Stock Analysis on Net

Home Depot Inc. (NYSE:HD)

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 Home Depot.


Tasas de retorno

Home Depot Inc., tasas mensuales de retorno

Microsoft Excel
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. 2018 $182.27 2,713.83
1. 31 mar. 2018 $178.24 $1.03 -1.65% 2,640.87 -2.69%
2. 30 abr. 2018 $184.80 3.68% 2,648.05 0.27%
3. 31 may. 2018 $186.55 $1.03 1.50% 2,705.27 2.16%
. . . . . . .
. . . . . . .
. . . . . . .
70. 31 dic. 2023 $346.55 10.55% 4,769.83 4.42%
71. 31 ene. 2024 $352.96 1.85% 4,845.65 1.59%
Promedio (R): 1.38% 0.95%
Desviación estándar: 6.94% 5.18%
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. 2018 $182.27 2,713.83
1. 31 mar. 2018 $178.24 $1.03 -1.65% 2,640.87 -2.69%
2. 30 abr. 2018 $184.80 3.68% 2,648.05 0.27%
3. 31 may. 2018 $186.55 $1.03 1.50% 2,705.27 2.16%
4. 30 jun. 2018 $195.10 4.58% 2,718.37 0.48%
5. 31 jul. 2018 $197.52 1.24% 2,816.29 3.60%
6. 31 ago. 2018 $200.77 $1.03 2.17% 2,901.52 3.03%
7. 30 sept. 2018 $207.15 3.18% 2,913.98 0.43%
8. 31 oct. 2018 $175.88 -15.10% 2,711.74 -6.94%
9. 30 nov. 2018 $180.32 $1.03 3.11% 2,760.17 1.79%
10. 31 dic. 2018 $171.82 -4.71% 2,506.85 -9.18%
11. 31 ene. 2019 $183.53 6.82% 2,704.10 7.87%
12. 28 feb. 2019 $185.14 0.88% 2,784.49 2.97%
13. 31 mar. 2019 $191.89 $1.36 4.38% 2,834.40 1.79%
14. 30 abr. 2019 $203.70 6.15% 2,945.83 3.93%
15. 31 may. 2019 $189.85 -6.80% 2,752.06 -6.58%
16. 30 jun. 2019 $207.97 $1.36 10.26% 2,941.76 6.89%
17. 31 jul. 2019 $213.69 2.75% 2,980.38 1.31%
18. 31 ago. 2019 $227.91 6.65% 2,926.46 -1.81%
19. 30 sept. 2019 $232.02 $1.36 2.40% 2,976.74 1.72%
20. 31 oct. 2019 $234.58 1.10% 3,037.56 2.04%
21. 30 nov. 2019 $220.51 -6.00% 3,140.98 3.40%
22. 31 dic. 2019 $218.38 $1.36 -0.35% 3,230.78 2.86%
23. 31 ene. 2020 $228.10 4.45% 3,225.52 -0.16%
24. 29 feb. 2020 $217.84 -4.50% 2,954.22 -8.41%
25. 31 mar. 2020 $186.71 $1.50 -13.60% 2,584.59 -12.51%
26. 30 abr. 2020 $219.83 17.74% 2,912.43 12.68%
27. 31 may. 2020 $248.48 13.03% 3,044.31 4.53%
28. 30 jun. 2020 $250.51 $1.50 1.42% 3,100.29 1.84%
29. 31 jul. 2020 $265.49 5.98% 3,271.12 5.51%
30. 31 ago. 2020 $285.04 7.36% 3,500.31 7.01%
31. 30 sept. 2020 $277.71 $1.50 -2.05% 3,363.00 -3.92%
32. 31 oct. 2020 $266.71 -3.96% 3,269.96 -2.77%
33. 30 nov. 2020 $277.41 4.01% 3,621.63 10.75%
34. 31 dic. 2020 $265.62 $1.50 -3.71% 3,756.07 3.71%
35. 31 ene. 2021 $270.82 1.96% 3,714.24 -1.11%
36. 28 feb. 2021 $258.34 -4.61% 3,811.15 2.61%
37. 31 mar. 2021 $305.25 $1.65 18.80% 3,972.89 4.24%
38. 30 abr. 2021 $323.67 6.03% 4,181.17 5.24%
39. 31 may. 2021 $318.91 -1.47% 4,204.11 0.55%
40. 30 jun. 2021 $318.89 $1.65 0.51% 4,297.50 2.22%
41. 31 jul. 2021 $328.19 2.92% 4,395.26 2.27%
42. 31 ago. 2021 $326.18 -0.61% 4,522.68 2.90%
43. 30 sept. 2021 $328.26 $1.65 1.14% 4,307.54 -4.76%
44. 31 oct. 2021 $371.74 13.25% 4,605.38 6.91%
45. 30 nov. 2021 $400.61 7.77% 4,567.00 -0.83%
46. 31 dic. 2021 $415.01 $1.65 4.01% 4,766.18 4.36%
47. 31 ene. 2022 $366.98 -11.57% 4,515.55 -5.26%
48. 28 feb. 2022 $315.83 -13.94% 4,373.94 -3.14%
49. 31 mar. 2022 $299.33 $1.90 -4.62% 4,530.41 3.58%
50. 30 abr. 2022 $300.40 0.36% 4,131.93 -8.80%
51. 31 may. 2022 $302.75 0.78% 4,132.15 0.01%
52. 30 jun. 2022 $274.27 $1.90 -8.78% 3,785.38 -8.39%
53. 31 jul. 2022 $300.94 9.72% 4,130.29 9.11%
54. 31 ago. 2022 $288.42 $1.90 -3.53% 3,955.00 -4.24%
55. 30 sept. 2022 $275.94 -4.33% 3,585.62 -9.34%
56. 31 oct. 2022 $296.13 7.32% 3,871.98 7.99%
57. 30 nov. 2022 $323.99 $1.90 10.05% 4,080.11 5.38%
58. 31 dic. 2022 $315.86 -2.51% 3,839.50 -5.90%
59. 31 ene. 2023 $324.17 2.63% 4,076.60 6.18%
60. 28 feb. 2023 $296.54 -8.52% 3,970.15 -2.61%
61. 31 mar. 2023 $295.12 $2.09 0.23% 4,109.31 3.51%
62. 30 abr. 2023 $300.54 1.84% 4,169.48 1.46%
63. 31 may. 2023 $283.45 $2.09 -4.99% 4,179.83 0.25%
64. 30 jun. 2023 $310.64 9.59% 4,376.86 4.71%
65. 31 jul. 2023 $333.84 7.47% 4,588.96 4.85%
66. 31 ago. 2023 $330.30 $2.09 -0.43% 4,507.66 -1.77%
67. 30 sept. 2023 $302.16 -8.52% 4,288.05 -4.87%
68. 31 oct. 2023 $284.69 -5.78% 4,193.80 -2.20%
69. 30 nov. 2023 $313.49 $2.09 10.85% 4,567.80 8.92%
70. 31 dic. 2023 $346.55 10.55% 4,769.83 4.42%
71. 31 ene. 2024 $352.96 1.85% 4,845.65 1.59%
Promedio (R): 1.38% 0.95%
Desviación estándar: 6.94% 5.18%

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 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 la varianza y covarianza de los rendimientos

Microsoft Excel
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. 2018 -1.65% -2.69% 9.14 13.26 11.01
2. 30 abr. 2018 3.68% 0.27% 5.30 0.46 -1.57
3. 31 may. 2018 1.50% 2.16% 0.02 1.46 0.15
. . . . . . .
. . . . . . .
. . . . . . .
70. 31 dic. 2023 10.55% 4.42% 84.05 12.04 31.81
71. 31 ene. 2024 1.85% 1.59% 0.22 0.41 0.30
Total (Σ): 3,370.28 1,876.53 1,843.57
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. 2018 -1.65% -2.69% 9.14 13.26 11.01
2. 30 abr. 2018 3.68% 0.27% 5.30 0.46 -1.57
3. 31 may. 2018 1.50% 2.16% 0.02 1.46 0.15
4. 30 jun. 2018 4.58% 0.48% 10.27 0.22 -1.50
5. 31 jul. 2018 1.24% 3.60% 0.02 7.02 -0.36
6. 31 ago. 2018 2.17% 3.03% 0.62 4.30 1.64
7. 30 sept. 2018 3.18% 0.43% 3.24 0.27 -0.94
8. 31 oct. 2018 -15.10% -6.94% 271.37 62.30 130.03
9. 30 nov. 2018 3.11% 1.79% 3.00 0.69 1.44
10. 31 dic. 2018 -4.71% -9.18% 37.11 102.63 61.71
11. 31 ene. 2019 6.82% 7.87% 29.57 47.82 37.60
12. 28 feb. 2019 0.88% 2.97% 0.25 4.08 -1.01
13. 31 mar. 2019 4.38% 1.79% 9.02 0.70 2.52
14. 30 abr. 2019 6.15% 3.93% 22.82 8.87 14.23
15. 31 may. 2019 -6.80% -6.58% 66.86 56.71 61.58
16. 30 jun. 2019 10.26% 6.89% 78.90 35.28 52.76
17. 31 jul. 2019 2.75% 1.31% 1.88 0.13 0.49
18. 31 ago. 2019 6.65% -1.81% 27.84 7.63 -14.57
19. 30 sept. 2019 2.40% 1.72% 1.04 0.59 0.78
20. 31 oct. 2019 1.10% 2.04% 0.08 1.19 -0.30
21. 30 nov. 2019 -6.00% 3.40% 54.40 6.01 -18.08
22. 31 dic. 2019 -0.35% 2.86% 2.98 3.63 -3.29
23. 31 ene. 2020 4.45% -0.16% 9.44 1.24 -3.43
24. 29 feb. 2020 -4.50% -8.41% 34.53 87.68 55.02
25. 31 mar. 2020 -13.60% -12.51% 224.39 181.30 201.70
26. 30 abr. 2020 17.74% 12.68% 267.68 137.63 191.94
27. 31 may. 2020 13.03% 4.53% 135.84 12.78 41.67
28. 30 jun. 2020 1.42% 1.84% 0.00 0.78 0.04
29. 31 jul. 2020 5.98% 5.51% 21.18 20.77 20.97
30. 31 ago. 2020 7.36% 7.01% 35.83 36.65 36.24
31. 30 sept. 2020 -2.05% -3.92% 11.72 23.77 16.69
32. 31 oct. 2020 -3.96% -2.77% 28.50 13.83 19.86
33. 30 nov. 2020 4.01% 10.75% 6.94 96.07 25.82
34. 31 dic. 2020 -3.71% 3.71% 25.88 7.61 -14.04
35. 31 ene. 2021 1.96% -1.11% 0.34 4.27 -1.20
36. 28 feb. 2021 -4.61% 2.61% 35.83 2.74 -9.91
37. 31 mar. 2021 18.80% 4.24% 303.42 10.83 57.33
38. 30 abr. 2021 6.03% 5.24% 21.68 18.40 19.97
39. 31 may. 2021 -1.47% 0.55% 8.11 0.16 1.15
40. 30 jun. 2021 0.51% 2.22% 0.75 1.61 -1.10
41. 31 jul. 2021 2.92% 2.27% 2.37 1.75 2.03
42. 31 ago. 2021 -0.61% 2.90% 3.96 3.79 -3.87
43. 30 sept. 2021 1.14% -4.76% 0.05 32.60 1.34
44. 31 oct. 2021 13.25% 6.91% 140.84 35.54 70.75
45. 30 nov. 2021 7.77% -0.83% 40.81 3.19 -11.41
46. 31 dic. 2021 4.01% 4.36% 6.91 11.62 8.96
47. 31 ene. 2022 -11.57% -5.26% 167.73 38.58 80.44
48. 28 feb. 2022 -13.94% -3.14% 234.58 16.72 62.63
49. 31 mar. 2022 -4.62% 3.58% 36.01 6.89 -15.75
50. 30 abr. 2022 0.36% -8.80% 1.04 95.04 9.95
51. 31 may. 2022 0.78% 0.01% 0.35 0.90 0.56
52. 30 jun. 2022 -8.78% -8.39% 103.17 87.33 94.92
53. 31 jul. 2022 9.72% 9.11% 69.66 66.56 68.09
54. 31 ago. 2022 -3.53% -4.24% 24.08 27.01 25.50
55. 30 sept. 2022 -4.33% -9.34% 32.55 105.94 58.72
56. 31 oct. 2022 7.32% 7.99% 35.27 49.47 41.77
57. 30 nov. 2022 10.05% 5.38% 75.20 19.56 38.35
58. 31 dic. 2022 -2.51% -5.90% 15.11 46.92 26.63
59. 31 ene. 2023 2.63% 6.18% 1.57 27.27 6.54
60. 28 feb. 2023 -8.52% -2.61% 98.03 12.70 35.29
61. 31 mar. 2023 0.23% 3.51% 1.33 6.51 -2.94
62. 30 abr. 2023 1.84% 1.46% 0.21 0.26 0.23
63. 31 may. 2023 -4.99% 0.25% 40.56 0.50 4.49
64. 30 jun. 2023 9.59% 4.71% 67.48 14.14 30.89
65. 31 jul. 2023 7.47% 4.85% 37.09 15.16 23.71
66. 31 ago. 2023 -0.43% -1.77% 3.28 7.42 4.94
67. 30 sept. 2023 -8.52% -4.87% 97.96 33.93 57.65
68. 31 oct. 2023 -5.78% -2.20% 51.26 9.93 22.56
69. 30 nov. 2023 10.85% 8.92% 89.73 63.44 75.45
70. 31 dic. 2023 10.55% 4.42% 84.05 12.04 31.81
71. 31 ene. 2024 1.85% 1.59% 0.22 0.41 0.30
Total (Σ): 3,370.28 1,876.53 1,843.57

Mostrar todo

VarianzaHD = Σ(RHD,tRHD)2 ÷ (71 – 1)
= 3,370.28 ÷ (71 – 1)
= 48.15

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,876.53 ÷ (71 – 1)
= 26.81

CovarianzaHD, S&P 500 = Σ(RHD,tRHD)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 1,843.57 ÷ (71 – 1)
= 26.34


Estimación sistemática del riesgo (β)

Microsoft Excel
VarianzaHD 48.15
VarianzaS&P 500 26.81
CovarianzaHD, S&P 500 26.34
Coeficiente de correlaciónHD, S&P 5001 0.73
βHD2 0.98
αHD3 0.44%

Cálculos

1 Coeficiente de correlaciónHD, S&P 500
= CovarianzaHD, S&P 500 ÷ (Desviación estándarHD × Desviación estándarS&P 500)
= 26.34 ÷ (6.94% × 5.18%)
= 0.73

2 βHD
= CovarianzaHD, S&P 500 ÷ VarianzaS&P 500
= 26.34 ÷ 26.81
= 0.98

3 αHD
= PromedioHD – βHD × PromedioS&P 500
= 1.38%0.98 × 0.95%
= 0.44%


Tasa de rendimiento esperada

Microsoft Excel
Suposiciones
Tasa de rendimiento del LT Treasury Composite1 RF 4.64%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 13.68%
Riesgo sistemático de Home Depot acciones ordinarias βHD 0.98
 
Tasa de rendimiento esperada de las acciones ordinarias de Home Depot3 E(RHD) 13.52%

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(RHD) = RF + βHD [E(RM) – RF]
= 4.64% + 0.98 [13.68%4.64%]
= 13.52%