Capital Asset Pricing Model (CAPM)
Capital asset pricing model (CAPM) indicates what should be the expected or required rate of return on risky assets like Moderna Inc. common stock.
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- Statement of Comprehensive Income
- Analysis of Geographic Areas
- Enterprise Value (EV)
- Enterprise Value to EBITDA (EV/EBITDA)
- Dividend Discount Model (DDM)
- Selected Financial Data since 2018
- Current Ratio since 2018
- Price to Earnings (P/E) since 2018
- Price to Operating Profit (P/OP) since 2018
- Price to Book Value (P/BV) since 2018
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Rates of Return
Moderna Inc., monthly rates of return
| Moderna Inc. (MRNA) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Date | PriceMRNA,t1 | DividendMRNA,t1 | RMRNA,t2 | PriceS&P 500,t | RS&P 500,t3 |
| Dec 31, 2018 | ||||||
| 1. | Jan 31, 2019 | |||||
| 2. | Feb 28, 2019 | |||||
| 3. | Mar 31, 2019 | |||||
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 47. | Nov 30, 2022 | |||||
| 48. | Dec 31, 2022 | |||||
| Average (R): | ||||||
| Standard deviation: | ||||||
| Moderna Inc. (MRNA) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Date | PriceMRNA,t1 | DividendMRNA,t1 | RMRNA,t2 | PriceS&P 500,t | RS&P 500,t3 |
| Dec 31, 2018 | ||||||
| 1. | Jan 31, 2019 | |||||
| 2. | Feb 28, 2019 | |||||
| 3. | Mar 31, 2019 | |||||
| 4. | Apr 30, 2019 | |||||
| 5. | May 31, 2019 | |||||
| 6. | Jun 30, 2019 | |||||
| 7. | Jul 31, 2019 | |||||
| 8. | Aug 31, 2019 | |||||
| 9. | Sep 30, 2019 | |||||
| 10. | Oct 31, 2019 | |||||
| 11. | Nov 30, 2019 | |||||
| 12. | Dec 31, 2019 | |||||
| 13. | Jan 31, 2020 | |||||
| 14. | Feb 29, 2020 | |||||
| 15. | Mar 31, 2020 | |||||
| 16. | Apr 30, 2020 | |||||
| 17. | May 31, 2020 | |||||
| 18. | Jun 30, 2020 | |||||
| 19. | Jul 31, 2020 | |||||
| 20. | Aug 31, 2020 | |||||
| 21. | Sep 30, 2020 | |||||
| 22. | Oct 31, 2020 | |||||
| 23. | Nov 30, 2020 | |||||
| 24. | Dec 31, 2020 | |||||
| 25. | Jan 31, 2021 | |||||
| 26. | Feb 28, 2021 | |||||
| 27. | Mar 31, 2021 | |||||
| 28. | Apr 30, 2021 | |||||
| 29. | May 31, 2021 | |||||
| 30. | Jun 30, 2021 | |||||
| 31. | Jul 31, 2021 | |||||
| 32. | Aug 31, 2021 | |||||
| 33. | Sep 30, 2021 | |||||
| 34. | Oct 31, 2021 | |||||
| 35. | Nov 30, 2021 | |||||
| 36. | Dec 31, 2021 | |||||
| 37. | Jan 31, 2022 | |||||
| 38. | Feb 28, 2022 | |||||
| 39. | Mar 31, 2022 | |||||
| 40. | Apr 30, 2022 | |||||
| 41. | May 31, 2022 | |||||
| 42. | Jun 30, 2022 | |||||
| 43. | Jul 31, 2022 | |||||
| 44. | Aug 31, 2022 | |||||
| 45. | Sep 30, 2022 | |||||
| 46. | Oct 31, 2022 | |||||
| 47. | Nov 30, 2022 | |||||
| 48. | Dec 31, 2022 | |||||
| Average (R): | ||||||
| Standard deviation: | ||||||
Show all
1 Data in US$ per share of common stock, adjusted for splits and stock dividends.
2 Rate of return on common stock of MRNA during period t
3 Rate of return on S&P 500 (the market portfolio proxy) during period t
Variance and Covariance
Moderna Inc., calculation of variance and covariance of returns
| t | Date | RMRNA,t | RS&P 500,t | (RMRNA,t–RMRNA)2 | (RS&P 500,t–RS&P 500)2 | (RMRNA,t–RMRNA)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | Jan 31, 2019 | |||||
| 2. | Feb 28, 2019 | |||||
| 3. | Mar 31, 2019 | |||||
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 47. | Nov 30, 2022 | |||||
| 48. | Dec 31, 2022 | |||||
| Total (Σ): | ||||||
| t | Date | RMRNA,t | RS&P 500,t | (RMRNA,t–RMRNA)2 | (RS&P 500,t–RS&P 500)2 | (RMRNA,t–RMRNA)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | Jan 31, 2019 | |||||
| 2. | Feb 28, 2019 | |||||
| 3. | Mar 31, 2019 | |||||
| 4. | Apr 30, 2019 | |||||
| 5. | May 31, 2019 | |||||
| 6. | Jun 30, 2019 | |||||
| 7. | Jul 31, 2019 | |||||
| 8. | Aug 31, 2019 | |||||
| 9. | Sep 30, 2019 | |||||
| 10. | Oct 31, 2019 | |||||
| 11. | Nov 30, 2019 | |||||
| 12. | Dec 31, 2019 | |||||
| 13. | Jan 31, 2020 | |||||
| 14. | Feb 29, 2020 | |||||
| 15. | Mar 31, 2020 | |||||
| 16. | Apr 30, 2020 | |||||
| 17. | May 31, 2020 | |||||
| 18. | Jun 30, 2020 | |||||
| 19. | Jul 31, 2020 | |||||
| 20. | Aug 31, 2020 | |||||
| 21. | Sep 30, 2020 | |||||
| 22. | Oct 31, 2020 | |||||
| 23. | Nov 30, 2020 | |||||
| 24. | Dec 31, 2020 | |||||
| 25. | Jan 31, 2021 | |||||
| 26. | Feb 28, 2021 | |||||
| 27. | Mar 31, 2021 | |||||
| 28. | Apr 30, 2021 | |||||
| 29. | May 31, 2021 | |||||
| 30. | Jun 30, 2021 | |||||
| 31. | Jul 31, 2021 | |||||
| 32. | Aug 31, 2021 | |||||
| 33. | Sep 30, 2021 | |||||
| 34. | Oct 31, 2021 | |||||
| 35. | Nov 30, 2021 | |||||
| 36. | Dec 31, 2021 | |||||
| 37. | Jan 31, 2022 | |||||
| 38. | Feb 28, 2022 | |||||
| 39. | Mar 31, 2022 | |||||
| 40. | Apr 30, 2022 | |||||
| 41. | May 31, 2022 | |||||
| 42. | Jun 30, 2022 | |||||
| 43. | Jul 31, 2022 | |||||
| 44. | Aug 31, 2022 | |||||
| 45. | Sep 30, 2022 | |||||
| 46. | Oct 31, 2022 | |||||
| 47. | Nov 30, 2022 | |||||
| 48. | Dec 31, 2022 | |||||
| Total (Σ): | ||||||
Show all
VarianceMRNA = Σ(RMRNA,t–RMRNA)2 ÷ (48 – 1)
= ÷ (48 – 1)
=
VarianceS&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (48 – 1)
= ÷ (48 – 1)
=
CovarianceMRNA, S&P 500 = Σ(RMRNA,t–RMRNA)×(RS&P 500,t–RS&P 500) ÷ (48 – 1)
= ÷ (48 – 1)
=
Systematic Risk (β) Estimation
| VarianceMRNA | |
| VarianceS&P 500 | |
| CovarianceMRNA, S&P 500 | |
| Correlation coefficientMRNA, S&P 5001 | |
| βMRNA2 | |
| αMRNA3 |
Calculations
1 Correlation coefficientMRNA, S&P 500
= CovarianceMRNA, S&P 500 ÷ (Standard deviationMRNA × Standard deviationS&P 500)
= ÷ ( × )
=
2 βMRNA
= CovarianceMRNA, S&P 500 ÷ VarianceS&P 500
= ÷
=
3 αMRNA
= AverageMRNA – βMRNA × AverageS&P 500
= – ×
=
Expected Rate of Return
| Assumptions | ||
| Rate of return on LT Treasury Composite1 | RF | |
| Expected rate of return on market portfolio2 | E(RM) | |
| Systematic risk (β) of Moderna Inc. common stock | βMRNA | |
| Expected rate of return on Moderna Inc. common stock3 | E(RMRNA) | |
1 Unweighted average of bid yields on all outstanding fixed-coupon U.S. Treasury bonds neither due or callable in less than 10 years (risk-free rate of return proxy).
3 E(RMRNA) = RF + βMRNA [E(RM) – RF]
= + [ – ]
=