Stock Analysis on Net

Synopsys Inc. (NASDAQ:SNPS) 

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

Microsoft Excel

Tasas de retorno

Synopsys Inc., tasas mensuales de retorno

Microsoft Excel
Synopsys Inc. (SNPS) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioSNPS,t1 DividendoSNPS,t1 RSNPS,t2 PrecioS&P 500,t RS&P 500,t3
30 nov. 2017 $90.38 2,647.58
1. 31 dic. 2017 $85.24 -5.69% 2,673.61 0.98%
2. 31 ene. 2018 $92.61 8.65% 2,823.81 5.62%
3. 28 feb. 2018 $84.67 -8.57% 2,713.83 -3.89%
. . . . . . .
. . . . . . .
. . . . . . .
70. 30 sept. 2023 $458.97 0.02% 4,288.05 -4.87%
71. 31 oct. 2023 $469.44 2.28% 4,193.80 -2.20%
Promedio (R): 2.68% 0.78%
Desviación estándar: 8.38% 5.13%
Synopsys Inc. (SNPS) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioSNPS,t1 DividendoSNPS,t1 RSNPS,t2 PrecioS&P 500,t RS&P 500,t3
30 nov. 2017 $90.38 2,647.58
1. 31 dic. 2017 $85.24 -5.69% 2,673.61 0.98%
2. 31 ene. 2018 $92.61 8.65% 2,823.81 5.62%
3. 28 feb. 2018 $84.67 -8.57% 2,713.83 -3.89%
4. 31 mar. 2018 $83.24 -1.69% 2,640.87 -2.69%
5. 30 abr. 2018 $85.51 2.73% 2,648.05 0.27%
6. 31 may. 2018 $88.07 2.99% 2,705.27 2.16%
7. 30 jun. 2018 $85.57 -2.84% 2,718.37 0.48%
8. 31 jul. 2018 $89.43 4.51% 2,816.29 3.60%
9. 31 ago. 2018 $102.14 14.21% 2,901.52 3.03%
10. 30 sept. 2018 $98.61 -3.46% 2,913.98 0.43%
11. 31 oct. 2018 $89.53 -9.21% 2,711.74 -6.94%
12. 30 nov. 2018 $91.94 2.69% 2,760.17 1.79%
13. 31 dic. 2018 $84.24 -8.38% 2,506.85 -9.18%
14. 31 ene. 2019 $93.35 10.81% 2,704.10 7.87%
15. 28 feb. 2019 $101.68 8.92% 2,784.49 2.97%
16. 31 mar. 2019 $115.15 13.25% 2,834.40 1.79%
17. 30 abr. 2019 $121.08 5.15% 2,945.83 3.93%
18. 31 may. 2019 $116.44 -3.83% 2,752.06 -6.58%
19. 30 jun. 2019 $128.69 10.52% 2,941.76 6.89%
20. 31 jul. 2019 $132.76 3.16% 2,980.38 1.31%
21. 31 ago. 2019 $141.81 6.82% 2,926.46 -1.81%
22. 30 sept. 2019 $137.25 -3.22% 2,976.74 1.72%
23. 31 oct. 2019 $135.75 -1.09% 3,037.56 2.04%
24. 30 nov. 2019 $141.04 3.90% 3,140.98 3.40%
25. 31 dic. 2019 $139.20 -1.30% 3,230.78 2.86%
26. 31 ene. 2020 $147.51 5.97% 3,225.52 -0.16%
27. 29 feb. 2020 $137.93 -6.49% 2,954.22 -8.41%
28. 31 mar. 2020 $128.79 -6.63% 2,584.59 -12.51%
29. 30 abr. 2020 $157.12 22.00% 2,912.43 12.68%
30. 31 may. 2020 $180.91 15.14% 3,044.31 4.53%
31. 30 jun. 2020 $195.00 7.79% 3,100.29 1.84%
32. 31 jul. 2020 $199.22 2.16% 3,271.12 5.51%
33. 31 ago. 2020 $221.30 11.08% 3,500.31 7.01%
34. 30 sept. 2020 $213.98 -3.31% 3,363.00 -3.92%
35. 31 oct. 2020 $213.86 -0.06% 3,269.96 -2.77%
36. 30 nov. 2020 $227.50 6.38% 3,621.63 10.75%
37. 31 dic. 2020 $259.24 13.95% 3,756.07 3.71%
38. 31 ene. 2021 $255.45 -1.46% 3,714.24 -1.11%
39. 28 feb. 2021 $245.21 -4.01% 3,811.15 2.61%
40. 31 mar. 2021 $247.78 1.05% 3,972.89 4.24%
41. 30 abr. 2021 $247.06 -0.29% 4,181.17 5.24%
42. 31 may. 2021 $254.34 2.95% 4,204.11 0.55%
43. 30 jun. 2021 $275.79 8.43% 4,297.50 2.22%
44. 31 jul. 2021 $287.99 4.42% 4,395.26 2.27%
45. 31 ago. 2021 $332.24 15.37% 4,522.68 2.90%
46. 30 sept. 2021 $299.41 -9.88% 4,307.54 -4.76%
47. 31 oct. 2021 $333.18 11.28% 4,605.38 6.91%
48. 30 nov. 2021 $341.00 2.35% 4,567.00 -0.83%
49. 31 dic. 2021 $368.50 8.06% 4,766.18 4.36%
50. 31 ene. 2022 $310.50 -15.74% 4,515.55 -5.26%
51. 28 feb. 2022 $312.39 0.61% 4,373.94 -3.14%
52. 31 mar. 2022 $333.27 6.68% 4,530.41 3.58%
53. 30 abr. 2022 $286.79 -13.95% 4,131.93 -8.80%
54. 31 may. 2022 $319.20 11.30% 4,132.15 0.01%
55. 30 jun. 2022 $303.70 -4.86% 3,785.38 -8.39%
56. 31 jul. 2022 $367.50 21.01% 4,130.29 9.11%
57. 31 ago. 2022 $346.02 -5.84% 3,955.00 -4.24%
58. 30 sept. 2022 $305.51 -11.71% 3,585.62 -9.34%
59. 31 oct. 2022 $292.55 -4.24% 3,871.98 7.99%
60. 30 nov. 2022 $339.54 16.06% 4,080.11 5.38%
61. 31 dic. 2022 $319.29 -5.96% 3,839.50 -5.90%
62. 31 ene. 2023 $353.75 10.79% 4,076.60 6.18%
63. 28 feb. 2023 $363.76 2.83% 3,970.15 -2.61%
64. 31 mar. 2023 $386.25 6.18% 4,109.31 3.51%
65. 30 abr. 2023 $371.32 -3.87% 4,169.48 1.46%
66. 31 may. 2023 $454.96 22.53% 4,179.83 0.25%
67. 30 jun. 2023 $435.41 -4.30% 4,376.86 4.71%
68. 31 jul. 2023 $451.80 3.76% 4,588.96 4.85%
69. 31 ago. 2023 $458.89 1.57% 4,507.66 -1.77%
70. 30 sept. 2023 $458.97 0.02% 4,288.05 -4.87%
71. 31 oct. 2023 $469.44 2.28% 4,193.80 -2.20%
Promedio (R): 2.68% 0.78%
Desviación estándar: 8.38% 5.13%

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 SNPS 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

Synopsys Inc., cálculo de la varianza y covarianza de los rendimientos

Microsoft Excel
t Fecha RSNPS,t RS&P 500,t (RSNPS,tRSNPS)2 (RS&P 500,tRS&P 500)2 (RSNPS,tRSNPS)×(RS&P 500,tRS&P 500)
1. 31 dic. 2017 -5.69% 0.98% 70.05 0.04 -1.69
2. 31 ene. 2018 8.65% 5.62% 35.57 23.40 28.85
3. 28 feb. 2018 -8.57% -3.89% 126.70 21.86 52.63
. . . . . . .
. . . . . . .
. . . . . . .
70. 30 sept. 2023 0.02% -4.87% 7.10 31.95 15.06
71. 31 oct. 2023 2.28% -2.20% 0.16 8.87 1.20
Total (Σ): 4,909.89 1,843.80 2,089.57
t Fecha RSNPS,t RS&P 500,t (RSNPS,tRSNPS)2 (RS&P 500,tRS&P 500)2 (RSNPS,tRSNPS)×(RS&P 500,tRS&P 500)
1. 31 dic. 2017 -5.69% 0.98% 70.05 0.04 -1.69
2. 31 ene. 2018 8.65% 5.62% 35.57 23.40 28.85
3. 28 feb. 2018 -8.57% -3.89% 126.70 21.86 52.63
4. 31 mar. 2018 -1.69% -2.69% 19.11 12.04 15.17
5. 30 abr. 2018 2.73% 0.27% 0.00 0.26 -0.02
6. 31 may. 2018 2.99% 2.16% 0.10 1.90 0.43
7. 30 jun. 2018 -2.84% 0.48% 30.48 0.09 1.64
8. 31 jul. 2018 4.51% 3.60% 3.34 7.96 5.16
9. 31 ago. 2018 14.21% 3.03% 132.93 5.04 25.89
10. 30 sept. 2018 -3.46% 0.43% 37.68 0.12 2.16
11. 31 oct. 2018 -9.21% -6.94% 141.38 59.62 91.81
12. 30 nov. 2018 2.69% 1.79% 0.00 1.01 0.01
13. 31 dic. 2018 -8.38% -9.18% 122.27 99.17 110.12
14. 31 ene. 2019 10.81% 7.87% 66.13 50.24 57.64
15. 28 feb. 2019 8.92% 2.97% 38.95 4.81 13.68
16. 31 mar. 2019 13.25% 1.79% 111.62 1.02 10.69
17. 30 abr. 2019 5.15% 3.93% 6.09 9.93 7.77
18. 31 may. 2019 -3.83% -6.58% 42.44 54.15 47.94
19. 30 jun. 2019 10.52% 6.89% 61.43 37.36 47.91
20. 31 jul. 2019 3.16% 1.31% 0.23 0.28 0.26
21. 31 ago. 2019 6.82% -1.81% 17.09 6.71 -10.71
22. 30 sept. 2019 -3.22% 1.72% 34.79 0.88 -5.53
23. 31 oct. 2019 -1.09% 2.04% 14.25 1.59 -4.77
24. 30 nov. 2019 3.90% 3.40% 1.47 6.89 3.19
25. 31 dic. 2019 -1.30% 2.86% 15.90 4.32 -8.29
26. 31 ene. 2020 5.97% -0.16% 10.81 0.89 -3.10
27. 29 feb. 2020 -6.49% -8.41% 84.22 84.49 84.35
28. 31 mar. 2020 -6.63% -12.51% 86.66 176.70 123.74
29. 30 abr. 2020 22.00% 12.68% 373.05 141.70 229.91
30. 31 may. 2020 15.14% 4.53% 155.22 14.04 46.69
31. 30 jun. 2020 7.79% 1.84% 26.07 1.12 5.40
32. 31 jul. 2020 2.16% 5.51% 0.27 22.37 -2.45
33. 31 ago. 2020 11.08% 7.01% 70.57 38.76 52.30
34. 30 sept. 2020 -3.31% -3.92% 35.88 22.12 28.18
35. 31 oct. 2020 -0.06% -2.77% 7.50 12.58 9.71
36. 30 nov. 2020 6.38% 10.75% 13.66 99.48 36.86
37. 31 dic. 2020 13.95% 3.71% 126.99 8.59 33.03
38. 31 ene. 2021 -1.46% -1.11% 17.18 3.59 7.85
39. 28 feb. 2021 -4.01% 2.61% 44.77 3.34 -12.23
40. 31 mar. 2021 1.05% 4.24% 2.67 11.99 -5.66
41. 30 abr. 2021 -0.29% 5.24% 8.84 19.91 -13.27
42. 31 may. 2021 2.95% 0.55% 0.07 0.05 -0.06
43. 30 jun. 2021 8.43% 2.22% 33.08 2.08 8.29
44. 31 jul. 2021 4.42% 2.27% 3.03 2.23 2.60
45. 31 ago. 2021 15.37% 2.90% 160.85 4.49 26.87
46. 30 sept. 2021 -9.88% -4.76% 157.85 30.67 69.57
47. 31 oct. 2021 11.28% 6.91% 73.90 37.62 52.73
48. 30 nov. 2021 2.35% -0.83% 0.11 2.61 0.54
49. 31 dic. 2021 8.06% 4.36% 28.97 12.82 19.27
50. 31 ene. 2022 -15.74% -5.26% 339.37 36.47 111.26
51. 28 feb. 2022 0.61% -3.14% 4.30 15.34 8.12
52. 31 mar. 2022 6.68% 3.58% 16.01 7.82 11.19
53. 30 abr. 2022 -13.95% -8.80% 276.53 91.71 159.25
54. 31 may. 2022 11.30% 0.01% 74.28 0.60 -6.68
55. 30 jun. 2022 -4.86% -8.39% 56.83 84.14 69.15
56. 31 jul. 2022 21.01% 9.11% 335.81 69.40 152.66
57. 31 ago. 2022 -5.84% -4.24% 72.72 25.25 42.85
58. 30 sept. 2022 -11.71% -9.34% 207.07 102.42 145.63
59. 31 oct. 2022 -4.24% 7.99% 47.95 51.92 -49.90
60. 30 nov. 2022 16.06% 5.38% 179.02 21.11 61.47
61. 31 dic. 2022 -5.96% -5.90% 74.76 44.59 57.74
62. 31 ene. 2023 10.79% 6.18% 65.78 29.10 43.75
63. 28 feb. 2023 2.83% -2.61% 0.02 11.51 -0.50
64. 31 mar. 2023 6.18% 3.51% 12.25 7.42 9.54
65. 30 abr. 2023 -3.87% 1.46% 42.87 0.47 -4.48
66. 31 may. 2023 22.53% 0.25% 393.73 0.28 -10.57
67. 30 jun. 2023 -4.30% 4.71% 48.71 15.47 -27.45
68. 31 jul. 2023 3.76% 4.85% 1.17 16.53 4.40
69. 31 ago. 2023 1.57% -1.77% 1.24 6.51 2.84
70. 30 sept. 2023 0.02% -4.87% 7.10 31.95 15.06
71. 31 oct. 2023 2.28% -2.20% 0.16 8.87 1.20
Total (Σ): 4,909.89 1,843.80 2,089.57

Mostrar todo

VarianzaSNPS = Σ(RSNPS,tRSNPS)2 ÷ (71 – 1)
= 4,909.89 ÷ (71 – 1)
= 70.14

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,843.80 ÷ (71 – 1)
= 26.34

CovarianzaSNPS, S&P 500 = Σ(RSNPS,tRSNPS)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 2,089.57 ÷ (71 – 1)
= 29.85


Estimación sistemática del riesgo (β)

Microsoft Excel
VarianzaSNPS 70.14
VarianzaS&P 500 26.34
CovarianzaSNPS, S&P 500 29.85
Coeficiente de correlaciónSNPS, S&P 5001 0.69
βSNPS2 1.13
αSNPS3 1.80%

Cálculos

1 Coeficiente de correlaciónSNPS, S&P 500
= CovarianzaSNPS, S&P 500 ÷ (Desviación estándarSNPS × Desviación estándarS&P 500)
= 29.85 ÷ (8.38% × 5.13%)
= 0.69

2 βSNPS
= CovarianzaSNPS, S&P 500 ÷ VarianzaS&P 500
= 29.85 ÷ 26.34
= 1.13

3 αSNPS
= PromedioSNPS – βSNPS × PromedioS&P 500
= 2.68%1.13 × 0.78%
= 1.80%


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 Synopsys acciones ordinarias βSNPS 1.13
 
Tasa de rendimiento esperada de las acciones ordinarias de Synopsys3 E(RSNPS) 14.88%

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(RSNPS) = RF + βSNPS [E(RM) – RF]
= 4.64% + 1.13 [13.68%4.64%]
= 14.88%