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 en activos de riesgo como las acciones ordinarias de CrowdStrike.
Tasas de retorno
CrowdStrike Holdings Inc., tasas mensuales de retorno
| CrowdStrike Holdings Inc. (CRWD) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Fecha | PrecioCRWD,t1 | DividendoCRWD,t1 | RCRWD,t2 | PrecioS&P 500,t | RS&P 500,t3 |
| 30 jun. 2019 | $68.29 | 2,941.76 | ||||
| 1. | 31 jul. 2019 | $89.07 | 30.43% | 2,980.38 | 1.31% | |
| 2. | 31 ago. 2019 | $81.28 | -8.75% | 2,926.46 | -1.81% | |
| 3. | 30 sept. 2019 | $58.31 | -28.26% | 2,976.74 | 1.72% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 54. | 31 dic. 2023 | $255.32 | 7.73% | 4,769.83 | 4.42% | |
| 55. | 31 ene. 2024 | $292.50 | 14.56% | 4,845.65 | 1.59% | |
| Promedio (R): | 3.86% | 1.05% | ||||
| Desviación estándar: | 15.70% | 5.32% | ||||
| CrowdStrike Holdings Inc. (CRWD) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Fecha | PrecioCRWD,t1 | DividendoCRWD,t1 | RCRWD,t2 | PrecioS&P 500,t | RS&P 500,t3 |
| 30 jun. 2019 | $68.29 | 2,941.76 | ||||
| 1. | 31 jul. 2019 | $89.07 | 30.43% | 2,980.38 | 1.31% | |
| 2. | 31 ago. 2019 | $81.28 | -8.75% | 2,926.46 | -1.81% | |
| 3. | 30 sept. 2019 | $58.31 | -28.26% | 2,976.74 | 1.72% | |
| 4. | 31 oct. 2019 | $49.91 | -14.41% | 3,037.56 | 2.04% | |
| 5. | 30 nov. 2019 | $58.00 | 16.21% | 3,140.98 | 3.40% | |
| 6. | 31 dic. 2019 | $49.87 | -14.02% | 3,230.78 | 2.86% | |
| 7. | 31 ene. 2020 | $61.09 | 22.50% | 3,225.52 | -0.16% | |
| 8. | 29 feb. 2020 | $59.64 | -2.37% | 2,954.22 | -8.41% | |
| 9. | 31 mar. 2020 | $55.68 | -6.64% | 2,584.59 | -12.51% | |
| 10. | 30 abr. 2020 | $67.66 | 21.52% | 2,912.43 | 12.68% | |
| 11. | 31 may. 2020 | $87.81 | 29.78% | 3,044.31 | 4.53% | |
| 12. | 30 jun. 2020 | $100.29 | 14.21% | 3,100.29 | 1.84% | |
| 13. | 31 jul. 2020 | $113.20 | 12.87% | 3,271.12 | 5.51% | |
| 14. | 31 ago. 2020 | $125.73 | 11.07% | 3,500.31 | 7.01% | |
| 15. | 30 sept. 2020 | $137.32 | 9.22% | 3,363.00 | -3.92% | |
| 16. | 31 oct. 2020 | $123.84 | -9.82% | 3,269.96 | -2.77% | |
| 17. | 30 nov. 2020 | $153.28 | 23.77% | 3,621.63 | 10.75% | |
| 18. | 31 dic. 2020 | $211.82 | 38.19% | 3,756.07 | 3.71% | |
| 19. | 31 ene. 2021 | $215.80 | 1.88% | 3,714.24 | -1.11% | |
| 20. | 28 feb. 2021 | $216.00 | 0.09% | 3,811.15 | 2.61% | |
| 21. | 31 mar. 2021 | $182.51 | -15.50% | 3,972.89 | 4.24% | |
| 22. | 30 abr. 2021 | $208.51 | 14.25% | 4,181.17 | 5.24% | |
| 23. | 31 may. 2021 | $222.15 | 6.54% | 4,204.11 | 0.55% | |
| 24. | 30 jun. 2021 | $251.31 | 13.13% | 4,297.50 | 2.22% | |
| 25. | 31 jul. 2021 | $253.61 | 0.92% | 4,395.26 | 2.27% | |
| 26. | 31 ago. 2021 | $281.00 | 10.80% | 4,522.68 | 2.90% | |
| 27. | 30 sept. 2021 | $245.78 | -12.53% | 4,307.54 | -4.76% | |
| 28. | 31 oct. 2021 | $281.80 | 14.66% | 4,605.38 | 6.91% | |
| 29. | 30 nov. 2021 | $217.14 | -22.95% | 4,567.00 | -0.83% | |
| 30. | 31 dic. 2021 | $204.75 | -5.71% | 4,766.18 | 4.36% | |
| 31. | 31 ene. 2022 | $180.64 | -11.78% | 4,515.55 | -5.26% | |
| 32. | 28 feb. 2022 | $195.21 | 8.07% | 4,373.94 | -3.14% | |
| 33. | 31 mar. 2022 | $227.08 | 16.33% | 4,530.41 | 3.58% | |
| 34. | 30 abr. 2022 | $198.76 | -12.47% | 4,131.93 | -8.80% | |
| 35. | 31 may. 2022 | $159.99 | -19.51% | 4,132.15 | 0.01% | |
| 36. | 30 jun. 2022 | $168.56 | 5.36% | 3,785.38 | -8.39% | |
| 37. | 31 jul. 2022 | $183.60 | 8.92% | 4,130.29 | 9.11% | |
| 38. | 31 ago. 2022 | $182.61 | -0.54% | 3,955.00 | -4.24% | |
| 39. | 30 sept. 2022 | $164.81 | -9.75% | 3,585.62 | -9.34% | |
| 40. | 31 oct. 2022 | $161.20 | -2.19% | 3,871.98 | 7.99% | |
| 41. | 30 nov. 2022 | $117.65 | -27.02% | 4,080.11 | 5.38% | |
| 42. | 31 dic. 2022 | $105.29 | -10.51% | 3,839.50 | -5.90% | |
| 43. | 31 ene. 2023 | $105.90 | 0.58% | 4,076.60 | 6.18% | |
| 44. | 28 feb. 2023 | $120.69 | 13.97% | 3,970.15 | -2.61% | |
| 45. | 31 mar. 2023 | $137.26 | 13.73% | 4,109.31 | 3.51% | |
| 46. | 30 abr. 2023 | $120.05 | -12.54% | 4,169.48 | 1.46% | |
| 47. | 31 may. 2023 | $160.13 | 33.39% | 4,179.83 | 0.25% | |
| 48. | 30 jun. 2023 | $146.87 | -8.28% | 4,376.86 | 4.71% | |
| 49. | 31 jul. 2023 | $161.66 | 10.07% | 4,588.96 | 4.85% | |
| 50. | 31 ago. 2023 | $163.03 | 0.85% | 4,507.66 | -1.77% | |
| 51. | 30 sept. 2023 | $167.38 | 2.67% | 4,288.05 | -4.87% | |
| 52. | 31 oct. 2023 | $176.77 | 5.61% | 4,193.80 | -2.20% | |
| 53. | 30 nov. 2023 | $236.99 | 34.07% | 4,567.80 | 8.92% | |
| 54. | 31 dic. 2023 | $255.32 | 7.73% | 4,769.83 | 4.42% | |
| 55. | 31 ene. 2024 | $292.50 | 14.56% | 4,845.65 | 1.59% | |
| Promedio (R): | 3.86% | 1.05% | ||||
| Desviación estándar: | 15.70% | 5.32% | ||||
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 CRWD 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
CrowdStrike Holdings Inc., cálculo de la varianza y covarianza de los rendimientos
| t | Fecha | RCRWD,t | RS&P 500,t | (RCRWD,t–RCRWD)2 | (RS&P 500,t–RS&P 500)2 | (RCRWD,t–RCRWD)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 31 jul. 2019 | 30.43% | 1.31% | 705.82 | 0.07 | 6.95 |
| 2. | 31 ago. 2019 | -8.75% | -1.81% | 158.95 | 8.18 | 36.06 |
| 3. | 30 sept. 2019 | -28.26% | 1.72% | 1,031.83 | 0.44 | -21.42 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 54. | 31 dic. 2023 | 7.73% | 4.42% | 15.00 | 11.37 | 13.06 |
| 55. | 31 ene. 2024 | 14.56% | 1.59% | 114.50 | 0.29 | 5.76 |
| Total (Σ): | 13,311.36 | 1,529.90 | 1,650.95 | |||
| t | Fecha | RCRWD,t | RS&P 500,t | (RCRWD,t–RCRWD)2 | (RS&P 500,t–RS&P 500)2 | (RCRWD,t–RCRWD)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 31 jul. 2019 | 30.43% | 1.31% | 705.82 | 0.07 | 6.95 |
| 2. | 31 ago. 2019 | -8.75% | -1.81% | 158.95 | 8.18 | 36.06 |
| 3. | 30 sept. 2019 | -28.26% | 1.72% | 1,031.83 | 0.44 | -21.42 |
| 4. | 31 oct. 2019 | -14.41% | 2.04% | 333.70 | 0.98 | -18.12 |
| 5. | 30 nov. 2019 | 16.21% | 3.40% | 152.46 | 5.54 | 29.06 |
| 6. | 31 dic. 2019 | -14.02% | 2.86% | 319.66 | 3.27 | -32.32 |
| 7. | 31 ene. 2020 | 22.50% | -0.16% | 347.33 | 1.47 | -22.63 |
| 8. | 29 feb. 2020 | -2.37% | -8.41% | 38.88 | 89.54 | 59.00 |
| 9. | 31 mar. 2020 | -6.64% | -12.51% | 110.28 | 183.96 | 142.44 |
| 10. | 30 abr. 2020 | 21.52% | 12.68% | 311.66 | 135.33 | 205.37 |
| 11. | 31 may. 2020 | 29.78% | 4.53% | 671.82 | 12.09 | 90.12 |
| 12. | 30 jun. 2020 | 14.21% | 1.84% | 107.14 | 0.62 | 8.15 |
| 13. | 31 jul. 2020 | 12.87% | 5.51% | 81.20 | 19.88 | 40.18 |
| 14. | 31 ago. 2020 | 11.07% | 7.01% | 51.94 | 35.46 | 42.92 |
| 15. | 30 sept. 2020 | 9.22% | -3.92% | 28.69 | 24.74 | -26.64 |
| 16. | 31 oct. 2020 | -9.82% | -2.77% | 187.09 | 14.58 | 52.22 |
| 17. | 30 nov. 2020 | 23.77% | 10.75% | 396.44 | 94.15 | 193.20 |
| 18. | 31 dic. 2020 | 38.19% | 3.71% | 1,178.53 | 7.08 | 91.35 |
| 19. | 31 ene. 2021 | 1.88% | -1.11% | 3.93 | 4.69 | 4.29 |
| 20. | 28 feb. 2021 | 0.09% | 2.61% | 14.21 | 2.43 | -5.87 |
| 21. | 31 mar. 2021 | -15.50% | 4.24% | 375.06 | 10.19 | -61.83 |
| 22. | 30 abr. 2021 | 14.25% | 5.24% | 107.83 | 17.57 | 43.52 |
| 23. | 31 may. 2021 | 6.54% | 0.55% | 7.18 | 0.25 | -1.35 |
| 24. | 30 jun. 2021 | 13.13% | 2.22% | 85.83 | 1.37 | 10.84 |
| 25. | 31 jul. 2021 | 0.92% | 2.27% | 8.68 | 1.50 | -3.61 |
| 26. | 31 ago. 2021 | 10.80% | 2.90% | 48.14 | 3.41 | 12.82 |
| 27. | 30 sept. 2021 | -12.53% | -4.76% | 268.82 | 33.74 | 95.23 |
| 28. | 31 oct. 2021 | 14.66% | 6.91% | 116.50 | 34.38 | 63.28 |
| 29. | 30 nov. 2021 | -22.95% | -0.83% | 718.62 | 3.55 | 50.52 |
| 30. | 31 dic. 2021 | -5.71% | 4.36% | 91.54 | 10.96 | -31.67 |
| 31. | 31 ene. 2022 | -11.78% | -5.26% | 244.52 | 39.81 | 98.67 |
| 32. | 28 feb. 2022 | 8.07% | -3.14% | 17.67 | 17.53 | -17.60 |
| 33. | 31 mar. 2022 | 16.33% | 3.58% | 155.36 | 6.38 | 31.48 |
| 34. | 30 abr. 2022 | -12.47% | -8.80% | 266.77 | 96.96 | 160.83 |
| 35. | 31 may. 2022 | -19.51% | 0.01% | 546.05 | 1.09 | 24.44 |
| 36. | 30 jun. 2022 | 5.36% | -8.39% | 2.23 | 89.18 | -14.12 |
| 37. | 31 jul. 2022 | 8.92% | 9.11% | 25.61 | 64.97 | 40.79 |
| 38. | 31 ago. 2022 | -0.54% | -4.24% | 19.37 | 28.04 | 23.30 |
| 39. | 30 sept. 2022 | -9.75% | -9.34% | 185.21 | 107.97 | 141.41 |
| 40. | 31 oct. 2022 | -2.19% | 7.99% | 36.63 | 48.09 | -41.97 |
| 41. | 30 nov. 2022 | -27.02% | 5.38% | 953.44 | 18.70 | -133.51 |
| 42. | 31 dic. 2022 | -10.51% | -5.90% | 206.43 | 48.28 | 99.83 |
| 43. | 31 ene. 2023 | 0.58% | 6.18% | 10.77 | 26.25 | -16.82 |
| 44. | 28 feb. 2023 | 13.97% | -2.61% | 102.10 | 13.41 | -37.01 |
| 45. | 31 mar. 2023 | 13.73% | 3.51% | 97.37 | 6.02 | 24.21 |
| 46. | 30 abr. 2023 | -12.54% | 1.46% | 268.96 | 0.17 | -6.77 |
| 47. | 31 may. 2023 | 33.39% | 0.25% | 871.69 | 0.64 | -23.71 |
| 48. | 30 jun. 2023 | -8.28% | 4.71% | 147.44 | 13.41 | -44.47 |
| 49. | 31 jul. 2023 | 10.07% | 4.85% | 38.54 | 14.40 | 23.56 |
| 50. | 31 ago. 2023 | 0.85% | -1.77% | 9.09 | 7.97 | 8.51 |
| 51. | 30 sept. 2023 | 2.67% | -4.87% | 1.42 | 35.08 | 7.07 |
| 52. | 31 oct. 2023 | 5.61% | -2.20% | 3.06 | 10.56 | -5.68 |
| 53. | 30 nov. 2023 | 34.07% | 8.92% | 912.35 | 61.88 | 237.61 |
| 54. | 31 dic. 2023 | 7.73% | 4.42% | 15.00 | 11.37 | 13.06 |
| 55. | 31 ene. 2024 | 14.56% | 1.59% | 114.50 | 0.29 | 5.76 |
| Total (Σ): | 13,311.36 | 1,529.90 | 1,650.95 | |||
Mostrar todo
VarianzaCRWD = Σ(RCRWD,t–RCRWD)2 ÷ (55 – 1)
= 13,311.36 ÷ (55 – 1)
= 246.51
VarianzaS&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (55 – 1)
= 1,529.90 ÷ (55 – 1)
= 28.33
CovarianzaCRWD, S&P 500 = Σ(RCRWD,t–RCRWD)×(RS&P 500,t–RS&P 500) ÷ (55 – 1)
= 1,650.95 ÷ (55 – 1)
= 30.57
Estimación sistemática del riesgo (β)
| VarianzaCRWD | 246.51 |
| VarianzaS&P 500 | 28.33 |
| CovarianzaCRWD, S&P 500 | 30.57 |
| Coeficiente de correlaciónCRWD, S&P 5001 | 0.37 |
| βCRWD2 | 1.08 |
| αCRWD3 | 2.73% |
Cálculos
1 Coeficiente de correlaciónCRWD, S&P 500
= CovarianzaCRWD, S&P 500 ÷ (Desviación estándarCRWD × Desviación estándarS&P 500)
= 30.57 ÷ (15.70% × 5.32%)
= 0.37
2 βCRWD
= CovarianzaCRWD, S&P 500 ÷ VarianzaS&P 500
= 30.57 ÷ 28.33
= 1.08
3 αCRWD
= PromedioCRWD – βCRWD × PromedioS&P 500
= 3.86% – 1.08 × 1.05%
= 2.73%
Tasa de rendimiento esperada
| Suposiciones | ||
| Tasa de rendimiento del LT Treasury Composite1 | RF | 4.07% |
| Tasa de rendimiento esperada de la cartera de mercado2 | E(RM) | 13.86% |
| Riesgo sistemático de CrowdStrike acciones ordinarias | βCRWD | 1.08 |
| Tasa de rendimiento esperada de las acciones ordinarias de CrowdStrike3 | E(RCRWD) | 14.64% |
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).
3 E(RCRWD) = RF + βCRWD [E(RM) – RF]
= 4.07% + 1.08 [13.86% – 4.07%]
= 14.64%