Stock Analysis on Net

McDonald’s Corp. (NYSE:MCD)

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 McDonald’s.


Tasas de retorno

McDonald’s Corp., tasas mensuales de retorno

Microsoft Excel
McDonald’s Corp. (MCD) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioMCD,t1 DividendoMCD,t1 RMCD,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2019 $178.78 2,704.10
1. 28 feb. 2019 $183.84 $1.16 3.48% 2,784.49 2.97%
2. 31 mar. 2019 $189.90 3.30% 2,834.40 1.79%
3. 30 abr. 2019 $197.57 4.04% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2023 $281.84 $1.67 8.14% 4,567.80 8.92%
59. 31 dic. 2023 $296.51 5.21% 4,769.83 4.42%
Promedio (R): 1.21% 1.11%
Desviación estándar: 5.57% 5.31%
McDonald’s Corp. (MCD) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioMCD,t1 DividendoMCD,t1 RMCD,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2019 $178.78 2,704.10
1. 28 feb. 2019 $183.84 $1.16 3.48% 2,784.49 2.97%
2. 31 mar. 2019 $189.90 3.30% 2,834.40 1.79%
3. 30 abr. 2019 $197.57 4.04% 2,945.83 3.93%
4. 31 may. 2019 $198.27 $1.16 0.94% 2,752.06 -6.58%
5. 30 jun. 2019 $207.66 4.74% 2,941.76 6.89%
6. 31 jul. 2019 $210.72 1.47% 2,980.38 1.31%
7. 31 ago. 2019 $217.97 $1.16 3.99% 2,926.46 -1.81%
8. 30 sept. 2019 $214.71 -1.50% 2,976.74 1.72%
9. 31 oct. 2019 $196.70 -8.39% 3,037.56 2.04%
10. 30 nov. 2019 $194.48 $1.25 -0.49% 3,140.98 3.40%
11. 31 dic. 2019 $197.61 1.61% 3,230.78 2.86%
12. 31 ene. 2020 $213.97 8.28% 3,225.52 -0.16%
13. 29 feb. 2020 $194.17 $1.25 -8.67% 2,954.22 -8.41%
14. 31 mar. 2020 $165.35 -14.84% 2,584.59 -12.51%
15. 30 abr. 2020 $187.56 13.43% 2,912.43 12.68%
16. 31 may. 2020 $186.32 $1.25 0.01% 3,044.31 4.53%
17. 30 jun. 2020 $184.47 -0.99% 3,100.29 1.84%
18. 31 jul. 2020 $194.28 5.32% 3,271.12 5.51%
19. 31 ago. 2020 $213.52 $1.25 10.55% 3,500.31 7.01%
20. 30 sept. 2020 $219.49 2.80% 3,363.00 -3.92%
21. 31 oct. 2020 $213.00 -2.96% 3,269.96 -2.77%
22. 30 nov. 2020 $217.44 $1.29 2.69% 3,621.63 10.75%
23. 31 dic. 2020 $214.58 -1.32% 3,756.07 3.71%
24. 31 ene. 2021 $207.84 -3.14% 3,714.24 -1.11%
25. 28 feb. 2021 $206.14 $1.29 -0.20% 3,811.15 2.61%
26. 31 mar. 2021 $224.14 8.73% 3,972.89 4.24%
27. 30 abr. 2021 $236.08 5.33% 4,181.17 5.24%
28. 31 may. 2021 $233.89 $1.29 -0.38% 4,204.11 0.55%
29. 30 jun. 2021 $230.99 -1.24% 4,297.50 2.22%
30. 31 jul. 2021 $242.71 5.07% 4,395.26 2.27%
31. 31 ago. 2021 $237.46 $1.29 -1.63% 4,522.68 2.90%
32. 30 sept. 2021 $241.11 1.54% 4,307.54 -4.76%
33. 31 oct. 2021 $245.55 1.84% 4,605.38 6.91%
34. 30 nov. 2021 $244.60 $1.38 0.18% 4,567.00 -0.83%
35. 31 dic. 2021 $268.07 9.60% 4,766.18 4.36%
36. 31 ene. 2022 $259.45 -3.22% 4,515.55 -5.26%
37. 28 feb. 2022 $244.77 $1.38 -5.13% 4,373.94 -3.14%
38. 31 mar. 2022 $247.28 1.03% 4,530.41 3.58%
39. 30 abr. 2022 $249.16 0.76% 4,131.93 -8.80%
40. 31 may. 2022 $252.21 1.22% 4,132.15 0.01%
41. 30 jun. 2022 $246.88 $1.38 -1.57% 3,785.38 -8.39%
42. 31 jul. 2022 $263.37 6.68% 4,130.29 9.11%
43. 31 ago. 2022 $252.28 $1.38 -3.69% 3,955.00 -4.24%
44. 30 sept. 2022 $230.74 -8.54% 3,585.62 -9.34%
45. 31 oct. 2022 $272.66 18.17% 3,871.98 7.99%
46. 30 nov. 2022 $272.79 $1.52 0.61% 4,080.11 5.38%
47. 31 dic. 2022 $263.53 -3.39% 3,839.50 -5.90%
48. 31 ene. 2023 $267.40 1.47% 4,076.60 6.18%
49. 28 feb. 2023 $263.91 $1.52 -0.74% 3,970.15 -2.61%
50. 31 mar. 2023 $279.61 5.95% 4,109.31 3.51%
51. 30 abr. 2023 $295.75 5.77% 4,169.48 1.46%
52. 31 may. 2023 $285.11 -3.60% 4,179.83 0.25%
53. 30 jun. 2023 $298.41 $1.52 5.20% 4,376.86 4.71%
54. 31 jul. 2023 $293.20 -1.75% 4,588.96 4.85%
55. 31 ago. 2023 $281.15 $1.52 -3.59% 4,507.66 -1.77%
56. 30 sept. 2023 $263.44 -6.30% 4,288.05 -4.87%
57. 31 oct. 2023 $262.17 -0.48% 4,193.80 -2.20%
58. 30 nov. 2023 $281.84 $1.67 8.14% 4,567.80 8.92%
59. 31 dic. 2023 $296.51 5.21% 4,769.83 4.42%
Promedio (R): 1.21% 1.11%
Desviación estándar: 5.57% 5.31%

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 MCD 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

McDonald’s Corp., cálculo de la varianza y covarianza de los rendimientos

Microsoft Excel
t Fecha RMCD,t RS&P 500,t (RMCD,tRMCD)2 (RS&P 500,tRS&P 500)2 (RMCD,tRMCD)×(RS&P 500,tRS&P 500)
1. 28 feb. 2019 3.48% 2.97% 5.15 3.49 4.24
2. 31 mar. 2019 3.30% 1.79% 4.35 0.47 1.43
3. 30 abr. 2019 4.04% 3.93% 8.00 7.98 7.99
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2023 8.14% 8.92% 48.02 61.03 54.14
59. 31 dic. 2023 5.21% 4.42% 15.96 11.00 13.25
Total (Σ): 1,798.52 1,634.30 1,183.72
t Fecha RMCD,t RS&P 500,t (RMCD,tRMCD)2 (RS&P 500,tRS&P 500)2 (RMCD,tRMCD)×(RS&P 500,tRS&P 500)
1. 28 feb. 2019 3.48% 2.97% 5.15 3.49 4.24
2. 31 mar. 2019 3.30% 1.79% 4.35 0.47 1.43
3. 30 abr. 2019 4.04% 3.93% 8.00 7.98 7.99
4. 31 may. 2019 0.94% -6.58% 0.07 59.04 2.06
5. 30 jun. 2019 4.74% 6.89% 12.43 33.49 20.41
6. 31 jul. 2019 1.47% 1.31% 0.07 0.04 0.05
7. 31 ago. 2019 3.99% -1.81% 7.73 8.50 -8.11
8. 30 sept. 2019 -1.50% 1.72% 7.32 0.37 -1.66
9. 31 oct. 2019 -8.39% 2.04% 92.12 0.88 -9.00
10. 30 nov. 2019 -0.49% 3.40% 2.90 5.28 -3.92
11. 31 dic. 2019 1.61% 2.86% 0.16 3.07 0.70
12. 31 ene. 2020 8.28% -0.16% 49.97 1.61 -8.97
13. 29 feb. 2020 -8.67% -8.41% 97.60 90.57 94.02
14. 31 mar. 2020 -14.84% -12.51% 257.68 185.44 218.60
15. 30 abr. 2020 13.43% 12.68% 149.38 134.06 141.52
16. 31 may. 2020 0.01% 4.53% 1.45 11.71 -4.12
17. 30 jun. 2020 -0.99% 1.84% 4.85 0.54 -1.61
18. 31 jul. 2020 5.32% 5.51% 16.88 19.40 18.09
19. 31 ago. 2020 10.55% 7.01% 87.17 34.82 55.09
20. 30 sept. 2020 2.80% -3.92% 2.52 25.29 -7.98
21. 31 oct. 2020 -2.96% -2.77% 17.36 15.00 16.14
22. 30 nov. 2020 2.69% 10.75% 2.19 93.10 14.28
23. 31 dic. 2020 -1.32% 3.71% 6.38 6.79 -6.58
24. 31 ene. 2021 -3.14% -1.11% 18.93 4.93 9.66
25. 28 feb. 2021 -0.20% 2.61% 1.98 2.26 -2.12
26. 31 mar. 2021 8.73% 4.24% 56.58 9.85 23.60
27. 30 abr. 2021 5.33% 5.24% 16.95 17.11 17.03
28. 31 may. 2021 -0.38% 0.55% 2.53 0.31 0.89
29. 30 jun. 2021 -1.24% 2.22% 6.00 1.24 -2.73
30. 31 jul. 2021 5.07% 2.27% 14.93 1.37 4.52
31. 31 ago. 2021 -1.63% 2.90% 8.07 3.22 -5.10
32. 30 sept. 2021 1.54% -4.76% 0.11 34.37 -1.92
33. 31 oct. 2021 1.84% 6.91% 0.40 33.74 3.67
34. 30 nov. 2021 0.18% -0.83% 1.07 3.76 2.01
35. 31 dic. 2021 9.60% 4.36% 70.31 10.60 27.30
36. 31 ene. 2022 -3.22% -5.26% 19.58 40.51 28.17
37. 28 feb. 2022 -5.13% -3.14% 40.15 17.99 26.88
38. 31 mar. 2022 1.03% 3.58% 0.03 6.11 -0.46
39. 30 abr. 2022 0.76% -8.80% 0.20 98.04 4.45
40. 31 may. 2022 1.22% 0.01% 0.00 1.21 -0.02
41. 30 jun. 2022 -1.57% -8.39% 7.71 90.21 26.37
42. 31 jul. 2022 6.68% 9.11% 29.91 64.09 43.79
43. 31 ago. 2022 -3.69% -4.24% 23.98 28.62 26.20
44. 30 sept. 2022 -8.54% -9.34% 95.02 109.11 101.82
45. 31 oct. 2022 18.17% 7.99% 287.56 47.34 116.68
46. 30 nov. 2022 0.61% 5.38% 0.37 18.23 -2.58
47. 31 dic. 2022 -3.39% -5.90% 21.20 49.04 32.24
48. 31 ene. 2023 1.47% 6.18% 0.07 25.70 1.31
49. 28 feb. 2023 -0.74% -2.61% 3.79 13.82 7.24
50. 31 mar. 2023 5.95% 3.51% 22.46 5.76 11.37
51. 30 abr. 2023 5.77% 1.46% 20.82 0.13 1.64
52. 31 may. 2023 -3.60% 0.25% 23.11 0.74 4.12
53. 30 jun. 2023 5.20% 4.71% 15.90 13.02 14.39
54. 31 jul. 2023 -1.75% 4.85% 8.74 13.99 -11.06
55. 31 ago. 2023 -3.59% -1.77% 23.05 8.28 13.82
56. 30 sept. 2023 -6.30% -4.87% 56.39 35.73 44.89
57. 31 oct. 2023 -0.48% -2.20% 2.86 10.92 5.59
58. 30 nov. 2023 8.14% 8.92% 48.02 61.03 54.14
59. 31 dic. 2023 5.21% 4.42% 15.96 11.00 13.25
Total (Σ): 1,798.52 1,634.30 1,183.72

Mostrar todo

VarianzaMCD = Σ(RMCD,tRMCD)2 ÷ (59 – 1)
= 1,798.52 ÷ (59 – 1)
= 31.01

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18

CovarianzaMCD, S&P 500 = Σ(RMCD,tRMCD)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,183.72 ÷ (59 – 1)
= 20.41


Estimación sistemática del riesgo (β)

Microsoft Excel
VarianzaMCD 31.01
VarianzaS&P 500 28.18
CovarianzaMCD, S&P 500 20.41
Coeficiente de correlaciónMCD, S&P 5001 0.69
βMCD2 0.72
αMCD3 0.41%

Cálculos

1 Coeficiente de correlaciónMCD, S&P 500
= CovarianzaMCD, S&P 500 ÷ (Desviación estándarMCD × Desviación estándarS&P 500)
= 20.41 ÷ (5.57% × 5.31%)
= 0.69

2 βMCD
= CovarianzaMCD, S&P 500 ÷ VarianzaS&P 500
= 20.41 ÷ 28.18
= 0.72

3 αMCD
= PromedioMCD – βMCD × PromedioS&P 500
= 1.21%0.72 × 1.11%
= 0.41%


Tasa de rendimiento esperada

Microsoft Excel
Suposiciones
Tasa de rendimiento del LT Treasury Composite1 RF 4.43%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 13.60%
Riesgo sistemático de McDonald’s acciones ordinarias βMCD 0.72
 
Tasa de rendimiento esperada de las acciones ordinarias de McDonald’s3 E(RMCD) 11.07%

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(RMCD) = RF + βMCD [E(RM) – RF]
= 4.43% + 0.72 [13.60%4.43%]
= 11.07%