Stock Analysis on Net

Autodesk Inc. (NASDAQ:ADSK)

This company has been moved to the archive! The financial data has not been updated since December 3, 2021.

Capital Asset Pricing Model (CAPM) 

Microsoft Excel LibreOffice Calc

Rates of Return

Autodesk Inc., monthly rates of return

Microsoft Excel LibreOffice Calc
Autodesk Inc. (ADSK) Standard & Poor’s 500 (S&P 500)
t Date PriceADSK,t1 DividendADSK,t1 RADSK,t2 PriceS&P 500,t RS&P 500,t3
Feb 28, 2015 $64.24 2,104.50
1. Mar 31, 2015 $58.64 -8.72% 2,067.89 -1.74%
2. Apr 30, 2015 $56.83 -3.09% 2,085.51 0.85%
3. May 31, 2015 $54.15 -4.72% 2,107.39 1.05%
. . . . . . .
. . . . . . .
. . . . . . .
70. Dec 31, 2020 $305.34 8.96% 3,756.07 3.71%
71. Jan 31, 2021 $277.43 -9.14% 3,714.24 -1.11%
Average (R): 2.58% 0.89%
Standard deviation: 10.14% 4.30%
Autodesk Inc. (ADSK) Standard & Poor’s 500 (S&P 500)
t Date PriceADSK,t1 DividendADSK,t1 RADSK,t2 PriceS&P 500,t RS&P 500,t3
Feb 28, 2015 $64.24 2,104.50
1. Mar 31, 2015 $58.64 -8.72% 2,067.89 -1.74%
2. Apr 30, 2015 $56.83 -3.09% 2,085.51 0.85%
3. May 31, 2015 $54.15 -4.72% 2,107.39 1.05%
4. Jun 30, 2015 $50.08 -7.52% 2,063.11 -2.10%
5. Jul 31, 2015 $50.58 1.00% 2,103.84 1.97%
6. Aug 31, 2015 $46.75 -7.57% 1,972.18 -6.26%
7. Sep 30, 2015 $44.14 -5.58% 1,920.03 -2.64%
8. Oct 31, 2015 $55.19 25.03% 2,079.36 8.30%
9. Nov 30, 2015 $63.47 15.00% 2,080.41 0.05%
10. Dec 31, 2015 $60.93 -4.00% 2,043.94 -1.75%
11. Jan 31, 2016 $46.82 -23.16% 1,940.24 -5.07%
12. Feb 29, 2016 $51.74 10.51% 1,932.23 -0.41%
13. Mar 31, 2016 $58.31 12.70% 2,059.74 6.60%
14. Apr 30, 2016 $59.82 2.59% 2,065.30 0.27%
15. May 31, 2016 $58.27 -2.59% 2,096.95 1.53%
16. Jun 30, 2016 $54.14 -7.09% 2,098.86 0.09%
17. Jul 31, 2016 $59.45 9.81% 2,173.60 3.56%
18. Aug 31, 2016 $67.40 13.37% 2,170.95 -0.12%
19. Sep 30, 2016 $72.33 7.31% 2,168.27 -0.12%
20. Oct 31, 2016 $72.28 -0.07% 2,126.15 -1.94%
21. Nov 30, 2016 $72.61 0.46% 2,198.81 3.42%
22. Dec 31, 2016 $74.01 1.93% 2,238.83 1.82%
23. Jan 31, 2017 $81.34 9.90% 2,278.87 1.79%
24. Feb 28, 2017 $86.30 6.10% 2,363.64 3.72%
25. Mar 31, 2017 $86.47 0.20% 2,362.72 -0.04%
26. Apr 30, 2017 $90.07 4.16% 2,384.20 0.91%
27. May 31, 2017 $111.77 24.09% 2,411.80 1.16%
28. Jun 30, 2017 $100.82 -9.80% 2,423.41 0.48%
29. Jul 31, 2017 $110.79 9.89% 2,470.30 1.93%
30. Aug 31, 2017 $114.46 3.31% 2,471.65 0.05%
31. Sep 30, 2017 $112.26 -1.92% 2,519.36 1.93%
32. Oct 31, 2017 $124.96 11.31% 2,575.26 2.22%
33. Nov 30, 2017 $109.70 -12.21% 2,647.58 2.81%
34. Dec 31, 2017 $104.83 -4.44% 2,673.61 0.98%
35. Jan 31, 2018 $115.62 10.29% 2,823.81 5.62%
36. Feb 28, 2018 $117.47 1.60% 2,713.83 -3.89%
37. Mar 31, 2018 $125.58 6.90% 2,640.87 -2.69%
38. Apr 30, 2018 $125.90 0.25% 2,648.05 0.27%
39. May 31, 2018 $129.10 2.54% 2,705.27 2.16%
40. Jun 30, 2018 $131.09 1.54% 2,718.37 0.48%
41. Jul 31, 2018 $128.44 -2.02% 2,816.29 3.60%
42. Aug 31, 2018 $154.35 20.17% 2,901.52 3.03%
43. Sep 30, 2018 $156.11 1.14% 2,913.98 0.43%
44. Oct 31, 2018 $129.25 -17.21% 2,711.74 -6.94%
45. Nov 30, 2018 $144.50 11.80% 2,760.17 1.79%
46. Dec 31, 2018 $128.61 -11.00% 2,506.85 -9.18%
47. Jan 31, 2019 $147.20 14.45% 2,704.10 7.87%
48. Feb 28, 2019 $163.01 10.74% 2,784.49 2.97%
49. Mar 31, 2019 $155.82 -4.41% 2,834.40 1.79%
50. Apr 30, 2019 $178.21 14.37% 2,945.83 3.93%
51. May 31, 2019 $160.91 -9.71% 2,752.06 -6.58%
52. Jun 30, 2019 $162.90 1.24% 2,941.76 6.89%
53. Jul 31, 2019 $156.17 -4.13% 2,980.38 1.31%
54. Aug 31, 2019 $142.82 -8.55% 2,926.46 -1.81%
55. Sep 30, 2019 $147.70 3.42% 2,976.74 1.72%
56. Oct 31, 2019 $147.36 -0.23% 3,037.56 2.04%
57. Nov 30, 2019 $180.90 22.76% 3,140.98 3.40%
58. Dec 31, 2019 $183.46 1.42% 3,230.78 2.86%
59. Jan 31, 2020 $196.85 7.30% 3,225.52 -0.16%
60. Feb 29, 2020 $190.88 -3.03% 2,954.22 -8.41%
61. Mar 31, 2020 $156.10 -18.22% 2,584.59 -12.51%
62. Apr 30, 2020 $187.13 19.88% 2,912.43 12.68%
63. May 31, 2020 $210.38 12.42% 3,044.31 4.53%
64. Jun 30, 2020 $239.19 13.69% 3,100.29 1.84%
65. Jul 31, 2020 $236.43 -1.15% 3,271.12 5.51%
66. Aug 31, 2020 $245.70 3.92% 3,500.31 7.01%
67. Sep 30, 2020 $231.01 -5.98% 3,363.00 -3.92%
68. Oct 31, 2020 $235.54 1.96% 3,269.96 -2.77%
69. Nov 30, 2020 $280.23 18.97% 3,621.63 10.75%
70. Dec 31, 2020 $305.34 8.96% 3,756.07 3.71%
71. Jan 31, 2021 $277.43 -9.14% 3,714.24 -1.11%
Average (R): 2.58% 0.89%
Standard deviation: 10.14% 4.30%

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 ADSK during period t

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


Variance and Covariance

Autodesk Inc., calculation of variance and covariance of returns

Microsoft Excel LibreOffice Calc
t Date RADSK,t RS&P 500,t (RADSK,tRADSK)2 (RS&P 500,tRS&P 500)2 (RADSK,tRADSK)×(RS&P 500,tRS&P 500)
1. Mar 31, 2015 -8.72% -1.74% 127.63 6.94 29.76
2. Apr 30, 2015 -3.09% 0.85% 32.11 0.00 0.24
3. May 31, 2015 -4.72% 1.05% 53.23 0.02 -1.13
. . . . . . .
. . . . . . .
. . . . . . .
70. Dec 31, 2020 8.96% 3.71% 40.71 7.94 17.98
71. Jan 31, 2021 -9.14% -1.11% 137.37 4.03 23.54
Total (Σ): 7,204.46 1,292.68 2,010.27
t Date RADSK,t RS&P 500,t (RADSK,tRADSK)2 (RS&P 500,tRS&P 500)2 (RADSK,tRADSK)×(RS&P 500,tRS&P 500)
1. Mar 31, 2015 -8.72% -1.74% 127.63 6.94 29.76
2. Apr 30, 2015 -3.09% 0.85% 32.11 0.00 0.24
3. May 31, 2015 -4.72% 1.05% 53.23 0.02 -1.13
4. Jun 30, 2015 -7.52% -2.10% 101.93 8.98 30.25
5. Jul 31, 2015 1.00% 1.97% 2.50 1.17 -1.71
6. Aug 31, 2015 -7.57% -6.26% 103.07 51.16 72.62
7. Sep 30, 2015 -5.58% -2.64% 66.63 12.52 28.89
8. Oct 31, 2015 25.03% 8.30% 504.18 54.81 166.24
9. Nov 30, 2015 15.00% 0.05% 154.32 0.71 -10.49
10. Dec 31, 2015 -4.00% -1.75% 43.32 7.01 17.43
11. Jan 31, 2016 -23.16% -5.07% 662.43 35.62 153.61
12. Feb 29, 2016 10.51% -0.41% 62.86 1.71 -10.37
13. Mar 31, 2016 12.70% 6.60% 102.38 32.54 57.72
14. Apr 30, 2016 2.59% 0.27% 0.00 0.39 -0.01
15. May 31, 2016 -2.59% 1.53% 26.74 0.41 -3.30
16. Jun 30, 2016 -7.09% 0.09% 93.47 0.65 7.77
17. Jul 31, 2016 9.81% 3.56% 52.24 7.11 19.27
18. Aug 31, 2016 13.37% -0.12% 116.48 1.03 -10.97
19. Sep 30, 2016 7.31% -0.12% 22.42 1.04 -4.82
20. Oct 31, 2016 -0.07% -1.94% 7.02 8.05 7.52
21. Nov 30, 2016 0.46% 3.42% 4.51 6.36 -5.36
22. Dec 31, 2016 1.93% 1.82% 0.43 0.86 -0.60
23. Jan 31, 2017 9.90% 1.79% 53.64 0.80 6.55
24. Feb 28, 2017 6.10% 3.72% 12.37 7.98 9.94
25. Mar 31, 2017 0.20% -0.04% 5.68 0.87 2.22
26. Apr 30, 2017 4.16% 0.91% 2.51 0.00 0.02
27. May 31, 2017 24.09% 1.16% 462.78 0.07 5.66
28. Jun 30, 2017 -9.80% 0.48% 153.19 0.17 5.12
29. Jul 31, 2017 9.89% 1.93% 53.42 1.08 7.60
30. Aug 31, 2017 3.31% 0.05% 0.54 0.71 -0.62
31. Sep 30, 2017 -1.92% 1.93% 20.27 1.07 -4.66
32. Oct 31, 2017 11.31% 2.22% 76.26 1.75 11.56
33. Nov 30, 2017 -12.21% 2.81% 218.80 3.66 -28.31
34. Dec 31, 2017 -4.44% 0.98% 49.27 0.01 -0.62
35. Jan 31, 2018 10.29% 5.62% 59.49 22.31 36.43
36. Feb 28, 2018 1.60% -3.89% 0.96 22.94 4.69
37. Mar 31, 2018 6.90% -2.69% 18.70 12.84 -15.49
38. Apr 30, 2018 0.25% 0.27% 5.41 0.39 1.45
39. May 31, 2018 2.54% 2.16% 0.00 1.60 -0.05
40. Jun 30, 2018 1.54% 0.48% 1.08 0.17 0.43
41. Jul 31, 2018 -2.02% 3.60% 21.17 7.33 -12.46
42. Aug 31, 2018 20.17% 3.03% 309.51 4.54 37.50
43. Sep 30, 2018 1.14% 0.43% 2.07 0.22 0.67
44. Oct 31, 2018 -17.21% -6.94% 391.48 61.39 155.02
45. Nov 30, 2018 11.80% 1.79% 84.99 0.79 8.22
46. Dec 31, 2018 -11.00% -9.18% 184.32 101.45 136.75
47. Jan 31, 2019 14.45% 7.87% 141.00 48.63 82.81
48. Feb 28, 2019 10.74% 2.97% 66.59 4.32 16.96
49. Mar 31, 2019 -4.41% 1.79% 48.87 0.81 -6.28
50. Apr 30, 2019 14.37% 3.93% 138.98 9.22 35.80
51. May 31, 2019 -9.71% -6.58% 150.99 55.84 91.82
52. Jun 30, 2019 1.24% 6.89% 1.80 35.98 -8.06
53. Jul 31, 2019 -4.13% 1.31% 45.04 0.17 -2.81
54. Aug 31, 2019 -8.55% -1.81% 123.84 7.31 30.09
55. Sep 30, 2019 3.42% 1.72% 0.70 0.68 0.69
56. Oct 31, 2019 -0.23% 2.04% 7.90 1.32 -3.23
57. Nov 30, 2019 22.76% 3.40% 407.25 6.30 50.65
58. Dec 31, 2019 1.42% 2.86% 1.36 3.86 -2.29
59. Jan 31, 2020 7.30% -0.16% 22.26 1.12 -4.99
60. Feb 29, 2020 -3.03% -8.41% 31.50 86.60 52.23
61. Mar 31, 2020 -18.22% -12.51% 432.68 179.74 278.87
62. Apr 30, 2020 19.88% 12.68% 299.23 139.00 203.94
63. May 31, 2020 12.42% 4.53% 96.91 13.20 35.77
64. Jun 30, 2020 13.69% 1.84% 123.53 0.89 10.49
65. Jul 31, 2020 -1.15% 5.51% 13.94 21.30 -17.23
66. Aug 31, 2020 3.92% 7.01% 1.80 37.35 8.19
67. Sep 30, 2020 -5.98% -3.92% 73.25 23.21 41.23
68. Oct 31, 2020 1.96% -2.77% 0.38 13.41 2.27
69. Nov 30, 2020 18.97% 10.75% 268.74 97.22 161.64
70. Dec 31, 2020 8.96% 3.71% 40.71 7.94 17.98
71. Jan 31, 2021 -9.14% -1.11% 137.37 4.03 23.54
Total (Σ): 7,204.46 1,292.68 2,010.27

Show all

VarianceADSK = Σ(RADSK,tRADSK)2 ÷ (71 – 1)
= 7,204.46 ÷ (71 – 1)
= 102.92

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,292.68 ÷ (71 – 1)
= 18.47

CovarianceADSK, S&P 500 = Σ(RADSK,tRADSK)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 2,010.27 ÷ (71 – 1)
= 28.72


Systematic Risk (β) Estimation

Microsoft Excel LibreOffice Calc
VarianceADSK 102.92
VarianceS&P 500 18.47
CovarianceADSK, S&P 500 28.72
Correlation coefficientADSK, S&P 5001 0.66
βADSK2 1.56
αADSK3 1.19%

Calculations

1 Correlation coefficientADSK, S&P 500
= CovarianceADSK, S&P 500 ÷ (Standard deviationADSK × Standard deviationS&P 500)
= 28.72 ÷ (10.14% × 4.30%)
= 0.66

2 βADSK
= CovarianceADSK, S&P 500 ÷ VarianceS&P 500
= 28.72 ÷ 18.47
= 1.56

3 αADSK
= AverageADSK – βADSK × AverageS&P 500
= 2.58%1.56 × 0.89%
= 1.19%


Expected Rate of Return

Microsoft Excel LibreOffice Calc
Assumptions
Rate of return on LT Treasury Composite1 RF 3.19%
Expected rate of return on market portfolio2 E(RM) 12.22%
Systematic risk (β) of Autodesk Inc. common stock βADSK 1.56
 
Expected rate of return on Autodesk Inc. common stock3 E(RADSK) 17.23%

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(RADSK) = RF + βADSK [E(RM) – RF]
= 3.19% + 1.56 [12.22%3.19%]
= 17.23%