Stock Analysis on Net

Accenture PLC (NYSE:ACN)

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

Microsoft Excel

Tasas de retorno

Accenture PLC, tasas mensuales de retorno

Microsoft Excel
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. 2017 $135.07 2,519.36
1. 31 oct. 2017 $142.36 $1.33 6.38% 2,575.26 2.22%
2. 30 nov. 2017 $148.01 3.97% 2,647.58 2.81%
3. 31 dic. 2017 $153.09 3.43% 2,673.61 0.98%
. . . . . . .
. . . . . . .
. . . . . . .
70. 31 jul. 2023 $316.35 $1.12 2.88% 4,588.96 4.85%
71. 31 ago. 2023 $323.77 2.35% 4,507.66 -1.77%
Promedio (R): 1.63% 0.95%
Desviación estándar: 7.17% 5.08%
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. 2017 $135.07 2,519.36
1. 31 oct. 2017 $142.36 $1.33 6.38% 2,575.26 2.22%
2. 30 nov. 2017 $148.01 3.97% 2,647.58 2.81%
3. 31 dic. 2017 $153.09 3.43% 2,673.61 0.98%
4. 31 ene. 2018 $160.70 4.97% 2,823.81 5.62%
5. 28 feb. 2018 $161.01 0.19% 2,713.83 -3.89%
6. 31 mar. 2018 $153.50 -4.66% 2,640.87 -2.69%
7. 30 abr. 2018 $151.20 $1.33 -0.63% 2,648.05 0.27%
8. 31 may. 2018 $155.74 3.00% 2,705.27 2.16%
9. 30 jun. 2018 $163.59 5.04% 2,718.37 0.48%
10. 31 jul. 2018 $159.33 -2.60% 2,816.29 3.60%
11. 31 ago. 2018 $169.07 6.11% 2,901.52 3.03%
12. 30 sept. 2018 $170.20 0.67% 2,913.98 0.43%
13. 31 oct. 2018 $157.62 $1.46 -6.53% 2,711.74 -6.94%
14. 30 nov. 2018 $164.52 4.38% 2,760.17 1.79%
15. 31 dic. 2018 $141.01 -14.29% 2,506.85 -9.18%
16. 31 ene. 2019 $153.55 8.89% 2,704.10 7.87%
17. 28 feb. 2019 $161.38 5.10% 2,784.49 2.97%
18. 31 mar. 2019 $176.02 9.07% 2,834.40 1.79%
19. 30 abr. 2019 $182.67 $1.46 4.61% 2,945.83 3.93%
20. 31 may. 2019 $178.07 -2.52% 2,752.06 -6.58%
21. 30 jun. 2019 $184.77 3.76% 2,941.76 6.89%
22. 31 jul. 2019 $192.58 4.23% 2,980.38 1.31%
23. 31 ago. 2019 $198.17 2.90% 2,926.46 -1.81%
24. 30 sept. 2019 $192.35 -2.94% 2,976.74 1.72%
25. 31 oct. 2019 $185.42 $0.80 -3.19% 3,037.56 2.04%
26. 30 nov. 2019 $201.16 8.49% 3,140.98 3.40%
27. 31 dic. 2019 $210.57 4.68% 3,230.78 2.86%
28. 31 ene. 2020 $205.21 $0.80 -2.17% 3,225.52 -0.16%
29. 29 feb. 2020 $180.59 -12.00% 2,954.22 -8.41%
30. 31 mar. 2020 $163.26 -9.60% 2,584.59 -12.51%
31. 30 abr. 2020 $185.19 $0.80 13.92% 2,912.43 12.68%
32. 31 may. 2020 $201.62 8.87% 3,044.31 4.53%
33. 30 jun. 2020 $214.72 6.50% 3,100.29 1.84%
34. 31 jul. 2020 $224.78 $0.80 5.06% 3,271.12 5.51%
35. 31 ago. 2020 $239.93 6.74% 3,500.31 7.01%
36. 30 sept. 2020 $225.99 -5.81% 3,363.00 -3.92%
37. 31 oct. 2020 $216.91 $0.88 -3.63% 3,269.96 -2.77%
38. 30 nov. 2020 $249.09 14.84% 3,621.63 10.75%
39. 31 dic. 2020 $261.21 4.87% 3,756.07 3.71%
40. 31 ene. 2021 $241.92 $0.88 -7.05% 3,714.24 -1.11%
41. 28 feb. 2021 $250.90 3.71% 3,811.15 2.61%
42. 31 mar. 2021 $276.25 10.10% 3,972.89 4.24%
43. 30 abr. 2021 $289.97 $0.88 5.29% 4,181.17 5.24%
44. 31 may. 2021 $282.16 -2.69% 4,204.11 0.55%
45. 30 jun. 2021 $294.79 4.48% 4,297.50 2.22%
46. 31 jul. 2021 $317.68 $0.88 8.06% 4,395.26 2.27%
47. 31 ago. 2021 $336.56 5.94% 4,522.68 2.90%
48. 30 sept. 2021 $319.92 -4.94% 4,307.54 -4.76%
49. 31 oct. 2021 $358.79 $0.97 12.45% 4,605.38 6.91%
50. 30 nov. 2021 $357.40 -0.39% 4,567.00 -0.83%
51. 31 dic. 2021 $414.55 15.99% 4,766.18 4.36%
52. 31 ene. 2022 $353.58 $0.97 -14.47% 4,515.55 -5.26%
53. 28 feb. 2022 $316.02 -10.62% 4,373.94 -3.14%
54. 31 mar. 2022 $337.23 6.71% 4,530.41 3.58%
55. 30 abr. 2022 $300.36 $0.97 -10.65% 4,131.93 -8.80%
56. 31 may. 2022 $298.46 -0.63% 4,132.15 0.01%
57. 30 jun. 2022 $277.65 -6.97% 3,785.38 -8.39%
58. 31 jul. 2022 $306.26 $0.97 10.65% 4,130.29 9.11%
59. 31 ago. 2022 $288.46 -5.81% 3,955.00 -4.24%
60. 30 sept. 2022 $257.30 -10.80% 3,585.62 -9.34%
61. 31 oct. 2022 $283.90 $1.12 10.77% 3,871.98 7.99%
62. 30 nov. 2022 $300.93 6.00% 4,080.11 5.38%
63. 31 dic. 2022 $266.84 -11.33% 3,839.50 -5.90%
64. 31 ene. 2023 $279.05 $1.12 5.00% 4,076.60 6.18%
65. 28 feb. 2023 $265.55 -4.84% 3,970.15 -2.61%
66. 31 mar. 2023 $285.81 7.63% 4,109.31 3.51%
67. 30 abr. 2023 $280.29 $1.12 -1.54% 4,169.48 1.46%
68. 31 may. 2023 $305.92 9.14% 4,179.83 0.25%
69. 30 jun. 2023 $308.58 0.87% 4,376.86 4.71%
70. 31 jul. 2023 $316.35 $1.12 2.88% 4,588.96 4.85%
71. 31 ago. 2023 $323.77 2.35% 4,507.66 -1.77%
Promedio (R): 1.63% 0.95%
Desviación estándar: 7.17% 5.08%

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 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 la varianza y covarianza de los rendimientos

Microsoft Excel
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. 2017 6.38% 2.22% 22.63 1.61 6.03
2. 30 nov. 2017 3.97% 2.81% 5.49 3.45 4.35
3. 31 dic. 2017 3.43% 0.98% 3.26 0.00 0.06
. . . . . . .
. . . . . . .
. . . . . . .
70. 31 jul. 2023 2.88% 4.85% 1.58 15.17 4.89
71. 31 ago. 2023 2.35% -1.77% 0.52 7.41 -1.96
Total (Σ): 3,595.64 1,807.09 2,179.01
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. 2017 6.38% 2.22% 22.63 1.61 6.03
2. 30 nov. 2017 3.97% 2.81% 5.49 3.45 4.35
3. 31 dic. 2017 3.43% 0.98% 3.26 0.00 0.06
4. 31 ene. 2018 4.97% 5.62% 11.19 21.78 15.61
5. 28 feb. 2018 0.19% -3.89% 2.05 23.48 6.94
6. 31 mar. 2018 -4.66% -2.69% 39.56 13.25 22.89
7. 30 abr. 2018 -0.63% 0.27% 5.10 0.46 1.53
8. 31 may. 2018 3.00% 2.16% 1.90 1.46 1.67
9. 30 jun. 2018 5.04% 0.48% 11.66 0.22 -1.59
10. 31 jul. 2018 -2.60% 3.60% 17.89 7.03 -11.21
11. 31 ago. 2018 6.11% 3.03% 20.14 4.31 9.31
12. 30 sept. 2018 0.67% 0.43% 0.92 0.27 0.50
13. 31 oct. 2018 -6.53% -6.94% 66.57 62.28 64.38
14. 30 nov. 2018 4.38% 1.79% 7.58 0.70 2.30
15. 31 dic. 2018 -14.29% -9.18% 253.30 102.59 161.20
16. 31 ene. 2019 8.89% 7.87% 52.82 47.85 50.27
17. 28 feb. 2019 5.10% 2.97% 12.07 4.09 7.02
18. 31 mar. 2019 9.07% 1.79% 55.45 0.71 6.26
19. 30 abr. 2019 4.61% 3.93% 8.89 8.88 8.89
20. 31 may. 2019 -2.52% -6.58% 17.17 56.68 31.20
21. 30 jun. 2019 3.76% 6.89% 4.57 35.31 12.70
22. 31 jul. 2019 4.23% 1.31% 6.77 0.13 0.94
23. 31 ago. 2019 2.90% -1.81% 1.63 7.62 -3.53
24. 30 sept. 2019 -2.94% 1.72% 20.81 0.59 -3.50
25. 31 oct. 2019 -3.19% 2.04% 23.16 1.19 -5.26
26. 30 nov. 2019 8.49% 3.40% 47.11 6.02 16.84
27. 31 dic. 2019 4.68% 2.86% 9.32 3.64 5.82
28. 31 ene. 2020 -2.17% -0.16% 14.37 1.24 4.22
29. 29 feb. 2020 -12.00% -8.41% 185.58 87.65 127.54
30. 31 mar. 2020 -9.60% -12.51% 125.92 181.25 151.08
31. 30 abr. 2020 13.92% 12.68% 151.22 137.67 144.29
32. 31 may. 2020 8.87% 4.53% 52.51 12.80 25.92
33. 30 jun. 2020 6.50% 1.84% 23.74 0.79 4.32
34. 31 jul. 2020 5.06% 5.51% 11.78 20.78 15.65
35. 31 ago. 2020 6.74% 7.01% 26.16 36.67 30.97
36. 30 sept. 2020 -5.81% -3.92% 55.28 23.76 36.24
37. 31 oct. 2020 -3.63% -2.77% 27.60 13.82 19.53
38. 30 nov. 2020 14.84% 10.75% 174.51 96.11 129.51
39. 31 dic. 2020 4.87% 3.71% 10.50 7.62 8.95
40. 31 ene. 2021 -7.05% -1.11% 75.23 4.26 17.91
41. 28 feb. 2021 3.71% 2.61% 4.35 2.75 3.46
42. 31 mar. 2021 10.10% 4.24% 71.88 10.84 27.92
43. 30 abr. 2021 5.29% 5.24% 13.39 18.42 15.71
44. 31 may. 2021 -2.69% 0.55% 18.65 0.16 1.74
45. 30 jun. 2021 4.48% 2.22% 8.13 1.61 3.62
46. 31 jul. 2021 8.06% 2.27% 41.45 1.75 8.52
47. 31 ago. 2021 5.94% 2.90% 18.64 3.79 8.41
48. 30 sept. 2021 -4.94% -4.76% 43.16 32.58 37.50
49. 31 oct. 2021 12.45% 6.91% 117.24 35.56 64.57
50. 30 nov. 2021 -0.39% -0.83% 4.05 3.18 3.59
51. 31 dic. 2021 15.99% 4.36% 206.36 11.63 48.99
52. 31 ene. 2022 -14.47% -5.26% 259.17 38.56 99.97
53. 28 feb. 2022 -10.62% -3.14% 150.02 16.71 50.06
54. 31 mar. 2022 6.71% 3.58% 25.87 6.90 13.36
55. 30 abr. 2022 -10.65% -8.80% 150.57 95.00 119.60
56. 31 may. 2022 -0.63% 0.01% 5.10 0.89 2.14
57. 30 jun. 2022 -6.97% -8.39% 73.92 87.29 80.33
58. 31 jul. 2022 10.65% 9.11% 81.51 66.59 73.68
59. 31 ago. 2022 -5.81% -4.24% 55.31 26.99 38.64
60. 30 sept. 2022 -10.80% -9.34% 154.44 105.90 127.89
61. 31 oct. 2022 10.77% 7.99% 83.69 49.49 64.36
62. 30 nov. 2022 6.00% 5.38% 19.13 19.57 19.35
63. 31 dic. 2022 -11.33% -5.90% 167.79 46.90 88.71
64. 31 ene. 2023 5.00% 6.18% 11.36 27.29 17.61
65. 28 feb. 2023 -4.84% -2.61% 41.77 12.69 23.02
66. 31 mar. 2023 7.63% 3.51% 36.05 6.52 15.33
67. 30 abr. 2023 -1.54% 1.46% 10.02 0.26 -1.62
68. 31 may. 2023 9.14% 0.25% 56.53 0.49 -5.28
69. 30 jun. 2023 0.87% 4.71% 0.57 14.16 -2.84
70. 31 jul. 2023 2.88% 4.85% 1.58 15.17 4.89
71. 31 ago. 2023 2.35% -1.77% 0.52 7.41 -1.96
Total (Σ): 3,595.64 1,807.09 2,179.01

Mostrar todo

VarianzaACN = Σ(RACN,tRACN)2 ÷ (71 – 1)
= 3,595.64 ÷ (71 – 1)
= 51.37

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,807.09 ÷ (71 – 1)
= 25.82

CovarianzaACN, S&P 500 = Σ(RACN,tRACN)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 2,179.01 ÷ (71 – 1)
= 31.13


Estimación sistemática del riesgo (β)

Microsoft Excel
VarianzaACN 51.37
VarianzaS&P 500 25.82
CovarianzaACN, S&P 500 31.13
Coeficiente de correlaciónACN, S&P 5001 0.85
βACN2 1.21
αACN3 0.48%

Cálculos

1 Coeficiente de correlaciónACN, S&P 500
= CovarianzaACN, S&P 500 ÷ (Desviación estándarACN × Desviación estándarS&P 500)
= 31.13 ÷ (7.17% × 5.08%)
= 0.85

2 βACN
= CovarianzaACN, S&P 500 ÷ VarianzaS&P 500
= 31.13 ÷ 25.82
= 1.21

3 αACN
= PromedioACN – βACN × PromedioS&P 500
= 1.63%1.21 × 0.95%
= 0.48%


Tasa de rendimiento esperada

Microsoft Excel
Suposiciones
Tasa de rendimiento del LT Treasury Composite1 RF 4.80%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 13.50%
Riesgo sistemático de Accenture acciones ordinarias βACN 1.21
 
Tasa de rendimiento esperada de las acciones ordinarias de Accenture3 E(RACN) 15.29%

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(RACN) = RF + βACN [E(RM) – RF]
= 4.80% + 1.21 [13.50%4.80%]
= 15.29%