Stock Analysis on Net

Cigna Corp. (NYSE:CI)

Modelo de valoración de activos de capital (CAPM) 

Microsoft Excel

Tasas de retorno

Cigna Corp., tasas mensuales de retorno

Microsoft Excel
Cigna Corp. (CI) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioCI,t1 DividendoCI,t1 RCI,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2018 $208.35 2,823.81
1. 28 feb. 2018 $195.89 -5.98% 2,713.83 -3.89%
2. 31 mar. 2018 $167.74 $0.04 -14.35% 2,640.87 -2.69%
3. 30 abr. 2018 $171.82 2.43% 2,648.05 0.27%
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2022 $328.89 1.80% 4,080.11 5.38%
59. 31 dic. 2022 $331.34 $1.12 1.09% 3,839.50 -5.90%
Promedio (R): 1.17% 0.67%
Desviación estándar: 8.19% 5.40%
Cigna Corp. (CI) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioCI,t1 DividendoCI,t1 RCI,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2018 $208.35 2,823.81
1. 28 feb. 2018 $195.89 -5.98% 2,713.83 -3.89%
2. 31 mar. 2018 $167.74 $0.04 -14.35% 2,640.87 -2.69%
3. 30 abr. 2018 $171.82 2.43% 2,648.05 0.27%
4. 31 may. 2018 $169.37 -1.43% 2,705.27 2.16%
5. 30 jun. 2018 $169.95 0.34% 2,718.37 0.48%
6. 31 jul. 2018 $179.42 5.57% 2,816.29 3.60%
7. 31 ago. 2018 $188.34 4.97% 2,901.52 3.03%
8. 30 sept. 2018 $208.25 10.57% 2,913.98 0.43%
9. 31 oct. 2018 $213.81 2.67% 2,711.74 -6.94%
10. 30 nov. 2018 $223.38 4.48% 2,760.17 1.79%
11. 31 dic. 2018 $189.92 -14.98% 2,506.85 -9.18%
12. 31 ene. 2019 $199.81 5.21% 2,704.10 7.87%
13. 28 feb. 2019 $174.44 -12.70% 2,784.49 2.97%
14. 31 mar. 2019 $160.82 $0.04 -7.78% 2,834.40 1.79%
15. 30 abr. 2019 $158.84 -1.23% 2,945.83 3.93%
16. 31 may. 2019 $148.02 -6.81% 2,752.06 -6.58%
17. 30 jun. 2019 $157.55 6.44% 2,941.76 6.89%
18. 31 jul. 2019 $169.92 7.85% 2,980.38 1.31%
19. 31 ago. 2019 $153.97 -9.39% 2,926.46 -1.81%
20. 30 sept. 2019 $151.79 -1.42% 2,976.74 1.72%
21. 31 oct. 2019 $178.46 17.57% 3,037.56 2.04%
22. 30 nov. 2019 $199.92 12.03% 3,140.98 3.40%
23. 31 dic. 2019 $204.49 2.29% 3,230.78 2.86%
24. 31 ene. 2020 $192.38 -5.92% 3,225.52 -0.16%
25. 29 feb. 2020 $182.94 -4.91% 2,954.22 -8.41%
26. 31 mar. 2020 $177.18 $0.04 -3.13% 2,584.59 -12.51%
27. 30 abr. 2020 $195.78 10.50% 2,912.43 12.68%
28. 31 may. 2020 $197.32 0.79% 3,044.31 4.53%
29. 30 jun. 2020 $187.65 -4.90% 3,100.29 1.84%
30. 31 jul. 2020 $172.69 -7.97% 3,271.12 5.51%
31. 31 ago. 2020 $177.37 2.71% 3,500.31 7.01%
32. 30 sept. 2020 $169.41 -4.49% 3,363.00 -3.92%
33. 31 oct. 2020 $166.97 -1.44% 3,269.96 -2.77%
34. 30 nov. 2020 $209.14 25.26% 3,621.63 10.75%
35. 31 dic. 2020 $208.18 -0.46% 3,756.07 3.71%
36. 31 ene. 2021 $217.05 4.26% 3,714.24 -1.11%
37. 28 feb. 2021 $209.90 -3.29% 3,811.15 2.61%
38. 31 mar. 2021 $241.74 $1.00 15.65% 3,972.89 4.24%
39. 30 abr. 2021 $249.01 3.01% 4,181.17 5.24%
40. 31 may. 2021 $258.85 3.95% 4,204.11 0.55%
41. 30 jun. 2021 $237.07 $1.00 -8.03% 4,297.50 2.22%
42. 31 jul. 2021 $229.49 -3.20% 4,395.26 2.27%
43. 31 ago. 2021 $211.65 -7.77% 4,522.68 2.90%
44. 30 sept. 2021 $200.16 $1.00 -4.96% 4,307.54 -4.76%
45. 31 oct. 2021 $213.61 6.72% 4,605.38 6.91%
46. 30 nov. 2021 $191.90 -10.16% 4,567.00 -0.83%
47. 31 dic. 2021 $229.63 $1.00 20.18% 4,766.18 4.36%
48. 31 ene. 2022 $230.46 0.36% 4,515.55 -5.26%
49. 28 feb. 2022 $237.78 3.18% 4,373.94 -3.14%
50. 31 mar. 2022 $239.61 $1.12 1.24% 4,530.41 3.58%
51. 30 abr. 2022 $246.78 2.99% 4,131.93 -8.80%
52. 31 may. 2022 $268.29 8.72% 4,132.15 0.01%
53. 30 jun. 2022 $263.52 $1.12 -1.36% 3,785.38 -8.39%
54. 31 jul. 2022 $275.36 4.49% 4,130.29 9.11%
55. 31 ago. 2022 $283.45 2.94% 3,955.00 -4.24%
56. 30 sept. 2022 $277.47 $1.12 -1.71% 3,585.62 -9.34%
57. 31 oct. 2022 $323.06 16.43% 3,871.98 7.99%
58. 30 nov. 2022 $328.89 1.80% 4,080.11 5.38%
59. 31 dic. 2022 $331.34 $1.12 1.09% 3,839.50 -5.90%
Promedio (R): 1.17% 0.67%
Desviación estándar: 8.19% 5.40%

Mostrar todo

1 Datos en US$ por acción ordinaria, ajustados por divisiones y dividendos de acciones.

2 Tasa de rendimiento de las acciones ordinarias de IC 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

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

Microsoft Excel
t Fecha RCI,t RS&P 500,t (RCI,tRCI)2 (RS&P 500,tRS&P 500)2 (RCI,tRCI)×(RS&P 500,tRS&P 500)
1. 28 feb. 2018 -5.98% -3.89% 51.10 20.81 32.61
2. 31 mar. 2018 -14.35% -2.69% 240.80 11.26 52.06
3. 30 abr. 2018 2.43% 0.27% 1.60 0.16 -0.50
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2022 1.80% 5.38% 0.41 22.17 3.00
59. 31 dic. 2022 1.09% -5.90% 0.01 43.08 0.54
Total (Σ): 3,890.49 1,691.48 1,184.36
t Fecha RCI,t RS&P 500,t (RCI,tRCI)2 (RS&P 500,tRS&P 500)2 (RCI,tRCI)×(RS&P 500,tRS&P 500)
1. 28 feb. 2018 -5.98% -3.89% 51.10 20.81 32.61
2. 31 mar. 2018 -14.35% -2.69% 240.80 11.26 52.06
3. 30 abr. 2018 2.43% 0.27% 1.60 0.16 -0.50
4. 31 may. 2018 -1.43% 2.16% 6.73 2.23 -3.88
5. 30 jun. 2018 0.34% 0.48% 0.68 0.03 0.15
6. 31 jul. 2018 5.57% 3.60% 19.40 8.62 12.93
7. 31 ago. 2018 4.97% 3.03% 14.47 5.57 8.98
8. 30 sept. 2018 10.57% 0.43% 88.42 0.06 -2.23
9. 31 oct. 2018 2.67% -6.94% 2.26 57.87 -11.43
10. 30 nov. 2018 4.48% 1.79% 10.94 1.25 3.70
11. 31 dic. 2018 -14.98% -9.18% 260.72 96.91 158.95
12. 31 ene. 2019 5.21% 7.87% 16.32 51.87 29.09
13. 28 feb. 2019 -12.70% 2.97% 192.24 5.32 -31.98
14. 31 mar. 2019 -7.78% 1.79% 80.15 1.27 -10.08
15. 30 abr. 2019 -1.23% 3.93% 5.76 10.66 -7.83
16. 31 may. 2019 -6.81% -6.58% 63.68 52.48 57.81
17. 30 jun. 2019 6.44% 6.89% 27.78 38.77 32.82
18. 31 jul. 2019 7.85% 1.31% 44.67 0.42 4.32
19. 31 ago. 2019 -9.39% -1.81% 111.40 6.13 26.13
20. 30 sept. 2019 -1.42% 1.72% 6.68 1.11 -2.72
21. 31 oct. 2019 17.57% 2.04% 269.04 1.89 22.58
22. 30 nov. 2019 12.03% 3.40% 117.88 7.50 29.73
23. 31 dic. 2019 2.29% 2.86% 1.25 4.81 2.45
24. 31 ene. 2020 -5.92% -0.16% 50.27 0.69 5.88
25. 29 feb. 2020 -4.91% -8.41% 36.90 82.40 55.15
26. 31 mar. 2020 -3.13% -12.51% 18.44 173.67 56.60
27. 30 abr. 2020 10.50% 12.68% 87.05 144.43 112.12
28. 31 may. 2020 0.79% 4.53% 0.15 14.91 -1.47
29. 30 jun. 2020 -4.90% 1.84% 36.83 1.37 -7.11
30. 31 jul. 2020 -7.97% 5.51% 83.54 23.46 -44.27
31. 31 ago. 2020 2.71% 7.01% 2.38 40.19 9.78
32. 30 sept. 2020 -4.49% -3.92% 31.99 21.06 25.96
33. 31 oct. 2020 -1.44% -2.77% 6.80 11.79 8.95
34. 30 nov. 2020 25.26% 10.75% 580.24 101.77 243.00
35. 31 dic. 2020 -0.46% 3.71% 2.65 9.28 -4.95
36. 31 ene. 2021 4.26% -1.11% 9.57 3.17 -5.51
37. 28 feb. 2021 -3.29% 2.61% 19.91 3.77 -8.67
38. 31 mar. 2021 15.65% 4.24% 209.60 12.80 51.79
39. 30 abr. 2021 3.01% 5.24% 3.38 20.94 8.42
40. 31 may. 2021 3.95% 0.55% 7.75 0.01 -0.33
41. 30 jun. 2021 -8.03% 2.22% 84.56 2.42 -14.30
42. 31 jul. 2021 -3.20% 2.27% 19.06 2.59 -7.02
43. 31 ago. 2021 -7.77% 2.90% 79.95 4.98 -19.96
44. 30 sept. 2021 -4.96% -4.76% 37.51 29.42 33.21
45. 31 oct. 2021 6.72% 6.91% 30.82 39.03 34.69
46. 30 nov. 2021 -10.16% -0.83% 128.40 2.25 17.00
47. 31 dic. 2021 20.18% 4.36% 361.55 13.65 70.25
48. 31 ene. 2022 0.36% -5.26% 0.65 35.11 4.78
49. 28 feb. 2022 3.18% -3.14% 4.03 14.46 -7.64
50. 31 mar. 2022 1.24% 3.58% 0.01 8.47 0.21
51. 30 abr. 2022 2.99% -8.80% 3.33 89.54 -17.26
52. 31 may. 2022 8.72% 0.01% 56.98 0.44 -4.99
53. 30 jun. 2022 -1.36% -8.39% 6.39 82.06 22.90
54. 31 jul. 2022 4.49% 9.11% 11.06 71.32 28.08
55. 31 ago. 2022 2.94% -4.24% 3.13 24.11 -8.69
56. 30 sept. 2022 -1.71% -9.34% 8.31 100.12 28.84
57. 31 oct. 2022 16.43% 7.99% 232.95 53.58 111.72
58. 30 nov. 2022 1.80% 5.38% 0.41 22.17 3.00
59. 31 dic. 2022 1.09% -5.90% 0.01 43.08 0.54
Total (Σ): 3,890.49 1,691.48 1,184.36

Mostrar todo

VarianzaCI = Σ(RCI,tRCI)2 ÷ (59 – 1)
= 3,890.49 ÷ (59 – 1)
= 67.08

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16

CovarianzaCI, S&P 500 = Σ(RCI,tRCI)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,184.36 ÷ (59 – 1)
= 20.42


Estimación sistemática del riesgo (β)

Microsoft Excel
VarianzaCI 67.08
VarianzaS&P 500 29.16
CovarianzaCI, S&P 500 20.42
Coeficiente de correlaciónCI, S&P 5001 0.46
βCI2 0.70
αCI3 0.70%

Cálculos

1 Coeficiente de correlaciónCI, S&P 500
= CovarianzaCI, S&P 500 ÷ (Desviación estándarCI × Desviación estándarS&P 500)
= 20.42 ÷ (8.19% × 5.40%)
= 0.46

2 βCI
= CovarianzaCI, S&P 500 ÷ VarianzaS&P 500
= 20.42 ÷ 29.16
= 0.70

3 αCI
= PromedioCI – βCI × PromedioS&P 500
= 1.17%0.70 × 0.67%
= 0.70%


Tasa de rendimiento esperada

Microsoft Excel
Suposiciones
Tasa de rendimiento de LT Treasury Composite1 RF 3.72%
Tasa de rendimiento esperada en la cartera de mercado2 E(RM) 13.71%
Riesgo sistemático de acciones ordinarias Cigna βCI 0.70
 
Tasa de rendimiento esperada de las acciones ordinarias de Cigna3 E(RCI) 10.71%

1 Promedio no ponderado de los rendimientos de las ofertas de todos los bonos del Tesoro de los Estados Unidos de cupón fijo en circulación que no vencen ni se pueden exigir en menos de 10 años (proxy de tasa de rendimiento libre de riesgo).

2 Ver detalles »

3 E(RCI) = RF + βCI [E(RM) – RF]
= 3.72% + 0.70 [13.71%3.72%]
= 10.71%