Stock Analysis on Net
Stock Analysis on Net

Super Micro Computer Inc. (NASDAQ:SMCI)

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 Super Micro Computer Inc. common stock.

Rates of Return

Super Micro Computer Inc., monthly rates of return

Microsoft Excel
Super Micro Computer Inc. (SMCI) Standard & Poor’s 500 (S&P 500)
t Date PriceSMCI,t1 DividendSMCI,t1 RSMCI,t2 PriceS&P 500,t RS&P 500,t3
Jul 31, 2017 $26.85 2,470.30
1. Aug 31, 2017 $26.63 -0.82% 2,471.65 0.05%
2. Sep 30, 2017 $22.10 -17.01% 2,519.36 1.93%
3. Oct 31, 2017 $19.90 -9.95% 2,575.26 2.22%
. . . . . . .
. . . . . . .
. . . . . . .
70. May 31, 2023 $223.95 112.42% 4,179.83 0.25%
71. Jun 30, 2023 $249.25 11.30% 4,376.86 4.71%
Average (R): 4.63% 0.94%
Standard deviation: 19.11% 5.05%
Super Micro Computer Inc. (SMCI) Standard & Poor’s 500 (S&P 500)
t Date PriceSMCI,t1 DividendSMCI,t1 RSMCI,t2 PriceS&P 500,t RS&P 500,t3
Jul 31, 2017 $26.85 2,470.30
1. Aug 31, 2017 $26.63 -0.82% 2,471.65 0.05%
2. Sep 30, 2017 $22.10 -17.01% 2,519.36 1.93%
3. Oct 31, 2017 $19.90 -9.95% 2,575.26 2.22%
4. Nov 30, 2017 $22.05 10.80% 2,647.58 2.81%
5. Dec 31, 2017 $20.93 -5.08% 2,673.61 0.98%
6. Jan 31, 2018 $22.83 9.08% 2,823.81 5.62%
7. Feb 28, 2018 $18.10 -20.72% 2,713.83 -3.89%
8. Mar 31, 2018 $17.00 -6.08% 2,640.87 -2.69%
9. Apr 30, 2018 $17.70 4.12% 2,648.05 0.27%
10. May 31, 2018 $24.10 36.16% 2,705.27 2.16%
11. Jun 30, 2018 $23.65 -1.87% 2,718.37 0.48%
12. Jul 31, 2018 $22.10 -6.55% 2,816.29 3.60%
13. Aug 31, 2018 $20.51 -7.19% 2,901.52 3.03%
14. Sep 30, 2018 $20.61 0.49% 2,913.98 0.43%
15. Oct 31, 2018 $13.10 -36.44% 2,711.74 -6.94%
16. Nov 30, 2018 $14.90 13.74% 2,760.17 1.79%
17. Dec 31, 2018 $13.80 -7.38% 2,506.85 -9.18%
18. Jan 31, 2019 $15.10 9.42% 2,704.10 7.87%
19. Feb 28, 2019 $19.12 26.62% 2,784.49 2.97%
20. Mar 31, 2019 $21.13 10.51% 2,834.40 1.79%
21. Apr 30, 2019 $22.42 6.11% 2,945.83 3.93%
22. May 31, 2019 $19.00 -15.25% 2,752.06 -6.58%
23. Jun 30, 2019 $19.35 1.84% 2,941.76 6.89%
24. Jul 31, 2019 $18.31 -5.37% 2,980.38 1.31%
25. Aug 31, 2019 $18.90 3.22% 2,926.46 -1.81%
26. Sep 30, 2019 $19.20 1.59% 2,976.74 1.72%
27. Oct 31, 2019 $20.68 7.71% 3,037.56 2.04%
28. Nov 30, 2019 $21.30 3.00% 3,140.98 3.40%
29. Dec 31, 2019 $24.02 12.77% 3,230.78 2.86%
30. Jan 31, 2020 $27.96 16.40% 3,225.52 -0.16%
31. Feb 29, 2020 $25.38 -9.23% 2,954.22 -8.41%
32. Mar 31, 2020 $21.28 -16.15% 2,584.59 -12.51%
33. Apr 30, 2020 $22.90 7.61% 2,912.43 12.68%
34. May 31, 2020 $25.96 13.36% 3,044.31 4.53%
35. Jun 30, 2020 $28.39 9.36% 3,100.29 1.84%
36. Jul 31, 2020 $30.31 6.76% 3,271.12 5.51%
37. Aug 31, 2020 $27.39 -9.63% 3,500.31 7.01%
38. Sep 30, 2020 $26.40 -3.61% 3,363.00 -3.92%
39. Oct 31, 2020 $22.72 -13.94% 3,269.96 -2.77%
40. Nov 30, 2020 $28.21 24.16% 3,621.63 10.75%
41. Dec 31, 2020 $31.66 12.23% 3,756.07 3.71%
42. Jan 31, 2021 $31.00 -2.08% 3,714.24 -1.11%
43. Feb 28, 2021 $32.63 5.26% 3,811.15 2.61%
44. Mar 31, 2021 $39.06 19.71% 3,972.89 4.24%
45. Apr 30, 2021 $37.02 -5.22% 4,181.17 5.24%
46. May 31, 2021 $34.74 -6.16% 4,204.11 0.55%
47. Jun 30, 2021 $35.18 1.27% 4,297.50 2.22%
48. Jul 31, 2021 $38.04 8.13% 4,395.26 2.27%
49. Aug 31, 2021 $36.54 -3.94% 4,522.68 2.90%
50. Sep 30, 2021 $36.57 0.08% 4,307.54 -4.76%
51. Oct 31, 2021 $35.39 -3.23% 4,605.38 6.91%
52. Nov 30, 2021 $41.40 16.98% 4,567.00 -0.83%
53. Dec 31, 2021 $43.95 6.16% 4,766.18 4.36%
54. Jan 31, 2022 $40.52 -7.80% 4,515.55 -5.26%
55. Feb 28, 2022 $39.29 -3.04% 4,373.94 -3.14%
56. Mar 31, 2022 $38.07 -3.11% 4,530.41 3.58%
57. Apr 30, 2022 $42.10 10.59% 4,131.93 -8.80%
58. May 31, 2022 $50.06 18.91% 4,132.15 0.01%
59. Jun 30, 2022 $40.35 -19.40% 3,785.38 -8.39%
60. Jul 31, 2022 $54.01 33.85% 4,130.29 9.11%
61. Aug 31, 2022 $65.08 20.50% 3,955.00 -4.24%
62. Sep 30, 2022 $55.07 -15.38% 3,585.62 -9.34%
63. Oct 31, 2022 $69.59 26.37% 3,871.98 7.99%
64. Nov 30, 2022 $90.23 29.66% 4,080.11 5.38%
65. Dec 31, 2022 $82.10 -9.01% 3,839.50 -5.90%
66. Jan 31, 2023 $72.33 -11.90% 4,076.60 6.18%
67. Feb 28, 2023 $97.97 35.45% 3,970.15 -2.61%
68. Mar 31, 2023 $106.55 8.76% 4,109.31 3.51%
69. Apr 30, 2023 $105.43 -1.05% 4,169.48 1.46%
70. May 31, 2023 $223.95 112.42% 4,179.83 0.25%
71. Jun 30, 2023 $249.25 11.30% 4,376.86 4.71%
Average (R): 4.63% 0.94%
Standard deviation: 19.11% 5.05%

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 SMCI during period t

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

Variance and Covariance

Super Micro Computer Inc., calculation of variance and covariance of returns

Microsoft Excel
t Date RSMCI,t RS&P 500,t (RSMCI,t–RSMCI)2 (RS&P 500,t–RS&P 500)2 (RSMCI,t–RSMCI)×(RS&P 500,t–RS&P 500)
1. Aug 31, 2017 -0.82% 0.05% 29.71 0.78 4.80
2. Sep 30, 2017 -17.01% 1.93% 468.39 0.99 -21.52
3. Oct 31, 2017 -9.95% 2.22% 212.75 1.65 -18.71
. . . . . . .
. . . . . . .
. . . . . . .
70. May 31, 2023 112.42% 0.25% 11,617.49 0.47 -74.11
71. Jun 30, 2023 11.30% 4.71% 44.43 14.27 25.18
Total (Σ): 25,555.38 1,786.26 2,240.19
t Date RSMCI,t RS&P 500,t (RSMCI,t–RSMCI)2 (RS&P 500,t–RS&P 500)2 (RSMCI,t–RSMCI)×(RS&P 500,t–RS&P 500)
1. Aug 31, 2017 -0.82% 0.05% 29.71 0.78 4.80
2. Sep 30, 2017 -17.01% 1.93% 468.39 0.99 -21.52
3. Oct 31, 2017 -9.95% 2.22% 212.75 1.65 -18.71
4. Nov 30, 2017 10.80% 2.81% 38.10 3.51 11.56
5. Dec 31, 2017 -5.08% 0.98% 94.30 0.00 -0.46
6. Jan 31, 2018 9.08% 5.62% 19.77 21.92 20.82
7. Feb 28, 2018 -20.72% -3.89% 642.61 23.33 122.45
8. Mar 31, 2018 -6.08% -2.69% 114.68 13.14 38.81
9. Apr 30, 2018 4.12% 0.27% 0.26 0.44 0.34
10. May 31, 2018 36.16% 2.16% 993.94 1.50 38.62
11. Jun 30, 2018 -1.87% 0.48% 42.23 0.20 2.93
12. Jul 31, 2018 -6.55% 3.60% 125.11 7.11 -29.82
13. Aug 31, 2018 -7.19% 3.03% 139.85 4.37 -24.72
14. Sep 30, 2018 0.49% 0.43% 17.17 0.26 2.10
15. Oct 31, 2018 -36.44% -6.94% 1,686.74 62.03 323.47
16. Nov 30, 2018 13.74% 1.79% 82.98 0.72 7.74
17. Dec 31, 2018 -7.38% -9.18% 144.33 102.28 121.50
18. Jan 31, 2019 9.42% 7.87% 22.93 48.06 33.20
19. Feb 28, 2019 26.62% 2.97% 483.61 4.15 44.80
20. Mar 31, 2019 10.51% 1.79% 34.59 0.73 5.04
21. Apr 30, 2019 6.11% 3.93% 2.17 8.97 4.41
22. May 31, 2019 -15.25% -6.58% 395.44 56.45 149.41
23. Jun 30, 2019 1.84% 6.89% 7.78 35.49 -16.62
24. Jul 31, 2019 -5.37% 1.31% 100.12 0.14 -3.77
25. Aug 31, 2019 3.22% -1.81% 1.99 7.53 3.87
26. Sep 30, 2019 1.59% 1.72% 9.27 0.61 -2.38
27. Oct 31, 2019 7.71% 2.04% 9.47 1.23 3.41
28. Nov 30, 2019 3.00% 3.40% 2.67 6.10 -4.03
29. Dec 31, 2019 12.77% 2.86% 66.24 3.70 15.65
30. Jan 31, 2020 16.40% -0.16% 138.57 1.21 -12.93
31. Feb 29, 2020 -9.23% -8.41% 192.07 87.36 129.54
32. Mar 31, 2020 -16.15% -12.51% 432.05 180.84 279.52
33. Apr 30, 2020 7.61% 12.68% 8.89 138.03 35.03
34. May 31, 2020 13.36% 4.53% 76.23 12.91 31.37
35. Jun 30, 2020 9.36% 1.84% 22.37 0.82 4.27
36. Jul 31, 2020 6.76% 5.51% 4.54 20.92 9.75
37. Aug 31, 2020 -9.63% 7.01% 203.49 36.85 -86.60
38. Sep 30, 2020 -3.61% -3.92% 67.99 23.61 40.06
39. Oct 31, 2020 -13.94% -2.77% 344.87 13.71 68.76
40. Nov 30, 2020 24.16% 10.75% 381.51 96.41 191.78
41. Dec 31, 2020 12.23% 3.71% 57.74 7.71 21.10
42. Jan 31, 2021 -2.08% -1.11% 45.10 4.20 13.76
43. Feb 28, 2021 5.26% 2.61% 0.39 2.80 1.05
44. Mar 31, 2021 19.71% 4.24% 227.24 10.94 49.87
45. Apr 30, 2021 -5.22% 5.24% 97.10 18.55 -42.44
46. May 31, 2021 -6.16% 0.55% 116.43 0.15 4.18
47. Jun 30, 2021 1.27% 2.22% 11.32 1.65 -4.33
48. Jul 31, 2021 8.13% 2.27% 12.24 1.79 4.68
49. Aug 31, 2021 -3.94% 2.90% 73.52 3.85 -16.83
50. Sep 30, 2021 0.08% -4.76% 20.70 32.41 25.90
51. Oct 31, 2021 -3.23% 6.91% 61.75 35.74 -46.98
52. Nov 30, 2021 16.98% -0.83% 152.54 3.13 -21.85
53. Dec 31, 2021 6.16% 4.36% 2.34 11.73 5.23
54. Jan 31, 2022 -7.80% -5.26% 154.65 38.37 77.03
55. Feb 28, 2022 -3.04% -3.14% 58.78 16.58 31.22
56. Mar 31, 2022 -3.11% 3.58% 59.85 6.98 -20.44
57. Apr 30, 2022 10.59% -8.80% 35.46 94.70 -57.95
58. May 31, 2022 18.91% 0.01% 203.80 0.87 -13.28
59. Jun 30, 2022 -19.40% -8.39% 577.35 87.01 224.13
60. Jul 31, 2022 33.85% 9.11% 853.95 66.84 238.92
61. Aug 31, 2022 20.50% -4.24% 251.69 26.83 -82.18
62. Sep 30, 2022 -15.38% -9.34% 400.50 105.58 205.63
63. Oct 31, 2022 26.37% 7.99% 472.41 49.71 153.24
64. Nov 30, 2022 29.66% 5.38% 626.41 19.71 111.11
65. Dec 31, 2022 -9.01% -5.90% 186.09 46.69 93.21
66. Jan 31, 2023 -11.90% 6.18% 273.29 27.45 -86.62
67. Feb 28, 2023 35.45% -2.61% 949.71 12.58 -109.31
68. Mar 31, 2023 8.76% 3.51% 17.03 6.60 10.60
69. Apr 30, 2023 -1.05% 1.46% 32.29 0.28 -3.00
70. May 31, 2023 112.42% 0.25% 11,617.49 0.47 -74.11
71. Jun 30, 2023 11.30% 4.71% 44.43 14.27 25.18
Total (Σ): 25,555.38 1,786.26 2,240.19

Show all

VarianceSMCI = Σ(RSMCI,t–RSMCI)2 ÷ (71 – 1)
= 25,555.38 ÷ (71 – 1)
= 365.08

VarianceS&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,786.26 ÷ (71 – 1)
= 25.52

CovarianceSMCI, S&P 500 = Σ(RSMCI,t–RSMCI)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,240.19 ÷ (71 – 1)
= 32.00

Systematic Risk (β) Estimation

Microsoft Excel
VarianceSMCI 365.08
VarianceS&P 500 25.52
CovarianceSMCI, S&P 500 32.00
Correlation coefficientSMCI, S&P 5001 0.33
βSMCI2 1.25
αSMCI3 3.46%

Calculations

1 Correlation coefficientSMCI, S&P 500
= CovarianceSMCI, S&P 500 ÷ (Standard deviationSMCI × Standard deviationS&P 500)
= 32.00 ÷ (19.11% × 5.05%)
= 0.33

2 βSMCI
= CovarianceSMCI, S&P 500 ÷ VarianceS&P 500
= 32.00 ÷ 25.52
= 1.25

3 αSMCI
= AverageSMCI – βSMCI × AverageS&P 500
= 4.63% – 1.25 × 0.94%
= 3.46%

Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF 4.81%
Expected rate of return on market portfolio2 E(RM) 13.55%
Systematic risk (β) of Super Micro Computer Inc. common stock βSMCI 1.25
 
Expected rate of return on Super Micro Computer Inc. common stock3 E(RSMCI) 15.77%

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(RSMCI) = RF + βSMCI [E(RM) – RF]
= 4.81% + 1.25 [13.55% – 4.81%]
= 15.77%