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

Raytheon Technologies Corp. (NYSE:RTX)

Capital Asset Pricing Model (CAPM)

Intermediate level

Rates of Return

Raytheon Technologies Corp., monthly rates of return

Microsoft Excel LibreOffice Calc
Raytheon Technologies Corp. (RTX) Standard & Poor’s 500 (S&P 500)
t Date PriceRTX,t1 DividendRTX,t1 RRTX,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2016 $87.69 1,940.24
1. Feb 29, 2016 $96.62 $0.64 10.91% 1,932.23 -0.41%
2. Mar 31, 2016 $100.10 3.60% 2,059.74 6.60%
3. Apr 30, 2016 $104.37 4.27% 2,065.30 0.27%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2020 $71.72 $0.475 32.91% 3,621.63 10.75%
59. Dec 31, 2020 $71.51 -0.29% 3,756.07 3.71%
Average (R): 0.27% 1.22%
Standard deviation: 8.92% 4.36%
Raytheon Technologies Corp. (RTX) Standard & Poor’s 500 (S&P 500)
t Date PriceRTX,t1 DividendRTX,t1 RRTX,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2016 $87.69 1,940.24
1. Feb 29, 2016 $96.62 $0.64 10.91% 1,932.23 -0.41%
2. Mar 31, 2016 $100.10 3.60% 2,059.74 6.60%
3. Apr 30, 2016 $104.37 4.27% 2,065.30 0.27%
4. May 31, 2016 $100.58 $0.66 -3.00% 2,096.95 1.53%
5. Jun 30, 2016 $102.55 1.96% 2,098.86 0.09%
6. Jul 31, 2016 $107.65 4.97% 2,173.60 3.56%
7. Aug 31, 2016 $106.43 $0.66 -0.52% 2,170.95 -0.12%
8. Sep 30, 2016 $101.60 -4.54% 2,168.27 -0.12%
9. Oct 31, 2016 $102.20 0.59% 2,126.15 -1.94%
10. Nov 30, 2016 $107.72 $0.66 6.05% 2,198.81 3.42%
11. Dec 31, 2016 $109.62 1.76% 2,238.83 1.82%
12. Jan 31, 2017 $109.67 0.05% 2,278.87 1.79%
13. Feb 28, 2017 $112.55 $0.66 3.23% 2,363.64 3.72%
14. Mar 31, 2017 $112.21 -0.30% 2,362.72 -0.04%
15. Apr 30, 2017 $118.99 6.04% 2,384.20 0.91%
16. May 31, 2017 $121.28 $0.66 2.48% 2,411.80 1.16%
17. Jun 30, 2017 $122.11 0.68% 2,423.41 0.48%
18. Jul 31, 2017 $118.57 -2.90% 2,470.30 1.93%
19. Aug 31, 2017 $119.72 $0.70 1.56% 2,471.65 0.05%
20. Sep 30, 2017 $116.08 -3.04% 2,519.36 1.93%
21. Oct 31, 2017 $119.76 3.17% 2,575.26 2.22%
22. Nov 30, 2017 $121.45 $0.70 2.00% 2,647.58 2.81%
23. Dec 31, 2017 $127.57 5.04% 2,673.61 0.98%
24. Jan 31, 2018 $138.01 8.18% 2,823.81 5.62%
25. Feb 28, 2018 $134.74 $0.70 -1.86% 2,713.83 -3.89%
26. Mar 31, 2018 $125.82 -6.62% 2,640.87 -2.69%
27. Apr 30, 2018 $120.15 -4.51% 2,648.05 0.27%
28. May 31, 2018 $124.82 $0.70 4.47% 2,705.27 2.16%
29. Jun 30, 2018 $125.03 0.17% 2,718.37 0.48%
30. Jul 31, 2018 $135.74 8.57% 2,816.29 3.60%
31. Aug 31, 2018 $131.70 $0.70 -2.46% 2,901.52 3.03%
32. Sep 30, 2018 $139.81 6.16% 2,913.98 0.43%
33. Oct 31, 2018 $124.21 -11.16% 2,711.74 -6.94%
34. Nov 30, 2018 $121.84 $0.735 -1.32% 2,760.17 1.79%
35. Dec 31, 2018 $106.48 -12.61% 2,506.85 -9.18%
36. Jan 31, 2019 $118.07 10.88% 2,704.10 7.87%
37. Feb 28, 2019 $125.67 $0.735 7.06% 2,784.49 2.97%
38. Mar 31, 2019 $128.89 2.56% 2,834.40 1.79%
39. Apr 30, 2019 $142.61 10.64% 2,945.83 3.93%
40. May 31, 2019 $126.30 $0.735 -10.92% 2,752.06 -6.58%
41. Jun 30, 2019 $130.20 3.09% 2,941.76 6.89%
42. Jul 31, 2019 $133.60 2.61% 2,980.38 1.31%
43. Aug 31, 2019 $130.24 $0.735 -1.96% 2,926.46 -1.81%
44. Sep 30, 2019 $136.52 4.82% 2,976.74 1.72%
45. Oct 31, 2019 $143.58 5.17% 3,037.56 2.04%
46. Nov 30, 2019 $148.34 $0.735 3.83% 3,140.98 3.40%
47. Dec 31, 2019 $149.76 0.96% 3,230.78 2.86%
48. Jan 31, 2020 $150.20 0.29% 3,225.52 -0.16%
49. Feb 29, 2020 $130.59 $0.735 -12.57% 2,954.22 -8.41%
50. Mar 31, 2020 $94.33 -27.77% 2,584.59 -12.51%
51. Apr 30, 2020 $64.81 -31.29% 2,912.43 12.68%
52. May 31, 2020 $64.52 $0.475 0.29% 3,044.31 4.53%
53. Jun 30, 2020 $61.62 -4.49% 3,100.29 1.84%
54. Jul 31, 2020 $56.68 -8.02% 3,271.12 5.51%
55. Aug 31, 2020 $61.00 $0.475 8.46% 3,500.31 7.01%
56. Sep 30, 2020 $57.54 -5.67% 3,363.00 -3.92%
57. Oct 31, 2020 $54.32 -5.60% 3,269.96 -2.77%
58. Nov 30, 2020 $71.72 $0.475 32.91% 3,621.63 10.75%
59. Dec 31, 2020 $71.51 -0.29% 3,756.07 3.71%
Average (R): 0.27% 1.22%
Standard deviation: 8.92% 4.36%

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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 RTX during period t

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


Variance and Covariance

Raytheon Technologies Corp., calculation of variance and covariance of returns

Microsoft Excel LibreOffice Calc
t Date RRTX,t RS&P 500,t (RRTX,tRRTX)2 (RS&P 500,tRS&P 500)2 (RRTX,tRRTX)×(RS&P 500,tRS&P 500)
1. Feb 29, 2016 10.91% -0.41% 113.24 2.67 -17.38
2. Mar 31, 2016 3.60% 6.60% 11.09 28.93 17.91
3. Apr 30, 2016 4.27% 0.27% 15.95 0.90 -3.79
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2020 32.91% 10.75% 1,065.02 90.91 311.15
59. Dec 31, 2020 -0.29% 3.71% 0.32 6.21 -1.41
Total (Σ): 4,618.69 1,103.45 1,103.41
t Date RRTX,t RS&P 500,t (RRTX,tRRTX)2 (RS&P 500,tRS&P 500)2 (RRTX,tRRTX)×(RS&P 500,tRS&P 500)
1. Feb 29, 2016 10.91% -0.41% 113.24 2.67 -17.38
2. Mar 31, 2016 3.60% 6.60% 11.09 28.93 17.91
3. Apr 30, 2016 4.27% 0.27% 15.95 0.90 -3.79
4. May 31, 2016 -3.00% 1.53% 10.70 0.10 -1.02
5. Jun 30, 2016 1.96% 0.09% 2.84 1.27 -1.90
6. Jul 31, 2016 4.97% 3.56% 22.10 5.48 11.00
7. Aug 31, 2016 -0.52% -0.12% 0.63 1.80 1.06
8. Sep 30, 2016 -4.54% -0.12% 23.14 1.81 6.46
9. Oct 31, 2016 0.59% -1.94% 0.10 10.00 -1.01
10. Nov 30, 2016 6.05% 3.42% 33.35 4.83 12.69
11. Dec 31, 2016 1.76% 1.82% 2.22 0.36 0.89
12. Jan 31, 2017 0.05% 1.79% 0.05 0.32 -0.13
13. Feb 28, 2017 3.23% 3.72% 8.74 6.25 7.39
14. Mar 31, 2017 -0.30% -0.04% 0.33 1.59 0.72
15. Apr 30, 2017 6.04% 0.91% 33.29 0.10 -1.79
16. May 31, 2017 2.48% 1.16% 4.87 0.00 -0.14
17. Jun 30, 2017 0.68% 0.48% 0.17 0.55 -0.30
18. Jul 31, 2017 -2.90% 1.93% 10.06 0.51 -2.27
19. Aug 31, 2017 1.56% 0.05% 1.66 1.36 -1.50
20. Sep 30, 2017 -3.04% 1.93% 10.97 0.50 -2.35
21. Oct 31, 2017 3.17% 2.22% 8.40 1.00 2.89
22. Nov 30, 2017 2.00% 2.81% 2.97 2.52 2.74
23. Dec 31, 2017 5.04% 0.98% 22.72 0.06 -1.13
24. Jan 31, 2018 8.18% 5.62% 62.59 19.34 34.79
25. Feb 28, 2018 -1.86% -3.89% 4.56 26.16 10.92
26. Mar 31, 2018 -6.62% -2.69% 47.51 15.28 26.94
27. Apr 30, 2018 -4.51% 0.27% 22.84 0.90 4.53
28. May 31, 2018 4.47% 2.16% 17.62 0.89 3.95
29. Jun 30, 2018 0.17% 0.48% 0.01 0.54 0.08
30. Jul 31, 2018 8.57% 3.60% 68.79 5.67 19.76
31. Aug 31, 2018 -2.46% 3.03% 7.47 3.26 -4.94
32. Sep 30, 2018 6.16% 0.43% 34.64 0.63 -4.65
33. Oct 31, 2018 -11.16% -6.94% 130.65 66.59 93.28
34. Nov 30, 2018 -1.32% 1.79% 2.52 0.32 -0.90
35. Dec 31, 2018 -12.61% -9.18% 165.87 108.11 133.91
36. Jan 31, 2019 10.88% 7.87% 112.62 44.20 70.56
37. Feb 28, 2019 7.06% 2.97% 46.07 3.07 11.90
38. Mar 31, 2019 2.56% 1.79% 5.24 0.33 1.31
39. Apr 30, 2019 10.64% 3.93% 107.59 7.35 28.12
40. May 31, 2019 -10.92% -6.58% 125.30 60.81 87.29
41. Jun 30, 2019 3.09% 6.89% 7.93 32.18 15.97
42. Jul 31, 2019 2.61% 1.31% 5.47 0.01 0.22
43. Aug 31, 2019 -1.96% -1.81% 5.00 9.18 6.78
44. Sep 30, 2019 4.82% 1.72% 20.70 0.25 2.27
45. Oct 31, 2019 5.17% 2.04% 24.00 0.68 4.03
46. Nov 30, 2019 3.83% 3.40% 12.64 4.77 7.77
47. Dec 31, 2019 0.96% 2.86% 0.47 2.69 1.12
48. Jan 31, 2020 0.29% -0.16% 0.00 1.91 -0.03
49. Feb 29, 2020 -12.57% -8.41% 164.84 92.76 123.65
50. Mar 31, 2020 -27.77% -12.51% 786.16 188.57 385.03
51. Apr 30, 2020 -31.29% 12.68% 996.45 131.43 -361.89
52. May 31, 2020 0.29% 4.53% 0.00 10.94 0.04
53. Jun 30, 2020 -4.49% 1.84% 22.72 0.38 -2.95
54. Jul 31, 2020 -8.02% 5.51% 68.71 18.40 -35.56
55. Aug 31, 2020 8.46% 7.01% 67.04 33.48 47.38
56. Sep 30, 2020 -5.67% -3.92% 35.34 26.45 30.57
57. Oct 31, 2020 -5.60% -2.77% 34.44 15.89 23.40
58. Nov 30, 2020 32.91% 10.75% 1,065.02 90.91 311.15
59. Dec 31, 2020 -0.29% 3.71% 0.32 6.21 -1.41
Total (Σ): 4,618.69 1,103.45 1,103.41

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VarianceRTX = Σ(RRTX,tRRTX)2 ÷ (59 – 1)
= 4,618.69 ÷ (59 – 1)
= 79.63

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,103.45 ÷ (59 – 1)
= 19.02

CovarianceRTX, S&P 500 = Σ(RRTX,tRRTX)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,103.41 ÷ (59 – 1)
= 19.02


Systematic Risk (β) Estimation

Microsoft Excel LibreOffice Calc
VarianceRTX 79.63
VarianceS&P 500 19.02
CovarianceRTX, S&P 500 19.02
Correlation coefficientRTX, S&P 5001 0.49
βRTX2 1.00
αRTX3 -0.95%

Calculations

1 Correlation coefficientRTX, S&P 500
= CovarianceRTX, S&P 500 ÷ (Standard deviationRTX × Standard deviationS&P 500)
= 19.02 ÷ (8.92% × 4.36%)
= 0.49

2 βRTX
= CovarianceRTX, S&P 500 ÷ VarianceS&P 500
= 19.02 ÷ 19.02
= 1.00

3 αRTX
= AverageRTX – βRTX × AverageS&P 500
= 0.27%1.00 × 1.22%
= -0.95%


Expected Rate of Return

Microsoft Excel LibreOffice Calc
Assumptions
Rate of return on LT Treasury Composite1 RF 2.03%
Expected rate of return on market portfolio2 E(RM) 11.89%
Systematic risk (β) of Raytheon Technologies Corp.’s common stock βRTX 1.00
 
Expected rate of return on Raytheon Technologies Corp.’s common stock3 E(RRTX) 11.89%

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(RRTX) = RF + βRTX [E(RM) – RF]
= 2.03% + 1.00 [11.89%2.03%]
= 11.89%