Stock Analysis on Net

DuPont de Nemours Inc. (NYSE:DD)

This company has been moved to the archive! The financial data has not been updated since February 14, 2020.

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 DuPont de Nemours Inc. common stock.


Rates of Return

DuPont de Nemours Inc., monthly rates of return

Microsoft Excel
DuPont de Nemours Inc. (DD) Standard & Poor’s 500 (S&P 500)
t Date PriceDD,t1 DividendDD,t1 RDD,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2015 $45.16 1,994.99
1. Feb 28, 2015 $49.24 9.03% 2,104.50 5.49%
2. Mar 31, 2015 $47.98 $0.42 -1.71% 2,067.89 -1.74%
3. Apr 30, 2015 $51.00 6.29% 2,085.51 0.85%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2019 $64.81 $0.30 -1.21% 3,140.98 3.40%
59. Dec 31, 2019 $64.20 -0.94% 3,230.78 2.86%
Average (R): 2.10% 0.88%
Standard deviation: 20.60% 3.45%
DuPont de Nemours Inc. (DD) Standard & Poor’s 500 (S&P 500)
t Date PriceDD,t1 DividendDD,t1 RDD,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2015 $45.16 1,994.99
1. Feb 28, 2015 $49.24 9.03% 2,104.50 5.49%
2. Mar 31, 2015 $47.98 $0.42 -1.71% 2,067.89 -1.74%
3. Apr 30, 2015 $51.00 6.29% 2,085.51 0.85%
4. May 31, 2015 $52.07 2.10% 2,107.39 1.05%
5. Jun 30, 2015 $51.17 $0.42 -0.92% 2,063.11 -2.10%
6. Jul 31, 2015 $47.06 -8.03% 2,103.84 1.97%
7. Aug 31, 2015 $43.76 -7.01% 1,972.18 -6.26%
8. Sep 30, 2015 $42.40 $0.42 -2.15% 1,920.03 -2.64%
9. Oct 31, 2015 $51.67 21.86% 2,079.36 8.30%
10. Nov 30, 2015 $52.13 0.89% 2,080.41 0.05%
11. Dec 31, 2015 $51.48 $0.46 -0.36% 2,043.94 -1.75%
12. Jan 31, 2016 $42.00 -18.41% 1,940.24 -5.07%
13. Feb 29, 2016 $48.61 15.74% 1,932.23 -0.41%
14. Mar 31, 2016 $50.86 $0.46 5.57% 2,059.74 6.60%
15. Apr 30, 2016 $52.61 3.44% 2,065.30 0.27%
16. May 31, 2016 $51.36 -2.38% 2,096.95 1.53%
17. Jun 30, 2016 $49.71 $0.46 -2.32% 2,098.86 0.09%
18. Jul 31, 2016 $53.67 7.97% 2,173.60 3.56%
19. Aug 31, 2016 $53.64 -0.06% 2,170.95 -0.12%
20. Sep 30, 2016 $51.83 $0.46 -2.52% 2,168.27 -0.12%
21. Oct 31, 2016 $53.81 3.82% 2,126.15 -1.94%
22. Nov 30, 2016 $55.72 3.55% 2,198.81 3.42%
23. Dec 31, 2016 $57.22 $0.46 3.52% 2,238.83 1.82%
24. Jan 31, 2017 $59.63 4.21% 2,278.87 1.79%
25. Feb 28, 2017 $62.26 4.41% 2,363.64 3.72%
26. Mar 31, 2017 $63.54 $0.46 2.79% 2,362.72 -0.04%
27. Apr 30, 2017 $62.80 -1.16% 2,384.20 0.91%
28. May 31, 2017 $61.96 -1.34% 2,411.80 1.16%
29. Jun 30, 2017 $63.07 $0.46 2.53% 2,423.41 0.48%
30. Jul 31, 2017 $64.24 $0.46 2.58% 2,470.30 1.93%
31. Aug 31, 2017 $66.65 3.75% 2,471.65 0.05%
32. Sep 30, 2017 $69.23 3.87% 2,519.36 1.93%
33. Oct 31, 2017 $72.31 4.45% 2,575.26 2.22%
34. Nov 30, 2017 $71.96 $0.38 0.04% 2,647.58 2.81%
35. Dec 31, 2017 $71.22 -1.03% 2,673.61 0.98%
36. Jan 31, 2018 $75.58 6.12% 2,823.81 5.62%
37. Feb 28, 2018 $70.30 $0.38 -6.48% 2,713.83 -3.89%
38. Mar 31, 2018 $63.71 -9.37% 2,640.87 -2.69%
39. Apr 30, 2018 $63.24 -0.74% 2,648.05 0.27%
40. May 31, 2018 $64.11 $0.38 1.98% 2,705.27 2.16%
41. Jun 30, 2018 $65.92 2.82% 2,718.37 0.48%
42. Jul 31, 2018 $68.77 4.32% 2,816.29 3.60%
43. Aug 31, 2018 $70.13 $0.38 2.53% 2,901.52 3.03%
44. Sep 30, 2018 $64.31 -8.30% 2,913.98 0.43%
45. Oct 31, 2018 $53.92 -16.16% 2,711.74 -6.94%
46. Nov 30, 2018 $57.85 $0.38 7.99% 2,760.17 1.79%
47. Dec 31, 2018 $53.48 -7.55% 2,506.85 -9.18%
48. Jan 31, 2019 $53.81 0.62% 2,704.10 7.87%
49. Feb 28, 2019 $53.23 $0.38 -0.37% 2,784.49 2.97%
50. Mar 31, 2019 $53.31 0.15% 2,834.40 1.79%
51. Apr 30, 2019 $38.45 -27.87% 2,945.83 3.93%
52. May 31, 2019 $30.52 -20.62% 2,752.06 -6.58%
53. Jun 30, 2019 $75.07 145.97% 2,941.76 6.89%
54. Jul 31, 2019 $72.16 $0.30 -3.48% 2,980.38 1.31%
55. Aug 31, 2019 $67.93 -5.86% 2,926.46 -1.81%
56. Sep 30, 2019 $71.31 4.98% 2,976.74 1.72%
57. Oct 31, 2019 $65.91 -7.57% 3,037.56 2.04%
58. Nov 30, 2019 $64.81 $0.30 -1.21% 3,140.98 3.40%
59. Dec 31, 2019 $64.20 -0.94% 3,230.78 2.86%
Average (R): 2.10% 0.88%
Standard deviation: 20.60% 3.45%

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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 DD during period t

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


Variance and Covariance

DuPont de Nemours Inc., calculation of variance and covariance of returns

Microsoft Excel
t Date RDD,t RS&P 500,t (RDD,tRDD)2 (RS&P 500,tRS&P 500)2 (RDD,tRDD)×(RS&P 500,tRS&P 500)
1. Feb 28, 2015 9.03% 5.49% 48.07 21.25 31.96
2. Mar 31, 2015 -1.71% -1.74% 14.50 6.86 9.97
3. Apr 30, 2015 6.29% 0.85% 17.58 0.00 -0.11
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2019 -1.21% 3.40% 10.99 6.38 -8.37
59. Dec 31, 2019 -0.94% 2.86% 9.26 3.92 -6.02
Total (Σ): 24,624.11 688.77 1,707.82
t Date RDD,t RS&P 500,t (RDD,tRDD)2 (RS&P 500,tRS&P 500)2 (RDD,tRDD)×(RS&P 500,tRS&P 500)
1. Feb 28, 2015 9.03% 5.49% 48.07 21.25 31.96
2. Mar 31, 2015 -1.71% -1.74% 14.50 6.86 9.97
3. Apr 30, 2015 6.29% 0.85% 17.58 0.00 -0.11
4. May 31, 2015 2.10% 1.05% 0.00 0.03 0.00
5. Jun 30, 2015 -0.92% -2.10% 9.14 8.88 9.01
6. Jul 31, 2015 -8.03% 1.97% 102.69 1.20 -11.10
7. Aug 31, 2015 -7.01% -6.26% 83.06 50.94 65.05
8. Sep 30, 2015 -2.15% -2.64% 18.06 12.41 14.97
9. Oct 31, 2015 21.86% 8.30% 390.53 55.04 146.62
10. Nov 30, 2015 0.89% 0.05% 1.47 0.69 1.00
11. Dec 31, 2015 -0.36% -1.75% 6.08 6.93 6.49
12. Jan 31, 2016 -18.41% -5.07% 420.92 35.43 122.13
13. Feb 29, 2016 15.74% -0.41% 185.96 1.67 -17.62
14. Mar 31, 2016 5.57% 6.60% 12.07 32.72 19.87
15. Apr 30, 2016 3.44% 0.27% 1.79 0.37 -0.82
16. May 31, 2016 -2.38% 1.53% 20.05 0.43 -2.93
17. Jun 30, 2016 -2.32% 0.09% 19.52 0.62 3.48
18. Jul 31, 2016 7.97% 3.56% 34.40 7.19 15.73
19. Aug 31, 2016 -0.06% -0.12% 4.65 1.00 2.16
20. Sep 30, 2016 -2.52% -0.12% 21.33 1.01 4.63
21. Oct 31, 2016 3.82% -1.94% 2.95 7.96 -4.85
22. Nov 30, 2016 3.55% 3.42% 2.10 6.44 3.68
23. Dec 31, 2016 3.52% 1.82% 2.01 0.89 1.33
24. Jan 31, 2017 4.21% 1.79% 4.45 0.83 1.92
25. Feb 28, 2017 4.41% 3.72% 5.33 8.07 6.56
26. Mar 31, 2017 2.79% -0.04% 0.48 0.84 -0.64
27. Apr 30, 2017 -1.16% 0.91% 10.67 0.00 -0.10
28. May 31, 2017 -1.34% 1.16% 11.83 0.08 -0.96
29. Jun 30, 2017 2.53% 0.48% 0.19 0.16 -0.17
30. Jul 31, 2017 2.58% 1.93% 0.23 1.11 0.51
31. Aug 31, 2017 3.75% 0.05% 2.72 0.68 -1.36
32. Sep 30, 2017 3.87% 1.93% 3.13 1.10 1.86
33. Oct 31, 2017 4.45% 2.22% 5.51 1.79 3.15
34. Nov 30, 2017 0.04% 2.81% 4.24 3.72 -3.97
35. Dec 31, 2017 -1.03% 0.98% 9.80 0.01 -0.33
36. Jan 31, 2018 6.12% 5.62% 16.16 22.46 19.05
37. Feb 28, 2018 -6.48% -3.89% 73.69 22.79 40.98
38. Mar 31, 2018 -9.37% -2.69% 131.69 12.73 40.94
39. Apr 30, 2018 -0.74% 0.27% 8.06 0.37 1.72
40. May 31, 2018 1.98% 2.16% 0.02 1.64 -0.16
41. Jun 30, 2018 2.82% 0.48% 0.52 0.16 -0.29
42. Jul 31, 2018 4.32% 3.60% 4.94 7.41 6.05
43. Aug 31, 2018 2.53% 3.03% 0.18 4.61 0.92
44. Sep 30, 2018 -8.30% 0.43% 108.17 0.20 4.68
45. Oct 31, 2018 -16.16% -6.94% 333.34 61.14 142.76
46. Nov 30, 2018 7.99% 1.79% 34.72 0.82 5.34
47. Dec 31, 2018 -7.55% -9.18% 93.23 101.14 97.10
48. Jan 31, 2019 0.62% 7.87% 2.20 48.85 -10.37
49. Feb 28, 2019 -0.37% 2.97% 6.12 4.38 -5.18
50. Mar 31, 2019 0.15% 1.79% 3.81 0.83 -1.78
51. Apr 30, 2019 -27.87% 3.93% 898.56 9.32 -91.49
52. May 31, 2019 -20.62% -6.58% 516.45 55.61 169.46
53. Jun 30, 2019 145.97% 6.89% 20,698.14 36.17 865.21
54. Jul 31, 2019 -3.48% 1.31% 31.12 0.19 -2.42
55. Aug 31, 2019 -5.86% -1.81% 63.41 7.23 21.41
56. Sep 30, 2019 4.98% 1.72% 8.26 0.70 2.41
57. Oct 31, 2019 -7.57% 2.04% 93.59 1.36 -11.26
58. Nov 30, 2019 -1.21% 3.40% 10.99 6.38 -8.37
59. Dec 31, 2019 -0.94% 2.86% 9.26 3.92 -6.02
Total (Σ): 24,624.11 688.77 1,707.82

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VarianceDD = Σ(RDD,tRDD)2 ÷ (59 – 1)
= 24,624.11 ÷ (59 – 1)
= 424.55

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 688.77 ÷ (59 – 1)
= 11.88

CovarianceDD, S&P 500 = Σ(RDD,tRDD)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,707.82 ÷ (59 – 1)
= 29.45


Systematic Risk (β) Estimation

Microsoft Excel
VarianceDD 424.55
VarianceS&P 500 11.88
CovarianceDD, S&P 500 29.45
Correlation coefficientDD, S&P 5001 0.41
βDD2 2.48
αDD3 -0.08%

Calculations

1 Correlation coefficientDD, S&P 500
= CovarianceDD, S&P 500 ÷ (Standard deviationDD × Standard deviationS&P 500)
= 29.45 ÷ (20.60% × 3.45%)
= 0.41

2 βDD
= CovarianceDD, S&P 500 ÷ VarianceS&P 500
= 29.45 ÷ 11.88
= 2.48

3 αDD
= AverageDD – βDD × AverageS&P 500
= 2.10%2.48 × 0.88%
= -0.08%


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 DuPont de Nemours Inc. common stock βDD 2.48
 
Expected rate of return on DuPont de Nemours Inc. common stock3 E(RDD) 27.18%

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(RDD) = RF + βDD [E(RM) – RF]
= 4.43% + 2.48 [13.60%4.43%]
= 27.18%