Stock Analysis on Net

Nike Inc. (NYSE:NKE)

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 Nike.


Tasas de retorno

Nike Inc., tasas mensuales de retorno

Microsoft Excel
Nike Inc. (NKE) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioNKE,t1 DividendoNKE,t1 RNKE,t2 PrecioS&P 500,t RS&P 500,t3
30 jun. 2017 $59.00 2,423.41
1. 31 jul. 2017 $59.05 0.08% 2,470.30 1.93%
2. 31 ago. 2017 $52.81 $0.18 -10.26% 2,471.65 0.05%
3. 30 sept. 2017 $51.85 -1.82% 2,519.36 1.93%
. . . . . . .
. . . . . . .
. . . . . . .
70. 30 abr. 2023 $126.72 3.33% 4,169.48 1.46%
71. 31 may. 2023 $105.26 -16.93% 4,179.83 0.25%
Promedio (R): 1.25% 0.90%
Desviación estándar: 8.33% 5.03%
Nike Inc. (NKE) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioNKE,t1 DividendoNKE,t1 RNKE,t2 PrecioS&P 500,t RS&P 500,t3
30 jun. 2017 $59.00 2,423.41
1. 31 jul. 2017 $59.05 0.08% 2,470.30 1.93%
2. 31 ago. 2017 $52.81 $0.18 -10.26% 2,471.65 0.05%
3. 30 sept. 2017 $51.85 -1.82% 2,519.36 1.93%
4. 31 oct. 2017 $54.99 6.06% 2,575.26 2.22%
5. 30 nov. 2017 $60.42 9.87% 2,647.58 2.81%
6. 31 dic. 2017 $62.55 $0.20 3.86% 2,673.61 0.98%
7. 31 ene. 2018 $68.22 9.06% 2,823.81 5.62%
8. 28 feb. 2018 $67.03 -1.74% 2,713.83 -3.89%
9. 31 mar. 2018 $66.44 $0.20 -0.58% 2,640.87 -2.69%
10. 30 abr. 2018 $68.39 2.93% 2,648.05 0.27%
11. 31 may. 2018 $71.80 4.99% 2,705.27 2.16%
12. 30 jun. 2018 $79.68 $0.20 11.25% 2,718.37 0.48%
13. 31 jul. 2018 $76.91 -3.48% 2,816.29 3.60%
14. 31 ago. 2018 $82.20 $0.20 7.14% 2,901.52 3.03%
15. 30 sept. 2018 $84.72 3.07% 2,913.98 0.43%
16. 31 oct. 2018 $75.04 -11.43% 2,711.74 -6.94%
17. 30 nov. 2018 $75.12 $0.22 0.40% 2,760.17 1.79%
18. 31 dic. 2018 $74.14 -1.30% 2,506.85 -9.18%
19. 31 ene. 2019 $81.88 10.44% 2,704.10 7.87%
20. 28 feb. 2019 $85.73 4.70% 2,784.49 2.97%
21. 31 mar. 2019 $84.21 $0.22 -1.52% 2,834.40 1.79%
22. 30 abr. 2019 $87.83 4.30% 2,945.83 3.93%
23. 31 may. 2019 $77.14 $0.22 -11.92% 2,752.06 -6.58%
24. 30 jun. 2019 $83.95 8.83% 2,941.76 6.89%
25. 31 jul. 2019 $86.03 2.48% 2,980.38 1.31%
26. 31 ago. 2019 $84.50 $0.22 -1.52% 2,926.46 -1.81%
27. 30 sept. 2019 $93.92 11.15% 2,976.74 1.72%
28. 31 oct. 2019 $89.55 -4.65% 3,037.56 2.04%
29. 30 nov. 2019 $93.49 $0.245 4.67% 3,140.98 3.40%
30. 31 dic. 2019 $101.31 8.36% 3,230.78 2.86%
31. 31 ene. 2020 $96.30 -4.95% 3,225.52 -0.16%
32. 29 feb. 2020 $89.38 $0.245 -6.93% 2,954.22 -8.41%
33. 31 mar. 2020 $82.74 -7.43% 2,584.59 -12.51%
34. 30 abr. 2020 $87.18 5.37% 2,912.43 12.68%
35. 31 may. 2020 $98.58 $0.245 13.36% 3,044.31 4.53%
36. 30 jun. 2020 $98.05 -0.54% 3,100.29 1.84%
37. 31 jul. 2020 $97.61 -0.45% 3,271.12 5.51%
38. 31 ago. 2020 $111.89 $0.245 14.88% 3,500.31 7.01%
39. 30 sept. 2020 $125.54 12.20% 3,363.00 -3.92%
40. 31 oct. 2020 $120.08 -4.35% 3,269.96 -2.77%
41. 30 nov. 2020 $134.70 12.18% 3,621.63 10.75%
42. 31 dic. 2020 $141.47 $0.275 5.23% 3,756.07 3.71%
43. 31 ene. 2021 $133.59 -5.57% 3,714.24 -1.11%
44. 28 feb. 2021 $134.78 $0.275 1.10% 3,811.15 2.61%
45. 31 mar. 2021 $132.89 -1.40% 3,972.89 4.24%
46. 30 abr. 2021 $132.62 -0.20% 4,181.17 5.24%
47. 31 may. 2021 $136.46 $0.275 3.10% 4,204.11 0.55%
48. 30 jun. 2021 $154.49 13.21% 4,297.50 2.22%
49. 31 jul. 2021 $167.51 8.43% 4,395.26 2.27%
50. 31 ago. 2021 $164.74 $0.275 -1.49% 4,522.68 2.90%
51. 30 sept. 2021 $145.23 -11.84% 4,307.54 -4.76%
52. 31 oct. 2021 $167.29 15.19% 4,605.38 6.91%
53. 30 nov. 2021 $169.24 1.17% 4,567.00 -0.83%
54. 31 dic. 2021 $166.67 $0.305 -1.34% 4,766.18 4.36%
55. 31 ene. 2022 $148.07 -11.16% 4,515.55 -5.26%
56. 28 feb. 2022 $136.55 -7.78% 4,373.94 -3.14%
57. 31 mar. 2022 $134.56 $0.305 -1.23% 4,530.41 3.58%
58. 30 abr. 2022 $124.70 -7.33% 4,131.93 -8.80%
59. 31 may. 2022 $118.85 -4.69% 4,132.15 0.01%
60. 30 jun. 2022 $102.20 $0.305 -13.75% 3,785.38 -8.39%
61. 31 jul. 2022 $114.92 12.45% 4,130.29 9.11%
62. 31 ago. 2022 $106.45 -7.37% 3,955.00 -4.24%
63. 30 sept. 2022 $83.12 $0.305 -21.63% 3,585.62 -9.34%
64. 31 oct. 2022 $92.68 11.50% 3,871.98 7.99%
65. 30 nov. 2022 $109.69 18.35% 4,080.11 5.38%
66. 31 dic. 2022 $117.01 $0.34 6.98% 3,839.50 -5.90%
67. 31 ene. 2023 $127.33 8.82% 4,076.60 6.18%
68. 28 feb. 2023 $118.79 -6.71% 3,970.15 -2.61%
69. 31 mar. 2023 $122.64 $0.34 3.53% 4,109.31 3.51%
70. 30 abr. 2023 $126.72 3.33% 4,169.48 1.46%
71. 31 may. 2023 $105.26 -16.93% 4,179.83 0.25%
Promedio (R): 1.25% 0.90%
Desviación estándar: 8.33% 5.03%

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 NKE 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

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

Microsoft Excel
t Fecha RNKE,t RS&P 500,t (RNKE,tRNKE)2 (RS&P 500,tRS&P 500)2 (RNKE,tRNKE)×(RS&P 500,tRS&P 500)
1. 31 jul. 2017 0.08% 1.93% 1.36 1.08 -1.21
2. 31 ago. 2017 -10.26% 0.05% 132.52 0.71 9.69
3. 30 sept. 2017 -1.82% 1.93% 9.41 1.07 -3.17
. . . . . . .
. . . . . . .
. . . . . . .
70. 30 abr. 2023 3.33% 1.46% 4.32 0.32 1.18
71. 31 may. 2023 -16.93% 0.25% 330.67 0.42 11.79
Total (Σ): 4,860.93 1,772.87 1,983.24
t Fecha RNKE,t RS&P 500,t (RNKE,tRNKE)2 (RS&P 500,tRS&P 500)2 (RNKE,tRNKE)×(RS&P 500,tRS&P 500)
1. 31 jul. 2017 0.08% 1.93% 1.36 1.08 -1.21
2. 31 ago. 2017 -10.26% 0.05% 132.52 0.71 9.69
3. 30 sept. 2017 -1.82% 1.93% 9.41 1.07 -3.17
4. 31 oct. 2017 6.06% 2.22% 23.10 1.75 6.36
5. 30 nov. 2017 9.87% 2.81% 74.39 3.65 16.49
6. 31 dic. 2017 3.86% 0.98% 6.80 0.01 0.23
7. 31 ene. 2018 9.06% 5.62% 61.08 22.29 36.90
8. 28 feb. 2018 -1.74% -3.89% 8.96 22.96 14.34
9. 31 mar. 2018 -0.58% -2.69% 3.35 12.85 6.57
10. 30 abr. 2018 2.93% 0.27% 2.84 0.39 -1.05
11. 31 may. 2018 4.99% 2.16% 13.96 1.60 4.72
12. 30 jun. 2018 11.25% 0.48% 100.08 0.17 -4.13
13. 31 jul. 2018 -3.48% 3.60% 22.33 7.32 -12.79
14. 31 ago. 2018 7.14% 3.03% 34.68 4.54 12.54
15. 30 sept. 2018 3.07% 0.43% 3.30 0.22 -0.85
16. 31 oct. 2018 -11.43% -6.94% 160.66 61.42 99.34
17. 30 nov. 2018 0.40% 1.79% 0.72 0.79 -0.76
18. 31 dic. 2018 -1.30% -9.18% 6.52 101.49 25.73
19. 31 ene. 2019 10.44% 7.87% 84.46 48.61 64.07
20. 28 feb. 2019 4.70% 2.97% 11.92 4.31 7.17
21. 31 mar. 2019 -1.52% 1.79% 7.65 0.80 -2.48
22. 30 abr. 2019 4.30% 3.93% 9.30 9.21 9.25
23. 31 may. 2019 -11.92% -6.58% 173.45 55.87 98.44
24. 30 jun. 2019 8.83% 6.89% 57.44 35.96 45.44
25. 31 jul. 2019 2.48% 1.31% 1.51 0.17 0.51
26. 31 ago. 2019 -1.52% -1.81% 7.68 7.32 7.50
27. 30 sept. 2019 11.15% 1.72% 97.98 0.67 8.13
28. 31 oct. 2019 -4.65% 2.04% 34.84 1.31 -6.77
29. 30 nov. 2019 4.67% 3.40% 11.72 6.29 8.59
30. 31 dic. 2019 8.36% 2.86% 50.62 3.85 13.96
31. 31 ene. 2020 -4.95% -0.16% 38.37 1.12 6.56
32. 29 feb. 2020 -6.93% -8.41% 66.93 86.63 76.15
33. 31 mar. 2020 -7.43% -12.51% 75.31 179.79 116.36
34. 30 abr. 2020 5.37% 12.68% 16.95 138.95 48.53
35. 31 may. 2020 13.36% 4.53% 146.60 13.19 43.97
36. 30 jun. 2020 -0.54% 1.84% 3.19 0.89 -1.68
37. 31 jul. 2020 -0.45% 5.51% 2.88 21.28 -7.83
38. 31 ago. 2020 14.88% 7.01% 185.81 37.33 83.28
39. 30 sept. 2020 12.20% -3.92% 119.90 23.23 -52.77
40. 31 oct. 2020 -4.35% -2.77% 31.34 13.42 20.51
41. 30 nov. 2020 12.18% 10.75% 119.37 97.18 107.71
42. 31 dic. 2020 5.23% 3.71% 15.85 7.93 11.21
43. 31 ene. 2021 -5.57% -1.11% 46.51 4.04 13.71
44. 28 feb. 2021 1.10% 2.61% 0.02 2.93 -0.26
45. 31 mar. 2021 -1.40% 4.24% 7.03 11.20 -8.88
46. 30 abr. 2021 -0.20% 5.24% 2.11 18.89 -6.31
47. 31 may. 2021 3.10% 0.55% 3.44 0.12 -0.64
48. 30 jun. 2021 13.21% 2.22% 143.12 1.75 15.85
49. 31 jul. 2021 8.43% 2.27% 51.53 1.90 9.89
50. 31 ago. 2021 -1.49% 2.90% 7.50 4.01 -5.48
51. 30 sept. 2021 -11.84% -4.76% 171.41 31.96 74.02
52. 31 oct. 2021 15.19% 6.91% 194.33 36.21 83.89
53. 30 nov. 2021 1.17% -0.83% 0.01 2.99 0.14
54. 31 dic. 2021 -1.34% 4.36% 6.70 12.00 -8.97
55. 31 ene. 2022 -11.16% -5.26% 153.99 37.89 76.38
56. 28 feb. 2022 -7.78% -3.14% 81.53 16.26 36.41
57. 31 mar. 2022 -1.23% 3.58% 6.17 7.19 -6.66
58. 30 abr. 2022 -7.33% -8.80% 73.56 93.94 83.13
59. 31 may. 2022 -4.69% 0.01% 35.29 0.79 5.30
60. 30 jun. 2022 -13.75% -8.39% 225.06 86.28 139.35
61. 31 jul. 2022 12.45% 9.11% 125.37 67.49 91.98
62. 31 ago. 2022 -7.37% -4.24% 74.30 26.43 44.31
63. 30 sept. 2022 -21.63% -9.34% 523.46 104.78 234.20
64. 31 oct. 2022 11.50% 7.99% 105.10 50.26 72.68
65. 30 nov. 2022 18.35% 5.38% 292.55 20.06 76.60
66. 31 dic. 2022 6.98% -5.90% 32.88 46.16 -38.95
67. 31 ene. 2023 8.82% 6.18% 57.31 27.86 39.96
68. 28 feb. 2023 -6.71% -2.61% 63.30 12.31 27.91
69. 31 mar. 2023 3.53% 3.51% 5.19 6.80 5.94
70. 30 abr. 2023 3.33% 1.46% 4.32 0.32 1.18
71. 31 may. 2023 -16.93% 0.25% 330.67 0.42 11.79
Total (Σ): 4,860.93 1,772.87 1,983.24

Mostrar todo

VarianzaNKE = Σ(RNKE,tRNKE)2 ÷ (71 – 1)
= 4,860.93 ÷ (71 – 1)
= 69.44

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,772.87 ÷ (71 – 1)
= 25.33

CovarianzaNKE, S&P 500 = Σ(RNKE,tRNKE)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 1,983.24 ÷ (71 – 1)
= 28.33


Estimación sistemática del riesgo (β)

Microsoft Excel
VarianzaNKE 69.44
VarianzaS&P 500 25.33
CovarianzaNKE, S&P 500 28.33
Coeficiente de correlaciónNKE, S&P 5001 0.68
βNKE2 1.12
αNKE3 0.25%

Cálculos

1 Coeficiente de correlaciónNKE, S&P 500
= CovarianzaNKE, S&P 500 ÷ (Desviación estándarNKE × Desviación estándarS&P 500)
= 28.33 ÷ (8.33% × 5.03%)
= 0.68

2 βNKE
= CovarianzaNKE, S&P 500 ÷ VarianzaS&P 500
= 28.33 ÷ 25.33
= 1.12

3 αNKE
= PromedioNKE – βNKE × PromedioS&P 500
= 1.25%1.12 × 0.90%
= 0.25%


Tasa de rendimiento esperada

Microsoft Excel
Suposiciones
Tasa de rendimiento del LT Treasury Composite1 RF 4.70%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 13.52%
Riesgo sistemático de Nike acciones ordinarias βNKE 1.12
 
Tasa de rendimiento esperada de las acciones ordinarias de Nike3 E(RNKE) 14.57%

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(RNKE) = RF + βNKE [E(RM) – RF]
= 4.70% + 1.12 [13.52%4.70%]
= 14.57%