Modelo de fijación de precios de activos de capital (CAPM)
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 ServiceNow.
Tasas de retorno
ServiceNow Inc., tasas mensuales de retorno
| ServiceNow Inc. (NOW) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Fecha | PrecioNOW,t1 | DividendoNOW,t1 | RNOW,t2 | PrecioS&P 500,t | RS&P 500,t3 |
| 31 ene. 2019 | $220.02 | 2,704.10 | ||||
| 1. | 28 feb. 2019 | $239.44 | 8.83% | 2,784.49 | 2.97% | |
| 2. | 31 mar. 2019 | $246.49 | 2.94% | 2,834.40 | 1.79% | |
| 3. | 30 abr. 2019 | $271.51 | 10.15% | 2,945.83 | 3.93% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 30 nov. 2023 | $685.74 | 17.86% | 4,567.80 | 8.92% | |
| 59. | 31 dic. 2023 | $706.49 | 3.03% | 4,769.83 | 4.42% | |
| Promedio (R): | 2.33% | 1.11% | ||||
| Desviación estándar: | 8.42% | 5.31% | ||||
| ServiceNow Inc. (NOW) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Fecha | PrecioNOW,t1 | DividendoNOW,t1 | RNOW,t2 | PrecioS&P 500,t | RS&P 500,t3 |
| 31 ene. 2019 | $220.02 | 2,704.10 | ||||
| 1. | 28 feb. 2019 | $239.44 | 8.83% | 2,784.49 | 2.97% | |
| 2. | 31 mar. 2019 | $246.49 | 2.94% | 2,834.40 | 1.79% | |
| 3. | 30 abr. 2019 | $271.51 | 10.15% | 2,945.83 | 3.93% | |
| 4. | 31 may. 2019 | $261.93 | -3.53% | 2,752.06 | -6.58% | |
| 5. | 30 jun. 2019 | $274.57 | 4.83% | 2,941.76 | 6.89% | |
| 6. | 31 jul. 2019 | $277.39 | 1.03% | 2,980.38 | 1.31% | |
| 7. | 31 ago. 2019 | $261.84 | -5.61% | 2,926.46 | -1.81% | |
| 8. | 30 sept. 2019 | $253.85 | -3.05% | 2,976.74 | 1.72% | |
| 9. | 31 oct. 2019 | $247.26 | -2.60% | 3,037.56 | 2.04% | |
| 10. | 30 nov. 2019 | $283.04 | 14.47% | 3,140.98 | 3.40% | |
| 11. | 31 dic. 2019 | $282.32 | -0.25% | 3,230.78 | 2.86% | |
| 12. | 31 ene. 2020 | $338.23 | 19.80% | 3,225.52 | -0.16% | |
| 13. | 29 feb. 2020 | $326.09 | -3.59% | 2,954.22 | -8.41% | |
| 14. | 31 mar. 2020 | $286.58 | -12.12% | 2,584.59 | -12.51% | |
| 15. | 30 abr. 2020 | $351.54 | 22.67% | 2,912.43 | 12.68% | |
| 16. | 31 may. 2020 | $387.93 | 10.35% | 3,044.31 | 4.53% | |
| 17. | 30 jun. 2020 | $405.06 | 4.42% | 3,100.29 | 1.84% | |
| 18. | 31 jul. 2020 | $439.20 | 8.43% | 3,271.12 | 5.51% | |
| 19. | 31 ago. 2020 | $482.02 | 9.75% | 3,500.31 | 7.01% | |
| 20. | 30 sept. 2020 | $485.00 | 0.62% | 3,363.00 | -3.92% | |
| 21. | 31 oct. 2020 | $497.57 | 2.59% | 3,269.96 | -2.77% | |
| 22. | 30 nov. 2020 | $534.55 | 7.43% | 3,621.63 | 10.75% | |
| 23. | 31 dic. 2020 | $550.43 | 2.97% | 3,756.07 | 3.71% | |
| 24. | 31 ene. 2021 | $543.16 | -1.32% | 3,714.24 | -1.11% | |
| 25. | 28 feb. 2021 | $533.46 | -1.79% | 3,811.15 | 2.61% | |
| 26. | 31 mar. 2021 | $500.11 | -6.25% | 3,972.89 | 4.24% | |
| 27. | 30 abr. 2021 | $506.37 | 1.25% | 4,181.17 | 5.24% | |
| 28. | 31 may. 2021 | $473.88 | -6.42% | 4,204.11 | 0.55% | |
| 29. | 30 jun. 2021 | $549.55 | 15.97% | 4,297.50 | 2.22% | |
| 30. | 31 jul. 2021 | $587.89 | 6.98% | 4,395.26 | 2.27% | |
| 31. | 31 ago. 2021 | $643.64 | 9.48% | 4,522.68 | 2.90% | |
| 32. | 30 sept. 2021 | $622.27 | -3.32% | 4,307.54 | -4.76% | |
| 33. | 31 oct. 2021 | $697.76 | 12.13% | 4,605.38 | 6.91% | |
| 34. | 30 nov. 2021 | $647.70 | -7.17% | 4,567.00 | -0.83% | |
| 35. | 31 dic. 2021 | $649.11 | 0.22% | 4,766.18 | 4.36% | |
| 36. | 31 ene. 2022 | $585.78 | -9.76% | 4,515.55 | -5.26% | |
| 37. | 28 feb. 2022 | $579.92 | -1.00% | 4,373.94 | -3.14% | |
| 38. | 31 mar. 2022 | $556.89 | -3.97% | 4,530.41 | 3.58% | |
| 39. | 30 abr. 2022 | $478.10 | -14.15% | 4,131.93 | -8.80% | |
| 40. | 31 may. 2022 | $467.47 | -2.22% | 4,132.15 | 0.01% | |
| 41. | 30 jun. 2022 | $475.52 | 1.72% | 3,785.38 | -8.39% | |
| 42. | 31 jul. 2022 | $446.66 | -6.07% | 4,130.29 | 9.11% | |
| 43. | 31 ago. 2022 | $434.62 | -2.70% | 3,955.00 | -4.24% | |
| 44. | 30 sept. 2022 | $377.61 | -13.12% | 3,585.62 | -9.34% | |
| 45. | 31 oct. 2022 | $420.74 | 11.42% | 3,871.98 | 7.99% | |
| 46. | 30 nov. 2022 | $416.30 | -1.06% | 4,080.11 | 5.38% | |
| 47. | 31 dic. 2022 | $388.27 | -6.73% | 3,839.50 | -5.90% | |
| 48. | 31 ene. 2023 | $455.13 | 17.22% | 4,076.60 | 6.18% | |
| 49. | 28 feb. 2023 | $432.17 | -5.04% | 3,970.15 | -2.61% | |
| 50. | 31 mar. 2023 | $464.72 | 7.53% | 4,109.31 | 3.51% | |
| 51. | 30 abr. 2023 | $459.42 | -1.14% | 4,169.48 | 1.46% | |
| 52. | 31 may. 2023 | $544.78 | 18.58% | 4,179.83 | 0.25% | |
| 53. | 30 jun. 2023 | $561.97 | 3.16% | 4,376.86 | 4.71% | |
| 54. | 31 jul. 2023 | $583.00 | 3.74% | 4,588.96 | 4.85% | |
| 55. | 31 ago. 2023 | $588.83 | 1.00% | 4,507.66 | -1.77% | |
| 56. | 30 sept. 2023 | $558.96 | -5.07% | 4,288.05 | -4.87% | |
| 57. | 31 oct. 2023 | $581.85 | 4.10% | 4,193.80 | -2.20% | |
| 58. | 30 nov. 2023 | $685.74 | 17.86% | 4,567.80 | 8.92% | |
| 59. | 31 dic. 2023 | $706.49 | 3.03% | 4,769.83 | 4.42% | |
| Promedio (R): | 2.33% | 1.11% | ||||
| Desviación estándar: | 8.42% | 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 NOW 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
ServiceNow Inc., cálculo de la varianza y covarianza de los rendimientos
| t | Fecha | RNOW,t | RS&P 500,t | (RNOW,t–RNOW)2 | (RS&P 500,t–RS&P 500)2 | (RNOW,t–RNOW)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 28 feb. 2019 | 8.83% | 2.97% | 42.17 | 3.49 | 12.12 |
| 2. | 31 mar. 2019 | 2.94% | 1.79% | 0.37 | 0.47 | 0.42 |
| 3. | 30 abr. 2019 | 10.15% | 3.93% | 61.12 | 7.98 | 22.09 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 30 nov. 2023 | 17.86% | 8.92% | 240.95 | 61.03 | 121.26 |
| 59. | 31 dic. 2023 | 3.03% | 4.42% | 0.48 | 11.00 | 2.30 |
| Total (Σ): | 4,115.76 | 1,634.30 | 1,623.69 | |||
| t | Fecha | RNOW,t | RS&P 500,t | (RNOW,t–RNOW)2 | (RS&P 500,t–RS&P 500)2 | (RNOW,t–RNOW)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 28 feb. 2019 | 8.83% | 2.97% | 42.17 | 3.49 | 12.12 |
| 2. | 31 mar. 2019 | 2.94% | 1.79% | 0.37 | 0.47 | 0.42 |
| 3. | 30 abr. 2019 | 10.15% | 3.93% | 61.12 | 7.98 | 22.09 |
| 4. | 31 may. 2019 | -3.53% | -6.58% | 34.35 | 59.04 | 45.03 |
| 5. | 30 jun. 2019 | 4.83% | 6.89% | 6.22 | 33.49 | 14.43 |
| 6. | 31 jul. 2019 | 1.03% | 1.31% | 1.70 | 0.04 | -0.27 |
| 7. | 31 ago. 2019 | -5.61% | -1.81% | 63.02 | 8.50 | 23.14 |
| 8. | 30 sept. 2019 | -3.05% | 1.72% | 28.99 | 0.37 | -3.30 |
| 9. | 31 oct. 2019 | -2.60% | 2.04% | 24.29 | 0.88 | -4.62 |
| 10. | 30 nov. 2019 | 14.47% | 3.40% | 147.34 | 5.28 | 27.90 |
| 11. | 31 dic. 2019 | -0.25% | 2.86% | 6.69 | 3.07 | -4.54 |
| 12. | 31 ene. 2020 | 19.80% | -0.16% | 305.25 | 1.61 | -22.17 |
| 13. | 29 feb. 2020 | -3.59% | -8.41% | 35.07 | 90.57 | 56.36 |
| 14. | 31 mar. 2020 | -12.12% | -12.51% | 208.77 | 185.44 | 196.76 |
| 15. | 30 abr. 2020 | 22.67% | 12.68% | 413.51 | 134.06 | 235.45 |
| 16. | 31 may. 2020 | 10.35% | 4.53% | 64.31 | 11.71 | 27.44 |
| 17. | 30 jun. 2020 | 4.42% | 1.84% | 4.34 | 0.54 | 1.53 |
| 18. | 31 jul. 2020 | 8.43% | 5.51% | 37.16 | 19.40 | 26.85 |
| 19. | 31 ago. 2020 | 9.75% | 7.01% | 55.01 | 34.82 | 43.77 |
| 20. | 30 sept. 2020 | 0.62% | -3.92% | 2.94 | 25.29 | 8.62 |
| 21. | 31 oct. 2020 | 2.59% | -2.77% | 0.07 | 15.00 | -1.00 |
| 22. | 30 nov. 2020 | 7.43% | 10.75% | 26.01 | 93.10 | 49.21 |
| 23. | 31 dic. 2020 | 2.97% | 3.71% | 0.41 | 6.79 | 1.66 |
| 24. | 31 ene. 2021 | -1.32% | -1.11% | 13.35 | 4.93 | 8.11 |
| 25. | 28 feb. 2021 | -1.79% | 2.61% | 16.96 | 2.26 | -6.19 |
| 26. | 31 mar. 2021 | -6.25% | 4.24% | 73.69 | 9.85 | -26.94 |
| 27. | 30 abr. 2021 | 1.25% | 5.24% | 1.17 | 17.11 | -4.47 |
| 28. | 31 may. 2021 | -6.42% | 0.55% | 76.54 | 0.31 | 4.87 |
| 29. | 30 jun. 2021 | 15.97% | 2.22% | 185.93 | 1.24 | 15.21 |
| 30. | 31 jul. 2021 | 6.98% | 2.27% | 21.57 | 1.37 | 5.43 |
| 31. | 31 ago. 2021 | 9.48% | 2.90% | 51.13 | 3.22 | 12.82 |
| 32. | 30 sept. 2021 | -3.32% | -4.76% | 31.95 | 34.37 | 33.14 |
| 33. | 31 oct. 2021 | 12.13% | 6.91% | 96.02 | 33.74 | 56.92 |
| 34. | 30 nov. 2021 | -7.17% | -0.83% | 90.38 | 3.76 | 18.44 |
| 35. | 31 dic. 2021 | 0.22% | 4.36% | 4.47 | 10.60 | -6.88 |
| 36. | 31 ene. 2022 | -9.76% | -5.26% | 146.14 | 40.51 | 76.94 |
| 37. | 28 feb. 2022 | -1.00% | -3.14% | 11.11 | 17.99 | 14.14 |
| 38. | 31 mar. 2022 | -3.97% | 3.58% | 39.74 | 6.11 | -15.58 |
| 39. | 30 abr. 2022 | -14.15% | -8.80% | 271.61 | 98.04 | 163.18 |
| 40. | 31 may. 2022 | -2.22% | 0.01% | 20.76 | 1.21 | 5.01 |
| 41. | 30 jun. 2022 | 1.72% | -8.39% | 0.37 | 90.21 | 5.80 |
| 42. | 31 jul. 2022 | -6.07% | 9.11% | 70.59 | 64.09 | -67.26 |
| 43. | 31 ago. 2022 | -2.70% | -4.24% | 25.28 | 28.62 | 26.90 |
| 44. | 30 sept. 2022 | -13.12% | -9.34% | 238.69 | 109.11 | 161.38 |
| 45. | 31 oct. 2022 | 11.42% | 7.99% | 82.62 | 47.34 | 62.54 |
| 46. | 30 nov. 2022 | -1.06% | 5.38% | 11.48 | 18.23 | -14.46 |
| 47. | 31 dic. 2022 | -6.73% | -5.90% | 82.18 | 49.04 | 63.49 |
| 48. | 31 ene. 2023 | 17.22% | 6.18% | 221.64 | 25.70 | 75.47 |
| 49. | 28 feb. 2023 | -5.04% | -2.61% | 54.42 | 13.82 | 27.42 |
| 50. | 31 mar. 2023 | 7.53% | 3.51% | 27.03 | 5.76 | 12.47 |
| 51. | 30 abr. 2023 | -1.14% | 1.46% | 12.06 | 0.13 | -1.24 |
| 52. | 31 may. 2023 | 18.58% | 0.25% | 263.98 | 0.74 | -13.93 |
| 53. | 30 jun. 2023 | 3.16% | 4.71% | 0.68 | 13.02 | 2.97 |
| 54. | 31 jul. 2023 | 3.74% | 4.85% | 1.99 | 13.99 | 5.27 |
| 55. | 31 ago. 2023 | 1.00% | -1.77% | 1.78 | 8.28 | 3.83 |
| 56. | 30 sept. 2023 | -5.07% | -4.87% | 54.84 | 35.73 | 44.27 |
| 57. | 31 oct. 2023 | 4.10% | -2.20% | 3.11 | 10.92 | -5.82 |
| 58. | 30 nov. 2023 | 17.86% | 8.92% | 240.95 | 61.03 | 121.26 |
| 59. | 31 dic. 2023 | 3.03% | 4.42% | 0.48 | 11.00 | 2.30 |
| Total (Σ): | 4,115.76 | 1,634.30 | 1,623.69 | |||
Mostrar todo
VarianzaNOW = Σ(RNOW,t–RNOW)2 ÷ (59 – 1)
= 4,115.76 ÷ (59 – 1)
= 70.96
VarianzaS&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18
CovarianzaNOW, S&P 500 = Σ(RNOW,t–RNOW)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,623.69 ÷ (59 – 1)
= 27.99
Estimación sistemática del riesgo (β)
| VarianzaNOW | 70.96 |
| VarianzaS&P 500 | 28.18 |
| CovarianzaNOW, S&P 500 | 27.99 |
| Coeficiente de correlaciónNOW, S&P 5001 | 0.63 |
| βNOW2 | 0.99 |
| αNOW3 | 1.23% |
Cálculos
1 Coeficiente de correlaciónNOW, S&P 500
= CovarianzaNOW, S&P 500 ÷ (Desviación estándarNOW × Desviación estándarS&P 500)
= 27.99 ÷ (8.42% × 5.31%)
= 0.63
2 βNOW
= CovarianzaNOW, S&P 500 ÷ VarianzaS&P 500
= 27.99 ÷ 28.18
= 0.99
3 αNOW
= PromedioNOW – βNOW × PromedioS&P 500
= 2.33% – 0.99 × 1.11%
= 1.23%
Tasa de rendimiento esperada
| Suposiciones | ||
| Tasa de rendimiento del LT Treasury Composite1 | RF | 4.87% |
| Tasa de rendimiento esperada de la cartera de mercado2 | E(RM) | 13.54% |
| Riesgo sistemático de ServiceNow acciones ordinarias | βNOW | 0.99 |
| Tasa de rentabilidad esperada de las acciones ordinarias de ServiceNow3 | E(RNOW) | 13.49% |
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).
3 E(RNOW) = RF + βNOW [E(RM) – RF]
= 4.87% + 0.99 [13.54% – 4.87%]
= 13.49%