Stock Analysis on Net

AstraZeneca PLC (NYSE:AZN)

This company has been moved to the archive! The financial data has not been updated since March 10, 2015.

Capital Asset Pricing Model (CAPM)

Microsoft Excel

Rates of Return

AstraZeneca PLC, monthly rates of return

Microsoft Excel
AstraZeneca PLC (AZN) Standard & Poor’s 500 (S&P 500)
t Date PriceAZN,t1 DividendAZN,t1 RAZN,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2010 $46.49 1,073.87
1. Feb 28, 2010 $44.12 $1.71 -1.42% 1,104.49 2.85%
2. Mar 31, 2010 $44.72 1.36% 1,169.43 5.88%
3. Apr 30, 2010 $44.23 -1.10% 1,186.69 1.48%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2014 $74.17 1.69% 2,067.56 2.45%
59. Dec 31, 2014 $70.38 -5.11% 2,058.90 -0.42%
Average (R): 1.32% 1.18%
Standard deviation: 5.77% 3.73%
AstraZeneca PLC (AZN) Standard & Poor’s 500 (S&P 500)
t Date PriceAZN,t1 DividendAZN,t1 RAZN,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2010 $46.49 1,073.87
1. Feb 28, 2010 $44.12 $1.71 -1.42% 1,104.49 2.85%
2. Mar 31, 2010 $44.72 1.36% 1,169.43 5.88%
3. Apr 30, 2010 $44.23 -1.10% 1,186.69 1.48%
4. May 31, 2010 $42.25 -4.48% 1,089.41 -8.20%
5. Jun 30, 2010 $47.13 11.55% 1,030.71 -5.39%
6. Jul 31, 2010 $50.44 7.02% 1,101.60 6.88%
7. Aug 31, 2010 $49.43 $0.70 -0.61% 1,049.33 -4.74%
8. Sep 30, 2010 $50.70 2.57% 1,141.20 8.76%
9. Oct 31, 2010 $50.46 -0.47% 1,183.26 3.69%
10. Nov 30, 2010 $46.93 -7.00% 1,180.55 -0.23%
11. Dec 31, 2010 $46.19 -1.58% 1,257.64 6.53%
12. Jan 31, 2011 $48.90 5.87% 1,286.12 2.26%
13. Feb 28, 2011 $49.17 $1.85 4.34% 1,327.22 3.20%
14. Mar 31, 2011 $46.12 -6.20% 1,325.83 -0.10%
15. Apr 30, 2011 $49.83 8.04% 1,363.61 2.85%
16. May 31, 2011 $52.40 5.16% 1,345.20 -1.35%
17. Jun 30, 2011 $50.07 -4.45% 1,320.64 -1.83%
18. Jul 31, 2011 $48.51 -3.12% 1,292.28 -2.15%
19. Aug 31, 2011 $47.42 $0.85 -0.49% 1,218.89 -5.68%
20. Sep 30, 2011 $44.36 -6.45% 1,131.42 -7.18%
21. Oct 31, 2011 $47.91 8.00% 1,253.30 10.77%
22. Nov 30, 2011 $45.98 -4.03% 1,246.96 -0.51%
23. Dec 31, 2011 $46.29 0.67% 1,257.60 0.85%
24. Jan 31, 2012 $48.15 4.02% 1,312.41 4.36%
25. Feb 29, 2012 $44.89 $1.95 -2.72% 1,365.68 4.06%
26. Mar 31, 2012 $44.49 -0.89% 1,408.47 3.13%
27. Apr 30, 2012 $43.90 -1.33% 1,397.91 -0.75%
28. May 31, 2012 $40.41 -7.95% 1,310.33 -6.27%
29. Jun 30, 2012 $44.75 10.74% 1,362.16 3.96%
30. Jul 31, 2012 $46.81 4.60% 1,379.32 1.26%
31. Aug 31, 2012 $46.79 $0.90 1.88% 1,406.58 1.98%
32. Sep 30, 2012 $47.86 2.29% 1,440.67 2.42%
33. Oct 31, 2012 $46.40 -3.05% 1,412.16 -1.98%
34. Nov 30, 2012 $47.54 2.46% 1,416.18 0.28%
35. Dec 31, 2012 $47.27 -0.57% 1,426.19 0.71%
36. Jan 31, 2013 $48.18 1.93% 1,498.11 5.04%
37. Feb 28, 2013 $45.44 $1.90 -1.74% 1,514.68 1.11%
38. Mar 31, 2013 $49.98 9.99% 1,569.19 3.60%
39. Apr 30, 2013 $51.92 3.88% 1,597.57 1.81%
40. May 31, 2013 $51.25 -1.29% 1,630.74 2.08%
41. Jun 30, 2013 $47.30 -7.71% 1,606.28 -1.50%
42. Jul 31, 2013 $50.72 7.23% 1,685.73 4.95%
43. Aug 31, 2013 $49.21 $0.90 -1.20% 1,632.97 -3.13%
44. Sep 30, 2013 $51.93 5.53% 1,681.55 2.97%
45. Oct 31, 2013 $52.86 1.79% 1,756.54 4.46%
46. Nov 30, 2013 $57.19 8.19% 1,805.81 2.80%
47. Dec 31, 2013 $59.37 3.81% 1,848.36 2.36%
48. Jan 31, 2014 $63.50 6.96% 1,782.59 -3.56%
49. Feb 28, 2014 $67.76 $1.90 9.70% 1,859.45 4.31%
50. Mar 31, 2014 $64.88 -4.25% 1,872.34 0.69%
51. Apr 30, 2014 $79.05 21.84% 1,883.95 0.62%
52. May 31, 2014 $72.20 -8.67% 1,923.57 2.10%
53. Jun 30, 2014 $74.31 2.92% 1,960.23 1.91%
54. Jul 31, 2014 $72.79 -2.05% 1,930.67 -1.51%
55. Aug 31, 2014 $76.01 $0.90 5.66% 2,003.37 3.77%
56. Sep 30, 2014 $71.44 -6.01% 1,972.29 -1.55%
57. Oct 31, 2014 $72.94 2.10% 2,018.05 2.32%
58. Nov 30, 2014 $74.17 1.69% 2,067.56 2.45%
59. Dec 31, 2014 $70.38 -5.11% 2,058.90 -0.42%
Average (R): 1.32% 1.18%
Standard deviation: 5.77% 3.73%

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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 AZN during period t

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


Variance and Covariance

AstraZeneca PLC, calculation of variance and covariance of returns

Microsoft Excel
t Date RAZN,t RS&P 500,t (RAZN,tRAZN)2 (RS&P 500,tRS&P 500)2 (RAZN,tRAZN)×(RS&P 500,tRS&P 500)
1. Feb 28, 2010 -1.42% 2.85% 7.50 2.80 -4.58
2. Mar 31, 2010 1.36% 5.88% 0.00 22.11 0.19
3. Apr 30, 2010 -1.10% 1.48% 5.83 0.09 -0.72
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2014 1.69% 2.45% 0.13 1.63 0.47
59. Dec 31, 2014 -5.11% -0.42% 41.34 2.55 10.27
Total (Σ): 1,927.83 809.11 478.66
t Date RAZN,t RS&P 500,t (RAZN,tRAZN)2 (RS&P 500,tRS&P 500)2 (RAZN,tRAZN)×(RS&P 500,tRS&P 500)
1. Feb 28, 2010 -1.42% 2.85% 7.50 2.80 -4.58
2. Mar 31, 2010 1.36% 5.88% 0.00 22.11 0.19
3. Apr 30, 2010 -1.10% 1.48% 5.83 0.09 -0.72
4. May 31, 2010 -4.48% -8.20% 33.60 87.90 54.34
5. Jun 30, 2010 11.55% -5.39% 104.67 43.11 -67.17
6. Jul 31, 2010 7.02% 6.88% 32.53 32.49 32.51
7. Aug 31, 2010 -0.61% -4.74% 3.74 35.08 11.46
8. Sep 30, 2010 2.57% 8.76% 1.56 57.42 9.47
9. Oct 31, 2010 -0.47% 3.69% 3.21 6.29 -4.50
10. Nov 30, 2010 -7.00% -0.23% 69.14 1.98 11.70
11. Dec 31, 2010 -1.58% 6.53% 8.39 28.65 -15.50
12. Jan 31, 2011 5.87% 2.26% 20.68 1.18 4.94
13. Feb 28, 2011 4.34% 3.20% 9.09 4.07 6.09
14. Mar 31, 2011 -6.20% -0.10% 56.59 1.64 9.65
15. Apr 30, 2011 8.04% 2.85% 45.22 2.79 11.24
16. May 31, 2011 5.16% -1.35% 14.73 6.39 -9.70
17. Jun 30, 2011 -4.45% -1.83% 33.25 9.02 17.32
18. Jul 31, 2011 -3.12% -2.15% 19.67 11.06 14.75
19. Aug 31, 2011 -0.49% -5.68% 3.29 47.02 12.44
20. Sep 30, 2011 -6.45% -7.18% 60.41 69.79 64.93
21. Oct 31, 2011 8.00% 10.77% 44.66 92.06 64.12
22. Nov 30, 2011 -4.03% -0.51% 28.60 2.83 9.00
23. Dec 31, 2011 0.67% 0.85% 0.42 0.11 0.21
24. Jan 31, 2012 4.02% 4.36% 7.28 10.12 8.58
25. Feb 29, 2012 -2.72% 4.06% 16.32 8.30 -11.64
26. Mar 31, 2012 -0.89% 3.13% 4.89 3.82 -4.32
27. Apr 30, 2012 -1.33% -0.75% 7.00 3.72 5.10
28. May 31, 2012 -7.95% -6.27% 85.92 55.40 68.99
29. Jun 30, 2012 10.74% 3.96% 88.74 7.72 26.17
30. Jul 31, 2012 4.60% 1.26% 10.78 0.01 0.27
31. Aug 31, 2012 1.88% 1.98% 0.31 0.64 0.45
32. Sep 30, 2012 2.29% 2.42% 0.94 1.55 1.21
33. Oct 31, 2012 -3.05% -1.98% 19.10 9.96 13.80
34. Nov 30, 2012 2.46% 0.28% 1.29 0.80 -1.02
35. Dec 31, 2012 -0.57% 0.71% 3.56 0.22 0.89
36. Jan 31, 2013 1.93% 5.04% 0.37 14.94 2.34
37. Feb 28, 2013 -1.74% 1.11% 9.38 0.01 0.22
38. Mar 31, 2013 9.99% 3.60% 75.20 5.86 20.99
39. Apr 30, 2013 3.88% 1.81% 6.56 0.40 1.62
40. May 31, 2013 -1.29% 2.08% 6.81 0.81 -2.35
41. Jun 30, 2013 -7.71% -1.50% 81.49 7.17 24.17
42. Jul 31, 2013 7.23% 4.95% 34.94 14.20 22.27
43. Aug 31, 2013 -1.20% -3.13% 6.36 18.55 10.86
44. Sep 30, 2013 5.53% 2.97% 17.70 3.23 7.56
45. Oct 31, 2013 1.79% 4.46% 0.22 10.77 1.55
46. Nov 30, 2013 8.19% 2.80% 47.22 2.65 11.18
47. Dec 31, 2013 3.81% 2.36% 6.21 1.39 2.94
48. Jan 31, 2014 6.96% -3.56% 31.77 22.43 -26.70
49. Feb 28, 2014 9.70% 4.31% 70.24 9.82 26.27
50. Mar 31, 2014 -4.25% 0.69% 31.02 0.23 2.70
51. Apr 30, 2014 21.84% 0.62% 421.10 0.31 -11.44
52. May 31, 2014 -8.67% 2.10% 99.70 0.86 -9.24
53. Jun 30, 2014 2.92% 1.91% 2.57 0.53 1.17
54. Jul 31, 2014 -2.05% -1.51% 11.32 7.21 9.04
55. Aug 31, 2014 5.66% 3.77% 18.84 6.70 11.23
56. Sep 30, 2014 -6.01% -1.55% 53.76 7.45 20.01
57. Oct 31, 2014 2.10% 2.32% 0.61 1.31 0.89
58. Nov 30, 2014 1.69% 2.45% 0.13 1.63 0.47
59. Dec 31, 2014 -5.11% -0.42% 41.34 2.55 10.27
Total (Σ): 1,927.83 809.11 478.66

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VarianceAZN = Σ(RAZN,tRAZN)2 ÷ (59 – 1)
= 1,927.83 ÷ (59 – 1)
= 33.24

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 809.11 ÷ (59 – 1)
= 13.95

CovarianceAZN, S&P 500 = Σ(RAZN,tRAZN)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 478.66 ÷ (59 – 1)
= 8.25


Systematic Risk (β) Estimation

Microsoft Excel
VarianceAZN 33.24
VarianceS&P 500 13.95
CovarianceAZN, S&P 500 8.25
Correlation coefficientAZN, S&P 5001 0.38
βAZN2 0.59
αAZN3 0.62%

Calculations

1 Correlation coefficientAZN, S&P 500
= CovarianceAZN, S&P 500 ÷ (Standard deviationAZN × Standard deviationS&P 500)
= 8.25 ÷ (5.77% × 3.73%)
= 0.38

2 βAZN
= CovarianceAZN, S&P 500 ÷ VarianceS&P 500
= 8.25 ÷ 13.95
= 0.59

3 αAZN
= AverageAZN – βAZN × AverageS&P 500
= 1.32%0.59 × 1.18%
= 0.62%


Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF 4.43%
Expected rate of return on market portfolio2 E(RM) 13.60%
Systematic risk (β) of AstraZeneca PLC common stock βAZN 0.59
 
Expected rate of return on AstraZeneca PLC common stock3 E(RAZN) 9.86%

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(RAZN) = RF + βAZN [E(RM) – RF]
= 4.43% + 0.59 [13.60%4.43%]
= 9.86%