Stock Analysis on Net

Chevron Corp. (NYSE:CVX)

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

Microsoft Excel

El modelo de fijación de precios de activos de capital (CAPM, por sus siglas en inglés) indica cuál debería ser la tasa de rendimiento esperada o requerida en activos de riesgo como las acciones ordinarias de Chevron.


Tasas de retorno

Chevron Corp., tasas mensuales de retorno

Microsoft Excel
Chevron Corp. (CVX) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioCVX,t1 DividendoCVX,t1 RCVX,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2019 $114.65 2,704.10
1. 28 feb. 2019 $119.58 $1.19 5.34% 2,784.49 2.97%
2. 31 mar. 2019 $123.18 3.01% 2,834.40 1.79%
3. 30 abr. 2019 $120.06 -2.53% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2023 $143.60 $1.51 -0.43% 4,567.80 8.92%
59. 31 dic. 2023 $149.16 3.87% 4,769.83 4.42%
Promedio (R): 1.27% 1.11%
Desviación estándar: 9.69% 5.31%
Chevron Corp. (CVX) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioCVX,t1 DividendoCVX,t1 RCVX,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2019 $114.65 2,704.10
1. 28 feb. 2019 $119.58 $1.19 5.34% 2,784.49 2.97%
2. 31 mar. 2019 $123.18 3.01% 2,834.40 1.79%
3. 30 abr. 2019 $120.06 -2.53% 2,945.83 3.93%
4. 31 may. 2019 $113.85 $1.19 -4.18% 2,752.06 -6.58%
5. 30 jun. 2019 $124.44 9.30% 2,941.76 6.89%
6. 31 jul. 2019 $123.11 -1.07% 2,980.38 1.31%
7. 31 ago. 2019 $117.72 $1.19 -3.41% 2,926.46 -1.81%
8. 30 sept. 2019 $118.60 0.75% 2,976.74 1.72%
9. 31 oct. 2019 $116.14 -2.07% 3,037.56 2.04%
10. 30 nov. 2019 $117.13 $1.19 1.88% 3,140.98 3.40%
11. 31 dic. 2019 $120.51 2.89% 3,230.78 2.86%
12. 31 ene. 2020 $107.14 -11.09% 3,225.52 -0.16%
13. 29 feb. 2020 $93.34 $1.29 -11.68% 2,954.22 -8.41%
14. 31 mar. 2020 $72.46 -22.37% 2,584.59 -12.51%
15. 30 abr. 2020 $92.00 26.97% 2,912.43 12.68%
16. 31 may. 2020 $91.70 $1.29 1.08% 3,044.31 4.53%
17. 30 jun. 2020 $89.23 -2.69% 3,100.29 1.84%
18. 31 jul. 2020 $83.94 -5.93% 3,271.12 5.51%
19. 31 ago. 2020 $83.93 $1.29 1.52% 3,500.31 7.01%
20. 30 sept. 2020 $72.00 -14.21% 3,363.00 -3.92%
21. 31 oct. 2020 $69.50 -3.47% 3,269.96 -2.77%
22. 30 nov. 2020 $87.18 $1.29 27.29% 3,621.63 10.75%
23. 31 dic. 2020 $84.45 -3.13% 3,756.07 3.71%
24. 31 ene. 2021 $85.20 0.89% 3,714.24 -1.11%
25. 28 feb. 2021 $100.00 $1.29 18.88% 3,811.15 2.61%
26. 31 mar. 2021 $104.79 4.79% 3,972.89 4.24%
27. 30 abr. 2021 $103.07 -1.64% 4,181.17 5.24%
28. 31 may. 2021 $103.79 $1.34 2.00% 4,204.11 0.55%
29. 30 jun. 2021 $104.74 0.92% 4,297.50 2.22%
30. 31 jul. 2021 $101.81 -2.80% 4,395.26 2.27%
31. 31 ago. 2021 $96.77 $1.34 -3.63% 4,522.68 2.90%
32. 30 sept. 2021 $101.45 4.84% 4,307.54 -4.76%
33. 31 oct. 2021 $114.49 12.85% 4,605.38 6.91%
34. 30 nov. 2021 $112.87 $1.34 -0.24% 4,567.00 -0.83%
35. 31 dic. 2021 $117.35 3.97% 4,766.18 4.36%
36. 31 ene. 2022 $131.33 11.91% 4,515.55 -5.26%
37. 28 feb. 2022 $144.00 $1.42 10.73% 4,373.94 -3.14%
38. 31 mar. 2022 $162.83 13.08% 4,530.41 3.58%
39. 30 abr. 2022 $156.67 -3.78% 4,131.93 -8.80%
40. 31 may. 2022 $174.66 $1.42 12.39% 4,132.15 0.01%
41. 30 jun. 2022 $144.78 -17.11% 3,785.38 -8.39%
42. 31 jul. 2022 $163.78 13.12% 4,130.29 9.11%
43. 31 ago. 2022 $158.06 $1.42 -2.63% 3,955.00 -4.24%
44. 30 sept. 2022 $143.67 -9.10% 3,585.62 -9.34%
45. 31 oct. 2022 $180.90 25.91% 3,871.98 7.99%
46. 30 nov. 2022 $183.31 $1.42 2.12% 4,080.11 5.38%
47. 31 dic. 2022 $179.49 -2.08% 3,839.50 -5.90%
48. 31 ene. 2023 $174.02 -3.05% 4,076.60 6.18%
49. 28 feb. 2023 $160.77 $1.51 -6.75% 3,970.15 -2.61%
50. 31 mar. 2023 $163.16 1.49% 4,109.31 3.51%
51. 30 abr. 2023 $168.58 3.32% 4,169.48 1.46%
52. 31 may. 2023 $150.62 $1.51 -9.76% 4,179.83 0.25%
53. 30 jun. 2023 $157.35 4.47% 4,376.86 4.71%
54. 31 jul. 2023 $163.66 4.01% 4,588.96 4.85%
55. 31 ago. 2023 $161.10 $1.51 -0.64% 4,507.66 -1.77%
56. 30 sept. 2023 $168.62 4.67% 4,288.05 -4.87%
57. 31 oct. 2023 $145.73 -13.57% 4,193.80 -2.20%
58. 30 nov. 2023 $143.60 $1.51 -0.43% 4,567.80 8.92%
59. 31 dic. 2023 $149.16 3.87% 4,769.83 4.42%
Promedio (R): 1.27% 1.11%
Desviación estándar: 9.69% 5.31%

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 CVX 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

Chevron Corp., cálculo de la varianza y covarianza de los rendimientos

Microsoft Excel
t Fecha RCVX,t RS&P 500,t (RCVX,tRCVX)2 (RS&P 500,tRS&P 500)2 (RCVX,tRCVX)×(RS&P 500,tRS&P 500)
1. 28 feb. 2019 5.34% 2.97% 16.51 3.49 7.59
2. 31 mar. 2019 3.01% 1.79% 3.01 0.47 1.19
3. 30 abr. 2019 -2.53% 3.93% 14.49 7.98 -10.76
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2023 -0.43% 8.92% 2.89 61.03 -13.28
59. 31 dic. 2023 3.87% 4.42% 6.75 11.00 8.62
Total (Σ): 5,448.65 1,634.30 1,855.33
t Fecha RCVX,t RS&P 500,t (RCVX,tRCVX)2 (RS&P 500,tRS&P 500)2 (RCVX,tRCVX)×(RS&P 500,tRS&P 500)
1. 28 feb. 2019 5.34% 2.97% 16.51 3.49 7.59
2. 31 mar. 2019 3.01% 1.79% 3.01 0.47 1.19
3. 30 abr. 2019 -2.53% 3.93% 14.49 7.98 -10.76
4. 31 may. 2019 -4.18% -6.58% 29.76 59.04 41.92
5. 30 jun. 2019 9.30% 6.89% 64.44 33.49 46.46
6. 31 jul. 2019 -1.07% 1.31% 5.49 0.04 -0.48
7. 31 ago. 2019 -3.41% -1.81% 21.96 8.50 13.66
8. 30 sept. 2019 0.75% 1.72% 0.28 0.37 -0.32
9. 31 oct. 2019 -2.07% 2.04% 11.21 0.88 -3.14
10. 30 nov. 2019 1.88% 3.40% 0.36 5.28 1.39
11. 31 dic. 2019 2.89% 2.86% 2.60 3.07 2.83
12. 31 ene. 2020 -11.09% -0.16% 152.99 1.61 15.69
13. 29 feb. 2020 -11.68% -8.41% 167.72 90.57 123.25
14. 31 mar. 2020 -22.37% -12.51% 559.04 185.44 321.98
15. 30 abr. 2020 26.97% 12.68% 660.10 134.06 297.48
16. 31 may. 2020 1.08% 4.53% 0.04 11.71 -0.68
17. 30 jun. 2020 -2.69% 1.84% 15.74 0.54 -2.91
18. 31 jul. 2020 -5.93% 5.51% 51.88 19.40 -31.72
19. 31 ago. 2020 1.52% 7.01% 0.06 34.82 1.48
20. 30 sept. 2020 -14.21% -3.92% 239.89 25.29 77.89
21. 31 oct. 2020 -3.47% -2.77% 22.53 15.00 18.38
22. 30 nov. 2020 27.29% 10.75% 677.08 93.10 251.07
23. 31 dic. 2020 -3.13% 3.71% 19.41 6.79 -11.48
24. 31 ene. 2021 0.89% -1.11% 0.15 4.93 0.86
25. 28 feb. 2021 18.88% 2.61% 310.14 2.26 26.47
26. 31 mar. 2021 4.79% 4.24% 12.36 9.85 11.03
27. 30 abr. 2021 -1.64% 5.24% 8.50 17.11 -12.06
28. 31 may. 2021 2.00% 0.55% 0.52 0.31 -0.40
29. 30 jun. 2021 0.92% 2.22% 0.13 1.24 -0.40
30. 31 jul. 2021 -2.80% 2.27% 16.58 1.37 -4.76
31. 31 ago. 2021 -3.63% 2.90% 24.09 3.22 -8.80
32. 30 sept. 2021 4.84% -4.76% 12.69 34.37 -20.88
33. 31 oct. 2021 12.85% 6.91% 134.08 33.74 67.26
34. 30 nov. 2021 -0.24% -0.83% 2.31 3.76 2.95
35. 31 dic. 2021 3.97% 4.36% 7.26 10.60 8.77
36. 31 ene. 2022 11.91% -5.26% 113.18 40.51 -67.71
37. 28 feb. 2022 10.73% -3.14% 89.39 17.99 -40.10
38. 31 mar. 2022 13.08% 3.58% 139.29 6.11 29.17
39. 30 abr. 2022 -3.78% -8.80% 25.58 98.04 50.08
40. 31 may. 2022 12.39% 0.01% 123.54 1.21 -12.23
41. 30 jun. 2022 -17.11% -8.39% 337.89 90.21 174.59
42. 31 jul. 2022 13.12% 9.11% 140.40 64.09 94.86
43. 31 ago. 2022 -2.63% -4.24% 15.21 28.62 20.86
44. 30 sept. 2022 -9.10% -9.34% 107.71 109.11 108.41
45. 31 oct. 2022 25.91% 7.99% 607.09 47.34 169.53
46. 30 nov. 2022 2.12% 5.38% 0.71 18.23 3.60
47. 31 dic. 2022 -2.08% -5.90% 11.28 49.04 23.52
48. 31 ene. 2023 -3.05% 6.18% 18.68 25.70 -21.91
49. 28 feb. 2023 -6.75% -2.61% 64.33 13.82 29.81
50. 31 mar. 2023 1.49% 3.51% 0.05 5.76 0.51
51. 30 abr. 2023 3.32% 1.46% 4.19 0.13 0.73
52. 31 may. 2023 -9.76% 0.25% 121.71 0.74 9.46
53. 30 jun. 2023 4.47% 4.71% 10.20 13.02 11.52
54. 31 jul. 2023 4.01% 4.85% 7.49 13.99 10.23
55. 31 ago. 2023 -0.64% -1.77% 3.67 8.28 5.51
56. 30 sept. 2023 4.67% -4.87% 11.52 35.73 -20.29
57. 31 oct. 2023 -13.57% -2.20% 220.50 10.92 49.06
58. 30 nov. 2023 -0.43% 8.92% 2.89 61.03 -13.28
59. 31 dic. 2023 3.87% 4.42% 6.75 11.00 8.62
Total (Σ): 5,448.65 1,634.30 1,855.33

Mostrar todo

VarianzaCVX = Σ(RCVX,tRCVX)2 ÷ (59 – 1)
= 5,448.65 ÷ (59 – 1)
= 93.94

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18

CovarianzaCVX, S&P 500 = Σ(RCVX,tRCVX)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,855.33 ÷ (59 – 1)
= 31.99


Estimación sistemática del riesgo (β)

Microsoft Excel
VarianzaCVX 93.94
VarianzaS&P 500 28.18
CovarianzaCVX, S&P 500 31.99
Coeficiente de correlaciónCVX, S&P 5001 0.62
βCVX2 1.14
αCVX3 0.02%

Cálculos

1 Coeficiente de correlaciónCVX, S&P 500
= CovarianzaCVX, S&P 500 ÷ (Desviación estándarCVX × Desviación estándarS&P 500)
= 31.99 ÷ (9.69% × 5.31%)
= 0.62

2 βCVX
= CovarianzaCVX, S&P 500 ÷ VarianzaS&P 500
= 31.99 ÷ 28.18
= 1.14

3 αCVX
= PromedioCVX – βCVX × PromedioS&P 500
= 1.27%1.14 × 1.11%
= 0.02%


Tasa de rendimiento esperada

Microsoft Excel
Suposiciones
Tasa de rendimiento del LT Treasury Composite1 RF 4.43%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 13.60%
Riesgo sistemático de Chevron acciones ordinarias βCVX 1.14
 
Tasa de rendimiento esperada de las acciones ordinarias de Chevron3 E(RCVX) 14.84%

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(RCVX) = RF + βCVX [E(RM) – RF]
= 4.43% + 1.14 [13.60%4.43%]
= 14.84%