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

Applied Materials Inc. (NASDAQ:AMAT)

Capital Asset Pricing Model (CAPM)

Intermediate level

Rates of Return

Applied Materials Inc., monthly rates of return

Microsoft Excel LibreOffice Calc
Applied Materials Inc. (AMAT) Standard & Poor’s 500 (S&P 500)
t Date PriceAMAT,t1 DividendAMAT,t1 RAMAT,t2 PriceS&P 500,t RS&P 500,t3
Nov 30, 2014 $24.05 2,067.56
1. Dec 31, 2014 $24.92 3.62% 2,058.90 -0.42%
2. Jan 31, 2015 $22.84 -8.35% 1,994.99 -3.10%
3. Feb 28, 2015 $25.05 $0.10 10.11% 2,104.50 5.49%
. . . . . . .
. . . . . . .
. . . . . . .
70. Sep 30, 2020 $59.45 -3.49% 3,363.00 -3.92%
71. Oct 31, 2020 $59.23 -0.37% 3,269.96 -2.77%
Average (R): 1.82% 0.73%
Standard deviation: 9.14% 4.18%
Applied Materials Inc. (AMAT) Standard & Poor’s 500 (S&P 500)
t Date PriceAMAT,t1 DividendAMAT,t1 RAMAT,t2 PriceS&P 500,t RS&P 500,t3
Nov 30, 2014 $24.05 2,067.56
1. Dec 31, 2014 $24.92 3.62% 2,058.90 -0.42%
2. Jan 31, 2015 $22.84 -8.35% 1,994.99 -3.10%
3. Feb 28, 2015 $25.05 $0.10 10.11% 2,104.50 5.49%
4. Mar 31, 2015 $22.56 -9.94% 2,067.89 -1.74%
5. Apr 30, 2015 $19.79 -12.28% 2,085.51 0.85%
6. May 31, 2015 $20.13 $0.10 2.22% 2,107.39 1.05%
7. Jun 30, 2015 $19.22 -4.52% 2,063.11 -2.10%
8. Jul 31, 2015 $17.36 -9.68% 2,103.84 1.97%
9. Aug 31, 2015 $16.09 $0.10 -6.74% 1,972.18 -6.26%
10. Sep 30, 2015 $14.69 -8.70% 1,920.03 -2.64%
11. Oct 31, 2015 $16.77 14.16% 2,079.36 8.30%
12. Nov 30, 2015 $18.77 $0.10 12.52% 2,080.41 0.05%
13. Dec 31, 2015 $18.67 -0.53% 2,043.94 -1.75%
14. Jan 31, 2016 $17.65 -5.46% 1,940.24 -5.07%
15. Feb 29, 2016 $18.87 $0.10 7.48% 1,932.23 -0.41%
16. Mar 31, 2016 $21.18 12.24% 2,059.74 6.60%
17. Apr 30, 2016 $20.47 -3.35% 2,065.30 0.27%
18. May 31, 2016 $24.42 $0.10 19.79% 2,096.95 1.53%
19. Jun 30, 2016 $23.97 -1.84% 2,098.86 0.09%
20. Jul 31, 2016 $26.29 9.68% 2,173.60 3.56%
21. Aug 31, 2016 $29.84 $0.10 13.88% 2,170.95 -0.12%
22. Sep 30, 2016 $30.15 1.04% 2,168.27 -0.12%
23. Oct 31, 2016 $29.08 -3.55% 2,126.15 -1.94%
24. Nov 30, 2016 $32.20 $0.10 11.07% 2,198.81 3.42%
25. Dec 31, 2016 $32.27 0.22% 2,238.83 1.82%
26. Jan 31, 2017 $34.25 6.14% 2,278.87 1.79%
27. Feb 28, 2017 $36.22 $0.10 6.04% 2,363.64 3.72%
28. Mar 31, 2017 $38.90 7.40% 2,362.72 -0.04%
29. Apr 30, 2017 $40.61 4.40% 2,384.20 0.91%
30. May 31, 2017 $45.88 $0.10 13.22% 2,411.80 1.16%
31. Jun 30, 2017 $41.31 -9.96% 2,423.41 0.48%
32. Jul 31, 2017 $44.31 7.26% 2,470.30 1.93%
33. Aug 31, 2017 $45.12 $0.10 2.05% 2,471.65 0.05%
34. Sep 30, 2017 $52.09 15.45% 2,519.36 1.93%
35. Oct 31, 2017 $56.43 8.33% 2,575.26 2.22%
36. Nov 30, 2017 $52.77 $0.10 -6.31% 2,647.58 2.81%
37. Dec 31, 2017 $51.12 -3.13% 2,673.61 0.98%
38. Jan 31, 2018 $53.63 4.91% 2,823.81 5.62%
39. Feb 28, 2018 $57.59 $0.10 7.57% 2,713.83 -3.89%
40. Mar 31, 2018 $55.61 -3.44% 2,640.87 -2.69%
41. Apr 30, 2018 $49.67 -10.68% 2,648.05 0.27%
42. May 31, 2018 $50.78 $0.20 2.64% 2,705.27 2.16%
43. Jun 30, 2018 $46.19 -9.04% 2,718.37 0.48%
44. Jul 31, 2018 $48.63 5.28% 2,816.29 3.60%
45. Aug 31, 2018 $43.02 $0.20 -11.12% 2,901.52 3.03%
46. Sep 30, 2018 $38.65 -10.16% 2,913.98 0.43%
47. Oct 31, 2018 $32.88 -14.93% 2,711.74 -6.94%
48. Nov 30, 2018 $37.28 $0.20 13.99% 2,760.17 1.79%
49. Dec 31, 2018 $32.74 -12.18% 2,506.85 -9.18%
50. Jan 31, 2019 $39.08 19.36% 2,704.10 7.87%
51. Feb 28, 2019 $38.34 $0.20 -1.38% 2,784.49 2.97%
52. Mar 31, 2019 $39.66 3.44% 2,834.40 1.79%
53. Apr 30, 2019 $44.07 11.12% 2,945.83 3.93%
54. May 31, 2019 $38.69 $0.21 -11.73% 2,752.06 -6.58%
55. Jun 30, 2019 $44.91 16.08% 2,941.76 6.89%
56. Jul 31, 2019 $49.37 9.93% 2,980.38 1.31%
57. Aug 31, 2019 $48.02 $0.21 -2.31% 2,926.46 -1.81%
58. Sep 30, 2019 $49.90 3.92% 2,976.74 1.72%
59. Oct 31, 2019 $54.26 8.74% 3,037.56 2.04%
60. Nov 30, 2019 $57.90 $0.21 7.10% 3,140.98 3.40%
61. Dec 31, 2019 $61.04 5.42% 3,230.78 2.86%
62. Jan 31, 2020 $57.99 -5.00% 3,225.52 -0.16%
63. Feb 29, 2020 $58.12 $0.21 0.59% 2,954.22 -8.41%
64. Mar 31, 2020 $45.82 -21.16% 2,584.59 -12.51%
65. Apr 30, 2020 $49.68 8.42% 2,912.43 12.68%
66. May 31, 2020 $56.18 $0.22 13.53% 3,044.31 4.53%
67. Jun 30, 2020 $60.45 7.60% 3,100.29 1.84%
68. Jul 31, 2020 $64.33 6.42% 3,271.12 5.51%
69. Aug 31, 2020 $61.60 $0.22 -3.90% 3,500.31 7.01%
70. Sep 30, 2020 $59.45 -3.49% 3,363.00 -3.92%
71. Oct 31, 2020 $59.23 -0.37% 3,269.96 -2.77%
Average (R): 1.82% 0.73%
Standard deviation: 9.14% 4.18%

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 AMAT during period t

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


Variance and Covariance

Applied Materials Inc., calculation of variance and covariance of returns

Microsoft Excel LibreOffice Calc
t Date RAMAT,t RS&P 500,t (RAMAT,tRAMAT)2 (RS&P 500,tRS&P 500)2 (RAMAT,tRAMAT)×(RS&P 500,tRS&P 500)
1. Dec 31, 2014 3.62% -0.42% 3.23 1.33 -2.07
2. Jan 31, 2015 -8.35% -3.10% 103.34 14.73 39.02
3. Feb 28, 2015 10.11% 5.49% 68.80 22.61 39.44
. . . . . . .
. . . . . . .
. . . . . . .
70. Sep 30, 2020 -3.49% -3.92% 28.19 21.69 24.73
71. Oct 31, 2020 -0.37% -2.77% 4.79 12.26 7.66
Total (Σ): 5,854.07 1,220.49 1,630.88
t Date RAMAT,t RS&P 500,t (RAMAT,tRAMAT)2 (RS&P 500,tRS&P 500)2 (RAMAT,tRAMAT)×(RS&P 500,tRS&P 500)
1. Dec 31, 2014 3.62% -0.42% 3.23 1.33 -2.07
2. Jan 31, 2015 -8.35% -3.10% 103.34 14.73 39.02
3. Feb 28, 2015 10.11% 5.49% 68.80 22.61 39.44
4. Mar 31, 2015 -9.94% -1.74% 138.28 6.12 29.09
5. Apr 30, 2015 -12.28% 0.85% 198.73 0.01 -1.66
6. May 31, 2015 2.22% 1.05% 0.16 0.10 0.13
7. Jun 30, 2015 -4.52% -2.10% 40.19 8.04 17.98
8. Jul 31, 2015 -9.68% 1.97% 132.17 1.54 -14.25
9. Aug 31, 2015 -6.74% -6.26% 73.25 48.89 59.85
10. Sep 30, 2015 -8.70% -2.64% 110.67 11.42 35.54
11. Oct 31, 2015 14.16% 8.30% 152.28 57.21 93.34
12. Nov 30, 2015 12.52% 0.05% 114.56 0.47 -7.32
13. Dec 31, 2015 -0.53% -1.75% 5.53 6.19 5.85
14. Jan 31, 2016 -5.46% -5.07% 53.03 33.73 42.29
15. Feb 29, 2016 7.48% -0.41% 32.03 1.32 -6.49
16. Mar 31, 2016 12.24% 6.60% 108.63 34.40 61.13
17. Apr 30, 2016 -3.35% 0.27% 26.74 0.22 2.40
18. May 31, 2016 19.79% 1.53% 322.78 0.64 14.34
19. Jun 30, 2016 -1.84% 0.09% 13.41 0.41 2.36
20. Jul 31, 2016 9.68% 3.56% 61.78 7.99 22.22
21. Aug 31, 2016 13.88% -0.12% 145.56 0.73 -10.33
22. Sep 30, 2016 1.04% -0.12% 0.61 0.74 0.67
23. Oct 31, 2016 -3.55% -1.94% 28.81 7.17 14.37
24. Nov 30, 2016 11.07% 3.42% 85.64 7.20 24.83
25. Dec 31, 2016 0.22% 1.82% 2.57 1.18 -1.74
26. Jan 31, 2017 6.14% 1.79% 18.63 1.11 4.55
27. Feb 28, 2017 6.04% 3.72% 17.85 8.91 12.61
28. Mar 31, 2017 7.40% -0.04% 31.14 0.60 -4.32
29. Apr 30, 2017 4.40% 0.91% 6.64 0.03 0.45
30. May 31, 2017 13.22% 1.16% 130.06 0.18 4.83
31. Jun 30, 2017 -9.96% 0.48% 138.76 0.06 2.98
32. Jul 31, 2017 7.26% 1.93% 29.63 1.44 6.53
33. Aug 31, 2017 2.05% 0.05% 0.06 0.46 -0.16
34. Sep 30, 2017 15.45% 1.93% 185.74 1.43 16.30
35. Oct 31, 2017 8.33% 2.22% 42.42 2.20 9.67
36. Nov 30, 2017 -6.31% 2.81% 66.06 4.30 -16.86
37. Dec 31, 2017 -3.13% 0.98% 24.46 0.06 -1.23
38. Jan 31, 2018 4.91% 5.62% 9.55 23.85 15.10
39. Feb 28, 2018 7.57% -3.89% 33.08 21.43 -26.62
40. Mar 31, 2018 -3.44% -2.69% 27.64 11.72 17.99
41. Apr 30, 2018 -10.68% 0.27% 156.26 0.21 5.78
42. May 31, 2018 2.64% 2.16% 0.67 2.03 1.17
43. Jun 30, 2018 -9.04% 0.48% 117.90 0.06 2.72
44. Jul 31, 2018 5.28% 3.60% 12.00 8.22 9.93
45. Aug 31, 2018 -11.12% 3.03% 167.54 5.25 -29.67
46. Sep 30, 2018 -10.16% 0.43% 143.45 0.09 3.65
47. Oct 31, 2018 -14.93% -6.94% 280.49 58.90 128.53
48. Nov 30, 2018 13.99% 1.79% 148.14 1.11 12.80
49. Dec 31, 2018 -12.18% -9.18% 195.92 98.25 138.74
50. Jan 31, 2019 19.36% 7.87% 307.85 50.90 125.17
51. Feb 28, 2019 -1.38% 2.97% 10.24 5.01 -7.17
52. Mar 31, 2019 3.44% 1.79% 2.64 1.12 1.72
53. Apr 30, 2019 11.12% 3.93% 86.50 10.22 29.73
54. May 31, 2019 -11.73% -6.58% 183.61 53.47 99.08
55. Jun 30, 2019 16.08% 6.89% 203.28 37.93 87.81
56. Jul 31, 2019 9.93% 1.31% 65.80 0.33 4.69
57. Aug 31, 2019 -2.31% -1.81% 17.04 6.47 10.50
58. Sep 30, 2019 3.92% 1.72% 4.39 0.97 2.06
59. Oct 31, 2019 8.74% 2.04% 47.87 1.71 9.06
60. Nov 30, 2019 7.10% 3.40% 27.84 7.13 14.09
61. Dec 31, 2019 5.42% 2.86% 12.99 4.51 7.66
62. Jan 31, 2020 -5.00% -0.16% 46.45 0.80 6.11
63. Feb 29, 2020 0.59% -8.41% 1.52 83.64 11.27
64. Mar 31, 2020 -21.16% -12.51% 528.18 175.46 304.43
65. Apr 30, 2020 8.42% 12.68% 43.63 142.80 78.93
66. May 31, 2020 13.53% 4.53% 137.07 14.39 44.42
67. Jun 30, 2020 7.60% 1.84% 33.43 1.22 6.39
68. Jul 31, 2020 6.42% 5.51% 21.16 22.81 21.97
69. Aug 31, 2020 -3.90% 7.01% 32.73 39.34 -35.88
70. Sep 30, 2020 -3.49% -3.92% 28.19 21.69 24.73
71. Oct 31, 2020 -0.37% -2.77% 4.79 12.26 7.66
Total (Σ): 5,854.07 1,220.49 1,630.88

Show all

VarianceAMAT = Σ(RAMAT,tRAMAT)2 ÷ (71 – 1)
= 5,854.07 ÷ (71 – 1)
= 83.63

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,220.49 ÷ (71 – 1)
= 17.44

CovarianceAMAT, S&P 500 = Σ(RAMAT,tRAMAT)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 1,630.88 ÷ (71 – 1)
= 23.30


Systematic Risk (β) Estimation

Microsoft Excel LibreOffice Calc
VarianceAMAT 83.63
VarianceS&P 500 17.44
CovarianceAMAT, S&P 500 23.30
Correlation coefficientAMAT, S&P 5001 0.61
βAMAT2 1.34
αAMAT3 0.84%

Calculations

1 Correlation coefficientAMAT, S&P 500
= CovarianceAMAT, S&P 500 ÷ (Standard deviationAMAT × Standard deviationS&P 500)
= 23.30 ÷ (9.14% × 4.18%)
= 0.61

2 βAMAT
= CovarianceAMAT, S&P 500 ÷ VarianceS&P 500
= 23.30 ÷ 17.44
= 1.34

3 αAMAT
= AverageAMAT – βAMAT × AverageS&P 500
= 1.82%1.34 × 0.73%
= 0.84%


Expected Rate of Return

Microsoft Excel LibreOffice Calc
Assumptions
Rate of return on LT Treasury Composite1 RF 2.22%
Expected rate of return on market portfolio2 E(RM) 11.72%
Systematic risk (β) of Applied Materials Inc.’s common stock βAMAT 1.34
 
Expected rate of return on Applied Materials Inc.’s common stock3 E(RAMAT) 14.92%

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(RAMAT) = RF + βAMAT [E(RM) – RF]
= 2.22% + 1.34 [11.72%2.22%]
= 14.92%