Stock Analysis on Net
Stock Analysis on Net

ON Semiconductor Corp. (NASDAQ:ON)

This company has been moved to the archive! The financial data has not been updated since April 29, 2024.

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 ON Semiconductor Corp. common stock.

Rates of Return

ON Semiconductor Corp., monthly rates of return

Microsoft Excel
ON Semiconductor Corp. (ON) Standard & Poor’s 500 (S&P 500)
t Date PriceON,t1 DividendON,t1 RON,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2019 $20.04 2,704.10
1. Feb 28, 2019 $21.48 7.19% 2,784.49 2.97%
2. Mar 31, 2019 $20.57 -4.24% 2,834.40 1.79%
3. Apr 30, 2019 $23.06 12.11% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2023 $71.33 13.87% 4,567.80 8.92%
59. Dec 31, 2023 $83.53 17.10% 4,769.83 4.42%
Average (R): 3.48% 1.11%
Standard deviation: 14.18% 5.31%
ON Semiconductor Corp. (ON) Standard & Poor’s 500 (S&P 500)
t Date PriceON,t1 DividendON,t1 RON,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2019 $20.04 2,704.10
1. Feb 28, 2019 $21.48 7.19% 2,784.49 2.97%
2. Mar 31, 2019 $20.57 -4.24% 2,834.40 1.79%
3. Apr 30, 2019 $23.06 12.11% 2,945.83 3.93%
4. May 31, 2019 $17.76 -22.98% 2,752.06 -6.58%
5. Jun 30, 2019 $20.21 13.80% 2,941.76 6.89%
6. Jul 31, 2019 $21.51 6.43% 2,980.38 1.31%
7. Aug 31, 2019 $17.80 -17.25% 2,926.46 -1.81%
8. Sep 30, 2019 $19.21 7.92% 2,976.74 1.72%
9. Oct 31, 2019 $20.40 6.19% 3,037.56 2.04%
10. Nov 30, 2019 $21.47 5.25% 3,140.98 3.40%
11. Dec 31, 2019 $24.38 13.55% 3,230.78 2.86%
12. Jan 31, 2020 $23.15 -5.05% 3,225.52 -0.16%
13. Feb 29, 2020 $18.66 -19.40% 2,954.22 -8.41%
14. Mar 31, 2020 $12.44 -33.33% 2,584.59 -12.51%
15. Apr 30, 2020 $16.05 29.02% 2,912.43 12.68%
16. May 31, 2020 $16.49 2.74% 3,044.31 4.53%
17. Jun 30, 2020 $19.82 20.19% 3,100.29 1.84%
18. Jul 31, 2020 $20.60 3.94% 3,271.12 5.51%
19. Aug 31, 2020 $21.37 3.74% 3,500.31 7.01%
20. Sep 30, 2020 $21.69 1.50% 3,363.00 -3.92%
21. Oct 31, 2020 $25.09 15.68% 3,269.96 -2.77%
22. Nov 30, 2020 $28.75 14.59% 3,621.63 10.75%
23. Dec 31, 2020 $32.73 13.84% 3,756.07 3.71%
24. Jan 31, 2021 $34.49 5.38% 3,714.24 -1.11%
25. Feb 28, 2021 $40.27 16.76% 3,811.15 2.61%
26. Mar 31, 2021 $41.61 3.33% 3,972.89 4.24%
27. Apr 30, 2021 $39.00 -6.27% 4,181.17 5.24%
28. May 31, 2021 $40.04 2.67% 4,204.11 0.55%
29. Jun 30, 2021 $38.28 -4.40% 4,297.50 2.22%
30. Jul 31, 2021 $39.06 2.04% 4,395.26 2.27%
31. Aug 31, 2021 $44.36 13.57% 4,522.68 2.90%
32. Sep 30, 2021 $45.77 3.18% 4,307.54 -4.76%
33. Oct 31, 2021 $48.07 5.03% 4,605.38 6.91%
34. Nov 30, 2021 $61.43 27.79% 4,567.00 -0.83%
35. Dec 31, 2021 $67.92 10.56% 4,766.18 4.36%
36. Jan 31, 2022 $59.00 -13.13% 4,515.55 -5.26%
37. Feb 28, 2022 $62.61 6.12% 4,373.94 -3.14%
38. Mar 31, 2022 $62.61 0.00% 4,530.41 3.58%
39. Apr 30, 2022 $52.11 -16.77% 4,131.93 -8.80%
40. May 31, 2022 $60.68 16.45% 4,132.15 0.01%
41. Jun 30, 2022 $50.31 -17.09% 3,785.38 -8.39%
42. Jul 31, 2022 $66.78 32.74% 4,130.29 9.11%
43. Aug 31, 2022 $68.77 2.98% 3,955.00 -4.24%
44. Sep 30, 2022 $62.33 -9.36% 3,585.62 -9.34%
45. Oct 31, 2022 $61.43 -1.44% 3,871.98 7.99%
46. Nov 30, 2022 $75.20 22.42% 4,080.11 5.38%
47. Dec 31, 2022 $62.37 -17.06% 3,839.50 -5.90%
48. Jan 31, 2023 $73.45 17.76% 4,076.60 6.18%
49. Feb 28, 2023 $77.41 5.39% 3,970.15 -2.61%
50. Mar 31, 2023 $82.32 6.34% 4,109.31 3.51%
51. Apr 30, 2023 $71.96 -12.59% 4,169.48 1.46%
52. May 31, 2023 $83.60 16.18% 4,179.83 0.25%
53. Jun 30, 2023 $94.58 13.13% 4,376.86 4.71%
54. Jul 31, 2023 $107.75 13.92% 4,588.96 4.85%
55. Aug 31, 2023 $98.46 -8.62% 4,507.66 -1.77%
56. Sep 30, 2023 $92.95 -5.60% 4,288.05 -4.87%
57. Oct 31, 2023 $62.64 -32.61% 4,193.80 -2.20%
58. Nov 30, 2023 $71.33 13.87% 4,567.80 8.92%
59. Dec 31, 2023 $83.53 17.10% 4,769.83 4.42%
Average (R): 3.48% 1.11%
Standard deviation: 14.18% 5.31%

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1 Data in US$ per share of common stock, adjusted for splits and stock dividends.

2 Rate of return on common stock of ON during period t

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

Variance and Covariance

ON Semiconductor Corp., calculation of variance and covariance of returns

Microsoft Excel
t Date RON,t RS&P 500,t (RON,t–RON)2 (RS&P 500,t–RS&P 500)2 (RON,t–RON)×(RS&P 500,t–RS&P 500)
1. Feb 28, 2019 7.19% 2.97% 13.75 3.49 6.92
2. Mar 31, 2019 -4.24% 1.79% 59.51 0.47 -5.30
3. Apr 30, 2019 12.11% 3.93% 74.43 7.98 24.38
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2023 13.87% 8.92% 108.06 61.03 81.21
59. Dec 31, 2023 17.10% 4.42% 185.66 11.00 45.20
Total (Σ): 11,661.53 1,634.30 2,975.97
t Date RON,t RS&P 500,t (RON,t–RON)2 (RS&P 500,t–RS&P 500)2 (RON,t–RON)×(RS&P 500,t–RS&P 500)
1. Feb 28, 2019 7.19% 2.97% 13.75 3.49 6.92
2. Mar 31, 2019 -4.24% 1.79% 59.51 0.47 -5.30
3. Apr 30, 2019 12.11% 3.93% 74.43 7.98 24.38
4. May 31, 2019 -22.98% -6.58% 700.20 59.04 203.32
5. Jun 30, 2019 13.80% 6.89% 106.45 33.49 59.71
6. Jul 31, 2019 6.43% 1.31% 8.73 0.04 0.61
7. Aug 31, 2019 -17.25% -1.81% 429.55 8.50 60.42
8. Sep 30, 2019 7.92% 1.72% 19.75 0.37 2.72
9. Oct 31, 2019 6.19% 2.04% 7.38 0.88 2.55
10. Nov 30, 2019 5.25% 3.40% 3.12 5.28 4.06
11. Dec 31, 2019 13.55% 2.86% 101.53 3.07 17.66
12. Jan 31, 2020 -5.05% -0.16% 72.64 1.61 10.81
13. Feb 29, 2020 -19.40% -8.41% 523.17 90.57 217.68
14. Mar 31, 2020 -33.33% -12.51% 1,355.05 185.44 501.28
15. Apr 30, 2020 29.02% 12.68% 652.37 134.06 295.73
16. May 31, 2020 2.74% 4.53% 0.54 11.71 -2.52
17. Jun 30, 2020 20.19% 1.84% 279.44 0.54 12.25
18. Jul 31, 2020 3.94% 5.51% 0.21 19.40 2.02
19. Aug 31, 2020 3.74% 7.01% 0.07 34.82 1.53
20. Sep 30, 2020 1.50% -3.92% 3.92 25.29 9.96
21. Oct 31, 2020 15.68% -2.77% 148.78 15.00 -47.23
22. Nov 30, 2020 14.59% 10.75% 123.43 93.10 107.19
23. Dec 31, 2020 13.84% 3.71% 107.45 6.79 27.02
24. Jan 31, 2021 5.38% -1.11% 3.61 4.93 -4.22
25. Feb 28, 2021 16.76% 2.61% 176.38 2.26 19.96
26. Mar 31, 2021 3.33% 4.24% 0.02 9.85 -0.47
27. Apr 30, 2021 -6.27% 5.24% 95.07 17.11 -40.33
28. May 31, 2021 2.67% 0.55% 0.66 0.31 0.45
29. Jun 30, 2021 -4.40% 2.22% 61.99 1.24 -8.78
30. Jul 31, 2021 2.04% 2.27% 2.07 1.37 -1.68
31. Aug 31, 2021 13.57% 2.90% 101.83 3.22 18.10
32. Sep 30, 2021 3.18% -4.76% 0.09 34.37 1.75
33. Oct 31, 2021 5.03% 6.91% 2.39 33.74 8.99
34. Nov 30, 2021 27.79% -0.83% 591.22 3.76 -47.15
35. Dec 31, 2021 10.56% 4.36% 50.23 10.60 23.07
36. Jan 31, 2022 -13.13% -5.26% 275.92 40.51 105.72
37. Feb 28, 2022 6.12% -3.14% 6.97 17.99 -11.20
38. Mar 31, 2022 0.00% 3.58% 12.09 6.11 -8.60
39. Apr 30, 2022 -16.77% -8.80% 409.99 98.04 200.49
40. May 31, 2022 16.45% 0.01% 168.18 1.21 -14.27
41. Jun 30, 2022 -17.09% -8.39% 423.02 90.21 195.35
42. Jul 31, 2022 32.74% 9.11% 856.11 64.09 234.24
43. Aug 31, 2022 2.98% -4.24% 0.25 28.62 2.66
44. Sep 30, 2022 -9.36% -9.34% 164.92 109.11 134.14
45. Oct 31, 2022 -1.44% 7.99% 24.22 47.34 -33.86
46. Nov 30, 2022 22.42% 5.38% 358.65 18.23 80.85
47. Dec 31, 2022 -17.06% -5.90% 421.85 49.04 143.83
48. Jan 31, 2023 17.76% 6.18% 204.12 25.70 72.43
49. Feb 28, 2023 5.39% -2.61% 3.66 13.82 -7.11
50. Mar 31, 2023 6.34% 3.51% 8.21 5.76 6.87
51. Apr 30, 2023 -12.59% 1.46% 258.01 0.13 -5.76
52. May 31, 2023 16.18% 0.25% 161.24 0.74 -10.89
53. Jun 30, 2023 13.13% 4.71% 93.24 13.02 34.84
54. Jul 31, 2023 13.92% 4.85% 109.14 13.99 39.07
55. Aug 31, 2023 -8.62% -1.77% 146.40 8.28 34.82
56. Sep 30, 2023 -5.60% -4.87% 82.34 35.73 54.24
57. Oct 31, 2023 -32.61% -2.20% 1,302.25 10.92 119.22
58. Nov 30, 2023 13.87% 8.92% 108.06 61.03 81.21
59. Dec 31, 2023 17.10% 4.42% 185.66 11.00 45.20
Total (Σ): 11,661.53 1,634.30 2,975.97

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VarianceON = Σ(RON,t–RON)2 ÷ (59 – 1)
= 11,661.53 ÷ (59 – 1)
= 201.06

VarianceS&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18

CovarianceON, S&P 500 = Σ(RON,t–RON)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 2,975.97 ÷ (59 – 1)
= 51.31

Systematic Risk (β) Estimation

Microsoft Excel
VarianceON 201.06
VarianceS&P 500 28.18
CovarianceON, S&P 500 51.31
Correlation coefficientON, S&P 5001 0.68
βON2 1.82
αON3 1.46%

Calculations

1 Correlation coefficientON, S&P 500
= CovarianceON, S&P 500 ÷ (Standard deviationON × Standard deviationS&P 500)
= 51.31 ÷ (14.18% × 5.31%)
= 0.68

2 βON
= CovarianceON, S&P 500 ÷ VarianceS&P 500
= 51.31 ÷ 28.18
= 1.82

3 αON
= AverageON – βON × AverageS&P 500
= 3.48% – 1.82 × 1.11%
= 1.46%

Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF 4.65%
Expected rate of return on market portfolio2 E(RM) 14.93%
Systematic risk (β) of ON Semiconductor Corp. common stock βON 1.82
 
Expected rate of return on ON Semiconductor Corp. common stock3 E(RON) 23.37%

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(RON) = RF + βON [E(RM) – RF]
= 4.65% + 1.82 [14.93% – 4.65%]
= 23.37%