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 sobre activos de riesgo como las acciones ordinarias de U. S. Steel.
Tasas de retorno
United States Steel Corp., tasas mensuales de retorno
| United States Steel Corp. (X) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Fecha | PrecioX,t1 | DividendoX,t1 | RX,t2 | PrecioS&P 500,t | RS&P 500,t3 |
| 31 ene. 2018 | $37.41 | 2,823.81 | ||||
| 1. | 28 feb. 2018 | $43.51 | $0.05 | 16.44% | 2,713.83 | -3.89% |
| 2. | 31 mar. 2018 | $35.19 | -19.12% | 2,640.87 | -2.69% | |
| 3. | 30 abr. 2018 | $33.83 | -3.86% | 2,648.05 | 0.27% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 30 nov. 2022 | $26.29 | $0.05 | 29.37% | 4,080.11 | 5.38% |
| 59. | 31 dic. 2022 | $25.05 | -4.72% | 3,839.50 | -5.90% | |
| Promedio (R): | 1.16% | 0.67% | ||||
| Desviación estándar: | 19.70% | 5.40% | ||||
| United States Steel Corp. (X) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Fecha | PrecioX,t1 | DividendoX,t1 | RX,t2 | PrecioS&P 500,t | RS&P 500,t3 |
| 31 ene. 2018 | $37.41 | 2,823.81 | ||||
| 1. | 28 feb. 2018 | $43.51 | $0.05 | 16.44% | 2,713.83 | -3.89% |
| 2. | 31 mar. 2018 | $35.19 | -19.12% | 2,640.87 | -2.69% | |
| 3. | 30 abr. 2018 | $33.83 | -3.86% | 2,648.05 | 0.27% | |
| 4. | 31 may. 2018 | $36.87 | $0.05 | 9.13% | 2,705.27 | 2.16% |
| 5. | 30 jun. 2018 | $34.75 | -5.75% | 2,718.37 | 0.48% | |
| 6. | 31 jul. 2018 | $36.43 | 4.83% | 2,816.29 | 3.60% | |
| 7. | 31 ago. 2018 | $29.68 | $0.05 | -18.39% | 2,901.52 | 3.03% |
| 8. | 30 sept. 2018 | $30.48 | 2.70% | 2,913.98 | 0.43% | |
| 9. | 31 oct. 2018 | $26.53 | -12.96% | 2,711.74 | -6.94% | |
| 10. | 30 nov. 2018 | $23.06 | $0.05 | -12.89% | 2,760.17 | 1.79% |
| 11. | 31 dic. 2018 | $18.24 | -20.90% | 2,506.85 | -9.18% | |
| 12. | 31 ene. 2019 | $22.54 | 23.57% | 2,704.10 | 7.87% | |
| 13. | 28 feb. 2019 | $22.41 | $0.05 | -0.35% | 2,784.49 | 2.97% |
| 14. | 31 mar. 2019 | $19.49 | -13.03% | 2,834.40 | 1.79% | |
| 15. | 30 abr. 2019 | $15.60 | -19.96% | 2,945.83 | 3.93% | |
| 16. | 31 may. 2019 | $11.82 | $0.05 | -23.91% | 2,752.06 | -6.58% |
| 17. | 30 jun. 2019 | $15.31 | 29.53% | 2,941.76 | 6.89% | |
| 18. | 31 jul. 2019 | $15.03 | -1.83% | 2,980.38 | 1.31% | |
| 19. | 31 ago. 2019 | $11.07 | $0.05 | -26.01% | 2,926.46 | -1.81% |
| 20. | 30 sept. 2019 | $11.55 | 4.34% | 2,976.74 | 1.72% | |
| 21. | 31 oct. 2019 | $11.51 | -0.35% | 3,037.56 | 2.04% | |
| 22. | 30 nov. 2019 | $13.12 | $0.05 | 14.42% | 3,140.98 | 3.40% |
| 23. | 31 dic. 2019 | $11.41 | -13.03% | 3,230.78 | 2.86% | |
| 24. | 31 ene. 2020 | $9.07 | -20.51% | 3,225.52 | -0.16% | |
| 25. | 29 feb. 2020 | $8.02 | $0.01 | -11.47% | 2,954.22 | -8.41% |
| 26. | 31 mar. 2020 | $6.31 | -21.32% | 2,584.59 | -12.51% | |
| 27. | 30 abr. 2020 | $7.68 | 21.71% | 2,912.43 | 12.68% | |
| 28. | 31 may. 2020 | $8.04 | $0.01 | 4.82% | 3,044.31 | 4.53% |
| 29. | 30 jun. 2020 | $7.22 | -10.20% | 3,100.29 | 1.84% | |
| 30. | 31 jul. 2020 | $6.66 | -7.76% | 3,271.12 | 5.51% | |
| 31. | 31 ago. 2020 | $7.83 | $0.01 | 17.72% | 3,500.31 | 7.01% |
| 32. | 30 sept. 2020 | $7.34 | -6.26% | 3,363.00 | -3.92% | |
| 33. | 31 oct. 2020 | $9.66 | 31.61% | 3,269.96 | -2.77% | |
| 34. | 30 nov. 2020 | $14.19 | $0.01 | 47.00% | 3,621.63 | 10.75% |
| 35. | 31 dic. 2020 | $16.77 | 18.18% | 3,756.07 | 3.71% | |
| 36. | 31 ene. 2021 | $17.76 | 5.90% | 3,714.24 | -1.11% | |
| 37. | 28 feb. 2021 | $16.61 | $0.01 | -6.42% | 3,811.15 | 2.61% |
| 38. | 31 mar. 2021 | $26.17 | 57.56% | 3,972.89 | 4.24% | |
| 39. | 30 abr. 2021 | $23.01 | -12.07% | 4,181.17 | 5.24% | |
| 40. | 31 may. 2021 | $25.93 | $0.01 | 12.73% | 4,204.11 | 0.55% |
| 41. | 30 jun. 2021 | $24.00 | -7.44% | 4,297.50 | 2.22% | |
| 42. | 31 jul. 2021 | $26.48 | 10.33% | 4,395.26 | 2.27% | |
| 43. | 31 ago. 2021 | $26.75 | $0.01 | 1.06% | 4,522.68 | 2.90% |
| 44. | 30 sept. 2021 | $21.97 | -17.87% | 4,307.54 | -4.76% | |
| 45. | 31 oct. 2021 | $26.39 | 20.12% | 4,605.38 | 6.91% | |
| 46. | 30 nov. 2021 | $22.61 | $0.05 | -14.13% | 4,567.00 | -0.83% |
| 47. | 31 dic. 2021 | $23.81 | 5.31% | 4,766.18 | 4.36% | |
| 48. | 31 ene. 2022 | $20.72 | -12.98% | 4,515.55 | -5.26% | |
| 49. | 28 feb. 2022 | $27.21 | $0.05 | 31.56% | 4,373.94 | -3.14% |
| 50. | 31 mar. 2022 | $37.74 | 38.70% | 4,530.41 | 3.58% | |
| 51. | 30 abr. 2022 | $30.49 | -19.21% | 4,131.93 | -8.80% | |
| 52. | 31 may. 2022 | $25.07 | $0.05 | -17.61% | 4,132.15 | 0.01% |
| 53. | 30 jun. 2022 | $17.91 | -28.56% | 3,785.38 | -8.39% | |
| 54. | 31 jul. 2022 | $23.65 | 32.05% | 4,130.29 | 9.11% | |
| 55. | 31 ago. 2022 | $22.87 | $0.05 | -3.09% | 3,955.00 | -4.24% |
| 56. | 30 sept. 2022 | $18.12 | -20.77% | 3,585.62 | -9.34% | |
| 57. | 31 oct. 2022 | $20.36 | 12.36% | 3,871.98 | 7.99% | |
| 58. | 30 nov. 2022 | $26.29 | $0.05 | 29.37% | 4,080.11 | 5.38% |
| 59. | 31 dic. 2022 | $25.05 | -4.72% | 3,839.50 | -5.90% | |
| Promedio (R): | 1.16% | 0.67% | ||||
| Desviación estándar: | 19.70% | 5.40% | ||||
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 X 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
United States Steel Corp., cálculo de la varianza y covarianza de los rendimientos
| t | Fecha | RX,t | RS&P 500,t | (RX,t–RX)2 | (RS&P 500,t–RS&P 500)2 | (RX,t–RX)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 28 feb. 2018 | 16.44% | -3.89% | 233.53 | 20.81 | -69.71 |
| 2. | 31 mar. 2018 | -19.12% | -2.69% | 411.27 | 11.26 | 68.04 |
| 3. | 30 abr. 2018 | -3.86% | 0.27% | 25.23 | 0.16 | 1.98 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 30 nov. 2022 | 29.37% | 5.38% | 796.00 | 22.17 | 132.85 |
| 59. | 31 dic. 2022 | -4.72% | -5.90% | 34.51 | 43.08 | 38.56 |
| Total (Σ): | 22,504.49 | 1,691.48 | 3,655.99 | |||
| t | Fecha | RX,t | RS&P 500,t | (RX,t–RX)2 | (RS&P 500,t–RS&P 500)2 | (RX,t–RX)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 28 feb. 2018 | 16.44% | -3.89% | 233.53 | 20.81 | -69.71 |
| 2. | 31 mar. 2018 | -19.12% | -2.69% | 411.27 | 11.26 | 68.04 |
| 3. | 30 abr. 2018 | -3.86% | 0.27% | 25.23 | 0.16 | 1.98 |
| 4. | 31 may. 2018 | 9.13% | 2.16% | 63.62 | 2.23 | 11.92 |
| 5. | 30 jun. 2018 | -5.75% | 0.48% | 47.72 | 0.03 | 1.26 |
| 6. | 31 jul. 2018 | 4.83% | 3.60% | 13.52 | 8.62 | 10.79 |
| 7. | 31 ago. 2018 | -18.39% | 3.03% | 382.17 | 5.57 | -46.13 |
| 8. | 30 sept. 2018 | 2.70% | 0.43% | 2.36 | 0.06 | -0.36 |
| 9. | 31 oct. 2018 | -12.96% | -6.94% | 199.29 | 57.87 | 107.39 |
| 10. | 30 nov. 2018 | -12.89% | 1.79% | 197.37 | 1.25 | -15.72 |
| 11. | 31 dic. 2018 | -20.90% | -9.18% | 486.63 | 96.91 | 217.16 |
| 12. | 31 ene. 2019 | 23.57% | 7.87% | 502.51 | 51.87 | 161.44 |
| 13. | 28 feb. 2019 | -0.35% | 2.97% | 2.29 | 5.32 | -3.49 |
| 14. | 31 mar. 2019 | -13.03% | 1.79% | 201.29 | 1.27 | -15.97 |
| 15. | 30 abr. 2019 | -19.96% | 3.93% | 445.92 | 10.66 | -68.94 |
| 16. | 31 may. 2019 | -23.91% | -6.58% | 628.41 | 52.48 | 181.60 |
| 17. | 30 jun. 2019 | 29.53% | 6.89% | 804.77 | 38.77 | 176.63 |
| 18. | 31 jul. 2019 | -1.83% | 1.31% | 8.92 | 0.42 | -1.93 |
| 19. | 31 ago. 2019 | -26.01% | -1.81% | 738.34 | 6.13 | 67.27 |
| 20. | 30 sept. 2019 | 4.34% | 1.72% | 10.10 | 1.11 | 3.34 |
| 21. | 31 oct. 2019 | -0.35% | 2.04% | 2.26 | 1.89 | -2.07 |
| 22. | 30 nov. 2019 | 14.42% | 3.40% | 175.95 | 7.50 | 36.32 |
| 23. | 31 dic. 2019 | -13.03% | 2.86% | 201.39 | 4.81 | -31.11 |
| 24. | 31 ene. 2020 | -20.51% | -0.16% | 469.42 | 0.69 | 17.97 |
| 25. | 29 feb. 2020 | -11.47% | -8.41% | 159.37 | 82.40 | 114.60 |
| 26. | 31 mar. 2020 | -21.32% | -12.51% | 505.33 | 173.67 | 296.25 |
| 27. | 30 abr. 2020 | 21.71% | 12.68% | 422.46 | 144.43 | 247.01 |
| 28. | 31 may. 2020 | 4.82% | 4.53% | 13.39 | 14.91 | 14.13 |
| 29. | 30 jun. 2020 | -10.20% | 1.84% | 128.98 | 1.37 | -13.31 |
| 30. | 31 jul. 2020 | -7.76% | 5.51% | 79.46 | 23.46 | -43.17 |
| 31. | 31 ago. 2020 | 17.72% | 7.01% | 274.23 | 40.19 | 104.99 |
| 32. | 30 sept. 2020 | -6.26% | -3.92% | 54.99 | 21.06 | 34.03 |
| 33. | 31 oct. 2020 | 31.61% | -2.77% | 927.19 | 11.79 | -104.54 |
| 34. | 30 nov. 2020 | 47.00% | 10.75% | 2,101.32 | 101.77 | 462.43 |
| 35. | 31 dic. 2020 | 18.18% | 3.71% | 289.82 | 9.28 | 51.85 |
| 36. | 31 ene. 2021 | 5.90% | -1.11% | 22.52 | 3.17 | -8.45 |
| 37. | 28 feb. 2021 | -6.42% | 2.61% | 57.41 | 3.77 | -14.72 |
| 38. | 31 mar. 2021 | 57.56% | 4.24% | 3,180.72 | 12.80 | 201.75 |
| 39. | 30 abr. 2021 | -12.07% | 5.24% | 175.10 | 20.94 | -60.55 |
| 40. | 31 may. 2021 | 12.73% | 0.55% | 134.00 | 0.01 | -1.37 |
| 41. | 30 jun. 2021 | -7.44% | 2.22% | 73.98 | 2.42 | -13.37 |
| 42. | 31 jul. 2021 | 10.33% | 2.27% | 84.19 | 2.59 | 14.76 |
| 43. | 31 ago. 2021 | 1.06% | 2.90% | 0.01 | 4.98 | -0.22 |
| 44. | 30 sept. 2021 | -17.87% | -4.76% | 362.03 | 29.42 | 103.19 |
| 45. | 31 oct. 2021 | 20.12% | 6.91% | 359.50 | 39.03 | 118.46 |
| 46. | 30 nov. 2021 | -14.13% | -0.83% | 233.84 | 2.25 | 22.94 |
| 47. | 31 dic. 2021 | 5.31% | 4.36% | 17.22 | 13.65 | 15.33 |
| 48. | 31 ene. 2022 | -12.98% | -5.26% | 199.81 | 35.11 | 83.76 |
| 49. | 28 feb. 2022 | 31.56% | -3.14% | 924.52 | 14.46 | -115.62 |
| 50. | 31 mar. 2022 | 38.70% | 3.58% | 1,409.34 | 8.47 | 109.27 |
| 51. | 30 abr. 2022 | -19.21% | -8.80% | 414.86 | 89.54 | 192.73 |
| 52. | 31 may. 2022 | -17.61% | 0.01% | 352.32 | 0.44 | 12.41 |
| 53. | 30 jun. 2022 | -28.56% | -8.39% | 883.15 | 82.06 | 269.20 |
| 54. | 31 jul. 2022 | 32.05% | 9.11% | 954.27 | 71.32 | 260.88 |
| 55. | 31 ago. 2022 | -3.09% | -4.24% | 18.02 | 24.11 | 20.84 |
| 56. | 30 sept. 2022 | -20.77% | -9.34% | 480.81 | 100.12 | 219.41 |
| 57. | 31 oct. 2022 | 12.36% | 7.99% | 125.53 | 53.58 | 82.01 |
| 58. | 30 nov. 2022 | 29.37% | 5.38% | 796.00 | 22.17 | 132.85 |
| 59. | 31 dic. 2022 | -4.72% | -5.90% | 34.51 | 43.08 | 38.56 |
| Total (Σ): | 22,504.49 | 1,691.48 | 3,655.99 | |||
Mostrar todo
VarianzaX = Σ(RX,t–RX)2 ÷ (59 – 1)
= 22,504.49 ÷ (59 – 1)
= 388.01
VarianzaS&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16
CovarianzaX, S&P 500 = Σ(RX,t–RX)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 3,655.99 ÷ (59 – 1)
= 63.03
Estimación sistemática del riesgo (β)
| VarianzaX | 388.01 |
| VarianzaS&P 500 | 29.16 |
| CovarianzaX, S&P 500 | 63.03 |
| Coeficiente de correlaciónX, S&P 5001 | 0.59 |
| βX2 | 2.16 |
| αX3 | -0.28% |
Cálculos
1 Coeficiente de correlaciónX, S&P 500
= CovarianzaX, S&P 500 ÷ (Desviación estándarX × Desviación estándarS&P 500)
= 63.03 ÷ (19.70% × 5.40%)
= 0.59
2 βX
= CovarianzaX, S&P 500 ÷ VarianzaS&P 500
= 63.03 ÷ 29.16
= 2.16
3 αX
= PromedioX – βX × PromedioS&P 500
= 1.16% – 2.16 × 0.67%
= -0.28%
Tasa de rendimiento esperada
| Suposiciones | ||
| Tasa de rendimiento del LT Treasury Composite1 | RF | 4.67% |
| Tasa de rendimiento esperada de la cartera de mercado2 | E(RM) | 13.79% |
| Riesgo sistemático de U. S. Steel acciones ordinarias | βX | 2.16 |
| Tasa de rendimiento esperada de las acciones ordinarias de U. S. Steel3 | E(RX) | 24.37% |
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(RX) = RF + βX [E(RM) – RF]
= 4.67% + 2.16 [13.79% – 4.67%]
= 24.37%