Stock Analysis on Net

Intel Corp. (NASDAQ:INTC)

Capital Asset Pricing Model (CAPM)

Microsoft Excel LibreOffice Calc

Rates of Return

Intel Corp., monthly rates of return

Microsoft Excel LibreOffice Calc
Intel Corp. (INTC) Standard & Poor’s 500 (S&P 500)
t Date PriceINTC,t1 DividendINTC,t1 RINTC,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2016 $31.02 1,940.24
1. Feb 29, 2016 $29.59 $0.26 -3.77% 1,932.23 -0.41%
2. Mar 31, 2016 $32.35 9.33% 2,059.74 6.60%
3. Apr 30, 2016 $30.28 -6.40% 2,065.30 0.27%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2020 $48.35 $0.33 9.94% 3,621.63 10.75%
59. Dec 31, 2020 $49.82 3.04% 3,756.07 3.71%
Average (R): 1.29% 1.22%
Standard deviation: 7.12% 4.36%
Intel Corp. (INTC) Standard & Poor’s 500 (S&P 500)
t Date PriceINTC,t1 DividendINTC,t1 RINTC,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2016 $31.02 1,940.24
1. Feb 29, 2016 $29.59 $0.26 -3.77% 1,932.23 -0.41%
2. Mar 31, 2016 $32.35 9.33% 2,059.74 6.60%
3. Apr 30, 2016 $30.28 -6.40% 2,065.30 0.27%
4. May 31, 2016 $31.59 $0.26 5.18% 2,096.95 1.53%
5. Jun 30, 2016 $32.80 3.83% 2,098.86 0.09%
6. Jul 31, 2016 $34.86 6.28% 2,173.60 3.56%
7. Aug 31, 2016 $35.89 $0.26 3.70% 2,170.95 -0.12%
8. Sep 30, 2016 $37.75 5.18% 2,168.27 -0.12%
9. Oct 31, 2016 $34.87 -7.63% 2,126.15 -1.94%
10. Nov 30, 2016 $34.70 $0.26 0.26% 2,198.81 3.42%
11. Dec 31, 2016 $36.27 4.52% 2,238.83 1.82%
12. Jan 31, 2017 $36.82 1.52% 2,278.87 1.79%
13. Feb 28, 2017 $36.20 $0.26 -0.98% 2,363.64 3.72%
14. Mar 31, 2017 $36.07 -0.36% 2,362.72 -0.04%
15. Apr 30, 2017 $36.15 0.22% 2,384.20 0.91%
16. May 31, 2017 $36.11 $0.2725 0.64% 2,411.80 1.16%
17. Jun 30, 2017 $33.74 -6.56% 2,423.41 0.48%
18. Jul 31, 2017 $35.47 5.13% 2,470.30 1.93%
19. Aug 31, 2017 $35.07 $0.2725 -0.36% 2,471.65 0.05%
20. Sep 30, 2017 $38.08 8.58% 2,519.36 1.93%
21. Oct 31, 2017 $45.49 19.46% 2,575.26 2.22%
22. Nov 30, 2017 $44.84 $0.2725 -0.83% 2,647.58 2.81%
23. Dec 31, 2017 $46.16 2.94% 2,673.61 0.98%
24. Jan 31, 2018 $48.14 4.29% 2,823.81 5.62%
25. Feb 28, 2018 $49.29 $0.30 3.01% 2,713.83 -3.89%
26. Mar 31, 2018 $52.08 5.66% 2,640.87 -2.69%
27. Apr 30, 2018 $51.62 -0.88% 2,648.05 0.27%
28. May 31, 2018 $55.20 $0.30 7.52% 2,705.27 2.16%
29. Jun 30, 2018 $49.71 -9.95% 2,718.37 0.48%
30. Jul 31, 2018 $48.10 -3.24% 2,816.29 3.60%
31. Aug 31, 2018 $48.43 $0.30 1.31% 2,901.52 3.03%
32. Sep 30, 2018 $47.29 -2.35% 2,913.98 0.43%
33. Oct 31, 2018 $46.88 -0.87% 2,711.74 -6.94%
34. Nov 30, 2018 $49.31 $0.30 5.82% 2,760.17 1.79%
35. Dec 31, 2018 $46.93 -4.83% 2,506.85 -9.18%
36. Jan 31, 2019 $47.12 0.40% 2,704.10 7.87%
37. Feb 28, 2019 $52.96 $0.315 13.06% 2,784.49 2.97%
38. Mar 31, 2019 $53.70 1.40% 2,834.40 1.79%
39. Apr 30, 2019 $51.04 -4.95% 2,945.83 3.93%
40. May 31, 2019 $44.04 $0.315 -13.10% 2,752.06 -6.58%
41. Jun 30, 2019 $47.87 8.70% 2,941.76 6.89%
42. Jul 31, 2019 $50.55 5.60% 2,980.38 1.31%
43. Aug 31, 2019 $47.41 $0.315 -5.59% 2,926.46 -1.81%
44. Sep 30, 2019 $51.53 8.69% 2,976.74 1.72%
45. Oct 31, 2019 $56.53 9.70% 3,037.56 2.04%
46. Nov 30, 2019 $58.05 $0.315 3.25% 3,140.98 3.40%
47. Dec 31, 2019 $59.85 3.10% 3,230.78 2.86%
48. Jan 31, 2020 $63.93 6.82% 3,225.52 -0.16%
49. Feb 29, 2020 $55.52 $0.33 -12.64% 2,954.22 -8.41%
50. Mar 31, 2020 $54.12 -2.52% 2,584.59 -12.51%
51. Apr 30, 2020 $59.98 10.83% 2,912.43 12.68%
52. May 31, 2020 $62.93 $0.33 5.47% 3,044.31 4.53%
53. Jun 30, 2020 $59.83 -4.93% 3,100.29 1.84%
54. Jul 31, 2020 $47.73 -20.22% 3,271.12 5.51%
55. Aug 31, 2020 $50.95 $0.33 7.44% 3,500.31 7.01%
56. Sep 30, 2020 $51.78 1.63% 3,363.00 -3.92%
57. Oct 31, 2020 $44.28 -14.48% 3,269.96 -2.77%
58. Nov 30, 2020 $48.35 $0.33 9.94% 3,621.63 10.75%
59. Dec 31, 2020 $49.82 3.04% 3,756.07 3.71%
Average (R): 1.29% 1.22%
Standard deviation: 7.12% 4.36%

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 INTC during period t

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


Variance and Covariance

Intel Corp., calculation of variance and covariance of returns

Microsoft Excel LibreOffice Calc
t Date RINTC,t RS&P 500,t (RINTC,tRINTC)2 (RS&P 500,tRS&P 500)2 (RINTC,tRINTC)×(RS&P 500,tRS&P 500)
1. Feb 29, 2016 -3.77% -0.41% 25.60 2.67 8.26
2. Mar 31, 2016 9.33% 6.60% 64.63 28.93 43.24
3. Apr 30, 2016 -6.40% 0.27% 59.09 0.90 7.30
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2020 9.94% 10.75% 74.80 90.91 82.46
59. Dec 31, 2020 3.04% 3.71% 3.07 6.21 4.37
Total (Σ): 2,936.56 1,103.45 775.15
t Date RINTC,t RS&P 500,t (RINTC,tRINTC)2 (RS&P 500,tRS&P 500)2 (RINTC,tRINTC)×(RS&P 500,tRS&P 500)
1. Feb 29, 2016 -3.77% -0.41% 25.60 2.67 8.26
2. Mar 31, 2016 9.33% 6.60% 64.63 28.93 43.24
3. Apr 30, 2016 -6.40% 0.27% 59.09 0.90 7.30
4. May 31, 2016 5.18% 1.53% 15.18 0.10 1.22
5. Jun 30, 2016 3.83% 0.09% 6.46 1.27 -2.87
6. Jul 31, 2016 6.28% 3.56% 24.92 5.48 11.69
7. Aug 31, 2016 3.70% -0.12% 5.82 1.80 -3.24
8. Sep 30, 2016 5.18% -0.12% 15.16 1.81 -5.23
9. Oct 31, 2016 -7.63% -1.94% 79.52 10.00 28.20
10. Nov 30, 2016 0.26% 3.42% 1.06 4.83 -2.26
11. Dec 31, 2016 4.52% 1.82% 10.47 0.36 1.94
12. Jan 31, 2017 1.52% 1.79% 0.05 0.32 0.13
13. Feb 28, 2017 -0.98% 3.72% 5.14 6.25 -5.66
14. Mar 31, 2017 -0.36% -0.04% 2.71 1.59 2.07
15. Apr 30, 2017 0.22% 0.91% 1.14 0.10 0.33
16. May 31, 2017 0.64% 1.16% 0.42 0.00 0.04
17. Jun 30, 2017 -6.56% 0.48% 61.65 0.55 5.80
18. Jul 31, 2017 5.13% 1.93% 14.74 0.51 2.74
19. Aug 31, 2017 -0.36% 0.05% 2.72 1.36 1.92
20. Sep 30, 2017 8.58% 1.93% 53.21 0.50 5.18
21. Oct 31, 2017 19.46% 2.22% 330.17 1.00 18.15
22. Nov 30, 2017 -0.83% 2.81% 4.49 2.52 -3.36
23. Dec 31, 2017 2.94% 0.98% 2.74 0.06 -0.39
24. Jan 31, 2018 4.29% 5.62% 9.01 19.34 13.20
25. Feb 28, 2018 3.01% -3.89% 2.97 26.16 -8.82
26. Mar 31, 2018 5.66% -2.69% 19.11 15.28 -17.09
27. Apr 30, 2018 -0.88% 0.27% 4.72 0.90 2.06
28. May 31, 2018 7.52% 2.16% 38.79 0.89 5.86
29. Jun 30, 2018 -9.95% 0.48% 126.20 0.54 8.27
30. Jul 31, 2018 -3.24% 3.60% 20.49 5.67 -10.78
31. Aug 31, 2018 1.31% 3.03% 0.00 3.26 0.04
32. Sep 30, 2018 -2.35% 0.43% 13.27 0.63 2.88
33. Oct 31, 2018 -0.87% -6.94% 4.65 66.59 17.59
34. Nov 30, 2018 5.82% 1.79% 20.57 0.32 2.57
35. Dec 31, 2018 -4.83% -9.18% 37.39 108.11 63.58
36. Jan 31, 2019 0.40% 7.87% 0.78 44.20 -5.87
37. Feb 28, 2019 13.06% 2.97% 138.63 3.07 20.64
38. Mar 31, 2019 1.40% 1.79% 0.01 0.33 0.06
39. Apr 30, 2019 -4.95% 3.93% 38.96 7.35 -16.92
40. May 31, 2019 -13.10% -6.58% 206.95 60.81 112.18
41. Jun 30, 2019 8.70% 6.89% 54.88 32.18 42.03
42. Jul 31, 2019 5.60% 1.31% 18.58 0.01 0.40
43. Aug 31, 2019 -5.59% -1.81% 47.29 9.18 20.83
44. Sep 30, 2019 8.69% 1.72% 54.79 0.25 3.69
45. Oct 31, 2019 9.70% 2.04% 70.81 0.68 6.93
46. Nov 30, 2019 3.25% 3.40% 3.83 4.77 4.28
47. Dec 31, 2019 3.10% 2.86% 3.28 2.69 2.97
48. Jan 31, 2020 6.82% -0.16% 30.57 1.91 -7.65
49. Feb 29, 2020 -12.64% -8.41% 193.97 92.76 134.13
50. Mar 31, 2020 -2.52% -12.51% 14.52 188.57 52.32
51. Apr 30, 2020 10.83% 12.68% 91.00 131.43 109.36
52. May 31, 2020 5.47% 4.53% 17.47 10.94 13.83
53. Jun 30, 2020 -4.93% 1.84% 38.62 0.38 -3.85
54. Jul 31, 2020 -20.22% 5.51% 462.78 18.40 -92.29
55. Aug 31, 2020 7.44% 7.01% 37.81 33.48 35.58
56. Sep 30, 2020 1.63% -3.92% 0.12 26.45 -1.75
57. Oct 31, 2020 -14.48% -2.77% 248.78 15.89 62.88
58. Nov 30, 2020 9.94% 10.75% 74.80 90.91 82.46
59. Dec 31, 2020 3.04% 3.71% 3.07 6.21 4.37
Total (Σ): 2,936.56 1,103.45 775.15

Show all

VarianceINTC = Σ(RINTC,tRINTC)2 ÷ (59 – 1)
= 2,936.56 ÷ (59 – 1)
= 50.63

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

CovarianceINTC, S&P 500 = Σ(RINTC,tRINTC)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 775.15 ÷ (59 – 1)
= 13.36


Systematic Risk (β) Estimation

Microsoft Excel LibreOffice Calc
VarianceINTC 50.63
VarianceS&P 500 19.02
CovarianceINTC, S&P 500 13.36
Correlation coefficientINTC, S&P 5001 0.43
βINTC2 0.70
αINTC3 0.43%

Calculations

1 Correlation coefficientINTC, S&P 500
= CovarianceINTC, S&P 500 ÷ (Standard deviationINTC × Standard deviationS&P 500)
= 13.36 ÷ (7.12% × 4.36%)
= 0.43

2 βINTC
= CovarianceINTC, S&P 500 ÷ VarianceS&P 500
= 13.36 ÷ 19.02
= 0.70

3 αINTC
= AverageINTC – βINTC × AverageS&P 500
= 1.29%0.70 × 1.22%
= 0.43%


Expected Rate of Return

Microsoft Excel LibreOffice Calc
Assumptions
Rate of return on LT Treasury Composite1 RF 2.16%
Expected rate of return on market portfolio2 E(RM) 11.55%
Systematic risk (β) of Intel Corp. common stock βINTC 0.70
 
Expected rate of return on Intel Corp. common stock3 E(RINTC) 8.76%

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(RINTC) = RF + βINTC [E(RM) – RF]
= 2.16% + 0.70 [11.55%2.16%]
= 8.76%