Capital Asset Pricing Model (CAPM)
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
| 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, 2020 | $3.03 | 3,271.12 | ||||
| 1. | Aug 31, 2020 | $2.74 | -9.57% | 3,500.31 | 7.01% | |
| 2. | Sep 30, 2020 | $2.64 | -3.65% | 3,363.00 | -3.92% | |
| 3. | Oct 31, 2020 | $2.27 | -14.02% | 3,269.96 | -2.77% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | May 31, 2026 | $46.09 | 68.21% | 7,580.06 | 5.15% | |
| 71. | Jun 30, 2026 | $29.33 | -36.36% | 7,499.36 | -1.06% | |
| Average (R): | 6.09% | 1.28% | ||||
| Standard deviation: | 26.32% | 4.53% | ||||
| 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, 2020 | $3.03 | 3,271.12 | ||||
| 1. | Aug 31, 2020 | $2.74 | -9.57% | 3,500.31 | 7.01% | |
| 2. | Sep 30, 2020 | $2.64 | -3.65% | 3,363.00 | -3.92% | |
| 3. | Oct 31, 2020 | $2.27 | -14.02% | 3,269.96 | -2.77% | |
| 4. | Nov 30, 2020 | $2.82 | 24.23% | 3,621.63 | 10.75% | |
| 5. | Dec 31, 2020 | $3.17 | 12.41% | 3,756.07 | 3.71% | |
| 6. | Jan 31, 2021 | $3.10 | -2.21% | 3,714.24 | -1.11% | |
| 7. | Feb 28, 2021 | $3.26 | 5.16% | 3,811.15 | 2.61% | |
| 8. | Mar 31, 2021 | $3.91 | 19.94% | 3,972.89 | 4.24% | |
| 9. | Apr 30, 2021 | $3.70 | -5.37% | 4,181.17 | 5.24% | |
| 10. | May 31, 2021 | $3.47 | -6.22% | 4,204.11 | 0.55% | |
| 11. | Jun 30, 2021 | $3.52 | 1.44% | 4,297.50 | 2.22% | |
| 12. | Jul 31, 2021 | $3.80 | 7.95% | 4,395.26 | 2.27% | |
| 13. | Aug 31, 2021 | $3.65 | -3.95% | 4,522.68 | 2.90% | |
| 14. | Sep 30, 2021 | $3.66 | 0.27% | 4,307.54 | -4.76% | |
| 15. | Oct 31, 2021 | $3.54 | -3.28% | 4,605.38 | 6.91% | |
| 16. | Nov 30, 2021 | $4.14 | 16.95% | 4,567.00 | -0.83% | |
| 17. | Dec 31, 2021 | $4.40 | 6.28% | 4,766.18 | 4.36% | |
| 18. | Jan 31, 2022 | $4.05 | -7.95% | 4,515.55 | -5.26% | |
| 19. | Feb 28, 2022 | $3.93 | -2.96% | 4,373.94 | -3.14% | |
| 20. | Mar 31, 2022 | $3.81 | -3.05% | 4,530.41 | 3.58% | |
| 21. | Apr 30, 2022 | $4.21 | 10.50% | 4,131.93 | -8.80% | |
| 22. | May 31, 2022 | $5.01 | 19.00% | 4,132.15 | 0.01% | |
| 23. | Jun 30, 2022 | $4.04 | -19.36% | 3,785.38 | -8.39% | |
| 24. | Jul 31, 2022 | $5.40 | 33.66% | 4,130.29 | 9.11% | |
| 25. | Aug 31, 2022 | $6.51 | 20.56% | 3,955.00 | -4.24% | |
| 26. | Sep 30, 2022 | $5.51 | -15.36% | 3,585.62 | -9.34% | |
| 27. | Oct 31, 2022 | $6.96 | 26.32% | 3,871.98 | 7.99% | |
| 28. | Nov 30, 2022 | $9.02 | 29.60% | 4,080.11 | 5.38% | |
| 29. | Dec 31, 2022 | $8.21 | -8.98% | 3,839.50 | -5.90% | |
| 30. | Jan 31, 2023 | $7.23 | -11.94% | 4,076.60 | 6.18% | |
| 31. | Feb 28, 2023 | $9.80 | 35.55% | 3,970.15 | -2.61% | |
| 32. | Mar 31, 2023 | $10.66 | 8.78% | 4,109.31 | 3.51% | |
| 33. | Apr 30, 2023 | $10.54 | -1.13% | 4,169.48 | 1.46% | |
| 34. | May 31, 2023 | $22.40 | 112.52% | 4,179.83 | 0.25% | |
| 35. | Jun 30, 2023 | $24.93 | 11.29% | 4,376.86 | 4.71% | |
| 36. | Jul 31, 2023 | $33.03 | 32.49% | 4,588.96 | 4.85% | |
| 37. | Aug 31, 2023 | $27.51 | -16.71% | 4,507.66 | -1.77% | |
| 38. | Sep 30, 2023 | $27.42 | -0.33% | 4,288.05 | -4.87% | |
| 39. | Oct 31, 2023 | $23.95 | -12.65% | 4,193.80 | -2.20% | |
| 40. | Nov 30, 2023 | $27.35 | 14.20% | 4,567.80 | 8.92% | |
| 41. | Dec 31, 2023 | $28.43 | 3.95% | 4,769.83 | 4.42% | |
| 42. | Jan 31, 2024 | $52.96 | 86.28% | 4,845.65 | 1.59% | |
| 43. | Feb 29, 2024 | $86.61 | 63.54% | 5,096.27 | 5.17% | |
| 44. | Mar 31, 2024 | $101.00 | 16.61% | 5,254.35 | 3.10% | |
| 45. | Apr 30, 2024 | $85.88 | -14.97% | 5,035.69 | -4.16% | |
| 46. | May 31, 2024 | $78.45 | -8.65% | 5,277.51 | 4.80% | |
| 47. | Jun 30, 2024 | $81.94 | 4.45% | 5,460.48 | 3.47% | |
| 48. | Jul 31, 2024 | $70.17 | -14.36% | 5,522.30 | 1.13% | |
| 49. | Aug 31, 2024 | $43.77 | -37.62% | 5,648.40 | 2.28% | |
| 50. | Sep 30, 2024 | $41.64 | -4.87% | 5,762.48 | 2.02% | |
| 51. | Oct 31, 2024 | $29.11 | -30.09% | 5,705.45 | -0.99% | |
| 52. | Nov 30, 2024 | $32.64 | 12.13% | 6,032.38 | 5.73% | |
| 53. | Dec 31, 2024 | $30.48 | -6.62% | 5,881.63 | -2.50% | |
| 54. | Jan 31, 2025 | $28.52 | -6.43% | 6,040.53 | 2.70% | |
| 55. | Feb 28, 2025 | $41.46 | 45.37% | 5,954.50 | -1.42% | |
| 56. | Mar 31, 2025 | $34.24 | -17.41% | 5,611.85 | -5.75% | |
| 57. | Apr 30, 2025 | $31.86 | -6.95% | 5,569.06 | -0.76% | |
| 58. | May 31, 2025 | $40.02 | 25.61% | 5,911.69 | 6.15% | |
| 59. | Jun 30, 2025 | $49.01 | 22.46% | 6,204.95 | 4.96% | |
| 60. | Jul 31, 2025 | $58.97 | 20.32% | 6,339.39 | 2.17% | |
| 61. | Aug 31, 2025 | $41.54 | -29.56% | 6,460.26 | 1.91% | |
| 62. | Sep 30, 2025 | $47.94 | 15.41% | 6,688.46 | 3.53% | |
| 63. | Oct 31, 2025 | $51.96 | 8.39% | 6,840.20 | 2.27% | |
| 64. | Nov 30, 2025 | $33.85 | -34.85% | 6,849.09 | 0.13% | |
| 65. | Dec 31, 2025 | $29.27 | -13.53% | 6,845.50 | -0.05% | |
| 66. | Jan 31, 2026 | $29.11 | -0.55% | 6,939.03 | 1.37% | |
| 67. | Feb 28, 2026 | $32.39 | 11.27% | 6,878.88 | -0.87% | |
| 68. | Mar 31, 2026 | $22.77 | -29.70% | 6,528.52 | -5.09% | |
| 69. | Apr 30, 2026 | $27.40 | 20.33% | 7,209.01 | 10.42% | |
| 70. | May 31, 2026 | $46.09 | 68.21% | 7,580.06 | 5.15% | |
| 71. | Jun 30, 2026 | $29.33 | -36.36% | 7,499.36 | -1.06% | |
| Average (R): | 6.09% | 1.28% | ||||
| Standard deviation: | 26.32% | 4.53% | ||||
Show all
1 Data in US$ 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
| 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, 2020 | -9.57% | 7.01% | 245.19 | 32.84 | -89.73 |
| 2. | Sep 30, 2020 | -3.65% | -3.92% | 94.81 | 27.03 | 50.62 |
| 3. | Oct 31, 2020 | -14.02% | -2.77% | 404.12 | 16.34 | 81.27 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | May 31, 2026 | 68.21% | 5.15% | 3,859.41 | 14.98 | 240.47 |
| 71. | Jun 30, 2026 | -36.36% | -1.06% | 1,802.10 | 5.48 | 99.37 |
| Total (Σ): | 48,501.22 | 1,436.39 | 2,658.71 | |||
| 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, 2020 | -9.57% | 7.01% | 245.19 | 32.84 | -89.73 |
| 2. | Sep 30, 2020 | -3.65% | -3.92% | 94.81 | 27.03 | 50.62 |
| 3. | Oct 31, 2020 | -14.02% | -2.77% | 404.12 | 16.34 | 81.27 |
| 4. | Nov 30, 2020 | 24.23% | 10.75% | 329.12 | 89.84 | 171.95 |
| 5. | Dec 31, 2020 | 12.41% | 3.71% | 39.99 | 5.93 | 15.40 |
| 6. | Jan 31, 2021 | -2.21% | -1.11% | 68.82 | 5.71 | 19.83 |
| 7. | Feb 28, 2021 | 5.16% | 2.61% | 0.86 | 1.78 | -1.23 |
| 8. | Mar 31, 2021 | 19.94% | 4.24% | 191.85 | 8.81 | 41.10 |
| 9. | Apr 30, 2021 | -5.37% | 5.24% | 131.29 | 15.73 | -45.45 |
| 10. | May 31, 2021 | -6.22% | 0.55% | 151.38 | 0.53 | 8.95 |
| 11. | Jun 30, 2021 | 1.44% | 2.22% | 21.59 | 0.89 | -4.39 |
| 12. | Jul 31, 2021 | 7.95% | 2.27% | 3.49 | 1.00 | 1.86 |
| 13. | Aug 31, 2021 | -3.95% | 2.90% | 100.70 | 2.63 | -16.28 |
| 14. | Sep 30, 2021 | 0.27% | -4.76% | 33.80 | 36.40 | 35.07 |
| 15. | Oct 31, 2021 | -3.28% | 6.91% | 87.73 | 31.79 | -52.81 |
| 16. | Nov 30, 2021 | 16.95% | -0.83% | 117.97 | 4.45 | -22.91 |
| 17. | Dec 31, 2021 | 6.28% | 4.36% | 0.04 | 9.52 | 0.59 |
| 18. | Jan 31, 2022 | -7.95% | -5.26% | 197.18 | 42.70 | 91.76 |
| 19. | Feb 28, 2022 | -2.96% | -3.14% | 81.91 | 19.47 | 39.93 |
| 20. | Mar 31, 2022 | -3.05% | 3.58% | 83.56 | 5.29 | -21.03 |
| 21. | Apr 30, 2022 | 10.50% | -8.80% | 19.46 | 101.44 | -44.43 |
| 22. | May 31, 2022 | 19.00% | 0.01% | 166.79 | 1.62 | -16.41 |
| 23. | Jun 30, 2022 | -19.36% | -8.39% | 647.64 | 93.48 | 246.05 |
| 24. | Jul 31, 2022 | 33.66% | 9.11% | 760.43 | 61.39 | 216.07 |
| 25. | Aug 31, 2022 | 20.56% | -4.24% | 209.32 | 30.47 | -79.87 |
| 26. | Sep 30, 2022 | -15.36% | -9.34% | 460.04 | 112.70 | 227.69 |
| 27. | Oct 31, 2022 | 26.32% | 7.99% | 409.18 | 45.03 | 135.73 |
| 28. | Nov 30, 2022 | 29.60% | 5.38% | 552.73 | 16.80 | 96.37 |
| 29. | Dec 31, 2022 | -8.98% | -5.90% | 227.03 | 51.46 | 108.09 |
| 30. | Jan 31, 2023 | -11.94% | 6.18% | 324.87 | 24.00 | -88.30 |
| 31. | Feb 28, 2023 | 35.55% | -2.61% | 867.82 | 15.11 | -114.52 |
| 32. | Mar 31, 2023 | 8.78% | 3.51% | 7.23 | 4.97 | 5.99 |
| 33. | Apr 30, 2023 | -1.13% | 1.46% | 52.03 | 0.04 | -1.36 |
| 34. | May 31, 2023 | 112.52% | 0.25% | 11,328.66 | 1.06 | -109.42 |
| 35. | Jun 30, 2023 | 11.29% | 4.71% | 27.11 | 11.82 | 17.90 |
| 36. | Jul 31, 2023 | 32.49% | 4.85% | 697.14 | 12.74 | 94.25 |
| 37. | Aug 31, 2023 | -16.71% | -1.77% | 519.82 | 9.29 | 69.49 |
| 38. | Sep 30, 2023 | -0.33% | -4.87% | 41.15 | 37.80 | 39.44 |
| 39. | Oct 31, 2023 | -12.65% | -2.20% | 351.28 | 12.07 | 65.12 |
| 40. | Nov 30, 2023 | 14.20% | 8.92% | 65.75 | 58.40 | 61.96 |
| 41. | Dec 31, 2023 | 3.95% | 4.42% | 4.57 | 9.90 | -6.73 |
| 42. | Jan 31, 2024 | 86.28% | 1.59% | 6,431.17 | 0.10 | 25.13 |
| 43. | Feb 29, 2024 | 63.54% | 5.17% | 3,300.61 | 15.18 | 223.82 |
| 44. | Mar 31, 2024 | 16.61% | 3.10% | 110.82 | 3.33 | 19.22 |
| 45. | Apr 30, 2024 | -14.97% | -4.16% | 443.43 | 29.57 | 114.51 |
| 46. | May 31, 2024 | -8.65% | 4.80% | 217.24 | 12.43 | -51.97 |
| 47. | Jun 30, 2024 | 4.45% | 3.47% | 2.69 | 4.80 | -3.59 |
| 48. | Jul 31, 2024 | -14.36% | 1.13% | 418.27 | 0.02 | 2.95 |
| 49. | Aug 31, 2024 | -37.62% | 2.28% | 1,910.60 | 1.01 | -44.03 |
| 50. | Sep 30, 2024 | -4.87% | 2.02% | 119.99 | 0.55 | -8.14 |
| 51. | Oct 31, 2024 | -30.09% | -0.99% | 1,308.91 | 5.13 | 81.98 |
| 52. | Nov 30, 2024 | 12.13% | 5.73% | 36.47 | 19.84 | 26.90 |
| 53. | Dec 31, 2024 | -6.62% | -2.50% | 161.42 | 14.25 | 47.97 |
| 54. | Jan 31, 2025 | -6.43% | 2.70% | 156.70 | 2.03 | -17.84 |
| 55. | Feb 28, 2025 | 45.37% | -1.42% | 1,543.24 | 7.29 | -106.09 |
| 56. | Mar 31, 2025 | -17.41% | -5.75% | 552.34 | 49.43 | 165.24 |
| 57. | Apr 30, 2025 | -6.95% | -0.76% | 170.00 | 4.16 | 26.58 |
| 58. | May 31, 2025 | 25.61% | 6.15% | 381.21 | 23.78 | 95.20 |
| 59. | Jun 30, 2025 | 22.46% | 4.96% | 268.18 | 13.58 | 60.34 |
| 60. | Jul 31, 2025 | 20.32% | 2.17% | 202.63 | 0.79 | 12.67 |
| 61. | Aug 31, 2025 | -29.56% | 1.91% | 1,270.56 | 0.40 | -22.47 |
| 62. | Sep 30, 2025 | 15.41% | 3.53% | 86.85 | 5.09 | 21.03 |
| 63. | Oct 31, 2025 | 8.39% | 2.27% | 5.28 | 0.98 | 2.28 |
| 64. | Nov 30, 2025 | -34.85% | 0.13% | 1,676.19 | 1.31 | 46.93 |
| 65. | Dec 31, 2025 | -13.53% | -0.05% | 384.86 | 1.77 | 26.07 |
| 66. | Jan 31, 2026 | -0.55% | 1.37% | 44.01 | 0.01 | -0.60 |
| 67. | Feb 28, 2026 | 11.27% | -0.87% | 26.83 | 4.59 | -11.10 |
| 68. | Mar 31, 2026 | -29.70% | -5.09% | 1,280.79 | 40.57 | 227.95 |
| 69. | Apr 30, 2026 | 20.33% | 10.42% | 202.96 | 83.67 | 130.31 |
| 70. | May 31, 2026 | 68.21% | 5.15% | 3,859.41 | 14.98 | 240.47 |
| 71. | Jun 30, 2026 | -36.36% | -1.06% | 1,802.10 | 5.48 | 99.37 |
| Total (Σ): | 48,501.22 | 1,436.39 | 2,658.71 | |||
Show all
VarianceSMCI = Σ(RSMCI,t–RSMCI)2 ÷ (71 – 1)
= 48,501.22 ÷ (71 – 1)
= 692.87
VarianceS&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,436.39 ÷ (71 – 1)
= 20.52
CovarianceSMCI, S&P 500 = Σ(RSMCI,t–RSMCI)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,658.71 ÷ (71 – 1)
= 37.98
Systematic Risk (β) Estimation
| VarianceSMCI | 692.87 |
| VarianceS&P 500 | 20.52 |
| CovarianceSMCI, S&P 500 | 37.98 |
| Correlation coefficientSMCI, S&P 5001 | 0.32 |
| βSMCI2 | 1.85 |
| αSMCI3 | 3.73% |
Calculations
1 Correlation coefficientSMCI, S&P 500
= CovarianceSMCI, S&P 500 ÷ (Standard deviationSMCI × Standard deviationS&P 500)
= 37.98 ÷ (26.32% × 4.53%)
= 0.32
2 βSMCI
= CovarianceSMCI, S&P 500 ÷ VarianceS&P 500
= 37.98 ÷ 20.52
= 1.85
3 αSMCI
= AverageSMCI – βSMCI × AverageS&P 500
= 6.09% – 1.85 × 1.28%
= 3.73%
Expected Rate of Return
| Assumptions | ||
| Rate of return on LT Treasury Composite1 | RF | 5.20% |
| Expected rate of return on market portfolio2 | E(RM) | 17.45% |
| Systematic risk (β) of Super Micro Computer Inc. common stock | βSMCI | 1.85 |
| Expected rate of return on Super Micro Computer Inc. common stock3 | E(RSMCI) | 27.88% |
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).
3 E(RSMCI) = RF + βSMCI [E(RM) – RF]
= 5.20% + 1.85 [17.45% – 5.20%]
= 27.88%