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: 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: 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


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)

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

3 αFDX
= AverageFDX – βFDX × AverageS&P 500
= 0.151.28 × 0.70


Expected Rate of Return

Microsoft Excel LibreOffice Calc
Assumptions
Rate of return on LT Treasury Composite1 RF 1.22%
Expected rate of return on market portfolio2 E(RM) 12.07%
Systematic risk (β) of FedEx Corp.’s common stock βFDX 1.28
 
Expected rate of return on FedEx Corp.’s common stock3 E(RFDX) 15.09%

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]
= 1.22% + 1.28 [12.07%1.22%]
= 15.09%