Stock Analysis on Net

Humana Inc. (NYSE:HUM)

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

Microsoft Excel

Tasas de retorno

Humana Inc., tasas mensuales de retorno

Microsoft Excel
Humana Inc. (HUM) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioHUM,t1 DividendoHUM,t1 RHUM,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2017 $198.50 2,278.87
1. 28 feb. 2017 $211.25 6.42% 2,363.64 3.72%
2. 31 mar. 2017 $206.14 $0.40 -2.23% 2,362.72 -0.04%
3. 30 abr. 2017 $221.98 7.68% 2,384.20 0.91%
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2021 $419.71 -9.38% 4,567.00 -0.83%
59. 31 dic. 2021 $463.86 $0.70 10.69% 4,766.18 4.36%
Promedio (R): 1.78% 1.36%
Desviación estándar: 7.57% 4.48%
Humana Inc. (HUM) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioHUM,t1 DividendoHUM,t1 RHUM,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2017 $198.50 2,278.87
1. 28 feb. 2017 $211.25 6.42% 2,363.64 3.72%
2. 31 mar. 2017 $206.14 $0.40 -2.23% 2,362.72 -0.04%
3. 30 abr. 2017 $221.98 7.68% 2,384.20 0.91%
4. 31 may. 2017 $232.26 4.63% 2,411.80 1.16%
5. 30 jun. 2017 $240.62 $0.40 3.77% 2,423.41 0.48%
6. 31 jul. 2017 $231.20 -3.91% 2,470.30 1.93%
7. 31 ago. 2017 $257.62 11.43% 2,471.65 0.05%
8. 30 sept. 2017 $243.63 $0.40 -5.28% 2,519.36 1.93%
9. 31 oct. 2017 $255.35 4.81% 2,575.26 2.22%
10. 30 nov. 2017 $260.86 2.16% 2,647.58 2.81%
11. 31 dic. 2017 $248.07 $0.40 -4.75% 2,673.61 0.98%
12. 31 ene. 2018 $281.83 13.61% 2,823.81 5.62%
13. 28 feb. 2018 $271.82 -3.55% 2,713.83 -3.89%
14. 31 mar. 2018 $268.83 $0.50 -0.92% 2,640.87 -2.69%
15. 30 abr. 2018 $294.18 9.43% 2,648.05 0.27%
16. 31 may. 2018 $290.98 -1.09% 2,705.27 2.16%
17. 30 jun. 2018 $297.63 $0.50 2.46% 2,718.37 0.48%
18. 31 jul. 2018 $314.18 5.56% 2,816.29 3.60%
19. 31 ago. 2018 $333.26 6.07% 2,901.52 3.03%
20. 30 sept. 2018 $338.52 $0.50 1.73% 2,913.98 0.43%
21. 31 oct. 2018 $320.41 -5.35% 2,711.74 -6.94%
22. 30 nov. 2018 $329.47 2.83% 2,760.17 1.79%
23. 31 dic. 2018 $286.48 $0.50 -12.90% 2,506.85 -9.18%
24. 31 ene. 2019 $308.99 7.86% 2,704.10 7.87%
25. 28 feb. 2019 $285.04 -7.75% 2,784.49 2.97%
26. 31 mar. 2019 $266.00 $0.55 -6.49% 2,834.40 1.79%
27. 30 abr. 2019 $255.41 -3.98% 2,945.83 3.93%
28. 31 may. 2019 $244.86 -4.13% 2,752.06 -6.58%
29. 30 jun. 2019 $265.30 $0.55 8.57% 2,941.76 6.89%
30. 31 jul. 2019 $296.75 11.85% 2,980.38 1.31%
31. 31 ago. 2019 $283.21 -4.56% 2,926.46 -1.81%
32. 30 sept. 2019 $255.67 $0.55 -9.53% 2,976.74 1.72%
33. 31 oct. 2019 $294.20 15.07% 3,037.56 2.04%
34. 30 nov. 2019 $341.23 15.99% 3,140.98 3.40%
35. 31 dic. 2019 $366.52 $0.55 7.57% 3,230.78 2.86%
36. 31 ene. 2020 $336.24 -8.26% 3,225.52 -0.16%
37. 29 feb. 2020 $319.68 -4.93% 2,954.22 -8.41%
38. 31 mar. 2020 $314.02 $0.625 -1.58% 2,584.59 -12.51%
39. 30 abr. 2020 $381.82 21.59% 2,912.43 12.68%
40. 31 may. 2020 $410.65 7.55% 3,044.31 4.53%
41. 30 jun. 2020 $387.75 $0.625 -5.42% 3,100.29 1.84%
42. 31 jul. 2020 $392.45 1.21% 3,271.12 5.51%
43. 31 ago. 2020 $415.17 5.79% 3,500.31 7.01%
44. 30 sept. 2020 $413.89 $0.625 -0.16% 3,363.00 -3.92%
45. 31 oct. 2020 $399.28 -3.53% 3,269.96 -2.77%
46. 30 nov. 2020 $400.52 0.31% 3,621.63 10.75%
47. 31 dic. 2020 $410.27 $0.625 2.59% 3,756.07 3.71%
48. 31 ene. 2021 $383.11 -6.62% 3,714.24 -1.11%
49. 28 feb. 2021 $379.65 -0.90% 3,811.15 2.61%
50. 31 mar. 2021 $419.25 $0.70 10.62% 3,972.89 4.24%
51. 30 abr. 2021 $445.24 6.20% 4,181.17 5.24%
52. 31 may. 2021 $437.70 -1.69% 4,204.11 0.55%
53. 30 jun. 2021 $442.72 $0.70 1.31% 4,297.50 2.22%
54. 31 jul. 2021 $425.86 -3.81% 4,395.26 2.27%
55. 31 ago. 2021 $405.42 -4.80% 4,522.68 2.90%
56. 30 sept. 2021 $389.15 $0.70 -3.84% 4,307.54 -4.76%
57. 31 oct. 2021 $463.16 19.02% 4,605.38 6.91%
58. 30 nov. 2021 $419.71 -9.38% 4,567.00 -0.83%
59. 31 dic. 2021 $463.86 $0.70 10.69% 4,766.18 4.36%
Promedio (R): 1.78% 1.36%
Desviación estándar: 7.57% 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 HUM 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

Humana Inc., cálculo de la varianza y covarianza de los rendimientos

Microsoft Excel
t Fecha RHUM,t RS&P 500,t (RHUM,tRHUM)2 (RS&P 500,tRS&P 500)2 (RHUM,tRHUM)×(RS&P 500,tRS&P 500)
1. 28 feb. 2017 6.42% 3.72% 21.56 5.58 10.97
2. 31 mar. 2017 -2.23% -0.04% 16.08 1.95 5.60
3. 30 abr. 2017 7.68% 0.91% 34.85 0.20 -2.65
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2021 -9.38% -0.83% 124.58 4.80 24.46
59. 31 dic. 2021 10.69% 4.36% 79.31 9.02 26.75
Total (Σ): 3,327.40 1,164.17 1,093.65
t Fecha RHUM,t RS&P 500,t (RHUM,tRHUM)2 (RS&P 500,tRS&P 500)2 (RHUM,tRHUM)×(RS&P 500,tRS&P 500)
1. 28 feb. 2017 6.42% 3.72% 21.56 5.58 10.97
2. 31 mar. 2017 -2.23% -0.04% 16.08 1.95 5.60
3. 30 abr. 2017 7.68% 0.91% 34.85 0.20 -2.65
4. 31 may. 2017 4.63% 1.16% 8.13 0.04 -0.57
5. 30 jun. 2017 3.77% 0.48% 3.97 0.77 -1.75
6. 31 jul. 2017 -3.91% 1.93% 32.44 0.33 -3.29
7. 31 ago. 2017 11.43% 0.05% 93.06 1.70 -12.57
8. 30 sept. 2017 -5.28% 1.93% 49.78 0.33 -4.04
9. 31 oct. 2017 4.81% 2.22% 9.18 0.74 2.61
10. 30 nov. 2017 2.16% 2.81% 0.14 2.10 0.55
11. 31 dic. 2017 -4.75% 0.98% 42.64 0.14 2.45
12. 31 ene. 2018 13.61% 5.62% 139.92 18.15 50.39
13. 28 feb. 2018 -3.55% -3.89% 28.43 27.59 28.01
14. 31 mar. 2018 -0.92% -2.69% 7.27 16.37 10.91
15. 30 abr. 2018 9.43% 0.27% 58.51 1.18 -8.31
16. 31 may. 2018 -1.09% 2.16% 8.23 0.64 -2.30
17. 30 jun. 2018 2.46% 0.48% 0.46 0.76 -0.59
18. 31 jul. 2018 5.56% 3.60% 14.29 5.04 8.48
19. 31 ago. 2018 6.07% 3.03% 18.43 2.78 7.16
20. 30 sept. 2018 1.73% 0.43% 0.00 0.86 0.05
21. 31 oct. 2018 -5.35% -6.94% 50.84 68.86 59.17
22. 30 nov. 2018 2.83% 1.79% 1.10 0.18 0.45
23. 31 dic. 2018 -12.90% -9.18% 215.41 111.00 154.63
24. 31 ene. 2019 7.86% 7.87% 36.93 42.39 39.57
25. 28 feb. 2019 -7.75% 2.97% 90.85 2.61 -15.39
26. 31 mar. 2019 -6.49% 1.79% 68.35 0.19 -3.59
27. 30 abr. 2019 -3.98% 3.93% 33.20 6.62 -14.83
28. 31 may. 2019 -4.13% -6.58% 34.94 62.97 46.91
29. 30 jun. 2019 8.57% 6.89% 46.13 30.64 37.59
30. 31 jul. 2019 11.85% 1.31% 101.49 0.00 -0.45
31. 31 ago. 2019 -4.56% -1.81% 40.23 10.03 20.09
32. 30 sept. 2019 -9.53% 1.72% 127.92 0.13 -4.07
33. 31 oct. 2019 15.07% 2.04% 176.62 0.47 9.11
34. 30 nov. 2019 15.99% 3.40% 201.79 4.19 29.08
35. 31 dic. 2019 7.57% 2.86% 33.55 2.25 8.69
36. 31 ene. 2020 -8.26% -0.16% 100.84 2.31 15.27
37. 29 feb. 2020 -4.93% -8.41% 44.96 95.43 65.50
38. 31 mar. 2020 -1.58% -12.51% 11.26 192.37 46.54
39. 30 abr. 2020 21.59% 12.68% 392.46 128.29 224.39
40. 31 may. 2020 7.55% 4.53% 33.30 10.05 18.29
41. 30 jun. 2020 -5.42% 1.84% 51.91 0.23 -3.46
42. 31 jul. 2020 1.21% 5.51% 0.32 17.24 -2.36
43. 31 ago. 2020 5.79% 7.01% 16.07 31.91 22.64
44. 30 sept. 2020 -0.16% -3.92% 3.76 27.89 10.23
45. 31 oct. 2020 -3.53% -2.77% 28.20 17.01 21.90
46. 30 nov. 2020 0.31% 10.75% 2.16 88.30 -13.81
47. 31 dic. 2020 2.59% 3.71% 0.66 5.54 1.91
48. 31 ene. 2021 -6.62% -1.11% 70.57 6.11 20.76
49. 28 feb. 2021 -0.90% 2.61% 7.20 1.57 -3.36
50. 31 mar. 2021 10.62% 4.24% 78.05 8.33 25.50
51. 30 abr. 2021 6.20% 5.24% 19.53 15.09 17.17
52. 31 may. 2021 -1.69% 0.55% 12.07 0.65 2.81
53. 30 jun. 2021 1.31% 2.22% 0.22 0.75 -0.41
54. 31 jul. 2021 -3.81% 2.27% 31.23 0.84 -5.12
55. 31 ago. 2021 -4.80% 2.90% 43.30 2.38 -10.14
56. 30 sept. 2021 -3.84% -4.76% 31.59 37.39 34.37
57. 31 oct. 2021 19.02% 6.91% 297.15 30.87 95.78
58. 30 nov. 2021 -9.38% -0.83% 124.58 4.80 24.46
59. 31 dic. 2021 10.69% 4.36% 79.31 9.02 26.75
Total (Σ): 3,327.40 1,164.17 1,093.65

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VarianzaHUM = Σ(RHUM,tRHUM)2 ÷ (59 – 1)
= 3,327.40 ÷ (59 – 1)
= 57.37

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

CovarianzaHUM, S&P 500 = Σ(RHUM,tRHUM)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,093.65 ÷ (59 – 1)
= 18.86


Estimación sistemática del riesgo (β)

Microsoft Excel
VarianzaHUM 57.37
VarianzaS&P 500 20.07
CovarianzaHUM, S&P 500 18.86
Coeficiente de correlaciónHUM, S&P 5001 0.56
βHUM2 0.94
αHUM3 0.50%

Cálculos

1 Coeficiente de correlaciónHUM, S&P 500
= CovarianzaHUM, S&P 500 ÷ (Desviación estándarHUM × Desviación estándarS&P 500)
= 18.86 ÷ (7.57% × 4.48%)
= 0.56

2 βHUM
= CovarianzaHUM, S&P 500 ÷ VarianzaS&P 500
= 18.86 ÷ 20.07
= 0.94

3 αHUM
= PromedioHUM – βHUM × PromedioS&P 500
= 1.78%0.94 × 1.36%
= 0.50%


Tasa de rendimiento esperada

Microsoft Excel
Suposiciones
Tasa de rendimiento de LT Treasury Composite1 RF 3.72%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 12.54%
Riesgo sistemático de acciones ordinarias Humana βHUM 0.94
 
Tasa de rendimiento esperada de las acciones ordinarias de Humana3 E(RHUM) 12.01%

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(RHUM) = RF + βHUM [E(RM) – RF]
= 3.72% + 0.94 [12.54%3.72%]
= 12.01%