Stock Analysis on Net

Thermo Fisher Scientific Inc. (NYSE:TMO)

Capital Asset Pricing Model (CAPM) 

Microsoft Excel

Rates of Return

Thermo Fisher Scientific Inc., monthly rates of return

Microsoft Excel
Thermo Fisher Scientific Inc. (TMO) Standard & Poor’s 500 (S&P 500)
t Date PriceTMO,t1 DividendTMO,t1 RTMO,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2019 $245.67 2,704.10
1. Feb 28, 2019 $259.57 5.66% 2,784.49 2.97%
2. Mar 31, 2019 $273.72 $0.19 5.52% 2,834.40 1.79%
3. Apr 30, 2019 $277.45 1.36% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2023 $495.76 11.46% 4,567.80 8.92%
59. Dec 31, 2023 $530.79 $0.35 7.14% 4,769.83 4.42%
Average (R): 1.55% 1.11%
Standard deviation: 6.71% 5.31%
Thermo Fisher Scientific Inc. (TMO) Standard & Poor’s 500 (S&P 500)
t Date PriceTMO,t1 DividendTMO,t1 RTMO,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2019 $245.67 2,704.10
1. Feb 28, 2019 $259.57 5.66% 2,784.49 2.97%
2. Mar 31, 2019 $273.72 $0.19 5.52% 2,834.40 1.79%
3. Apr 30, 2019 $277.45 1.36% 2,945.83 3.93%
4. May 31, 2019 $266.98 -3.77% 2,752.06 -6.58%
5. Jun 30, 2019 $293.68 $0.19 10.07% 2,941.76 6.89%
6. Jul 31, 2019 $277.68 -5.45% 2,980.38 1.31%
7. Aug 31, 2019 $287.06 3.38% 2,926.46 -1.81%
8. Sep 30, 2019 $291.27 $0.19 1.53% 2,976.74 1.72%
9. Oct 31, 2019 $301.98 3.68% 3,037.56 2.04%
10. Nov 30, 2019 $313.95 3.96% 3,140.98 3.40%
11. Dec 31, 2019 $324.87 $0.19 3.54% 3,230.78 2.86%
12. Jan 31, 2020 $313.19 -3.60% 3,225.52 -0.16%
13. Feb 29, 2020 $290.80 -7.15% 2,954.22 -8.41%
14. Mar 31, 2020 $283.60 $0.22 -2.40% 2,584.59 -12.51%
15. Apr 30, 2020 $334.68 18.01% 2,912.43 12.68%
16. May 31, 2020 $349.19 4.34% 3,044.31 4.53%
17. Jun 30, 2020 $362.34 $0.22 3.83% 3,100.29 1.84%
18. Jul 31, 2020 $413.95 14.24% 3,271.12 5.51%
19. Aug 31, 2020 $428.98 3.63% 3,500.31 7.01%
20. Sep 30, 2020 $441.52 $0.22 2.97% 3,363.00 -3.92%
21. Oct 31, 2020 $473.12 7.16% 3,269.96 -2.77%
22. Nov 30, 2020 $464.98 -1.72% 3,621.63 10.75%
23. Dec 31, 2020 $465.78 $0.22 0.22% 3,756.07 3.71%
24. Jan 31, 2021 $509.70 9.43% 3,714.24 -1.11%
25. Feb 28, 2021 $450.08 -11.70% 3,811.15 2.61%
26. Mar 31, 2021 $456.38 $0.26 1.46% 3,972.89 4.24%
27. Apr 30, 2021 $470.23 3.03% 4,181.17 5.24%
28. May 31, 2021 $469.50 -0.16% 4,204.11 0.55%
29. Jun 30, 2021 $504.47 $0.26 7.50% 4,297.50 2.22%
30. Jul 31, 2021 $540.01 7.05% 4,395.26 2.27%
31. Aug 31, 2021 $554.95 2.77% 4,522.68 2.90%
32. Sep 30, 2021 $571.33 $0.26 3.00% 4,307.54 -4.76%
33. Oct 31, 2021 $633.07 10.81% 4,605.38 6.91%
34. Nov 30, 2021 $632.83 -0.04% 4,567.00 -0.83%
35. Dec 31, 2021 $667.24 $0.26 5.48% 4,766.18 4.36%
36. Jan 31, 2022 $581.30 -12.88% 4,515.55 -5.26%
37. Feb 28, 2022 $544.00 -6.42% 4,373.94 -3.14%
38. Mar 31, 2022 $590.65 $0.30 8.63% 4,530.41 3.58%
39. Apr 30, 2022 $552.92 -6.39% 4,131.93 -8.80%
40. May 31, 2022 $567.57 2.65% 4,132.15 0.01%
41. Jun 30, 2022 $543.28 $0.30 -4.23% 3,785.38 -8.39%
42. Jul 31, 2022 $598.41 10.15% 4,130.29 9.11%
43. Aug 31, 2022 $545.32 -8.87% 3,955.00 -4.24%
44. Sep 30, 2022 $507.19 $0.30 -6.94% 3,585.62 -9.34%
45. Oct 31, 2022 $513.97 1.34% 3,871.98 7.99%
46. Nov 30, 2022 $560.22 9.00% 4,080.11 5.38%
47. Dec 31, 2022 $550.69 $0.30 -1.65% 3,839.50 -5.90%
48. Jan 31, 2023 $570.33 3.57% 4,076.60 6.18%
49. Feb 28, 2023 $541.76 -5.01% 3,970.15 -2.61%
50. Mar 31, 2023 $576.37 $0.35 6.45% 4,109.31 3.51%
51. Apr 30, 2023 $554.90 -3.73% 4,169.48 1.46%
52. May 31, 2023 $508.46 -8.37% 4,179.83 0.25%
53. Jun 30, 2023 $521.75 $0.35 2.68% 4,376.86 4.71%
54. Jul 31, 2023 $548.66 5.16% 4,588.96 4.85%
55. Aug 31, 2023 $557.10 1.54% 4,507.66 -1.77%
56. Sep 30, 2023 $506.17 $0.35 -9.08% 4,288.05 -4.87%
57. Oct 31, 2023 $444.77 -12.13% 4,193.80 -2.20%
58. Nov 30, 2023 $495.76 11.46% 4,567.80 8.92%
59. Dec 31, 2023 $530.79 $0.35 7.14% 4,769.83 4.42%
Average (R): 1.55% 1.11%
Standard deviation: 6.71% 5.31%

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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 TMO during period t

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


Variance and Covariance

Thermo Fisher Scientific Inc., calculation of variance and covariance of returns

Microsoft Excel
t Date RTMO,t RS&P 500,t (RTMO,tRTMO)2 (RS&P 500,tRS&P 500)2 (RTMO,tRTMO)×(RS&P 500,tRS&P 500)
1. Feb 28, 2019 5.66% 2.97% 16.84 3.49 7.66
2. Mar 31, 2019 5.52% 1.79% 15.76 0.47 2.73
3. Apr 30, 2019 1.36% 3.93% 0.04 7.98 -0.54
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2023 11.46% 8.92% 98.20 61.03 77.41
59. Dec 31, 2023 7.14% 4.42% 31.16 11.00 18.51
Total (Σ): 2,609.92 1,634.30 1,315.98
t Date RTMO,t RS&P 500,t (RTMO,tRTMO)2 (RS&P 500,tRS&P 500)2 (RTMO,tRTMO)×(RS&P 500,tRS&P 500)
1. Feb 28, 2019 5.66% 2.97% 16.84 3.49 7.66
2. Mar 31, 2019 5.52% 1.79% 15.76 0.47 2.73
3. Apr 30, 2019 1.36% 3.93% 0.04 7.98 -0.54
4. May 31, 2019 -3.77% -6.58% 28.39 59.04 40.94
5. Jun 30, 2019 10.07% 6.89% 72.54 33.49 49.29
6. Jul 31, 2019 -5.45% 1.31% 49.04 0.04 -1.45
7. Aug 31, 2019 3.38% -1.81% 3.32 8.50 -5.31
8. Sep 30, 2019 1.53% 1.72% 0.00 0.37 -0.01
9. Oct 31, 2019 3.68% 2.04% 4.50 0.88 1.99
10. Nov 30, 2019 3.96% 3.40% 5.80 5.28 5.54
11. Dec 31, 2019 3.54% 2.86% 3.94 3.07 3.48
12. Jan 31, 2020 -3.60% -0.16% 26.52 1.61 6.53
13. Feb 29, 2020 -7.15% -8.41% 75.76 90.57 82.83
14. Mar 31, 2020 -2.40% -12.51% 15.64 185.44 53.86
15. Apr 30, 2020 18.01% 12.68% 270.82 134.06 190.54
16. May 31, 2020 4.34% 4.53% 7.73 11.71 9.52
17. Jun 30, 2020 3.83% 1.84% 5.17 0.54 1.67
18. Jul 31, 2020 14.24% 5.51% 161.00 19.40 55.88
19. Aug 31, 2020 3.63% 7.01% 4.31 34.82 12.25
20. Sep 30, 2020 2.97% -3.92% 2.02 25.29 -7.14
21. Oct 31, 2020 7.16% -2.77% 31.39 15.00 -21.69
22. Nov 30, 2020 -1.72% 10.75% 10.73 93.10 -31.60
23. Dec 31, 2020 0.22% 3.71% 1.78 6.79 -3.48
24. Jan 31, 2021 9.43% -1.11% 62.01 4.93 -17.48
25. Feb 28, 2021 -11.70% 2.61% 175.61 2.26 -19.92
26. Mar 31, 2021 1.46% 4.24% 0.01 9.85 -0.31
27. Apr 30, 2021 3.03% 5.24% 2.19 17.11 6.12
28. May 31, 2021 -0.16% 0.55% 2.92 0.31 0.95
29. Jun 30, 2021 7.50% 2.22% 35.39 1.24 6.64
30. Jul 31, 2021 7.05% 2.27% 30.14 1.37 6.42
31. Aug 31, 2021 2.77% 2.90% 1.47 3.22 2.17
32. Sep 30, 2021 3.00% -4.76% 2.08 34.37 -8.46
33. Oct 31, 2021 10.81% 6.91% 85.59 33.74 53.74
34. Nov 30, 2021 -0.04% -0.83% 2.54 3.76 3.09
35. Dec 31, 2021 5.48% 4.36% 15.40 10.60 12.77
36. Jan 31, 2022 -12.88% -5.26% 208.36 40.51 91.87
37. Feb 28, 2022 -6.42% -3.14% 63.54 17.99 33.81
38. Mar 31, 2022 8.63% 3.58% 50.07 6.11 17.49
39. Apr 30, 2022 -6.39% -8.80% 63.09 98.04 78.64
40. May 31, 2022 2.65% 0.01% 1.20 1.21 -1.20
41. Jun 30, 2022 -4.23% -8.39% 33.43 90.21 54.91
42. Jul 31, 2022 10.15% 9.11% 73.84 64.09 68.79
43. Aug 31, 2022 -8.87% -4.24% 108.71 28.62 55.78
44. Sep 30, 2022 -6.94% -9.34% 72.11 109.11 88.70
45. Oct 31, 2022 1.34% 7.99% 0.05 47.34 -1.50
46. Nov 30, 2022 9.00% 5.38% 55.41 18.23 31.78
47. Dec 31, 2022 -1.65% -5.90% 10.26 49.04 22.43
48. Jan 31, 2023 3.57% 6.18% 4.05 25.70 10.20
49. Feb 28, 2023 -5.01% -2.61% 43.09 13.82 24.40
50. Mar 31, 2023 6.45% 3.51% 23.99 5.76 11.75
51. Apr 30, 2023 -3.73% 1.46% 27.88 0.13 -1.89
52. May 31, 2023 -8.37% 0.25% 98.48 0.74 8.51
53. Jun 30, 2023 2.68% 4.71% 1.27 13.02 4.07
54. Jul 31, 2023 5.16% 4.85% 12.98 13.99 13.47
55. Aug 31, 2023 1.54% -1.77% 0.00 8.28 0.05
56. Sep 30, 2023 -9.08% -4.87% 113.08 35.73 63.57
57. Oct 31, 2023 -12.13% -2.20% 187.28 10.92 45.21
58. Nov 30, 2023 11.46% 8.92% 98.20 61.03 77.41
59. Dec 31, 2023 7.14% 4.42% 31.16 11.00 18.51
Total (Σ): 2,609.92 1,634.30 1,315.98

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VarianceTMO = Σ(RTMO,tRTMO)2 ÷ (59 – 1)
= 2,609.92 ÷ (59 – 1)
= 45.00

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18

CovarianceTMO, S&P 500 = Σ(RTMO,tRTMO)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,315.98 ÷ (59 – 1)
= 22.69


Systematic Risk (β) Estimation

Microsoft Excel
VarianceTMO 45.00
VarianceS&P 500 28.18
CovarianceTMO, S&P 500 22.69
Correlation coefficientTMO, S&P 5001 0.64
βTMO2 0.81
αTMO3 0.66%

Calculations

1 Correlation coefficientTMO, S&P 500
= CovarianceTMO, S&P 500 ÷ (Standard deviationTMO × Standard deviationS&P 500)
= 22.69 ÷ (6.71% × 5.31%)
= 0.64

2 βTMO
= CovarianceTMO, S&P 500 ÷ VarianceS&P 500
= 22.69 ÷ 28.18
= 0.81

3 αTMO
= AverageTMO – βTMO × AverageS&P 500
= 1.55%0.81 × 1.11%
= 0.66%


Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF 4.42%
Expected rate of return on market portfolio2 E(RM) 13.74%
Systematic risk (β) of Thermo Fisher Scientific Inc. common stock βTMO 0.81
 
Expected rate of return on Thermo Fisher Scientific Inc. common stock3 E(RTMO) 11.93%

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(RTMO) = RF + βTMO [E(RM) – RF]
= 4.42% + 0.81 [13.74%4.42%]
= 11.93%