Stock Analysis on Net

Danaher Corp. (NYSE:DHR)

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

Microsoft Excel

Tasas de retorno

Danaher Corp., tasas mensuales de retorno

Microsoft Excel
Danaher Corp. (DHR) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioDHR,t1 DividendoDHR,t1 RDHR,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2017 $83.92 2,278.87
1. 28 feb. 2017 $85.55 1.94% 2,363.64 3.72%
2. 31 mar. 2017 $85.53 $0.14 0.14% 2,362.72 -0.04%
3. 30 abr. 2017 $83.33 -2.57% 2,384.20 0.91%
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2021 $321.64 3.17% 4,567.00 -0.83%
59. 31 dic. 2021 $329.01 $0.21 2.36% 4,766.18 4.36%
Promedio (R): 2.54% 1.36%
Desviación estándar: 5.72% 4.48%
Danaher Corp. (DHR) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioDHR,t1 DividendoDHR,t1 RDHR,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2017 $83.92 2,278.87
1. 28 feb. 2017 $85.55 1.94% 2,363.64 3.72%
2. 31 mar. 2017 $85.53 $0.14 0.14% 2,362.72 -0.04%
3. 30 abr. 2017 $83.33 -2.57% 2,384.20 0.91%
4. 31 may. 2017 $84.94 1.93% 2,411.80 1.16%
5. 30 jun. 2017 $84.39 $0.14 -0.48% 2,423.41 0.48%
6. 31 jul. 2017 $81.49 -3.44% 2,470.30 1.93%
7. 31 ago. 2017 $83.42 2.37% 2,471.65 0.05%
8. 30 sept. 2017 $85.78 $0.14 3.00% 2,519.36 1.93%
9. 31 oct. 2017 $92.27 7.57% 2,575.26 2.22%
10. 30 nov. 2017 $94.36 2.27% 2,647.58 2.81%
11. 31 dic. 2017 $92.82 $0.14 -1.48% 2,673.61 0.98%
12. 31 ene. 2018 $101.28 9.11% 2,823.81 5.62%
13. 28 feb. 2018 $97.78 -3.46% 2,713.83 -3.89%
14. 31 mar. 2018 $97.91 $0.16 0.30% 2,640.87 -2.69%
15. 30 abr. 2018 $100.32 2.46% 2,648.05 0.27%
16. 31 may. 2018 $99.28 -1.04% 2,705.27 2.16%
17. 30 jun. 2018 $98.68 $0.16 -0.44% 2,718.37 0.48%
18. 31 jul. 2018 $102.58 3.95% 2,816.29 3.60%
19. 31 ago. 2018 $103.54 0.94% 2,901.52 3.03%
20. 30 sept. 2018 $108.66 $0.16 5.10% 2,913.98 0.43%
21. 31 oct. 2018 $99.40 -8.52% 2,711.74 -6.94%
22. 30 nov. 2018 $109.54 10.20% 2,760.17 1.79%
23. 31 dic. 2018 $103.12 $0.16 -5.71% 2,506.85 -9.18%
24. 31 ene. 2019 $110.92 7.56% 2,704.10 7.87%
25. 28 feb. 2019 $127.02 14.51% 2,784.49 2.97%
26. 31 mar. 2019 $132.02 $0.17 4.07% 2,834.40 1.79%
27. 30 abr. 2019 $132.44 0.32% 2,945.83 3.93%
28. 31 may. 2019 $132.01 -0.32% 2,752.06 -6.58%
29. 30 jun. 2019 $142.92 $0.17 8.39% 2,941.76 6.89%
30. 31 jul. 2019 $140.50 -1.69% 2,980.38 1.31%
31. 31 ago. 2019 $142.09 1.13% 2,926.46 -1.81%
32. 30 sept. 2019 $144.43 $0.17 1.77% 2,976.74 1.72%
33. 31 oct. 2019 $137.82 -4.58% 3,037.56 2.04%
34. 30 nov. 2019 $145.98 5.92% 3,140.98 3.40%
35. 31 dic. 2019 $153.48 $0.17 5.25% 3,230.78 2.86%
36. 31 ene. 2020 $160.87 4.81% 3,225.52 -0.16%
37. 29 feb. 2020 $144.58 -10.13% 2,954.22 -8.41%
38. 31 mar. 2020 $138.41 $0.18 -4.14% 2,584.59 -12.51%
39. 30 abr. 2020 $163.46 18.10% 2,912.43 12.68%
40. 31 may. 2020 $166.61 1.93% 3,044.31 4.53%
41. 30 jun. 2020 $176.83 $0.18 6.24% 3,100.29 1.84%
42. 31 jul. 2020 $203.80 15.25% 3,271.12 5.51%
43. 31 ago. 2020 $206.47 1.31% 3,500.31 7.01%
44. 30 sept. 2020 $215.33 $0.18 4.38% 3,363.00 -3.92%
45. 31 oct. 2020 $229.54 6.60% 3,269.96 -2.77%
46. 30 nov. 2020 $224.63 -2.14% 3,621.63 10.75%
47. 31 dic. 2020 $222.14 $0.18 -1.03% 3,756.07 3.71%
48. 31 ene. 2021 $237.84 7.07% 3,714.24 -1.11%
49. 28 feb. 2021 $219.67 -7.64% 3,811.15 2.61%
50. 31 mar. 2021 $225.08 $0.21 2.56% 3,972.89 4.24%
51. 30 abr. 2021 $253.94 12.82% 4,181.17 5.24%
52. 31 may. 2021 $256.14 0.87% 4,204.11 0.55%
53. 30 jun. 2021 $268.36 $0.21 4.85% 4,297.50 2.22%
54. 31 jul. 2021 $297.49 10.85% 4,395.26 2.27%
55. 31 ago. 2021 $324.16 8.97% 4,522.68 2.90%
56. 30 sept. 2021 $304.44 $0.21 -6.02% 4,307.54 -4.76%
57. 31 oct. 2021 $311.77 2.41% 4,605.38 6.91%
58. 30 nov. 2021 $321.64 3.17% 4,567.00 -0.83%
59. 31 dic. 2021 $329.01 $0.21 2.36% 4,766.18 4.36%
Promedio (R): 2.54% 1.36%
Desviación estándar: 5.72% 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 DHR 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

Danaher Corp., cálculo de varianza y covarianza de rendimientos

Microsoft Excel
t Fecha RDHR,t RS&P 500,t (RDHR,tRDHR)2 (RS&P 500,tRS&P 500)2 (RDHR,tRDHR)×(RS&P 500,tRS&P 500)
1. 28 feb. 2017 1.94% 3.72% 0.36 5.58 -1.41
2. 31 mar. 2017 0.14% -0.04% 5.76 1.95 3.35
3. 30 abr. 2017 -2.57% 0.91% 26.14 0.20 2.29
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2021 3.17% -0.83% 0.39 4.80 -1.37
59. 31 dic. 2021 2.36% 4.36% 0.03 9.02 -0.55
Total (Σ): 1,899.90 1,164.17 813.32
t Fecha RDHR,t RS&P 500,t (RDHR,tRDHR)2 (RS&P 500,tRS&P 500)2 (RDHR,tRDHR)×(RS&P 500,tRS&P 500)
1. 28 feb. 2017 1.94% 3.72% 0.36 5.58 -1.41
2. 31 mar. 2017 0.14% -0.04% 5.76 1.95 3.35
3. 30 abr. 2017 -2.57% 0.91% 26.14 0.20 2.29
4. 31 may. 2017 1.93% 1.16% 0.37 0.04 0.12
5. 30 jun. 2017 -0.48% 0.48% 9.14 0.77 2.65
6. 31 jul. 2017 -3.44% 1.93% 35.73 0.33 -3.45
7. 31 ago. 2017 2.37% 0.05% 0.03 1.70 0.22
8. 30 sept. 2017 3.00% 1.93% 0.21 0.33 0.26
9. 31 oct. 2017 7.57% 2.22% 25.25 0.74 4.33
10. 30 nov. 2017 2.27% 2.81% 0.08 2.10 -0.40
11. 31 dic. 2017 -1.48% 0.98% 16.20 0.14 1.51
12. 31 ene. 2018 9.11% 5.62% 43.21 18.15 28.00
13. 28 feb. 2018 -3.46% -3.89% 35.96 27.59 31.50
14. 31 mar. 2018 0.30% -2.69% 5.04 16.37 9.08
15. 30 abr. 2018 2.46% 0.27% 0.01 1.18 0.09
16. 31 may. 2018 -1.04% 2.16% 12.80 0.64 -2.87
17. 30 jun. 2018 -0.44% 0.48% 8.90 0.76 2.61
18. 31 jul. 2018 3.95% 3.60% 1.99 5.04 3.17
19. 31 ago. 2018 0.94% 3.03% 2.58 2.78 -2.68
20. 30 sept. 2018 5.10% 0.43% 6.55 0.86 -2.38
21. 31 oct. 2018 -8.52% -6.94% 122.39 68.86 91.80
22. 30 nov. 2018 10.20% 1.79% 58.68 0.18 3.28
23. 31 dic. 2018 -5.71% -9.18% 68.16 111.00 86.98
24. 31 ene. 2019 7.56% 7.87% 25.23 42.39 32.70
25. 28 feb. 2019 14.51% 2.97% 143.38 2.61 19.34
26. 31 mar. 2019 4.07% 1.79% 2.34 0.19 0.66
27. 30 abr. 2019 0.32% 3.93% 4.94 6.62 -5.72
28. 31 may. 2019 -0.32% -6.58% 8.21 62.97 22.74
29. 30 jun. 2019 8.39% 6.89% 34.25 30.64 32.39
30. 31 jul. 2019 -1.69% 1.31% 17.93 0.00 0.19
31. 31 ago. 2019 1.13% -1.81% 1.99 10.03 4.46
32. 30 sept. 2019 1.77% 1.72% 0.60 0.13 -0.28
33. 31 oct. 2019 -4.58% 2.04% 50.66 0.47 -4.88
34. 30 nov. 2019 5.92% 3.40% 11.42 4.19 6.92
35. 31 dic. 2019 5.25% 2.86% 7.36 2.25 4.07
36. 31 ene. 2020 4.81% -0.16% 5.17 2.31 -3.46
37. 29 feb. 2020 -10.13% -8.41% 160.45 95.43 123.74
38. 31 mar. 2020 -4.14% -12.51% 44.67 192.37 92.70
39. 30 abr. 2020 18.10% 12.68% 242.04 128.29 176.21
40. 31 may. 2020 1.93% 4.53% 0.38 10.05 -1.95
41. 30 jun. 2020 6.24% 1.84% 13.70 0.23 1.78
42. 31 jul. 2020 15.25% 5.51% 161.57 17.24 52.78
43. 31 ago. 2020 1.31% 7.01% 1.51 31.91 -6.95
44. 30 sept. 2020 4.38% -3.92% 3.38 27.89 -9.70
45. 31 oct. 2020 6.60% -2.77% 16.47 17.01 -16.74
46. 30 nov. 2020 -2.14% 10.75% 21.90 88.30 -43.98
47. 31 dic. 2020 -1.03% 3.71% 12.74 5.54 -8.40
48. 31 ene. 2021 7.07% -1.11% 20.49 6.11 -11.19
49. 28 feb. 2021 -7.64% 2.61% 103.64 1.57 -12.74
50. 31 mar. 2021 2.56% 4.24% 0.00 8.33 0.05
51. 30 abr. 2021 12.82% 5.24% 105.70 15.09 39.94
52. 31 may. 2021 0.87% 0.55% 2.80 0.65 1.36
53. 30 jun. 2021 4.85% 2.22% 5.35 0.75 2.00
54. 31 jul. 2021 10.85% 2.27% 69.12 0.84 7.62
55. 31 ago. 2021 8.97% 2.90% 41.27 2.38 9.90
56. 30 sept. 2021 -6.02% -4.76% 73.26 37.39 52.34
57. 31 oct. 2021 2.41% 6.91% 0.02 30.87 -0.74
58. 30 nov. 2021 3.17% -0.83% 0.39 4.80 -1.37
59. 31 dic. 2021 2.36% 4.36% 0.03 9.02 -0.55
Total (Σ): 1,899.90 1,164.17 813.32

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VarianzaDHR = Σ(RDHR,tRDHR)2 ÷ (59 – 1)
= 1,899.90 ÷ (59 – 1)
= 32.76

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

CovarianzaDHR, S&P 500 = Σ(RDHR,tRDHR)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 813.32 ÷ (59 – 1)
= 14.02


Estimación sistemática del riesgo (β)

Microsoft Excel
VarianzaDHR 32.76
VarianzaS&P 500 20.07
CovarianzaDHR, S&P 500 14.02
Coeficiente de correlaciónDHR, S&P 5001 0.55
βDHR2 0.70
αDHR3 1.59%

Cálculos

1 Coeficiente de correlaciónDHR, S&P 500
= CovarianzaDHR, S&P 500 ÷ (Desviación estándarDHR × Desviación estándarS&P 500)
= 14.02 ÷ (5.72% × 4.48%)
= 0.55

2 βDHR
= CovarianzaDHR, S&P 500 ÷ VarianzaS&P 500
= 14.02 ÷ 20.07
= 0.70

3 αDHR
= PromedioDHR – βDHR × PromedioS&P 500
= 2.54%0.70 × 1.36%
= 1.59%


Tasa de rendimiento esperada

Microsoft Excel
Suposiciones
Tasa de rendimiento de LT Treasury Composite1 RF 3.76%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 12.50%
Riesgo sistemático de acciones ordinarias Danaher βDHR 0.70
 
Tasa de rendimiento esperada de las acciones ordinarias de Danaher3 E(RDHR) 9.86%

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(RDHR) = RF + βDHR [E(RM) – RF]
= 3.76% + 0.70 [12.50%3.76%]
= 9.86%