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

Kraft Heinz Co. (NASDAQ:KHC)

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Capital Asset Pricing Model (CAPM)

Intermediate level

Capital asset pricing model (CAPM) indicates what should be the expected or required rate of return on risky assets like Kraft Heinz Co.’s common stock.


Rates of Return

Kraft Heinz Co., monthly rates of return

Microsoft Excel LibreOffice Calc
Kraft Heinz Co. (KHC) Standard & Poor’s 500 (S&P 500)
t Date PriceKHC,t1 DividendKHC,t1 RKHC,t2 PriceS&P 500,t RS&P 500,t3
Jul 31, 2015
1. Aug 31, 2015
2. Sep 30, 2015
3. Oct 31, 2015
. . . . . . .
. . . . . . .
. . . . . . .
52. Nov 30, 2019
53. Dec 31, 2019
Average:
Standard deviation:
Kraft Heinz Co. (KHC) Standard & Poor’s 500 (S&P 500)
t Date PriceKHC,t1 DividendKHC,t1 RKHC,t2 PriceS&P 500,t RS&P 500,t3
Jul 31, 2015
1. Aug 31, 2015
2. Sep 30, 2015
3. Oct 31, 2015
4. Nov 30, 2015
5. Dec 31, 2015
6. Jan 31, 2016
7. Feb 29, 2016
8. Mar 31, 2016
9. Apr 30, 2016
10. May 31, 2016
11. Jun 30, 2016
12. Jul 31, 2016
13. Aug 31, 2016
14. Sep 30, 2016
15. Oct 31, 2016
16. Nov 30, 2016
17. Dec 31, 2016
18. Jan 31, 2017
19. Feb 28, 2017
20. Mar 31, 2017
21. Apr 30, 2017
22. May 31, 2017
23. Jun 30, 2017
24. Jul 31, 2017
25. Aug 31, 2017
26. Sep 30, 2017
27. Oct 31, 2017
28. Nov 30, 2017
29. Dec 31, 2017
30. Jan 31, 2018
31. Feb 28, 2018
32. Mar 31, 2018
33. Apr 30, 2018
34. May 31, 2018
35. Jun 30, 2018
36. Jul 31, 2018
37. Aug 31, 2018
38. Sep 30, 2018
39. Oct 31, 2018
40. Nov 30, 2018
41. Dec 31, 2018
42. Jan 31, 2019
43. Feb 28, 2019
44. Mar 31, 2019
45. Apr 30, 2019
46. May 31, 2019
47. Jun 30, 2019
48. Jul 31, 2019
49. Aug 31, 2019
50. Sep 30, 2019
51. Oct 31, 2019
52. Nov 30, 2019
53. Dec 31, 2019
Average:
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 KHC during period t

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


Systematic Risk (β) Estimation

Microsoft Excel LibreOffice Calc
VarianceKHC
VarianceS&P 500
CovarianceKHC, S&P 500
Correlation coefficientKHC, S&P 5001
βKHC2
αKHC3

Calculations

1 Correlation coefficientKHC, S&P 500
= CovarianceKHC, S&P 500 ÷ (Standard deviationKHC × Standard deviationS&P 500)
= ÷ ( × )

2 βKHC
= CovarianceKHC, S&P 500 ÷ VarianceS&P 500
= ÷

3 αKHC
= AverageKHC – βKHC × AverageS&P 500
= ×


Expected Rate of Return

Microsoft Excel LibreOffice Calc
Assumptions
Rate of return on LT Treasury Composite1 RF
Expected rate of return on market portfolio2 E(RM)
Systematic risk (β) of Kraft Heinz Co.’s common stock βKHC
 
Expected rate of return on Kraft Heinz Co.’s common stock3 E(RKHC)

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(RKHC) = RF + βKHC [E(RM) – RF]
= + []
=