Stock Analysis on Net

Applied Materials Inc. (NASDAQ:AMAT)

Modelo de precificação de ativos de capital (CAPM) 

Microsoft Excel

Taxas de ida e volta

Applied Materials Inc., taxas mensais de retorno

Microsoft Excel
Applied Materials Inc. (AMAT) Standard & Poor’s 500 (S&P 500)
t Data PreçoAMAT,t1 DividendoAMAT,t1 RAMAT,t2 PreçoS&P 500,t RS&P 500,t3
30 de nov. de 2016 $32.20 2,198.81
1. 31 de dez. de 2016 $32.27 0.22% 2,238.83 1.82%
2. 31 de jan. de 2017 $34.25 6.14% 2,278.87 1.79%
3. 28 de fev. de 2017 $36.22 $0.10 6.04% 2,363.64 3.72%
. . . . . . .
. . . . . . .
. . . . . . .
70. 30 de set. de 2022 $81.93 -12.91% 3,585.62 -9.34%
71. 31 de out. de 2022 $88.29 7.76% 3,871.98 7.99%
Média (R): 2.08% 0.92%
Desvio padrão: 10.62% 4.88%
Applied Materials Inc. (AMAT) Standard & Poor’s 500 (S&P 500)
t Data PreçoAMAT,t1 DividendoAMAT,t1 RAMAT,t2 PreçoS&P 500,t RS&P 500,t3
30 de nov. de 2016 $32.20 2,198.81
1. 31 de dez. de 2016 $32.27 0.22% 2,238.83 1.82%
2. 31 de jan. de 2017 $34.25 6.14% 2,278.87 1.79%
3. 28 de fev. de 2017 $36.22 $0.10 6.04% 2,363.64 3.72%
4. 31 de mar. de 2017 $38.90 7.40% 2,362.72 -0.04%
5. 30 de abr. de 2017 $40.61 4.40% 2,384.20 0.91%
6. 31 de mai. de 2017 $45.88 $0.10 13.22% 2,411.80 1.16%
7. 30 de jun. de 2017 $41.31 -9.96% 2,423.41 0.48%
8. 31 de jul. de 2017 $44.31 7.26% 2,470.30 1.93%
9. 31 de ago. de 2017 $45.12 $0.10 2.05% 2,471.65 0.05%
10. 30 de set. de 2017 $52.09 15.45% 2,519.36 1.93%
11. 31 de out. de 2017 $56.43 8.33% 2,575.26 2.22%
12. 30 de nov. de 2017 $52.77 $0.10 -6.31% 2,647.58 2.81%
13. 31 de dez. de 2017 $51.12 -3.13% 2,673.61 0.98%
14. 31 de jan. de 2018 $53.63 4.91% 2,823.81 5.62%
15. 28 de fev. de 2018 $57.59 $0.10 7.57% 2,713.83 -3.89%
16. 31 de mar. de 2018 $55.61 -3.44% 2,640.87 -2.69%
17. 30 de abr. de 2018 $49.67 -10.68% 2,648.05 0.27%
18. 31 de mai. de 2018 $50.78 $0.20 2.64% 2,705.27 2.16%
19. 30 de jun. de 2018 $46.19 -9.04% 2,718.37 0.48%
20. 31 de jul. de 2018 $48.63 5.28% 2,816.29 3.60%
21. 31 de ago. de 2018 $43.02 $0.20 -11.12% 2,901.52 3.03%
22. 30 de set. de 2018 $38.65 -10.16% 2,913.98 0.43%
23. 31 de out. de 2018 $32.88 -14.93% 2,711.74 -6.94%
24. 30 de nov. de 2018 $37.28 $0.20 13.99% 2,760.17 1.79%
25. 31 de dez. de 2018 $32.74 -12.18% 2,506.85 -9.18%
26. 31 de jan. de 2019 $39.08 19.36% 2,704.10 7.87%
27. 28 de fev. de 2019 $38.34 $0.20 -1.38% 2,784.49 2.97%
28. 31 de mar. de 2019 $39.66 3.44% 2,834.40 1.79%
29. 30 de abr. de 2019 $44.07 11.12% 2,945.83 3.93%
30. 31 de mai. de 2019 $38.69 $0.21 -11.73% 2,752.06 -6.58%
31. 30 de jun. de 2019 $44.91 16.08% 2,941.76 6.89%
32. 31 de jul. de 2019 $49.37 9.93% 2,980.38 1.31%
33. 31 de ago. de 2019 $48.02 $0.21 -2.31% 2,926.46 -1.81%
34. 30 de set. de 2019 $49.90 3.92% 2,976.74 1.72%
35. 31 de out. de 2019 $54.26 8.74% 3,037.56 2.04%
36. 30 de nov. de 2019 $57.90 $0.21 7.10% 3,140.98 3.40%
37. 31 de dez. de 2019 $61.04 5.42% 3,230.78 2.86%
38. 31 de jan. de 2020 $57.99 -5.00% 3,225.52 -0.16%
39. 29 de fev. de 2020 $58.12 $0.21 0.59% 2,954.22 -8.41%
40. 31 de mar. de 2020 $45.82 -21.16% 2,584.59 -12.51%
41. 30 de abr. de 2020 $49.68 8.42% 2,912.43 12.68%
42. 31 de mai. de 2020 $56.18 $0.22 13.53% 3,044.31 4.53%
43. 30 de jun. de 2020 $60.45 7.60% 3,100.29 1.84%
44. 31 de jul. de 2020 $64.33 6.42% 3,271.12 5.51%
45. 31 de ago. de 2020 $61.60 $0.22 -3.90% 3,500.31 7.01%
46. 30 de set. de 2020 $59.45 -3.49% 3,363.00 -3.92%
47. 31 de out. de 2020 $59.23 -0.37% 3,269.96 -2.77%
48. 30 de nov. de 2020 $82.48 $0.22 39.63% 3,621.63 10.75%
49. 31 de dez. de 2020 $86.30 4.63% 3,756.07 3.71%
50. 31 de jan. de 2021 $96.68 12.03% 3,714.24 -1.11%
51. 28 de fev. de 2021 $118.19 $0.22 22.48% 3,811.15 2.61%
52. 31 de mar. de 2021 $133.60 13.04% 3,972.89 4.24%
53. 30 de abr. de 2021 $132.71 -0.67% 4,181.17 5.24%
54. 31 de mai. de 2021 $138.13 $0.24 4.26% 4,204.11 0.55%
55. 30 de jun. de 2021 $142.40 3.09% 4,297.50 2.22%
56. 31 de jul. de 2021 $139.93 -1.73% 4,395.26 2.27%
57. 31 de ago. de 2021 $135.13 $0.24 -3.26% 4,522.68 2.90%
58. 30 de set. de 2021 $128.73 -4.74% 4,307.54 -4.76%
59. 31 de out. de 2021 $136.65 6.15% 4,605.38 6.91%
60. 30 de nov. de 2021 $147.19 $0.24 7.89% 4,567.00 -0.83%
61. 31 de dez. de 2021 $157.36 6.91% 4,766.18 4.36%
62. 31 de jan. de 2022 $138.18 -12.19% 4,515.55 -5.26%
63. 28 de fev. de 2022 $134.20 $0.24 -2.71% 4,373.94 -3.14%
64. 31 de mar. de 2022 $131.80 -1.79% 4,530.41 3.58%
65. 30 de abr. de 2022 $110.35 -16.27% 4,131.93 -8.80%
66. 31 de mai. de 2022 $117.29 $0.26 6.52% 4,132.15 0.01%
67. 30 de jun. de 2022 $90.98 -22.43% 3,785.38 -8.39%
68. 31 de jul. de 2022 $105.98 16.49% 4,130.29 9.11%
69. 31 de ago. de 2022 $94.07 $0.26 -10.99% 3,955.00 -4.24%
70. 30 de set. de 2022 $81.93 -12.91% 3,585.62 -9.34%
71. 31 de out. de 2022 $88.29 7.76% 3,871.98 7.99%
Média (R): 2.08% 0.92%
Desvio padrão: 10.62% 4.88%

Mostrar tudo

1 Dados em US$ por ação ordinária, ajustados por desdobramentos e dividendos de ações.

2 Taxa de retorno sobre as ações ordinárias da AMAT durante o período t.

3 Taxa de retorno do S&P 500 (o proxy da carteira de mercado) durante o período t.


Variância e covariância

Applied Materials Inc., cálculo da variância e covariância dos retornos

Microsoft Excel
t Data RAMAT,t RS&P 500,t (RAMAT,tRAMAT)2 (RS&P 500,tRS&P 500)2 (RAMAT,tRAMAT)×(RS&P 500,tRS&P 500)
1. 31 de dez. de 2016 0.22% 1.82% 3.46 0.81 -1.68
2. 31 de jan. de 2017 6.14% 1.79% 16.47 0.76 3.53
3. 28 de fev. de 2017 6.04% 3.72% 15.73 7.85 11.11
. . . . . . .
. . . . . . .
. . . . . . .
70. 30 de set. de 2022 -12.91% -9.34% 224.47 105.24 153.70
71. 31 de out. de 2022 7.76% 7.99% 32.33 49.95 40.18
Total (Σ): 7,898.58 1,669.64 2,516.35
t Data RAMAT,t RS&P 500,t (RAMAT,tRAMAT)2 (RS&P 500,tRS&P 500)2 (RAMAT,tRAMAT)×(RS&P 500,tRS&P 500)
1. 31 de dez. de 2016 0.22% 1.82% 3.46 0.81 -1.68
2. 31 de jan. de 2017 6.14% 1.79% 16.47 0.76 3.53
3. 28 de fev. de 2017 6.04% 3.72% 15.73 7.85 11.11
4. 31 de mar. de 2017 7.40% -0.04% 28.33 0.92 -5.10
5. 30 de abr. de 2017 4.40% 0.91% 5.38 0.00 -0.02
6. 31 de mai. de 2017 13.22% 1.16% 124.24 0.06 2.66
7. 30 de jun. de 2017 -9.96% 0.48% 144.91 0.19 5.27
8. 31 de jul. de 2017 7.26% 1.93% 26.89 1.03 5.27
9. 31 de ago. de 2017 2.05% 0.05% 0.00 0.75 0.02
10. 30 de set. de 2017 15.45% 1.93% 178.77 1.02 13.52
11. 31 de out. de 2017 8.33% 2.22% 39.12 1.69 8.13
12. 30 de nov. de 2017 -6.31% 2.81% 70.32 3.57 -15.84
13. 31 de dez. de 2017 -3.13% 0.98% 27.08 0.00 -0.33
14. 31 de jan. de 2018 4.91% 5.62% 8.03 22.08 13.31
15. 28 de fev. de 2018 7.57% -3.89% 30.18 23.17 -26.44
16. 31 de mar. de 2018 -3.44% -2.69% 30.42 13.01 19.89
17. 30 de abr. de 2018 -10.68% 0.27% 162.78 0.42 8.25
18. 31 de mai. de 2018 2.64% 2.16% 0.31 1.54 0.70
19. 30 de jun. de 2018 -9.04% 0.48% 123.57 0.19 4.83
20. 31 de jul. de 2018 5.28% 3.60% 10.28 7.20 8.60
21. 31 de ago. de 2018 -11.12% 3.03% 174.29 4.44 -27.82
22. 30 de set. de 2018 -10.16% 0.43% 149.70 0.24 5.99
23. 31 de out. de 2018 -14.93% -6.94% 289.20 61.77 133.65
24. 30 de nov. de 2018 13.99% 1.79% 141.92 0.75 10.33
25. 31 de dez. de 2018 -12.18% -9.18% 203.21 101.94 143.93
26. 31 de jan. de 2019 19.36% 7.87% 298.86 48.30 120.14
27. 28 de fev. de 2019 -1.38% 2.97% 11.96 4.22 -7.10
28. 31 de mar. de 2019 3.44% 1.79% 1.87 0.76 1.19
29. 30 de abr. de 2019 11.12% 3.93% 81.77 9.08 27.24
30. 31 de mai. de 2019 -11.73% -6.58% 190.67 56.20 103.52
31. 30 de jun. de 2019 16.08% 6.89% 195.98 35.69 83.63
32. 31 de jul. de 2019 9.93% 1.31% 61.68 0.16 3.09
33. 31 de ago. de 2019 -2.31% -1.81% 19.24 7.44 11.97
34. 30 de set. de 2019 3.92% 1.72% 3.38 0.64 1.47
35. 31 de out. de 2019 8.74% 2.04% 44.36 1.26 7.49
36. 30 de nov. de 2019 7.10% 3.40% 25.18 6.18 12.47
37. 31 de dez. de 2019 5.42% 2.86% 11.20 3.76 6.49
38. 31 de jan. de 2020 -5.00% -0.16% 50.04 1.17 7.65
39. 29 de fev. de 2020 0.59% -8.41% 2.22 87.05 13.91
40. 31 de mar. de 2020 -21.16% -12.51% 540.11 180.39 312.13
41. 30 de abr. de 2020 8.42% 12.68% 40.29 138.43 74.68
42. 31 de mai. de 2020 13.53% 4.53% 131.09 13.03 41.32
43. 30 de jun. de 2020 7.60% 1.84% 30.51 0.85 5.08
44. 31 de jul. de 2020 6.42% 5.51% 18.85 21.08 19.93
45. 31 de ago. de 2020 -3.90% 7.01% 35.75 37.06 -36.40
46. 30 de set. de 2020 -3.49% -3.92% 31.00 23.44 26.96
47. 31 de out. de 2020 -0.37% -2.77% 5.99 13.58 9.02
48. 30 de nov. de 2020 39.63% 10.75% 1,409.86 96.74 369.31
49. 31 de dez. de 2020 4.63% 3.71% 6.52 7.80 7.14
50. 31 de jan. de 2021 12.03% -1.11% 99.02 4.13 -20.23
51. 28 de fev. de 2021 22.48% 2.61% 416.13 2.86 34.48
52. 31 de mar. de 2021 13.04% 4.24% 120.15 11.06 36.45
53. 30 de abr. de 2021 -0.67% 5.24% 7.53 18.69 -11.86
54. 31 de mai. de 2021 4.26% 0.55% 4.79 0.14 -0.81
55. 30 de jun. de 2021 3.09% 2.22% 1.03 1.70 1.32
56. 31 de jul. de 2021 -1.73% 2.27% 14.53 1.84 -5.17
57. 31 de ago. de 2021 -3.26% 2.90% 28.47 3.92 -10.57
58. 30 de set. de 2021 -4.74% -4.76% 46.42 32.21 38.67
59. 31 de out. de 2021 6.15% 6.91% 16.61 35.95 24.43
60. 30 de nov. de 2021 7.89% -0.83% 33.78 3.07 -10.18
61. 31 de dez. de 2021 6.91% 4.36% 23.35 11.85 16.64
62. 31 de jan. de 2022 -12.19% -5.26% 203.51 38.16 88.12
63. 28 de fev. de 2022 -2.71% -3.14% 22.88 16.44 19.40
64. 31 de mar. de 2022 -1.79% 3.58% 14.94 7.07 -10.28
65. 30 de abr. de 2022 -16.27% -8.80% 336.79 94.37 178.28
66. 31 de mai. de 2022 6.52% 0.01% 19.78 0.83 -4.06
67. 30 de jun. de 2022 -22.43% -8.39% 600.67 86.69 228.20
68. 31 de jul. de 2022 16.49% 9.11% 207.65 67.12 118.06
69. 31 de ago. de 2022 -10.99% -4.24% 170.82 26.66 67.48
70. 30 de set. de 2022 -12.91% -9.34% 224.47 105.24 153.70
71. 31 de out. de 2022 7.76% 7.99% 32.33 49.95 40.18
Total (Σ): 7,898.58 1,669.64 2,516.35

Mostrar tudo

VariaçãoAMAT = Σ(RAMAT,tRAMAT)2 ÷ (71 – 1)
= 7,898.58 ÷ (71 – 1)
= 112.84

VariaçãoS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,669.64 ÷ (71 – 1)
= 23.85

CovariânciaAMAT, S&P 500 = Σ(RAMAT,tRAMAT)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 2,516.35 ÷ (71 – 1)
= 35.95


Estimativa sistemática de risco (β)

Microsoft Excel
VariaçãoAMAT 112.84
VariaçãoS&P 500 23.85
CovariânciaAMAT, S&P 500 35.95
Coeficiente de correlaçãoAMAT, S&P 5001 0.69
βAMAT2 1.51
αAMAT3 0.69%

Cálculos

1 Coeficiente de correlaçãoAMAT, S&P 500
= CovariânciaAMAT, S&P 500 ÷ (Desvio padrãoAMAT × Desvio padrãoS&P 500)
= 35.95 ÷ (10.62% × 4.88%)
= 0.69

2 βAMAT
= CovariânciaAMAT, S&P 500 ÷ VariaçãoS&P 500
= 35.95 ÷ 23.85
= 1.51

3 αAMAT
= MédiaAMAT – βAMAT × MédiaS&P 500
= 2.08%1.51 × 0.92%
= 0.69%


Taxa de retorno esperada

Microsoft Excel
Suposições
Taxa de retorno do LT Treasury Composite1 RF 4.66%
Taxa esperada de retorno da carteira de mercado2 E(RM) 13.57%
Risco sistemático de Applied ações ordinárias βAMAT 1.51
 
Taxa de retorno esperada das ações ordinárias aplicadas3 E(RAMAT) 18.09%

1 Média não ponderada dos rendimentos das ofertas em todos os títulos do Tesouro dos EUA de cupom fixo em circulação, nem vencidos ou exigíveis em menos de 10 anos (proxy de taxa de retorno sem risco).

2 Ver detalhes »

3 E(RAMAT) = RF + βAMAT [E(RM) – RF]
= 4.66% + 1.51 [13.57%4.66%]
= 18.09%