Stock Analysis on Net

Medtronic PLC (NYSE:MDT)

Modelo de precificação de ativos de capital (CAPM) 

Microsoft Excel

Taxas de retorno

Medtronic PLC, taxas mensais de retorno

Microsoft Excel
Medtronic PLC (MDT) Standard & Poor’s 500 (S&P 500)
t Data PreçoMDT,t1 DividendoMDT,t1 RMDT,t2 PreçoS&P 500,t RS&P 500,t3
31 de mai. de 2017 $84.28 2,411.80
1. 30 de jun. de 2017 $88.75 5.30% 2,423.41 0.48%
2. 31 de jul. de 2017 $83.97 $0.46 -4.87% 2,470.30 1.93%
3. 31 de ago. de 2017 $80.62 -3.99% 2,471.65 0.05%
. . . . . . .
. . . . . . .
. . . . . . .
70. 31 de mar. de 2023 $80.62 $0.68 -1.81% 4,109.31 3.51%
71. 30 de abr. de 2023 $90.95 12.81% 4,169.48 1.46%
Média (R): 0.48% 0.90%
Desvio padrão: 5.90% 5.03%
Medtronic PLC (MDT) Standard & Poor’s 500 (S&P 500)
t Data PreçoMDT,t1 DividendoMDT,t1 RMDT,t2 PreçoS&P 500,t RS&P 500,t3
31 de mai. de 2017 $84.28 2,411.80
1. 30 de jun. de 2017 $88.75 5.30% 2,423.41 0.48%
2. 31 de jul. de 2017 $83.97 $0.46 -4.87% 2,470.30 1.93%
3. 31 de ago. de 2017 $80.62 -3.99% 2,471.65 0.05%
4. 30 de set. de 2017 $77.77 $0.46 -2.96% 2,519.36 1.93%
5. 31 de out. de 2017 $80.52 3.54% 2,575.26 2.22%
6. 30 de nov. de 2017 $82.13 2.00% 2,647.58 2.81%
7. 31 de dez. de 2017 $80.75 $0.46 -1.12% 2,673.61 0.98%
8. 31 de jan. de 2018 $85.89 6.37% 2,823.81 5.62%
9. 28 de fev. de 2018 $79.89 -6.99% 2,713.83 -3.89%
10. 31 de mar. de 2018 $80.22 $0.46 0.99% 2,640.87 -2.69%
11. 30 de abr. de 2018 $80.13 -0.11% 2,648.05 0.27%
12. 31 de mai. de 2018 $86.32 7.72% 2,705.27 2.16%
13. 30 de jun. de 2018 $85.61 -0.82% 2,718.37 0.48%
14. 31 de jul. de 2018 $90.23 $0.50 5.98% 2,816.29 3.60%
15. 31 de ago. de 2018 $96.41 6.85% 2,901.52 3.03%
16. 30 de set. de 2018 $98.37 $0.50 2.55% 2,913.98 0.43%
17. 31 de out. de 2018 $89.82 -8.69% 2,711.74 -6.94%
18. 30 de nov. de 2018 $97.53 8.58% 2,760.17 1.79%
19. 31 de dez. de 2018 $90.96 $0.50 -6.22% 2,506.85 -9.18%
20. 31 de jan. de 2019 $88.39 -2.83% 2,704.10 7.87%
21. 28 de fev. de 2019 $90.50 2.39% 2,784.49 2.97%
22. 31 de mar. de 2019 $91.08 $0.50 1.19% 2,834.40 1.79%
23. 30 de abr. de 2019 $88.81 -2.49% 2,945.83 3.93%
24. 31 de mai. de 2019 $92.58 4.25% 2,752.06 -6.58%
25. 30 de jun. de 2019 $97.39 5.20% 2,941.76 6.89%
26. 31 de jul. de 2019 $101.94 $0.54 5.23% 2,980.38 1.31%
27. 31 de ago. de 2019 $107.89 5.84% 2,926.46 -1.81%
28. 30 de set. de 2019 $108.62 $0.54 1.18% 2,976.74 1.72%
29. 31 de out. de 2019 $108.90 0.26% 3,037.56 2.04%
30. 30 de nov. de 2019 $111.39 2.29% 3,140.98 3.40%
31. 31 de dez. de 2019 $113.45 $0.54 2.33% 3,230.78 2.86%
32. 31 de jan. de 2020 $115.44 1.75% 3,225.52 -0.16%
33. 29 de fev. de 2020 $100.67 -12.79% 2,954.22 -8.41%
34. 31 de mar. de 2020 $90.18 $0.54 -9.88% 2,584.59 -12.51%
35. 30 de abr. de 2020 $97.63 8.26% 2,912.43 12.68%
36. 31 de mai. de 2020 $98.58 0.97% 3,044.31 4.53%
37. 30 de jun. de 2020 $91.70 $0.58 -6.39% 3,100.29 1.84%
38. 31 de jul. de 2020 $96.48 5.21% 3,271.12 5.51%
39. 31 de ago. de 2020 $107.47 11.39% 3,500.31 7.01%
40. 30 de set. de 2020 $103.92 $0.58 -2.76% 3,363.00 -3.92%
41. 31 de out. de 2020 $100.57 -3.22% 3,269.96 -2.77%
42. 30 de nov. de 2020 $113.70 13.06% 3,621.63 10.75%
43. 31 de dez. de 2020 $117.14 $0.58 3.54% 3,756.07 3.71%
44. 31 de jan. de 2021 $111.33 -4.96% 3,714.24 -1.11%
45. 28 de fev. de 2021 $116.97 5.07% 3,811.15 2.61%
46. 31 de mar. de 2021 $118.13 $0.58 1.49% 3,972.89 4.24%
47. 30 de abr. de 2021 $130.92 10.83% 4,181.17 5.24%
48. 31 de mai. de 2021 $126.59 -3.31% 4,204.11 0.55%
49. 30 de jun. de 2021 $124.13 $0.63 -1.45% 4,297.50 2.22%
50. 31 de jul. de 2021 $131.31 5.78% 4,395.26 2.27%
51. 31 de ago. de 2021 $133.48 1.65% 4,522.68 2.90%
52. 30 de set. de 2021 $125.35 $0.63 -5.62% 4,307.54 -4.76%
53. 31 de out. de 2021 $119.86 -4.38% 4,605.38 6.91%
54. 30 de nov. de 2021 $106.70 -10.98% 4,567.00 -0.83%
55. 31 de dez. de 2021 $103.45 $0.63 -2.46% 4,766.18 4.36%
56. 31 de jan. de 2022 $103.49 0.04% 4,515.55 -5.26%
57. 28 de fev. de 2022 $104.99 1.45% 4,373.94 -3.14%
58. 31 de mar. de 2022 $110.95 $0.63 6.28% 4,530.41 3.58%
59. 30 de abr. de 2022 $104.36 -5.94% 4,131.93 -8.80%
60. 31 de mai. de 2022 $100.15 -4.03% 4,132.15 0.01%
61. 30 de jun. de 2022 $89.75 $0.68 -9.71% 3,785.38 -8.39%
62. 31 de jul. de 2022 $92.52 3.09% 4,130.29 9.11%
63. 31 de ago. de 2022 $87.92 -4.97% 3,955.00 -4.24%
64. 30 de set. de 2022 $80.75 $0.68 -7.38% 3,585.62 -9.34%
65. 31 de out. de 2022 $87.34 8.16% 3,871.98 7.99%
66. 30 de nov. de 2022 $79.04 -9.50% 4,080.11 5.38%
67. 31 de dez. de 2022 $77.72 $0.68 -0.81% 3,839.50 -5.90%
68. 31 de jan. de 2023 $83.69 7.68% 4,076.60 6.18%
69. 28 de fev. de 2023 $82.80 -1.06% 3,970.15 -2.61%
70. 31 de mar. de 2023 $80.62 $0.68 -1.81% 4,109.31 3.51%
71. 30 de abr. de 2023 $90.95 12.81% 4,169.48 1.46%
Média (R): 0.48% 0.90%
Desvio padrão: 5.90% 5.03%

Mostrar tudo

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

2 Taxa de retorno das ações ordinárias da MDT durante o período t.

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


Variância e covariância

Medtronic PLC, cálculo da variância e covariância dos retornos

Microsoft Excel
t Data RMDT,t RS&P 500,t (RMDT,tRMDT)2 (RS&P 500,tRS&P 500)2 (RMDT,tRMDT)×(RS&P 500,tRS&P 500)
1. 30 de jun. de 2017 5.30% 0.48% 23.28 0.18 -2.02
2. 31 de jul. de 2017 -4.87% 1.93% 28.59 1.07 -5.53
3. 31 de ago. de 2017 -3.99% 0.05% 19.97 0.71 3.78
. . . . . . .
. . . . . . .
. . . . . . .
70. 31 de mar. de 2023 -1.81% 3.51% 5.25 6.79 -5.97
71. 30 de abr. de 2023 12.81% 1.46% 152.13 0.32 6.96
Total (Σ): 2,435.45 1,772.62 1,270.98
t Data RMDT,t RS&P 500,t (RMDT,tRMDT)2 (RS&P 500,tRS&P 500)2 (RMDT,tRMDT)×(RS&P 500,tRS&P 500)
1. 30 de jun. de 2017 5.30% 0.48% 23.28 0.18 -2.02
2. 31 de jul. de 2017 -4.87% 1.93% 28.59 1.07 -5.53
3. 31 de ago. de 2017 -3.99% 0.05% 19.97 0.71 3.78
4. 30 de set. de 2017 -2.96% 1.93% 11.86 1.06 -3.55
5. 31 de out. de 2017 3.54% 2.22% 9.35 1.74 4.03
6. 30 de nov. de 2017 2.00% 2.81% 2.31 3.64 2.90
7. 31 de dez. de 2017 -1.12% 0.98% 2.56 0.01 -0.13
8. 31 de jan. de 2018 6.37% 5.62% 34.65 22.26 27.77
9. 28 de fev. de 2018 -6.99% -3.89% 55.72 22.99 35.79
10. 31 de mar. de 2018 0.99% -2.69% 0.26 12.88 -1.83
11. 30 de abr. de 2018 -0.11% 0.27% 0.35 0.39 0.37
12. 31 de mai. de 2018 7.72% 2.16% 52.50 1.59 9.14
13. 30 de jun. de 2018 -0.82% 0.48% 1.69 0.17 0.54
14. 31 de jul. de 2018 5.98% 3.60% 30.27 7.30 14.87
15. 31 de ago. de 2018 6.85% 3.03% 40.58 4.52 13.55
16. 30 de set. de 2018 2.55% 0.43% 4.30 0.22 -0.98
17. 31 de out. de 2018 -8.69% -6.94% 84.10 61.47 71.90
18. 30 de nov. de 2018 8.58% 1.79% 65.69 0.79 7.18
19. 31 de dez. de 2018 -6.22% -9.18% 44.93 101.56 67.55
20. 31 de jan. de 2019 -2.83% 7.87% 10.92 48.56 -23.03
21. 28 de fev. de 2019 2.39% 2.97% 3.64 4.30 3.96
22. 31 de mar. de 2019 1.19% 1.79% 0.51 0.80 0.64
23. 30 de abr. de 2019 -2.49% 3.93% 8.83 9.19 -9.01
24. 31 de mai. de 2019 4.25% -6.58% 14.18 55.92 -28.16
25. 30 de jun. de 2019 5.20% 6.89% 22.24 35.92 28.27
26. 31 de jul. de 2019 5.23% 1.31% 22.54 0.17 1.96
27. 31 de ago. de 2019 5.84% -1.81% 28.71 7.34 -14.51
28. 30 de set. de 2019 1.18% 1.72% 0.49 0.67 0.57
29. 31 de out. de 2019 0.26% 2.04% 0.05 1.31 -0.25
30. 30 de nov. de 2019 2.29% 3.40% 3.27 6.27 4.53
31. 31 de dez. de 2019 2.33% 2.86% 3.44 3.84 3.63
32. 31 de jan. de 2020 1.75% -0.16% 1.63 1.13 -1.36
33. 29 de fev. de 2020 -12.79% -8.41% 176.19 86.69 123.59
34. 31 de mar. de 2020 -9.88% -12.51% 107.39 179.88 138.98
35. 30 de abr. de 2020 8.26% 12.68% 60.56 138.87 91.71
36. 31 de mai. de 2020 0.97% 4.53% 0.24 13.16 1.79
37. 30 de jun. de 2020 -6.39% 1.84% 47.19 0.88 -6.45
38. 31 de jul. de 2020 5.21% 5.51% 22.41 21.25 21.82
39. 31 de ago. de 2020 11.39% 7.01% 119.07 37.29 66.63
40. 30 de set. de 2020 -2.76% -3.92% 10.51 23.26 15.64
41. 31 de out. de 2020 -3.22% -2.77% 13.71 13.44 13.58
42. 30 de nov. de 2020 13.06% 10.75% 158.17 97.11 123.94
43. 31 de dez. de 2020 3.54% 3.71% 9.34 7.91 8.60
44. 31 de jan. de 2021 -4.96% -1.11% 29.58 4.05 10.95
45. 28 de fev. de 2021 5.07% 2.61% 21.04 2.92 7.84
46. 31 de mar. de 2021 1.49% 4.24% 1.02 11.18 3.37
47. 30 de abr. de 2021 10.83% 5.24% 107.08 18.86 44.94
48. 31 de mai. de 2021 -3.31% 0.55% 14.34 0.12 1.33
49. 30 de jun. de 2021 -1.45% 2.22% 3.70 1.75 -2.54
50. 31 de jul. de 2021 5.78% 2.27% 28.15 1.89 7.29
51. 31 de ago. de 2021 1.65% 2.90% 1.38 4.00 2.35
52. 30 de set. de 2021 -5.62% -4.76% 37.18 32.00 34.49
53. 31 de out. de 2021 -4.38% 6.91% 23.61 36.17 -29.22
54. 30 de nov. de 2021 -10.98% -0.83% 131.30 3.00 19.86
55. 31 de dez. de 2021 -2.46% 4.36% 8.61 11.98 -10.16
56. 31 de jan. de 2022 0.04% -5.26% 0.19 37.93 2.71
57. 28 de fev. de 2022 1.45% -3.14% 0.94 16.29 -3.92
58. 31 de mar. de 2022 6.28% 3.58% 33.61 7.17 15.52
59. 30 de abr. de 2022 -5.94% -8.80% 41.20 94.00 62.23
60. 31 de mai. de 2022 -4.03% 0.01% 20.37 0.80 4.04
61. 30 de jun. de 2022 -9.71% -8.39% 103.72 86.34 94.63
62. 31 de jul. de 2022 3.09% 9.11% 6.80 67.43 21.41
63. 31 de ago. de 2022 -4.97% -4.24% 29.71 26.46 28.04
64. 30 de set. de 2022 -7.38% -9.34% 61.79 104.85 80.49
65. 31 de out. de 2022 8.16% 7.99% 59.01 50.22 54.44
66. 30 de nov. de 2022 -9.50% 5.38% 99.64 20.03 -44.67
67. 31 de dez. de 2022 -0.81% -5.90% 1.66 46.20 8.76
68. 31 de jan. de 2023 7.68% 6.18% 51.87 27.83 38.00
69. 28 de fev. de 2023 -1.06% -2.61% 2.38 12.33 5.42
70. 31 de mar. de 2023 -1.81% 3.51% 5.25 6.79 -5.97
71. 30 de abr. de 2023 12.81% 1.46% 152.13 0.32 6.96
Total (Σ): 2,435.45 1,772.62 1,270.98

Mostrar tudo

VariaçãoMDT = Σ(RMDT,tRMDT)2 ÷ (71 – 1)
= 2,435.45 ÷ (71 – 1)
= 34.79

VariaçãoS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,772.62 ÷ (71 – 1)
= 25.32

CovariânciaMDT, S&P 500 = Σ(RMDT,tRMDT)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 1,270.98 ÷ (71 – 1)
= 18.16


Estimativa sistemática de risco (β)

Microsoft Excel
VariaçãoMDT 34.79
VariaçãoS&P 500 25.32
CovariânciaMDT, S&P 500 18.16
Coeficiente de correlaçãoMDT, S&P 5001 0.61
βMDT2 0.72
αMDT3 -0.17%

Cálculos

1 Coeficiente de correlaçãoMDT, S&P 500
= CovariânciaMDT, S&P 500 ÷ (Desvio padrãoMDT × Desvio padrãoS&P 500)
= 18.16 ÷ (5.90% × 5.03%)
= 0.61

2 βMDT
= CovariânciaMDT, S&P 500 ÷ VariaçãoS&P 500
= 18.16 ÷ 25.32
= 0.72

3 αMDT
= MédiaMDT – βMDT × MédiaS&P 500
= 0.48%0.72 × 0.90%
= -0.17%


Taxa de retorno esperada

Microsoft Excel
Suposições
Taxa de retorno do LT Treasury Composite1 RF 4.42%
Taxa esperada de retorno da carteira de mercado2 E(RM) 13.79%
Risco sistemático de Medtronic ações ordinárias βMDT 0.72
 
Taxa de retorno esperada das ações ordinárias da Medtronic3 E(RMDT) 11.14%

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

2 Ver Detalhes »

3 E(RMDT) = RF + βMDT [E(RM) – RF]
= 4.42% + 0.72 [13.79%4.42%]
= 11.14%