Stock Analysis on Net

Regeneron Pharmaceuticals Inc. (NASDAQ:REGN)

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

Microsoft Excel

Tasas de retorno

Regeneron Pharmaceuticals Inc., tasas mensuales de retorno

Microsoft Excel
Regeneron Pharmaceuticals Inc. (REGN) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioREGN,t1 DividendoREGN,t1 RREGN,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2019 $429.27 2,704.10
1. 28 feb. 2019 $430.74 0.34% 2,784.49 2.97%
2. 31 mar. 2019 $410.62 -4.67% 2,834.40 1.79%
3. 30 abr. 2019 $343.14 -16.43% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2023 $823.81 5.63% 4,567.80 8.92%
59. 31 dic. 2023 $878.29 6.61% 4,769.83 4.42%
Promedio (R): 1.59% 1.11%
Desviación estándar: 8.83% 5.31%
Regeneron Pharmaceuticals Inc. (REGN) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioREGN,t1 DividendoREGN,t1 RREGN,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2019 $429.27 2,704.10
1. 28 feb. 2019 $430.74 0.34% 2,784.49 2.97%
2. 31 mar. 2019 $410.62 -4.67% 2,834.40 1.79%
3. 30 abr. 2019 $343.14 -16.43% 2,945.83 3.93%
4. 31 may. 2019 $301.72 -12.07% 2,752.06 -6.58%
5. 30 jun. 2019 $313.00 3.74% 2,941.76 6.89%
6. 31 jul. 2019 $304.76 -2.63% 2,980.38 1.31%
7. 31 ago. 2019 $290.05 -4.83% 2,926.46 -1.81%
8. 30 sept. 2019 $277.40 -4.36% 2,976.74 1.72%
9. 31 oct. 2019 $306.28 10.41% 3,037.56 2.04%
10. 30 nov. 2019 $369.00 20.48% 3,140.98 3.40%
11. 31 dic. 2019 $375.48 1.76% 3,230.78 2.86%
12. 31 ene. 2020 $337.94 -10.00% 3,225.52 -0.16%
13. 29 feb. 2020 $444.57 31.55% 2,954.22 -8.41%
14. 31 mar. 2020 $488.29 9.83% 2,584.59 -12.51%
15. 30 abr. 2020 $525.88 7.70% 2,912.43 12.68%
16. 31 may. 2020 $612.81 16.53% 3,044.31 4.53%
17. 30 jun. 2020 $623.65 1.77% 3,100.29 1.84%
18. 31 jul. 2020 $632.07 1.35% 3,271.12 5.51%
19. 31 ago. 2020 $619.93 -1.92% 3,500.31 7.01%
20. 30 sept. 2020 $559.78 -9.70% 3,363.00 -3.92%
21. 31 oct. 2020 $543.56 -2.90% 3,269.96 -2.77%
22. 30 nov. 2020 $516.03 -5.06% 3,621.63 10.75%
23. 31 dic. 2020 $483.11 -6.38% 3,756.07 3.71%
24. 31 ene. 2021 $503.84 4.29% 3,714.24 -1.11%
25. 28 feb. 2021 $450.57 -10.57% 3,811.15 2.61%
26. 31 mar. 2021 $473.14 5.01% 3,972.89 4.24%
27. 30 abr. 2021 $481.30 1.72% 4,181.17 5.24%
28. 31 may. 2021 $502.43 4.39% 4,204.11 0.55%
29. 30 jun. 2021 $558.54 11.17% 4,297.50 2.22%
30. 31 jul. 2021 $574.61 2.88% 4,395.26 2.27%
31. 31 ago. 2021 $673.40 17.19% 4,522.68 2.90%
32. 30 sept. 2021 $605.18 -10.13% 4,307.54 -4.76%
33. 31 oct. 2021 $639.94 5.74% 4,605.38 6.91%
34. 30 nov. 2021 $636.53 -0.53% 4,567.00 -0.83%
35. 31 dic. 2021 $631.52 -0.79% 4,766.18 4.36%
36. 31 ene. 2022 $608.59 -3.63% 4,515.55 -5.26%
37. 28 feb. 2022 $618.36 1.61% 4,373.94 -3.14%
38. 31 mar. 2022 $698.42 12.95% 4,530.41 3.58%
39. 30 abr. 2022 $659.11 -5.63% 4,131.93 -8.80%
40. 31 may. 2022 $664.74 0.85% 4,132.15 0.01%
41. 30 jun. 2022 $591.13 -11.07% 3,785.38 -8.39%
42. 31 jul. 2022 $581.69 -1.60% 4,130.29 9.11%
43. 31 ago. 2022 $581.06 -0.11% 3,955.00 -4.24%
44. 30 sept. 2022 $688.87 18.55% 3,585.62 -9.34%
45. 31 oct. 2022 $748.75 8.69% 3,871.98 7.99%
46. 30 nov. 2022 $751.70 0.39% 4,080.11 5.38%
47. 31 dic. 2022 $721.49 -4.02% 3,839.50 -5.90%
48. 31 ene. 2023 $758.47 5.13% 4,076.60 6.18%
49. 28 feb. 2023 $760.42 0.26% 3,970.15 -2.61%
50. 31 mar. 2023 $821.67 8.05% 4,109.31 3.51%
51. 30 abr. 2023 $801.79 -2.42% 4,169.48 1.46%
52. 31 may. 2023 $735.56 -8.26% 4,179.83 0.25%
53. 30 jun. 2023 $718.54 -2.31% 4,376.86 4.71%
54. 31 jul. 2023 $741.91 3.25% 4,588.96 4.85%
55. 31 ago. 2023 $826.49 11.40% 4,507.66 -1.77%
56. 30 sept. 2023 $822.96 -0.43% 4,288.05 -4.87%
57. 31 oct. 2023 $779.89 -5.23% 4,193.80 -2.20%
58. 30 nov. 2023 $823.81 5.63% 4,567.80 8.92%
59. 31 dic. 2023 $878.29 6.61% 4,769.83 4.42%
Promedio (R): 1.59% 1.11%
Desviación estándar: 8.83% 5.31%

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 REGN 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

Regeneron Pharmaceuticals Inc., cálculo de la varianza y covarianza de los rendimientos

Microsoft Excel
t Fecha RREGN,t RS&P 500,t (RREGN,tRREGN)2 (RS&P 500,tRS&P 500)2 (RREGN,tRREGN)×(RS&P 500,tRS&P 500)
1. 28 feb. 2019 0.34% 2.97% 1.55 3.49 -2.32
2. 31 mar. 2019 -4.67% 1.79% 39.14 0.47 -4.30
3. 30 abr. 2019 -16.43% 3.93% 324.69 7.98 -50.91
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2023 5.63% 8.92% 16.37 61.03 31.61
59. 31 dic. 2023 6.61% 4.42% 25.28 11.00 16.68
Total (Σ): 4,519.70 1,634.30 182.87
t Fecha RREGN,t RS&P 500,t (RREGN,tRREGN)2 (RS&P 500,tRS&P 500)2 (RREGN,tRREGN)×(RS&P 500,tRS&P 500)
1. 28 feb. 2019 0.34% 2.97% 1.55 3.49 -2.32
2. 31 mar. 2019 -4.67% 1.79% 39.14 0.47 -4.30
3. 30 abr. 2019 -16.43% 3.93% 324.69 7.98 -50.91
4. 31 may. 2019 -12.07% -6.58% 186.50 59.04 104.93
5. 30 jun. 2019 3.74% 6.89% 4.64 33.49 12.46
6. 31 jul. 2019 -2.63% 1.31% 17.79 0.04 -0.87
7. 31 ago. 2019 -4.83% -1.81% 41.12 8.50 18.69
8. 30 sept. 2019 -4.36% 1.72% 35.36 0.37 -3.64
9. 31 oct. 2019 10.41% 2.04% 77.89 0.88 8.27
10. 30 nov. 2019 20.48% 3.40% 356.93 5.28 43.43
11. 31 dic. 2019 1.76% 2.86% 0.03 3.07 0.30
12. 31 ene. 2020 -10.00% -0.16% 134.17 1.61 14.70
13. 29 feb. 2020 31.55% -8.41% 898.05 90.57 -285.20
14. 31 mar. 2020 9.83% -12.51% 68.04 185.44 -112.33
15. 30 abr. 2020 7.70% 12.68% 37.37 134.06 70.78
16. 31 may. 2020 16.53% 4.53% 223.35 11.71 51.15
17. 30 jun. 2020 1.77% 1.84% 0.03 0.54 0.13
18. 31 jul. 2020 1.35% 5.51% 0.06 19.40 -1.04
19. 31 ago. 2020 -1.92% 7.01% 12.29 34.82 -20.69
20. 30 sept. 2020 -9.70% -3.92% 127.42 25.29 56.76
21. 31 oct. 2020 -2.90% -2.77% 20.10 15.00 17.36
22. 30 nov. 2020 -5.06% 10.75% 44.23 93.10 -64.17
23. 31 dic. 2020 -6.38% 3.71% 63.44 6.79 -20.76
24. 31 ene. 2021 4.29% -1.11% 7.32 4.93 -6.00
25. 28 feb. 2021 -10.57% 2.61% 147.82 2.26 -18.28
26. 31 mar. 2021 5.01% 4.24% 11.72 9.85 10.74
27. 30 abr. 2021 1.72% 5.24% 0.02 17.11 0.58
28. 31 may. 2021 4.39% 0.55% 7.87 0.31 -1.56
29. 30 jun. 2021 11.17% 2.22% 91.82 1.24 10.69
30. 31 jul. 2021 2.88% 2.27% 1.67 1.37 1.51
31. 31 ago. 2021 17.19% 2.90% 243.58 3.22 27.99
32. 30 sept. 2021 -10.13% -4.76% 137.27 34.37 68.69
33. 31 oct. 2021 5.74% 6.91% 17.29 33.74 24.15
34. 30 nov. 2021 -0.53% -0.83% 4.49 3.76 4.11
35. 31 dic. 2021 -0.79% 4.36% 5.63 10.60 -7.72
36. 31 ene. 2022 -3.63% -5.26% 27.21 40.51 33.20
37. 28 feb. 2022 1.61% -3.14% 0.00 17.99 -0.08
38. 31 mar. 2022 12.95% 3.58% 129.09 6.11 28.08
39. 30 abr. 2022 -5.63% -8.80% 52.04 98.04 71.43
40. 31 may. 2022 0.85% 0.01% 0.53 1.21 0.80
41. 30 jun. 2022 -11.07% -8.39% 160.25 90.21 120.23
42. 31 jul. 2022 -1.60% 9.11% 10.13 64.09 -25.48
43. 31 ago. 2022 -0.11% -4.24% 2.87 28.62 9.06
44. 30 sept. 2022 18.55% -9.34% 287.93 109.11 -177.24
45. 31 oct. 2022 8.69% 7.99% 50.51 47.34 48.90
46. 30 nov. 2022 0.39% 5.38% 1.42 18.23 -5.09
47. 31 dic. 2022 -4.02% -5.90% 31.41 49.04 39.25
48. 31 ene. 2023 5.13% 6.18% 12.53 25.70 17.95
49. 28 feb. 2023 0.26% -2.61% 1.76 13.82 4.94
50. 31 mar. 2023 8.05% 3.51% 41.85 5.76 15.52
51. 30 abr. 2023 -2.42% 1.46% 16.04 0.13 -1.44
52. 31 may. 2023 -8.26% 0.25% 96.94 0.74 8.44
53. 30 jun. 2023 -2.31% 4.71% 15.21 13.02 -14.07
54. 31 jul. 2023 3.25% 4.85% 2.78 13.99 6.23
55. 31 ago. 2023 11.40% -1.77% 96.33 8.28 -28.24
56. 30 sept. 2023 -0.43% -4.87% 4.05 35.73 12.03
57. 31 oct. 2023 -5.23% -2.20% 46.50 10.92 22.53
58. 30 nov. 2023 5.63% 8.92% 16.37 61.03 31.61
59. 31 dic. 2023 6.61% 4.42% 25.28 11.00 16.68
Total (Σ): 4,519.70 1,634.30 182.87

Mostrar todo

VarianzaREGN = Σ(RREGN,tRREGN)2 ÷ (59 – 1)
= 4,519.70 ÷ (59 – 1)
= 77.93

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18

CovarianzaREGN, S&P 500 = Σ(RREGN,tRREGN)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 182.87 ÷ (59 – 1)
= 3.15


Estimación sistemática del riesgo (β)

Microsoft Excel
VarianzaREGN 77.93
VarianzaS&P 500 28.18
CovarianzaREGN, S&P 500 3.15
Coeficiente de correlaciónREGN, S&P 5001 0.07
βREGN2 0.11
αREGN3 1.46%

Cálculos

1 Coeficiente de correlaciónREGN, S&P 500
= CovarianzaREGN, S&P 500 ÷ (Desviación estándarREGN × Desviación estándarS&P 500)
= 3.15 ÷ (8.83% × 5.31%)
= 0.07

2 βREGN
= CovarianzaREGN, S&P 500 ÷ VarianzaS&P 500
= 3.15 ÷ 28.18
= 0.11

3 αREGN
= PromedioREGN – βREGN × PromedioS&P 500
= 1.59%0.11 × 1.11%
= 1.46%


Tasa de rendimiento esperada

Microsoft Excel
Suposiciones
Tasa de rendimiento del LT Treasury Composite1 RF 4.64%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 13.68%
Riesgo sistemático de Regeneron acciones ordinarias βREGN 0.11
 
Tasa de rendimiento esperada de las acciones ordinarias de Regeneron3 E(RREGN) 5.65%

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).

2 Ver detalles »

3 E(RREGN) = RF + βREGN [E(RM) – RF]
= 4.64% + 0.11 [13.68%4.64%]
= 5.65%