Stock Analysis on Net

Meta Platforms Inc. (NASDAQ:META)

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

Microsoft Excel

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 Meta.


Tasas de retorno

Meta Platforms Inc., tasas mensuales de retorno

Microsoft Excel
Meta Platforms Inc. (META) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioMETA,t1 DividendoMETA,t1 RMETA,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2018 $186.89 2,823.81
1. 28 feb. 2018 $178.32 -4.59% 2,713.83 -3.89%
2. 31 mar. 2018 $159.79 -10.39% 2,640.87 -2.69%
3. 30 abr. 2018 $172.00 7.64% 2,648.05 0.27%
. . . . . . .
. . . . . . .
. . . . . . .
57. 31 oct. 2022 $93.16 -31.34% 3,871.98 7.99%
58. 30 nov. 2022 $118.10 26.77% 4,080.11 5.38%
Promedio (R): -0.13% 0.78%
Desviación estándar: 11.37% 5.38%
Meta Platforms Inc. (META) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioMETA,t1 DividendoMETA,t1 RMETA,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2018 $186.89 2,823.81
1. 28 feb. 2018 $178.32 -4.59% 2,713.83 -3.89%
2. 31 mar. 2018 $159.79 -10.39% 2,640.87 -2.69%
3. 30 abr. 2018 $172.00 7.64% 2,648.05 0.27%
4. 31 may. 2018 $191.78 11.50% 2,705.27 2.16%
5. 30 jun. 2018 $194.32 1.32% 2,718.37 0.48%
6. 31 jul. 2018 $172.58 -11.19% 2,816.29 3.60%
7. 31 ago. 2018 $175.73 1.83% 2,901.52 3.03%
8. 30 sept. 2018 $164.46 -6.41% 2,913.98 0.43%
9. 31 oct. 2018 $151.79 -7.70% 2,711.74 -6.94%
10. 30 nov. 2018 $140.61 -7.37% 2,760.17 1.79%
11. 31 dic. 2018 $131.09 -6.77% 2,506.85 -9.18%
12. 31 ene. 2019 $166.69 27.16% 2,704.10 7.87%
13. 28 feb. 2019 $161.45 -3.14% 2,784.49 2.97%
14. 31 mar. 2019 $166.69 3.25% 2,834.40 1.79%
15. 30 abr. 2019 $193.40 16.02% 2,945.83 3.93%
16. 31 may. 2019 $177.47 -8.24% 2,752.06 -6.58%
17. 30 jun. 2019 $193.00 8.75% 2,941.76 6.89%
18. 31 jul. 2019 $194.23 0.64% 2,980.38 1.31%
19. 31 ago. 2019 $185.67 -4.41% 2,926.46 -1.81%
20. 30 sept. 2019 $178.08 -4.09% 2,976.74 1.72%
21. 31 oct. 2019 $191.65 7.62% 3,037.56 2.04%
22. 30 nov. 2019 $201.64 5.21% 3,140.98 3.40%
23. 31 dic. 2019 $205.25 1.79% 3,230.78 2.86%
24. 31 ene. 2020 $201.91 -1.63% 3,225.52 -0.16%
25. 29 feb. 2020 $192.47 -4.68% 2,954.22 -8.41%
26. 31 mar. 2020 $166.80 -13.34% 2,584.59 -12.51%
27. 30 abr. 2020 $204.71 22.73% 2,912.43 12.68%
28. 31 may. 2020 $225.09 9.96% 3,044.31 4.53%
29. 30 jun. 2020 $227.07 0.88% 3,100.29 1.84%
30. 31 jul. 2020 $253.67 11.71% 3,271.12 5.51%
31. 31 ago. 2020 $293.20 15.58% 3,500.31 7.01%
32. 30 sept. 2020 $261.90 -10.68% 3,363.00 -3.92%
33. 31 oct. 2020 $263.11 0.46% 3,269.96 -2.77%
34. 30 nov. 2020 $276.97 5.27% 3,621.63 10.75%
35. 31 dic. 2020 $273.16 -1.38% 3,756.07 3.71%
36. 31 ene. 2021 $258.33 -5.43% 3,714.24 -1.11%
37. 28 feb. 2021 $257.62 -0.27% 3,811.15 2.61%
38. 31 mar. 2021 $294.53 14.33% 3,972.89 4.24%
39. 30 abr. 2021 $325.08 10.37% 4,181.17 5.24%
40. 31 may. 2021 $328.73 1.12% 4,204.11 0.55%
41. 30 jun. 2021 $347.71 5.77% 4,297.50 2.22%
42. 31 jul. 2021 $356.30 2.47% 4,395.26 2.27%
43. 31 ago. 2021 $379.38 6.48% 4,522.68 2.90%
44. 30 sept. 2021 $339.39 -10.54% 4,307.54 -4.76%
45. 31 oct. 2021 $323.57 -4.66% 4,605.38 6.91%
46. 30 nov. 2021 $324.46 0.28% 4,567.00 -0.83%
47. 31 dic. 2021 $336.35 3.66% 4,766.18 4.36%
48. 31 ene. 2022 $313.26 -6.86% 4,515.55 -5.26%
49. 28 feb. 2022 $211.03 -32.63% 4,373.94 -3.14%
50. 31 mar. 2022 $222.36 5.37% 4,530.41 3.58%
51. 30 abr. 2022 $200.47 -9.84% 4,131.93 -8.80%
52. 31 may. 2022 $193.64 -3.41% 4,132.15 0.01%
53. 30 jun. 2022 $161.25 -16.73% 3,785.38 -8.39%
54. 31 jul. 2022 $159.10 -1.33% 4,130.29 9.11%
55. 31 ago. 2022 $162.93 2.41% 3,955.00 -4.24%
56. 30 sept. 2022 $135.68 -16.72% 3,585.62 -9.34%
57. 31 oct. 2022 $93.16 -31.34% 3,871.98 7.99%
58. 30 nov. 2022 $118.10 26.77% 4,080.11 5.38%
Promedio (R): -0.13% 0.78%
Desviación estándar: 11.37% 5.38%

Mostrar todo

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 META 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

Meta Platforms Inc., cálculo de la varianza y covarianza de los rendimientos

Microsoft Excel
t Fecha RMETA,t RS&P 500,t (RMETA,tRMETA)2 (RS&P 500,tRS&P 500)2 (RMETA,tRMETA)×(RS&P 500,tRS&P 500)
1. 28 feb. 2018 -4.59% -3.89% 19.87 21.85 20.84
2. 31 mar. 2018 -10.39% -2.69% 105.34 12.03 35.60
3. 30 abr. 2018 7.64% 0.27% 60.36 0.26 -3.95
. . . . . . .
. . . . . . .
. . . . . . .
57. 31 oct. 2022 -31.34% 7.99% 974.10 51.93 -224.92
58. 30 nov. 2022 26.77% 5.38% 723.55 21.12 123.61
Total (Σ): 7,363.07 1,647.65 1,983.33
t Fecha RMETA,t RS&P 500,t (RMETA,tRMETA)2 (RS&P 500,tRS&P 500)2 (RMETA,tRMETA)×(RS&P 500,tRS&P 500)
1. 28 feb. 2018 -4.59% -3.89% 19.87 21.85 20.84
2. 31 mar. 2018 -10.39% -2.69% 105.34 12.03 35.60
3. 30 abr. 2018 7.64% 0.27% 60.36 0.26 -3.95
4. 31 may. 2018 11.50% 2.16% 135.21 1.91 16.06
5. 30 jun. 2018 1.32% 0.48% 2.11 0.09 -0.43
6. 31 jul. 2018 -11.19% 3.60% 122.32 7.97 -31.21
7. 31 ago. 2018 1.83% 3.03% 3.81 5.05 4.39
8. 30 sept. 2018 -6.41% 0.43% 39.51 0.12 2.20
9. 31 oct. 2018 -7.70% -6.94% 57.40 59.60 58.49
10. 30 nov. 2018 -7.37% 1.79% 52.38 1.01 -7.28
11. 31 dic. 2018 -6.77% -9.18% 44.13 99.15 66.14
12. 31 ene. 2019 27.16% 7.87% 744.46 50.25 193.41
13. 28 feb. 2019 -3.14% 2.97% 9.09 4.81 -6.61
14. 31 mar. 2019 3.25% 1.79% 11.38 1.03 3.42
15. 30 abr. 2019 16.02% 3.93% 260.87 9.93 50.90
16. 31 may. 2019 -8.24% -6.58% 65.76 54.13 59.66
17. 30 jun. 2019 8.75% 6.89% 78.83 37.37 54.28
18. 31 jul. 2019 0.64% 1.31% 0.59 0.28 0.41
19. 31 ago. 2019 -4.41% -1.81% 18.31 6.70 11.08
20. 30 sept. 2019 -4.09% 1.72% 15.68 0.88 -3.72
21. 31 oct. 2019 7.62% 2.04% 60.03 1.60 9.79
22. 30 nov. 2019 5.21% 3.40% 28.52 6.89 14.02
23. 31 dic. 2019 1.79% 2.86% 3.68 4.32 3.99
24. 31 ene. 2020 -1.63% -0.16% 2.25 0.89 1.41
25. 29 feb. 2020 -4.68% -8.41% 20.68 84.47 41.80
26. 31 mar. 2020 -13.34% -12.51% 174.49 176.67 175.57
27. 30 abr. 2020 22.73% 12.68% 522.38 141.72 272.09
28. 31 may. 2020 9.96% 4.53% 101.67 14.05 37.80
29. 30 jun. 2020 0.88% 1.84% 1.02 1.12 1.07
30. 31 jul. 2020 11.71% 5.51% 140.24 22.38 56.02
31. 31 ago. 2020 15.58% 7.01% 246.84 38.77 97.83
32. 30 sept. 2020 -10.68% -3.92% 111.25 22.11 49.60
33. 31 oct. 2020 0.46% -2.77% 0.35 12.58 -2.09
34. 30 nov. 2020 5.27% 10.75% 29.11 99.50 53.82
35. 31 dic. 2020 -1.38% 3.71% 1.56 8.60 -3.66
36. 31 ene. 2021 -5.43% -1.11% 28.10 3.59 10.04
37. 28 feb. 2021 -0.27% 2.61% 0.02 3.35 -0.27
38. 31 mar. 2021 14.33% 4.24% 208.95 12.00 50.07
39. 30 abr. 2021 10.37% 5.24% 110.26 19.92 46.86
40. 31 may. 2021 1.12% 0.55% 1.56 0.05 -0.29
41. 30 jun. 2021 5.77% 2.22% 34.83 2.08 8.51
42. 31 jul. 2021 2.47% 2.27% 6.75 2.24 3.88
43. 31 ago. 2021 6.48% 2.90% 43.63 4.49 14.00
44. 30 sept. 2021 -10.54% -4.76% 108.43 30.66 57.65
45. 31 oct. 2021 -4.66% 6.91% 20.55 37.63 -27.81
46. 30 nov. 2021 0.28% -0.83% 0.16 2.60 -0.65
47. 31 dic. 2021 3.66% 4.36% 14.38 12.83 13.58
48. 31 ene. 2022 -6.86% -5.26% 45.39 36.46 40.68
49. 28 feb. 2022 -32.63% -3.14% 1,056.67 15.33 127.29
50. 31 mar. 2022 5.37% 3.58% 30.21 7.83 15.38
51. 30 abr. 2022 -9.84% -8.80% 94.41 91.69 93.04
52. 31 may. 2022 -3.41% 0.01% 10.75 0.60 2.54
53. 30 jun. 2022 -16.73% -8.39% 275.53 84.12 152.24
54. 31 jul. 2022 -1.33% 9.11% 1.45 69.42 -10.04
55. 31 ago. 2022 2.41% -4.24% 6.43 25.24 -12.74
56. 30 sept. 2022 -16.72% -9.34% 275.47 102.40 167.95
57. 31 oct. 2022 -31.34% 7.99% 974.10 51.93 -224.92
58. 30 nov. 2022 26.77% 5.38% 723.55 21.12 123.61
Total (Σ): 7,363.07 1,647.65 1,983.33

Mostrar todo

VarianzaMETA = Σ(RMETA,tRMETA)2 ÷ (58 – 1)
= 7,363.07 ÷ (58 – 1)
= 129.18

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (58 – 1)
= 1,647.65 ÷ (58 – 1)
= 28.91

CovarianzaMETA, S&P 500 = Σ(RMETA,tRMETA)×(RS&P 500,tRS&P 500) ÷ (58 – 1)
= 1,983.33 ÷ (58 – 1)
= 34.80


Estimación sistemática del riesgo (β)

Microsoft Excel
VarianzaMETA 129.18
VarianzaS&P 500 28.91
CovarianzaMETA, S&P 500 34.80
Coeficiente de correlaciónMETA, S&P 5001 0.57
βMETA2 1.20
αMETA3 -1.07%

Cálculos

1 Coeficiente de correlaciónMETA, S&P 500
= CovarianzaMETA, S&P 500 ÷ (Desviación estándarMETA × Desviación estándarS&P 500)
= 34.80 ÷ (11.37% × 5.38%)
= 0.57

2 βMETA
= CovarianzaMETA, S&P 500 ÷ VarianzaS&P 500
= 34.80 ÷ 28.91
= 1.20

3 αMETA
= PromedioMETA – βMETA × PromedioS&P 500
= -0.13%1.20 × 0.78%
= -1.07%


Tasa de rendimiento esperada

Microsoft Excel
Suposiciones
Tasa de rendimiento de LT Treasury Composite1 RF 3.63%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 12.50%
Riesgo sistemático de acciones ordinarias Meta βMETA 1.20
 
Tasa de rendimiento esperada de las acciones ordinarias de Meta3 E(RMETA) 14.30%

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(RMETA) = RF + βMETA [E(RM) – RF]
= 3.63% + 1.20 [12.50%3.63%]
= 14.30%