Stock Analysis on Net

Mondelēz International Inc. (NASDAQ:MDLZ)

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Capital Asset Pricing Model (CAPM)

Microsoft Excel

Capital asset pricing model (CAPM) indicates what should be the expected or required rate of return on risky assets like Mondelēz International Inc. common stock.

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Rates of Return

Mondelēz International Inc., monthly rates of return

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

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


Variance and Covariance

Mondelēz International Inc., calculation of variance and covariance of returns

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

Show all

VarianceMDLZ = Σ(RMDLZ,tRMDLZ)2 ÷ (59 – 1)
= ÷ (59 – 1)
=

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

CovarianceMDLZ, S&P 500 = Σ(RMDLZ,tRMDLZ)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= ÷ (59 – 1)
=


Systematic Risk (β) Estimation

Microsoft Excel
VarianceMDLZ
VarianceS&P 500
CovarianceMDLZ, S&P 500
Correlation coefficientMDLZ, S&P 5001
βMDLZ2
αMDLZ3

Calculations

1 Correlation coefficientMDLZ, S&P 500
= CovarianceMDLZ, S&P 500 ÷ (Standard deviationMDLZ × Standard deviationS&P 500)
= ÷ ( × )
=

2 βMDLZ
= CovarianceMDLZ, S&P 500 ÷ VarianceS&P 500
= ÷
=

3 αMDLZ
= AverageMDLZ – βMDLZ × 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 Mondelēz International Inc. common stock βMDLZ
 
Expected rate of return on Mondelēz International Inc. common stock3 E(RMDLZ)

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(RMDLZ) = RF + βMDLZ [E(RM) – RF]
= + []
=