Stock Analysis on Net
Stock Analysis on Net
Microsoft Excel LibreOffice Calc

FedEx Corp. (NYSE:FDX)

Capital Asset Pricing Model (CAPM)

Intermediate level

Capital asset pricing model (CAPM) indicates what should be the expected or required rate of return on risky assets like FedEx Corp.’s common stock.


Rates of Return

FedEx Corp., monthly rates of return

Microsoft Excel LibreOffice Calc
FedEx Corp. (FDX) Standard & Poor’s 500 (S&P 500)
t Date PriceFDX,t1 DividendFDX,t1 RFDX,t2 PriceS&P 500,t RS&P 500,t3
Jun 30, 2014 $151.38 1,960.23
1. Jul 31, 2014 $146.88 -2.97% 1,930.67 -1.51%
2. Aug 31, 2014 $147.88 0.68% 2,003.37 3.77%
3. Sep 30, 2014 $161.45 $0.20 9.31% 1,972.29 -1.55%
. . . . . . .
. . . . . . .
. . . . . . .
70. Apr 30, 2020 $126.77 4.54% 2,912.43 12.68%
71. May 31, 2020 $130.56 2.99% 3,044.31 4.53%
Average (R): 0.15% 0.70%
Standard deviation: 7.25% 4.05%
FedEx Corp. (FDX) Standard & Poor’s 500 (S&P 500)
t Date PriceFDX,t1 DividendFDX,t1 RFDX,t2 PriceS&P 500,t RS&P 500,t3
Jun 30, 2014 $151.38 1,960.23
1. Jul 31, 2014 $146.88 -2.97% 1,930.67 -1.51%
2. Aug 31, 2014 $147.88 0.68% 2,003.37 3.77%
3. Sep 30, 2014 $161.45 $0.20 9.31% 1,972.29 -1.55%
4. Oct 31, 2014 $167.40 3.69% 2,018.05 2.32%
5. Nov 30, 2014 $178.18 6.44% 2,067.56 2.45%
6. Dec 31, 2014 $173.66 $0.20 -2.42% 2,058.90 -0.42%
7. Jan 31, 2015 $169.11 -2.62% 1,994.99 -3.10%
8. Feb 28, 2015 $176.98 4.65% 2,104.50 5.49%
9. Mar 31, 2015 $165.45 $0.20 -6.40% 2,067.89 -1.74%
10. Apr 30, 2015 $169.57 2.49% 2,085.51 0.85%
11. May 31, 2015 $173.22 2.15% 2,107.39 1.05%
12. Jun 30, 2015 $170.40 $0.25 -1.48% 2,063.11 -2.10%
13. Jul 31, 2015 $171.42 0.60% 2,103.84 1.97%
14. Aug 31, 2015 $150.61 -12.14% 1,972.18 -6.26%
15. Sep 30, 2015 $143.98 $0.25 -4.24% 1,920.03 -2.64%
16. Oct 31, 2015 $156.05 8.38% 2,079.36 8.30%
17. Nov 30, 2015 $158.54 1.60% 2,080.41 0.05%
18. Dec 31, 2015 $148.99 $0.25 -5.87% 2,043.94 -1.75%
19. Jan 31, 2016 $132.88 -10.81% 1,940.24 -5.07%
20. Feb 29, 2016 $136.88 3.01% 1,932.23 -0.41%
21. Mar 31, 2016 $162.72 $0.25 19.06% 2,059.74 6.60%
22. Apr 30, 2016 $165.11 1.47% 2,065.30 0.27%
23. May 31, 2016 $164.97 -0.08% 2,096.95 1.53%
24. Jun 30, 2016 $151.78 $0.40 -7.75% 2,098.86 0.09%
25. Jul 31, 2016 $161.90 6.67% 2,173.60 3.56%
26. Aug 31, 2016 $164.93 1.87% 2,170.95 -0.12%
27. Sep 30, 2016 $174.68 $0.40 6.15% 2,168.27 -0.12%
28. Oct 31, 2016 $174.32 -0.21% 2,126.15 -1.94%
29. Nov 30, 2016 $191.67 9.95% 2,198.81 3.42%
30. Dec 31, 2016 $186.20 $0.40 -2.65% 2,238.83 1.82%
31. Jan 31, 2017 $189.11 1.56% 2,278.87 1.79%
32. Feb 28, 2017 $192.98 2.05% 2,363.64 3.72%
33. Mar 31, 2017 $195.15 $0.40 1.33% 2,362.72 -0.04%
34. Apr 30, 2017 $189.70 -2.79% 2,384.20 0.91%
35. May 31, 2017 $193.84 2.18% 2,411.80 1.16%
36. Jun 30, 2017 $217.33 $0.50 12.38% 2,423.41 0.48%
37. Jul 31, 2017 $208.03 -4.28% 2,470.30 1.93%
38. Aug 31, 2017 $214.38 3.05% 2,471.65 0.05%
39. Sep 30, 2017 $225.58 $0.50 5.46% 2,519.36 1.93%
40. Oct 31, 2017 $225.81 0.10% 2,575.26 2.22%
41. Nov 30, 2017 $231.46 2.50% 2,647.58 2.81%
42. Dec 31, 2017 $249.54 $0.50 8.03% 2,673.61 0.98%
43. Jan 31, 2018 $262.48 5.19% 2,823.81 5.62%
44. Feb 28, 2018 $246.41 -6.12% 2,713.83 -3.89%
45. Mar 31, 2018 $240.11 $0.50 -2.35% 2,640.87 -2.69%
46. Apr 30, 2018 $247.20 2.95% 2,648.05 0.27%
47. May 31, 2018 $249.12 0.78% 2,705.27 2.16%
48. Jun 30, 2018 $227.06 $0.65 -8.59% 2,718.37 0.48%
49. Jul 31, 2018 $245.87 8.28% 2,816.29 3.60%
50. Aug 31, 2018 $243.95 -0.78% 2,901.52 3.03%
51. Sep 30, 2018 $240.79 $0.65 -1.03% 2,913.98 0.43%
52. Oct 31, 2018 $220.34 -8.49% 2,711.74 -6.94%
53. Nov 30, 2018 $229.00 3.93% 2,760.17 1.79%
54. Dec 31, 2018 $161.33 $0.65 -29.27% 2,506.85 -9.18%
55. Jan 31, 2019 $177.57 10.07% 2,704.10 7.87%
56. Feb 28, 2019 $181.00 1.93% 2,784.49 2.97%
57. Mar 31, 2019 $181.41 $0.65 0.59% 2,834.40 1.79%
58. Apr 30, 2019 $189.46 4.44% 2,945.83 3.93%
59. May 31, 2019 $154.28 -18.57% 2,752.06 -6.58%
60. Jun 30, 2019 $164.19 $0.65 6.84% 2,941.76 6.89%
61. Jul 31, 2019 $170.53 3.86% 2,980.38 1.31%
62. Aug 31, 2019 $158.61 -6.99% 2,926.46 -1.81%
63. Sep 30, 2019 $145.57 $0.65 -7.81% 2,976.74 1.72%
64. Oct 31, 2019 $152.66 4.87% 3,037.56 2.04%
65. Nov 30, 2019 $160.05 4.84% 3,140.98 3.40%
66. Dec 31, 2019 $151.21 $0.65 -5.12% 3,230.78 2.86%
67. Jan 31, 2020 $144.64 -4.34% 3,225.52 -0.16%
68. Feb 29, 2020 $141.17 -2.40% 2,954.22 -8.41%
69. Mar 31, 2020 $121.26 $0.65 -13.64% 2,584.59 -12.51%
70. Apr 30, 2020 $126.77 4.54% 2,912.43 12.68%
71. May 31, 2020 $130.56 2.99% 3,044.31 4.53%
Average (R): 0.15% 0.70%
Standard deviation: 7.25% 4.05%

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 FDX during period t

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


Variance and Covariance

FedEx Corp., calculation of variance and covariance of returns

Microsoft Excel LibreOffice Calc
t Date RFDX,t RS&P 500,t (RFDX,tRFDX)2 (RS&P 500,tRS&P 500)2 (RFDX,tRFDX)×(RS&P 500,tRS&P 500)
1. Jul 31, 2014 -2.97% -1.51% 9.75 4.89 6.91
2. Aug 31, 2014 0.68% 3.77% 0.28 9.38 1.62
3. Sep 30, 2014 9.31% -1.55% 83.93 5.08 -20.66
. . . . . . .
. . . . . . .
. . . . . . .
70. Apr 30, 2020 4.54% 12.68% 19.30 143.54 52.64
71. May 31, 2020 2.99% 4.53% 8.06 14.63 10.86
Total (Σ): 3,679.24 1,148.02 1,467.07
t Date RFDX,t RS&P 500,t (RFDX,tRFDX)2 (RS&P 500,tRS&P 500)2 (RFDX,tRFDX)×(RS&P 500,tRS&P 500)
1. Jul 31, 2014 -2.97% -1.51% 9.75 4.89 6.91
2. Aug 31, 2014 0.68% 3.77% 0.28 9.38 1.62
3. Sep 30, 2014 9.31% -1.55% 83.93 5.08 -20.66
4. Oct 31, 2014 3.69% 2.32% 12.50 2.61 5.71
5. Nov 30, 2014 6.44% 2.45% 39.55 3.06 11.00
6. Dec 31, 2014 -2.42% -0.42% 6.63 1.26 2.89
7. Jan 31, 2015 -2.62% -3.10% 7.68 14.50 10.55
8. Feb 28, 2015 4.65% 5.49% 20.28 22.90 21.55
9. Mar 31, 2015 -6.40% -1.74% 42.93 5.97 16.01
10. Apr 30, 2015 2.49% 0.85% 5.47 0.02 0.35
11. May 31, 2015 2.15% 1.05% 4.01 0.12 0.69
12. Jun 30, 2015 -1.48% -2.10% 2.67 7.87 4.58
13. Jul 31, 2015 0.60% 1.97% 0.20 1.61 0.57
14. Aug 31, 2015 -12.14% -6.26% 151.05 48.46 85.56
15. Sep 30, 2015 -4.24% -2.64% 19.24 11.21 14.69
16. Oct 31, 2015 8.38% 8.30% 67.78 57.68 62.52
17. Nov 30, 2015 1.60% 0.05% 2.09 0.43 -0.94
18. Dec 31, 2015 -5.87% -1.75% 36.20 6.03 14.78
19. Jan 31, 2016 -10.81% -5.07% 120.19 33.37 63.34
20. Feb 29, 2016 3.01% -0.41% 8.18 1.25 -3.19
21. Mar 31, 2016 19.06% 6.60% 357.59 34.76 111.48
22. Apr 30, 2016 1.47% 0.27% 1.74 0.19 -0.57
23. May 31, 2016 -0.08% 1.53% 0.06 0.69 -0.20
24. Jun 30, 2016 -7.75% 0.09% 62.46 0.38 4.84
25. Jul 31, 2016 6.67% 3.56% 42.47 8.16 18.62
26. Aug 31, 2016 1.87% -0.12% 2.96 0.68 -1.42
27. Sep 30, 2016 6.15% -0.12% 36.04 0.68 -4.96
28. Oct 31, 2016 -0.21% -1.94% 0.13 7.00 0.94
29. Nov 30, 2016 9.95% 3.42% 96.09 7.37 26.60
30. Dec 31, 2016 -2.65% 1.82% 7.82 1.25 -3.12
31. Jan 31, 2017 1.56% 1.79% 1.99 1.18 1.53
32. Feb 28, 2017 2.05% 3.72% 3.59 9.10 5.72
33. Mar 31, 2017 1.33% -0.04% 1.40 0.55 -0.88
34. Apr 30, 2017 -2.79% 0.91% 8.66 0.04 -0.61
35. May 31, 2017 2.18% 1.16% 4.13 0.21 0.92
36. Jun 30, 2017 12.38% 0.48% 149.47 0.05 -2.72
37. Jul 31, 2017 -4.28% 1.93% 19.62 1.52 -5.45
38. Aug 31, 2017 3.05% 0.05% 8.42 0.42 -1.88
39. Sep 30, 2017 5.46% 1.93% 28.17 1.50 6.51
40. Oct 31, 2017 0.10% 2.22% 0.00 2.30 -0.07
41. Nov 30, 2017 2.50% 2.81% 5.53 4.43 4.95
42. Dec 31, 2017 8.03% 0.98% 62.04 0.08 2.20
43. Jan 31, 2018 5.19% 5.62% 25.35 24.15 24.74
44. Feb 28, 2018 -6.12% -3.89% 39.35 21.14 28.84
45. Mar 31, 2018 -2.35% -2.69% 6.27 11.51 8.49
46. Apr 30, 2018 2.95% 0.27% 7.85 0.19 -1.21
47. May 31, 2018 0.78% 2.16% 0.39 2.12 0.91
48. Jun 30, 2018 -8.59% 0.48% 76.47 0.05 1.92
49. Jul 31, 2018 8.28% 3.60% 66.16 8.40 23.58
50. Aug 31, 2018 -0.78% 3.03% 0.87 5.40 -2.16
51. Sep 30, 2018 -1.03% 0.43% 1.39 0.08 0.32
52. Oct 31, 2018 -8.49% -6.94% 74.71 58.43 66.07
53. Nov 30, 2018 3.93% 1.79% 14.29 1.17 4.09
54. Dec 31, 2018 -29.27% -9.18% 865.35 97.64 290.68
55. Jan 31, 2019 10.07% 7.87% 98.32 51.34 71.05
56. Feb 28, 2019 1.93% 2.97% 3.17 5.15 4.04
57. Mar 31, 2019 0.59% 1.79% 0.19 1.19 0.47
58. Apr 30, 2019 4.44% 3.93% 18.38 10.42 13.84
59. May 31, 2019 -18.57% -6.58% 350.40 53.02 136.30
60. Jun 30, 2019 6.84% 6.89% 44.81 38.31 41.43
61. Jul 31, 2019 3.86% 1.31% 13.77 0.37 2.26
62. Aug 31, 2019 -6.99% -1.81% 50.99 6.31 17.94
63. Sep 30, 2019 -7.81% 1.72% 63.40 1.03 -8.08
64. Oct 31, 2019 4.87% 2.04% 22.28 1.79 6.32
65. Nov 30, 2019 4.84% 3.40% 22.00 7.30 12.67
66. Dec 31, 2019 -5.12% 2.86% 27.75 4.65 -11.35
67. Jan 31, 2020 -4.34% -0.16% 20.21 0.75 3.89
68. Feb 29, 2020 -2.40% -8.41% 6.50 83.08 23.24
69. Mar 31, 2020 -13.64% -12.51% 190.26 174.65 182.29
70. Apr 30, 2020 4.54% 12.68% 19.30 143.54 52.64
71. May 31, 2020 2.99% 4.53% 8.06 14.63 10.86
Total (Σ): 3,679.24 1,148.02 1,467.07

Show all

VarianceFDX = Σ(RFDX,tRFDX)2 ÷ (71 – 1)
= 3,679.24 ÷ (71 – 1)
= 52.56

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,148.02 ÷ (71 – 1)
= 16.40

CovarianceFDX, S&P 500 = Σ(RFDX,tRFDX)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 1,467.07 ÷ (71 – 1)
= 20.96


Systematic Risk (β) Estimation

Microsoft Excel LibreOffice Calc
VarianceFDX 52.56
VarianceS&P 500 16.40
CovarianceFDX, S&P 500 20.96
Correlation coefficientFDX, S&P 5001 0.71
βFDX2 1.28
αFDX3 -0.75%

Calculations

1 Correlation coefficientFDX, S&P 500
= CovarianceFDX, S&P 500 ÷ (Standard deviationFDX × Standard deviationS&P 500)
= 20.96 ÷ (7.25% × 4.05%)
= 0.71

2 βFDX
= CovarianceFDX, S&P 500 ÷ VarianceS&P 500
= 20.96 ÷ 16.40
= 1.28

3 αFDX
= AverageFDX – βFDX × AverageS&P 500
= 0.15%1.28 × 0.70%
= -0.75%


Expected Rate of Return

Microsoft Excel LibreOffice Calc
Assumptions
Rate of return on LT Treasury Composite1 RF 2.05%
Expected rate of return on market portfolio2 E(RM) 12.38%
Systematic risk (β) of FedEx Corp.’s common stock βFDX 1.28
 
Expected rate of return on FedEx Corp.’s common stock3 E(RFDX) 15.25%

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(RFDX) = RF + βFDX [E(RM) – RF]
= 2.05% + 1.28 [12.38%2.05%]
= 15.25%