Rates of Return

Johnson & Johnson, monthly rates of return

 
Johnson & Johnson (JNJ) Standard & Poor's 500 (S&P 500)
t Date PriceJNJ,t1 DividendJNJ,t1 RJNJ,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2009 57.69 825.88
1. Feb 28, 2009 50.00 0.46 -12.53% 735.09 -10.99%
2. Mar 31, 2009 52.60 5.20% 797.87 8.54%
3. Apr 30, 2009 52.36 -0.46% 872.81 9.39%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2013 94.66 0.66 2.93% 1,805.81 2.80%
59. Dec 31, 2013 91.59 -3.24% 1,848.36 2.36%
Average: 1.17% 1.47%
Standard Deviation: 4.30% 4.42%
Johnson & Johnson (JNJ) Standard & Poor's 500 (S&P 500)
t Date PriceJNJ,t1 DividendJNJ,t1 RJNJ,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2009 57.69 825.88
1. Feb 28, 2009 50.00 0.46 -12.53% 735.09 -10.99%
2. Mar 31, 2009 52.60 5.20% 797.87 8.54%
3. Apr 30, 2009 52.36 -0.46% 872.81 9.39%
4. May 31, 2009 55.16 0.49 6.28% 919.14 5.31%
5. Jun 30, 2009 56.80 2.97% 919.32 0.02%
6. Jul 31, 2009 60.89 7.20% 987.48 7.41%
7. Aug 31, 2009 60.44 0.49 0.07% 1,020.62 3.36%
8. Sep 30, 2009 60.89 0.74% 1,057.08 3.57%
9. Oct 31, 2009 59.05 -3.02% 1,036.19 -1.98%
10. Nov 30, 2009 62.84 0.49 7.25% 1,095.63 5.74%
11. Dec 31, 2009 64.41 2.50% 1,115.10 1.78%
12. Jan 31, 2010 62.86 -2.41% 1,073.87 -3.70%
13. Feb 28, 2010 63.00 0.49 1.00% 1,104.49 2.85%
14. Mar 31, 2010 65.20 3.49% 1,169.43 5.88%
15. Apr 30, 2010 64.30 -1.38% 1,186.69 1.48%
16. May 31, 2010 58.30 0.54 -8.49% 1,089.41 -8.20%
17. Jun 30, 2010 59.06 1.30% 1,030.71 -5.39%
18. Jul 31, 2010 58.09 -1.64% 1,101.60 6.88%
19. Aug 31, 2010 57.02 0.54 -0.91% 1,049.33 -4.74%
20. Sep 30, 2010 61.96 8.66% 1,141.20 8.76%
21. Oct 31, 2010 63.74 2.87% 1,183.26 3.69%
22. Nov 30, 2010 61.55 0.54 -2.59% 1,180.55 -0.23%
23. Dec 31, 2010 61.85 0.49% 1,257.64 6.53%
24. Jan 31, 2011 59.77 -3.36% 1,286.12 2.26%
25. Feb 28, 2011 61.44 0.54 3.70% 1,327.22 3.20%
26. Mar 31, 2011 59.25 -3.56% 1,325.83 -0.10%
27. Apr 30, 2011 65.72 10.92% 1,363.61 2.85%
28. May 31, 2011 67.29 0.57 3.26% 1,345.20 -1.35%
29. Jun 30, 2011 66.52 -1.14% 1,320.64 -1.83%
30. Jul 31, 2011 64.79 -2.60% 1,292.28 -2.15%
31. Aug 31, 2011 65.80 0.57 2.44% 1,218.89 -5.68%
32. Sep 30, 2011 63.69 -3.21% 1,131.42 -7.18%
33. Oct 31, 2011 64.39 1.10% 1,253.30 10.77%
34. Nov 30, 2011 64.72 0.57 1.40% 1,246.96 -0.51%
35. Dec 31, 2011 65.58 1.33% 1,257.60 0.85%
36. Jan 31, 2012 65.91 0.50% 1,312.41 4.36%
37. Feb 29, 2012 65.08 0.57 -0.39% 1,365.68 4.06%
38. Mar 31, 2012 65.96 1.35% 1,408.47 3.13%
39. Apr 30, 2012 65.10 -1.30% 1,397.91 -0.75%
40. May 31, 2012 62.43 0.61 -3.16% 1,310.33 -6.27%
41. Jun 30, 2012 67.56 8.22% 1,362.16 3.96%
42. Jul 31, 2012 69.22 2.46% 1,379.32 1.26%
43. Aug 31, 2012 67.43 0.61 -1.70% 1,406.58 1.98%
44. Sep 30, 2012 68.91 2.19% 1,440.67 2.42%
45. Oct 31, 2012 70.82 2.77% 1,412.16 -1.98%
46. Nov 30, 2012 69.73 0.61 -0.68% 1,416.18 0.28%
47. Dec 31, 2012 70.10 0.53% 1,426.19 0.71%
48. Jan 31, 2013 73.92 5.45% 1,498.11 5.04%
49. Feb 28, 2013 76.11 0.61 3.79% 1,514.68 1.11%
50. Mar 31, 2013 81.53 7.12% 1,569.19 3.60%
51. Apr 30, 2013 85.23 4.54% 1,597.57 1.81%
52. May 31, 2013 84.18 0.66 -0.46% 1,630.74 2.08%
53. Jun 30, 2013 85.86 2.00% 1,606.28 -1.50%
54. Jul 31, 2013 93.50 8.90% 1,685.73 4.95%
55. Aug 31, 2013 86.41 0.66 -6.88% 1,632.97 -3.13%
56. Sep 30, 2013 86.69 0.32% 1,681.55 2.97%
57. Oct 31, 2013 92.61 6.83% 1,756.54 4.46%
58. Nov 30, 2013 94.66 0.66 2.93% 1,805.81 2.80%
59. Dec 31, 2013 91.59 -3.24% 1,848.36 2.36%
Average: 1.17% 1.47%
Standard Deviation: 4.30% 4.42%

Show All

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

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

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

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Systematic Risk (β) Estimation

 
VarianceJNJ 18.50
VarianceS&P 500 19.58
CovarianceJNJ, S&P 500 11.58
Correlation CoefficientJNJ, S&P 5001 0.61
βJNJ2 0.59
αJNJ3 0.30

Calculations

1 CovarianceJNJ, S&P 500 ÷ (Standard DeviationJNJ × Standard DeviationS&P 500)
= 11.58 ÷ (4.30 × 4.42)

2 CovarianceJNJ, S&P 500 ÷ VarianceS&P 500
= 11.58 ÷ 19.58

3 AverageJNJ – βJNJ × AverageS&P 500
= 1.17 – 0.59 × 1.47

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Expected Rate of Return

 
Assumptions
Rate of return on LT Treasury Composite1 RF 3.00%
Expected rate of return on market portfolio2 E(RM) 13.40%
Systematic risk (β) of Johnson & Johnson's common stock βJNJ 0.59
Expected rate of return on Johnson & Johnson's common stock3 E(RJNJ) 9.15%

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).

Calculations

2 See Details »

3 E(RJNJ) = RF + βJNJ [E(RM) – RF]
= 3.00% + 0.59 [13.40% – 3.00%]
= 9.15%

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