Modelo de valoración 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 sobre activos de riesgo como las acciones ordinarias de PepsiCo.
Tasas de retorno
PepsiCo Inc., tasas mensuales de retorno
| PepsiCo Inc. (PEP) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Fecha | PrecioPEP,t1 | DividendoPEP,t1 | RPEP,t2 | PrecioS&P 500,t | RS&P 500,t3 |
| 31 ene. 2018 | $120.30 | 2,823.81 | ||||
| 1. | 28 feb. 2018 | $109.73 | -8.79% | 2,713.83 | -3.89% | |
| 2. | 31 mar. 2018 | $109.15 | $0.805 | 0.21% | 2,640.87 | -2.69% |
| 3. | 30 abr. 2018 | $100.94 | -7.52% | 2,648.05 | 0.27% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 30 nov. 2022 | $185.51 | 2.16% | 4,080.11 | 5.38% | |
| 59. | 31 dic. 2022 | $180.66 | $1.15 | -1.99% | 3,839.50 | -5.90% |
| Promedio (R): | 1.06% | 0.67% | ||||
| Desviación estándar: | 5.01% | 5.40% | ||||
| PepsiCo Inc. (PEP) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Fecha | PrecioPEP,t1 | DividendoPEP,t1 | RPEP,t2 | PrecioS&P 500,t | RS&P 500,t3 |
| 31 ene. 2018 | $120.30 | 2,823.81 | ||||
| 1. | 28 feb. 2018 | $109.73 | -8.79% | 2,713.83 | -3.89% | |
| 2. | 31 mar. 2018 | $109.15 | $0.805 | 0.21% | 2,640.87 | -2.69% |
| 3. | 30 abr. 2018 | $100.94 | -7.52% | 2,648.05 | 0.27% | |
| 4. | 31 may. 2018 | $100.25 | $0.9275 | 0.24% | 2,705.27 | 2.16% |
| 5. | 30 jun. 2018 | $108.87 | 8.60% | 2,718.37 | 0.48% | |
| 6. | 31 jul. 2018 | $115.00 | 5.63% | 2,816.29 | 3.60% | |
| 7. | 31 ago. 2018 | $112.01 | -2.60% | 2,901.52 | 3.03% | |
| 8. | 30 sept. 2018 | $111.80 | $0.9275 | 0.64% | 2,913.98 | 0.43% |
| 9. | 31 oct. 2018 | $112.38 | 0.52% | 2,711.74 | -6.94% | |
| 10. | 30 nov. 2018 | $121.94 | 8.51% | 2,760.17 | 1.79% | |
| 11. | 31 dic. 2018 | $110.48 | $0.9275 | -8.64% | 2,506.85 | -9.18% |
| 12. | 31 ene. 2019 | $112.67 | 1.98% | 2,704.10 | 7.87% | |
| 13. | 28 feb. 2019 | $115.64 | $0.9275 | 3.46% | 2,784.49 | 2.97% |
| 14. | 31 mar. 2019 | $122.55 | 5.98% | 2,834.40 | 1.79% | |
| 15. | 30 abr. 2019 | $128.05 | 4.49% | 2,945.83 | 3.93% | |
| 16. | 31 may. 2019 | $128.00 | -0.04% | 2,752.06 | -6.58% | |
| 17. | 30 jun. 2019 | $131.13 | $0.955 | 3.19% | 2,941.76 | 6.89% |
| 18. | 31 jul. 2019 | $127.81 | -2.53% | 2,980.38 | 1.31% | |
| 19. | 31 ago. 2019 | $136.73 | 6.98% | 2,926.46 | -1.81% | |
| 20. | 30 sept. 2019 | $137.10 | $0.955 | 0.97% | 2,976.74 | 1.72% |
| 21. | 31 oct. 2019 | $137.17 | 0.05% | 3,037.56 | 2.04% | |
| 22. | 30 nov. 2019 | $135.83 | -0.98% | 3,140.98 | 3.40% | |
| 23. | 31 dic. 2019 | $136.67 | $0.955 | 1.32% | 3,230.78 | 2.86% |
| 24. | 31 ene. 2020 | $142.02 | 3.91% | 3,225.52 | -0.16% | |
| 25. | 29 feb. 2020 | $132.03 | -7.03% | 2,954.22 | -8.41% | |
| 26. | 31 mar. 2020 | $120.10 | $0.955 | -8.31% | 2,584.59 | -12.51% |
| 27. | 30 abr. 2020 | $132.29 | 10.15% | 2,912.43 | 12.68% | |
| 28. | 31 may. 2020 | $131.55 | -0.56% | 3,044.31 | 4.53% | |
| 29. | 30 jun. 2020 | $132.26 | $1.0225 | 1.32% | 3,100.29 | 1.84% |
| 30. | 31 jul. 2020 | $137.66 | 4.08% | 3,271.12 | 5.51% | |
| 31. | 31 ago. 2020 | $140.06 | 1.74% | 3,500.31 | 7.01% | |
| 32. | 30 sept. 2020 | $138.60 | $1.0225 | -0.31% | 3,363.00 | -3.92% |
| 33. | 31 oct. 2020 | $133.29 | -3.83% | 3,269.96 | -2.77% | |
| 34. | 30 nov. 2020 | $144.23 | 8.21% | 3,621.63 | 10.75% | |
| 35. | 31 dic. 2020 | $148.30 | $1.0225 | 3.53% | 3,756.07 | 3.71% |
| 36. | 31 ene. 2021 | $136.57 | -7.91% | 3,714.24 | -1.11% | |
| 37. | 28 feb. 2021 | $129.19 | -5.40% | 3,811.15 | 2.61% | |
| 38. | 31 mar. 2021 | $141.45 | $1.0225 | 10.28% | 3,972.89 | 4.24% |
| 39. | 30 abr. 2021 | $144.16 | 1.92% | 4,181.17 | 5.24% | |
| 40. | 31 may. 2021 | $147.94 | 2.62% | 4,204.11 | 0.55% | |
| 41. | 30 jun. 2021 | $148.17 | $1.075 | 0.88% | 4,297.50 | 2.22% |
| 42. | 31 jul. 2021 | $156.95 | 5.93% | 4,395.26 | 2.27% | |
| 43. | 31 ago. 2021 | $156.39 | -0.36% | 4,522.68 | 2.90% | |
| 44. | 30 sept. 2021 | $150.41 | $1.075 | -3.14% | 4,307.54 | -4.76% |
| 45. | 31 oct. 2021 | $161.60 | 7.44% | 4,605.38 | 6.91% | |
| 46. | 30 nov. 2021 | $159.78 | -1.13% | 4,567.00 | -0.83% | |
| 47. | 31 dic. 2021 | $173.71 | $1.075 | 9.39% | 4,766.18 | 4.36% |
| 48. | 31 ene. 2022 | $173.52 | -0.11% | 4,515.55 | -5.26% | |
| 49. | 28 feb. 2022 | $163.74 | -5.64% | 4,373.94 | -3.14% | |
| 50. | 31 mar. 2022 | $167.38 | $1.075 | 2.88% | 4,530.41 | 3.58% |
| 51. | 30 abr. 2022 | $171.71 | 2.59% | 4,131.93 | -8.80% | |
| 52. | 31 may. 2022 | $167.75 | -2.31% | 4,132.15 | 0.01% | |
| 53. | 30 jun. 2022 | $166.66 | $1.15 | 0.04% | 3,785.38 | -8.39% |
| 54. | 31 jul. 2022 | $174.96 | 4.98% | 4,130.29 | 9.11% | |
| 55. | 31 ago. 2022 | $172.27 | -1.54% | 3,955.00 | -4.24% | |
| 56. | 30 sept. 2022 | $163.26 | $1.15 | -4.56% | 3,585.62 | -9.34% |
| 57. | 31 oct. 2022 | $181.58 | 11.22% | 3,871.98 | 7.99% | |
| 58. | 30 nov. 2022 | $185.51 | 2.16% | 4,080.11 | 5.38% | |
| 59. | 31 dic. 2022 | $180.66 | $1.15 | -1.99% | 3,839.50 | -5.90% |
| Promedio (R): | 1.06% | 0.67% | ||||
| Desviación estándar: | 5.01% | 5.40% | ||||
Mostrar todo
1 Datos en US$ por acción ordinaria, ajustados por divisiones y dividendos de acciones.
2 Tasa de rendimiento de las acciones ordinarias de PEP 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
PepsiCo Inc., cálculo de la varianza y covarianza de los rendimientos
| t | Fecha | RPEP,t | RS&P 500,t | (RPEP,t–RPEP)2 | (RS&P 500,t–RS&P 500)2 | (RPEP,t–RPEP)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 28 feb. 2018 | -8.79% | -3.89% | 97.04 | 20.81 | 44.93 |
| 2. | 31 mar. 2018 | 0.21% | -2.69% | 0.74 | 11.26 | 2.88 |
| 3. | 30 abr. 2018 | -7.52% | 0.27% | 73.72 | 0.16 | 3.39 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 30 nov. 2022 | 2.16% | 5.38% | 1.21 | 22.17 | 5.18 |
| 59. | 31 dic. 2022 | -1.99% | -5.90% | 9.36 | 43.08 | 20.08 |
| Total (Σ): | 1,454.38 | 1,691.48 | 985.33 | |||
| t | Fecha | RPEP,t | RS&P 500,t | (RPEP,t–RPEP)2 | (RS&P 500,t–RS&P 500)2 | (RPEP,t–RPEP)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 28 feb. 2018 | -8.79% | -3.89% | 97.04 | 20.81 | 44.93 |
| 2. | 31 mar. 2018 | 0.21% | -2.69% | 0.74 | 11.26 | 2.88 |
| 3. | 30 abr. 2018 | -7.52% | 0.27% | 73.72 | 0.16 | 3.39 |
| 4. | 31 may. 2018 | 0.24% | 2.16% | 0.69 | 2.23 | -1.24 |
| 5. | 30 jun. 2018 | 8.60% | 0.48% | 56.76 | 0.03 | -1.37 |
| 6. | 31 jul. 2018 | 5.63% | 3.60% | 20.85 | 8.62 | 13.40 |
| 7. | 31 ago. 2018 | -2.60% | 3.03% | 13.43 | 5.57 | -8.65 |
| 8. | 30 sept. 2018 | 0.64% | 0.43% | 0.18 | 0.06 | 0.10 |
| 9. | 31 oct. 2018 | 0.52% | -6.94% | 0.30 | 57.87 | 4.15 |
| 10. | 30 nov. 2018 | 8.51% | 1.79% | 55.39 | 1.25 | 8.33 |
| 11. | 31 dic. 2018 | -8.64% | -9.18% | 94.13 | 96.91 | 95.51 |
| 12. | 31 ene. 2019 | 1.98% | 7.87% | 0.84 | 51.87 | 6.61 |
| 13. | 28 feb. 2019 | 3.46% | 2.97% | 5.73 | 5.32 | 5.52 |
| 14. | 31 mar. 2019 | 5.98% | 1.79% | 24.12 | 1.27 | 5.53 |
| 15. | 30 abr. 2019 | 4.49% | 3.93% | 11.72 | 10.66 | 11.18 |
| 16. | 31 may. 2019 | -0.04% | -6.58% | 1.22 | 52.48 | 7.99 |
| 17. | 30 jun. 2019 | 3.19% | 6.89% | 4.52 | 38.77 | 13.24 |
| 18. | 31 jul. 2019 | -2.53% | 1.31% | 12.93 | 0.42 | -2.32 |
| 19. | 31 ago. 2019 | 6.98% | -1.81% | 34.98 | 6.13 | -14.64 |
| 20. | 30 sept. 2019 | 0.97% | 1.72% | 0.01 | 1.11 | -0.10 |
| 21. | 31 oct. 2019 | 0.05% | 2.04% | 1.03 | 1.89 | -1.39 |
| 22. | 30 nov. 2019 | -0.98% | 3.40% | 4.17 | 7.50 | -5.59 |
| 23. | 31 dic. 2019 | 1.32% | 2.86% | 0.07 | 4.81 | 0.56 |
| 24. | 31 ene. 2020 | 3.91% | -0.16% | 8.12 | 0.69 | -2.36 |
| 25. | 29 feb. 2020 | -7.03% | -8.41% | 65.59 | 82.40 | 73.52 |
| 26. | 31 mar. 2020 | -8.31% | -12.51% | 87.93 | 173.67 | 123.57 |
| 27. | 30 abr. 2020 | 10.15% | 12.68% | 82.54 | 144.43 | 109.19 |
| 28. | 31 may. 2020 | -0.56% | 4.53% | 2.64 | 14.91 | -6.27 |
| 29. | 30 jun. 2020 | 1.32% | 1.84% | 0.06 | 1.37 | 0.30 |
| 30. | 31 jul. 2020 | 4.08% | 5.51% | 9.11 | 23.46 | 14.62 |
| 31. | 31 ago. 2020 | 1.74% | 7.01% | 0.46 | 40.19 | 4.30 |
| 32. | 30 sept. 2020 | -0.31% | -3.92% | 1.90 | 21.06 | 6.32 |
| 33. | 31 oct. 2020 | -3.83% | -2.77% | 23.97 | 11.79 | 16.81 |
| 34. | 30 nov. 2020 | 8.21% | 10.75% | 51.03 | 101.77 | 72.06 |
| 35. | 31 dic. 2020 | 3.53% | 3.71% | 6.08 | 9.28 | 7.51 |
| 36. | 31 ene. 2021 | -7.91% | -1.11% | 80.53 | 3.17 | 15.98 |
| 37. | 28 feb. 2021 | -5.40% | 2.61% | 41.84 | 3.77 | -12.56 |
| 38. | 31 mar. 2021 | 10.28% | 4.24% | 84.95 | 12.80 | 32.97 |
| 39. | 30 abr. 2021 | 1.92% | 5.24% | 0.72 | 20.94 | 3.90 |
| 40. | 31 may. 2021 | 2.62% | 0.55% | 2.43 | 0.01 | -0.18 |
| 41. | 30 jun. 2021 | 0.88% | 2.22% | 0.03 | 2.42 | -0.28 |
| 42. | 31 jul. 2021 | 5.93% | 2.27% | 23.63 | 2.59 | 7.82 |
| 43. | 31 ago. 2021 | -0.36% | 2.90% | 2.02 | 4.98 | -3.17 |
| 44. | 30 sept. 2021 | -3.14% | -4.76% | 17.65 | 29.42 | 22.78 |
| 45. | 31 oct. 2021 | 7.44% | 6.91% | 40.64 | 39.03 | 39.83 |
| 46. | 30 nov. 2021 | -1.13% | -0.83% | 4.80 | 2.25 | 3.29 |
| 47. | 31 dic. 2021 | 9.39% | 4.36% | 69.33 | 13.65 | 30.76 |
| 48. | 31 ene. 2022 | -0.11% | -5.26% | 1.38 | 35.11 | 6.96 |
| 49. | 28 feb. 2022 | -5.64% | -3.14% | 44.90 | 14.46 | 25.48 |
| 50. | 31 mar. 2022 | 2.88% | 3.58% | 3.29 | 8.47 | 5.28 |
| 51. | 30 abr. 2022 | 2.59% | -8.80% | 2.32 | 89.54 | -14.41 |
| 52. | 31 may. 2022 | -2.31% | 0.01% | 11.36 | 0.44 | 2.23 |
| 53. | 30 jun. 2022 | 0.04% | -8.39% | 1.06 | 82.06 | 9.32 |
| 54. | 31 jul. 2022 | 4.98% | 9.11% | 15.33 | 71.32 | 33.07 |
| 55. | 31 ago. 2022 | -1.54% | -4.24% | 6.77 | 24.11 | 12.78 |
| 56. | 30 sept. 2022 | -4.56% | -9.34% | 31.66 | 100.12 | 56.31 |
| 57. | 31 oct. 2022 | 11.22% | 7.99% | 103.16 | 53.58 | 74.35 |
| 58. | 30 nov. 2022 | 2.16% | 5.38% | 1.21 | 22.17 | 5.18 |
| 59. | 31 dic. 2022 | -1.99% | -5.90% | 9.36 | 43.08 | 20.08 |
| Total (Σ): | 1,454.38 | 1,691.48 | 985.33 | |||
Mostrar todo
VarianzaPEP = Σ(RPEP,t–RPEP)2 ÷ (59 – 1)
= 1,454.38 ÷ (59 – 1)
= 25.08
VarianzaS&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16
CovarianzaPEP, S&P 500 = Σ(RPEP,t–RPEP)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 985.33 ÷ (59 – 1)
= 16.99
Estimación sistemática del riesgo (β)
| VarianzaPEP | 25.08 |
| VarianzaS&P 500 | 29.16 |
| CovarianzaPEP, S&P 500 | 16.99 |
| Coeficiente de correlaciónPEP, S&P 5001 | 0.63 |
| βPEP2 | 0.58 |
| αPEP3 | 0.68% |
Cálculos
1 Coeficiente de correlaciónPEP, S&P 500
= CovarianzaPEP, S&P 500 ÷ (Desviación estándarPEP × Desviación estándarS&P 500)
= 16.99 ÷ (5.01% × 5.40%)
= 0.63
2 βPEP
= CovarianzaPEP, S&P 500 ÷ VarianzaS&P 500
= 16.99 ÷ 29.16
= 0.58
3 αPEP
= PromedioPEP – βPEP × PromedioS&P 500
= 1.06% – 0.58 × 0.67%
= 0.68%
Tasa de rendimiento esperada
| Suposiciones | ||
| Tasa de rendimiento de LT Treasury Composite1 | RF | 3.72% |
| Tasa de rendimiento esperada en la cartera de mercado2 | E(RM) | 13.71% |
| Riesgo sistemático de PepsiCo acciones ordinarias | βPEP | 0.58 |
| Tasa de rendimiento esperada de las acciones ordinarias de PepsiCo3 | E(RPEP) | 9.54% |
1 Promedio no ponderado de los rendimientos de las ofertas de todos los bonos del Tesoro de los Estados Unidos de cupón fijo en circulación que no vencen ni se pueden exigir en menos de 10 años (proxy de tasa de rendimiento libre de riesgo).
3 E(RPEP) = RF + βPEP [E(RM) – RF]
= 3.72% + 0.58 [13.71% – 3.72%]
= 9.54%