Stock Analysis on Net

Schlumberger Ltd. (NYSE:SLB)

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 SLB.


Tasas de retorno

Schlumberger Ltd., tasas mensuales de retorno

Microsoft Excel
Schlumberger Ltd. (SLB) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioSLB,t1 DividendoSLB,t1 RSLB,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2019 $44.21 2,704.10
1. 28 feb. 2019 $44.06 $0.50 0.79% 2,784.49 2.97%
2. 31 mar. 2019 $43.57 -1.11% 2,834.40 1.79%
3. 30 abr. 2019 $42.68 -2.04% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2023 $52.04 -6.50% 4,567.80 8.92%
59. 31 dic. 2023 $52.04 $0.25 0.48% 4,769.83 4.42%
Promedio (R): 1.67% 1.11%
Desviación estándar: 14.99% 5.31%
Schlumberger Ltd. (SLB) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioSLB,t1 DividendoSLB,t1 RSLB,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2019 $44.21 2,704.10
1. 28 feb. 2019 $44.06 $0.50 0.79% 2,784.49 2.97%
2. 31 mar. 2019 $43.57 -1.11% 2,834.40 1.79%
3. 30 abr. 2019 $42.68 -2.04% 2,945.83 3.93%
4. 31 may. 2019 $34.69 -18.72% 2,752.06 -6.58%
5. 30 jun. 2019 $39.74 $0.50 16.00% 2,941.76 6.89%
6. 31 jul. 2019 $39.97 0.58% 2,980.38 1.31%
7. 31 ago. 2019 $32.43 -18.86% 2,926.46 -1.81%
8. 30 sept. 2019 $34.17 $0.50 6.91% 2,976.74 1.72%
9. 31 oct. 2019 $32.69 -4.33% 3,037.56 2.04%
10. 30 nov. 2019 $36.20 10.74% 3,140.98 3.40%
11. 31 dic. 2019 $40.20 $0.50 12.43% 3,230.78 2.86%
12. 31 ene. 2020 $33.51 -16.64% 3,225.52 -0.16%
13. 29 feb. 2020 $27.09 $0.50 -17.67% 2,954.22 -8.41%
14. 31 mar. 2020 $13.49 -50.20% 2,584.59 -12.51%
15. 30 abr. 2020 $16.82 24.68% 2,912.43 12.68%
16. 31 may. 2020 $18.47 9.81% 3,044.31 4.53%
17. 30 jun. 2020 $18.39 $0.125 0.24% 3,100.29 1.84%
18. 31 jul. 2020 $18.14 -1.36% 3,271.12 5.51%
19. 31 ago. 2020 $19.01 4.80% 3,500.31 7.01%
20. 30 sept. 2020 $15.56 $0.125 -17.49% 3,363.00 -3.92%
21. 31 oct. 2020 $14.94 -3.98% 3,269.96 -2.77%
22. 30 nov. 2020 $20.79 39.16% 3,621.63 10.75%
23. 31 dic. 2020 $21.83 $0.125 5.60% 3,756.07 3.71%
24. 31 ene. 2021 $22.21 1.74% 3,714.24 -1.11%
25. 28 feb. 2021 $27.91 $0.125 26.23% 3,811.15 2.61%
26. 31 mar. 2021 $27.19 -2.58% 3,972.89 4.24%
27. 30 abr. 2021 $27.05 -0.51% 4,181.17 5.24%
28. 31 may. 2021 $31.33 15.82% 4,204.11 0.55%
29. 30 jun. 2021 $32.01 $0.125 2.57% 4,297.50 2.22%
30. 31 jul. 2021 $28.83 -9.93% 4,395.26 2.27%
31. 31 ago. 2021 $28.04 $0.125 -2.31% 4,522.68 2.90%
32. 30 sept. 2021 $29.64 5.71% 4,307.54 -4.76%
33. 31 oct. 2021 $32.26 8.84% 4,605.38 6.91%
34. 30 nov. 2021 $28.68 $0.125 -10.71% 4,567.00 -0.83%
35. 31 dic. 2021 $29.95 4.43% 4,766.18 4.36%
36. 31 ene. 2022 $39.07 30.45% 4,515.55 -5.26%
37. 28 feb. 2022 $39.24 $0.125 0.76% 4,373.94 -3.14%
38. 31 mar. 2022 $41.31 5.28% 4,530.41 3.58%
39. 30 abr. 2022 $39.01 -5.57% 4,131.93 -8.80%
40. 31 may. 2022 $45.96 $0.175 18.26% 4,132.15 0.01%
41. 30 jun. 2022 $35.76 -22.19% 3,785.38 -8.39%
42. 31 jul. 2022 $37.03 3.55% 4,130.29 9.11%
43. 31 ago. 2022 $38.15 3.02% 3,955.00 -4.24%
44. 30 sept. 2022 $35.90 $0.175 -5.44% 3,585.62 -9.34%
45. 31 oct. 2022 $52.03 44.93% 3,871.98 7.99%
46. 30 nov. 2022 $51.55 -0.92% 4,080.11 5.38%
47. 31 dic. 2022 $53.46 $0.175 4.04% 3,839.50 -5.90%
48. 31 ene. 2023 $56.98 6.58% 4,076.60 6.18%
49. 28 feb. 2023 $53.21 $0.25 -6.18% 3,970.15 -2.61%
50. 31 mar. 2023 $49.10 -7.72% 4,109.31 3.51%
51. 30 abr. 2023 $49.35 0.51% 4,169.48 1.46%
52. 31 may. 2023 $42.83 -13.21% 4,179.83 0.25%
53. 30 jun. 2023 $49.12 $0.25 15.27% 4,376.86 4.71%
54. 31 jul. 2023 $58.34 18.77% 4,588.96 4.85%
55. 31 ago. 2023 $58.96 1.06% 4,507.66 -1.77%
56. 30 sept. 2023 $58.30 $0.25 -0.70% 4,288.05 -4.87%
57. 31 oct. 2023 $55.66 -4.53% 4,193.80 -2.20%
58. 30 nov. 2023 $52.04 -6.50% 4,567.80 8.92%
59. 31 dic. 2023 $52.04 $0.25 0.48% 4,769.83 4.42%
Promedio (R): 1.67% 1.11%
Desviación estándar: 14.99% 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 SLB 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

Schlumberger Ltd., cálculo de la varianza y covarianza de los rendimientos

Microsoft Excel
t Fecha RSLB,t RS&P 500,t (RSLB,tRSLB)2 (RS&P 500,tRS&P 500)2 (RSLB,tRSLB)×(RS&P 500,tRS&P 500)
1. 28 feb. 2019 0.79% 2.97% 0.77 3.49 -1.64
2. 31 mar. 2019 -1.11% 1.79% 7.75 0.47 -1.91
3. 30 abr. 2019 -2.04% 3.93% 13.80 7.98 -10.49
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2023 -6.50% 8.92% 66.84 61.03 -63.87
59. 31 dic. 2023 0.48% 4.42% 1.42 11.00 -3.95
Total (Σ): 13,036.39 1,634.30 2,649.68
t Fecha RSLB,t RS&P 500,t (RSLB,tRSLB)2 (RS&P 500,tRS&P 500)2 (RSLB,tRSLB)×(RS&P 500,tRS&P 500)
1. 28 feb. 2019 0.79% 2.97% 0.77 3.49 -1.64
2. 31 mar. 2019 -1.11% 1.79% 7.75 0.47 -1.91
3. 30 abr. 2019 -2.04% 3.93% 13.80 7.98 -10.49
4. 31 may. 2019 -18.72% -6.58% 415.84 59.04 156.69
5. 30 jun. 2019 16.00% 6.89% 205.27 33.49 82.91
6. 31 jul. 2019 0.58% 1.31% 1.19 0.04 -0.23
7. 31 ago. 2019 -18.86% -1.81% 421.71 8.50 59.86
8. 30 sept. 2019 6.91% 1.72% 27.41 0.37 3.21
9. 31 oct. 2019 -4.33% 2.04% 36.03 0.88 -5.63
10. 30 nov. 2019 10.74% 3.40% 82.19 5.28 20.84
11. 31 dic. 2019 12.43% 2.86% 115.76 3.07 18.86
12. 31 ene. 2020 -16.64% -0.16% 335.38 1.61 23.23
13. 29 feb. 2020 -17.67% -8.41% 373.95 90.57 184.04
14. 31 mar. 2020 -50.20% -12.51% 2,690.97 185.44 706.42
15. 30 abr. 2020 24.68% 12.68% 529.62 134.06 266.46
16. 31 may. 2020 9.81% 4.53% 66.23 11.71 27.85
17. 30 jun. 2020 0.24% 1.84% 2.04 0.54 -1.05
18. 31 jul. 2020 -1.36% 5.51% 9.19 19.40 -13.35
19. 31 ago. 2020 4.80% 7.01% 9.76 34.82 18.44
20. 30 sept. 2020 -17.49% -3.92% 367.19 25.29 96.36
21. 31 oct. 2020 -3.98% -2.77% 31.99 15.00 21.90
22. 30 nov. 2020 39.16% 10.75% 1,405.13 93.10 361.68
23. 31 dic. 2020 5.60% 3.71% 15.46 6.79 10.25
24. 31 ene. 2021 1.74% -1.11% 0.00 4.93 -0.15
25. 28 feb. 2021 26.23% 2.61% 602.97 2.26 36.91
26. 31 mar. 2021 -2.58% 4.24% 18.07 9.85 -13.34
27. 30 abr. 2021 -0.51% 5.24% 4.78 17.11 -9.04
28. 31 may. 2021 15.82% 0.55% 200.25 0.31 -7.88
29. 30 jun. 2021 2.57% 2.22% 0.81 1.24 1.00
30. 31 jul. 2021 -9.93% 2.27% 134.70 1.37 -13.57
31. 31 ago. 2021 -2.31% 2.90% 15.83 3.22 -7.13
32. 30 sept. 2021 5.71% -4.76% 16.28 34.37 -23.65
33. 31 oct. 2021 8.84% 6.91% 51.38 33.74 41.63
34. 30 nov. 2021 -10.71% -0.83% 153.30 3.76 24.01
35. 31 dic. 2021 4.43% 4.36% 7.60 10.60 8.97
36. 31 ene. 2022 30.45% -5.26% 828.24 40.51 -183.16
37. 28 feb. 2022 0.76% -3.14% 0.84 17.99 3.89
38. 31 mar. 2022 5.28% 3.58% 12.99 6.11 8.91
39. 30 abr. 2022 -5.57% -8.80% 52.41 98.04 71.68
40. 31 may. 2022 18.26% 0.01% 275.33 1.21 -18.26
41. 30 jun. 2022 -22.19% -8.39% 569.53 90.21 226.66
42. 31 jul. 2022 3.55% 9.11% 3.53 64.09 15.05
43. 31 ago. 2022 3.02% -4.24% 1.83 28.62 -7.24
44. 30 sept. 2022 -5.44% -9.34% 50.56 109.11 74.27
45. 31 oct. 2022 44.93% 7.99% 1,871.33 47.34 297.64
46. 30 nov. 2022 -0.92% 5.38% 6.73 18.23 -11.08
47. 31 dic. 2022 4.04% -5.90% 5.63 49.04 -16.62
48. 31 ene. 2023 6.58% 6.18% 24.14 25.70 24.91
49. 28 feb. 2023 -6.18% -2.61% 61.61 13.82 29.18
50. 31 mar. 2023 -7.72% 3.51% 88.28 5.76 -22.54
51. 30 abr. 2023 0.51% 1.46% 1.35 0.13 -0.42
52. 31 may. 2023 -13.21% 0.25% 221.51 0.74 12.76
53. 30 jun. 2023 15.27% 4.71% 184.91 13.02 49.06
54. 31 jul. 2023 18.77% 4.85% 292.37 13.99 63.95
55. 31 ago. 2023 1.06% -1.77% 0.37 8.28 1.75
56. 30 sept. 2023 -0.70% -4.87% 5.60 35.73 14.15
57. 31 oct. 2023 -4.53% -2.20% 38.44 10.92 20.48
58. 30 nov. 2023 -6.50% 8.92% 66.84 61.03 -63.87
59. 31 dic. 2023 0.48% 4.42% 1.42 11.00 -3.95
Total (Σ): 13,036.39 1,634.30 2,649.68

Mostrar todo

VarianzaSLB = Σ(RSLB,tRSLB)2 ÷ (59 – 1)
= 13,036.39 ÷ (59 – 1)
= 224.77

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

CovarianzaSLB, S&P 500 = Σ(RSLB,tRSLB)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 2,649.68 ÷ (59 – 1)
= 45.68


Estimación sistemática del riesgo (β)

Microsoft Excel
VarianzaSLB 224.77
VarianzaS&P 500 28.18
CovarianzaSLB, S&P 500 45.68
Coeficiente de correlaciónSLB, S&P 5001 0.57
βSLB2 1.62
αSLB3 -0.12%

Cálculos

1 Coeficiente de correlaciónSLB, S&P 500
= CovarianzaSLB, S&P 500 ÷ (Desviación estándarSLB × Desviación estándarS&P 500)
= 45.68 ÷ (14.99% × 5.31%)
= 0.57

2 βSLB
= CovarianzaSLB, S&P 500 ÷ VarianzaS&P 500
= 45.68 ÷ 28.18
= 1.62

3 αSLB
= PromedioSLB – βSLB × PromedioS&P 500
= 1.67%1.62 × 1.11%
= -0.12%


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 SLB acciones ordinarias βSLB 1.62
 
Tasa de rendimiento esperada de las acciones ordinarias de SLB3 E(RSLB) 19.30%

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(RSLB) = RF + βSLB [E(RM) – RF]
= 4.43% + 1.62 [13.60%4.43%]
= 19.30%