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Illumina Inc. (NASDAQ:ILMN)

Modelo de valoración de activos de capital (CAPM)

Nivel de dificultad medio

Las tasas de rendimiento

Illumina Inc., tasas de rendimiento mensuales

Microsoft Excel LibreOffice Calc
Illumina Inc. (ILMN) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioILMN,t1 DividendoILMN,t1 RILMN,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2016 $157.95 1,940.24
1. 29 feb. 2016 $150.24 -4.88% 1,932.23 -0.41%
2. 31 mar. 2016 $162.11 7.90% 2,059.74 6.60%
3. 30 abr. 2016 $134.99 -16.73% 2,065.30 0.27%
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2020 $322.09 10.04% 3,621.63 10.75%
59. 31 dic. 2020 $370.00 14.87% 3,756.07 3.71%
Promedio (R): 1.96% 1.22%
Desviación típica: 10.13% 4.36%

Fuente: Illumina Inc. (NASDAQ:ILMN) | CAPM (www.stock-analysis-on.net)

Illumina Inc. (ILMN) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioILMN,t1 DividendoILMN,t1 RILMN,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2016 $157.95 1,940.24
1. 29 feb. 2016 $150.24 -4.88% 1,932.23 -0.41%
2. 31 mar. 2016 $162.11 7.90% 2,059.74 6.60%
3. 30 abr. 2016 $134.99 -16.73% 2,065.30 0.27%
4. 31 may. 2016 $144.83 7.29% 2,096.95 1.53%
5. 30 jun. 2016 $140.38 -3.07% 2,098.86 0.09%
6. 31 jul. 2016 $166.35 18.50% 2,173.60 3.56%
7. 31 ago. 2016 $168.34 1.20% 2,170.95 -0.12%
8. 30 sept. 2016 $181.66 7.91% 2,168.27 -0.12%
9. 31 oct. 2016 $136.14 -25.06% 2,126.15 -1.94%
10. 30 nov. 2016 $133.14 -2.20% 2,198.81 3.42%
11. 31 dic. 2016 $128.04 -3.83% 2,238.83 1.82%
12. 31 ene. 2017 $160.10 25.04% 2,278.87 1.79%
13. 28 feb. 2017 $167.40 4.56% 2,363.64 3.72%
14. 31 mar. 2017 $170.64 1.94% 2,362.72 -0.04%
15. 30 abr. 2017 $184.86 8.33% 2,384.20 0.91%
16. 31 may. 2017 $177.36 -4.06% 2,411.80 1.16%
17. 30 jun. 2017 $173.52 -2.17% 2,423.41 0.48%
18. 31 jul. 2017 $173.85 0.19% 2,470.30 1.93%
19. 31 ago. 2017 $204.46 17.61% 2,471.65 0.05%
20. 30 sept. 2017 $199.20 -2.57% 2,519.36 1.93%
21. 31 oct. 2017 $205.19 3.01% 2,575.26 2.22%
22. 30 nov. 2017 $230.03 12.11% 2,647.58 2.81%
23. 31 dic. 2017 $218.49 -5.02% 2,673.61 0.98%
24. 31 ene. 2018 $232.64 6.48% 2,823.81 5.62%
25. 28 feb. 2018 $228.02 -1.99% 2,713.83 -3.89%
26. 31 mar. 2018 $236.42 3.68% 2,640.87 -2.69%
27. 30 abr. 2018 $240.93 1.91% 2,648.05 0.27%
28. 31 may. 2018 $272.44 13.08% 2,705.27 2.16%
29. 30 jun. 2018 $279.29 2.51% 2,718.37 0.48%
30. 31 jul. 2018 $324.36 16.14% 2,816.29 3.60%
31. 31 ago. 2018 $354.83 9.39% 2,901.52 3.03%
32. 30 sept. 2018 $367.06 3.45% 2,913.98 0.43%
33. 31 oct. 2018 $311.15 -15.23% 2,711.74 -6.94%
34. 30 nov. 2018 $337.50 8.47% 2,760.17 1.79%
35. 31 dic. 2018 $299.93 -11.13% 2,506.85 -9.18%
36. 31 ene. 2019 $279.79 -6.71% 2,704.10 7.87%
37. 28 feb. 2019 $312.77 11.79% 2,784.49 2.97%
38. 31 mar. 2019 $310.69 -0.67% 2,834.40 1.79%
39. 30 abr. 2019 $312.00 0.42% 2,945.83 3.93%
40. 31 may. 2019 $306.91 -1.63% 2,752.06 -6.58%
41. 30 jun. 2019 $368.15 19.95% 2,941.76 6.89%
42. 31 jul. 2019 $299.38 -18.68% 2,980.38 1.31%
43. 31 ago. 2019 $281.34 -6.03% 2,926.46 -1.81%
44. 30 sept. 2019 $304.22 8.13% 2,976.74 1.72%
45. 31 oct. 2019 $295.52 -2.86% 3,037.56 2.04%
46. 30 nov. 2019 $320.76 8.54% 3,140.98 3.40%
47. 31 dic. 2019 $331.74 3.42% 3,230.78 2.86%
48. 31 ene. 2020 $290.07 -12.56% 3,225.52 -0.16%
49. 29 feb. 2020 $265.67 -8.41% 2,954.22 -8.41%
50. 31 mar. 2020 $273.12 2.80% 2,584.59 -12.51%
51. 30 abr. 2020 $319.03 16.81% 2,912.43 12.68%
52. 31 may. 2020 $363.05 13.80% 3,044.31 4.53%
53. 30 jun. 2020 $370.35 2.01% 3,100.29 1.84%
54. 31 jul. 2020 $382.16 3.19% 3,271.12 5.51%
55. 31 ago. 2020 $357.22 -6.53% 3,500.31 7.01%
56. 30 sept. 2020 $309.08 -13.48% 3,363.00 -3.92%
57. 31 oct. 2020 $292.70 -5.30% 3,269.96 -2.77%
58. 30 nov. 2020 $322.09 10.04% 3,621.63 10.75%
59. 31 dic. 2020 $370.00 14.87% 3,756.07 3.71%
Promedio (R): 1.96% 1.22%
Desviación típica: 10.13% 4.36%

Fuente: Illumina Inc. (NASDAQ:ILMN) | 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 ILMN 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

Illumina Inc., cálculo de varianza y covarianza de retornos

Microsoft Excel LibreOffice Calc
t Fecha RILMN,t RS&P 500,t (RILMN,tRILMN)2 (RS&P 500,tRS&P 500)2 (RILMN,tRILMN)×(RS&P 500,tRS&P 500)
1. 29 feb. 2016 -4.88% -0.41% 46.81 2.67 11.17
2. 31 mar. 2016 7.90% 6.60% 35.28 28.93 31.95
3. 30 abr. 2016 -16.73% 0.27% 349.32 0.90 17.76
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2020 10.04% 10.75% 65.29 90.91 77.04
59. 31 dic. 2020 14.87% 3.71% 166.77 6.21 32.18
Total (Σ): 5,951.36 1,103.45 1,173.17
t Fecha RILMN,t RS&P 500,t (RILMN,tRILMN)2 (RS&P 500,tRS&P 500)2 (RILMN,tRILMN)×(RS&P 500,tRS&P 500)
1. 29 feb. 2016 -4.88% -0.41% 46.81 2.67 11.17
2. 31 mar. 2016 7.90% 6.60% 35.28 28.93 31.95
3. 30 abr. 2016 -16.73% 0.27% 349.32 0.90 17.76
4. 31 may. 2016 7.29% 1.53% 28.40 0.10 1.66
5. 30 jun. 2016 -3.07% 0.09% 25.33 1.27 5.68
6. 31 jul. 2016 18.50% 3.56% 273.54 5.48 38.72
7. 31 ago. 2016 1.20% -0.12% 0.58 1.80 1.03
8. 30 sept. 2016 7.91% -0.12% 35.42 1.81 -8.00
9. 31 oct. 2016 -25.06% -1.94% 730.00 10.00 85.45
10. 30 nov. 2016 -2.20% 3.42% 17.34 4.83 -9.15
11. 31 dic. 2016 -3.83% 1.82% 33.54 0.36 -3.47
12. 31 ene. 2017 25.04% 1.79% 532.61 0.32 13.12
13. 28 feb. 2017 4.56% 3.72% 6.75 6.25 6.50
14. 31 mar. 2017 1.94% -0.04% 0.00 1.59 0.03
15. 30 abr. 2017 8.33% 0.91% 40.61 0.10 -1.98
16. 31 may. 2017 -4.06% 1.16% 36.21 0.00 0.38
17. 30 jun. 2017 -2.17% 0.48% 17.02 0.55 3.05
18. 31 jul. 2017 0.19% 1.93% 3.13 0.51 -1.27
19. 31 ago. 2017 17.61% 0.05% 244.81 1.36 -18.23
20. 30 sept. 2017 -2.57% 1.93% 20.55 0.50 -3.22
21. 31 oct. 2017 3.01% 2.22% 1.09 1.00 1.05
22. 30 nov. 2017 12.11% 2.81% 102.92 2.52 16.11
23. 31 dic. 2017 -5.02% 0.98% 48.68 0.06 1.65
24. 31 ene. 2018 6.48% 5.62% 20.39 19.34 19.86
25. 28 feb. 2018 -1.99% -3.89% 15.58 26.16 20.19
26. 31 mar. 2018 3.68% -2.69% 2.97 15.28 -6.74
27. 30 abr. 2018 1.91% 0.27% 0.00 0.90 0.05
28. 31 may. 2018 13.08% 2.16% 123.60 0.89 10.46
29. 30 jun. 2018 2.51% 0.48% 0.31 0.54 -0.41
30. 31 jul. 2018 16.14% 3.60% 200.98 5.67 33.77
31. 31 ago. 2018 9.39% 3.03% 55.25 3.26 13.43
32. 30 sept. 2018 3.45% 0.43% 2.21 0.63 -1.17
33. 31 oct. 2018 -15.23% -6.94% 295.58 66.59 140.30
34. 30 nov. 2018 8.47% 1.79% 42.35 0.32 3.68
35. 31 dic. 2018 -11.13% -9.18% 171.42 108.11 136.13
36. 31 ene. 2019 -6.71% 7.87% 75.27 44.20 -57.68
37. 28 feb. 2019 11.79% 2.97% 96.56 3.07 17.22
38. 31 mar. 2019 -0.67% 1.79% 6.89 0.33 -1.50
39. 30 abr. 2019 0.42% 3.93% 2.37 7.35 -4.17
40. 31 may. 2019 -1.63% -6.58% 12.90 60.81 28.01
41. 30 jun. 2019 19.95% 6.89% 323.75 32.18 102.07
42. 31 jul. 2019 -18.68% 1.31% 426.03 0.01 -1.91
43. 31 ago. 2019 -6.03% -1.81% 63.78 9.18 24.19
44. 30 sept. 2019 8.13% 1.72% 38.09 0.25 3.07
45. 31 oct. 2019 -2.86% 2.04% 23.24 0.68 -3.97
46. 30 nov. 2019 8.54% 3.40% 43.30 4.77 14.38
47. 31 dic. 2019 3.42% 2.86% 2.14 2.69 2.40
48. 31 ene. 2020 -12.56% -0.16% 210.88 1.91 20.08
49. 29 feb. 2020 -8.41% -8.41% 107.59 92.76 99.90
50. 31 mar. 2020 2.80% -12.51% 0.71 188.57 -11.58
51. 30 abr. 2020 16.81% 12.68% 220.49 131.43 170.23
52. 31 may. 2020 13.80% 4.53% 140.12 10.94 39.16
53. 30 jun. 2020 2.01% 1.84% 0.00 0.38 0.03
54. 31 jul. 2020 3.19% 5.51% 1.51 18.40 5.27
55. 31 ago. 2020 -6.53% 7.01% 72.03 33.48 -49.11
56. 30 sept. 2020 -13.48% -3.92% 238.30 26.45 79.39
57. 31 oct. 2020 -5.30% -2.77% 52.71 15.89 28.94
58. 30 nov. 2020 10.04% 10.75% 65.29 90.91 77.04
59. 31 dic. 2020 14.87% 3.71% 166.77 6.21 32.18
Total (Σ): 5,951.36 1,103.45 1,173.17

Show all

VarianzaILMN = Σ(RILMN,tRILMN)2 ÷ (59 – 1)
= 5,951.36 ÷ (59 – 1)
= 102.61

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,103.45 ÷ (59 – 1)
= 19.02

CovarianzaILMN, S&P 500 = Σ(RILMN,tRILMN)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,173.17 ÷ (59 – 1)
= 20.23


Estimación sistemática de riesgos (β)

Microsoft Excel LibreOffice Calc
VarianzaILMN 102.61
VarianzaS&P 500 19.02
CovarianzaILMN, S&P 500 20.23
Coeficiente de correlaciónILMN, S&P 5001 0.46
βILMN2 1.06
αILMN3 0.66%

Fuente: Illumina Inc. (NASDAQ:ILMN) | CAPM (www.stock-analysis-on.net)

Cálculos

1 Coeficiente de correlaciónILMN, S&P 500
= CovarianzaILMN, S&P 500 ÷ (Desviación típicaILMN × Desviación típicaS&P 500)
= 20.23 ÷ (10.13% × 4.36%)
= 0.46

2 βILMN
= CovarianzaILMN, S&P 500 ÷ VarianzaS&P 500
= 20.23 ÷ 19.02
= 1.06

3 αILMN
= PromedioILMN – βILMN × PromedioS&P 500
= 1.96%1.06 × 1.22%
= 0.66%


Tasa de rendimiento esperada

Microsoft Excel LibreOffice Calc
Supuestos
Tasa de rendimiento de LT Treasury Composite1 RF 1.83%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 11.71%
Riesgo sistemático de las acciones ordinarias de Illumina βILMN 1.06
 
Tasa de rendimiento esperada de las acciones ordinarias de Illumina3 E(RILMN) 12.33%

Fuente: Illumina Inc. (NASDAQ:ILMN) | 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(RILMN) = RF + βILMN [E(RM) – RF]
= 1.83% + 1.06 [11.71%1.83%]
= 12.33%