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

NVIDIA Corp. (NASDAQ:NVDA)

Capital Asset Pricing Model (CAPM)

Intermediate level

Rates of Return

NVIDIA Corp., monthly rates of return

Microsoft Excel LibreOffice Calc
NVIDIA Corp. (NVDA) Standard & Poor’s 500 (S&P 500)
t Date PriceNVDA,t1 DividendNVDA,t1 RNVDA,t2 PriceS&P 500,t RS&P 500,t3
Feb 28, 2014 18.38 1,859.45
1. Mar 31, 2014 17.91 -2.56% 1,872.34 0.69%
2. Apr 30, 2014 18.47 3.13% 1,883.95 0.62%
3. May 31, 2014 19.00 0.085 3.33% 1,923.57 2.10%
. . . . . . .
. . . . . . .
. . . . . . .
70. Dec 31, 2019 235.30 8.56% 3,230.78 2.86%
71. Jan 31, 2020 236.43 0.48% 3,225.52 -0.16%
Average: 4.40% 0.83%
Standard deviation: 11.82% 3.24%
NVIDIA Corp. (NVDA) Standard & Poor’s 500 (S&P 500)
t Date PriceNVDA,t1 DividendNVDA,t1 RNVDA,t2 PriceS&P 500,t RS&P 500,t3
Feb 28, 2014 18.38 1,859.45
1. Mar 31, 2014 17.91 -2.56% 1,872.34 0.69%
2. Apr 30, 2014 18.47 3.13% 1,883.95 0.62%
3. May 31, 2014 19.00 0.085 3.33% 1,923.57 2.10%
4. Jun 30, 2014 18.54 -2.42% 1,960.23 1.91%
5. Jul 31, 2014 17.50 -5.61% 1,930.67 -1.51%
6. Aug 31, 2014 19.45 0.085 11.63% 2,003.37 3.77%
7. Sep 30, 2014 18.45 -5.14% 1,972.29 -1.55%
8. Oct 31, 2014 19.54 5.91% 2,018.05 2.32%
9. Nov 30, 2014 20.97 0.085 7.75% 2,067.56 2.45%
10. Dec 31, 2014 20.05 -4.39% 2,058.90 -0.42%
11. Jan 31, 2015 19.20 -4.24% 1,994.99 -3.10%
12. Feb 28, 2015 22.06 0.085 15.34% 2,104.50 5.49%
13. Mar 31, 2015 20.93 -5.12% 2,067.89 -1.74%
14. Apr 30, 2015 22.20 6.07% 2,085.51 0.85%
15. May 31, 2015 22.13 0.0975 0.12% 2,107.39 1.05%
16. Jun 30, 2015 20.11 -9.13% 2,063.11 -2.10%
17. Jul 31, 2015 19.95 -0.80% 2,103.84 1.97%
18. Aug 31, 2015 22.48 0.0975 13.17% 1,972.18 -6.26%
19. Sep 30, 2015 24.65 9.65% 1,920.03 -2.64%
20. Oct 31, 2015 28.37 15.09% 2,079.36 8.30%
21. Nov 30, 2015 31.72 0.115 12.21% 2,080.41 0.05%
22. Dec 31, 2015 32.96 3.91% 2,043.94 -1.75%
23. Jan 31, 2016 29.29 -11.13% 1,940.24 -5.07%
24. Feb 29, 2016 31.36 0.115 7.46% 1,932.23 -0.41%
25. Mar 31, 2016 35.63 13.62% 2,059.74 6.60%
26. Apr 30, 2016 35.53 -0.28% 2,065.30 0.27%
27. May 31, 2016 46.72 0.115 31.82% 2,096.95 1.53%
28. Jun 30, 2016 47.01 0.62% 2,098.86 0.09%
29. Jul 31, 2016 57.10 21.46% 2,173.60 3.56%
30. Aug 31, 2016 61.34 0.115 7.63% 2,170.95 -0.12%
31. Sep 30, 2016 68.52 11.71% 2,168.27 -0.12%
32. Oct 31, 2016 71.16 3.85% 2,126.15 -1.94%
33. Nov 30, 2016 92.20 0.14 29.76% 2,198.81 3.42%
34. Dec 31, 2016 106.74 15.77% 2,238.83 1.82%
35. Jan 31, 2017 109.18 2.29% 2,278.87 1.79%
36. Feb 28, 2017 101.48 0.14 -6.92% 2,363.64 3.72%
37. Mar 31, 2017 108.93 7.34% 2,362.72 -0.04%
38. Apr 30, 2017 104.30 -4.25% 2,384.20 0.91%
39. May 31, 2017 144.35 0.14 38.53% 2,411.80 1.16%
40. Jun 30, 2017 144.56 0.15% 2,423.41 0.48%
41. Jul 31, 2017 162.51 12.42% 2,470.30 1.93%
42. Aug 31, 2017 169.44 0.14 4.35% 2,471.65 0.05%
43. Sep 30, 2017 178.77 5.51% 2,519.36 1.93%
44. Oct 31, 2017 206.81 15.68% 2,575.26 2.22%
45. Nov 30, 2017 200.71 0.15 -2.88% 2,647.58 2.81%
46. Dec 31, 2017 193.50 -3.59% 2,673.61 0.98%
47. Jan 31, 2018 245.80 27.03% 2,823.81 5.62%
48. Feb 28, 2018 242.00 0.15 -1.48% 2,713.83 -3.89%
49. Mar 31, 2018 231.59 -4.30% 2,640.87 -2.69%
50. Apr 30, 2018 224.90 -2.89% 2,648.05 0.27%
51. May 31, 2018 252.19 0.15 12.20% 2,705.27 2.16%
52. Jun 30, 2018 236.90 -6.06% 2,718.37 0.48%
53. Jul 31, 2018 244.86 3.36% 2,816.29 3.60%
54. Aug 31, 2018 280.68 0.15 14.69% 2,901.52 3.03%
55. Sep 30, 2018 281.02 0.12% 2,913.98 0.43%
56. Oct 31, 2018 210.83 -24.98% 2,711.74 -6.94%
57. Nov 30, 2018 163.43 0.16 -22.41% 2,760.17 1.79%
58. Dec 31, 2018 133.50 -18.31% 2,506.85 -9.18%
59. Jan 31, 2019 143.75 7.68% 2,704.10 7.87%
60. Feb 28, 2019 154.26 0.16 7.42% 2,784.49 2.97%
61. Mar 31, 2019 179.56 16.40% 2,834.40 1.79%
62. Apr 30, 2019 181.00 0.80% 2,945.83 3.93%
63. May 31, 2019 135.46 0.16 -25.07% 2,752.06 -6.58%
64. Jun 30, 2019 164.23 21.24% 2,941.76 6.89%
65. Jul 31, 2019 168.72 2.73% 2,980.38 1.31%
66. Aug 31, 2019 167.51 0.16 -0.62% 2,926.46 -1.81%
67. Sep 30, 2019 174.07 3.92% 2,976.74 1.72%
68. Oct 31, 2019 201.02 15.48% 3,037.56 2.04%
69. Nov 30, 2019 216.74 0.16 7.90% 3,140.98 3.40%
70. Dec 31, 2019 235.30 8.56% 3,230.78 2.86%
71. Jan 31, 2020 236.43 0.48% 3,225.52 -0.16%
Average: 4.40% 0.83%
Standard deviation: 11.82% 3.24%

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 NVDA 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
VarianceNVDA 139.74
VarianceS&P 500 10.49
CovarianceNVDA, S&P 500 21.63
Correlation coefficientNVDA, S&P 5001 0.56
βNVDA2 2.06
αNVDA3 2.69

Calculations

1 Correlation coefficientNVDA, S&P 500
= CovarianceNVDA, S&P 500 ÷ (Standard deviationNVDA × Standard deviationS&P 500)
= 21.63 ÷ (11.82 × 3.24)

2 βNVDA
= CovarianceNVDA, S&P 500 ÷ VarianceS&P 500
= 21.63 ÷ 10.49

3 αNVDA
= AverageNVDA – βNVDA × AverageS&P 500
= 4.402.06 × 0.83


Expected Rate of Return

Microsoft Excel LibreOffice Calc
Assumptions
Rate of return on LT Treasury Composite1 RF 1.45%
Expected rate of return on market portfolio2 E(RM) 12.59%
Systematic risk (β) of NVIDIA Corp.’s common stock βNVDA 2.06
 
Expected rate of return on NVIDIA Corp.’s common stock3 E(RNVDA) 24.42%

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(RNVDA) = RF + βNVDA [E(RM) – RF]
= 1.45% + 2.06 [12.59%1.45%]
= 24.42%