Stock Analysis on Net

PepsiCo Inc. (NASDAQ:PEP)

Modelo de valoración 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 sobre activos de riesgo como las acciones ordinarias de PepsiCo.


Tasas de retorno

PepsiCo Inc., tasas mensuales de retorno

Microsoft Excel
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

Microsoft Excel
t Fecha RPEP,t RS&P 500,t (RPEP,tRPEP)2 (RS&P 500,tRS&P 500)2 (RPEP,tRPEP)×(RS&P 500,tRS&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,tRPEP)2 (RS&P 500,tRS&P 500)2 (RPEP,tRPEP)×(RS&P 500,tRS&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,tRPEP)2 ÷ (59 – 1)
= 1,454.38 ÷ (59 – 1)
= 25.08

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16

CovarianzaPEP, S&P 500 = Σ(RPEP,tRPEP)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 985.33 ÷ (59 – 1)
= 16.99


Estimación sistemática del riesgo (β)

Microsoft Excel
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

Microsoft Excel
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).

2 Ver detalles »

3 E(RPEP) = RF + βPEP [E(RM) – RF]
= 3.72% + 0.58 [13.71%3.72%]
= 9.54%