Take-Two Interactive Software Inc. (NASDAQ:TTWO)

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 Take-Two Interactive Software Inc. common stock.

Rates of Return
Variance and Covariance
Systematic Risk (β) Estimation
Expected Rate of Return

Rates of Return

Take-Two Interactive Software Inc., monthly rates of return

		Take-Two Interactive Software Inc. (TTWO)			Standard & Poor’s 500 (S&P 500)
t	Date	Price_TTWO,t¹	Dividend_TTWO,t¹	R_TTWO,t²	Price_{S&P 500,t}	R_{S&P 500,t}³
	Apr 30, 2019	$96.83			2,945.83
1.	May 31, 2019	$108.15		11.69%	2,752.06	-6.58%
2.	Jun 30, 2019	$113.53		4.97%	2,941.76	6.89%
3.	Jul 31, 2019	$122.52		7.92%	2,980.38	1.31%
.	.	.	.	.	.	.
.	.	.	.	.	.	.
.	.	.	.	.	.	.
70.	Feb 28, 2025	$211.98		14.27%	5,954.50	-1.42%
71.	Mar 31, 2025	$207.25		-2.23%	5,611.85	-5.75%
Average (R):				1.42%		1.04%
Standard deviation:				8.37%		5.05%

		Take-Two Interactive Software Inc. (TTWO)			Standard & Poor’s 500 (S&P 500)
t	Date	Price_TTWO,t¹	Dividend_TTWO,t¹	R_TTWO,t²	Price_{S&P 500,t}	R_{S&P 500,t}³
	Apr 30, 2019	$96.83			2,945.83
1.	May 31, 2019	$108.15		11.69%	2,752.06	-6.58%
2.	Jun 30, 2019	$113.53		4.97%	2,941.76	6.89%
3.	Jul 31, 2019	$122.52		7.92%	2,980.38	1.31%
4.	Aug 31, 2019	$131.97		7.71%	2,926.46	-1.81%
5.	Sep 30, 2019	$125.34		-5.02%	2,976.74	1.72%
6.	Oct 31, 2019	$120.35		-3.98%	3,037.56	2.04%
7.	Nov 30, 2019	$121.35		0.83%	3,140.98	3.40%
8.	Dec 31, 2019	$122.43		0.89%	3,230.78	2.86%
9.	Jan 31, 2020	$124.64		1.81%	3,225.52	-0.16%
10.	Feb 29, 2020	$107.48		-13.77%	2,954.22	-8.41%
11.	Mar 31, 2020	$118.61		10.36%	2,584.59	-12.51%
12.	Apr 30, 2020	$121.05		2.06%	2,912.43	12.68%
13.	May 31, 2020	$136.17		12.49%	3,044.31	4.53%
14.	Jun 30, 2020	$139.57		2.50%	3,100.29	1.84%
15.	Jul 31, 2020	$164.02		17.52%	3,271.12	5.51%
16.	Aug 31, 2020	$171.19		4.37%	3,500.31	7.01%
17.	Sep 30, 2020	$165.22		-3.49%	3,363.00	-3.92%
18.	Oct 31, 2020	$154.92		-6.23%	3,269.96	-2.77%
19.	Nov 30, 2020	$180.51		16.52%	3,621.63	10.75%
20.	Dec 31, 2020	$207.79		15.11%	3,756.07	3.71%
21.	Jan 31, 2021	$200.45		-3.53%	3,714.24	-1.11%
22.	Feb 28, 2021	$184.46		-7.98%	3,811.15	2.61%
23.	Mar 31, 2021	$176.70		-4.21%	3,972.89	4.24%
24.	Apr 30, 2021	$175.38		-0.75%	4,181.17	5.24%
25.	May 31, 2021	$185.56		5.80%	4,204.11	0.55%
26.	Jun 30, 2021	$177.02		-4.60%	4,297.50	2.22%
27.	Jul 31, 2021	$173.42		-2.03%	4,395.26	2.27%
28.	Aug 31, 2021	$161.22		-7.03%	4,522.68	2.90%
29.	Sep 30, 2021	$154.07		-4.43%	4,307.54	-4.76%
30.	Oct 31, 2021	$181.00		17.48%	4,605.38	6.91%
31.	Nov 30, 2021	$165.88		-8.35%	4,567.00	-0.83%
32.	Dec 31, 2021	$177.72		7.14%	4,766.18	4.36%
33.	Jan 31, 2022	$163.34		-8.09%	4,515.55	-5.26%
34.	Feb 28, 2022	$162.00		-0.82%	4,373.94	-3.14%
35.	Mar 31, 2022	$153.74		-5.10%	4,530.41	3.58%
36.	Apr 30, 2022	$119.51		-22.26%	4,131.93	-8.80%
37.	May 31, 2022	$124.53		4.20%	4,132.15	0.01%
38.	Jun 30, 2022	$122.53		-1.61%	3,785.38	-8.39%
39.	Jul 31, 2022	$132.73		8.32%	4,130.29	9.11%
40.	Aug 31, 2022	$122.56		-7.66%	3,955.00	-4.24%
41.	Sep 30, 2022	$109.00		-11.06%	3,585.62	-9.34%
42.	Oct 31, 2022	$118.48		8.70%	3,871.98	7.99%
43.	Nov 30, 2022	$105.69		-10.80%	4,080.11	5.38%
44.	Dec 31, 2022	$104.13		-1.48%	3,839.50	-5.90%
45.	Jan 31, 2023	$113.23		8.74%	4,076.60	6.18%
46.	Feb 28, 2023	$109.55		-3.25%	3,970.15	-2.61%
47.	Mar 31, 2023	$119.30		8.90%	4,109.31	3.51%
48.	Apr 30, 2023	$124.29		4.18%	4,169.48	1.46%
49.	May 31, 2023	$137.73		10.81%	4,179.83	0.25%
50.	Jun 30, 2023	$147.16		6.85%	4,376.86	4.71%
51.	Jul 31, 2023	$152.94		3.93%	4,588.96	4.85%
52.	Aug 31, 2023	$142.20		-7.02%	4,507.66	-1.77%
53.	Sep 30, 2023	$140.39		-1.27%	4,288.05	-4.87%
54.	Oct 31, 2023	$133.75		-4.73%	4,193.80	-2.20%
55.	Nov 30, 2023	$158.20		18.28%	4,567.80	8.92%
56.	Dec 31, 2023	$160.95		1.74%	4,769.83	4.42%
57.	Jan 31, 2024	$164.93		2.47%	4,845.65	1.59%
58.	Feb 29, 2024	$146.93		-10.91%	5,096.27	5.17%
59.	Mar 31, 2024	$148.49		1.06%	5,254.35	3.10%
60.	Apr 30, 2024	$142.81		-3.83%	5,035.69	-4.16%
61.	May 31, 2024	$160.36		12.29%	5,277.51	4.80%
62.	Jun 30, 2024	$155.49		-3.04%	5,460.48	3.47%
63.	Jul 31, 2024	$150.53		-3.19%	5,522.30	1.13%
64.	Aug 31, 2024	$161.71		7.43%	5,648.40	2.28%
65.	Sep 30, 2024	$153.71		-4.95%	5,762.48	2.02%
66.	Oct 31, 2024	$161.72		5.21%	5,705.45	-0.99%
67.	Nov 30, 2024	$188.38		16.49%	6,032.38	5.73%
68.	Dec 31, 2024	$184.08		-2.28%	5,881.63	-2.50%
69.	Jan 31, 2025	$185.51		0.78%	6,040.53	2.70%
70.	Feb 28, 2025	$211.98		14.27%	5,954.50	-1.42%
71.	Mar 31, 2025	$207.25		-2.23%	5,611.85	-5.75%
Average (R):				1.42%		1.04%
Standard deviation:				8.37%		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 TTWO during period t

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

Variance and Covariance

Take-Two Interactive Software Inc., calculation of variance and covariance of returns

t	Date	R_TTWO,t	R_{S&P 500,t}	(R_TTWO,t–R_TTWO)²	(R_{S&P 500,t}–R_{S&P 500})²	(R_TTWO,t–R_TTWO)×(R_{S&P 500,t}–R_{S&P 500})
1.	May 31, 2019	11.69%	-6.58%	105.49	58.00	-78.22
2.	Jun 30, 2019	4.97%	6.89%	12.64	34.28	20.81
3.	Jul 31, 2019	7.92%	1.31%	42.23	0.08	1.78
.	.	.	.	.	.	.
.	.	.	.	.	.	.
.	.	.	.	.	.	.
70.	Feb 28, 2025	14.27%	-1.42%	165.09	6.06	-31.64
71.	Mar 31, 2025	-2.23%	-5.75%	13.33	46.14	24.80
Total (Σ):				4,907.20	1,786.78	1,341.85

t	Date	R_TTWO,t	R_{S&P 500,t}	(R_TTWO,t–R_TTWO)²	(R_{S&P 500,t}–R_{S&P 500})²	(R_TTWO,t–R_TTWO)×(R_{S&P 500,t}–R_{S&P 500})
1.	May 31, 2019	11.69%	-6.58%	105.49	58.00	-78.22
2.	Jun 30, 2019	4.97%	6.89%	12.64	34.28	20.81
3.	Jul 31, 2019	7.92%	1.31%	42.23	0.08	1.78
4.	Aug 31, 2019	7.71%	-1.81%	39.60	8.11	-17.92
5.	Sep 30, 2019	-5.02%	1.72%	41.52	0.46	-4.38
6.	Oct 31, 2019	-3.98%	2.04%	29.17	1.01	-5.43
7.	Nov 30, 2019	0.83%	3.40%	0.35	5.60	-1.39
8.	Dec 31, 2019	0.89%	2.86%	0.28	3.31	-0.96
9.	Jan 31, 2020	1.81%	-0.16%	0.15	1.44	-0.46
10.	Feb 29, 2020	-13.77%	-8.41%	230.66	89.29	143.51
11.	Mar 31, 2020	10.36%	-12.51%	79.84	183.61	-121.08
12.	Apr 30, 2020	2.06%	12.68%	0.41	135.63	7.42
13.	May 31, 2020	12.49%	4.53%	122.56	12.18	38.64
14.	Jun 30, 2020	2.50%	1.84%	1.16	0.64	0.86
15.	Jul 31, 2020	17.52%	5.51%	259.15	20.00	71.99
16.	Aug 31, 2020	4.37%	7.01%	8.71	35.62	17.62
17.	Sep 30, 2020	-3.49%	-3.92%	24.08	24.61	24.35
18.	Oct 31, 2020	-6.23%	-2.77%	58.58	14.48	29.12
19.	Nov 30, 2020	16.52%	10.75%	227.96	94.41	146.70
20.	Dec 31, 2020	15.11%	3.71%	187.49	7.15	36.61
21.	Jan 31, 2021	-3.53%	-1.11%	24.53	4.63	10.66
22.	Feb 28, 2021	-7.98%	2.61%	88.30	2.47	-14.76
23.	Mar 31, 2021	-4.21%	4.24%	31.66	10.28	-18.04
24.	Apr 30, 2021	-0.75%	5.24%	4.70	17.68	-9.11
25.	May 31, 2021	5.80%	0.55%	19.23	0.24	-2.15
26.	Jun 30, 2021	-4.60%	2.22%	36.27	1.40	-7.12
27.	Jul 31, 2021	-2.03%	2.27%	11.93	1.53	-4.27
28.	Aug 31, 2021	-7.03%	2.90%	71.48	3.46	-15.73
29.	Sep 30, 2021	-4.43%	-4.76%	34.28	33.58	33.93
30.	Oct 31, 2021	17.48%	6.91%	257.90	34.53	94.37
31.	Nov 30, 2021	-8.35%	-0.83%	95.52	3.50	18.29
32.	Dec 31, 2021	7.14%	4.36%	32.69	11.04	19.00
33.	Jan 31, 2022	-8.09%	-5.26%	90.46	39.65	59.89
34.	Feb 28, 2022	-0.82%	-3.14%	5.02	17.43	9.35
35.	Mar 31, 2022	-5.10%	3.58%	42.49	6.45	-16.55
36.	Apr 30, 2022	-22.26%	-8.80%	560.97	96.71	232.91
37.	May 31, 2022	4.20%	0.01%	7.73	1.07	-2.87
38.	Jun 30, 2022	-1.61%	-8.39%	9.16	88.93	28.54
39.	Jul 31, 2022	8.32%	9.11%	47.67	65.18	55.74
40.	Aug 31, 2022	-7.66%	-4.24%	82.48	27.90	47.97
41.	Sep 30, 2022	-11.06%	-9.34%	155.85	107.70	129.56
42.	Oct 31, 2022	8.70%	7.99%	52.96	48.28	50.56
43.	Nov 30, 2022	-10.80%	5.38%	149.20	18.81	-52.98
44.	Dec 31, 2022	-1.48%	-5.90%	8.39	48.10	20.08
45.	Jan 31, 2023	8.74%	6.18%	53.57	26.39	37.60
46.	Feb 28, 2023	-3.25%	-2.61%	21.81	13.32	17.04
47.	Mar 31, 2023	8.90%	3.51%	55.95	6.09	18.45
48.	Apr 30, 2023	4.18%	1.46%	7.63	0.18	1.18
49.	May 31, 2023	10.81%	0.25%	88.24	0.62	-7.42
50.	Jun 30, 2023	6.85%	4.71%	29.45	13.51	19.95
51.	Jul 31, 2023	3.93%	4.85%	6.29	14.50	9.55
52.	Aug 31, 2023	-7.02%	-1.77%	71.27	7.90	23.72
53.	Sep 30, 2023	-1.27%	-4.87%	7.25	34.93	15.91
54.	Oct 31, 2023	-4.73%	-2.20%	37.82	10.47	19.90
55.	Nov 30, 2023	18.28%	8.92%	284.28	62.09	132.85
56.	Dec 31, 2023	1.74%	4.42%	0.10	11.46	1.08
57.	Jan 31, 2024	2.47%	1.59%	1.11	0.30	0.58
58.	Feb 29, 2024	-10.91%	5.17%	152.12	17.09	-50.98
59.	Mar 31, 2024	1.06%	3.10%	0.13	4.26	-0.74
60.	Apr 30, 2024	-3.83%	-4.16%	27.51	27.04	27.27
61.	May 31, 2024	12.29%	4.80%	118.14	14.17	40.91
62.	Jun 30, 2024	-3.04%	3.47%	19.86	5.90	-10.82
63.	Jul 31, 2024	-3.19%	1.13%	21.25	0.01	-0.43
64.	Aug 31, 2024	7.43%	2.28%	36.09	1.55	7.48
65.	Sep 30, 2024	-4.95%	2.02%	40.54	0.96	-6.25
66.	Oct 31, 2024	5.21%	-0.99%	14.37	4.11	-7.69
67.	Nov 30, 2024	16.49%	5.73%	226.97	22.01	70.68
68.	Dec 31, 2024	-2.28%	-2.50%	13.71	12.51	13.10
69.	Jan 31, 2025	0.78%	2.70%	0.41	2.77	-1.07
70.	Feb 28, 2025	14.27%	-1.42%	165.09	6.06	-31.64
71.	Mar 31, 2025	-2.23%	-5.75%	13.33	46.14	24.80
Total (Σ):				4,907.20	1,786.78	1,341.85

Show all

Variance_TTWO = Σ(R_TTWO,t–R_TTWO)² ÷ (71 – 1)
= 4,907.20 ÷ (71 – 1)
= 70.10

Variance_{S&P 500} = Σ(R_{S&P 500,t}–R_{S&P 500})² ÷ (71 – 1)
= 1,786.78 ÷ (71 – 1)
= 25.53

Covariance_{TTWO, S&P 500} = Σ(R_TTWO,t–R_TTWO)×(R_{S&P 500,t}–R_{S&P 500}) ÷ (71 – 1)
= 1,341.85 ÷ (71 – 1)
= 19.17

Systematic Risk (β) Estimation

Variance_TTWO	70.10
Variance_{S&P 500}	25.53
Covariance_{TTWO, S&P 500}	19.17
Correlation coefficient_{TTWO, S&P 500}¹	0.45
β_TTWO²	0.75
α_TTWO³	0.64%

Calculations

¹ Correlation coefficient_{TTWO, S&P 500}
= Covariance_{TTWO, S&P 500} ÷ (Standard deviation_TTWO × Standard deviation_{S&P 500})
= 19.17 ÷ (8.37% × 5.05%)
= 0.45

² β_TTWO
= Covariance_{TTWO, S&P 500} ÷ Variance_{S&P 500}
= 19.17 ÷ 25.53
= 0.75

³ α_TTWO
= Average_TTWO – β_TTWO × Average_{S&P 500}
= 1.42% – 0.75 × 1.04%
= 0.64%

Expected Rate of Return

Assumptions
Rate of return on LT Treasury Composite¹	R_F	4.83%
Expected rate of return on market portfolio²	E(R_M)	14.65%
Systematic risk (β) of Take-Two Interactive Software Inc. common stock	β_TTWO	0.75

Expected rate of return on Take-Two Interactive Software Inc. common stock³	E(R_TTWO)	12.20%

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(R_TTWO) = R_F + β_TTWO [E(R_M) – R_F]
= 4.83% + 0.75 [14.65% – 4.83%]
= 12.20%