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

Gilead Sciences Inc. (NASDAQ:GILD)

Capital Asset Pricing Model (CAPM)

Intermediate level

Rates of Return

Gilead Sciences Inc., monthly rates of return

Microsoft Excel LibreOffice Calc
Gilead Sciences Inc. (GILD) Standard & Poor’s 500 (S&P 500)
t Date PriceGILD,t1 DividendGILD,t1 RGILD,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2016 $83.00 1,940.24
1. Feb 29, 2016 $87.25 5.12% 1,932.23 -0.41%
2. Mar 31, 2016 $91.86 $0.43 5.78% 2,059.74 6.60%
3. Apr 30, 2016 $88.21 -3.97% 2,065.30 0.27%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2020 $60.67 4.33% 3,621.63 10.75%
59. Dec 31, 2020 $58.26 $0.68 -2.85% 3,756.07 3.71%
Average (R): -0.13% 1.22%
Standard deviation: 6.40% 4.36%
Gilead Sciences Inc. (GILD) Standard & Poor’s 500 (S&P 500)
t Date PriceGILD,t1 DividendGILD,t1 RGILD,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2016 $83.00 1,940.24
1. Feb 29, 2016 $87.25 5.12% 1,932.23 -0.41%
2. Mar 31, 2016 $91.86 $0.43 5.78% 2,059.74 6.60%
3. Apr 30, 2016 $88.21 -3.97% 2,065.30 0.27%
4. May 31, 2016 $87.06 -1.30% 2,096.95 1.53%
5. Jun 30, 2016 $83.42 $0.47 -3.64% 2,098.86 0.09%
6. Jul 31, 2016 $79.47 -4.74% 2,173.60 3.56%
7. Aug 31, 2016 $78.38 -1.37% 2,170.95 -0.12%
8. Sep 30, 2016 $79.12 $0.47 1.54% 2,168.27 -0.12%
9. Oct 31, 2016 $73.63 -6.94% 2,126.15 -1.94%
10. Nov 30, 2016 $73.70 0.10% 2,198.81 3.42%
11. Dec 31, 2016 $71.61 $0.47 -2.20% 2,238.83 1.82%
12. Jan 31, 2017 $72.45 1.17% 2,278.87 1.79%
13. Feb 28, 2017 $70.48 -2.72% 2,363.64 3.72%
14. Mar 31, 2017 $67.92 $0.52 -2.89% 2,362.72 -0.04%
15. Apr 30, 2017 $68.55 0.93% 2,384.20 0.91%
16. May 31, 2017 $64.89 -5.34% 2,411.80 1.16%
17. Jun 30, 2017 $70.78 $0.52 9.88% 2,423.41 0.48%
18. Jul 31, 2017 $76.09 7.50% 2,470.30 1.93%
19. Aug 31, 2017 $83.71 10.01% 2,471.65 0.05%
20. Sep 30, 2017 $81.02 $0.52 -2.59% 2,519.36 1.93%
21. Oct 31, 2017 $74.96 -7.48% 2,575.26 2.22%
22. Nov 30, 2017 $74.78 -0.24% 2,647.58 2.81%
23. Dec 31, 2017 $71.64 $0.52 -3.50% 2,673.61 0.98%
24. Jan 31, 2018 $83.80 16.97% 2,823.81 5.62%
25. Feb 28, 2018 $78.73 -6.05% 2,713.83 -3.89%
26. Mar 31, 2018 $75.39 $0.57 -3.52% 2,640.87 -2.69%
27. Apr 30, 2018 $72.23 -4.19% 2,648.05 0.27%
28. May 31, 2018 $67.40 -6.69% 2,705.27 2.16%
29. Jun 30, 2018 $70.84 $0.57 5.95% 2,718.37 0.48%
30. Jul 31, 2018 $77.83 9.87% 2,816.29 3.60%
31. Aug 31, 2018 $75.73 -2.70% 2,901.52 3.03%
32. Sep 30, 2018 $77.21 $0.57 2.71% 2,913.98 0.43%
33. Oct 31, 2018 $68.18 -11.70% 2,711.74 -6.94%
34. Nov 30, 2018 $71.94 5.51% 2,760.17 1.79%
35. Dec 31, 2018 $62.55 $0.57 -12.26% 2,506.85 -9.18%
36. Jan 31, 2019 $70.01 11.93% 2,704.10 7.87%
37. Feb 28, 2019 $65.02 -7.13% 2,784.49 2.97%
38. Mar 31, 2019 $65.01 $0.63 0.95% 2,834.40 1.79%
39. Apr 30, 2019 $65.04 0.05% 2,945.83 3.93%
40. May 31, 2019 $62.25 -4.29% 2,752.06 -6.58%
41. Jun 30, 2019 $67.56 $0.63 9.54% 2,941.76 6.89%
42. Jul 31, 2019 $65.52 -3.02% 2,980.38 1.31%
43. Aug 31, 2019 $63.54 -3.02% 2,926.46 -1.81%
44. Sep 30, 2019 $63.38 $0.63 0.74% 2,976.74 1.72%
45. Oct 31, 2019 $63.71 0.52% 3,037.56 2.04%
46. Nov 30, 2019 $67.24 5.54% 3,140.98 3.40%
47. Dec 31, 2019 $64.98 $0.63 -2.42% 3,230.78 2.86%
48. Jan 31, 2020 $63.20 -2.74% 3,225.52 -0.16%
49. Feb 29, 2020 $69.36 9.75% 2,954.22 -8.41%
50. Mar 31, 2020 $74.76 $0.68 8.77% 2,584.59 -12.51%
51. Apr 30, 2020 $84.00 12.36% 2,912.43 12.68%
52. May 31, 2020 $77.83 -7.35% 3,044.31 4.53%
53. Jun 30, 2020 $76.94 $0.68 -0.27% 3,100.29 1.84%
54. Jul 31, 2020 $69.53 -9.63% 3,271.12 5.51%
55. Aug 31, 2020 $66.75 -4.00% 3,500.31 7.01%
56. Sep 30, 2020 $63.19 $0.68 -4.31% 3,363.00 -3.92%
57. Oct 31, 2020 $58.15 -7.98% 3,269.96 -2.77%
58. Nov 30, 2020 $60.67 4.33% 3,621.63 10.75%
59. Dec 31, 2020 $58.26 $0.68 -2.85% 3,756.07 3.71%
Average (R): -0.13% 1.22%
Standard deviation: 6.40% 4.36%

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1 Data in US$ per share of common stock, adjusted for splits and stock dividends.

2 Rate of return on common stock of GILD during period t

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


Variance and Covariance

Gilead Sciences Inc., calculation of variance and covariance of returns

Microsoft Excel LibreOffice Calc
t Date RGILD,t RS&P 500,t (RGILD,tRGILD)2 (RS&P 500,tRS&P 500)2 (RGILD,tRGILD)×(RS&P 500,tRS&P 500)
1. Feb 29, 2016 5.12% -0.41% 27.54 2.67 -8.57
2. Mar 31, 2016 5.78% 6.60% 34.86 28.93 31.76
3. Apr 30, 2016 -3.97% 0.27% 14.79 0.90 3.65
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2020 4.33% 10.75% 19.90 90.91 42.53
59. Dec 31, 2020 -2.85% 3.71% 7.42 6.21 -6.79
Total (Σ): 2,372.03 1,103.45 473.35
t Date RGILD,t RS&P 500,t (RGILD,tRGILD)2 (RS&P 500,tRS&P 500)2 (RGILD,tRGILD)×(RS&P 500,tRS&P 500)
1. Feb 29, 2016 5.12% -0.41% 27.54 2.67 -8.57
2. Mar 31, 2016 5.78% 6.60% 34.86 28.93 31.76
3. Apr 30, 2016 -3.97% 0.27% 14.79 0.90 3.65
4. May 31, 2016 -1.30% 1.53% 1.38 0.10 -0.37
5. Jun 30, 2016 -3.64% 0.09% 12.35 1.27 3.97
6. Jul 31, 2016 -4.74% 3.56% 21.23 5.48 -10.79
7. Aug 31, 2016 -1.37% -0.12% 1.55 1.80 1.67
8. Sep 30, 2016 1.54% -0.12% 2.79 1.81 -2.25
9. Oct 31, 2016 -6.94% -1.94% 46.39 10.00 21.54
10. Nov 30, 2016 0.10% 3.42% 0.05 4.83 0.49
11. Dec 31, 2016 -2.20% 1.82% 4.29 0.36 -1.24
12. Jan 31, 2017 1.17% 1.79% 1.69 0.32 0.74
13. Feb 28, 2017 -2.72% 3.72% 6.72 6.25 -6.48
14. Mar 31, 2017 -2.89% -0.04% 7.66 1.59 3.48
15. Apr 30, 2017 0.93% 0.91% 1.11 0.10 -0.33
16. May 31, 2017 -5.34% 1.16% 27.16 0.00 0.33
17. Jun 30, 2017 9.88% 0.48% 100.11 0.55 -7.39
18. Jul 31, 2017 7.50% 1.93% 58.21 0.51 5.45
19. Aug 31, 2017 10.01% 0.05% 102.86 1.36 -11.82
20. Sep 30, 2017 -2.59% 1.93% 6.08 0.50 -1.75
21. Oct 31, 2017 -7.48% 2.22% 54.05 1.00 -7.34
22. Nov 30, 2017 -0.24% 2.81% 0.01 2.52 -0.18
23. Dec 31, 2017 -3.50% 0.98% 11.40 0.06 0.80
24. Jan 31, 2018 16.97% 5.62% 292.45 19.34 75.21
25. Feb 28, 2018 -6.05% -3.89% 35.08 26.16 30.29
26. Mar 31, 2018 -3.52% -2.69% 11.50 15.28 13.25
27. Apr 30, 2018 -4.19% 0.27% 16.52 0.90 3.85
28. May 31, 2018 -6.69% 2.16% 43.03 0.89 -6.17
29. Jun 30, 2018 5.95% 0.48% 36.93 0.54 -4.47
30. Jul 31, 2018 9.87% 3.60% 99.90 5.67 23.81
31. Aug 31, 2018 -2.70% 3.03% 6.61 3.26 -4.64
32. Sep 30, 2018 2.71% 0.43% 8.03 0.63 -2.24
33. Oct 31, 2018 -11.70% -6.94% 133.82 66.59 94.40
34. Nov 30, 2018 5.51% 1.79% 31.84 0.32 3.19
35. Dec 31, 2018 -12.26% -9.18% 147.20 108.11 126.15
36. Jan 31, 2019 11.93% 7.87% 145.30 44.20 80.14
37. Feb 28, 2019 -7.13% 2.97% 49.00 3.07 -12.27
38. Mar 31, 2019 0.95% 1.79% 1.17 0.33 0.62
39. Apr 30, 2019 0.05% 3.93% 0.03 7.35 0.47
40. May 31, 2019 -4.29% -6.58% 17.32 60.81 32.46
41. Jun 30, 2019 9.54% 6.89% 93.50 32.18 54.86
42. Jul 31, 2019 -3.02% 1.31% 8.36 0.01 -0.27
43. Aug 31, 2019 -3.02% -1.81% 8.38 9.18 8.77
44. Sep 30, 2019 0.74% 1.72% 0.75 0.25 0.43
45. Oct 31, 2019 0.52% 2.04% 0.42 0.68 0.53
46. Nov 30, 2019 5.54% 3.40% 32.13 4.77 12.38
47. Dec 31, 2019 -2.42% 2.86% 5.27 2.69 -3.76
48. Jan 31, 2020 -2.74% -0.16% 6.82 1.91 3.61
49. Feb 29, 2020 9.75% -8.41% 97.50 92.76 -95.10
50. Mar 31, 2020 8.77% -12.51% 79.09 188.57 -122.12
51. Apr 30, 2020 12.36% 12.68% 155.93 131.43 143.16
52. May 31, 2020 -7.35% 4.53% 52.10 10.94 -23.88
53. Jun 30, 2020 -0.27% 1.84% 0.02 0.38 -0.09
54. Jul 31, 2020 -9.63% 5.51% 90.31 18.40 -40.77
55. Aug 31, 2020 -4.00% 7.01% 14.98 33.48 -22.40
56. Sep 30, 2020 -4.31% -3.92% 17.53 26.45 21.53
57. Oct 31, 2020 -7.98% -2.77% 61.60 15.89 31.29
58. Nov 30, 2020 4.33% 10.75% 19.90 90.91 42.53
59. Dec 31, 2020 -2.85% 3.71% 7.42 6.21 -6.79
Total (Σ): 2,372.03 1,103.45 473.35

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VarianceGILD = Σ(RGILD,tRGILD)2 ÷ (59 – 1)
= 2,372.03 ÷ (59 – 1)
= 40.90

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,103.45 ÷ (59 – 1)
= 19.02

CovarianceGILD, S&P 500 = Σ(RGILD,tRGILD)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 473.35 ÷ (59 – 1)
= 8.16


Systematic Risk (β) Estimation

Microsoft Excel LibreOffice Calc
VarianceGILD 40.90
VarianceS&P 500 19.02
CovarianceGILD, S&P 500 8.16
Correlation coefficientGILD, S&P 5001 0.29
βGILD2 0.43
αGILD3 -0.65%

Calculations

1 Correlation coefficientGILD, S&P 500
= CovarianceGILD, S&P 500 ÷ (Standard deviationGILD × Standard deviationS&P 500)
= 8.16 ÷ (6.40% × 4.36%)
= 0.29

2 βGILD
= CovarianceGILD, S&P 500 ÷ VarianceS&P 500
= 8.16 ÷ 19.02
= 0.43

3 αGILD
= AverageGILD – βGILD × AverageS&P 500
= -0.13%0.43 × 1.22%
= -0.65%


Expected Rate of Return

Microsoft Excel LibreOffice Calc
Assumptions
Rate of return on LT Treasury Composite1 RF 2.26%
Expected rate of return on market portfolio2 E(RM) 11.74%
Systematic risk (β) of Gilead Sciences Inc.’s common stock βGILD 0.43
 
Expected rate of return on Gilead Sciences Inc.’s common stock3 E(RGILD) 6.32%

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(RGILD) = RF + βGILD [E(RM) – RF]
= 2.26% + 0.43 [11.74%2.26%]
= 6.32%