Stock Analysis on Net

Home Depot Inc. (NYSE:HD)

Modelo de valoración de activos de capital (CAPM)

Microsoft Excel LibreOffice Calc

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 Home Depot.


Las tasas de rendimiento

Home Depot Inc., tasas de rendimiento mensuales

Microsoft Excel LibreOffice Calc
Home Depot Inc. (HD) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioHD,t1 DividendoHD,t1 RHD,t2 PrecioS&P 500,t RS&P 500,t3
28 feb. 2015 $114.75 2,104.50
1. 31 mar. 2015 $113.61 $0.59 -0.48% 2,067.89 -1.74%
2. 30 abr. 2015 $106.98 -5.84% 2,085.51 0.85%
3. 31 may. 2015 $111.42 4.15% 2,107.39 1.05%
. . . . . . .
. . . . . . .
. . . . . . .
70. 31 dic. 2020 $265.62 $1.50 -3.71% 3,756.07 3.71%
71. 31 ene. 2021 $270.82 1.96% 3,714.24 -1.11%
Promedio (R): 1.57% 0.89%
Desviación típica: 5.64% 4.30%

Fuente: Home Depot Inc. (NYSE:HD) | CAPM (www.stock-analysis-on.net)

Home Depot Inc. (HD) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioHD,t1 DividendoHD,t1 RHD,t2 PrecioS&P 500,t RS&P 500,t3
28 feb. 2015 $114.75 2,104.50
1. 31 mar. 2015 $113.61 $0.59 -0.48% 2,067.89 -1.74%
2. 30 abr. 2015 $106.98 -5.84% 2,085.51 0.85%
3. 31 may. 2015 $111.42 4.15% 2,107.39 1.05%
4. 30 jun. 2015 $111.13 $0.59 0.27% 2,063.11 -2.10%
5. 31 jul. 2015 $117.03 5.31% 2,103.84 1.97%
6. 31 ago. 2015 $116.46 -0.49% 1,972.18 -6.26%
7. 30 sept. 2015 $115.49 $0.59 -0.33% 1,920.03 -2.64%
8. 31 oct. 2015 $123.64 7.06% 2,079.36 8.30%
9. 30 nov. 2015 $133.88 8.28% 2,080.41 0.05%
10. 31 dic. 2015 $132.25 $0.59 -0.78% 2,043.94 -1.75%
11. 31 ene. 2016 $125.76 -4.91% 1,940.24 -5.07%
12. 29 feb. 2016 $124.12 -1.30% 1,932.23 -0.41%
13. 31 mar. 2016 $133.43 $0.69 8.06% 2,059.74 6.60%
14. 30 abr. 2016 $133.89 0.34% 2,065.30 0.27%
15. 31 may. 2016 $132.12 $0.69 -0.81% 2,096.95 1.53%
16. 30 jun. 2016 $127.69 -3.35% 2,098.86 0.09%
17. 31 jul. 2016 $138.24 8.26% 2,173.60 3.56%
18. 31 ago. 2016 $134.12 $0.69 -2.48% 2,170.95 -0.12%
19. 30 sept. 2016 $128.68 -4.06% 2,168.27 -0.12%
20. 31 oct. 2016 $122.01 -5.18% 2,126.15 -1.94%
21. 30 nov. 2016 $129.40 $0.69 6.62% 2,198.81 3.42%
22. 31 dic. 2016 $134.08 3.62% 2,238.83 1.82%
23. 31 ene. 2017 $137.58 2.61% 2,278.87 1.79%
24. 28 feb. 2017 $144.91 5.33% 2,363.64 3.72%
25. 31 mar. 2017 $146.83 $0.89 1.94% 2,362.72 -0.04%
26. 30 abr. 2017 $156.10 6.31% 2,384.20 0.91%
27. 31 may. 2017 $153.51 $0.89 -1.09% 2,411.80 1.16%
28. 30 jun. 2017 $153.40 -0.07% 2,423.41 0.48%
29. 31 jul. 2017 $149.60 -2.48% 2,470.30 1.93%
30. 31 ago. 2017 $149.87 $0.89 0.78% 2,471.65 0.05%
31. 30 sept. 2017 $163.56 9.13% 2,519.36 1.93%
32. 31 oct. 2017 $165.78 1.36% 2,575.26 2.22%
33. 30 nov. 2017 $179.82 $0.89 9.01% 2,647.58 2.81%
34. 31 dic. 2017 $189.53 5.40% 2,673.61 0.98%
35. 31 ene. 2018 $200.90 6.00% 2,823.81 5.62%
36. 28 feb. 2018 $182.27 -9.27% 2,713.83 -3.89%
37. 31 mar. 2018 $178.24 $1.03 -1.65% 2,640.87 -2.69%
38. 30 abr. 2018 $184.80 3.68% 2,648.05 0.27%
39. 31 may. 2018 $186.55 $1.03 1.50% 2,705.27 2.16%
40. 30 jun. 2018 $195.10 4.58% 2,718.37 0.48%
41. 31 jul. 2018 $197.52 1.24% 2,816.29 3.60%
42. 31 ago. 2018 $200.77 $1.03 2.17% 2,901.52 3.03%
43. 30 sept. 2018 $207.15 3.18% 2,913.98 0.43%
44. 31 oct. 2018 $175.88 -15.10% 2,711.74 -6.94%
45. 30 nov. 2018 $180.32 $1.03 3.11% 2,760.17 1.79%
46. 31 dic. 2018 $171.82 -4.71% 2,506.85 -9.18%
47. 31 ene. 2019 $183.53 6.82% 2,704.10 7.87%
48. 28 feb. 2019 $185.14 0.88% 2,784.49 2.97%
49. 31 mar. 2019 $191.89 $1.36 4.38% 2,834.40 1.79%
50. 30 abr. 2019 $203.70 6.15% 2,945.83 3.93%
51. 31 may. 2019 $189.85 -6.80% 2,752.06 -6.58%
52. 30 jun. 2019 $207.97 $1.36 10.26% 2,941.76 6.89%
53. 31 jul. 2019 $213.69 2.75% 2,980.38 1.31%
54. 31 ago. 2019 $227.91 6.65% 2,926.46 -1.81%
55. 30 sept. 2019 $232.02 $1.36 2.40% 2,976.74 1.72%
56. 31 oct. 2019 $234.58 1.10% 3,037.56 2.04%
57. 30 nov. 2019 $220.51 -6.00% 3,140.98 3.40%
58. 31 dic. 2019 $218.38 $1.36 -0.35% 3,230.78 2.86%
59. 31 ene. 2020 $228.10 4.45% 3,225.52 -0.16%
60. 29 feb. 2020 $217.84 -4.50% 2,954.22 -8.41%
61. 31 mar. 2020 $186.71 $1.50 -13.60% 2,584.59 -12.51%
62. 30 abr. 2020 $219.83 17.74% 2,912.43 12.68%
63. 31 may. 2020 $248.48 13.03% 3,044.31 4.53%
64. 30 jun. 2020 $250.51 $1.50 1.42% 3,100.29 1.84%
65. 31 jul. 2020 $265.49 5.98% 3,271.12 5.51%
66. 31 ago. 2020 $285.04 7.36% 3,500.31 7.01%
67. 30 sept. 2020 $277.71 $1.50 -2.05% 3,363.00 -3.92%
68. 31 oct. 2020 $266.71 -3.96% 3,269.96 -2.77%
69. 30 nov. 2020 $277.41 4.01% 3,621.63 10.75%
70. 31 dic. 2020 $265.62 $1.50 -3.71% 3,756.07 3.71%
71. 31 ene. 2021 $270.82 1.96% 3,714.24 -1.11%
Promedio (R): 1.57% 0.89%
Desviación típica: 5.64% 4.30%

Fuente: Home Depot Inc. (NYSE:HD) | 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 HD 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

Home Depot Inc., cálculo de varianza y covarianza de retornos

Microsoft Excel LibreOffice Calc
t Fecha RHD,t RS&P 500,t (RHD,tRHD)2 (RS&P 500,tRS&P 500)2 (RHD,tRHD)×(RS&P 500,tRS&P 500)
1. 31 mar. 2015 -0.48% -1.74% 4.19 6.94 5.39
2. 30 abr. 2015 -5.84% 0.85% 54.81 0.00 0.32
3. 31 may. 2015 4.15% 1.05% 6.67 0.02 0.40
. . . . . . .
. . . . . . .
. . . . . . .
70. 31 dic. 2020 -3.71% 3.71% 27.85 7.94 -14.87
71. 31 ene. 2021 1.96% -1.11% 0.15 4.03 -0.78
Total (Σ): 2,227.68 1,292.68 1,248.39
t Fecha RHD,t RS&P 500,t (RHD,tRHD)2 (RS&P 500,tRS&P 500)2 (RHD,tRHD)×(RS&P 500,tRS&P 500)
1. 31 mar. 2015 -0.48% -1.74% 4.19 6.94 5.39
2. 30 abr. 2015 -5.84% 0.85% 54.81 0.00 0.32
3. 31 may. 2015 4.15% 1.05% 6.67 0.02 0.40
4. 30 jun. 2015 0.27% -2.10% 1.69 8.98 3.89
5. 31 jul. 2015 5.31% 1.97% 14.00 1.17 4.04
6. 31 ago. 2015 -0.49% -6.26% 4.22 51.16 14.70
7. 30 sept. 2015 -0.33% -2.64% 3.59 12.52 6.70
8. 31 oct. 2015 7.06% 8.30% 30.13 54.81 40.64
9. 30 nov. 2015 8.28% 0.05% 45.08 0.71 -5.67
10. 31 dic. 2015 -0.78% -1.75% 5.50 7.01 6.21
11. 31 ene. 2016 -4.91% -5.07% 41.93 35.62 38.65
12. 29 feb. 2016 -1.30% -0.41% 8.25 1.71 3.76
13. 31 mar. 2016 8.06% 6.60% 42.10 32.54 37.01
14. 30 abr. 2016 0.34% 0.27% 1.50 0.39 0.76
15. 31 may. 2016 -0.81% 1.53% 5.64 0.41 -1.51
16. 30 jun. 2016 -3.35% 0.09% 24.22 0.65 3.95
17. 31 jul. 2016 8.26% 3.56% 44.81 7.11 17.85
18. 31 ago. 2016 -2.48% -0.12% 16.40 1.03 4.12
19. 30 sept. 2016 -4.06% -0.12% 31.63 1.04 5.73
20. 31 oct. 2016 -5.18% -1.94% 45.58 8.05 19.16
21. 30 nov. 2016 6.62% 3.42% 25.55 6.36 12.75
22. 31 dic. 2016 3.62% 1.82% 4.20 0.86 1.90
23. 31 ene. 2017 2.61% 1.79% 1.09 0.80 0.93
24. 28 feb. 2017 5.33% 3.72% 14.14 7.98 10.62
25. 31 mar. 2017 1.94% -0.04% 0.14 0.87 -0.35
26. 30 abr. 2017 6.31% 0.91% 22.52 0.00 0.07
27. 31 may. 2017 -1.09% 1.16% 7.06 0.07 -0.70
28. 30 jun. 2017 -0.07% 0.48% 2.69 0.17 0.68
29. 31 jul. 2017 -2.48% 1.93% 16.36 1.08 -4.21
30. 31 ago. 2017 0.78% 0.05% 0.63 0.71 0.67
31. 30 sept. 2017 9.13% 1.93% 57.25 1.07 7.84
32. 31 oct. 2017 1.36% 2.22% 0.04 1.75 -0.28
33. 30 nov. 2017 9.01% 2.81% 55.32 3.66 14.23
34. 31 dic. 2017 5.40% 0.98% 14.68 0.01 0.34
35. 31 ene. 2018 6.00% 5.62% 19.63 22.31 20.93
36. 28 feb. 2018 -9.27% -3.89% 117.53 22.94 51.92
37. 31 mar. 2018 -1.65% -2.69% 10.33 12.84 11.52
38. 30 abr. 2018 3.68% 0.27% 4.46 0.39 -1.32
39. 31 may. 2018 1.50% 2.16% 0.00 1.60 -0.08
40. 30 jun. 2018 4.58% 0.48% 9.09 0.17 -1.24
41. 31 jul. 2018 1.24% 3.60% 0.11 7.33 -0.89
42. 31 ago. 2018 2.17% 3.03% 0.36 4.54 1.28
43. 30 sept. 2018 3.18% 0.43% 2.59 0.22 -0.75
44. 31 oct. 2018 -15.10% -6.94% 277.67 61.39 130.56
45. 30 nov. 2018 3.11% 1.79% 2.38 0.79 1.37
46. 31 dic. 2018 -4.71% -9.18% 39.46 101.45 63.27
47. 31 ene. 2019 6.82% 7.87% 27.53 48.63 36.59
48. 28 feb. 2019 0.88% 2.97% 0.48 4.32 -1.44
49. 31 mar. 2019 4.38% 1.79% 7.91 0.81 2.52
50. 30 abr. 2019 6.15% 3.93% 21.04 9.22 13.93
51. 31 may. 2019 -6.80% -6.58% 70.01 55.84 62.52
52. 30 jun. 2019 10.26% 6.89% 75.56 35.98 52.14
53. 31 jul. 2019 2.75% 1.31% 1.40 0.17 0.49
54. 31 ago. 2019 6.65% -1.81% 25.87 7.31 -13.75
55. 30 sept. 2019 2.40% 1.72% 0.69 0.68 0.69
56. 31 oct. 2019 1.10% 2.04% 0.22 1.32 -0.53
57. 30 nov. 2019 -6.00% 3.40% 57.24 6.30 -18.99
58. 31 dic. 2019 -0.35% 2.86% 3.68 3.86 -3.77
59. 31 ene. 2020 4.45% -0.16% 8.31 1.12 -3.05
60. 29 feb. 2020 -4.50% -8.41% 36.80 86.60 56.45
61. 31 mar. 2020 -13.60% -12.51% 230.12 179.74 203.37
62. 30 abr. 2020 17.74% 12.68% 261.49 139.00 190.65
63. 31 may. 2020 13.03% 4.53% 131.44 13.20 41.66
64. 30 jun. 2020 1.42% 1.84% 0.02 0.89 -0.14
65. 31 jul. 2020 5.98% 5.51% 19.46 21.30 20.36
66. 31 ago. 2020 7.36% 7.01% 33.59 37.35 35.42
67. 30 sept. 2020 -2.05% -3.92% 13.06 23.21 17.41
68. 31 oct. 2020 -3.96% -2.77% 30.57 13.41 20.24
69. 30 nov. 2020 4.01% 10.75% 5.97 97.22 24.10
70. 31 dic. 2020 -3.71% 3.71% 27.85 7.94 -14.87
71. 31 ene. 2021 1.96% -1.11% 0.15 4.03 -0.78
Total (Σ): 2,227.68 1,292.68 1,248.39

Show all

VarianzaHD = Σ(RHD,tRHD)2 ÷ (71 – 1)
= 2,227.68 ÷ (71 – 1)
= 31.82

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,292.68 ÷ (71 – 1)
= 18.47

CovarianzaHD, S&P 500 = Σ(RHD,tRHD)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 1,248.39 ÷ (71 – 1)
= 17.83


Estimación sistemática de riesgos (β)

Microsoft Excel LibreOffice Calc
VarianzaHD 31.82
VarianzaS&P 500 18.47
CovarianzaHD, S&P 500 17.83
Coeficiente de correlaciónHD, S&P 5001 0.74
βHD2 0.97
αHD3 0.70%

Fuente: Home Depot Inc. (NYSE:HD) | CAPM (www.stock-analysis-on.net)

Cálculos

1 Coeficiente de correlaciónHD, S&P 500
= CovarianzaHD, S&P 500 ÷ (Desviación típicaHD × Desviación típicaS&P 500)
= 17.83 ÷ (5.64% × 4.30%)
= 0.74

2 βHD
= CovarianzaHD, S&P 500 ÷ VarianzaS&P 500
= 17.83 ÷ 18.47
= 0.97

3 αHD
= PromedioHD – βHD × PromedioS&P 500
= 1.57%0.97 × 0.89%
= 0.70%


Tasa de rendimiento esperada

Microsoft Excel LibreOffice Calc
Supuestos
Tasa de rendimiento de LT Treasury Composite1 RF 1.77%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 11.83%
Riesgo sistemático de las acciones ordinarias de Home Depot βHD 0.97
 
Tasa de rendimiento esperada de las acciones ordinarias de Home Depot3 E(RHD) 11.48%

Fuente: Home Depot Inc. (NYSE:HD) | 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(RHD) = RF + βHD [E(RM) – RF]
= 1.77% + 0.97 [11.83%1.77%]
= 11.48%