Stock Analysis on Net
Microsoft Excel LibreOffice Calc

Oracle Corp. (NYSE:ORCL)

Modelo de valoración de activos de capital (CAPM)

Nivel de dificultad medio

Las tasas de rendimiento

Oracle Corp., tasas de rendimiento mensuales

Microsoft Excel LibreOffice Calc
Oracle Corp. (ORCL) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioORCL,t1 DividendoORCL,t1 RORCL,t2 PrecioS&P 500,t RS&P 500,t3
30 jun. 2014 $40.53 1,960.23
1. 31 jul. 2014 $40.39 $0.12 -0.05% 1,930.67 -1.51%
2. 31 ago. 2014 $41.53 2.82% 2,003.37 3.77%
3. 30 sept. 2014 $38.28 -7.83% 1,972.29 -1.55%
. . . . . . .
. . . . . . .
. . . . . . .
70. 30 abr. 2020 $52.97 $0.24 10.10% 2,912.43 12.68%
71. 31 may. 2020 $53.77 1.51% 3,044.31 4.53%
Promedio (R): 0.67% 0.70%
Desviación típica: 5.35% 4.05%

Fuente: Oracle Corp. (NYSE:ORCL) | CAPM (www.stock-analysis-on.net)

Oracle Corp. (ORCL) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioORCL,t1 DividendoORCL,t1 RORCL,t2 PrecioS&P 500,t RS&P 500,t3
30 jun. 2014 $40.53 1,960.23
1. 31 jul. 2014 $40.39 $0.12 -0.05% 1,930.67 -1.51%
2. 31 ago. 2014 $41.53 2.82% 2,003.37 3.77%
3. 30 sept. 2014 $38.28 -7.83% 1,972.29 -1.55%
4. 31 oct. 2014 $39.05 $0.12 2.32% 2,018.05 2.32%
5. 30 nov. 2014 $42.41 8.60% 2,067.56 2.45%
6. 31 dic. 2014 $44.97 6.04% 2,058.90 -0.42%
7. 31 ene. 2015 $41.89 $0.12 -6.58% 1,994.99 -3.10%
8. 28 feb. 2015 $43.82 4.61% 2,104.50 5.49%
9. 31 mar. 2015 $43.15 -1.53% 2,067.89 -1.74%
10. 30 abr. 2015 $43.62 $0.15 1.44% 2,085.51 0.85%
11. 31 may. 2015 $43.49 -0.30% 2,107.39 1.05%
12. 30 jun. 2015 $40.30 -7.34% 2,063.11 -2.10%
13. 31 jul. 2015 $39.94 $0.15 -0.52% 2,103.84 1.97%
14. 31 ago. 2015 $37.09 -7.14% 1,972.18 -6.26%
15. 30 sept. 2015 $36.12 -2.62% 1,920.03 -2.64%
16. 31 oct. 2015 $38.84 $0.15 7.95% 2,079.36 8.30%
17. 30 nov. 2015 $38.97 0.33% 2,080.41 0.05%
18. 31 dic. 2015 $36.53 -6.26% 2,043.94 -1.75%
19. 31 ene. 2016 $36.31 $0.15 -0.19% 1,940.24 -5.07%
20. 29 feb. 2016 $36.78 1.29% 1,932.23 -0.41%
21. 31 mar. 2016 $40.91 11.23% 2,059.74 6.60%
22. 30 abr. 2016 $39.86 $0.15 -2.20% 2,065.30 0.27%
23. 31 may. 2016 $40.20 0.85% 2,096.95 1.53%
24. 30 jun. 2016 $40.93 1.82% 2,098.86 0.09%
25. 31 jul. 2016 $41.04 $0.15 0.64% 2,173.60 3.56%
26. 31 ago. 2016 $41.22 0.44% 2,170.95 -0.12%
27. 30 sept. 2016 $39.28 -4.71% 2,168.27 -0.12%
28. 31 oct. 2016 $38.42 $0.15 -1.81% 2,126.15 -1.94%
29. 30 nov. 2016 $40.19 4.61% 2,198.81 3.42%
30. 31 dic. 2016 $38.45 -4.33% 2,238.83 1.82%
31. 31 ene. 2017 $40.11 $0.15 4.71% 2,278.87 1.79%
32. 28 feb. 2017 $42.59 6.18% 2,363.64 3.72%
33. 31 mar. 2017 $44.61 4.74% 2,362.72 -0.04%
34. 30 abr. 2017 $44.96 $0.19 1.21% 2,384.20 0.91%
35. 31 may. 2017 $45.39 0.96% 2,411.80 1.16%
36. 30 jun. 2017 $50.14 10.46% 2,423.41 0.48%
37. 31 jul. 2017 $49.93 $0.19 -0.04% 2,470.30 1.93%
38. 31 ago. 2017 $50.33 0.80% 2,471.65 0.05%
39. 30 sept. 2017 $48.35 -3.93% 2,519.36 1.93%
40. 31 oct. 2017 $50.90 $0.19 5.67% 2,575.26 2.22%
41. 30 nov. 2017 $49.06 -3.61% 2,647.58 2.81%
42. 31 dic. 2017 $47.28 -3.63% 2,673.61 0.98%
43. 31 ene. 2018 $51.59 $0.19 9.52% 2,823.81 5.62%
44. 28 feb. 2018 $50.67 -1.78% 2,713.83 -3.89%
45. 31 mar. 2018 $45.75 -9.71% 2,640.87 -2.69%
46. 30 abr. 2018 $45.67 $0.19 0.24% 2,648.05 0.27%
47. 31 may. 2018 $46.72 2.30% 2,705.27 2.16%
48. 30 jun. 2018 $44.06 -5.69% 2,718.37 0.48%
49. 31 jul. 2018 $47.68 $0.19 8.65% 2,816.29 3.60%
50. 31 ago. 2018 $48.58 1.89% 2,901.52 3.03%
51. 30 sept. 2018 $51.56 6.13% 2,913.98 0.43%
52. 31 oct. 2018 $48.84 $0.19 -4.91% 2,711.74 -6.94%
53. 30 nov. 2018 $48.76 -0.16% 2,760.17 1.79%
54. 31 dic. 2018 $45.15 -7.40% 2,506.85 -9.18%
55. 31 ene. 2019 $50.23 $0.19 11.67% 2,704.10 7.87%
56. 28 feb. 2019 $52.13 3.78% 2,784.49 2.97%
57. 31 mar. 2019 $53.71 3.03% 2,834.40 1.79%
58. 30 abr. 2019 $55.33 $0.24 3.46% 2,945.83 3.93%
59. 31 may. 2019 $50.60 -8.55% 2,752.06 -6.58%
60. 30 jun. 2019 $56.97 12.59% 2,941.76 6.89%
61. 31 jul. 2019 $56.30 $0.24 -0.75% 2,980.38 1.31%
62. 31 ago. 2019 $52.06 -7.53% 2,926.46 -1.81%
63. 30 sept. 2019 $55.03 5.70% 2,976.74 1.72%
64. 31 oct. 2019 $54.49 $0.24 -0.55% 3,037.56 2.04%
65. 30 nov. 2019 $56.14 3.03% 3,140.98 3.40%
66. 31 dic. 2019 $52.98 -5.63% 3,230.78 2.86%
67. 31 ene. 2020 $52.45 $0.24 -0.55% 3,225.52 -0.16%
68. 29 feb. 2020 $49.46 -5.70% 2,954.22 -8.41%
69. 31 mar. 2020 $48.33 -2.28% 2,584.59 -12.51%
70. 30 abr. 2020 $52.97 $0.24 10.10% 2,912.43 12.68%
71. 31 may. 2020 $53.77 1.51% 3,044.31 4.53%
Promedio (R): 0.67% 0.70%
Desviación típica: 5.35% 4.05%

Fuente: Oracle Corp. (NYSE:ORCL) | CAPM (www.stock-analysis-on.net)

Mostrar todo

1 Datos en dólares estadounidenses por acción ordinaria, ajustados por divisiones y dividendos en acciones.

2 Tasa de rendimiento de las acciones ordinarias de ORCL 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

Oracle Corp., cálculo de varianza y covarianza de retornos

Microsoft Excel LibreOffice Calc
t Fecha RORCL,t RS&P 500,t (RORCL,tRORCL)2 (RS&P 500,tRS&P 500)2 (RORCL,tRORCL)×(RS&P 500,tRS&P 500)
1. 31 jul. 2014 -0.05% -1.51% 0.52 4.89 1.59
2. 31 ago. 2014 2.82% 3.77% 4.64 9.38 6.59
3. 30 sept. 2014 -7.83% -1.55% 72.16 5.08 19.16
. . . . . . .
. . . . . . .
. . . . . . .
70. 30 abr. 2020 10.10% 12.68% 88.89 143.54 112.96
71. 31 may. 2020 1.51% 4.53% 0.71 14.63 3.22
Total (Σ): 2,005.72 1,148.02 1,047.08
t Fecha RORCL,t RS&P 500,t (RORCL,tRORCL)2 (RS&P 500,tRS&P 500)2 (RORCL,tRORCL)×(RS&P 500,tRS&P 500)
1. 31 jul. 2014 -0.05% -1.51% 0.52 4.89 1.59
2. 31 ago. 2014 2.82% 3.77% 4.64 9.38 6.59
3. 30 sept. 2014 -7.83% -1.55% 72.16 5.08 19.16
4. 31 oct. 2014 2.32% 2.32% 2.74 2.61 2.68
5. 30 nov. 2014 8.60% 2.45% 62.97 3.06 13.88
6. 31 dic. 2014 6.04% -0.42% 28.81 1.26 -6.02
7. 31 ene. 2015 -6.58% -3.10% 52.58 14.50 27.61
8. 28 feb. 2015 4.61% 5.49% 15.51 22.90 18.85
9. 31 mar. 2015 -1.53% -1.74% 4.83 5.97 5.37
10. 30 abr. 2015 1.44% 0.85% 0.59 0.02 0.11
11. 31 may. 2015 -0.30% 1.05% 0.94 0.12 -0.33
12. 30 jun. 2015 -7.34% -2.10% 64.07 7.87 22.45
13. 31 jul. 2015 -0.52% 1.97% 1.42 1.61 -1.51
14. 31 ago. 2015 -7.14% -6.26% 60.92 48.46 54.34
15. 30 sept. 2015 -2.62% -2.64% 10.79 11.21 11.00
16. 31 oct. 2015 7.95% 8.30% 52.95 57.68 55.26
17. 30 nov. 2015 0.33% 0.05% 0.11 0.43 0.22
18. 31 dic. 2015 -6.26% -1.75% 48.03 6.03 17.03
19. 31 ene. 2016 -0.19% -5.07% 0.74 33.37 4.97
20. 29 feb. 2016 1.29% -0.41% 0.39 1.25 -0.70
21. 31 mar. 2016 11.23% 6.60% 111.51 34.76 62.26
22. 30 abr. 2016 -2.20% 0.27% 8.23 0.19 1.24
23. 31 may. 2016 0.85% 1.53% 0.03 0.69 0.15
24. 30 jun. 2016 1.82% 0.09% 1.31 0.38 -0.70
25. 31 jul. 2016 0.64% 3.56% 0.00 8.16 -0.10
26. 31 ago. 2016 0.44% -0.12% 0.05 0.68 0.19
27. 30 sept. 2016 -4.71% -0.12% 28.90 0.68 4.45
28. 31 oct. 2016 -1.81% -1.94% 6.13 7.00 6.55
29. 30 nov. 2016 4.61% 3.42% 15.51 7.37 10.69
30. 31 dic. 2016 -4.33% 1.82% 24.99 1.25 -5.58
31. 31 ene. 2017 4.71% 1.79% 16.31 1.18 4.38
32. 28 feb. 2017 6.18% 3.72% 30.40 9.10 16.63
33. 31 mar. 2017 4.74% -0.04% 16.59 0.55 -3.02
34. 30 abr. 2017 1.21% 0.91% 0.29 0.04 0.11
35. 31 may. 2017 0.96% 1.16% 0.08 0.21 0.13
36. 30 jun. 2017 10.46% 0.48% 95.95 0.05 -2.18
37. 31 jul. 2017 -0.04% 1.93% 0.50 1.52 -0.87
38. 31 ago. 2017 0.80% 0.05% 0.02 0.42 -0.09
39. 30 sept. 2017 -3.93% 1.93% 21.19 1.50 -5.65
40. 31 oct. 2017 5.67% 2.22% 24.98 2.30 7.57
41. 30 nov. 2017 -3.61% 2.81% 18.35 4.43 -9.02
42. 31 dic. 2017 -3.63% 0.98% 18.47 0.08 -1.20
43. 31 ene. 2018 9.52% 5.62% 78.30 24.15 43.48
44. 28 feb. 2018 -1.78% -3.89% 6.01 21.14 11.28
45. 31 mar. 2018 -9.71% -2.69% 107.73 11.51 35.21
46. 30 abr. 2018 0.24% 0.27% 0.18 0.19 0.19
47. 31 may. 2018 2.30% 2.16% 2.66 2.12 2.38
48. 30 jun. 2018 -5.69% 0.48% 40.48 0.05 1.40
49. 31 jul. 2018 8.65% 3.60% 63.65 8.40 23.13
50. 31 ago. 2018 1.89% 3.03% 1.48 5.40 2.83
51. 30 sept. 2018 6.13% 0.43% 29.87 0.08 -1.50
52. 31 oct. 2018 -4.91% -6.94% 31.09 58.43 42.62
53. 30 nov. 2018 -0.16% 1.79% 0.69 1.17 -0.90
54. 31 dic. 2018 -7.40% -9.18% 65.17 97.64 79.77
55. 31 ene. 2019 11.67% 7.87% 121.06 51.34 78.84
56. 28 feb. 2019 3.78% 2.97% 9.69 5.15 7.07
57. 31 mar. 2019 3.03% 1.79% 5.58 1.19 2.57
58. 30 abr. 2019 3.46% 3.93% 7.81 10.42 9.02
59. 31 may. 2019 -8.55% -6.58% 84.97 53.02 67.12
60. 30 jun. 2019 12.59% 6.89% 142.08 38.31 73.78
61. 31 jul. 2019 -0.75% 1.31% 2.03 0.37 -0.87
62. 31 ago. 2019 -7.53% -1.81% 67.25 6.31 20.61
63. 30 sept. 2019 5.70% 1.72% 25.36 1.03 5.11
64. 31 oct. 2019 -0.55% 2.04% 1.47 1.79 -1.63
65. 30 nov. 2019 3.03% 3.40% 5.56 7.30 6.37
66. 31 dic. 2019 -5.63% 2.86% 39.67 4.65 -13.58
67. 31 ene. 2020 -0.55% -0.16% 1.48 0.75 1.05
68. 29 feb. 2020 -5.70% -8.41% 40.58 83.08 58.06
69. 31 mar. 2020 -2.28% -12.51% 8.73 174.65 39.04
70. 30 abr. 2020 10.10% 12.68% 88.89 143.54 112.96
71. 31 may. 2020 1.51% 4.53% 0.71 14.63 3.22
Total (Σ): 2,005.72 1,148.02 1,047.08

Show all

VarianzaORCL = Σ(RORCL,tRORCL)2 ÷ (71 – 1)
= 2,005.72 ÷ (71 – 1)
= 28.65

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,148.02 ÷ (71 – 1)
= 16.40

CovarianzaORCL, S&P 500 = Σ(RORCL,tRORCL)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 1,047.08 ÷ (71 – 1)
= 14.96


Estimación sistemática de riesgos (β)

Microsoft Excel LibreOffice Calc
VarianzaORCL 28.65
VarianzaS&P 500 16.40
CovarianzaORCL, S&P 500 14.96
Coeficiente de correlaciónORCL, S&P 5001 0.69
βORCL2 0.91
αORCL3 0.03%

Fuente: Oracle Corp. (NYSE:ORCL) | CAPM (www.stock-analysis-on.net)

Cálculos

1 Coeficiente de correlaciónORCL, S&P 500
= CovarianzaORCL, S&P 500 ÷ (Desviación típicaORCL × Desviación típicaS&P 500)
= 14.96 ÷ (5.35% × 4.05%)
= 0.69

2 βORCL
= CovarianzaORCL, S&P 500 ÷ VarianzaS&P 500
= 14.96 ÷ 16.40
= 0.91

3 αORCL
= PromedioORCL – βORCL × PromedioS&P 500
= 0.67%0.91 × 0.70%
= 0.03%


Tasa de rendimiento esperada

Microsoft Excel LibreOffice Calc
Supuestos
Tasa de rendimiento de LT Treasury Composite1 RF 2.15%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 11.70%
Riesgo sistemático de las acciones ordinarias de Oracle βORCL 0.91
 
Tasa de rendimiento esperada de las acciones ordinarias de Oracle3 E(RORCL) 10.86%

Fuente: Oracle Corp. (NYSE:ORCL) | CAPM (www.stock-analysis-on.net)

1 Promedio no ponderado de los rendimientos de las ofertas de todos los bonos del Tesoro de EE. UU. De cupón fijo en circulación que no vencen ni son exigibles en menos de 10 años (proxy de tasa de rendimiento sin riesgo).

2 Ver detalles »

3 E(RORCL) = RF + βORCL [E(RM) – RF]
= 2.15% + 0.91 [11.70%2.15%]
= 10.86%