Stock Analysis on Net

United Parcel Service Inc. (NYSE:UPS)

$19.99

Capital Asset Pricing Model (CAPM)

Microsoft Excel LibreOffice Calc

Rates of Return

United Parcel Service Inc., monthly rates of return

Microsoft Excel LibreOffice Calc
United Parcel Service Inc. (UPS) Standard & Poor’s 500 (S&P 500)
t Date PriceUPS,t1 DividendUPS,t1 RUPS,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2017
1. Feb 28, 2017
2. Mar 31, 2017
3. Apr 30, 2017
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2021
59. Dec 31, 2021
Average (R):
Standard deviation:
United Parcel Service Inc. (UPS) Standard & Poor’s 500 (S&P 500)
t Date PriceUPS,t1 DividendUPS,t1 RUPS,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2017
1. Feb 28, 2017
2. Mar 31, 2017
3. Apr 30, 2017
4. May 31, 2017
5. Jun 30, 2017
6. Jul 31, 2017
7. Aug 31, 2017
8. Sep 30, 2017
9. Oct 31, 2017
10. Nov 30, 2017
11. Dec 31, 2017
12. Jan 31, 2018
13. Feb 28, 2018
14. Mar 31, 2018
15. Apr 30, 2018
16. May 31, 2018
17. Jun 30, 2018
18. Jul 31, 2018
19. Aug 31, 2018
20. Sep 30, 2018
21. Oct 31, 2018
22. Nov 30, 2018
23. Dec 31, 2018
24. Jan 31, 2019
25. Feb 28, 2019
26. Mar 31, 2019
27. Apr 30, 2019
28. May 31, 2019
29. Jun 30, 2019
30. Jul 31, 2019
31. Aug 31, 2019
32. Sep 30, 2019
33. Oct 31, 2019
34. Nov 30, 2019
35. Dec 31, 2019
36. Jan 31, 2020
37. Feb 29, 2020
38. Mar 31, 2020
39. Apr 30, 2020
40. May 31, 2020
41. Jun 30, 2020
42. Jul 31, 2020
43. Aug 31, 2020
44. Sep 30, 2020
45. Oct 31, 2020
46. Nov 30, 2020
47. Dec 31, 2020
48. Jan 31, 2021
49. Feb 28, 2021
50. Mar 31, 2021
51. Apr 30, 2021
52. May 31, 2021
53. Jun 30, 2021
54. Jul 31, 2021
55. Aug 31, 2021
56. Sep 30, 2021
57. Oct 31, 2021
58. Nov 30, 2021
59. Dec 31, 2021
Average (R):
Standard deviation:

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 UPS during period t

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


Variance and Covariance

United Parcel Service Inc., calculation of variance and covariance of returns

Microsoft Excel LibreOffice Calc
t Date RUPS,t RS&P 500,t (RUPS,tRUPS)2 (RS&P 500,tRS&P 500)2 (RUPS,tRUPS)×(RS&P 500,tRS&P 500)
1. Feb 28, 2017
2. Mar 31, 2017
3. Apr 30, 2017
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2021
59. Dec 31, 2021
Total (Σ):
t Date RUPS,t RS&P 500,t (RUPS,tRUPS)2 (RS&P 500,tRS&P 500)2 (RUPS,tRUPS)×(RS&P 500,tRS&P 500)
1. Feb 28, 2017
2. Mar 31, 2017
3. Apr 30, 2017
4. May 31, 2017
5. Jun 30, 2017
6. Jul 31, 2017
7. Aug 31, 2017
8. Sep 30, 2017
9. Oct 31, 2017
10. Nov 30, 2017
11. Dec 31, 2017
12. Jan 31, 2018
13. Feb 28, 2018
14. Mar 31, 2018
15. Apr 30, 2018
16. May 31, 2018
17. Jun 30, 2018
18. Jul 31, 2018
19. Aug 31, 2018
20. Sep 30, 2018
21. Oct 31, 2018
22. Nov 30, 2018
23. Dec 31, 2018
24. Jan 31, 2019
25. Feb 28, 2019
26. Mar 31, 2019
27. Apr 30, 2019
28. May 31, 2019
29. Jun 30, 2019
30. Jul 31, 2019
31. Aug 31, 2019
32. Sep 30, 2019
33. Oct 31, 2019
34. Nov 30, 2019
35. Dec 31, 2019
36. Jan 31, 2020
37. Feb 29, 2020
38. Mar 31, 2020
39. Apr 30, 2020
40. May 31, 2020
41. Jun 30, 2020
42. Jul 31, 2020
43. Aug 31, 2020
44. Sep 30, 2020
45. Oct 31, 2020
46. Nov 30, 2020
47. Dec 31, 2020
48. Jan 31, 2021
49. Feb 28, 2021
50. Mar 31, 2021
51. Apr 30, 2021
52. May 31, 2021
53. Jun 30, 2021
54. Jul 31, 2021
55. Aug 31, 2021
56. Sep 30, 2021
57. Oct 31, 2021
58. Nov 30, 2021
59. Dec 31, 2021
Total (Σ):

Show all

VarianceUPS = Σ(RUPS,tRUPS)2 ÷ (59 – 1)
= ÷ (59 – 1)
=

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

CovarianceUPS, S&P 500 = Σ(RUPS,tRUPS)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= ÷ (59 – 1)
=


Systematic Risk (β) Estimation

Microsoft Excel LibreOffice Calc
VarianceUPS
VarianceS&P 500
CovarianceUPS, S&P 500
Correlation coefficientUPS, S&P 5001
βUPS2
αUPS3

Calculations

1 Correlation coefficientUPS, S&P 500
= CovarianceUPS, S&P 500 ÷ (Standard deviationUPS × Standard deviationS&P 500)
= ÷ ( × )
=

2 βUPS
= CovarianceUPS, S&P 500 ÷ VarianceS&P 500
= ÷
=

3 αUPS
= AverageUPS – βUPS × AverageS&P 500
= ×
=


Expected Rate of Return

Microsoft Excel LibreOffice Calc
Assumptions
Rate of return on LT Treasury Composite1 RF
Expected rate of return on market portfolio2 E(RM)
Systematic risk (β) of United Parcel Service Inc. common stock βUPS
 
Expected rate of return on United Parcel Service Inc. common stock3 E(RUPS)

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(RUPS) = RF + βUPS [E(RM) – RF]
= + []
=