Stock Analysis on Net

Pioneer Natural Resources Co. (NYSE:PXD)

Modelo de fijación de precios 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 Pioneer.


Tasas de retorno

Pioneer Natural Resources Co., tasas mensuales de retorno

Microsoft Excel
Pioneer Natural Resources Co. (PXD) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioPXD,t1 DividendoPXD,t1 RPXD,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2019 $142.32 2,704.10
1. 28 feb. 2019 $140.95 -0.96% 2,784.49 2.97%
2. 31 mar. 2019 $152.28 $0.32 8.27% 2,834.40 1.79%
3. 30 abr. 2019 $166.46 9.31% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2023 $231.64 $3.20 -1.74% 4,567.80 8.92%
59. 31 dic. 2023 $224.88 -2.92% 4,769.83 4.42%
Promedio (R): 1.96% 1.11%
Desviación estándar: 12.15% 5.31%
Pioneer Natural Resources Co. (PXD) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioPXD,t1 DividendoPXD,t1 RPXD,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2019 $142.32 2,704.10
1. 28 feb. 2019 $140.95 -0.96% 2,784.49 2.97%
2. 31 mar. 2019 $152.28 $0.32 8.27% 2,834.40 1.79%
3. 30 abr. 2019 $166.46 9.31% 2,945.83 3.93%
4. 31 may. 2019 $141.96 -14.72% 2,752.06 -6.58%
5. 30 jun. 2019 $153.86 8.38% 2,941.76 6.89%
6. 31 jul. 2019 $138.04 -10.28% 2,980.38 1.31%
7. 31 ago. 2019 $123.42 -10.59% 2,926.46 -1.81%
8. 30 sept. 2019 $125.77 $0.44 2.26% 2,976.74 1.72%
9. 31 oct. 2019 $123.02 -2.19% 3,037.56 2.04%
10. 30 nov. 2019 $127.84 3.92% 3,140.98 3.40%
11. 31 dic. 2019 $151.37 $0.44 18.75% 3,230.78 2.86%
12. 31 ene. 2020 $135.00 -10.81% 3,225.52 -0.16%
13. 29 feb. 2020 $122.78 -9.05% 2,954.22 -8.41%
14. 31 mar. 2020 $70.15 $0.55 -42.42% 2,584.59 -12.51%
15. 30 abr. 2020 $89.31 27.31% 2,912.43 12.68%
16. 31 may. 2020 $91.60 2.56% 3,044.31 4.53%
17. 30 jun. 2020 $97.70 $0.55 7.26% 3,100.29 1.84%
18. 31 jul. 2020 $96.92 -0.80% 3,271.12 5.51%
19. 31 ago. 2020 $103.93 7.23% 3,500.31 7.01%
20. 30 sept. 2020 $85.99 $0.55 -16.73% 3,363.00 -3.92%
21. 31 oct. 2020 $79.56 -7.48% 3,269.96 -2.77%
22. 30 nov. 2020 $100.58 26.42% 3,621.63 10.75%
23. 31 dic. 2020 $113.89 $0.55 13.78% 3,756.07 3.71%
24. 31 ene. 2021 $120.90 6.16% 3,714.24 -1.11%
25. 28 feb. 2021 $148.57 22.89% 3,811.15 2.61%
26. 31 mar. 2021 $158.82 $0.56 7.28% 3,972.89 4.24%
27. 30 abr. 2021 $153.83 -3.14% 4,181.17 5.24%
28. 31 may. 2021 $152.19 -1.07% 4,204.11 0.55%
29. 30 jun. 2021 $162.52 $0.56 7.16% 4,297.50 2.22%
30. 31 jul. 2021 $145.37 -10.55% 4,395.26 2.27%
31. 31 ago. 2021 $149.67 2.96% 4,522.68 2.90%
32. 30 sept. 2021 $166.51 $2.07 12.63% 4,307.54 -4.76%
33. 31 oct. 2021 $186.98 12.29% 4,605.38 6.91%
34. 30 nov. 2021 $178.32 $3.02 -3.02% 4,567.00 -0.83%
35. 31 dic. 2021 $181.88 $0.62 2.34% 4,766.18 4.36%
36. 31 ene. 2022 $218.89 20.35% 4,515.55 -5.26%
37. 28 feb. 2022 $239.60 $3.78 11.19% 4,373.94 -3.14%
38. 31 mar. 2022 $250.03 4.35% 4,530.41 3.58%
39. 30 abr. 2022 $232.47 -7.02% 4,131.93 -8.80%
40. 31 may. 2022 $277.94 $7.38 22.73% 4,132.15 0.01%
41. 30 jun. 2022 $223.08 -19.74% 3,785.38 -8.39%
42. 31 jul. 2022 $236.95 6.22% 4,130.29 9.11%
43. 31 ago. 2022 $253.22 6.87% 3,955.00 -4.24%
44. 30 sept. 2022 $216.53 $8.57 -11.10% 3,585.62 -9.34%
45. 31 oct. 2022 $256.41 18.42% 3,871.98 7.99%
46. 30 nov. 2022 $235.99 $5.71 -5.74% 4,080.11 5.38%
47. 31 dic. 2022 $228.39 -3.22% 3,839.50 -5.90%
48. 31 ene. 2023 $230.35 0.86% 4,076.60 6.18%
49. 28 feb. 2023 $200.41 -13.00% 3,970.15 -2.61%
50. 31 mar. 2023 $204.24 $5.58 4.70% 4,109.31 3.51%
51. 30 abr. 2023 $217.55 6.52% 4,169.48 1.46%
52. 31 may. 2023 $199.44 $3.34 -6.79% 4,179.83 0.25%
53. 30 jun. 2023 $207.18 3.88% 4,376.86 4.71%
54. 31 jul. 2023 $225.67 8.92% 4,588.96 4.85%
55. 31 ago. 2023 $237.93 5.43% 4,507.66 -1.77%
56. 30 sept. 2023 $229.55 $1.84 -2.75% 4,288.05 -4.87%
57. 31 oct. 2023 $239.00 4.12% 4,193.80 -2.20%
58. 30 nov. 2023 $231.64 $3.20 -1.74% 4,567.80 8.92%
59. 31 dic. 2023 $224.88 -2.92% 4,769.83 4.42%
Promedio (R): 1.96% 1.11%
Desviación estándar: 12.15% 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 PXD 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

Pioneer Natural Resources Co., cálculo de la varianza y covarianza de los rendimientos

Microsoft Excel
t Fecha RPXD,t RS&P 500,t (RPXD,tRPXD)2 (RS&P 500,tRS&P 500)2 (RPXD,tRPXD)×(RS&P 500,tRS&P 500)
1. 28 feb. 2019 -0.96% 2.97% 8.57 3.49 -5.46
2. 31 mar. 2019 8.27% 1.79% 39.70 0.47 4.33
3. 30 abr. 2019 9.31% 3.93% 53.99 7.98 20.76
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2023 -1.74% 8.92% 13.73 61.03 -28.94
59. 31 dic. 2023 -2.92% 4.42% 23.84 11.00 -16.20
Total (Σ): 8,558.51 1,634.30 2,158.61
t Fecha RPXD,t RS&P 500,t (RPXD,tRPXD)2 (RS&P 500,tRS&P 500)2 (RPXD,tRPXD)×(RS&P 500,tRS&P 500)
1. 28 feb. 2019 -0.96% 2.97% 8.57 3.49 -5.46
2. 31 mar. 2019 8.27% 1.79% 39.70 0.47 4.33
3. 30 abr. 2019 9.31% 3.93% 53.99 7.98 20.76
4. 31 may. 2019 -14.72% -6.58% 278.30 59.04 128.18
5. 30 jun. 2019 8.38% 6.89% 41.20 33.49 37.14
6. 31 jul. 2019 -10.28% 1.31% 149.97 0.04 -2.53
7. 31 ago. 2019 -10.59% -1.81% 157.64 8.50 36.60
8. 30 sept. 2019 2.26% 1.72% 0.09 0.37 0.18
9. 31 oct. 2019 -2.19% 2.04% 17.23 0.88 -3.89
10. 30 nov. 2019 3.92% 3.40% 3.82 5.28 4.49
11. 31 dic. 2019 18.75% 2.86% 281.76 3.07 29.43
12. 31 ene. 2020 -10.81% -0.16% 163.30 1.61 16.21
13. 29 feb. 2020 -9.05% -8.41% 121.35 90.57 104.84
14. 31 mar. 2020 -42.42% -12.51% 1,969.72 185.44 604.38
15. 30 abr. 2020 27.31% 12.68% 642.56 134.06 293.50
16. 31 may. 2020 2.56% 4.53% 0.36 11.71 2.05
17. 30 jun. 2020 7.26% 1.84% 28.04 0.54 3.88
18. 31 jul. 2020 -0.80% 5.51% 7.63 19.40 -12.17
19. 31 ago. 2020 7.23% 7.01% 27.76 34.82 31.09
20. 30 sept. 2020 -16.73% -3.92% 349.56 25.29 94.02
21. 31 oct. 2020 -7.48% -2.77% 89.15 15.00 36.56
22. 30 nov. 2020 26.42% 10.75% 598.10 93.10 235.97
23. 31 dic. 2020 13.78% 3.71% 139.62 6.79 30.80
24. 31 ene. 2021 6.16% -1.11% 17.56 4.93 -9.30
25. 28 feb. 2021 22.89% 2.61% 437.75 2.26 31.45
26. 31 mar. 2021 7.28% 4.24% 28.22 9.85 16.67
27. 30 abr. 2021 -3.14% 5.24% 26.07 17.11 -21.12
28. 31 may. 2021 -1.07% 0.55% 9.18 0.31 1.69
29. 30 jun. 2021 7.16% 2.22% 26.95 1.24 5.79
30. 31 jul. 2021 -10.55% 2.27% 156.67 1.37 -14.63
31. 31 ago. 2021 2.96% 2.90% 0.99 3.22 1.78
32. 30 sept. 2021 12.63% -4.76% 113.86 34.37 -62.56
33. 31 oct. 2021 12.29% 6.91% 106.70 33.74 60.00
34. 30 nov. 2021 -3.02% -0.83% 24.81 3.76 9.66
35. 31 dic. 2021 2.34% 4.36% 0.14 10.60 1.24
36. 31 ene. 2022 20.35% -5.26% 337.99 40.51 -117.01
37. 28 feb. 2022 11.19% -3.14% 85.08 17.99 -39.13
38. 31 mar. 2022 4.35% 3.58% 5.71 6.11 5.90
39. 30 abr. 2022 -7.02% -8.80% 80.77 98.04 88.99
40. 31 may. 2022 22.73% 0.01% 431.39 1.21 -22.86
41. 30 jun. 2022 -19.74% -8.39% 470.99 90.21 206.12
42. 31 jul. 2022 6.22% 9.11% 18.09 64.09 34.05
43. 31 ago. 2022 6.87% -4.24% 24.03 28.62 -26.23
44. 30 sept. 2022 -11.10% -9.34% 170.80 109.11 136.51
45. 31 oct. 2022 18.42% 7.99% 270.72 47.34 113.21
46. 30 nov. 2022 -5.74% 5.38% 59.31 18.23 -32.88
47. 31 dic. 2022 -3.22% -5.90% 26.88 49.04 36.31
48. 31 ene. 2023 0.86% 6.18% 1.22 25.70 -5.61
49. 28 feb. 2023 -13.00% -2.61% 223.85 13.82 55.61
50. 31 mar. 2023 4.70% 3.51% 7.46 5.76 6.55
51. 30 abr. 2023 6.52% 1.46% 20.73 0.13 1.63
52. 31 may. 2023 -6.79% 0.25% 76.62 0.74 7.51
53. 30 jun. 2023 3.88% 4.71% 3.67 13.02 6.92
54. 31 jul. 2023 8.92% 4.85% 48.45 13.99 26.03
55. 31 ago. 2023 5.43% -1.77% 12.03 8.28 -9.98
56. 30 sept. 2023 -2.75% -4.87% 22.21 35.73 28.17
57. 31 oct. 2023 4.12% -2.20% 4.63 10.92 -7.11
58. 30 nov. 2023 -1.74% 8.92% 13.73 61.03 -28.94
59. 31 dic. 2023 -2.92% 4.42% 23.84 11.00 -16.20
Total (Σ): 8,558.51 1,634.30 2,158.61

Mostrar todo

VarianzaPXD = Σ(RPXD,tRPXD)2 ÷ (59 – 1)
= 8,558.51 ÷ (59 – 1)
= 147.56

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

CovarianzaPXD, S&P 500 = Σ(RPXD,tRPXD)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 2,158.61 ÷ (59 – 1)
= 37.22


Estimación sistemática del riesgo (β)

Microsoft Excel
VarianzaPXD 147.56
VarianzaS&P 500 28.18
CovarianzaPXD, S&P 500 37.22
Coeficiente de correlaciónPXD, S&P 5001 0.58
βPXD2 1.32
αPXD3 0.50%

Cálculos

1 Coeficiente de correlaciónPXD, S&P 500
= CovarianzaPXD, S&P 500 ÷ (Desviación estándarPXD × Desviación estándarS&P 500)
= 37.22 ÷ (12.15% × 5.31%)
= 0.58

2 βPXD
= CovarianzaPXD, S&P 500 ÷ VarianzaS&P 500
= 37.22 ÷ 28.18
= 1.32

3 αPXD
= PromedioPXD – βPXD × PromedioS&P 500
= 1.96%1.32 × 1.11%
= 0.50%


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 Pioneer acciones ordinarias βPXD 1.32
 
Tasa de rendimiento esperada de las acciones ordinarias de Pioneer3 E(RPXD) 16.55%

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(RPXD) = RF + βPXD [E(RM) – RF]
= 4.43% + 1.32 [13.60%4.43%]
= 16.55%