Stock Analysis on Net

NVIDIA Corp. (NASDAQ:NVDA)

Capital Asset Pricing Model (CAPM) 

Microsoft Excel

Rates of Return

NVIDIA Corp., monthly rates of return

Microsoft Excel
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 29, 2016 $7.84 1,932.23
1. Mar 31, 2016 $8.91 13.65% 2,059.74 6.60%
2. Apr 30, 2016 $8.88 -0.34% 2,065.30 0.27%
3. May 31, 2016 $11.68 $0.02875 31.86% 2,096.95 1.53%
. . . . . . .
. . . . . . .
. . . . . . .
70. Dec 31, 2021 $294.11 $0.04 -9.98% 4,766.18 4.36%
71. Jan 31, 2022 $244.86 -16.75% 4,515.55 -5.26%
Average (R): 5.79% 1.29%
Standard deviation: 12.95% 4.25%
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 29, 2016 $7.84 1,932.23
1. Mar 31, 2016 $8.91 13.65% 2,059.74 6.60%
2. Apr 30, 2016 $8.88 -0.34% 2,065.30 0.27%
3. May 31, 2016 $11.68 $0.02875 31.86% 2,096.95 1.53%
4. Jun 30, 2016 $11.75 0.60% 2,098.86 0.09%
5. Jul 31, 2016 $14.28 21.53% 2,173.60 3.56%
6. Aug 31, 2016 $15.34 $0.02875 7.62% 2,170.95 -0.12%
7. Sep 30, 2016 $17.13 11.67% 2,168.27 -0.12%
8. Oct 31, 2016 $17.79 3.85% 2,126.15 -1.94%
9. Nov 30, 2016 $23.05 $0.035 29.76% 2,198.81 3.42%
10. Dec 31, 2016 $26.69 15.79% 2,238.83 1.82%
11. Jan 31, 2017 $27.30 2.29% 2,278.87 1.79%
12. Feb 28, 2017 $25.37 $0.035 -6.94% 2,363.64 3.72%
13. Mar 31, 2017 $27.23 7.33% 2,362.72 -0.04%
14. Apr 30, 2017 $26.08 -4.22% 2,384.20 0.91%
15. May 31, 2017 $36.09 $0.035 38.52% 2,411.80 1.16%
16. Jun 30, 2017 $36.14 0.14% 2,423.41 0.48%
17. Jul 31, 2017 $40.63 12.42% 2,470.30 1.93%
18. Aug 31, 2017 $42.36 $0.035 4.34% 2,471.65 0.05%
19. Sep 30, 2017 $44.69 5.50% 2,519.36 1.93%
20. Oct 31, 2017 $51.70 15.69% 2,575.26 2.22%
21. Nov 30, 2017 $50.18 $0.0375 -2.87% 2,647.58 2.81%
22. Dec 31, 2017 $48.38 -3.59% 2,673.61 0.98%
23. Jan 31, 2018 $61.45 27.02% 2,823.81 5.62%
24. Feb 28, 2018 $60.50 $0.0375 -1.48% 2,713.83 -3.89%
25. Mar 31, 2018 $57.90 -4.30% 2,640.87 -2.69%
26. Apr 30, 2018 $56.23 -2.88% 2,648.05 0.27%
27. May 31, 2018 $63.05 $0.0375 12.20% 2,705.27 2.16%
28. Jun 30, 2018 $59.23 -6.06% 2,718.37 0.48%
29. Jul 31, 2018 $61.22 3.36% 2,816.29 3.60%
30. Aug 31, 2018 $70.17 $0.0375 14.68% 2,901.52 3.03%
31. Sep 30, 2018 $70.26 0.13% 2,913.98 0.43%
32. Oct 31, 2018 $52.71 -24.98% 2,711.74 -6.94%
33. Nov 30, 2018 $40.86 $0.04 -22.41% 2,760.17 1.79%
34. Dec 31, 2018 $33.38 -18.31% 2,506.85 -9.18%
35. Jan 31, 2019 $35.94 7.67% 2,704.10 7.87%
36. Feb 28, 2019 $38.57 $0.04 7.43% 2,784.49 2.97%
37. Mar 31, 2019 $44.89 16.39% 2,834.40 1.79%
38. Apr 30, 2019 $45.25 0.80% 2,945.83 3.93%
39. May 31, 2019 $33.87 $0.04 -25.06% 2,752.06 -6.58%
40. Jun 30, 2019 $41.06 21.23% 2,941.76 6.89%
41. Jul 31, 2019 $42.18 2.73% 2,980.38 1.31%
42. Aug 31, 2019 $41.88 $0.04 -0.62% 2,926.46 -1.81%
43. Sep 30, 2019 $43.52 3.92% 2,976.74 1.72%
44. Oct 31, 2019 $50.26 15.49% 3,037.56 2.04%
45. Nov 30, 2019 $54.19 $0.04 7.90% 3,140.98 3.40%
46. Dec 31, 2019 $58.83 8.56% 3,230.78 2.86%
47. Jan 31, 2020 $59.11 0.48% 3,225.52 -0.16%
48. Feb 29, 2020 $67.52 $0.04 14.30% 2,954.22 -8.41%
49. Mar 31, 2020 $65.90 -2.40% 2,584.59 -12.51%
50. Apr 30, 2020 $73.07 10.88% 2,912.43 12.68%
51. May 31, 2020 $88.76 21.47% 3,044.31 4.53%
52. Jun 30, 2020 $94.98 $0.04 7.05% 3,100.29 1.84%
53. Jul 31, 2020 $106.15 11.76% 3,271.12 5.51%
54. Aug 31, 2020 $133.75 26.00% 3,500.31 7.01%
55. Sep 30, 2020 $135.31 $0.04 1.20% 3,363.00 -3.92%
56. Oct 31, 2020 $125.34 -7.37% 3,269.96 -2.77%
57. Nov 30, 2020 $134.02 6.93% 3,621.63 10.75%
58. Dec 31, 2020 $130.55 $0.04 -2.56% 3,756.07 3.71%
59. Jan 31, 2021 $129.90 -0.50% 3,714.24 -1.11%
60. Feb 28, 2021 $137.15 5.58% 3,811.15 2.61%
61. Mar 31, 2021 $133.48 $0.04 -2.65% 3,972.89 4.24%
62. Apr 30, 2021 $150.10 12.45% 4,181.17 5.24%
63. May 31, 2021 $162.45 8.23% 4,204.11 0.55%
64. Jun 30, 2021 $200.02 $0.04 23.15% 4,297.50 2.22%
65. Jul 31, 2021 $194.99 -2.51% 4,395.26 2.27%
66. Aug 31, 2021 $223.85 $0.04 14.82% 4,522.68 2.90%
67. Sep 30, 2021 $207.16 -7.46% 4,307.54 -4.76%
68. Oct 31, 2021 $255.67 23.42% 4,605.38 6.91%
69. Nov 30, 2021 $326.76 27.81% 4,567.00 -0.83%
70. Dec 31, 2021 $294.11 $0.04 -9.98% 4,766.18 4.36%
71. Jan 31, 2022 $244.86 -16.75% 4,515.55 -5.26%
Average (R): 5.79% 1.29%
Standard deviation: 12.95% 4.25%

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


Variance and Covariance

NVIDIA Corp., calculation of variance and covariance of returns

Microsoft Excel
t Date RNVDA,t RS&P 500,t (RNVDA,tRNVDA)2 (RS&P 500,tRS&P 500)2 (RNVDA,tRNVDA)×(RS&P 500,tRS&P 500)
1. Mar 31, 2016 13.65% 6.60% 61.69 28.16 41.68
2. Apr 30, 2016 -0.34% 0.27% 37.58 1.05 6.27
3. May 31, 2016 31.86% 1.53% 679.21 0.06 6.26
. . . . . . .
. . . . . . .
. . . . . . .
70. Dec 31, 2021 -9.98% 4.36% 248.80 9.42 -48.41
71. Jan 31, 2022 -16.75% -5.26% 508.01 42.91 147.65
Total (Σ): 11,742.48 1,262.70 1,818.37
t Date RNVDA,t RS&P 500,t (RNVDA,tRNVDA)2 (RS&P 500,tRS&P 500)2 (RNVDA,tRNVDA)×(RS&P 500,tRS&P 500)
1. Mar 31, 2016 13.65% 6.60% 61.69 28.16 41.68
2. Apr 30, 2016 -0.34% 0.27% 37.58 1.05 6.27
3. May 31, 2016 31.86% 1.53% 679.21 0.06 6.26
4. Jun 30, 2016 0.60% 0.09% 26.98 1.44 6.24
5. Jul 31, 2016 21.53% 3.56% 247.69 5.15 35.71
6. Aug 31, 2016 7.62% -0.12% 3.35 2.00 -2.59
7. Sep 30, 2016 11.67% -0.12% 34.52 2.00 -8.32
8. Oct 31, 2016 3.85% -1.94% 3.77 10.46 6.28
9. Nov 30, 2016 29.76% 3.42% 574.58 4.52 50.94
10. Dec 31, 2016 15.79% 1.82% 99.96 0.28 5.28
11. Jan 31, 2017 2.29% 1.79% 12.31 0.25 -1.74
12. Feb 28, 2017 -6.94% 3.72% 162.18 5.89 -30.92
13. Mar 31, 2017 7.33% -0.04% 2.37 1.77 -2.05
14. Apr 30, 2017 -4.22% 0.91% 100.34 0.15 3.84
15. May 31, 2017 38.52% 1.16% 1,070.76 0.02 -4.41
16. Jun 30, 2017 0.14% 0.48% 31.98 0.66 4.59
17. Jul 31, 2017 12.42% 1.93% 43.96 0.41 4.26
18. Aug 31, 2017 4.34% 0.05% 2.10 1.53 1.79
19. Sep 30, 2017 5.50% 1.93% 0.09 0.41 -0.19
20. Oct 31, 2017 15.69% 2.22% 97.86 0.86 9.17
21. Nov 30, 2017 -2.87% 2.81% 75.01 2.30 -13.13
22. Dec 31, 2017 -3.59% 0.98% 88.00 0.10 2.90
23. Jan 31, 2018 27.02% 5.62% 450.36 18.71 91.80
24. Feb 28, 2018 -1.48% -3.89% 52.98 26.90 37.75
25. Mar 31, 2018 -4.30% -2.69% 101.83 15.85 40.17
26. Apr 30, 2018 -2.88% 0.27% 75.31 1.04 8.85
27. May 31, 2018 12.20% 2.16% 40.98 0.75 5.56
28. Jun 30, 2018 -6.06% 0.48% 140.48 0.65 9.58
29. Jul 31, 2018 3.36% 3.60% 5.92 5.34 -5.62
30. Aug 31, 2018 14.68% 3.03% 78.98 3.01 15.41
31. Sep 30, 2018 0.13% 0.43% 32.10 0.74 4.89
32. Oct 31, 2018 -24.98% -6.94% 946.93 67.78 253.34
33. Nov 30, 2018 -22.41% 1.79% 795.20 0.24 -13.92
34. Dec 31, 2018 -18.31% -9.18% 580.81 109.62 252.33
35. Jan 31, 2019 7.67% 7.87% 3.52 43.25 12.33
36. Feb 28, 2019 7.43% 2.97% 2.67 2.82 2.75
37. Mar 31, 2019 16.39% 1.79% 112.19 0.25 5.30
38. Apr 30, 2019 0.80% 3.93% 24.92 6.96 -13.17
39. May 31, 2019 -25.06% -6.58% 951.99 61.94 242.82
40. Jun 30, 2019 21.23% 6.89% 238.23 31.37 86.45
41. Jul 31, 2019 2.73% 1.31% 9.40 0.00 -0.06
42. Aug 31, 2019 -0.62% -1.81% 41.09 9.62 19.88
43. Sep 30, 2019 3.92% 1.72% 3.53 0.18 -0.80
44. Oct 31, 2019 15.49% 2.04% 93.96 0.56 7.28
45. Nov 30, 2019 7.90% 3.40% 4.43 4.46 4.45
46. Dec 31, 2019 8.56% 2.86% 7.67 2.45 4.34
47. Jan 31, 2020 0.48% -0.16% 28.28 2.12 7.74
48. Feb 29, 2020 14.30% -8.41% 72.28 94.15 -82.50
49. Mar 31, 2020 -2.40% -12.51% 67.12 190.56 113.10
50. Apr 30, 2020 10.88% 12.68% 25.87 129.78 57.95
51. May 31, 2020 21.47% 4.53% 245.83 10.47 50.74
52. Jun 30, 2020 7.05% 1.84% 1.59 0.30 0.69
53. Jul 31, 2020 11.76% 5.51% 35.60 17.79 25.17
54. Aug 31, 2020 26.00% 7.01% 408.34 32.65 115.47
55. Sep 30, 2020 1.20% -3.92% 21.14 27.20 23.98
56. Oct 31, 2020 -7.37% -2.77% 173.23 16.47 53.42
57. Nov 30, 2020 6.93% 10.75% 1.28 89.54 10.71
58. Dec 31, 2020 -2.56% 3.71% 69.77 5.86 -20.21
59. Jan 31, 2021 -0.50% -1.11% 39.58 5.79 15.14
60. Feb 28, 2021 5.58% 2.61% 0.05 1.73 -0.28
61. Mar 31, 2021 -2.65% 4.24% 71.24 8.71 -24.91
62. Apr 30, 2021 12.45% 5.24% 44.32 15.60 26.30
63. May 31, 2021 8.23% 0.55% 5.93 0.55 -1.81
64. Jun 30, 2021 23.15% 2.22% 301.30 0.86 16.13
65. Jul 31, 2021 -2.51% 2.27% 69.03 0.97 -8.16
66. Aug 31, 2021 14.82% 2.90% 81.50 2.58 14.51
67. Sep 30, 2021 -7.46% -4.76% 175.55 36.59 80.15
68. Oct 31, 2021 23.42% 6.91% 310.57 31.61 99.08
69. Nov 30, 2021 27.81% -0.83% 484.52 4.52 -46.79
70. Dec 31, 2021 -9.98% 4.36% 248.80 9.42 -48.41
71. Jan 31, 2022 -16.75% -5.26% 508.01 42.91 147.65
Total (Σ): 11,742.48 1,262.70 1,818.37

Show all

VarianceNVDA = Σ(RNVDA,tRNVDA)2 ÷ (71 – 1)
= 11,742.48 ÷ (71 – 1)
= 167.75

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,262.70 ÷ (71 – 1)
= 18.04

CovarianceNVDA, S&P 500 = Σ(RNVDA,tRNVDA)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 1,818.37 ÷ (71 – 1)
= 25.98


Systematic Risk (β) Estimation

Microsoft Excel
VarianceNVDA 167.75
VarianceS&P 500 18.04
CovarianceNVDA, S&P 500 25.98
Correlation coefficientNVDA, S&P 5001 0.47
βNVDA2 1.44
αNVDA3 3.93%

Calculations

1 Correlation coefficientNVDA, S&P 500
= CovarianceNVDA, S&P 500 ÷ (Standard deviationNVDA × Standard deviationS&P 500)
= 25.98 ÷ (12.95% × 4.25%)
= 0.47

2 βNVDA
= CovarianceNVDA, S&P 500 ÷ VarianceS&P 500
= 25.98 ÷ 18.04
= 1.44

3 αNVDA
= AverageNVDA – βNVDA × AverageS&P 500
= 5.79%1.44 × 1.29%
= 3.93%


Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF 3.27%
Expected rate of return on market portfolio2 E(RM) 12.25%
Systematic risk (β) of NVIDIA Corp. common stock βNVDA 1.44
 
Expected rate of return on NVIDIA Corp. common stock3 E(RNVDA) 16.20%

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]
= 3.27% + 1.44 [12.25%3.27%]
= 16.20%