Stock Analysis on Net

Qualcomm Inc. (NASDAQ:QCOM)

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Capital Asset Pricing Model (CAPM)

Microsoft Excel

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Rates of Return

Qualcomm Inc., monthly rates of return

Microsoft Excel
Qualcomm Inc. (QCOM) Standard & Poor’s 500 (S&P 500)
t Date PriceQCOM,t1 DividendQCOM,t1 RQCOM,t2 PriceS&P 500,t RS&P 500,t3
Oct 31, 2017
1. Nov 30, 2017
2. Dec 31, 2017
3. Jan 31, 2018
. . . . . . .
. . . . . . .
. . . . . . .
70. Aug 31, 2023
71. Sep 30, 2023
Average (R):
Standard deviation:
Qualcomm Inc. (QCOM) Standard & Poor’s 500 (S&P 500)
t Date PriceQCOM,t1 DividendQCOM,t1 RQCOM,t2 PriceS&P 500,t RS&P 500,t3
Oct 31, 2017
1. Nov 30, 2017
2. Dec 31, 2017
3. Jan 31, 2018
4. Feb 28, 2018
5. Mar 31, 2018
6. Apr 30, 2018
7. May 31, 2018
8. Jun 30, 2018
9. Jul 31, 2018
10. Aug 31, 2018
11. Sep 30, 2018
12. Oct 31, 2018
13. Nov 30, 2018
14. Dec 31, 2018
15. Jan 31, 2019
16. Feb 28, 2019
17. Mar 31, 2019
18. Apr 30, 2019
19. May 31, 2019
20. Jun 30, 2019
21. Jul 31, 2019
22. Aug 31, 2019
23. Sep 30, 2019
24. Oct 31, 2019
25. Nov 30, 2019
26. Dec 31, 2019
27. Jan 31, 2020
28. Feb 29, 2020
29. Mar 31, 2020
30. Apr 30, 2020
31. May 31, 2020
32. Jun 30, 2020
33. Jul 31, 2020
34. Aug 31, 2020
35. Sep 30, 2020
36. Oct 31, 2020
37. Nov 30, 2020
38. Dec 31, 2020
39. Jan 31, 2021
40. Feb 28, 2021
41. Mar 31, 2021
42. Apr 30, 2021
43. May 31, 2021
44. Jun 30, 2021
45. Jul 31, 2021
46. Aug 31, 2021
47. Sep 30, 2021
48. Oct 31, 2021
49. Nov 30, 2021
50. Dec 31, 2021
51. Jan 31, 2022
52. Feb 28, 2022
53. Mar 31, 2022
54. Apr 30, 2022
55. May 31, 2022
56. Jun 30, 2022
57. Jul 31, 2022
58. Aug 31, 2022
59. Sep 30, 2022
60. Oct 31, 2022
61. Nov 30, 2022
62. Dec 31, 2022
63. Jan 31, 2023
64. Feb 28, 2023
65. Mar 31, 2023
66. Apr 30, 2023
67. May 31, 2023
68. Jun 30, 2023
69. Jul 31, 2023
70. Aug 31, 2023
71. Sep 30, 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 QCOM during period t

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


Variance and Covariance

Qualcomm Inc., calculation of variance and covariance of returns

Microsoft Excel
t Date RQCOM,t RS&P 500,t (RQCOM,tRQCOM)2 (RS&P 500,tRS&P 500)2 (RQCOM,tRQCOM)×(RS&P 500,tRS&P 500)
1. Nov 30, 2017
2. Dec 31, 2017
3. Jan 31, 2018
. . . . . . .
. . . . . . .
. . . . . . .
70. Aug 31, 2023
71. Sep 30, 2023
Total (Σ):
t Date RQCOM,t RS&P 500,t (RQCOM,tRQCOM)2 (RS&P 500,tRS&P 500)2 (RQCOM,tRQCOM)×(RS&P 500,tRS&P 500)
1. Nov 30, 2017
2. Dec 31, 2017
3. Jan 31, 2018
4. Feb 28, 2018
5. Mar 31, 2018
6. Apr 30, 2018
7. May 31, 2018
8. Jun 30, 2018
9. Jul 31, 2018
10. Aug 31, 2018
11. Sep 30, 2018
12. Oct 31, 2018
13. Nov 30, 2018
14. Dec 31, 2018
15. Jan 31, 2019
16. Feb 28, 2019
17. Mar 31, 2019
18. Apr 30, 2019
19. May 31, 2019
20. Jun 30, 2019
21. Jul 31, 2019
22. Aug 31, 2019
23. Sep 30, 2019
24. Oct 31, 2019
25. Nov 30, 2019
26. Dec 31, 2019
27. Jan 31, 2020
28. Feb 29, 2020
29. Mar 31, 2020
30. Apr 30, 2020
31. May 31, 2020
32. Jun 30, 2020
33. Jul 31, 2020
34. Aug 31, 2020
35. Sep 30, 2020
36. Oct 31, 2020
37. Nov 30, 2020
38. Dec 31, 2020
39. Jan 31, 2021
40. Feb 28, 2021
41. Mar 31, 2021
42. Apr 30, 2021
43. May 31, 2021
44. Jun 30, 2021
45. Jul 31, 2021
46. Aug 31, 2021
47. Sep 30, 2021
48. Oct 31, 2021
49. Nov 30, 2021
50. Dec 31, 2021
51. Jan 31, 2022
52. Feb 28, 2022
53. Mar 31, 2022
54. Apr 30, 2022
55. May 31, 2022
56. Jun 30, 2022
57. Jul 31, 2022
58. Aug 31, 2022
59. Sep 30, 2022
60. Oct 31, 2022
61. Nov 30, 2022
62. Dec 31, 2022
63. Jan 31, 2023
64. Feb 28, 2023
65. Mar 31, 2023
66. Apr 30, 2023
67. May 31, 2023
68. Jun 30, 2023
69. Jul 31, 2023
70. Aug 31, 2023
71. Sep 30, 2023
Total (Σ):

Show all

VarianceQCOM = Σ(RQCOM,tRQCOM)2 ÷ (71 – 1)
= ÷ (71 – 1)
=

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

CovarianceQCOM, S&P 500 = Σ(RQCOM,tRQCOM)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= ÷ (71 – 1)
=


Systematic Risk (β) Estimation

Microsoft Excel
VarianceQCOM
VarianceS&P 500
CovarianceQCOM, S&P 500
Correlation coefficientQCOM, S&P 5001
βQCOM2
αQCOM3

Calculations

1 Correlation coefficientQCOM, S&P 500
= CovarianceQCOM, S&P 500 ÷ (Standard deviationQCOM × Standard deviationS&P 500)
= ÷ ( × )
=

2 βQCOM
= CovarianceQCOM, S&P 500 ÷ VarianceS&P 500
= ÷
=

3 αQCOM
= AverageQCOM – βQCOM × 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 Qualcomm Inc. common stock βQCOM
 
Expected rate of return on Qualcomm Inc. common stock3 E(RQCOM)

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(RQCOM) = RF + βQCOM [E(RM) – RF]
= + []
=