Stock Analysis on Net

Northrop Grumman Corp. (NYSE:NOC)

Modelo de valoración de activos de capital (CAPM) 

Microsoft Excel

El modelo de fijación de precios de activos de capital (CAPM) indica cuál debería ser la tasa de rendimiento esperada o requerida sobre activos de riesgo como las acciones ordinarias de Northrop Grumman.


Tasas de retorno

Northrop Grumman Corp., tasas mensuales de retorno

Microsoft Excel
Northrop Grumman Corp. (NOC) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioNOC,t1 DividendoNOC,t1 RNOC,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2018 $340.53 2,823.81
1. 28 feb. 2018 $350.04 2.79% 2,713.83 -3.89%
2. 31 mar. 2018 $349.12 $1.10 0.05% 2,640.87 -2.69%
3. 30 abr. 2018 $322.04 -7.76% 2,648.05 0.27%
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2022 $533.29 $1.73 -2.55% 4,080.11 5.38%
59. 31 dic. 2022 $545.61 2.31% 3,839.50 -5.90%
Promedio (R): 1.17% 0.67%
Desviación estándar: 6.86% 5.40%
Northrop Grumman Corp. (NOC) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioNOC,t1 DividendoNOC,t1 RNOC,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2018 $340.53 2,823.81
1. 28 feb. 2018 $350.04 2.79% 2,713.83 -3.89%
2. 31 mar. 2018 $349.12 $1.10 0.05% 2,640.87 -2.69%
3. 30 abr. 2018 $322.04 -7.76% 2,648.05 0.27%
4. 31 may. 2018 $327.25 1.62% 2,705.27 2.16%
5. 30 jun. 2018 $307.70 $1.20 -5.61% 2,718.37 0.48%
6. 31 jul. 2018 $300.49 -2.34% 2,816.29 3.60%
7. 31 ago. 2018 $298.49 $1.20 -0.27% 2,901.52 3.03%
8. 30 sept. 2018 $317.37 6.33% 2,913.98 0.43%
9. 31 oct. 2018 $261.95 -17.46% 2,711.74 -6.94%
10. 30 nov. 2018 $259.88 $1.20 -0.33% 2,760.17 1.79%
11. 31 dic. 2018 $244.90 -5.76% 2,506.85 -9.18%
12. 31 ene. 2019 $275.55 12.52% 2,704.10 7.87%
13. 28 feb. 2019 $289.96 $1.20 5.67% 2,784.49 2.97%
14. 31 mar. 2019 $269.60 -7.02% 2,834.40 1.79%
15. 30 abr. 2019 $289.91 7.53% 2,945.83 3.93%
16. 31 may. 2019 $303.25 $1.32 5.06% 2,752.06 -6.58%
17. 30 jun. 2019 $323.11 6.55% 2,941.76 6.89%
18. 31 jul. 2019 $345.57 6.95% 2,980.38 1.31%
19. 31 ago. 2019 $367.87 6.45% 2,926.46 -1.81%
20. 30 sept. 2019 $374.79 $1.32 2.24% 2,976.74 1.72%
21. 31 oct. 2019 $352.48 -5.95% 3,037.56 2.04%
22. 30 nov. 2019 $351.77 $1.32 0.17% 3,140.98 3.40%
23. 31 dic. 2019 $343.97 -2.22% 3,230.78 2.86%
24. 31 ene. 2020 $374.57 8.90% 3,225.52 -0.16%
25. 29 feb. 2020 $328.84 $1.32 -11.86% 2,954.22 -8.41%
26. 31 mar. 2020 $302.55 -7.99% 2,584.59 -12.51%
27. 30 abr. 2020 $330.67 9.29% 2,912.43 12.68%
28. 31 may. 2020 $335.20 $1.45 1.81% 3,044.31 4.53%
29. 30 jun. 2020 $307.44 -8.28% 3,100.29 1.84%
30. 31 jul. 2020 $325.01 5.71% 3,271.12 5.51%
31. 31 ago. 2020 $342.61 $1.45 5.86% 3,500.31 7.01%
32. 30 sept. 2020 $315.49 -7.92% 3,363.00 -3.92%
33. 31 oct. 2020 $289.82 -8.14% 3,269.96 -2.77%
34. 30 nov. 2020 $302.26 $1.45 4.79% 3,621.63 10.75%
35. 31 dic. 2020 $304.72 0.81% 3,756.07 3.71%
36. 31 ene. 2021 $286.61 -5.94% 3,714.24 -1.11%
37. 28 feb. 2021 $291.66 $1.45 2.27% 3,811.15 2.61%
38. 31 mar. 2021 $323.64 10.96% 3,972.89 4.24%
39. 30 abr. 2021 $354.44 9.52% 4,181.17 5.24%
40. 31 may. 2021 $365.87 $1.57 3.67% 4,204.11 0.55%
41. 30 jun. 2021 $363.43 -0.67% 4,297.50 2.22%
42. 31 jul. 2021 $363.02 -0.11% 4,395.26 2.27%
43. 31 ago. 2021 $367.70 $1.57 1.72% 4,522.68 2.90%
44. 30 sept. 2021 $360.15 -2.05% 4,307.54 -4.76%
45. 31 oct. 2021 $357.22 -0.81% 4,605.38 6.91%
46. 30 nov. 2021 $348.80 $1.57 -1.92% 4,567.00 -0.83%
47. 31 dic. 2021 $387.07 10.97% 4,766.18 4.36%
48. 31 ene. 2022 $369.90 -4.44% 4,515.55 -5.26%
49. 28 feb. 2022 $442.14 $1.57 19.95% 4,373.94 -3.14%
50. 31 mar. 2022 $447.22 1.15% 4,530.41 3.58%
51. 30 abr. 2022 $439.40 -1.75% 4,131.93 -8.80%
52. 31 may. 2022 $467.97 $1.73 6.90% 4,132.15 0.01%
53. 30 jun. 2022 $478.57 2.27% 3,785.38 -8.39%
54. 31 jul. 2022 $478.90 0.07% 4,130.29 9.11%
55. 31 ago. 2022 $477.99 $1.73 0.17% 3,955.00 -4.24%
56. 30 sept. 2022 $470.32 -1.60% 3,585.62 -9.34%
57. 31 oct. 2022 $549.01 16.73% 3,871.98 7.99%
58. 30 nov. 2022 $533.29 $1.73 -2.55% 4,080.11 5.38%
59. 31 dic. 2022 $545.61 2.31% 3,839.50 -5.90%
Promedio (R): 1.17% 0.67%
Desviación estándar: 6.86% 5.40%

Mostrar todo

1 Datos en US$ por acción ordinaria, ajustados por divisiones y dividendos de acciones.

2 Tasa de rendimiento de las acciones ordinarias de NOC 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

Northrop Grumman Corp., cálculo de la varianza y covarianza de los rendimientos

Microsoft Excel
t Fecha RNOC,t RS&P 500,t (RNOC,tRNOC)2 (RS&P 500,tRS&P 500)2 (RNOC,tRNOC)×(RS&P 500,tRS&P 500)
1. 28 feb. 2018 2.79% -3.89% 2.63 20.81 -7.40
2. 31 mar. 2018 0.05% -2.69% 1.25 11.26 3.75
3. 30 abr. 2018 -7.76% 0.27% 79.68 0.16 3.52
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2022 -2.55% 5.38% 13.82 22.17 -17.51
59. 31 dic. 2022 2.31% -5.90% 1.30 43.08 -7.49
Total (Σ): 2,731.47 1,691.48 976.36
t Fecha RNOC,t RS&P 500,t (RNOC,tRNOC)2 (RS&P 500,tRS&P 500)2 (RNOC,tRNOC)×(RS&P 500,tRS&P 500)
1. 28 feb. 2018 2.79% -3.89% 2.63 20.81 -7.40
2. 31 mar. 2018 0.05% -2.69% 1.25 11.26 3.75
3. 30 abr. 2018 -7.76% 0.27% 79.68 0.16 3.52
4. 31 may. 2018 1.62% 2.16% 0.20 2.23 0.67
5. 30 jun. 2018 -5.61% 0.48% 45.93 0.03 1.24
6. 31 jul. 2018 -2.34% 3.60% 12.34 8.62 -10.31
7. 31 ago. 2018 -0.27% 3.03% 2.06 5.57 -3.39
8. 30 sept. 2018 6.33% 0.43% 26.58 0.06 -1.22
9. 31 oct. 2018 -17.46% -6.94% 347.15 57.87 141.73
10. 30 nov. 2018 -0.33% 1.79% 2.26 1.25 -1.68
11. 31 dic. 2018 -5.76% -9.18% 48.08 96.91 68.26
12. 31 ene. 2019 12.52% 7.87% 128.72 51.87 81.71
13. 28 feb. 2019 5.67% 2.97% 20.21 5.32 10.37
14. 31 mar. 2019 -7.02% 1.79% 67.10 1.27 -9.22
15. 30 abr. 2019 7.53% 3.93% 40.50 10.66 20.78
16. 31 may. 2019 5.06% -6.58% 15.11 52.48 -28.16
17. 30 jun. 2019 6.55% 6.89% 28.94 38.77 33.49
18. 31 jul. 2019 6.95% 1.31% 33.43 0.42 3.74
19. 31 ago. 2019 6.45% -1.81% 27.92 6.13 -13.08
20. 30 sept. 2019 2.24% 1.72% 1.15 1.11 1.13
21. 31 oct. 2019 -5.95% 2.04% 50.73 1.89 -9.80
22. 30 nov. 2019 0.17% 3.40% 0.99 7.50 -2.73
23. 31 dic. 2019 -2.22% 2.86% 11.47 4.81 -7.43
24. 31 ene. 2020 8.90% -0.16% 59.70 0.69 -6.41
25. 29 feb. 2020 -11.86% -8.41% 169.67 82.40 118.25
26. 31 mar. 2020 -7.99% -12.51% 83.99 173.67 120.77
27. 30 abr. 2020 9.29% 12.68% 66.01 144.43 97.64
28. 31 may. 2020 1.81% 4.53% 0.41 14.91 2.47
29. 30 jun. 2020 -8.28% 1.84% 89.33 1.37 -11.08
30. 31 jul. 2020 5.71% 5.51% 20.66 23.46 22.02
31. 31 ago. 2020 5.86% 7.01% 22.01 40.19 29.74
32. 30 sept. 2020 -7.92% -3.92% 82.54 21.06 41.70
33. 31 oct. 2020 -8.14% -2.77% 86.61 11.79 31.95
34. 30 nov. 2020 4.79% 10.75% 13.13 101.77 36.55
35. 31 dic. 2020 0.81% 3.71% 0.13 9.28 -1.08
36. 31 ene. 2021 -5.94% -1.11% 50.59 3.17 12.66
37. 28 feb. 2021 2.27% 2.61% 1.21 3.77 2.13
38. 31 mar. 2021 10.96% 4.24% 95.95 12.80 35.04
39. 30 abr. 2021 9.52% 5.24% 69.67 20.94 38.20
40. 31 may. 2021 3.67% 0.55% 6.24 0.01 -0.29
41. 30 jun. 2021 -0.67% 2.22% 3.37 2.42 -2.86
42. 31 jul. 2021 -0.11% 2.27% 1.64 2.59 -2.06
43. 31 ago. 2021 1.72% 2.90% 0.30 4.98 1.23
44. 30 sept. 2021 -2.05% -4.76% 10.39 29.42 17.48
45. 31 oct. 2021 -0.81% 6.91% 3.93 39.03 -12.39
46. 30 nov. 2021 -1.92% -0.83% 9.53 2.25 4.63
47. 31 dic. 2021 10.97% 4.36% 96.08 13.65 36.22
48. 31 ene. 2022 -4.44% -5.26% 31.42 35.11 33.21
49. 28 feb. 2022 19.95% -3.14% 352.85 14.46 -71.43
50. 31 mar. 2022 1.15% 3.58% 0.00 8.47 -0.06
51. 30 abr. 2022 -1.75% -8.80% 8.52 89.54 27.61
52. 31 may. 2022 6.90% 0.01% 32.79 0.44 -3.79
53. 30 jun. 2022 2.27% -8.39% 1.20 82.06 -9.92
54. 31 jul. 2022 0.07% 9.11% 1.21 71.32 -9.30
55. 31 ago. 2022 0.17% -4.24% 1.00 24.11 4.90
56. 30 sept. 2022 -1.60% -9.34% 7.70 100.12 27.76
57. 31 oct. 2022 16.73% 7.99% 242.16 53.58 113.91
58. 30 nov. 2022 -2.55% 5.38% 13.82 22.17 -17.51
59. 31 dic. 2022 2.31% -5.90% 1.30 43.08 -7.49
Total (Σ): 2,731.47 1,691.48 976.36

Mostrar todo

VarianzaNOC = Σ(RNOC,tRNOC)2 ÷ (59 – 1)
= 2,731.47 ÷ (59 – 1)
= 47.09

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16

CovarianzaNOC, S&P 500 = Σ(RNOC,tRNOC)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 976.36 ÷ (59 – 1)
= 16.83


Estimación sistemática del riesgo (β)

Microsoft Excel
VarianzaNOC 47.09
VarianzaS&P 500 29.16
CovarianzaNOC, S&P 500 16.83
Coeficiente de correlaciónNOC, S&P 5001 0.45
βNOC2 0.58
αNOC3 0.78%

Cálculos

1 Coeficiente de correlaciónNOC, S&P 500
= CovarianzaNOC, S&P 500 ÷ (Desviación estándarNOC × Desviación estándarS&P 500)
= 16.83 ÷ (6.86% × 5.40%)
= 0.45

2 βNOC
= CovarianzaNOC, S&P 500 ÷ VarianzaS&P 500
= 16.83 ÷ 29.16
= 0.58

3 αNOC
= PromedioNOC – βNOC × PromedioS&P 500
= 1.17%0.58 × 0.67%
= 0.78%


Tasa de rendimiento esperada

Microsoft Excel
Suposiciones
Tasa de rendimiento de LT Treasury Composite1 RF 3.84%
Tasa de rendimiento esperada en la cartera de mercado2 E(RM) 13.71%
Riesgo sistemático de Northrop Grumman acciones ordinarias βNOC 0.58
 
Tasa de rendimiento esperada de las acciones ordinarias de Northrop Grumman3 E(RNOC) 9.53%

1 Promedio no ponderado de los rendimientos de las ofertas de todos los bonos del Tesoro de los Estados Unidos de cupón fijo en circulación que no vencen ni se pueden exigir en menos de 10 años (proxy de tasa de rendimiento libre de riesgo).

2 Ver detalles »

3 E(RNOC) = RF + βNOC [E(RM) – RF]
= 3.84% + 0.58 [13.71%3.84%]
= 9.53%