Stock Analysis on Net

AbbVie Inc. (NYSE:ABBV)

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

Microsoft Excel LibreOffice Calc

Tasas de retorno

AbbVie Inc., tasas de rendimiento mensuales

Microsoft Excel LibreOffice Calc
AbbVie Inc. (ABBV) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioABBV,t1 DividendoABBV,t1 RABBV,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2017 $61.11 2,278.87
1. 28 feb. 2017 $61.84 1.19% 2,363.64 3.72%
2. 31 mar. 2017 $65.16 5.37% 2,362.72 -0.04%
3. 30 abr. 2017 $65.94 $0.64 2.18% 2,384.20 0.91%
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2021 $115.28 0.53% 4,567.00 -0.83%
59. 31 dic. 2021 $135.40 17.45% 4,766.18 4.36%
Promedio (R): 2.08% 1.36%
Desviación estándar: 8.34% 4.48%
AbbVie Inc. (ABBV) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioABBV,t1 DividendoABBV,t1 RABBV,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2017 $61.11 2,278.87
1. 28 feb. 2017 $61.84 1.19% 2,363.64 3.72%
2. 31 mar. 2017 $65.16 5.37% 2,362.72 -0.04%
3. 30 abr. 2017 $65.94 $0.64 2.18% 2,384.20 0.91%
4. 31 may. 2017 $66.02 0.12% 2,411.80 1.16%
5. 30 jun. 2017 $72.51 9.83% 2,423.41 0.48%
6. 31 jul. 2017 $69.91 $0.64 -2.70% 2,470.30 1.93%
7. 31 ago. 2017 $75.30 7.71% 2,471.65 0.05%
8. 30 sept. 2017 $88.86 18.01% 2,519.36 1.93%
9. 31 oct. 2017 $90.25 $0.64 2.28% 2,575.26 2.22%
10. 30 nov. 2017 $96.92 7.39% 2,647.58 2.81%
11. 31 dic. 2017 $96.71 -0.22% 2,673.61 0.98%
12. 31 ene. 2018 $112.22 $0.71 16.77% 2,823.81 5.62%
13. 28 feb. 2018 $115.83 3.22% 2,713.83 -3.89%
14. 31 mar. 2018 $94.65 -18.29% 2,640.87 -2.69%
15. 30 abr. 2018 $96.55 $0.96 3.02% 2,648.05 0.27%
16. 31 may. 2018 $98.94 2.48% 2,705.27 2.16%
17. 30 jun. 2018 $92.65 -6.36% 2,718.37 0.48%
18. 31 jul. 2018 $92.23 $0.96 0.58% 2,816.29 3.60%
19. 31 ago. 2018 $95.98 4.07% 2,901.52 3.03%
20. 30 sept. 2018 $94.58 -1.46% 2,913.98 0.43%
21. 31 oct. 2018 $77.85 $0.96 -16.67% 2,711.74 -6.94%
22. 30 nov. 2018 $94.27 21.09% 2,760.17 1.79%
23. 31 dic. 2018 $92.19 -2.21% 2,506.85 -9.18%
24. 31 ene. 2019 $80.29 $1.07 -11.75% 2,704.10 7.87%
25. 28 feb. 2019 $79.24 -1.31% 2,784.49 2.97%
26. 31 mar. 2019 $80.59 1.70% 2,834.40 1.79%
27. 30 abr. 2019 $79.39 $1.07 -0.16% 2,945.83 3.93%
28. 31 may. 2019 $76.71 -3.38% 2,752.06 -6.58%
29. 30 jun. 2019 $72.72 -5.20% 2,941.76 6.89%
30. 31 jul. 2019 $66.62 $1.07 -6.92% 2,980.38 1.31%
31. 31 ago. 2019 $65.74 -1.32% 2,926.46 -1.81%
32. 30 sept. 2019 $75.72 15.18% 2,976.74 1.72%
33. 31 oct. 2019 $79.55 $1.07 6.47% 3,037.56 2.04%
34. 30 nov. 2019 $87.73 10.28% 3,140.98 3.40%
35. 31 dic. 2019 $88.54 0.92% 3,230.78 2.86%
36. 31 ene. 2020 $81.02 $1.18 -7.16% 3,225.52 -0.16%
37. 29 feb. 2020 $85.71 5.79% 2,954.22 -8.41%
38. 31 mar. 2020 $76.19 -11.11% 2,584.59 -12.51%
39. 30 abr. 2020 $82.20 $1.18 9.44% 2,912.43 12.68%
40. 31 may. 2020 $92.67 12.74% 3,044.31 4.53%
41. 30 jun. 2020 $98.18 5.95% 3,100.29 1.84%
42. 31 jul. 2020 $94.91 $1.18 -2.13% 3,271.12 5.51%
43. 31 ago. 2020 $95.77 0.91% 3,500.31 7.01%
44. 30 sept. 2020 $87.59 -8.54% 3,363.00 -3.92%
45. 31 oct. 2020 $85.10 $1.18 -1.50% 3,269.96 -2.77%
46. 30 nov. 2020 $104.58 22.89% 3,621.63 10.75%
47. 31 dic. 2020 $107.15 2.46% 3,756.07 3.71%
48. 31 ene. 2021 $102.48 $1.30 -3.15% 3,714.24 -1.11%
49. 28 feb. 2021 $107.74 5.13% 3,811.15 2.61%
50. 31 mar. 2021 $108.22 0.45% 3,972.89 4.24%
51. 30 abr. 2021 $111.50 $1.30 4.23% 4,181.17 5.24%
52. 31 may. 2021 $113.20 1.52% 4,204.11 0.55%
53. 30 jun. 2021 $112.64 -0.49% 4,297.50 2.22%
54. 31 jul. 2021 $116.30 $1.30 4.40% 4,395.26 2.27%
55. 31 ago. 2021 $120.78 3.85% 4,522.68 2.90%
56. 30 sept. 2021 $107.87 -10.69% 4,307.54 -4.76%
57. 31 oct. 2021 $114.67 $1.30 7.51% 4,605.38 6.91%
58. 30 nov. 2021 $115.28 0.53% 4,567.00 -0.83%
59. 31 dic. 2021 $135.40 17.45% 4,766.18 4.36%
Promedio (R): 2.08% 1.36%
Desviación estándar: 8.34% 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 ABBV 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

AbbVie Inc., cálculo de varianza y covarianza de rendimientos

Microsoft Excel LibreOffice Calc
t Fecha RABBV,t RS&P 500,t (RABBV,tRABBV)2 (RS&P 500,tRS&P 500)2 (RABBV,tRABBV)×(RS&P 500,tRS&P 500)
1. 28 feb. 2017 1.19% 3.72% 0.78 5.58 -2.08
2. 31 mar. 2017 5.37% -0.04% 10.85 1.95 -4.60
3. 30 abr. 2017 2.18% 0.91% 0.01 0.20 -0.05
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2021 0.53% -0.83% 2.38 4.80 3.38
59. 31 dic. 2021 17.45% 4.36% 236.49 9.02 46.19
Total (Σ): 4,038.60 1,164.17 992.14
t Fecha RABBV,t RS&P 500,t (RABBV,tRABBV)2 (RS&P 500,tRS&P 500)2 (RABBV,tRABBV)×(RS&P 500,tRS&P 500)
1. 28 feb. 2017 1.19% 3.72% 0.78 5.58 -2.08
2. 31 mar. 2017 5.37% -0.04% 10.85 1.95 -4.60
3. 30 abr. 2017 2.18% 0.91% 0.01 0.20 -0.05
4. 31 may. 2017 0.12% 1.16% 3.82 0.04 0.39
5. 30 jun. 2017 9.83% 0.48% 60.14 0.77 -6.80
6. 31 jul. 2017 -2.70% 1.93% 22.83 0.33 -2.76
7. 31 ago. 2017 7.71% 0.05% 31.75 1.70 -7.34
8. 30 sept. 2017 18.01% 1.93% 253.86 0.33 9.12
9. 31 oct. 2017 2.28% 2.22% 0.04 0.74 0.18
10. 30 nov. 2017 7.39% 2.81% 28.25 2.10 7.71
11. 31 dic. 2017 -0.22% 0.98% 5.25 0.14 0.86
12. 31 ene. 2018 16.77% 5.62% 215.99 18.15 62.61
13. 28 feb. 2018 3.22% -3.89% 1.30 27.59 -6.00
14. 31 mar. 2018 -18.29% -2.69% 414.55 16.37 82.39
15. 30 abr. 2018 3.02% 0.27% 0.90 1.18 -1.03
16. 31 may. 2018 2.48% 2.16% 0.16 0.64 0.32
17. 30 jun. 2018 -6.36% 0.48% 71.11 0.76 7.37
18. 31 jul. 2018 0.58% 3.60% 2.23 5.04 -3.35
19. 31 ago. 2018 4.07% 3.03% 3.96 2.78 3.32
20. 30 sept. 2018 -1.46% 0.43% 12.49 0.86 3.28
21. 31 oct. 2018 -16.67% -6.94% 351.52 68.86 155.58
22. 30 nov. 2018 21.09% 1.79% 361.64 0.18 8.14
23. 31 dic. 2018 -2.21% -9.18% 18.33 111.00 45.11
24. 31 ene. 2019 -11.75% 7.87% 191.06 42.39 -89.99
25. 28 feb. 2019 -1.31% 2.97% 11.44 2.61 -5.46
26. 31 mar. 2019 1.70% 1.79% 0.14 0.19 -0.16
27. 30 abr. 2019 -0.16% 3.93% 5.00 6.62 -5.76
28. 31 may. 2019 -3.38% -6.58% 29.71 62.97 43.26
29. 30 jun. 2019 -5.20% 6.89% 52.95 30.64 -40.28
30. 31 jul. 2019 -6.92% 1.31% 80.86 0.00 0.41
31. 31 ago. 2019 -1.32% -1.81% 11.53 10.03 10.76
32. 30 sept. 2019 15.18% 1.72% 171.77 0.13 4.72
33. 31 oct. 2019 6.47% 2.04% 19.33 0.47 3.01
34. 30 nov. 2019 10.28% 3.40% 67.37 4.19 16.80
35. 31 dic. 2019 0.92% 2.86% 1.33 2.25 -1.73
36. 31 ene. 2020 -7.16% -0.16% 85.30 2.31 14.04
37. 29 feb. 2020 5.79% -8.41% 13.79 95.43 -36.28
38. 31 mar. 2020 -11.11% -12.51% 173.77 192.37 182.84
39. 30 abr. 2020 9.44% 12.68% 54.20 128.29 83.38
40. 31 may. 2020 12.74% 4.53% 113.68 10.05 33.80
41. 30 jun. 2020 5.95% 1.84% 14.98 0.23 1.86
42. 31 jul. 2020 -2.13% 5.51% 17.67 17.24 -17.46
43. 31 ago. 2020 0.91% 7.01% 1.37 31.91 -6.60
44. 30 sept. 2020 -8.54% -3.92% 112.71 27.89 56.06
45. 31 oct. 2020 -1.50% -2.77% 12.75 17.01 14.73
46. 30 nov. 2020 22.89% 10.75% 433.29 88.30 195.60
47. 31 dic. 2020 2.46% 3.71% 0.15 5.54 0.90
48. 31 ene. 2021 -3.15% -1.11% 27.25 6.11 12.90
49. 28 feb. 2021 5.13% 2.61% 9.35 1.57 3.83
50. 31 mar. 2021 0.45% 4.24% 2.66 8.33 -4.70
51. 30 abr. 2021 4.23% 5.24% 4.65 15.09 8.38
52. 31 may. 2021 1.52% 0.55% 0.30 0.65 0.45
53. 30 jun. 2021 -0.49% 2.22% 6.60 0.75 -2.22
54. 31 jul. 2021 4.40% 2.27% 5.42 0.84 2.13
55. 31 ago. 2021 3.85% 2.90% 3.16 2.38 2.74
56. 30 sept. 2021 -10.69% -4.76% 162.92 37.39 78.05
57. 31 oct. 2021 7.51% 6.91% 29.53 30.87 30.19
58. 30 nov. 2021 0.53% -0.83% 2.38 4.80 3.38
59. 31 dic. 2021 17.45% 4.36% 236.49 9.02 46.19
Total (Σ): 4,038.60 1,164.17 992.14

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VarianzaABBV = Σ(RABBV,tRABBV)2 ÷ (59 – 1)
= 4,038.60 ÷ (59 – 1)
= 69.63

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

CovarianzaABBV, S&P 500 = Σ(RABBV,tRABBV)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 992.14 ÷ (59 – 1)
= 17.11


Estimación sistemática del riesgo (β)

Microsoft Excel LibreOffice Calc
VarianzaABBV 69.63
VarianzaS&P 500 20.07
CovarianzaABBV, S&P 500 17.11
Coeficiente de correlaciónABBV, S&P 5001 0.46
βABBV2 0.85
αABBV3 0.92%

Cálculos

1 Coeficiente de correlaciónABBV, S&P 500
= CovarianzaABBV, S&P 500 ÷ (Desviación estándarABBV × Desviación estándarS&P 500)
= 17.11 ÷ (8.34% × 4.48%)
= 0.46

2 βABBV
= CovarianzaABBV, S&P 500 ÷ VarianzaS&P 500
= 17.11 ÷ 20.07
= 0.85

3 αABBV
= PromedioABBV – βABBV × PromedioS&P 500
= 2.08%0.85 × 1.36%
= 0.92%


Tasa de rendimiento esperada

Microsoft Excel LibreOffice Calc
Suposiciones
Tasa de rendimiento de LT Treasury Composite1 RF 3.18%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 13.11%
Riesgo sistemático de acciones ordinarias AbbVie βABBV 0.85
 
Tasa de rendimiento esperada de las acciones ordinarias de AbbVie3 E(RABBV) 11.65%

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(RABBV) = RF + βABBV [E(RM) – RF]
= 3.18% + 0.85 [13.11%3.18%]
= 11.65%