Stock Analysis on Net

Oracle Corp. (NYSE:ORCL)

Capital Asset Pricing Model (CAPM)

Microsoft Excel

Rates of Return

Oracle Corp., monthly rates of return

Microsoft Excel
Oracle Corp. (ORCL) Standard & Poor’s 500 (S&P 500)
t Date PriceORCL,t1 DividendORCL,t1 RORCL,t2 PriceS&P 500,t RS&P 500,t3
Jun 30, 2017 $50.14 2,423.41
1. Jul 31, 2017 $49.93 $0.19 -0.04% 2,470.30 1.93%
2. Aug 31, 2017 $50.33 0.80% 2,471.65 0.05%
3. Sep 30, 2017 $48.35 -3.93% 2,519.36 1.93%
. . . . . . .
. . . . . . .
. . . . . . .
70. Apr 30, 2023 $94.72 $0.40 2.37% 4,169.48 1.46%
71. May 31, 2023 $105.94 11.85% 4,179.83 0.25%
Average (R): 1.45% 0.90%
Standard deviation: 7.26% 5.03%
Oracle Corp. (ORCL) Standard & Poor’s 500 (S&P 500)
t Date PriceORCL,t1 DividendORCL,t1 RORCL,t2 PriceS&P 500,t RS&P 500,t3
Jun 30, 2017 $50.14 2,423.41
1. Jul 31, 2017 $49.93 $0.19 -0.04% 2,470.30 1.93%
2. Aug 31, 2017 $50.33 0.80% 2,471.65 0.05%
3. Sep 30, 2017 $48.35 -3.93% 2,519.36 1.93%
4. Oct 31, 2017 $50.90 $0.19 5.67% 2,575.26 2.22%
5. Nov 30, 2017 $49.06 -3.61% 2,647.58 2.81%
6. Dec 31, 2017 $47.28 -3.63% 2,673.61 0.98%
7. Jan 31, 2018 $51.59 $0.19 9.52% 2,823.81 5.62%
8. Feb 28, 2018 $50.67 -1.78% 2,713.83 -3.89%
9. Mar 31, 2018 $45.75 -9.71% 2,640.87 -2.69%
10. Apr 30, 2018 $45.67 $0.19 0.24% 2,648.05 0.27%
11. May 31, 2018 $46.72 2.30% 2,705.27 2.16%
12. Jun 30, 2018 $44.06 -5.69% 2,718.37 0.48%
13. Jul 31, 2018 $47.68 $0.19 8.65% 2,816.29 3.60%
14. Aug 31, 2018 $48.58 1.89% 2,901.52 3.03%
15. Sep 30, 2018 $51.56 6.13% 2,913.98 0.43%
16. Oct 31, 2018 $48.84 $0.19 -4.91% 2,711.74 -6.94%
17. Nov 30, 2018 $48.76 -0.16% 2,760.17 1.79%
18. Dec 31, 2018 $45.15 -7.40% 2,506.85 -9.18%
19. Jan 31, 2019 $50.23 $0.19 11.67% 2,704.10 7.87%
20. Feb 28, 2019 $52.13 3.78% 2,784.49 2.97%
21. Mar 31, 2019 $53.71 3.03% 2,834.40 1.79%
22. Apr 30, 2019 $55.33 $0.24 3.46% 2,945.83 3.93%
23. May 31, 2019 $50.60 -8.55% 2,752.06 -6.58%
24. Jun 30, 2019 $56.97 12.59% 2,941.76 6.89%
25. Jul 31, 2019 $56.30 $0.24 -0.75% 2,980.38 1.31%
26. Aug 31, 2019 $52.06 -7.53% 2,926.46 -1.81%
27. Sep 30, 2019 $55.03 5.70% 2,976.74 1.72%
28. Oct 31, 2019 $54.49 $0.24 -0.55% 3,037.56 2.04%
29. Nov 30, 2019 $56.14 3.03% 3,140.98 3.40%
30. Dec 31, 2019 $52.98 -5.63% 3,230.78 2.86%
31. Jan 31, 2020 $52.45 $0.24 -0.55% 3,225.52 -0.16%
32. Feb 29, 2020 $49.46 -5.70% 2,954.22 -8.41%
33. Mar 31, 2020 $48.33 -2.28% 2,584.59 -12.51%
34. Apr 30, 2020 $52.97 $0.24 10.10% 2,912.43 12.68%
35. May 31, 2020 $53.77 1.51% 3,044.31 4.53%
36. Jun 30, 2020 $55.27 2.79% 3,100.29 1.84%
37. Jul 31, 2020 $55.45 $0.24 0.76% 3,271.12 5.51%
38. Aug 31, 2020 $57.22 3.19% 3,500.31 7.01%
39. Sep 30, 2020 $59.70 4.33% 3,363.00 -3.92%
40. Oct 31, 2020 $56.11 $0.24 -5.61% 3,269.96 -2.77%
41. Nov 30, 2020 $57.72 2.87% 3,621.63 10.75%
42. Dec 31, 2020 $64.69 12.08% 3,756.07 3.71%
43. Jan 31, 2021 $60.43 $0.24 -6.21% 3,714.24 -1.11%
44. Feb 28, 2021 $64.51 6.75% 3,811.15 2.61%
45. Mar 31, 2021 $70.17 8.77% 3,972.89 4.24%
46. Apr 30, 2021 $75.79 $0.32 8.47% 4,181.17 5.24%
47. May 31, 2021 $78.74 3.89% 4,204.11 0.55%
48. Jun 30, 2021 $77.84 -1.14% 4,297.50 2.22%
49. Jul 31, 2021 $87.14 $0.32 12.36% 4,395.26 2.27%
50. Aug 31, 2021 $89.13 2.28% 4,522.68 2.90%
51. Sep 30, 2021 $87.13 -2.24% 4,307.54 -4.76%
52. Oct 31, 2021 $95.94 $0.32 10.48% 4,605.38 6.91%
53. Nov 30, 2021 $90.74 -5.42% 4,567.00 -0.83%
54. Dec 31, 2021 $87.21 -3.89% 4,766.18 4.36%
55. Jan 31, 2022 $81.16 $0.32 -6.57% 4,515.55 -5.26%
56. Feb 28, 2022 $75.97 -6.39% 4,373.94 -3.14%
57. Mar 31, 2022 $82.73 8.90% 4,530.41 3.58%
58. Apr 30, 2022 $73.40 $0.32 -10.89% 4,131.93 -8.80%
59. May 31, 2022 $71.92 -2.02% 4,132.15 0.01%
60. Jun 30, 2022 $69.87 -2.85% 3,785.38 -8.39%
61. Jul 31, 2022 $77.84 $0.32 11.86% 4,130.29 9.11%
62. Aug 31, 2022 $74.15 -4.74% 3,955.00 -4.24%
63. Sep 30, 2022 $61.07 -17.64% 3,585.62 -9.34%
64. Oct 31, 2022 $78.07 $0.32 28.36% 3,871.98 7.99%
65. Nov 30, 2022 $83.03 6.35% 4,080.11 5.38%
66. Dec 31, 2022 $81.74 -1.55% 3,839.50 -5.90%
67. Jan 31, 2023 $88.46 $0.32 8.61% 4,076.60 6.18%
68. Feb 28, 2023 $87.40 -1.20% 3,970.15 -2.61%
69. Mar 31, 2023 $92.92 6.32% 4,109.31 3.51%
70. Apr 30, 2023 $94.72 $0.40 2.37% 4,169.48 1.46%
71. May 31, 2023 $105.94 11.85% 4,179.83 0.25%
Average (R): 1.45% 0.90%
Standard deviation: 7.26% 5.03%

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 ORCL during period t

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


Variance and Covariance

Oracle Corp., calculation of variance and covariance of returns

Microsoft Excel
t Date RORCL,t RS&P 500,t (RORCL,tRORCL)2 (RS&P 500,tRS&P 500)2 (RORCL,tRORCL)×(RS&P 500,tRS&P 500)
1. Jul 31, 2017 -0.04% 1.93% 2.22 1.08 -1.55
2. Aug 31, 2017 0.80% 0.05% 0.42 0.71 0.55
3. Sep 30, 2017 -3.93% 1.93% 28.98 1.07 -5.56
. . . . . . .
. . . . . . .
. . . . . . .
70. Apr 30, 2023 2.37% 1.46% 0.84 0.32 0.52
71. May 31, 2023 11.85% 0.25% 108.07 0.42 -6.74
Total (Σ): 3,688.97 1,772.87 1,792.00
t Date RORCL,t RS&P 500,t (RORCL,tRORCL)2 (RS&P 500,tRS&P 500)2 (RORCL,tRORCL)×(RS&P 500,tRS&P 500)
1. Jul 31, 2017 -0.04% 1.93% 2.22 1.08 -1.55
2. Aug 31, 2017 0.80% 0.05% 0.42 0.71 0.55
3. Sep 30, 2017 -3.93% 1.93% 28.98 1.07 -5.56
4. Oct 31, 2017 5.67% 2.22% 17.79 1.75 5.58
5. Nov 30, 2017 -3.61% 2.81% 25.65 3.65 -9.68
6. Dec 31, 2017 -3.63% 0.98% 25.78 0.01 -0.44
7. Jan 31, 2018 9.52% 5.62% 65.10 22.29 38.09
8. Feb 28, 2018 -1.78% -3.89% 10.45 22.96 15.49
9. Mar 31, 2018 -9.71% -2.69% 124.53 12.85 40.01
10. Apr 30, 2018 0.24% 0.27% 1.46 0.39 0.76
11. May 31, 2018 2.30% 2.16% 0.72 1.60 1.07
12. Jun 30, 2018 -5.69% 0.48% 51.02 0.17 2.95
13. Jul 31, 2018 8.65% 3.60% 51.81 7.32 19.47
14. Aug 31, 2018 1.89% 3.03% 0.19 4.54 0.93
15. Sep 30, 2018 6.13% 0.43% 21.95 0.22 -2.19
16. Oct 31, 2018 -4.91% -6.94% 40.40 61.42 49.82
17. Nov 30, 2018 -0.16% 1.79% 2.60 0.79 -1.43
18. Dec 31, 2018 -7.40% -9.18% 78.38 101.49 89.19
19. Jan 31, 2019 11.67% 7.87% 104.50 48.61 71.27
20. Feb 28, 2019 3.78% 2.97% 5.44 4.31 4.84
21. Mar 31, 2019 3.03% 1.79% 2.50 0.80 1.42
22. Apr 30, 2019 3.46% 3.93% 4.05 9.21 6.11
23. May 31, 2019 -8.55% -6.58% 99.97 55.87 74.73
24. Jun 30, 2019 12.59% 6.89% 124.09 35.96 66.80
25. Jul 31, 2019 -0.75% 1.31% 4.86 0.17 -0.92
26. Aug 31, 2019 -7.53% -1.81% 80.65 7.32 24.30
27. Sep 30, 2019 5.70% 1.72% 18.11 0.67 3.50
28. Oct 31, 2019 -0.55% 2.04% 3.98 1.31 -2.29
29. Nov 30, 2019 3.03% 3.40% 2.49 6.29 3.96
30. Dec 31, 2019 -5.63% 2.86% 50.10 3.85 -13.89
31. Jan 31, 2020 -0.55% -0.16% 3.99 1.12 2.12
32. Feb 29, 2020 -5.70% -8.41% 51.13 86.63 66.55
33. Mar 31, 2020 -2.28% -12.51% 13.94 179.79 50.07
34. Apr 30, 2020 10.10% 12.68% 74.78 138.95 101.94
35. May 31, 2020 1.51% 4.53% 0.00 13.19 0.22
36. Jun 30, 2020 2.79% 1.84% 1.80 0.89 1.26
37. Jul 31, 2020 0.76% 5.51% 0.48 21.28 -3.18
38. Aug 31, 2020 3.19% 7.01% 3.04 37.33 10.65
39. Sep 30, 2020 4.33% -3.92% 8.32 23.23 -13.90
40. Oct 31, 2020 -5.61% -2.77% 49.86 13.42 25.87
41. Nov 30, 2020 2.87% 10.75% 2.02 97.18 14.00
42. Dec 31, 2020 12.08% 3.71% 112.91 7.93 29.92
43. Jan 31, 2021 -6.21% -1.11% 58.73 4.04 15.41
44. Feb 28, 2021 6.75% 2.61% 28.11 2.93 9.08
45. Mar 31, 2021 8.77% 4.24% 53.64 11.20 24.52
46. Apr 30, 2021 8.47% 5.24% 49.22 18.89 30.49
47. May 31, 2021 3.89% 0.55% 5.97 0.12 -0.85
48. Jun 30, 2021 -1.14% 2.22% 6.72 1.75 -3.43
49. Jul 31, 2021 12.36% 2.27% 119.01 1.90 15.03
50. Aug 31, 2021 2.28% 2.90% 0.70 4.01 1.67
51. Sep 30, 2021 -2.24% -4.76% 13.64 31.96 20.88
52. Oct 31, 2021 10.48% 6.91% 81.52 36.21 54.33
53. Nov 30, 2021 -5.42% -0.83% 47.19 2.99 11.88
54. Dec 31, 2021 -3.89% 4.36% 28.51 12.00 -18.50
55. Jan 31, 2022 -6.57% -5.26% 64.32 37.89 49.36
56. Feb 28, 2022 -6.39% -3.14% 61.53 16.26 31.63
57. Mar 31, 2022 8.90% 3.58% 55.48 7.19 19.97
58. Apr 30, 2022 -10.89% -8.80% 152.29 93.94 119.61
59. May 31, 2022 -2.02% 0.01% 12.01 0.79 3.09
60. Jun 30, 2022 -2.85% -8.39% 18.49 86.28 39.94
61. Jul 31, 2022 11.86% 9.11% 108.48 67.49 85.56
62. Aug 31, 2022 -4.74% -4.24% 38.32 26.43 31.82
63. Sep 30, 2022 -17.64% -9.34% 364.41 104.78 195.40
64. Oct 31, 2022 28.36% 7.99% 724.22 50.26 190.79
65. Nov 30, 2022 6.35% 5.38% 24.05 20.06 21.96
66. Dec 31, 2022 -1.55% -5.90% 9.02 46.16 20.40
67. Jan 31, 2023 8.61% 6.18% 51.31 27.86 37.81
68. Feb 28, 2023 -1.20% -2.61% 7.01 12.31 9.29
69. Mar 31, 2023 6.32% 3.51% 23.68 6.80 12.69
70. Apr 30, 2023 2.37% 1.46% 0.84 0.32 0.52
71. May 31, 2023 11.85% 0.25% 108.07 0.42 -6.74
Total (Σ): 3,688.97 1,772.87 1,792.00

Show all

VarianceORCL = Σ(RORCL,tRORCL)2 ÷ (71 – 1)
= 3,688.97 ÷ (71 – 1)
= 52.70

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,772.87 ÷ (71 – 1)
= 25.33

CovarianceORCL, S&P 500 = Σ(RORCL,tRORCL)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 1,792.00 ÷ (71 – 1)
= 25.60


Systematic Risk (β) Estimation

Microsoft Excel
VarianceORCL 52.70
VarianceS&P 500 25.33
CovarianceORCL, S&P 500 25.60
Correlation coefficientORCL, S&P 5001 0.70
βORCL2 1.01
αORCL3 0.54%

Calculations

1 Correlation coefficientORCL, S&P 500
= CovarianceORCL, S&P 500 ÷ (Standard deviationORCL × Standard deviationS&P 500)
= 25.60 ÷ (7.26% × 5.03%)
= 0.70

2 βORCL
= CovarianceORCL, S&P 500 ÷ VarianceS&P 500
= 25.60 ÷ 25.33
= 1.01

3 αORCL
= AverageORCL – βORCL × AverageS&P 500
= 1.45%1.01 × 0.90%
= 0.54%


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 Oracle Corp. common stock βORCL 1.01
 
Expected rate of return on Oracle Corp. common stock3 E(RORCL) 13.70%

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(RORCL) = RF + βORCL [E(RM) – RF]
= 4.43% + 1.01 [13.60%4.43%]
= 13.70%