Stock Analysis on Net

Oracle Corp. (NYSE:ORCL)

Modelo de precificação de ativos de capital (CAPM) 

Microsoft Excel

Taxas de ida e volta

Oracle Corp., taxas mensais de retorno

Microsoft Excel
Oracle Corp. (ORCL) Standard & Poor’s 500 (S&P 500)
t Data PreçoORCL,t1 DividendoORCL,t1 RORCL,t2 PreçoS&P 500,t RS&P 500,t3
30 de jun. de 2016 $40.93 2,098.86
1. 31 de jul. de 2016 $41.04 $0.15 0.64% 2,173.60 3.56%
2. 31 de ago. de 2016 $41.22 0.44% 2,170.95 -0.12%
3. 30 de set. de 2016 $39.28 -4.71% 2,168.27 -0.12%
. . . . . . .
. . . . . . .
. . . . . . .
70. 30 de abr. de 2022 $73.40 $0.32 -10.89% 4,131.93 -8.80%
71. 31 de mai. de 2022 $71.92 -2.02% 4,132.15 0.01%
Média (R): 1.10% 1.06%
Desvio padrão: 5.88% 4.40%
Oracle Corp. (ORCL) Standard & Poor’s 500 (S&P 500)
t Data PreçoORCL,t1 DividendoORCL,t1 RORCL,t2 PreçoS&P 500,t RS&P 500,t3
30 de jun. de 2016 $40.93 2,098.86
1. 31 de jul. de 2016 $41.04 $0.15 0.64% 2,173.60 3.56%
2. 31 de ago. de 2016 $41.22 0.44% 2,170.95 -0.12%
3. 30 de set. de 2016 $39.28 -4.71% 2,168.27 -0.12%
4. 31 de out. de 2016 $38.42 $0.15 -1.81% 2,126.15 -1.94%
5. 30 de nov. de 2016 $40.19 4.61% 2,198.81 3.42%
6. 31 de dez. de 2016 $38.45 -4.33% 2,238.83 1.82%
7. 31 de jan. de 2017 $40.11 $0.15 4.71% 2,278.87 1.79%
8. 28 de fev. de 2017 $42.59 6.18% 2,363.64 3.72%
9. 31 de mar. de 2017 $44.61 4.74% 2,362.72 -0.04%
10. 30 de abr. de 2017 $44.96 $0.19 1.21% 2,384.20 0.91%
11. 31 de mai. de 2017 $45.39 0.96% 2,411.80 1.16%
12. 30 de jun. de 2017 $50.14 10.46% 2,423.41 0.48%
13. 31 de jul. de 2017 $49.93 $0.19 -0.04% 2,470.30 1.93%
14. 31 de ago. de 2017 $50.33 0.80% 2,471.65 0.05%
15. 30 de set. de 2017 $48.35 -3.93% 2,519.36 1.93%
16. 31 de out. de 2017 $50.90 $0.19 5.67% 2,575.26 2.22%
17. 30 de nov. de 2017 $49.06 -3.61% 2,647.58 2.81%
18. 31 de dez. de 2017 $47.28 -3.63% 2,673.61 0.98%
19. 31 de jan. de 2018 $51.59 $0.19 9.52% 2,823.81 5.62%
20. 28 de fev. de 2018 $50.67 -1.78% 2,713.83 -3.89%
21. 31 de mar. de 2018 $45.75 -9.71% 2,640.87 -2.69%
22. 30 de abr. de 2018 $45.67 $0.19 0.24% 2,648.05 0.27%
23. 31 de mai. de 2018 $46.72 2.30% 2,705.27 2.16%
24. 30 de jun. de 2018 $44.06 -5.69% 2,718.37 0.48%
25. 31 de jul. de 2018 $47.68 $0.19 8.65% 2,816.29 3.60%
26. 31 de ago. de 2018 $48.58 1.89% 2,901.52 3.03%
27. 30 de set. de 2018 $51.56 6.13% 2,913.98 0.43%
28. 31 de out. de 2018 $48.84 $0.19 -4.91% 2,711.74 -6.94%
29. 30 de nov. de 2018 $48.76 -0.16% 2,760.17 1.79%
30. 31 de dez. de 2018 $45.15 -7.40% 2,506.85 -9.18%
31. 31 de jan. de 2019 $50.23 $0.19 11.67% 2,704.10 7.87%
32. 28 de fev. de 2019 $52.13 3.78% 2,784.49 2.97%
33. 31 de mar. de 2019 $53.71 3.03% 2,834.40 1.79%
34. 30 de abr. de 2019 $55.33 $0.24 3.46% 2,945.83 3.93%
35. 31 de mai. de 2019 $50.60 -8.55% 2,752.06 -6.58%
36. 30 de jun. de 2019 $56.97 12.59% 2,941.76 6.89%
37. 31 de jul. de 2019 $56.30 $0.24 -0.75% 2,980.38 1.31%
38. 31 de ago. de 2019 $52.06 -7.53% 2,926.46 -1.81%
39. 30 de set. de 2019 $55.03 5.70% 2,976.74 1.72%
40. 31 de out. de 2019 $54.49 $0.24 -0.55% 3,037.56 2.04%
41. 30 de nov. de 2019 $56.14 3.03% 3,140.98 3.40%
42. 31 de dez. de 2019 $52.98 -5.63% 3,230.78 2.86%
43. 31 de jan. de 2020 $52.45 $0.24 -0.55% 3,225.52 -0.16%
44. 29 de fev. de 2020 $49.46 -5.70% 2,954.22 -8.41%
45. 31 de mar. de 2020 $48.33 -2.28% 2,584.59 -12.51%
46. 30 de abr. de 2020 $52.97 $0.24 10.10% 2,912.43 12.68%
47. 31 de mai. de 2020 $53.77 1.51% 3,044.31 4.53%
48. 30 de jun. de 2020 $55.27 2.79% 3,100.29 1.84%
49. 31 de jul. de 2020 $55.45 $0.24 0.76% 3,271.12 5.51%
50. 31 de ago. de 2020 $57.22 3.19% 3,500.31 7.01%
51. 30 de set. de 2020 $59.70 4.33% 3,363.00 -3.92%
52. 31 de out. de 2020 $56.11 $0.24 -5.61% 3,269.96 -2.77%
53. 30 de nov. de 2020 $57.72 2.87% 3,621.63 10.75%
54. 31 de dez. de 2020 $64.69 12.08% 3,756.07 3.71%
55. 31 de jan. de 2021 $60.43 $0.24 -6.21% 3,714.24 -1.11%
56. 28 de fev. de 2021 $64.51 6.75% 3,811.15 2.61%
57. 31 de mar. de 2021 $70.17 8.77% 3,972.89 4.24%
58. 30 de abr. de 2021 $75.79 $0.32 8.47% 4,181.17 5.24%
59. 31 de mai. de 2021 $78.74 3.89% 4,204.11 0.55%
60. 30 de jun. de 2021 $77.84 -1.14% 4,297.50 2.22%
61. 31 de jul. de 2021 $87.14 $0.32 12.36% 4,395.26 2.27%
62. 31 de ago. de 2021 $89.13 2.28% 4,522.68 2.90%
63. 30 de set. de 2021 $87.13 -2.24% 4,307.54 -4.76%
64. 31 de out. de 2021 $95.94 $0.32 10.48% 4,605.38 6.91%
65. 30 de nov. de 2021 $90.74 -5.42% 4,567.00 -0.83%
66. 31 de dez. de 2021 $87.21 -3.89% 4,766.18 4.36%
67. 31 de jan. de 2022 $81.16 $0.32 -6.57% 4,515.55 -5.26%
68. 28 de fev. de 2022 $75.97 -6.39% 4,373.94 -3.14%
69. 31 de mar. de 2022 $82.73 8.90% 4,530.41 3.58%
70. 30 de abr. de 2022 $73.40 $0.32 -10.89% 4,131.93 -8.80%
71. 31 de mai. de 2022 $71.92 -2.02% 4,132.15 0.01%
Média (R): 1.10% 1.06%
Desvio padrão: 5.88% 4.40%

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 ORCL 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

Oracle Corp., cálculo da variância e covariância dos retornos

Microsoft Excel
t Data RORCL,t RS&P 500,t (RORCL,tRORCL)2 (RS&P 500,tRS&P 500)2 (RORCL,tRORCL)×(RS&P 500,tRS&P 500)
1. 31 de jul. de 2016 0.64% 3.56% 0.22 6.28 -1.17
2. 31 de ago. de 2016 0.44% -0.12% 0.44 1.39 0.78
3. 30 de set. de 2016 -4.71% -0.12% 33.74 1.39 6.85
. . . . . . .
. . . . . . .
. . . . . . .
70. 30 de abr. de 2022 -10.89% -8.80% 143.84 97.04 118.14
71. 31 de mai. de 2022 -2.02% 0.01% 9.73 1.10 3.27
Total (Σ): 2,421.52 1,356.25 1,182.77
t Data RORCL,t RS&P 500,t (RORCL,tRORCL)2 (RS&P 500,tRS&P 500)2 (RORCL,tRORCL)×(RS&P 500,tRS&P 500)
1. 31 de jul. de 2016 0.64% 3.56% 0.22 6.28 -1.17
2. 31 de ago. de 2016 0.44% -0.12% 0.44 1.39 0.78
3. 30 de set. de 2016 -4.71% -0.12% 33.74 1.39 6.85
4. 31 de out. de 2016 -1.81% -1.94% 8.47 8.99 8.72
5. 30 de nov. de 2016 4.61% 3.42% 12.28 5.58 8.28
6. 31 de dez. de 2016 -4.33% 1.82% 29.51 0.59 -4.16
7. 31 de jan. de 2017 4.71% 1.79% 12.99 0.54 2.64
8. 28 de fev. de 2017 6.18% 3.72% 25.81 7.10 13.54
9. 31 de mar. de 2017 4.74% -0.04% 13.25 1.20 -3.98
10. 30 de abr. de 2017 1.21% 0.91% 0.01 0.02 -0.02
11. 31 de mai. de 2017 0.96% 1.16% 0.02 0.01 -0.01
12. 30 de jun. de 2017 10.46% 0.48% 87.65 0.33 -5.37
13. 31 de jul. de 2017 -0.04% 1.93% 1.31 0.77 -1.01
14. 31 de ago. de 2017 0.80% 0.05% 0.09 1.00 0.30
15. 30 de set. de 2017 -3.93% 1.93% 25.37 0.77 -4.41
16. 31 de out. de 2017 5.67% 2.22% 20.83 1.35 5.31
17. 30 de nov. de 2017 -3.61% 2.81% 22.25 3.07 -8.27
18. 31 de dez. de 2017 -3.63% 0.98% 22.38 0.01 0.34
19. 31 de jan. de 2018 9.52% 5.62% 70.82 20.82 38.40
20. 28 de fev. de 2018 -1.78% -3.89% 8.33 24.50 14.28
21. 31 de mar. de 2018 -9.71% -2.69% 116.91 14.01 40.48
22. 30 de abr. de 2018 0.24% 0.27% 0.74 0.61 0.68
23. 31 de mai. de 2018 2.30% 2.16% 1.43 1.22 1.32
24. 30 de jun. de 2018 -5.69% 0.48% 46.19 0.33 3.88
25. 31 de jul. de 2018 8.65% 3.60% 56.92 6.49 19.22
26. 31 de ago. de 2018 1.89% 3.03% 0.62 3.89 1.55
27. 30 de set. de 2018 6.13% 0.43% 25.32 0.39 -3.15
28. 31 de out. de 2018 -4.91% -6.94% 36.11 63.93 48.05
29. 30 de nov. de 2018 -0.16% 1.79% 1.60 0.53 -0.93
30. 31 de dez. de 2018 -7.40% -9.18% 72.36 104.71 87.04
31. 31 de jan. de 2019 11.67% 7.87% 111.72 46.42 72.02
32. 28 de fev. de 2019 3.78% 2.97% 7.18 3.68 5.14
33. 31 de mar. de 2019 3.03% 1.79% 3.72 0.54 1.42
34. 30 de abr. de 2019 3.46% 3.93% 5.57 8.27 6.79
35. 31 de mai. de 2019 -8.55% -6.58% 93.15 58.26 73.67
36. 30 de jun. de 2019 12.59% 6.89% 131.94 34.08 67.06
37. 31 de jul. de 2019 -0.75% 1.31% 3.45 0.07 -0.48
38. 31 de ago. de 2019 -7.53% -1.81% 74.54 8.20 24.73
39. 30 de set. de 2019 5.70% 1.72% 21.18 0.44 3.05
40. 31 de out. de 2019 -0.55% 2.04% 2.72 0.98 -1.63
41. 30 de nov. de 2019 3.03% 3.40% 3.71 5.52 4.52
42. 31 de dez. de 2019 -5.63% 2.86% 45.31 3.25 -12.14
43. 31 de jan. de 2020 -0.55% -0.16% 2.72 1.48 2.01
44. 29 de fev. de 2020 -5.70% -8.41% 46.28 89.61 64.40
45. 31 de mar. de 2020 -2.28% -12.51% 11.47 184.06 45.95
46. 30 de abr. de 2020 10.10% 12.68% 80.90 135.24 104.60
47. 31 de mai. de 2020 1.51% 4.53% 0.17 12.06 1.42
48. 30 de jun. de 2020 2.79% 1.84% 2.85 0.61 1.32
49. 31 de jul. de 2020 0.76% 5.51% 0.12 19.85 -1.53
50. 31 de ago. de 2020 3.19% 7.01% 4.37 35.42 12.44
51. 30 de set. de 2020 4.33% -3.92% 10.44 24.78 -16.09
52. 31 de out. de 2020 -5.61% -2.77% 45.08 14.60 25.66
53. 30 de nov. de 2020 2.87% 10.75% 3.12 94.08 17.14
54. 31 de dez. de 2020 12.08% 3.71% 120.41 7.06 29.16
55. 31 de jan. de 2021 -6.21% -1.11% 53.54 4.70 15.87
56. 28 de fev. de 2021 6.75% 2.61% 31.91 2.42 8.78
57. 31 de mar. de 2021 8.77% 4.24% 58.85 10.17 24.46
58. 30 de abr. de 2021 8.47% 5.24% 54.21 17.54 30.83
59. 31 de mai. de 2021 3.89% 0.55% 7.78 0.26 -1.41
60. 30 de jun. de 2021 -1.14% 2.22% 5.04 1.36 -2.62
61. 31 de jul. de 2021 12.36% 2.27% 126.70 1.49 13.73
62. 31 de ago. de 2021 2.28% 2.90% 1.39 3.40 2.18
63. 30 de set. de 2021 -2.24% -4.76% 11.20 33.78 19.45
64. 31 de out. de 2021 10.48% 6.91% 87.91 34.33 54.94
65. 30 de nov. de 2021 -5.42% -0.83% 42.54 3.57 12.32
66. 31 de dez. de 2021 -3.89% 4.36% 24.93 10.93 -16.51
67. 31 de jan. de 2022 -6.57% -5.26% 58.87 39.86 48.44
68. 28 de fev. de 2022 -6.39% -3.14% 56.21 17.57 31.42
69. 31 de mar. de 2022 8.90% 3.58% 60.77 6.36 19.66
70. 30 de abr. de 2022 -10.89% -8.80% 143.84 97.04 118.14
71. 31 de mai. de 2022 -2.02% 0.01% 9.73 1.10 3.27
Total (Σ): 2,421.52 1,356.25 1,182.77

Mostrar tudo

VariaçãoORCL = Σ(RORCL,tRORCL)2 ÷ (71 – 1)
= 2,421.52 ÷ (71 – 1)
= 34.59

VariaçãoS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,356.25 ÷ (71 – 1)
= 19.38

CovariânciaORCL, S&P 500 = Σ(RORCL,tRORCL)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 1,182.77 ÷ (71 – 1)
= 16.90


Estimativa sistemática de risco (β)

Microsoft Excel
VariaçãoORCL 34.59
VariaçãoS&P 500 19.38
CovariânciaORCL, S&P 500 16.90
Coeficiente de correlaçãoORCL, S&P 5001 0.65
βORCL2 0.87
αORCL3 0.18%

Cálculos

1 Coeficiente de correlaçãoORCL, S&P 500
= CovariânciaORCL, S&P 500 ÷ (Desvio padrãoORCL × Desvio padrãoS&P 500)
= 16.90 ÷ (5.88% × 4.40%)
= 0.65

2 βORCL
= CovariânciaORCL, S&P 500 ÷ VariaçãoS&P 500
= 16.90 ÷ 19.38
= 0.87

3 αORCL
= MédiaORCL – βORCL × MédiaS&P 500
= 1.10%0.87 × 1.06%
= 0.18%


Taxa de retorno esperada

Microsoft Excel
Suposições
Taxa de retorno do LT Treasury Composite1 RF 3.85%
Taxa esperada de retorno da carteira de mercado2 E(RM) 13.71%
Risco sistemático de Oracle ações ordinárias βORCL 0.87
 
Taxa de retorno esperada das ações ordinárias da Oracle3 E(RORCL) 12.45%

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(RORCL) = RF + βORCL [E(RM) – RF]
= 3.85% + 0.87 [13.71%3.85%]
= 12.45%