Modelo de fijación de precios de activos de capital (CAPM)
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
| 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
| t | Fecha | RHD,t | RS&P 500,t | (RHD,t–RHD)2 | (RS&P 500,t–RS&P 500)2 | (RHD,t–RHD)×(RS&P 500,t–RS&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,t–RHD)2 | (RS&P 500,t–RS&P 500)2 | (RHD,t–RHD)×(RS&P 500,t–RS&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,t–RHD)2 ÷ (71 – 1)
= 3,370.28 ÷ (71 – 1)
= 48.15
VarianzaS&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,876.53 ÷ (71 – 1)
= 26.81
CovarianzaHD, S&P 500 = Σ(RHD,t–RHD)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,843.57 ÷ (71 – 1)
= 26.34
Estimación sistemática del riesgo (β)
| 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
| Suposiciones | ||
| Tasa de rendimiento del LT Treasury Composite1 | RF | 4.65% |
| Tasa de rendimiento esperada de la cartera de mercado2 | E(RM) | 13.79% |
| Riesgo sistemático de Home Depot acciones ordinarias | βHD | 0.98 |
| Tasa de rendimiento esperada de las acciones ordinarias de Home Depot3 | E(RHD) | 13.63% |
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).
3 E(RHD) = RF + βHD [E(RM) – RF]
= 4.65% + 0.98 [13.79% – 4.65%]
= 13.63%