.17% 4.71% 8.76 13.77 10.98
71. 31 jul. 2023 1.33% 4.85% 0.02 14.77 0.48
Total (Σ): 3,898.64 1,800.45 1,763.04
t Fecha RCSCO,t RS&P 500,t (RCSCO,tRCSCO)2 (RS&P 500,tRS&P 500)2 (RCSCO,tRCSCO)×(RS&P 500,tRS&P 500)
1. 30 sept. 2017 4.41% 1.93% 10.24 0.86 2.97
2. 31 oct. 2017 2.41% 2.22% 1.44 1.48 1.46
3. 30 nov. 2017 9.22% 2.81% 64.26 3.26 14.47
4. 31 dic. 2017 2.68% 0.98% 2.17 0.00 -0.03
5. 31 ene. 2018 9.22% 5.62% 64.14 21.29 36.96
6. 28 feb. 2018 7.80% -3.89% 43.45 23.99 -32.29
7. 31 mar. 2018 -4.22% -2.69% 29.47 13.63 20.04
8. 30 abr. 2018 4.03% 0.27% 7.98 0.53 -2.07
9. 31 may. 2018 -3.57% 2.16% 22.80 1.34 -5.53
10. 30 jun. 2018 0.75% 0.48% 0.21 0.27 0.24
11. 31 jul. 2018 -0.95% 3.60% 4.67 6.75 -5.62
12. 31 ago. 2018 12.96% 3.03% 138.07 4.09 23.77
13. 30 sept. 2018 1.84% 0.43% 0.40 0.33 -0.36
14. 31 oct. 2018 -5.28% -6.94% 42.13 63.10 51.56
15. 30 nov. 2018 4.63% 1.79% 11.74 0.61 2.68
16. 31 dic. 2018 -9.48% -9.18% 114.32 103.65 108.85
17. 31 ene. 2019 9.90% 7.87% 75.56 47.13 59.68
18. 28 feb. 2019 9.47% 2.97% 68.32 3.88 16.28
19. 31 mar. 2019 4.29% 1.79% 9.49 0.62 2.43
20. 30 abr. 2019 4.28% 3.93% 9.43 8.57 8.99
21. 31 may. 2019 -7.01% -6.58% 67.47 57.47 62.27
22. 30 jun. 2019 5.19% 6.89% 15.85 34.69 23.45
23. 31 jul. 2019 1.86% 1.31% 0.43 0.10 0.20
24. 31 ago. 2019 -15.51% -1.81% 279.34 7.91 47.01
25. 30 sept. 2019 5.55% 1.72% 18.89 0.51 3.11
26. 31 oct. 2019 -3.14% 2.04% 18.88 1.08 -4.52
27. 30 nov. 2019 -4.63% 3.40% 34.09 5.77 -14.02
28. 31 dic. 2019 5.85% 2.86% 21.54 3.44 8.61
29. 31 ene. 2020 -3.42% -0.16% 21.41 1.36 5.40
30. 29 feb. 2020 -13.14% -8.41% 205.84 88.63 135.07
31. 31 mar. 2020 -1.55% -12.51% 7.62 182.66 37.31
32. 30 abr. 2020 8.73% 12.68% 56.51 136.45 87.81
33. 31 may. 2020 12.84% 4.53% 135.22 12.42 40.99
34. 30 jun. 2020 -2.47% 1.84% 13.51 0.70 -3.07
35. 31 jul. 2020 1.76% 5.51% 0.30 20.31 2.48
36. 31 ago. 2020 -10.36% 7.01% 133.84 36.04 -69.45
37. 30 sept. 2020 -6.70% -3.92% 62.58 24.27 38.97
38. 31 oct. 2020 -7.95% -2.77% 83.80 14.21 34.51
39. 30 nov. 2020 19.83% 10.75% 346.89 95.09 181.62
40. 31 dic. 2020 4.02% 3.71% 7.92 7.34 7.62
41. 31 ene. 2021 0.42% -1.11% 0.61 4.48 1.66
42. 28 feb. 2021 0.65% 2.61% 0.31 2.58 -0.90
43. 31 mar. 2021 15.24% 4.24% 197.01 10.50 45.49
44. 30 abr. 2021 -0.83% 5.24% 4.16 17.97 -8.65
45. 31 may. 2021 3.91% 0.55% 7.29 0.21 -1.23
46. 30 jun. 2021 0.19% 2.22% 1.04 1.48 -1.24
47. 31 jul. 2021 5.17% 2.27% 15.70 1.62 5.04
48. 31 ago. 2021 6.59% 2.90% 28.99 3.59 10.21
49. 30 sept. 2021 -7.78% -4.76% 80.73 33.18 51.76
50. 31 oct. 2021 3.51% 6.91% 5.30 34.94 13.60
51. 30 nov. 2021 -2.02% -0.83% 10.41 3.37 5.93
52. 31 dic. 2021 15.55% 4.36% 205.82 11.28 48.18
53. 31 ene. 2022 -11.57% -5.26% 163.20 39.21 79.99
54. 28 feb. 2022 0.18% -3.14% 1.06 17.13 4.26
55. 31 mar. 2022 -0.02% 3.58% 1.50 6.63 -3.16
56. 30 abr. 2022 -11.48% -8.80% 160.93 96.02 124.31
57. 31 may. 2022 -8.02% 0.01% 85.22 1.00 9.21
58. 30 jun. 2022 -5.35% -8.39% 43.00 88.27 61.61
59. 31 jul. 2022 7.29% 9.11% 37.04 65.75 49.34
60. 31 ago. 2022 -1.43% -4.24% 6.97 27.53 13.86
61. 30 sept. 2022 -10.55% -9.34% 138.36 106.97 121.66
62. 31 oct. 2022 14.53% 7.99% 177.34 48.76 92.99
63. 30 nov. 2022 9.44% 5.38% 67.82 19.11 36.00
64. 31 dic. 2022 -4.18% -5.90% 29.07 47.62 37.20
65. 31 ene. 2023 2.96% 6.18% 3.07 26.75 9.06
66. 28 feb. 2023 -0.51% -2.61% 2.96 13.06 6.22
67. 31 mar. 2023 7.97% 3.51% 45.75 6.26 16.92
68. 30 abr. 2023 -8.88% 1.46% 101.67 0.21 -4.65
69. 31 may. 2023 5.12% 0.25% 15.32 0.57 -2.96
70. 30 jun. 2023 4.17% 4.71% 8.76 13.77 10.98
71. 31 jul. 2023 1.33% 4.85% 0.02 14.77 0.48
Total (Σ): 3,898.64 1,800.45 1,763.04

Mostrar todo

VarianzaCSCO = Σ(RCSCO,tRCSCO)2 ÷ (71 – 1)
= 3,898.64 ÷ (71 – 1)
= 55.69

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,800.45 ÷ (71 – 1)
= 25.72

CovarianzaCSCO, S&P 500 = Σ(RCSCO,tRCSCO)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 1,763.04 ÷ (71 – 1)
= 25.19


Estimación sistemática del riesgo (β)

Microsoft Excel
VarianzaCSCO 55.69
VarianzaS&P 500 25.72
CovarianzaCSCO, S&P 500 25.19
Coeficiente de correlaciónCSCO, S&P 5001 0.67
βCSCO2 0.98
αCSCO3 0.23%

Cálculos

1 Coeficiente de correlaciónCSCO, S&P 500
= CovarianzaCSCO, S&P 500 ÷ (Desviación estándarCSCO × Desviación estándarS&P 500)
= 25.19 ÷ (7.46% × 5.07%)
= 0.67

2 βCSCO
= CovarianzaCSCO, S&P 500 ÷ VarianzaS&P 500
= 25.19 ÷ 25.72
= 0.98

3 αCSCO
= PromedioCSCO – βCSCO × PromedioS&P 500
= 1.21%0.98 × 1.00%
= 0.23%


Tasa de rendimiento esperada

Microsoft Excel
Suposiciones
Tasa de rendimiento del LT Treasury Composite1 RF 4.53%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 13.63%
Riesgo sistemático de Cisco acciones ordinarias βCSCO 0.98
 
Tasa de rendimiento esperada de las acciones ordinarias de Cisco3 E(RCSCO) 13.44%

1 Promedio no ponderado de los rendimientos de las ofertas de todos los bonos del Tesoro de EE. UU. con cupón fijo en circulación que no vencen ni son rescatables en menos de 10 años (proxy de tasa de rendimiento libre de riesgo).

2 Ver detalles »

3 E(RCSCO) = RF + βCSCO [E(RM) – RF]
= 4.53% + 0.98 [13.63%4.53%]
= 13.44%