Stock Analysis on Net
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Accenture PLC (NYSE:ACN)

Modelo de valoración de activos de capital (CAPM)

Nivel de dificultad medio

El modelo de fijación de precios de activos de capital (CAPM) indica cuál debería ser la tasa de rendimiento esperada o requerida de los activos de riesgo, como las acciones ordinarias de Accenture.


Las tasas de rendimiento

Accenture PLC, tasas de rendimiento mensuales

Microsoft Excel LibreOffice Calc
Accenture PLC (ACN) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioACN,t1 DividendoACN,t1 RACN,t2 PrecioS&P 500,t RS&P 500,t3
30 sept. 2014 $81.32 1,972.29
1. 31 oct. 2014 $81.12 $1.02 1.01% 2,018.05 2.32%
2. 30 nov. 2014 $86.33 6.42% 2,067.56 2.45%
3. 31 dic. 2014 $89.31 3.45% 2,058.90 -0.42%
. . . . . . .
. . . . . . .
. . . . . . .
70. 31 jul. 2020 $224.78 $0.80 5.06% 3,271.12 5.51%
71. 31 ago. 2020 $239.93 6.74% 3,500.31 7.01%
Promedio (R): 1.85% 0.90%
Desviación típica: 5.50% 4.12%

Fuente: Accenture PLC (NYSE:ACN) | CAPM (www.stock-analysis-on.net)

Accenture PLC (ACN) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioACN,t1 DividendoACN,t1 RACN,t2 PrecioS&P 500,t RS&P 500,t3
30 sept. 2014 $81.32 1,972.29
1. 31 oct. 2014 $81.12 $1.02 1.01% 2,018.05 2.32%
2. 30 nov. 2014 $86.33 6.42% 2,067.56 2.45%
3. 31 dic. 2014 $89.31 3.45% 2,058.90 -0.42%
4. 31 ene. 2015 $84.03 -5.91% 1,994.99 -3.10%
5. 28 feb. 2015 $90.03 7.14% 2,104.50 5.49%
6. 31 mar. 2015 $93.69 4.07% 2,067.89 -1.74%
7. 30 abr. 2015 $92.65 $1.02 -0.02% 2,085.51 0.85%
8. 31 may. 2015 $96.04 3.66% 2,107.39 1.05%
9. 30 jun. 2015 $96.78 0.77% 2,063.11 -2.10%
10. 31 jul. 2015 $103.11 6.54% 2,103.84 1.97%
11. 31 ago. 2015 $94.27 -8.57% 1,972.18 -6.26%
12. 30 sept. 2015 $98.26 4.23% 1,920.03 -2.64%
13. 31 oct. 2015 $107.20 $1.10 10.22% 2,079.36 8.30%
14. 30 nov. 2015 $107.22 0.02% 2,080.41 0.05%
15. 31 dic. 2015 $104.50 -2.54% 2,043.94 -1.75%
16. 31 ene. 2016 $105.54 1.00% 1,940.24 -5.07%
17. 29 feb. 2016 $100.26 -5.00% 1,932.23 -0.41%
18. 31 mar. 2016 $115.40 15.10% 2,059.74 6.60%
19. 30 abr. 2016 $112.92 $1.10 -1.20% 2,065.30 0.27%
20. 31 may. 2016 $118.97 5.36% 2,096.95 1.53%
21. 30 jun. 2016 $113.29 -4.77% 2,098.86 0.09%
22. 31 jul. 2016 $112.81 -0.42% 2,173.60 3.56%
23. 31 ago. 2016 $115.00 1.94% 2,170.95 -0.12%
24. 30 sept. 2016 $122.17 6.23% 2,168.27 -0.12%
25. 31 oct. 2016 $116.24 $1.21 -3.86% 2,126.15 -1.94%
26. 30 nov. 2016 $119.43 2.74% 2,198.81 3.42%
27. 31 dic. 2016 $117.13 -1.93% 2,238.83 1.82%
28. 31 ene. 2017 $113.87 -2.78% 2,278.87 1.79%
29. 28 feb. 2017 $122.50 7.58% 2,363.64 3.72%
30. 31 mar. 2017 $119.88 -2.14% 2,362.72 -0.04%
31. 30 abr. 2017 $121.30 $1.21 2.19% 2,384.20 0.91%
32. 31 may. 2017 $124.47 2.61% 2,411.80 1.16%
33. 30 jun. 2017 $123.68 -0.63% 2,423.41 0.48%
34. 31 jul. 2017 $128.82 4.16% 2,470.30 1.93%
35. 31 ago. 2017 $130.76 1.51% 2,471.65 0.05%
36. 30 sept. 2017 $135.07 3.30% 2,519.36 1.93%
37. 31 oct. 2017 $142.36 $1.33 6.38% 2,575.26 2.22%
38. 30 nov. 2017 $148.01 3.97% 2,647.58 2.81%
39. 31 dic. 2017 $153.09 3.43% 2,673.61 0.98%
40. 31 ene. 2018 $160.70 4.97% 2,823.81 5.62%
41. 28 feb. 2018 $161.01 0.19% 2,713.83 -3.89%
42. 31 mar. 2018 $153.50 -4.66% 2,640.87 -2.69%
43. 30 abr. 2018 $151.20 $1.33 -0.63% 2,648.05 0.27%
44. 31 may. 2018 $155.74 3.00% 2,705.27 2.16%
45. 30 jun. 2018 $163.59 5.04% 2,718.37 0.48%
46. 31 jul. 2018 $159.33 -2.60% 2,816.29 3.60%
47. 31 ago. 2018 $169.07 6.11% 2,901.52 3.03%
48. 30 sept. 2018 $170.20 0.67% 2,913.98 0.43%
49. 31 oct. 2018 $157.62 $1.46 -6.53% 2,711.74 -6.94%
50. 30 nov. 2018 $164.52 4.38% 2,760.17 1.79%
51. 31 dic. 2018 $141.01 -14.29% 2,506.85 -9.18%
52. 31 ene. 2019 $153.55 8.89% 2,704.10 7.87%
53. 28 feb. 2019 $161.38 5.10% 2,784.49 2.97%
54. 31 mar. 2019 $176.02 9.07% 2,834.40 1.79%
55. 30 abr. 2019 $182.67 $1.46 4.61% 2,945.83 3.93%
56. 31 may. 2019 $178.07 -2.52% 2,752.06 -6.58%
57. 30 jun. 2019 $184.77 3.76% 2,941.76 6.89%
58. 31 jul. 2019 $192.58 4.23% 2,980.38 1.31%
59. 31 ago. 2019 $198.17 2.90% 2,926.46 -1.81%
60. 30 sept. 2019 $192.35 -2.94% 2,976.74 1.72%
61. 31 oct. 2019 $185.42 $0.80 -3.19% 3,037.56 2.04%
62. 30 nov. 2019 $201.16 8.49% 3,140.98 3.40%
63. 31 dic. 2019 $210.57 4.68% 3,230.78 2.86%
64. 31 ene. 2020 $205.21 $0.80 -2.17% 3,225.52 -0.16%
65. 29 feb. 2020 $180.59 -12.00% 2,954.22 -8.41%
66. 31 mar. 2020 $163.26 -9.60% 2,584.59 -12.51%
67. 30 abr. 2020 $185.19 $0.80 13.92% 2,912.43 12.68%
68. 31 may. 2020 $201.62 8.87% 3,044.31 4.53%
69. 30 jun. 2020 $214.72 6.50% 3,100.29 1.84%
70. 31 jul. 2020 $224.78 $0.80 5.06% 3,271.12 5.51%
71. 31 ago. 2020 $239.93 6.74% 3,500.31 7.01%
Promedio (R): 1.85% 0.90%
Desviación típica: 5.50% 4.12%

Fuente: Accenture PLC (NYSE:ACN) | CAPM (www.stock-analysis-on.net)

Mostrar todo

1 Datos en dólares estadounidenses por acción ordinaria, ajustados por divisiones y dividendos en acciones.

2 Tasa de rendimiento de las acciones ordinarias de ACN 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

Accenture PLC, cálculo de varianza y covarianza de retornos

Microsoft Excel LibreOffice Calc
t Fecha RACN,t RS&P 500,t (RACN,tRACN)2 (RS&P 500,tRS&P 500)2 (RACN,tRACN)×(RS&P 500,tRS&P 500)
1. 31 oct. 2014 1.01% 2.32% 0.71 2.03 -1.20
2. 30 nov. 2014 6.42% 2.45% 20.91 2.43 7.12
3. 31 dic. 2014 3.45% -0.42% 2.57 1.73 -2.11
. . . . . . .
. . . . . . .
. . . . . . .
70. 31 jul. 2020 5.06% 5.51% 10.29 21.29 14.80
71. 31 ago. 2020 6.74% 7.01% 23.92 37.34 29.88
Total (Σ): 2,115.87 1,190.16 1,242.84
t Fecha RACN,t RS&P 500,t (RACN,tRACN)2 (RS&P 500,tRS&P 500)2 (RACN,tRACN)×(RS&P 500,tRS&P 500)
1. 31 oct. 2014 1.01% 2.32% 0.71 2.03 -1.20
2. 30 nov. 2014 6.42% 2.45% 20.91 2.43 7.12
3. 31 dic. 2014 3.45% -0.42% 2.57 1.73 -2.11
4. 31 ene. 2015 -5.91% -3.10% 60.24 16.00 31.04
5. 28 feb. 2015 7.14% 5.49% 27.99 21.10 24.30
6. 31 mar. 2015 4.07% -1.74% 4.91 6.95 -5.84
7. 30 abr. 2015 -0.02% 0.85% 3.50 0.00 0.08
8. 31 may. 2015 3.66% 1.05% 3.27 0.02 0.28
9. 30 jun. 2015 0.77% -2.10% 1.16 8.98 3.23
10. 31 jul. 2015 6.54% 1.97% 22.01 1.16 5.06
11. 31 ago. 2015 -8.57% -6.26% 108.63 51.18 74.56
12. 30 sept. 2015 4.23% -2.64% 5.68 12.53 -8.44
13. 31 oct. 2015 10.22% 8.30% 70.03 54.80 61.95
14. 30 nov. 2015 0.02% 0.05% 3.35 0.71 1.55
15. 31 dic. 2015 -2.54% -1.75% 19.24 7.02 11.62
16. 31 ene. 2016 1.00% -5.07% 0.73 35.63 5.10
17. 29 feb. 2016 -5.00% -0.41% 46.95 1.71 8.97
18. 31 mar. 2016 15.10% 6.60% 175.60 32.53 75.58
19. 30 abr. 2016 -1.20% 0.27% 9.27 0.39 1.91
20. 31 may. 2016 5.36% 1.53% 12.31 0.41 2.23
21. 30 jun. 2016 -4.77% 0.09% 43.87 0.65 5.33
22. 31 jul. 2016 -0.42% 3.56% 5.17 7.10 -6.06
23. 31 ago. 2016 1.94% -0.12% 0.01 1.04 -0.09
24. 30 sept. 2016 6.23% -0.12% 19.23 1.04 -4.47
25. 31 oct. 2016 -3.86% -1.94% 32.64 8.06 16.21
26. 30 nov. 2016 2.74% 3.42% 0.80 6.36 2.26
27. 31 dic. 2016 -1.93% 1.82% 14.25 0.85 -3.49
28. 31 ene. 2017 -2.78% 1.79% 21.46 0.80 -4.14
29. 28 feb. 2017 7.58% 3.72% 32.83 7.98 16.18
30. 31 mar. 2017 -2.14% -0.04% 15.91 0.87 3.73
31. 30 abr. 2017 2.19% 0.91% 0.12 0.00 0.00
32. 31 may. 2017 2.61% 1.16% 0.58 0.07 0.20
33. 30 jun. 2017 -0.63% 0.48% 6.17 0.17 1.03
34. 31 jul. 2017 4.16% 1.93% 5.32 1.08 2.40
35. 31 ago. 2017 1.51% 0.05% 0.12 0.71 0.29
36. 30 sept. 2017 3.30% 1.93% 2.09 1.07 1.50
37. 31 oct. 2017 6.38% 2.22% 20.54 1.75 6.00
38. 30 nov. 2017 3.97% 2.81% 4.49 3.66 4.05
39. 31 dic. 2017 3.43% 0.98% 2.51 0.01 0.14
40. 31 ene. 2018 4.97% 5.62% 9.74 22.30 14.74
41. 28 feb. 2018 0.19% -3.89% 2.74 22.95 7.94
42. 31 mar. 2018 -4.66% -2.69% 42.43 12.85 23.35
43. 30 abr. 2018 -0.63% 0.27% 6.16 0.39 1.55
44. 31 may. 2018 3.00% 2.16% 1.33 1.60 1.46
45. 30 jun. 2018 5.04% 0.48% 10.18 0.17 -1.31
46. 31 jul. 2018 -2.60% 3.60% 19.83 7.32 -12.05
47. 31 ago. 2018 6.11% 3.03% 18.18 4.54 9.08
48. 30 sept. 2018 0.67% 0.43% 1.39 0.22 0.55
49. 31 oct. 2018 -6.53% -6.94% 70.27 61.40 65.69
50. 30 nov. 2018 4.38% 1.79% 6.39 0.79 2.25
51. 31 dic. 2018 -14.29% -9.18% 260.48 101.48 162.58
52. 31 ene. 2019 8.89% 7.87% 49.61 48.62 49.11
53. 28 feb. 2019 5.10% 2.97% 10.56 4.31 6.75
54. 31 mar. 2019 9.07% 1.79% 52.16 0.80 6.48
55. 30 abr. 2019 4.61% 3.93% 7.61 9.21 8.37
56. 31 may. 2019 -2.52% -6.58% 19.08 55.85 32.64
57. 30 jun. 2019 3.76% 6.89% 3.66 35.97 11.47
58. 31 jul. 2019 4.23% 1.31% 5.65 0.17 0.99
59. 31 ago. 2019 2.90% -1.81% 1.11 7.32 -2.85
60. 30 sept. 2019 -2.94% 1.72% 22.91 0.68 -3.94
61. 31 oct. 2019 -3.19% 2.04% 25.36 1.32 -5.78
62. 30 nov. 2019 8.49% 3.40% 44.08 6.29 16.66
63. 31 dic. 2019 4.68% 2.86% 8.00 3.85 5.55
64. 31 ene. 2020 -2.17% -0.16% 16.12 1.12 4.25
65. 29 feb. 2020 -12.00% -8.41% 191.73 86.62 128.87
66. 31 mar. 2020 -9.60% -12.51% 131.00 179.77 153.46
67. 30 abr. 2020 13.92% 12.68% 145.76 138.97 142.33
68. 31 may. 2020 8.87% 4.53% 49.32 13.19 25.51
69. 30 jun. 2020 6.50% 1.84% 21.60 0.89 4.38
70. 31 jul. 2020 5.06% 5.51% 10.29 21.29 14.80
71. 31 ago. 2020 6.74% 7.01% 23.92 37.34 29.88
Total (Σ): 2,115.87 1,190.16 1,242.84

Show all

VarianzaACN = Σ(RACN,tRACN)2 ÷ (71 – 1)
= 2,115.87 ÷ (71 – 1)
= 30.23

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,190.16 ÷ (71 – 1)
= 17.00

CovarianzaACN, S&P 500 = Σ(RACN,tRACN)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 1,242.84 ÷ (71 – 1)
= 17.75


Estimación sistemática de riesgos (β)

Microsoft Excel LibreOffice Calc
VarianzaACN 30.23
VarianzaS&P 500 17.00
CovarianzaACN, S&P 500 17.75
Coeficiente de correlaciónACN, S&P 5001 0.78
βACN2 1.04
αACN3 0.91%

Fuente: Accenture PLC (NYSE:ACN) | CAPM (www.stock-analysis-on.net)

Cálculos

1 Coeficiente de correlaciónACN, S&P 500
= CovarianzaACN, S&P 500 ÷ (Desviación típicaACN × Desviación típicaS&P 500)
= 17.75 ÷ (5.50% × 4.12%)
= 0.78

2 βACN
= CovarianzaACN, S&P 500 ÷ VarianzaS&P 500
= 17.75 ÷ 17.00
= 1.04

3 αACN
= PromedioACN – βACN × PromedioS&P 500
= 1.85%1.04 × 0.90%
= 0.91%


Tasa de rendimiento esperada

Microsoft Excel LibreOffice Calc
Supuestos
Tasa de rendimiento de LT Treasury Composite1 RF 2.25%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 11.73%
Riesgo sistemático de las acciones ordinarias de Accenture βACN 1.04
 
Tasa de rendimiento esperada de las acciones ordinarias de Accenture3 E(RACN) 12.15%

Fuente: Accenture PLC (NYSE:ACN) | CAPM (www.stock-analysis-on.net)

1 Promedio no ponderado de los rendimientos de las ofertas de todos los bonos del Tesoro de EE. UU. De cupón fijo en circulación que no vencen ni son exigibles en menos de 10 años (proxy de tasa de rendimiento sin riesgo).

2 Ver detalles »

3 E(RACN) = RF + βACN [E(RM) – RF]
= 2.25% + 1.04 [11.73%2.25%]
= 12.15%