Stock Analysis on Net

Mondelēz International Inc. (NASDAQ:MDLZ)

Capital Asset Pricing Model (CAPM)

Microsoft Excel

Capital asset pricing model (CAPM) indicates what should be the expected or required rate of return on risky assets like Mondelēz International Inc. common stock.


Rates of Return

Mondelēz International Inc., monthly rates of return

Microsoft Excel
Mondelēz International Inc. (MDLZ) Standard & Poor’s 500 (S&P 500)
t Date PriceMDLZ,t1 DividendMDLZ,t1 RMDLZ,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2019 $46.26 2,704.10
1. Feb 28, 2019 $47.16 1.95% 2,784.49 2.97%
2. Mar 31, 2019 $49.92 $0.26 6.40% 2,834.40 1.79%
3. Apr 30, 2019 $50.85 1.86% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2023 $71.06 7.33% 4,567.80 8.92%
59. Dec 31, 2023 $72.43 $0.425 2.53% 4,769.83 4.42%
Average (R): 1.08% 1.11%
Standard deviation: 5.19% 5.31%
Mondelēz International Inc. (MDLZ) Standard & Poor’s 500 (S&P 500)
t Date PriceMDLZ,t1 DividendMDLZ,t1 RMDLZ,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2019 $46.26 2,704.10
1. Feb 28, 2019 $47.16 1.95% 2,784.49 2.97%
2. Mar 31, 2019 $49.92 $0.26 6.40% 2,834.40 1.79%
3. Apr 30, 2019 $50.85 1.86% 2,945.83 3.93%
4. May 31, 2019 $50.85 0.00% 2,752.06 -6.58%
5. Jun 30, 2019 $53.90 $0.26 6.51% 2,941.76 6.89%
6. Jul 31, 2019 $53.49 -0.76% 2,980.38 1.31%
7. Aug 31, 2019 $55.22 3.23% 2,926.46 -1.81%
8. Sep 30, 2019 $55.32 $0.285 0.70% 2,976.74 1.72%
9. Oct 31, 2019 $52.45 -5.19% 3,037.56 2.04%
10. Nov 30, 2019 $52.54 0.17% 3,140.98 3.40%
11. Dec 31, 2019 $55.08 $0.285 5.38% 3,230.78 2.86%
12. Jan 31, 2020 $57.38 4.18% 3,225.52 -0.16%
13. Feb 29, 2020 $52.80 -7.98% 2,954.22 -8.41%
14. Mar 31, 2020 $50.08 $0.285 -4.61% 2,584.59 -12.51%
15. Apr 30, 2020 $51.44 2.72% 2,912.43 12.68%
16. May 31, 2020 $52.12 1.32% 3,044.31 4.53%
17. Jun 30, 2020 $51.13 $0.285 -1.35% 3,100.29 1.84%
18. Jul 31, 2020 $55.49 8.53% 3,271.12 5.51%
19. Aug 31, 2020 $58.42 5.28% 3,500.31 7.01%
20. Sep 30, 2020 $57.45 $0.315 -1.12% 3,363.00 -3.92%
21. Oct 31, 2020 $53.12 -7.54% 3,269.96 -2.77%
22. Nov 30, 2020 $57.45 8.15% 3,621.63 10.75%
23. Dec 31, 2020 $58.47 $0.315 2.32% 3,756.07 3.71%
24. Jan 31, 2021 $55.44 -5.18% 3,714.24 -1.11%
25. Feb 28, 2021 $53.16 -4.11% 3,811.15 2.61%
26. Mar 31, 2021 $58.53 $0.315 10.69% 3,972.89 4.24%
27. Apr 30, 2021 $60.81 3.90% 4,181.17 5.24%
28. May 31, 2021 $63.53 4.47% 4,204.11 0.55%
29. Jun 30, 2021 $62.44 $0.315 -1.22% 4,297.50 2.22%
30. Jul 31, 2021 $63.26 1.31% 4,395.26 2.27%
31. Aug 31, 2021 $62.07 -1.88% 4,522.68 2.90%
32. Sep 30, 2021 $58.18 $0.35 -5.70% 4,307.54 -4.76%
33. Oct 31, 2021 $60.74 4.40% 4,605.38 6.91%
34. Nov 30, 2021 $58.94 -2.96% 4,567.00 -0.83%
35. Dec 31, 2021 $66.31 $0.35 13.10% 4,766.18 4.36%
36. Jan 31, 2022 $67.03 1.09% 4,515.55 -5.26%
37. Feb 28, 2022 $65.48 -2.31% 4,373.94 -3.14%
38. Mar 31, 2022 $62.78 $0.35 -3.59% 4,530.41 3.58%
39. Apr 30, 2022 $64.48 2.71% 4,131.93 -8.80%
40. May 31, 2022 $63.56 -1.43% 4,132.15 0.01%
41. Jun 30, 2022 $62.09 $0.35 -1.76% 3,785.38 -8.39%
42. Jul 31, 2022 $64.04 3.14% 4,130.29 9.11%
43. Aug 31, 2022 $61.86 -3.40% 3,955.00 -4.24%
44. Sep 30, 2022 $54.83 $0.385 -10.74% 3,585.62 -9.34%
45. Oct 31, 2022 $61.48 12.13% 3,871.98 7.99%
46. Nov 30, 2022 $67.61 9.97% 4,080.11 5.38%
47. Dec 31, 2022 $66.65 $0.385 -0.85% 3,839.50 -5.90%
48. Jan 31, 2023 $65.44 -1.82% 4,076.60 6.18%
49. Feb 28, 2023 $65.18 -0.40% 3,970.15 -2.61%
50. Mar 31, 2023 $69.72 $0.385 7.56% 4,109.31 3.51%
51. Apr 30, 2023 $76.72 10.04% 4,169.48 1.46%
52. May 31, 2023 $73.41 -4.31% 4,179.83 0.25%
53. Jun 30, 2023 $72.94 $0.385 -0.12% 4,376.86 4.71%
54. Jul 31, 2023 $74.13 1.63% 4,588.96 4.85%
55. Aug 31, 2023 $71.26 -3.87% 4,507.66 -1.77%
56. Sep 30, 2023 $69.40 $0.425 -2.01% 4,288.05 -4.87%
57. Oct 31, 2023 $66.21 -4.60% 4,193.80 -2.20%
58. Nov 30, 2023 $71.06 7.33% 4,567.80 8.92%
59. Dec 31, 2023 $72.43 $0.425 2.53% 4,769.83 4.42%
Average (R): 1.08% 1.11%
Standard deviation: 5.19% 5.31%

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1 Data in US$ per share of common stock, adjusted for splits and stock dividends.

2 Rate of return on common stock of MDLZ during period t

3 Rate of return on S&P 500 (the market portfolio proxy) during period t


Variance and Covariance

Mondelēz International Inc., calculation of variance and covariance of returns

Microsoft Excel
t Date RMDLZ,t RS&P 500,t (RMDLZ,tRMDLZ)2 (RS&P 500,tRS&P 500)2 (RMDLZ,tRMDLZ)×(RS&P 500,tRS&P 500)
1. Feb 28, 2019 1.95% 2.97% 0.75 3.49 1.61
2. Mar 31, 2019 6.40% 1.79% 28.32 0.47 3.65
3. Apr 30, 2019 1.86% 3.93% 0.61 7.98 2.21
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2023 7.33% 8.92% 38.97 61.03 48.77
59. Dec 31, 2023 2.53% 4.42% 2.08 11.00 4.79
Total (Σ): 1,563.88 1,634.30 960.54
t Date RMDLZ,t RS&P 500,t (RMDLZ,tRMDLZ)2 (RS&P 500,tRS&P 500)2 (RMDLZ,tRMDLZ)×(RS&P 500,tRS&P 500)
1. Feb 28, 2019 1.95% 2.97% 0.75 3.49 1.61
2. Mar 31, 2019 6.40% 1.79% 28.32 0.47 3.65
3. Apr 30, 2019 1.86% 3.93% 0.61 7.98 2.21
4. May 31, 2019 0.00% -6.58% 1.17 59.04 8.32
5. Jun 30, 2019 6.51% 6.89% 29.45 33.49 31.41
6. Jul 31, 2019 -0.76% 1.31% 3.40 0.04 -0.38
7. Aug 31, 2019 3.23% -1.81% 4.63 8.50 -6.27
8. Sep 30, 2019 0.70% 1.72% 0.15 0.37 -0.24
9. Oct 31, 2019 -5.19% 2.04% 39.32 0.88 -5.88
10. Nov 30, 2019 0.17% 3.40% 0.83 5.28 -2.09
11. Dec 31, 2019 5.38% 2.86% 18.44 3.07 7.53
12. Jan 31, 2020 4.18% -0.16% 9.57 1.61 -3.92
13. Feb 29, 2020 -7.98% -8.41% 82.16 90.57 86.26
14. Mar 31, 2020 -4.61% -12.51% 32.42 185.44 77.54
15. Apr 30, 2020 2.72% 12.68% 2.67 134.06 18.91
16. May 31, 2020 1.32% 4.53% 0.06 11.71 0.82
17. Jun 30, 2020 -1.35% 1.84% 5.93 0.54 -1.78
18. Jul 31, 2020 8.53% 5.51% 55.43 19.40 32.79
19. Aug 31, 2020 5.28% 7.01% 17.62 34.82 24.77
20. Sep 30, 2020 -1.12% -3.92% 4.86 25.29 11.08
21. Oct 31, 2020 -7.54% -2.77% 74.29 15.00 33.38
22. Nov 30, 2020 8.15% 10.75% 49.97 93.10 68.21
23. Dec 31, 2020 2.32% 3.71% 1.54 6.79 3.24
24. Jan 31, 2021 -5.18% -1.11% 39.24 4.93 13.90
25. Feb 28, 2021 -4.11% 2.61% 26.99 2.26 -7.81
26. Mar 31, 2021 10.69% 4.24% 92.39 9.85 30.16
27. Apr 30, 2021 3.90% 5.24% 7.91 17.11 11.64
28. May 31, 2021 4.47% 0.55% 11.50 0.31 -1.89
29. Jun 30, 2021 -1.22% 2.22% 5.30 1.24 -2.57
30. Jul 31, 2021 1.31% 2.27% 0.05 1.37 0.27
31. Aug 31, 2021 -1.88% 2.90% 8.78 3.22 -5.31
32. Sep 30, 2021 -5.70% -4.76% 46.04 34.37 39.78
33. Oct 31, 2021 4.40% 6.91% 11.01 33.74 19.27
34. Nov 30, 2021 -2.96% -0.83% 16.37 3.76 7.85
35. Dec 31, 2021 13.10% 4.36% 144.38 10.60 39.12
36. Jan 31, 2022 1.09% -5.26% 0.00 40.51 -0.02
37. Feb 28, 2022 -2.31% -3.14% 11.52 17.99 14.40
38. Mar 31, 2022 -3.59% 3.58% 21.82 6.11 -11.54
39. Apr 30, 2022 2.71% -8.80% 2.64 98.04 -16.10
40. May 31, 2022 -1.43% 0.01% 6.30 1.21 2.76
41. Jun 30, 2022 -1.76% -8.39% 8.09 90.21 27.02
42. Jul 31, 2022 3.14% 9.11% 4.24 64.09 16.48
43. Aug 31, 2022 -3.40% -4.24% 20.13 28.62 24.00
44. Sep 30, 2022 -10.74% -9.34% 139.81 109.11 123.51
45. Oct 31, 2022 12.13% 7.99% 122.02 47.34 76.00
46. Nov 30, 2022 9.97% 5.38% 79.00 18.23 37.95
47. Dec 31, 2022 -0.85% -5.90% 3.74 49.04 13.54
48. Jan 31, 2023 -1.82% 6.18% 8.40 25.70 -14.69
49. Feb 28, 2023 -0.40% -2.61% 2.19 13.82 5.50
50. Mar 31, 2023 7.56% 3.51% 41.91 5.76 15.53
51. Apr 30, 2023 10.04% 1.46% 80.24 0.13 3.21
52. May 31, 2023 -4.31% 0.25% 29.12 0.74 4.63
53. Jun 30, 2023 -0.12% 4.71% 1.44 13.02 -4.32
54. Jul 31, 2023 1.63% 4.85% 0.30 13.99 2.05
55. Aug 31, 2023 -3.87% -1.77% 24.54 8.28 14.25
56. Sep 30, 2023 -2.01% -4.87% 9.59 35.73 18.51
57. Oct 31, 2023 -4.60% -2.20% 32.25 10.92 18.76
58. Nov 30, 2023 7.33% 8.92% 38.97 61.03 48.77
59. Dec 31, 2023 2.53% 4.42% 2.08 11.00 4.79
Total (Σ): 1,563.88 1,634.30 960.54

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VarianceMDLZ = Σ(RMDLZ,tRMDLZ)2 ÷ (59 – 1)
= 1,563.88 ÷ (59 – 1)
= 26.96

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18

CovarianceMDLZ, S&P 500 = Σ(RMDLZ,tRMDLZ)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 960.54 ÷ (59 – 1)
= 16.56


Systematic Risk (β) Estimation

Microsoft Excel
VarianceMDLZ 26.96
VarianceS&P 500 28.18
CovarianceMDLZ, S&P 500 16.56
Correlation coefficientMDLZ, S&P 5001 0.60
βMDLZ2 0.59
αMDLZ3 0.43%

Calculations

1 Correlation coefficientMDLZ, S&P 500
= CovarianceMDLZ, S&P 500 ÷ (Standard deviationMDLZ × Standard deviationS&P 500)
= 16.56 ÷ (5.19% × 5.31%)
= 0.60

2 βMDLZ
= CovarianceMDLZ, S&P 500 ÷ VarianceS&P 500
= 16.56 ÷ 28.18
= 0.59

3 αMDLZ
= AverageMDLZ – βMDLZ × AverageS&P 500
= 1.08%0.59 × 1.11%
= 0.43%


Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF 4.43%
Expected rate of return on market portfolio2 E(RM) 13.60%
Systematic risk (β) of Mondelēz International Inc. common stock βMDLZ 0.59
 
Expected rate of return on Mondelēz International Inc. common stock3 E(RMDLZ) 9.82%

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).

2 See details »

3 E(RMDLZ) = RF + βMDLZ [E(RM) – RF]
= 4.43% + 0.59 [13.60%4.43%]
= 9.82%