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 Analog Devices Inc. common stock.
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Analog Devices Inc. pages available for free this week:
- Statement of Comprehensive Income
- Common-Size Balance Sheet: Assets
- Analysis of Liquidity Ratios
- Analysis of Short-term (Operating) Activity Ratios
- Analysis of Geographic Areas
- Enterprise Value to FCFF (EV/FCFF)
- Net Profit Margin since 2005
- Debt to Equity since 2005
- Price to Earnings (P/E) since 2005
- Aggregate Accruals
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Rates of Return
Analog Devices Inc., monthly rates of return
| Analog Devices Inc. (ADI) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Date | PriceADI,t1 | DividendADI,t1 | RADI,t2 | PriceS&P 500,t | RS&P 500,t3 |
| Nov 30, 2019 | ||||||
| 1. | Dec 31, 2019 | |||||
| 2. | Jan 31, 2020 | |||||
| 3. | Feb 29, 2020 | |||||
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | Sep 30, 2025 | |||||
| 71. | Oct 31, 2025 | |||||
| Average (R): | ||||||
| Standard deviation: | ||||||
| Analog Devices Inc. (ADI) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Date | PriceADI,t1 | DividendADI,t1 | RADI,t2 | PriceS&P 500,t | RS&P 500,t3 |
| Nov 30, 2019 | ||||||
| 1. | Dec 31, 2019 | |||||
| 2. | Jan 31, 2020 | |||||
| 3. | Feb 29, 2020 | |||||
| 4. | Mar 31, 2020 | |||||
| 5. | Apr 30, 2020 | |||||
| 6. | May 31, 2020 | |||||
| 7. | Jun 30, 2020 | |||||
| 8. | Jul 31, 2020 | |||||
| 9. | Aug 31, 2020 | |||||
| 10. | Sep 30, 2020 | |||||
| 11. | Oct 31, 2020 | |||||
| 12. | Nov 30, 2020 | |||||
| 13. | Dec 31, 2020 | |||||
| 14. | Jan 31, 2021 | |||||
| 15. | Feb 28, 2021 | |||||
| 16. | Mar 31, 2021 | |||||
| 17. | Apr 30, 2021 | |||||
| 18. | May 31, 2021 | |||||
| 19. | Jun 30, 2021 | |||||
| 20. | Jul 31, 2021 | |||||
| 21. | Aug 31, 2021 | |||||
| 22. | Sep 30, 2021 | |||||
| 23. | Oct 31, 2021 | |||||
| 24. | Nov 30, 2021 | |||||
| 25. | Dec 31, 2021 | |||||
| 26. | Jan 31, 2022 | |||||
| 27. | Feb 28, 2022 | |||||
| 28. | Mar 31, 2022 | |||||
| 29. | Apr 30, 2022 | |||||
| 30. | May 31, 2022 | |||||
| 31. | Jun 30, 2022 | |||||
| 32. | Jul 31, 2022 | |||||
| 33. | Aug 31, 2022 | |||||
| 34. | Sep 30, 2022 | |||||
| 35. | Oct 31, 2022 | |||||
| 36. | Nov 30, 2022 | |||||
| 37. | Dec 31, 2022 | |||||
| 38. | Jan 31, 2023 | |||||
| 39. | Feb 28, 2023 | |||||
| 40. | Mar 31, 2023 | |||||
| 41. | Apr 30, 2023 | |||||
| 42. | May 31, 2023 | |||||
| 43. | Jun 30, 2023 | |||||
| 44. | Jul 31, 2023 | |||||
| 45. | Aug 31, 2023 | |||||
| 46. | Sep 30, 2023 | |||||
| 47. | Oct 31, 2023 | |||||
| 48. | Nov 30, 2023 | |||||
| 49. | Dec 31, 2023 | |||||
| 50. | Jan 31, 2024 | |||||
| 51. | Feb 29, 2024 | |||||
| 52. | Mar 31, 2024 | |||||
| 53. | Apr 30, 2024 | |||||
| 54. | May 31, 2024 | |||||
| 55. | Jun 30, 2024 | |||||
| 56. | Jul 31, 2024 | |||||
| 57. | Aug 31, 2024 | |||||
| 58. | Sep 30, 2024 | |||||
| 59. | Oct 31, 2024 | |||||
| 60. | Nov 30, 2024 | |||||
| 61. | Dec 31, 2024 | |||||
| 62. | Jan 31, 2025 | |||||
| 63. | Feb 28, 2025 | |||||
| 64. | Mar 31, 2025 | |||||
| 65. | Apr 30, 2025 | |||||
| 66. | May 31, 2025 | |||||
| 67. | Jun 30, 2025 | |||||
| 68. | Jul 31, 2025 | |||||
| 69. | Aug 31, 2025 | |||||
| 70. | Sep 30, 2025 | |||||
| 71. | Oct 31, 2025 | |||||
| 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 ADI during period t
3 Rate of return on S&P 500 (the market portfolio proxy) during period t
Variance and Covariance
Analog Devices Inc., calculation of variance and covariance of returns
| t | Date | RADI,t | RS&P 500,t | (RADI,t–RADI)2 | (RS&P 500,t–RS&P 500)2 | (RADI,t–RADI)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | Dec 31, 2019 | |||||
| 2. | Jan 31, 2020 | |||||
| 3. | Feb 29, 2020 | |||||
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | Sep 30, 2025 | |||||
| 71. | Oct 31, 2025 | |||||
| Total (Σ): | ||||||
| t | Date | RADI,t | RS&P 500,t | (RADI,t–RADI)2 | (RS&P 500,t–RS&P 500)2 | (RADI,t–RADI)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | Dec 31, 2019 | |||||
| 2. | Jan 31, 2020 | |||||
| 3. | Feb 29, 2020 | |||||
| 4. | Mar 31, 2020 | |||||
| 5. | Apr 30, 2020 | |||||
| 6. | May 31, 2020 | |||||
| 7. | Jun 30, 2020 | |||||
| 8. | Jul 31, 2020 | |||||
| 9. | Aug 31, 2020 | |||||
| 10. | Sep 30, 2020 | |||||
| 11. | Oct 31, 2020 | |||||
| 12. | Nov 30, 2020 | |||||
| 13. | Dec 31, 2020 | |||||
| 14. | Jan 31, 2021 | |||||
| 15. | Feb 28, 2021 | |||||
| 16. | Mar 31, 2021 | |||||
| 17. | Apr 30, 2021 | |||||
| 18. | May 31, 2021 | |||||
| 19. | Jun 30, 2021 | |||||
| 20. | Jul 31, 2021 | |||||
| 21. | Aug 31, 2021 | |||||
| 22. | Sep 30, 2021 | |||||
| 23. | Oct 31, 2021 | |||||
| 24. | Nov 30, 2021 | |||||
| 25. | Dec 31, 2021 | |||||
| 26. | Jan 31, 2022 | |||||
| 27. | Feb 28, 2022 | |||||
| 28. | Mar 31, 2022 | |||||
| 29. | Apr 30, 2022 | |||||
| 30. | May 31, 2022 | |||||
| 31. | Jun 30, 2022 | |||||
| 32. | Jul 31, 2022 | |||||
| 33. | Aug 31, 2022 | |||||
| 34. | Sep 30, 2022 | |||||
| 35. | Oct 31, 2022 | |||||
| 36. | Nov 30, 2022 | |||||
| 37. | Dec 31, 2022 | |||||
| 38. | Jan 31, 2023 | |||||
| 39. | Feb 28, 2023 | |||||
| 40. | Mar 31, 2023 | |||||
| 41. | Apr 30, 2023 | |||||
| 42. | May 31, 2023 | |||||
| 43. | Jun 30, 2023 | |||||
| 44. | Jul 31, 2023 | |||||
| 45. | Aug 31, 2023 | |||||
| 46. | Sep 30, 2023 | |||||
| 47. | Oct 31, 2023 | |||||
| 48. | Nov 30, 2023 | |||||
| 49. | Dec 31, 2023 | |||||
| 50. | Jan 31, 2024 | |||||
| 51. | Feb 29, 2024 | |||||
| 52. | Mar 31, 2024 | |||||
| 53. | Apr 30, 2024 | |||||
| 54. | May 31, 2024 | |||||
| 55. | Jun 30, 2024 | |||||
| 56. | Jul 31, 2024 | |||||
| 57. | Aug 31, 2024 | |||||
| 58. | Sep 30, 2024 | |||||
| 59. | Oct 31, 2024 | |||||
| 60. | Nov 30, 2024 | |||||
| 61. | Dec 31, 2024 | |||||
| 62. | Jan 31, 2025 | |||||
| 63. | Feb 28, 2025 | |||||
| 64. | Mar 31, 2025 | |||||
| 65. | Apr 30, 2025 | |||||
| 66. | May 31, 2025 | |||||
| 67. | Jun 30, 2025 | |||||
| 68. | Jul 31, 2025 | |||||
| 69. | Aug 31, 2025 | |||||
| 70. | Sep 30, 2025 | |||||
| 71. | Oct 31, 2025 | |||||
| Total (Σ): | ||||||
Show all
VarianceADI = Σ(RADI,t–RADI)2 ÷ (71 – 1)
= ÷ (71 – 1)
=
VarianceS&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= ÷ (71 – 1)
=
CovarianceADI, S&P 500 = Σ(RADI,t–RADI)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= ÷ (71 – 1)
=
Systematic Risk (β) Estimation
| VarianceADI | |
| VarianceS&P 500 | |
| CovarianceADI, S&P 500 | |
| Correlation coefficientADI, S&P 5001 | |
| βADI2 | |
| αADI3 |
Calculations
1 Correlation coefficientADI, S&P 500
= CovarianceADI, S&P 500 ÷ (Standard deviationADI × Standard deviationS&P 500)
= ÷ ( × )
=
2 βADI
= CovarianceADI, S&P 500 ÷ VarianceS&P 500
= ÷
=
3 αADI
= AverageADI – βADI × 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 Analog Devices Inc. common stock | βADI | |
| Expected rate of return on Analog Devices Inc. common stock3 | E(RADI) | |
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(RADI) = RF + βADI [E(RM) – RF]
= + [ – ]
=