Stock Analysis on Net
Stock Analysis on Net
Microsoft Excel LibreOffice Calc

Analog Devices Inc. (NASDAQ:ADI)

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Capital Asset Pricing Model (CAPM)

Intermediate level


Rates of Return

Analog Devices Inc., monthly rates of return

Microsoft Excel LibreOffice Calc
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, 2014
1. Dec 31, 2014
2. Jan 31, 2015
3. Feb 28, 2015
. . . . . . .
. . . . . . .
. . . . . . .
58. Sep 30, 2019
59. Oct 31, 2019
Average:
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, 2014
1. Dec 31, 2014
2. Jan 31, 2015
3. Feb 28, 2015
4. Mar 31, 2015
5. Apr 30, 2015
6. May 31, 2015
7. Jun 30, 2015
8. Jul 31, 2015
9. Aug 31, 2015
10. Sep 30, 2015
11. Oct 31, 2015
12. Nov 30, 2015
13. Dec 31, 2015
14. Jan 31, 2016
15. Feb 29, 2016
16. Mar 31, 2016
17. Apr 30, 2016
18. May 31, 2016
19. Jun 30, 2016
20. Jul 31, 2016
21. Aug 31, 2016
22. Sep 30, 2016
23. Oct 31, 2016
24. Nov 30, 2016
25. Dec 31, 2016
26. Jan 31, 2017
27. Feb 28, 2017
28. Mar 31, 2017
29. Apr 30, 2017
30. May 31, 2017
31. Jun 30, 2017
32. Jul 31, 2017
33. Aug 31, 2017
34. Sep 30, 2017
35. Oct 31, 2017
36. Nov 30, 2017
37. Dec 31, 2017
38. Jan 31, 2018
39. Feb 28, 2018
40. Mar 31, 2018
41. Apr 30, 2018
42. May 31, 2018
43. Jun 30, 2018
44. Jul 31, 2018
45. Aug 31, 2018
46. Sep 30, 2018
47. Oct 31, 2018
48. Nov 30, 2018
49. Dec 31, 2018
50. Jan 31, 2019
51. Feb 28, 2019
52. Mar 31, 2019
53. Apr 30, 2019
54. May 31, 2019
55. Jun 30, 2019
56. Jul 31, 2019
57. Aug 31, 2019
58. Sep 30, 2019
59. Oct 31, 2019
Average:
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


Systematic Risk (β) Estimation

Microsoft Excel LibreOffice Calc
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

Microsoft Excel LibreOffice Calc
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.’s common stock βADI
 
Expected rate of return on Analog Devices Inc.’s 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).

2 See details »

3 E(RADI) = RF + βADI [E(RM) – RF]
= + []
=