Stock Analysis on Net

Broadcom Inc. (NASDAQ:AVGO)

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Capital Asset Pricing Model (CAPM)

Microsoft Excel

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Rates of Return

Broadcom Inc., monthly rates of return

Microsoft Excel
Broadcom Inc. (AVGO) Standard & Poor’s 500 (S&P 500)
t Date PriceAVGO,t1 DividendAVGO,t1 RAVGO,t2 PriceS&P 500,t RS&P 500,t3
Nov 30, 2017
1. Dec 31, 2017
2. Jan 31, 2018
3. Feb 28, 2018
. . . . . . .
. . . . . . .
. . . . . . .
70. Sep 30, 2023
71. Oct 31, 2023
Average (R):
Standard deviation:
Broadcom Inc. (AVGO) Standard & Poor’s 500 (S&P 500)
t Date PriceAVGO,t1 DividendAVGO,t1 RAVGO,t2 PriceS&P 500,t RS&P 500,t3
Nov 30, 2017
1. Dec 31, 2017
2. Jan 31, 2018
3. Feb 28, 2018
4. Mar 31, 2018
5. Apr 30, 2018
6. May 31, 2018
7. Jun 30, 2018
8. Jul 31, 2018
9. Aug 31, 2018
10. Sep 30, 2018
11. Oct 31, 2018
12. Nov 30, 2018
13. Dec 31, 2018
14. Jan 31, 2019
15. Feb 28, 2019
16. Mar 31, 2019
17. Apr 30, 2019
18. May 31, 2019
19. Jun 30, 2019
20. Jul 31, 2019
21. Aug 31, 2019
22. Sep 30, 2019
23. Oct 31, 2019
24. Nov 30, 2019
25. Dec 31, 2019
26. Jan 31, 2020
27. Feb 29, 2020
28. Mar 31, 2020
29. Apr 30, 2020
30. May 31, 2020
31. Jun 30, 2020
32. Jul 31, 2020
33. Aug 31, 2020
34. Sep 30, 2020
35. Oct 31, 2020
36. Nov 30, 2020
37. Dec 31, 2020
38. Jan 31, 2021
39. Feb 28, 2021
40. Mar 31, 2021
41. Apr 30, 2021
42. May 31, 2021
43. Jun 30, 2021
44. Jul 31, 2021
45. Aug 31, 2021
46. Sep 30, 2021
47. Oct 31, 2021
48. Nov 30, 2021
49. Dec 31, 2021
50. Jan 31, 2022
51. Feb 28, 2022
52. Mar 31, 2022
53. Apr 30, 2022
54. May 31, 2022
55. Jun 30, 2022
56. Jul 31, 2022
57. Aug 31, 2022
58. Sep 30, 2022
59. Oct 31, 2022
60. Nov 30, 2022
61. Dec 31, 2022
62. Jan 31, 2023
63. Feb 28, 2023
64. Mar 31, 2023
65. Apr 30, 2023
66. May 31, 2023
67. Jun 30, 2023
68. Jul 31, 2023
69. Aug 31, 2023
70. Sep 30, 2023
71. Oct 31, 2023
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 AVGO during period t

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


Variance and Covariance

Broadcom Inc., calculation of variance and covariance of returns

Microsoft Excel
t Date RAVGO,t RS&P 500,t (RAVGO,tRAVGO)2 (RS&P 500,tRS&P 500)2 (RAVGO,tRAVGO)×(RS&P 500,tRS&P 500)
1. Dec 31, 2017
2. Jan 31, 2018
3. Feb 28, 2018
. . . . . . .
. . . . . . .
. . . . . . .
70. Sep 30, 2023
71. Oct 31, 2023
Total (Σ):
t Date RAVGO,t RS&P 500,t (RAVGO,tRAVGO)2 (RS&P 500,tRS&P 500)2 (RAVGO,tRAVGO)×(RS&P 500,tRS&P 500)
1. Dec 31, 2017
2. Jan 31, 2018
3. Feb 28, 2018
4. Mar 31, 2018
5. Apr 30, 2018
6. May 31, 2018
7. Jun 30, 2018
8. Jul 31, 2018
9. Aug 31, 2018
10. Sep 30, 2018
11. Oct 31, 2018
12. Nov 30, 2018
13. Dec 31, 2018
14. Jan 31, 2019
15. Feb 28, 2019
16. Mar 31, 2019
17. Apr 30, 2019
18. May 31, 2019
19. Jun 30, 2019
20. Jul 31, 2019
21. Aug 31, 2019
22. Sep 30, 2019
23. Oct 31, 2019
24. Nov 30, 2019
25. Dec 31, 2019
26. Jan 31, 2020
27. Feb 29, 2020
28. Mar 31, 2020
29. Apr 30, 2020
30. May 31, 2020
31. Jun 30, 2020
32. Jul 31, 2020
33. Aug 31, 2020
34. Sep 30, 2020
35. Oct 31, 2020
36. Nov 30, 2020
37. Dec 31, 2020
38. Jan 31, 2021
39. Feb 28, 2021
40. Mar 31, 2021
41. Apr 30, 2021
42. May 31, 2021
43. Jun 30, 2021
44. Jul 31, 2021
45. Aug 31, 2021
46. Sep 30, 2021
47. Oct 31, 2021
48. Nov 30, 2021
49. Dec 31, 2021
50. Jan 31, 2022
51. Feb 28, 2022
52. Mar 31, 2022
53. Apr 30, 2022
54. May 31, 2022
55. Jun 30, 2022
56. Jul 31, 2022
57. Aug 31, 2022
58. Sep 30, 2022
59. Oct 31, 2022
60. Nov 30, 2022
61. Dec 31, 2022
62. Jan 31, 2023
63. Feb 28, 2023
64. Mar 31, 2023
65. Apr 30, 2023
66. May 31, 2023
67. Jun 30, 2023
68. Jul 31, 2023
69. Aug 31, 2023
70. Sep 30, 2023
71. Oct 31, 2023
Total (Σ):

Show all

VarianceAVGO = Σ(RAVGO,tRAVGO)2 ÷ (71 – 1)
= ÷ (71 – 1)
=

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

CovarianceAVGO, S&P 500 = Σ(RAVGO,tRAVGO)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= ÷ (71 – 1)
=


Systematic Risk (β) Estimation

Microsoft Excel
VarianceAVGO
VarianceS&P 500
CovarianceAVGO, S&P 500
Correlation coefficientAVGO, S&P 5001
βAVGO2
αAVGO3

Calculations

1 Correlation coefficientAVGO, S&P 500
= CovarianceAVGO, S&P 500 ÷ (Standard deviationAVGO × Standard deviationS&P 500)
= ÷ ( × )
=

2 βAVGO
= CovarianceAVGO, S&P 500 ÷ VarianceS&P 500
= ÷
=

3 αAVGO
= AverageAVGO – βAVGO × AverageS&P 500
= ×
=


Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF
Expected rate of return on market portfolio2 E(RM)
Systematic risk (β) of Broadcom Inc. common stock βAVGO
 
Expected rate of return on Broadcom Inc. common stock3 E(RAVGO)

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(RAVGO) = RF + βAVGO [E(RM) – RF]
= + []
=