Modèle d’évaluation des immobilisations (CAPM)
Le modèle d’évaluation des actifs financiers (MEDAF) indique quel devrait être le taux de rendement attendu ou requis sur les actifs risqués comme les actions ordinaires de Generac.
Taux de rendement
Generac Holdings Inc., taux de rendement mensuels
| Generac Holdings Inc. (GNRC) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Date | PrixGNRC,t1 | DividendeGNRC,t1 | RGNRC,t2 | PrixS&P 500,t | RS&P 500,t3 |
| 31 janv. 2017 | $40.26 | 2,278.87 | ||||
| 1. | 28 févr. 2017 | $39.04 | -3.03% | 2,363.64 | 3.72% | |
| 2. | 31 mars 2017 | $37.28 | -4.51% | 2,362.72 | -0.04% | |
| 3. | 30 avr. 2017 | $35.17 | -5.66% | 2,384.20 | 0.91% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 30 nov. 2021 | $421.24 | -15.51% | 4,567.00 | -0.83% | |
| 59. | 31 déc. 2021 | $351.92 | -16.46% | 4,766.18 | 4.36% | |
| Moyenne (R): | 4.25% | 1.36% | ||||
| Écart type: | 10.51% | 4.48% | ||||
| Generac Holdings Inc. (GNRC) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Date | PrixGNRC,t1 | DividendeGNRC,t1 | RGNRC,t2 | PrixS&P 500,t | RS&P 500,t3 |
| 31 janv. 2017 | $40.26 | 2,278.87 | ||||
| 1. | 28 févr. 2017 | $39.04 | -3.03% | 2,363.64 | 3.72% | |
| 2. | 31 mars 2017 | $37.28 | -4.51% | 2,362.72 | -0.04% | |
| 3. | 30 avr. 2017 | $35.17 | -5.66% | 2,384.20 | 0.91% | |
| 4. | 31 mai 2017 | $34.65 | -1.48% | 2,411.80 | 1.16% | |
| 5. | 30 juin 2017 | $36.13 | 4.27% | 2,423.41 | 0.48% | |
| 6. | 31 juil. 2017 | $35.97 | -0.44% | 2,470.30 | 1.93% | |
| 7. | 31 août 2017 | $40.38 | 12.26% | 2,471.65 | 0.05% | |
| 8. | 30 sept. 2017 | $45.93 | 13.74% | 2,519.36 | 1.93% | |
| 9. | 31 oct. 2017 | $52.09 | 13.41% | 2,575.26 | 2.22% | |
| 10. | 30 nov. 2017 | $49.17 | -5.61% | 2,647.58 | 2.81% | |
| 11. | 31 déc. 2017 | $49.52 | 0.71% | 2,673.61 | 0.98% | |
| 12. | 31 janv. 2018 | $48.93 | -1.19% | 2,823.81 | 5.62% | |
| 13. | 28 févr. 2018 | $44.48 | -9.09% | 2,713.83 | -3.89% | |
| 14. | 31 mars 2018 | $45.91 | 3.21% | 2,640.87 | -2.69% | |
| 15. | 30 avr. 2018 | $45.01 | -1.96% | 2,648.05 | 0.27% | |
| 16. | 31 mai 2018 | $50.09 | 11.29% | 2,705.27 | 2.16% | |
| 17. | 30 juin 2018 | $51.73 | 3.27% | 2,718.37 | 0.48% | |
| 18. | 31 juil. 2018 | $53.75 | 3.90% | 2,816.29 | 3.60% | |
| 19. | 31 août 2018 | $55.49 | 3.24% | 2,901.52 | 3.03% | |
| 20. | 30 sept. 2018 | $56.41 | 1.66% | 2,913.98 | 0.43% | |
| 21. | 31 oct. 2018 | $50.73 | -10.07% | 2,711.74 | -6.94% | |
| 22. | 30 nov. 2018 | $56.92 | 12.20% | 2,760.17 | 1.79% | |
| 23. | 31 déc. 2018 | $49.70 | -12.68% | 2,506.85 | -9.18% | |
| 24. | 31 janv. 2019 | $52.93 | 6.50% | 2,704.10 | 7.87% | |
| 25. | 28 févr. 2019 | $51.56 | -2.59% | 2,784.49 | 2.97% | |
| 26. | 31 mars 2019 | $51.23 | -0.64% | 2,834.40 | 1.79% | |
| 27. | 30 avr. 2019 | $54.99 | 7.34% | 2,945.83 | 3.93% | |
| 28. | 31 mai 2019 | $55.15 | 0.29% | 2,752.06 | -6.58% | |
| 29. | 30 juin 2019 | $69.41 | 25.86% | 2,941.76 | 6.89% | |
| 30. | 31 juil. 2019 | $72.30 | 4.16% | 2,980.38 | 1.31% | |
| 31. | 31 août 2019 | $77.99 | 7.87% | 2,926.46 | -1.81% | |
| 32. | 30 sept. 2019 | $78.34 | 0.45% | 2,976.74 | 1.72% | |
| 33. | 31 oct. 2019 | $96.58 | 23.28% | 3,037.56 | 2.04% | |
| 34. | 30 nov. 2019 | $98.50 | 1.99% | 3,140.98 | 3.40% | |
| 35. | 31 déc. 2019 | $100.59 | 2.12% | 3,230.78 | 2.86% | |
| 36. | 31 janv. 2020 | $103.59 | 2.98% | 3,225.52 | -0.16% | |
| 37. | 29 févr. 2020 | $102.99 | -0.58% | 2,954.22 | -8.41% | |
| 38. | 31 mars 2020 | $93.17 | -9.53% | 2,584.59 | -12.51% | |
| 39. | 30 avr. 2020 | $97.44 | 4.58% | 2,912.43 | 12.68% | |
| 40. | 31 mai 2020 | $111.27 | 14.19% | 3,044.31 | 4.53% | |
| 41. | 30 juin 2020 | $121.93 | 9.58% | 3,100.29 | 1.84% | |
| 42. | 31 juil. 2020 | $157.58 | 29.24% | 3,271.12 | 5.51% | |
| 43. | 31 août 2020 | $189.98 | 20.56% | 3,500.31 | 7.01% | |
| 44. | 30 sept. 2020 | $193.64 | 1.93% | 3,363.00 | -3.92% | |
| 45. | 31 oct. 2020 | $210.15 | 8.53% | 3,269.96 | -2.77% | |
| 46. | 30 nov. 2020 | $215.60 | 2.59% | 3,621.63 | 10.75% | |
| 47. | 31 déc. 2020 | $227.41 | 5.48% | 3,756.07 | 3.71% | |
| 48. | 31 janv. 2021 | $246.42 | 8.36% | 3,714.24 | -1.11% | |
| 49. | 28 févr. 2021 | $329.56 | 33.74% | 3,811.15 | 2.61% | |
| 50. | 31 mars 2021 | $327.45 | -0.64% | 3,972.89 | 4.24% | |
| 51. | 30 avr. 2021 | $323.95 | -1.07% | 4,181.17 | 5.24% | |
| 52. | 31 mai 2021 | $328.72 | 1.47% | 4,204.11 | 0.55% | |
| 53. | 30 juin 2021 | $415.15 | 26.29% | 4,297.50 | 2.22% | |
| 54. | 31 juil. 2021 | $419.36 | 1.01% | 4,395.26 | 2.27% | |
| 55. | 31 août 2021 | $436.98 | 4.20% | 4,522.68 | 2.90% | |
| 56. | 30 sept. 2021 | $408.67 | -6.48% | 4,307.54 | -4.76% | |
| 57. | 31 oct. 2021 | $498.56 | 22.00% | 4,605.38 | 6.91% | |
| 58. | 30 nov. 2021 | $421.24 | -15.51% | 4,567.00 | -0.83% | |
| 59. | 31 déc. 2021 | $351.92 | -16.46% | 4,766.18 | 4.36% | |
| Moyenne (R): | 4.25% | 1.36% | ||||
| Écart type: | 10.51% | 4.48% | ||||
Tout afficher
1 Données en dollars américains par action ordinaire, ajustées pour tenir compte des fractionnements et des dividendes en actions.
2 Taux de rendement des actions ordinaires de GNRC au cours de la période t.
3 Taux de rendement de l’indice S&P 500 (l’indicateur du portefeuille de marché) au cours de la période t.
Variance et covariance
Generac Holdings Inc., calcul de la variance et de la covariance des rendements
| t | Date | RGNRC,t | RS&P 500,t | (RGNRC,t–RGNRC)2 | (RS&P 500,t–RS&P 500)2 | (RGNRC,t–RGNRC)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 28 févr. 2017 | -3.03% | 3.72% | 52.95 | 5.58 | -17.19 |
| 2. | 31 mars 2017 | -4.51% | -0.04% | 76.65 | 1.95 | 12.23 |
| 3. | 30 avr. 2017 | -5.66% | 0.91% | 98.14 | 0.20 | 4.45 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 30 nov. 2021 | -15.51% | -0.83% | 390.27 | 4.80 | 43.29 |
| 59. | 31 déc. 2021 | -16.46% | 4.36% | 428.61 | 9.02 | -62.18 |
| Total (Σ): | 6,411.30 | 1,164.17 | 1,117.11 | |||
| t | Date | RGNRC,t | RS&P 500,t | (RGNRC,t–RGNRC)2 | (RS&P 500,t–RS&P 500)2 | (RGNRC,t–RGNRC)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 28 févr. 2017 | -3.03% | 3.72% | 52.95 | 5.58 | -17.19 |
| 2. | 31 mars 2017 | -4.51% | -0.04% | 76.65 | 1.95 | 12.23 |
| 3. | 30 avr. 2017 | -5.66% | 0.91% | 98.14 | 0.20 | 4.45 |
| 4. | 31 mai 2017 | -1.48% | 1.16% | 32.78 | 0.04 | 1.15 |
| 5. | 30 juin 2017 | 4.27% | 0.48% | 0.00 | 0.77 | -0.02 |
| 6. | 31 juil. 2017 | -0.44% | 1.93% | 21.99 | 0.33 | -2.71 |
| 7. | 31 août 2017 | 12.26% | 0.05% | 64.22 | 1.70 | -10.44 |
| 8. | 30 sept. 2017 | 13.74% | 1.93% | 90.21 | 0.33 | 5.44 |
| 9. | 31 oct. 2017 | 13.41% | 2.22% | 84.00 | 0.74 | 7.89 |
| 10. | 30 nov. 2017 | -5.61% | 2.81% | 97.07 | 2.10 | -14.29 |
| 11. | 31 déc. 2017 | 0.71% | 0.98% | 12.50 | 0.14 | 1.32 |
| 12. | 31 janv. 2018 | -1.19% | 5.62% | 29.57 | 18.15 | -23.17 |
| 13. | 28 févr. 2018 | -9.09% | -3.89% | 177.99 | 27.59 | 70.08 |
| 14. | 31 mars 2018 | 3.21% | -2.69% | 1.06 | 16.37 | 4.17 |
| 15. | 30 avr. 2018 | -1.96% | 0.27% | 38.53 | 1.18 | 6.74 |
| 16. | 31 mai 2018 | 11.29% | 2.16% | 49.56 | 0.64 | 5.65 |
| 17. | 30 juin 2018 | 3.27% | 0.48% | 0.95 | 0.76 | 0.85 |
| 18. | 31 juil. 2018 | 3.90% | 3.60% | 0.12 | 5.04 | -0.77 |
| 19. | 31 août 2018 | 3.24% | 3.03% | 1.02 | 2.78 | -1.68 |
| 20. | 30 sept. 2018 | 1.66% | 0.43% | 6.70 | 0.86 | 2.40 |
| 21. | 31 oct. 2018 | -10.07% | -6.94% | 204.94 | 68.86 | 118.80 |
| 22. | 30 nov. 2018 | 12.20% | 1.79% | 63.28 | 0.18 | 3.41 |
| 23. | 31 déc. 2018 | -12.68% | -9.18% | 286.66 | 111.00 | 178.38 |
| 24. | 31 janv. 2019 | 6.50% | 7.87% | 5.07 | 42.39 | 14.66 |
| 25. | 28 févr. 2019 | -2.59% | 2.97% | 46.72 | 2.61 | -11.04 |
| 26. | 31 mars 2019 | -0.64% | 1.79% | 23.88 | 0.19 | -2.12 |
| 27. | 30 avr. 2019 | 7.34% | 3.93% | 9.57 | 6.62 | 7.96 |
| 28. | 31 mai 2019 | 0.29% | -6.58% | 15.65 | 62.97 | 31.39 |
| 29. | 30 juin 2019 | 25.86% | 6.89% | 466.99 | 30.64 | 119.61 |
| 30. | 31 juil. 2019 | 4.16% | 1.31% | 0.01 | 0.00 | 0.00 |
| 31. | 31 août 2019 | 7.87% | -1.81% | 13.13 | 10.03 | -11.48 |
| 32. | 30 sept. 2019 | 0.45% | 1.72% | 14.42 | 0.13 | -1.37 |
| 33. | 31 oct. 2019 | 23.28% | 2.04% | 362.39 | 0.47 | 13.05 |
| 34. | 30 nov. 2019 | 1.99% | 3.40% | 5.10 | 4.19 | -4.62 |
| 35. | 31 déc. 2019 | 2.12% | 2.86% | 4.52 | 2.25 | -3.19 |
| 36. | 31 janv. 2020 | 2.98% | -0.16% | 1.60 | 2.31 | 1.92 |
| 37. | 29 févr. 2020 | -0.58% | -8.41% | 23.29 | 95.43 | 47.14 |
| 38. | 31 mars 2020 | -9.53% | -12.51% | 189.93 | 192.37 | 191.15 |
| 39. | 30 avr. 2020 | 4.58% | 12.68% | 0.11 | 128.29 | 3.81 |
| 40. | 31 mai 2020 | 14.19% | 4.53% | 98.94 | 10.05 | 31.53 |
| 41. | 30 juin 2020 | 9.58% | 1.84% | 28.45 | 0.23 | 2.57 |
| 42. | 31 juil. 2020 | 29.24% | 5.51% | 624.57 | 17.24 | 103.77 |
| 43. | 31 août 2020 | 20.56% | 7.01% | 266.16 | 31.91 | 92.15 |
| 44. | 30 sept. 2020 | 1.93% | -3.92% | 5.38 | 27.89 | 12.25 |
| 45. | 31 oct. 2020 | 8.53% | -2.77% | 18.31 | 17.01 | -17.65 |
| 46. | 30 nov. 2020 | 2.59% | 10.75% | 2.73 | 88.30 | -15.54 |
| 47. | 31 déc. 2020 | 5.48% | 3.71% | 1.52 | 5.54 | 2.90 |
| 48. | 31 janv. 2021 | 8.36% | -1.11% | 16.91 | 6.11 | -10.16 |
| 49. | 28 févr. 2021 | 33.74% | 2.61% | 869.80 | 1.57 | 36.90 |
| 50. | 31 mars 2021 | -0.64% | 4.24% | 23.88 | 8.33 | -14.10 |
| 51. | 30 avr. 2021 | -1.07% | 5.24% | 28.26 | 15.09 | -20.65 |
| 52. | 31 mai 2021 | 1.47% | 0.55% | 7.70 | 0.65 | 2.25 |
| 53. | 30 juin 2021 | 26.29% | 2.22% | 486.03 | 0.75 | 19.04 |
| 54. | 31 juil. 2021 | 1.01% | 2.27% | 10.45 | 0.84 | -2.96 |
| 55. | 31 août 2021 | 4.20% | 2.90% | 0.00 | 2.38 | -0.07 |
| 56. | 30 sept. 2021 | -6.48% | -4.76% | 115.03 | 37.39 | 65.58 |
| 57. | 31 oct. 2021 | 22.00% | 6.91% | 315.03 | 30.87 | 98.62 |
| 58. | 30 nov. 2021 | -15.51% | -0.83% | 390.27 | 4.80 | 43.29 |
| 59. | 31 déc. 2021 | -16.46% | 4.36% | 428.61 | 9.02 | -62.18 |
| Total (Σ): | 6,411.30 | 1,164.17 | 1,117.11 | |||
Tout afficher
VarianceGNRC = Σ(RGNRC,t–RGNRC)2 ÷ (59 – 1)
= 6,411.30 ÷ (59 – 1)
= 110.54
VarianceS&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,164.17 ÷ (59 – 1)
= 20.07
CovarianceGNRC, S&P 500 = Σ(RGNRC,t–RGNRC)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,117.11 ÷ (59 – 1)
= 19.26
Estimation systématique des risques (β)
| VarianceGNRC | 110.54 |
| VarianceS&P 500 | 20.07 |
| CovarianceGNRC, S&P 500 | 19.26 |
| Coefficient de corrélationGNRC, S&P 5001 | 0.41 |
| βGNRC2 | 0.96 |
| αGNRC3 | 2.94% |
Calculs
1 Coefficient de corrélationGNRC, S&P 500
= CovarianceGNRC, S&P 500 ÷ (Écart typeGNRC × Écart typeS&P 500)
= 19.26 ÷ (10.51% × 4.48%)
= 0.41
2 βGNRC
= CovarianceGNRC, S&P 500 ÷ VarianceS&P 500
= 19.26 ÷ 20.07
= 0.96
3 αGNRC
= MoyenneGNRC – βGNRC × MoyenneS&P 500
= 4.25% – 0.96 × 1.36%
= 2.94%
Taux de rendement attendu
| Hypothèses | ||
| Taux de rendement de LT Treasury Composite1 | RF | 4.91% |
| Taux de rendement attendu du portefeuille de marché2 | E(RM) | 14.84% |
| Risque systématique des actions Generac ordinaires | βGNRC | 0.96 |
| Taux de rendement attendu sur les actions ordinaires de Generac3 | E(RGNRC) | 14.44% |
1 Moyenne non pondérée des rendements des offres sur tous les bons du Trésor américain à coupon fixe en circulation qui ne sont ni échus ni remboursables par anticipation dans moins de 10 ans (indicateur du taux de rendement sans risque).
3 E(RGNRC) = RF + βGNRC [E(RM) – RF]
= 4.91% + 0.96 [14.84% – 4.91%]
= 14.44%