Stock Analysis on Net
Stock Analysis on Net

AutoZone Inc. (NYSE:AZO)

This company has been moved to the archive! The financial data has not been updated since December 18, 2023.

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 AutoZone Inc. common stock.

Rates of Return

AutoZone Inc., monthly rates of return

Microsoft Excel
AutoZone Inc. (AZO) Standard & Poor’s 500 (S&P 500)
t Date PriceAZO,t1 DividendAZO,t1 RAZO,t2 PriceS&P 500,t RS&P 500,t3
Sep 30, 2017 $595.11 2,519.36
1. Oct 31, 2017 $589.50 -0.94% 2,575.26 2.22%
2. Nov 30, 2017 $686.76 16.50% 2,647.58 2.81%
3. Dec 31, 2017 $711.37 3.58% 2,673.61 0.98%
. . . . . . .
. . . . . . .
. . . . . . .
70. Jul 31, 2023 $2,481.72 -0.47% 4,588.96 4.85%
71. Aug 31, 2023 $2,531.33 2.00% 4,507.66 -1.77%
Average (R): 2.31% 0.95%
Standard deviation: 7.25% 5.08%
AutoZone Inc. (AZO) Standard & Poor’s 500 (S&P 500)
t Date PriceAZO,t1 DividendAZO,t1 RAZO,t2 PriceS&P 500,t RS&P 500,t3
Sep 30, 2017 $595.11 2,519.36
1. Oct 31, 2017 $589.50 -0.94% 2,575.26 2.22%
2. Nov 30, 2017 $686.76 16.50% 2,647.58 2.81%
3. Dec 31, 2017 $711.37 3.58% 2,673.61 0.98%
4. Jan 31, 2018 $765.44 7.60% 2,823.81 5.62%
5. Feb 28, 2018 $664.72 -13.16% 2,713.83 -3.89%
6. Mar 31, 2018 $648.69 -2.41% 2,640.87 -2.69%
7. Apr 30, 2018 $624.52 -3.73% 2,648.05 0.27%
8. May 31, 2018 $649.32 3.97% 2,705.27 2.16%
9. Jun 30, 2018 $670.93 3.33% 2,718.37 0.48%
10. Jul 31, 2018 $705.53 5.16% 2,816.29 3.60%
11. Aug 31, 2018 $766.88 8.70% 2,901.52 3.03%
12. Sep 30, 2018 $775.70 1.15% 2,913.98 0.43%
13. Oct 31, 2018 $733.47 -5.44% 2,711.74 -6.94%
14. Nov 30, 2018 $809.07 10.31% 2,760.17 1.79%
15. Dec 31, 2018 $838.34 3.62% 2,506.85 -9.18%
16. Jan 31, 2019 $847.34 1.07% 2,704.10 7.87%
17. Feb 28, 2019 $938.97 10.81% 2,784.49 2.97%
18. Mar 31, 2019 $1,024.12 9.07% 2,834.40 1.79%
19. Apr 30, 2019 $1,028.31 0.41% 2,945.83 3.93%
20. May 31, 2019 $1,027.11 -0.12% 2,752.06 -6.58%
21. Jun 30, 2019 $1,099.47 7.05% 2,941.76 6.89%
22. Jul 31, 2019 $1,123.04 2.14% 2,980.38 1.31%
23. Aug 31, 2019 $1,101.69 -1.90% 2,926.46 -1.81%
24. Sep 30, 2019 $1,084.62 -1.55% 2,976.74 1.72%
25. Oct 31, 2019 $1,144.38 5.51% 3,037.56 2.04%
26. Nov 30, 2019 $1,177.92 2.93% 3,140.98 3.40%
27. Dec 31, 2019 $1,191.31 1.14% 3,230.78 2.86%
28. Jan 31, 2020 $1,057.96 -11.19% 3,225.52 -0.16%
29. Feb 29, 2020 $1,032.51 -2.41% 2,954.22 -8.41%
30. Mar 31, 2020 $846.00 -18.06% 2,584.59 -12.51%
31. Apr 30, 2020 $1,020.32 20.61% 2,912.43 12.68%
32. May 31, 2020 $1,147.86 12.50% 3,044.31 4.53%
33. Jun 30, 2020 $1,128.12 -1.72% 3,100.29 1.84%
34. Jul 31, 2020 $1,207.42 7.03% 3,271.12 5.51%
35. Aug 31, 2020 $1,196.31 -0.92% 3,500.31 7.01%
36. Sep 30, 2020 $1,177.64 -1.56% 3,363.00 -3.92%
37. Oct 31, 2020 $1,128.98 -4.13% 3,269.96 -2.77%
38. Nov 30, 2020 $1,137.65 0.77% 3,621.63 10.75%
39. Dec 31, 2020 $1,185.44 4.20% 3,756.07 3.71%
40. Jan 31, 2021 $1,118.37 -5.66% 3,714.24 -1.11%
41. Feb 28, 2021 $1,159.92 3.72% 3,811.15 2.61%
42. Mar 31, 2021 $1,404.30 21.07% 3,972.89 4.24%
43. Apr 30, 2021 $1,464.12 4.26% 4,181.17 5.24%
44. May 31, 2021 $1,406.60 -3.93% 4,204.11 0.55%
45. Jun 30, 2021 $1,492.22 6.09% 4,297.50 2.22%
46. Jul 31, 2021 $1,623.57 8.80% 4,395.26 2.27%
47. Aug 31, 2021 $1,549.15 -4.58% 4,522.68 2.90%
48. Sep 30, 2021 $1,697.99 9.61% 4,307.54 -4.76%
49. Oct 31, 2021 $1,784.84 5.11% 4,605.38 6.91%
50. Nov 30, 2021 $1,817.07 1.81% 4,567.00 -0.83%
51. Dec 31, 2021 $2,096.39 15.37% 4,766.18 4.36%
52. Jan 31, 2022 $1,986.35 -5.25% 4,515.55 -5.26%
53. Feb 28, 2022 $1,863.39 -6.19% 4,373.94 -3.14%
54. Mar 31, 2022 $2,044.58 9.72% 4,530.41 3.58%
55. Apr 30, 2022 $1,955.47 -4.36% 4,131.93 -8.80%
56. May 31, 2022 $2,059.65 5.33% 4,132.15 0.01%
57. Jun 30, 2022 $2,149.12 4.34% 3,785.38 -8.39%
58. Jul 31, 2022 $2,137.39 -0.55% 4,130.29 9.11%
59. Aug 31, 2022 $2,119.21 -0.85% 3,955.00 -4.24%
60. Sep 30, 2022 $2,141.93 1.07% 3,585.62 -9.34%
61. Oct 31, 2022 $2,532.88 18.25% 3,871.98 7.99%
62. Nov 30, 2022 $2,579.00 1.82% 4,080.11 5.38%
63. Dec 31, 2022 $2,466.18 -4.37% 3,839.50 -5.90%
64. Jan 31, 2023 $2,438.85 -1.11% 4,076.60 6.18%
65. Feb 28, 2023 $2,486.54 1.96% 3,970.15 -2.61%
66. Mar 31, 2023 $2,458.15 -1.14% 4,109.31 3.51%
67. Apr 30, 2023 $2,663.31 8.35% 4,169.48 1.46%
68. May 31, 2023 $2,386.84 -10.38% 4,179.83 0.25%
69. Jun 30, 2023 $2,493.36 4.46% 4,376.86 4.71%
70. Jul 31, 2023 $2,481.72 -0.47% 4,588.96 4.85%
71. Aug 31, 2023 $2,531.33 2.00% 4,507.66 -1.77%
Average (R): 2.31% 0.95%
Standard deviation: 7.25% 5.08%

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 AZO during period t

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

Variance and Covariance

AutoZone Inc., calculation of variance and covariance of returns

Microsoft Excel
t Date RAZO,t RS&P 500,t (RAZO,t–RAZO)2 (RS&P 500,t–RS&P 500)2 (RAZO,t–RAZO)×(RS&P 500,t–RS&P 500)
1. Oct 31, 2017 -0.94% 2.22% 10.60 1.61 -4.13
2. Nov 30, 2017 16.50% 2.81% 201.24 3.45 26.35
3. Dec 31, 2017 3.58% 0.98% 1.61 0.00 0.04
. . . . . . .
. . . . . . .
. . . . . . .
70. Jul 31, 2023 -0.47% 4.85% 7.73 15.17 -10.83
71. Aug 31, 2023 2.00% -1.77% 0.10 7.41 0.85
Total (Σ): 3,675.51 1,807.09 1,305.66
t Date RAZO,t RS&P 500,t (RAZO,t–RAZO)2 (RS&P 500,t–RS&P 500)2 (RAZO,t–RAZO)×(RS&P 500,t–RS&P 500)
1. Oct 31, 2017 -0.94% 2.22% 10.60 1.61 -4.13
2. Nov 30, 2017 16.50% 2.81% 201.24 3.45 26.35
3. Dec 31, 2017 3.58% 0.98% 1.61 0.00 0.04
4. Jan 31, 2018 7.60% 5.62% 27.96 21.78 24.68
5. Feb 28, 2018 -13.16% -3.89% 239.36 23.48 74.97
6. Mar 31, 2018 -2.41% -2.69% 22.32 13.25 17.19
7. Apr 30, 2018 -3.73% 0.27% 36.47 0.46 4.10
8. May 31, 2018 3.97% 2.16% 2.75 1.46 2.01
9. Jun 30, 2018 3.33% 0.48% 1.03 0.22 -0.47
10. Jul 31, 2018 5.16% 3.60% 8.09 7.03 7.54
11. Aug 31, 2018 8.70% 3.03% 40.74 4.31 13.25
12. Sep 30, 2018 1.15% 0.43% 1.35 0.27 0.61
13. Oct 31, 2018 -5.44% -6.94% 60.17 62.28 61.21
14. Nov 30, 2018 10.31% 1.79% 63.91 0.70 6.67
15. Dec 31, 2018 3.62% -9.18% 1.70 102.59 -13.22
16. Jan 31, 2019 1.07% 7.87% 1.54 47.85 -8.57
17. Feb 28, 2019 10.81% 2.97% 72.27 4.09 17.19
18. Mar 31, 2019 9.07% 1.79% 45.64 0.71 5.68
19. Apr 30, 2019 0.41% 3.93% 3.62 8.88 -5.67
20. May 31, 2019 -0.12% -6.58% 5.90 56.68 18.29
21. Jun 30, 2019 7.05% 6.89% 22.39 35.31 28.12
22. Jul 31, 2019 2.14% 1.31% 0.03 0.13 -0.06
23. Aug 31, 2019 -1.90% -1.81% 17.76 7.62 11.63
24. Sep 30, 2019 -1.55% 1.72% 14.92 0.59 -2.96
25. Oct 31, 2019 5.51% 2.04% 10.22 1.19 3.49
26. Nov 30, 2019 2.93% 3.40% 0.38 6.02 1.52
27. Dec 31, 2019 1.14% 2.86% 1.38 3.64 -2.24
28. Jan 31, 2020 -11.19% -0.16% 182.42 1.24 15.05
29. Feb 29, 2020 -2.41% -8.41% 22.26 87.65 44.17
30. Mar 31, 2020 -18.06% -12.51% 415.20 181.25 274.33
31. Apr 30, 2020 20.61% 12.68% 334.62 137.67 214.63
32. May 31, 2020 12.50% 4.53% 103.78 12.80 36.44
33. Jun 30, 2020 -1.72% 1.84% 16.26 0.79 -3.58
34. Jul 31, 2020 7.03% 5.51% 22.25 20.78 21.50
35. Aug 31, 2020 -0.92% 7.01% 10.45 36.67 -19.58
36. Sep 30, 2020 -1.56% -3.92% 15.00 23.76 18.88
37. Oct 31, 2020 -4.13% -2.77% 41.53 13.82 23.96
38. Nov 30, 2020 0.77% 10.75% 2.39 96.11 -15.14
39. Dec 31, 2020 4.20% 3.71% 3.56 7.62 5.21
40. Jan 31, 2021 -5.66% -1.11% 63.53 4.26 16.46
41. Feb 28, 2021 3.72% 2.61% 1.97 2.75 2.33
42. Mar 31, 2021 21.07% 4.24% 351.79 10.84 61.76
43. Apr 30, 2021 4.26% 5.24% 3.79 18.42 8.36
44. May 31, 2021 -3.93% 0.55% 38.95 0.16 2.51
45. Jun 30, 2021 6.09% 2.22% 14.25 1.61 4.79
46. Jul 31, 2021 8.80% 2.27% 42.12 1.75 8.59
47. Aug 31, 2021 -4.58% 2.90% 47.56 3.79 -13.43
48. Sep 30, 2021 9.61% -4.76% 53.22 32.58 -41.64
49. Oct 31, 2021 5.11% 6.91% 7.85 35.56 16.71
50. Nov 30, 2021 1.81% -0.83% 0.26 3.18 0.90
51. Dec 31, 2021 15.37% 4.36% 170.55 11.63 44.53
52. Jan 31, 2022 -5.25% -5.26% 57.18 38.56 46.96
53. Feb 28, 2022 -6.19% -3.14% 72.30 16.71 34.75
54. Mar 31, 2022 9.72% 3.58% 54.92 6.90 19.46
55. Apr 30, 2022 -4.36% -8.80% 44.50 95.00 65.02
56. May 31, 2022 5.33% 0.01% 9.09 0.89 -2.85
57. Jun 30, 2022 4.34% -8.39% 4.13 87.29 -18.98
58. Jul 31, 2022 -0.55% 9.11% 8.17 66.59 -23.33
59. Aug 31, 2022 -0.85% -4.24% 10.01 26.99 16.43
60. Sep 30, 2022 1.07% -9.34% 1.54 105.90 12.77
61. Oct 31, 2022 18.25% 7.99% 254.07 49.49 112.14
62. Nov 30, 2022 1.82% 5.38% 0.24 19.57 -2.18
63. Dec 31, 2022 -4.37% -5.90% 44.72 46.90 45.80
64. Jan 31, 2023 -1.11% 6.18% 11.70 27.29 -17.87
65. Feb 28, 2023 1.96% -2.61% 0.13 12.69 1.27
66. Mar 31, 2023 -1.14% 3.51% 11.93 6.52 -8.82
67. Apr 30, 2023 8.35% 1.46% 36.40 0.26 3.10
68. May 31, 2023 -10.38% 0.25% 161.12 0.49 8.92
69. Jun 30, 2023 4.46% 4.71% 4.62 14.16 8.09
70. Jul 31, 2023 -0.47% 4.85% 7.73 15.17 -10.83
71. Aug 31, 2023 2.00% -1.77% 0.10 7.41 0.85
Total (Σ): 3,675.51 1,807.09 1,305.66

Show all

VarianceAZO = Σ(RAZO,t–RAZO)2 ÷ (71 – 1)
= 3,675.51 ÷ (71 – 1)
= 52.51

VarianceS&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,807.09 ÷ (71 – 1)
= 25.82

CovarianceAZO, S&P 500 = Σ(RAZO,t–RAZO)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,305.66 ÷ (71 – 1)
= 18.65

Systematic Risk (β) Estimation

Microsoft Excel
VarianceAZO 52.51
VarianceS&P 500 25.82
CovarianceAZO, S&P 500 18.65
Correlation coefficientAZO, S&P 5001 0.51
βAZO2 0.72
αAZO3 1.63%

Calculations

1 Correlation coefficientAZO, S&P 500
= CovarianceAZO, S&P 500 ÷ (Standard deviationAZO × Standard deviationS&P 500)
= 18.65 ÷ (7.25% × 5.08%)
= 0.51

2 βAZO
= CovarianceAZO, S&P 500 ÷ VarianceS&P 500
= 18.65 ÷ 25.82
= 0.72

3 αAZO
= AverageAZO – βAZO × AverageS&P 500
= 2.31% – 0.72 × 0.95%
= 1.63%

Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF 4.90%
Expected rate of return on market portfolio2 E(RM) 13.55%
Systematic risk (β) of AutoZone Inc. common stock βAZO 0.72
 
Expected rate of return on AutoZone Inc. common stock3 E(RAZO) 11.15%

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(RAZO) = RF + βAZO [E(RM) – RF]
= 4.90% + 0.72 [13.55% – 4.90%]
= 11.15%