Stock Analysis on Net

Activision Blizzard Inc. (NASDAQ:ATVI)

This company has been moved to the archive! The financial data has not been updated since November 2, 2021.

Capital Asset Pricing Model (CAPM) 

Microsoft Excel LibreOffice Calc

Rates of Return

Activision Blizzard Inc., monthly rates of return

Microsoft Excel LibreOffice Calc
Activision Blizzard Inc. (ATVI) Standard & Poor’s 500 (S&P 500)
t Date PriceATVI,t1 DividendATVI,t1 RATVI,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2016 $34.82 1,940.24
1. Feb 29, 2016 $31.67 -9.05% 1,932.23 -0.41%
2. Mar 31, 2016 $33.84 $0.26 7.67% 2,059.74 6.60%
3. Apr 30, 2016 $34.47 1.86% 2,065.30 0.27%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2020 $79.48 4.95% 3,621.63 10.75%
59. Dec 31, 2020 $92.85 16.82% 3,756.07 3.71%
Average (R): 2.10% 1.22%
Standard deviation: 8.47% 4.36%
Activision Blizzard Inc. (ATVI) Standard & Poor’s 500 (S&P 500)
t Date PriceATVI,t1 DividendATVI,t1 RATVI,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2016 $34.82 1,940.24
1. Feb 29, 2016 $31.67 -9.05% 1,932.23 -0.41%
2. Mar 31, 2016 $33.84 $0.26 7.67% 2,059.74 6.60%
3. Apr 30, 2016 $34.47 1.86% 2,065.30 0.27%
4. May 31, 2016 $39.26 13.90% 2,096.95 1.53%
5. Jun 30, 2016 $39.63 0.94% 2,098.86 0.09%
6. Jul 31, 2016 $40.16 1.34% 2,173.60 3.56%
7. Aug 31, 2016 $41.37 3.01% 2,170.95 -0.12%
8. Sep 30, 2016 $44.30 7.08% 2,168.27 -0.12%
9. Oct 31, 2016 $43.17 -2.55% 2,126.15 -1.94%
10. Nov 30, 2016 $36.61 -15.20% 2,198.81 3.42%
11. Dec 31, 2016 $36.11 -1.37% 2,238.83 1.82%
12. Jan 31, 2017 $40.21 11.35% 2,278.87 1.79%
13. Feb 28, 2017 $45.13 12.24% 2,363.64 3.72%
14. Mar 31, 2017 $49.86 $0.30 11.15% 2,362.72 -0.04%
15. Apr 30, 2017 $52.25 4.79% 2,384.20 0.91%
16. May 31, 2017 $58.58 12.11% 2,411.80 1.16%
17. Jun 30, 2017 $57.57 -1.72% 2,423.41 0.48%
18. Jul 31, 2017 $61.78 7.31% 2,470.30 1.93%
19. Aug 31, 2017 $65.56 6.12% 2,471.65 0.05%
20. Sep 30, 2017 $64.51 -1.60% 2,519.36 1.93%
21. Oct 31, 2017 $65.49 1.52% 2,575.26 2.22%
22. Nov 30, 2017 $62.40 -4.72% 2,647.58 2.81%
23. Dec 31, 2017 $63.32 1.47% 2,673.61 0.98%
24. Jan 31, 2018 $74.13 17.07% 2,823.81 5.62%
25. Feb 28, 2018 $73.13 -1.35% 2,713.83 -3.89%
26. Mar 31, 2018 $67.46 $0.34 -7.29% 2,640.87 -2.69%
27. Apr 30, 2018 $66.35 -1.65% 2,648.05 0.27%
28. May 31, 2018 $70.91 6.87% 2,705.27 2.16%
29. Jun 30, 2018 $76.32 7.63% 2,718.37 0.48%
30. Jul 31, 2018 $73.42 -3.80% 2,816.29 3.60%
31. Aug 31, 2018 $72.10 -1.80% 2,901.52 3.03%
32. Sep 30, 2018 $83.19 15.38% 2,913.98 0.43%
33. Oct 31, 2018 $69.05 -17.00% 2,711.74 -6.94%
34. Nov 30, 2018 $49.88 -27.76% 2,760.17 1.79%
35. Dec 31, 2018 $46.57 -6.64% 2,506.85 -9.18%
36. Jan 31, 2019 $47.24 1.44% 2,704.10 7.87%
37. Feb 28, 2019 $42.14 -10.80% 2,784.49 2.97%
38. Mar 31, 2019 $45.53 $0.37 8.92% 2,834.40 1.79%
39. Apr 30, 2019 $48.21 5.89% 2,945.83 3.93%
40. May 31, 2019 $43.37 -10.04% 2,752.06 -6.58%
41. Jun 30, 2019 $47.20 8.83% 2,941.76 6.89%
42. Jul 31, 2019 $48.74 3.26% 2,980.38 1.31%
43. Aug 31, 2019 $50.60 3.82% 2,926.46 -1.81%
44. Sep 30, 2019 $52.92 4.58% 2,976.74 1.72%
45. Oct 31, 2019 $56.03 5.88% 3,037.56 2.04%
46. Nov 30, 2019 $54.83 -2.14% 3,140.98 3.40%
47. Dec 31, 2019 $59.42 8.37% 3,230.78 2.86%
48. Jan 31, 2020 $58.48 -1.58% 3,225.52 -0.16%
49. Feb 29, 2020 $58.13 -0.60% 2,954.22 -8.41%
50. Mar 31, 2020 $59.48 2.32% 2,584.59 -12.51%
51. Apr 30, 2020 $63.73 $0.41 7.83% 2,912.43 12.68%
52. May 31, 2020 $71.98 12.95% 3,044.31 4.53%
53. Jun 30, 2020 $75.90 5.45% 3,100.29 1.84%
54. Jul 31, 2020 $82.63 8.87% 3,271.12 5.51%
55. Aug 31, 2020 $83.52 1.08% 3,500.31 7.01%
56. Sep 30, 2020 $80.95 -3.08% 3,363.00 -3.92%
57. Oct 31, 2020 $75.73 -6.45% 3,269.96 -2.77%
58. Nov 30, 2020 $79.48 4.95% 3,621.63 10.75%
59. Dec 31, 2020 $92.85 16.82% 3,756.07 3.71%
Average (R): 2.10% 1.22%
Standard deviation: 8.47% 4.36%

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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 ATVI during period t

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


Variance and Covariance

Activision Blizzard Inc., calculation of variance and covariance of returns

Microsoft Excel LibreOffice Calc
t Date RATVI,t RS&P 500,t (RATVI,tRATVI)2 (RS&P 500,tRS&P 500)2 (RATVI,tRATVI)×(RS&P 500,tRS&P 500)
1. Feb 29, 2016 -9.05% -0.41% 124.25 2.67 18.20
2. Mar 31, 2016 7.67% 6.60% 31.05 28.93 29.97
3. Apr 30, 2016 1.86% 0.27% 0.06 0.90 0.23
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2020 4.95% 10.75% 8.13 90.91 27.19
59. Dec 31, 2020 16.82% 3.71% 216.72 6.21 36.69
Total (Σ): 4,158.77 1,103.45 746.07
t Date RATVI,t RS&P 500,t (RATVI,tRATVI)2 (RS&P 500,tRS&P 500)2 (RATVI,tRATVI)×(RS&P 500,tRS&P 500)
1. Feb 29, 2016 -9.05% -0.41% 124.25 2.67 18.20
2. Mar 31, 2016 7.67% 6.60% 31.05 28.93 29.97
3. Apr 30, 2016 1.86% 0.27% 0.06 0.90 0.23
4. May 31, 2016 13.90% 1.53% 139.14 0.10 3.68
5. Jun 30, 2016 0.94% 0.09% 1.34 1.27 1.31
6. Jul 31, 2016 1.34% 3.56% 0.58 5.48 -1.79
7. Aug 31, 2016 3.01% -0.12% 0.83 1.80 -1.22
8. Sep 30, 2016 7.08% -0.12% 24.82 1.81 -6.69
9. Oct 31, 2016 -2.55% -1.94% 21.63 10.00 14.71
10. Nov 30, 2016 -15.20% 3.42% 299.16 4.83 -38.01
11. Dec 31, 2016 -1.37% 1.82% 12.01 0.36 -2.08
12. Jan 31, 2017 11.35% 1.79% 85.63 0.32 5.26
13. Feb 28, 2017 12.24% 3.72% 102.73 6.25 25.34
14. Mar 31, 2017 11.15% -0.04% 81.82 1.59 -11.39
15. Apr 30, 2017 4.79% 0.91% 7.25 0.10 -0.84
16. May 31, 2017 12.11% 1.16% 100.29 0.00 -0.63
17. Jun 30, 2017 -1.72% 0.48% 14.63 0.55 2.83
18. Jul 31, 2017 7.31% 1.93% 27.17 0.51 3.73
19. Aug 31, 2017 6.12% 0.05% 16.14 1.36 -4.68
20. Sep 30, 2017 -1.60% 1.93% 13.70 0.50 -2.63
21. Oct 31, 2017 1.52% 2.22% 0.34 1.00 -0.58
22. Nov 30, 2017 -4.72% 2.81% 46.49 2.52 -10.83
23. Dec 31, 2017 1.47% 0.98% 0.39 0.06 0.15
24. Jan 31, 2018 17.07% 5.62% 224.15 19.34 65.84
25. Feb 28, 2018 -1.35% -3.89% 11.90 26.16 17.64
26. Mar 31, 2018 -7.29% -2.69% 88.15 15.28 36.70
27. Apr 30, 2018 -1.65% 0.27% 14.03 0.90 3.55
28. May 31, 2018 6.87% 2.16% 22.77 0.89 4.49
29. Jun 30, 2018 7.63% 0.48% 30.57 0.54 -4.07
30. Jul 31, 2018 -3.80% 3.60% 34.81 5.67 -14.05
31. Aug 31, 2018 -1.80% 3.03% 15.20 3.26 -7.04
32. Sep 30, 2018 15.38% 0.43% 176.39 0.63 -10.50
33. Oct 31, 2018 -17.00% -6.94% 364.72 66.59 155.84
34. Nov 30, 2018 -27.76% 1.79% 891.79 0.32 -16.90
35. Dec 31, 2018 -6.64% -9.18% 76.32 108.11 90.84
36. Jan 31, 2019 1.44% 7.87% 0.44 44.20 -4.40
37. Feb 28, 2019 -10.80% 2.97% 166.32 3.07 -22.61
38. Mar 31, 2019 8.92% 1.79% 46.54 0.33 3.90
39. Apr 30, 2019 5.89% 3.93% 14.33 7.35 10.26
40. May 31, 2019 -10.04% -6.58% 147.38 60.81 94.66
41. Jun 30, 2019 8.83% 6.89% 45.30 32.18 38.18
42. Jul 31, 2019 3.26% 1.31% 1.35 0.01 0.11
43. Aug 31, 2019 3.82% -1.81% 2.94 9.18 -5.20
44. Sep 30, 2019 4.58% 1.72% 6.17 0.25 1.24
45. Oct 31, 2019 5.88% 2.04% 14.26 0.68 3.11
46. Nov 30, 2019 -2.14% 3.40% 18.00 4.77 -9.27
47. Dec 31, 2019 8.37% 2.86% 39.32 2.69 10.28
48. Jan 31, 2020 -1.58% -0.16% 13.56 1.91 5.09
49. Feb 29, 2020 -0.60% -8.41% 7.28 92.76 25.99
50. Mar 31, 2020 2.32% -12.51% 0.05 188.57 -3.05
51. Apr 30, 2020 7.83% 12.68% 32.88 131.43 65.74
52. May 31, 2020 12.95% 4.53% 117.61 10.94 35.88
53. Jun 30, 2020 5.45% 1.84% 11.19 0.38 2.07
54. Jul 31, 2020 8.87% 5.51% 45.79 18.40 29.03
55. Aug 31, 2020 1.08% 7.01% 1.05 33.48 -5.92
56. Sep 30, 2020 -3.08% -3.92% 26.81 26.45 26.63
57. Oct 31, 2020 -6.45% -2.77% 73.08 15.89 34.08
58. Nov 30, 2020 4.95% 10.75% 8.13 90.91 27.19
59. Dec 31, 2020 16.82% 3.71% 216.72 6.21 36.69
Total (Σ): 4,158.77 1,103.45 746.07

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VarianceATVI = Σ(RATVI,tRATVI)2 ÷ (59 – 1)
= 4,158.77 ÷ (59 – 1)
= 71.70

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,103.45 ÷ (59 – 1)
= 19.02

CovarianceATVI, S&P 500 = Σ(RATVI,tRATVI)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 746.07 ÷ (59 – 1)
= 12.86


Systematic Risk (β) Estimation

Microsoft Excel LibreOffice Calc
VarianceATVI 71.70
VarianceS&P 500 19.02
CovarianceATVI, S&P 500 12.86
Correlation coefficientATVI, S&P 5001 0.35
βATVI2 0.68
αATVI3 1.28%

Calculations

1 Correlation coefficientATVI, S&P 500
= CovarianceATVI, S&P 500 ÷ (Standard deviationATVI × Standard deviationS&P 500)
= 12.86 ÷ (8.47% × 4.36%)
= 0.35

2 βATVI
= CovarianceATVI, S&P 500 ÷ VarianceS&P 500
= 12.86 ÷ 19.02
= 0.68

3 αATVI
= AverageATVI – βATVI × AverageS&P 500
= 2.10%0.68 × 1.22%
= 1.28%


Expected Rate of Return

Microsoft Excel LibreOffice Calc
Assumptions
Rate of return on LT Treasury Composite1 RF 3.31%
Expected rate of return on market portfolio2 E(RM) 13.03%
Systematic risk (β) of Activision Blizzard Inc. common stock βATVI 0.68
 
Expected rate of return on Activision Blizzard Inc. common stock3 E(RATVI) 9.88%

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(RATVI) = RF + βATVI [E(RM) – RF]
= 3.31% + 0.68 [13.03%3.31%]
= 9.88%