Stock Analysis on Net

Texas Instruments Inc. (NASDAQ:TXN)

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

Microsoft Excel

Tasas de retorno

Texas Instruments Inc., tasas mensuales de retorno

Microsoft Excel
Texas Instruments Inc. (TXN) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioTXN,t1 DividendoTXN,t1 RTXN,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2017 $75.54 2,278.87
1. 28 feb. 2017 $76.62 1.43% 2,363.64 3.72%
2. 31 mar. 2017 $80.56 5.14% 2,362.72 -0.04%
3. 30 abr. 2017 $79.18 $0.50 -1.09% 2,384.20 0.91%
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2021 $192.37 2.61% 4,567.00 -0.83%
59. 31 dic. 2021 $188.47 -2.03% 4,766.18 4.36%
Promedio (R): 1.96% 1.36%
Desviación estándar: 6.12% 4.48%
Texas Instruments Inc. (TXN) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioTXN,t1 DividendoTXN,t1 RTXN,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2017 $75.54 2,278.87
1. 28 feb. 2017 $76.62 1.43% 2,363.64 3.72%
2. 31 mar. 2017 $80.56 5.14% 2,362.72 -0.04%
3. 30 abr. 2017 $79.18 $0.50 -1.09% 2,384.20 0.91%
4. 31 may. 2017 $82.49 4.18% 2,411.80 1.16%
5. 30 jun. 2017 $76.93 -6.74% 2,423.41 0.48%
6. 31 jul. 2017 $81.38 $0.50 6.43% 2,470.30 1.93%
7. 31 ago. 2017 $82.82 1.77% 2,471.65 0.05%
8. 30 sept. 2017 $89.64 8.23% 2,519.36 1.93%
9. 31 oct. 2017 $96.69 $0.62 8.56% 2,575.26 2.22%
10. 30 nov. 2017 $97.29 0.62% 2,647.58 2.81%
11. 31 dic. 2017 $104.44 7.35% 2,673.61 0.98%
12. 31 ene. 2018 $109.67 $0.62 5.60% 2,823.81 5.62%
13. 28 feb. 2018 $108.35 -1.20% 2,713.83 -3.89%
14. 31 mar. 2018 $103.89 -4.12% 2,640.87 -2.69%
15. 30 abr. 2018 $101.43 -2.37% 2,648.05 0.27%
16. 31 may. 2018 $111.91 $0.62 10.94% 2,705.27 2.16%
17. 30 jun. 2018 $110.25 -1.48% 2,718.37 0.48%
18. 31 jul. 2018 $111.32 $0.62 1.53% 2,816.29 3.60%
19. 31 ago. 2018 $112.40 0.97% 2,901.52 3.03%
20. 30 sept. 2018 $107.29 -4.55% 2,913.98 0.43%
21. 31 oct. 2018 $92.83 $0.77 -12.76% 2,711.74 -6.94%
22. 30 nov. 2018 $99.85 7.56% 2,760.17 1.79%
23. 31 dic. 2018 $94.50 -5.36% 2,506.85 -9.18%
24. 31 ene. 2019 $100.68 $0.77 7.35% 2,704.10 7.87%
25. 28 feb. 2019 $105.78 5.07% 2,784.49 2.97%
26. 31 mar. 2019 $106.07 0.27% 2,834.40 1.79%
27. 30 abr. 2019 $117.83 11.09% 2,945.83 3.93%
28. 31 may. 2019 $104.31 $0.77 -10.82% 2,752.06 -6.58%
29. 30 jun. 2019 $114.76 10.02% 2,941.76 6.89%
30. 31 jul. 2019 $125.01 $0.77 9.60% 2,980.38 1.31%
31. 31 ago. 2019 $123.75 -1.01% 2,926.46 -1.81%
32. 30 sept. 2019 $129.24 4.44% 2,976.74 1.72%
33. 31 oct. 2019 $117.99 $0.90 -8.01% 3,037.56 2.04%
34. 30 nov. 2019 $120.21 1.88% 3,140.98 3.40%
35. 31 dic. 2019 $128.29 6.72% 3,230.78 2.86%
36. 31 ene. 2020 $120.65 $0.90 -5.25% 3,225.52 -0.16%
37. 29 feb. 2020 $114.14 -5.40% 2,954.22 -8.41%
38. 31 mar. 2020 $99.93 -12.45% 2,584.59 -12.51%
39. 30 abr. 2020 $116.07 16.15% 2,912.43 12.68%
40. 31 may. 2020 $118.74 $0.90 3.08% 3,044.31 4.53%
41. 30 jun. 2020 $126.97 6.93% 3,100.29 1.84%
42. 31 jul. 2020 $127.55 $0.90 1.17% 3,271.12 5.51%
43. 31 ago. 2020 $142.15 11.45% 3,500.31 7.01%
44. 30 sept. 2020 $142.79 0.45% 3,363.00 -3.92%
45. 31 oct. 2020 $144.59 $1.02 1.97% 3,269.96 -2.77%
46. 30 nov. 2020 $161.25 11.52% 3,621.63 10.75%
47. 31 dic. 2020 $164.13 1.79% 3,756.07 3.71%
48. 31 ene. 2021 $165.69 $1.02 1.57% 3,714.24 -1.11%
49. 28 feb. 2021 $172.27 3.97% 3,811.15 2.61%
50. 31 mar. 2021 $188.99 9.71% 3,972.89 4.24%
51. 30 abr. 2021 $180.51 $1.02 -3.95% 4,181.17 5.24%
52. 31 may. 2021 $189.82 5.16% 4,204.11 0.55%
53. 30 jun. 2021 $192.30 1.31% 4,297.50 2.22%
54. 31 jul. 2021 $190.62 $1.02 -0.34% 4,395.26 2.27%
55. 31 ago. 2021 $190.91 0.15% 4,522.68 2.90%
56. 30 sept. 2021 $192.21 0.68% 4,307.54 -4.76%
57. 31 oct. 2021 $187.48 $1.15 -1.86% 4,605.38 6.91%
58. 30 nov. 2021 $192.37 2.61% 4,567.00 -0.83%
59. 31 dic. 2021 $188.47 -2.03% 4,766.18 4.36%
Promedio (R): 1.96% 1.36%
Desviación estándar: 6.12% 4.48%

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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 TXN 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

Texas Instruments Inc., cálculo de varianza y covarianza de rendimientos

Microsoft Excel
t Fecha RTXN,t RS&P 500,t (RTXN,tRTXN)2 (RS&P 500,tRS&P 500)2 (RTXN,tRTXN)×(RS&P 500,tRS&P 500)
1. 28 feb. 2017 1.43% 3.72% 0.28 5.58 -1.25
2. 31 mar. 2017 5.14% -0.04% 10.13 1.95 -4.45
3. 30 abr. 2017 -1.09% 0.91% 9.32 0.20 1.37
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2021 2.61% -0.83% 0.42 4.80 -1.42
59. 31 dic. 2021 -2.03% 4.36% 15.90 9.02 -11.98
Total (Σ): 2,175.66 1,164.17 1,071.74
t Fecha RTXN,t RS&P 500,t (RTXN,tRTXN)2 (RS&P 500,tRS&P 500)2 (RTXN,tRTXN)×(RS&P 500,tRS&P 500)
1. 28 feb. 2017 1.43% 3.72% 0.28 5.58 -1.25
2. 31 mar. 2017 5.14% -0.04% 10.13 1.95 -4.45
3. 30 abr. 2017 -1.09% 0.91% 9.32 0.20 1.37
4. 31 may. 2017 4.18% 1.16% 4.93 0.04 -0.44
5. 30 jun. 2017 -6.74% 0.48% 75.69 0.77 7.63
6. 31 jul. 2017 6.43% 1.93% 20.02 0.33 2.58
7. 31 ago. 2017 1.77% 0.05% 0.04 1.70 0.25
8. 30 sept. 2017 8.23% 1.93% 39.37 0.33 3.59
9. 31 oct. 2017 8.56% 2.22% 43.51 0.74 5.68
10. 30 nov. 2017 0.62% 2.81% 1.79 2.10 -1.94
11. 31 dic. 2017 7.35% 0.98% 29.04 0.14 -2.02
12. 31 ene. 2018 5.60% 5.62% 13.26 18.15 15.51
13. 28 feb. 2018 -1.20% -3.89% 10.01 27.59 16.62
14. 31 mar. 2018 -4.12% -2.69% 36.92 16.37 24.59
15. 30 abr. 2018 -2.37% 0.27% 18.73 1.18 4.70
16. 31 may. 2018 10.94% 2.16% 80.70 0.64 7.21
17. 30 jun. 2018 -1.48% 0.48% 11.86 0.76 3.01
18. 31 jul. 2018 1.53% 3.60% 0.18 5.04 -0.96
19. 31 ago. 2018 0.97% 3.03% 0.98 2.78 -1.65
20. 30 sept. 2018 -4.55% 0.43% 42.33 0.86 6.04
21. 31 oct. 2018 -12.76% -6.94% 216.67 68.86 122.15
22. 30 nov. 2018 7.56% 1.79% 31.38 0.18 2.40
23. 31 dic. 2018 -5.36% -9.18% 53.55 111.00 77.10
24. 31 ene. 2019 7.35% 7.87% 29.10 42.39 35.12
25. 28 feb. 2019 5.07% 2.97% 9.64 2.61 5.02
26. 31 mar. 2019 0.27% 1.79% 2.84 0.19 -0.73
27. 30 abr. 2019 11.09% 3.93% 83.30 6.62 23.49
28. 31 may. 2019 -10.82% -6.58% 163.35 62.97 101.42
29. 30 jun. 2019 10.02% 6.89% 64.93 30.64 44.60
30. 31 jul. 2019 9.60% 1.31% 58.41 0.00 -0.34
31. 31 ago. 2019 -1.01% -1.81% 8.81 10.03 9.40
32. 30 sept. 2019 4.44% 1.72% 6.13 0.13 0.89
33. 31 oct. 2019 -8.01% 2.04% 99.37 0.47 -6.83
34. 30 nov. 2019 1.88% 3.40% 0.01 4.19 -0.16
35. 31 dic. 2019 6.72% 2.86% 22.67 2.25 7.15
36. 31 ene. 2020 -5.25% -0.16% 52.04 2.31 10.97
37. 29 feb. 2020 -5.40% -8.41% 54.11 95.43 71.86
38. 31 mar. 2020 -12.45% -12.51% 207.64 192.37 199.86
39. 30 abr. 2020 16.15% 12.68% 201.39 128.29 160.74
40. 31 may. 2020 3.08% 4.53% 1.24 10.05 3.54
41. 30 jun. 2020 6.93% 1.84% 24.71 0.23 2.39
42. 31 jul. 2020 1.17% 5.51% 0.63 17.24 -3.30
43. 31 ago. 2020 11.45% 7.01% 89.99 31.91 53.58
44. 30 sept. 2020 0.45% -3.92% 2.28 27.89 7.97
45. 31 oct. 2020 1.97% -2.77% 0.00 17.01 -0.06
46. 30 nov. 2020 11.52% 10.75% 91.44 88.30 89.85
47. 31 dic. 2020 1.79% 3.71% 0.03 5.54 -0.41
48. 31 ene. 2021 1.57% -1.11% 0.15 6.11 0.96
49. 28 feb. 2021 3.97% 2.61% 4.05 1.57 2.52
50. 31 mar. 2021 9.71% 4.24% 60.00 8.33 22.35
51. 30 abr. 2021 -3.95% 5.24% 34.90 15.09 -22.95
52. 31 may. 2021 5.16% 0.55% 10.22 0.65 -2.59
53. 30 jun. 2021 1.31% 2.22% 0.43 0.75 -0.56
54. 31 jul. 2021 -0.34% 2.27% 5.30 0.84 -2.11
55. 31 ago. 2021 0.15% 2.90% 3.27 2.38 -2.79
56. 30 sept. 2021 0.68% -4.76% 1.64 37.39 7.82
57. 31 oct. 2021 -1.86% 6.91% 14.61 30.87 -21.24
58. 30 nov. 2021 2.61% -0.83% 0.42 4.80 -1.42
59. 31 dic. 2021 -2.03% 4.36% 15.90 9.02 -11.98
Total (Σ): 2,175.66 1,164.17 1,071.74

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VarianzaTXN = Σ(RTXN,tRTXN)2 ÷ (59 – 1)
= 2,175.66 ÷ (59 – 1)
= 37.51

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,164.17 ÷ (59 – 1)
= 20.07

CovarianzaTXN, S&P 500 = Σ(RTXN,tRTXN)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,071.74 ÷ (59 – 1)
= 18.48


Estimación sistemática del riesgo (β)

Microsoft Excel
VarianzaTXN 37.51
VarianzaS&P 500 20.07
CovarianzaTXN, S&P 500 18.48
Coeficiente de correlaciónTXN, S&P 5001 0.67
βTXN2 0.92
αTXN3 0.71%

Cálculos

1 Coeficiente de correlaciónTXN, S&P 500
= CovarianzaTXN, S&P 500 ÷ (Desviación estándarTXN × Desviación estándarS&P 500)
= 18.48 ÷ (6.12% × 4.48%)
= 0.67

2 βTXN
= CovarianzaTXN, S&P 500 ÷ VarianzaS&P 500
= 18.48 ÷ 20.07
= 0.92

3 αTXN
= PromedioTXN – βTXN × PromedioS&P 500
= 1.96%0.92 × 1.36%
= 0.71%


Tasa de rendimiento esperada

Microsoft Excel
Suposiciones
Tasa de rendimiento de LT Treasury Composite1 RF 3.27%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 12.20%
Riesgo sistemático de acciones ordinarias TI βTXN 0.92
 
Tasa de rendimiento esperada de las acciones ordinarias de TI3 E(RTXN) 11.49%

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(RTXN) = RF + βTXN [E(RM) – RF]
= 3.27% + 0.92 [12.20%3.27%]
= 11.49%