Stock Analysis on Net
Stock Analysis on Net

Amgen Inc. (NASDAQ:AMGN)

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 Amgen Inc. common stock.

Rates of Return

Amgen Inc., monthly rates of return

Microsoft Excel
Amgen Inc. (AMGN) Standard & Poor’s 500 (S&P 500)
t Date PriceAMGN,t1 DividendAMGN,t1 RAMGN,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2021 $241.43 3,714.24
1. Feb 28, 2021 $224.92 $1.76 -6.11% 3,811.15 2.61%
2. Mar 31, 2021 $248.81 10.62% 3,972.89 4.24%
3. Apr 30, 2021 $239.64 -3.69% 4,181.17 5.24%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2025 $345.46 $2.38 16.56% 6,849.09 0.13%
59. Dec 31, 2025 $327.31 -5.25% 6,845.50 -0.05%
Average (R): 1.02% 1.14%
Standard deviation: 6.94% 4.37%
Amgen Inc. (AMGN) Standard & Poor’s 500 (S&P 500)
t Date PriceAMGN,t1 DividendAMGN,t1 RAMGN,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2021 $241.43 3,714.24
1. Feb 28, 2021 $224.92 $1.76 -6.11% 3,811.15 2.61%
2. Mar 31, 2021 $248.81 10.62% 3,972.89 4.24%
3. Apr 30, 2021 $239.64 -3.69% 4,181.17 5.24%
4. May 31, 2021 $237.94 $1.76 0.03% 4,204.11 0.55%
5. Jun 30, 2021 $243.75 2.44% 4,297.50 2.22%
6. Jul 31, 2021 $241.54 -0.91% 4,395.26 2.27%
7. Aug 31, 2021 $225.53 $1.76 -5.90% 4,522.68 2.90%
8. Sep 30, 2021 $212.65 -5.71% 4,307.54 -4.76%
9. Oct 31, 2021 $206.97 -2.67% 4,605.38 6.91%
10. Nov 30, 2021 $198.88 $1.76 -3.06% 4,567.00 -0.83%
11. Dec 31, 2021 $224.97 13.12% 4,766.18 4.36%
12. Jan 31, 2022 $227.14 0.96% 4,515.55 -5.26%
13. Feb 28, 2022 $226.48 $1.94 0.56% 4,373.94 -3.14%
14. Mar 31, 2022 $241.82 6.77% 4,530.41 3.58%
15. Apr 30, 2022 $233.19 -3.57% 4,131.93 -8.80%
16. May 31, 2022 $256.74 $1.94 10.93% 4,132.15 0.01%
17. Jun 30, 2022 $243.30 -5.23% 3,785.38 -8.39%
18. Jul 31, 2022 $247.47 1.71% 4,130.29 9.11%
19. Aug 31, 2022 $240.30 $1.94 -2.11% 3,955.00 -4.24%
20. Sep 30, 2022 $225.40 -6.20% 3,585.62 -9.34%
21. Oct 31, 2022 $270.35 19.94% 3,871.98 7.99%
22. Nov 30, 2022 $286.40 $1.94 6.65% 4,080.11 5.38%
23. Dec 31, 2022 $262.64 -8.30% 3,839.50 -5.90%
24. Jan 31, 2023 $252.40 -3.90% 4,076.60 6.18%
25. Feb 28, 2023 $231.66 $2.13 -7.37% 3,970.15 -2.61%
26. Mar 31, 2023 $241.75 4.36% 4,109.31 3.51%
27. Apr 30, 2023 $239.74 -0.83% 4,169.48 1.46%
28. May 31, 2023 $220.65 $2.13 -7.07% 4,179.83 0.25%
29. Jun 30, 2023 $222.02 0.62% 4,376.86 4.71%
30. Jul 31, 2023 $234.15 5.46% 4,588.96 4.85%
31. Aug 31, 2023 $256.34 $2.13 10.39% 4,507.66 -1.77%
32. Sep 30, 2023 $268.76 4.85% 4,288.05 -4.87%
33. Oct 31, 2023 $255.70 -4.86% 4,193.80 -2.20%
34. Nov 30, 2023 $269.64 $2.13 6.28% 4,567.80 8.92%
35. Dec 31, 2023 $288.02 6.82% 4,769.83 4.42%
36. Jan 31, 2024 $314.26 9.11% 4,845.65 1.59%
37. Feb 29, 2024 $273.83 $2.25 -12.15% 5,096.27 5.17%
38. Mar 31, 2024 $284.32 3.83% 5,254.35 3.10%
39. Apr 30, 2024 $273.94 -3.65% 5,035.69 -4.16%
40. May 31, 2024 $305.85 $2.25 12.47% 5,277.51 4.80%
41. Jun 30, 2024 $312.45 2.16% 5,460.48 3.47%
42. Jul 31, 2024 $332.47 6.41% 5,522.30 1.13%
43. Aug 31, 2024 $333.83 $2.25 1.09% 5,648.40 2.28%
44. Sep 30, 2024 $322.21 -3.48% 5,762.48 2.02%
45. Oct 31, 2024 $320.16 -0.64% 5,705.45 -0.99%
46. Nov 30, 2024 $282.87 $2.25 -10.94% 6,032.38 5.73%
47. Dec 31, 2024 $260.64 -7.86% 5,881.63 -2.50%
48. Jan 31, 2025 $285.42 9.51% 6,040.53 2.70%
49. Feb 28, 2025 $308.06 $2.38 8.77% 5,954.50 -1.42%
50. Mar 31, 2025 $311.55 1.13% 5,611.85 -5.75%
51. Apr 30, 2025 $290.92 -6.62% 5,569.06 -0.76%
52. May 31, 2025 $288.18 $2.38 -0.12% 5,911.69 6.15%
53. Jun 30, 2025 $279.21 -3.11% 6,204.95 4.96%
54. Jul 31, 2025 $295.10 5.69% 6,339.39 2.17%
55. Aug 31, 2025 $287.71 $2.38 -1.70% 6,460.26 1.91%
56. Sep 30, 2025 $282.20 -1.92% 6,688.46 3.53%
57. Oct 31, 2025 $298.43 5.75% 6,840.20 2.27%
58. Nov 30, 2025 $345.46 $2.38 16.56% 6,849.09 0.13%
59. Dec 31, 2025 $327.31 -5.25% 6,845.50 -0.05%
Average (R): 1.02% 1.14%
Standard deviation: 6.94% 4.37%

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 AMGN during period t

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

Variance and Covariance

Amgen Inc., calculation of variance and covariance of returns

Microsoft Excel
t Date RAMGN,t RS&P 500,t (RAMGN,t–RAMGN)2 (RS&P 500,t–RS&P 500)2 (RAMGN,t–RAMGN)×(RS&P 500,t–RS&P 500)
1. Feb 28, 2021 -6.11% 2.61% 50.80 2.17 -10.50
2. Mar 31, 2021 10.62% 4.24% 92.23 9.66 29.85
3. Apr 30, 2021 -3.69% 5.24% 22.12 16.86 -19.31
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2025 16.56% 0.13% 241.45 1.01 -15.63
59. Dec 31, 2025 -5.25% -0.05% 39.33 1.41 7.45
Total (Σ): 2,790.10 1,108.23 526.96
t Date RAMGN,t RS&P 500,t (RAMGN,t–RAMGN)2 (RS&P 500,t–RS&P 500)2 (RAMGN,t–RAMGN)×(RS&P 500,t–RS&P 500)
1. Feb 28, 2021 -6.11% 2.61% 50.80 2.17 -10.50
2. Mar 31, 2021 10.62% 4.24% 92.23 9.66 29.85
3. Apr 30, 2021 -3.69% 5.24% 22.12 16.86 -19.31
4. May 31, 2021 0.03% 0.55% 0.99 0.35 0.58
5. Jun 30, 2021 2.44% 2.22% 2.03 1.18 1.55
6. Jul 31, 2021 -0.91% 2.27% 3.70 1.30 -2.19
7. Aug 31, 2021 -5.90% 2.90% 47.85 3.11 -12.19
8. Sep 30, 2021 -5.71% -4.76% 45.28 34.73 39.65
9. Oct 31, 2021 -2.67% 6.91% 13.61 33.39 -21.32
10. Nov 30, 2021 -3.06% -0.83% 16.62 3.88 8.03
11. Dec 31, 2021 13.12% 4.36% 146.43 10.40 39.03
12. Jan 31, 2022 0.96% -5.26% 0.00 40.89 0.34
13. Feb 28, 2022 0.56% -3.14% 0.21 18.25 1.94
14. Mar 31, 2022 6.77% 3.58% 33.12 5.96 14.05
15. Apr 30, 2022 -3.57% -8.80% 21.04 98.64 45.55
16. May 31, 2022 10.93% 0.01% 98.27 1.28 -11.21
17. Jun 30, 2022 -5.23% -8.39% 39.10 90.79 59.58
18. Jul 31, 2022 1.71% 9.11% 0.48 63.61 5.55
19. Aug 31, 2022 -2.11% -4.24% 9.80 28.95 16.85
20. Sep 30, 2022 -6.20% -9.34% 52.11 109.74 75.62
21. Oct 31, 2022 19.94% 7.99% 358.14 46.93 129.64
22. Nov 30, 2022 6.65% 5.38% 31.77 17.97 23.89
23. Dec 31, 2022 -8.30% -5.90% 86.75 49.47 65.51
24. Jan 31, 2023 -3.90% 6.18% 24.17 25.39 -24.78
25. Feb 28, 2023 -7.37% -2.61% 70.41 14.04 31.44
26. Mar 31, 2023 4.36% 3.51% 11.14 5.61 7.91
27. Apr 30, 2023 -0.83% 1.46% 3.42 0.11 -0.61
28. May 31, 2023 -7.07% 0.25% 65.48 0.79 7.19
29. Jun 30, 2023 0.62% 4.71% 0.16 12.80 -1.42
30. Jul 31, 2023 5.46% 4.85% 19.76 13.76 16.49
31. Aug 31, 2023 10.39% -1.77% 87.77 8.46 -27.24
32. Sep 30, 2023 4.85% -4.87% 14.65 36.10 -22.99
33. Oct 31, 2023 -4.86% -2.20% 34.54 11.12 19.60
34. Nov 30, 2023 6.28% 8.92% 27.74 60.56 40.99
35. Dec 31, 2023 6.82% 4.42% 33.62 10.80 19.06
36. Jan 31, 2024 9.11% 1.59% 65.49 0.21 3.67
37. Feb 29, 2024 -12.15% 5.17% 173.37 16.29 -53.14
38. Mar 31, 2024 3.83% 3.10% 7.91 3.86 5.53
39. Apr 30, 2024 -3.65% -4.16% 21.80 28.06 24.73
40. May 31, 2024 12.47% 4.80% 131.15 13.44 41.98
41. Jun 30, 2024 2.16% 3.47% 1.30 5.43 2.66
42. Jul 31, 2024 6.41% 1.13% 29.05 0.00 -0.02
43. Aug 31, 2024 1.09% 2.28% 0.00 1.32 0.08
44. Sep 30, 2024 -3.48% 2.02% 20.24 0.78 -3.97
45. Oct 31, 2024 -0.64% -0.99% 2.74 4.52 3.52
46. Nov 30, 2024 -10.94% 5.73% 143.10 21.10 -54.96
47. Dec 31, 2024 -7.86% -2.50% 78.79 13.21 32.27
48. Jan 31, 2025 9.51% 2.70% 72.07 2.45 13.29
49. Feb 28, 2025 8.77% -1.42% 60.03 6.56 -19.84
50. Mar 31, 2025 1.13% -5.75% 0.01 47.48 -0.79
51. Apr 30, 2025 -6.62% -0.76% 58.36 3.60 14.50
52. May 31, 2025 -0.12% 6.15% 1.30 25.16 -5.73
53. Jun 30, 2025 -3.11% 4.96% 17.06 14.63 -15.80
54. Jul 31, 2025 5.69% 2.17% 21.84 1.06 4.82
55. Aug 31, 2025 -1.70% 1.91% 7.37 0.59 -2.09
56. Sep 30, 2025 -1.92% 3.53% 8.60 5.74 -7.03
57. Oct 31, 2025 5.75% 2.27% 22.41 1.28 5.36
58. Nov 30, 2025 16.56% 0.13% 241.45 1.01 -15.63
59. Dec 31, 2025 -5.25% -0.05% 39.33 1.41 7.45
Total (Σ): 2,790.10 1,108.23 526.96

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VarianceAMGN = Σ(RAMGN,t–RAMGN)2 ÷ (59 – 1)
= 2,790.10 ÷ (59 – 1)
= 48.11

VarianceS&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11

CovarianceAMGN, S&P 500 = Σ(RAMGN,t–RAMGN)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 526.96 ÷ (59 – 1)
= 9.09

Systematic Risk (β) Estimation

Microsoft Excel
VarianceAMGN 48.11
VarianceS&P 500 19.11
CovarianceAMGN, S&P 500 9.09
Correlation coefficientAMGN, S&P 5001 0.30
βAMGN2 0.48
αAMGN3 0.48%

Calculations

1 Correlation coefficientAMGN, S&P 500
= CovarianceAMGN, S&P 500 ÷ (Standard deviationAMGN × Standard deviationS&P 500)
= 9.09 ÷ (6.94% × 4.37%)
= 0.30

2 βAMGN
= CovarianceAMGN, S&P 500 ÷ VarianceS&P 500
= 9.09 ÷ 19.11
= 0.48

3 αAMGN
= AverageAMGN – βAMGN × AverageS&P 500
= 1.02% – 0.48 × 1.14%
= 0.48%

Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF 4.84%
Expected rate of return on market portfolio2 E(RM) 17.37%
Systematic risk (β) of Amgen Inc. common stock βAMGN 0.48
 
Expected rate of return on Amgen Inc. common stock3 E(RAMGN) 10.80%

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(RAMGN) = RF + βAMGN [E(RM) – RF]
= 4.84% + 0.48 [17.37% – 4.84%]
= 10.80%