Stock Analysis on Net

Walmart Inc. (NYSE:WMT)

Capital Asset Pricing Model (CAPM)

Microsoft Excel

Capital asset pricing model (CAPM) indicates what should be the expected or required rate of return on risky assets like Walmart Inc. common stock.


Rates of Return

Walmart Inc., monthly rates of return

Microsoft Excel
Walmart Inc. (WMT) Standard & Poor’s 500 (S&P 500)
t Date PriceWMT,t1 DividendWMT,t1 RWMT,t2 PriceS&P 500,t RS&P 500,t3
Feb 28, 2018 $30.00 2,713.83
1. Mar 31, 2018 $29.66 $0.173333 -0.56% 2,640.87 -2.69%
2. Apr 30, 2018 $29.49 -0.57% 2,648.05 0.27%
3. May 31, 2018 $27.51 $0.173333 -6.13% 2,705.27 2.16%
. . . . . . .
. . . . . . .
. . . . . . .
70. Dec 31, 2023 $52.55 $0.19 1.62% 4,769.83 4.42%
71. Jan 31, 2024 $55.08 4.81% 4,845.65 1.59%
Average (R): 1.14% 0.95%
Standard deviation: 5.03% 5.18%
Walmart Inc. (WMT) Standard & Poor’s 500 (S&P 500)
t Date PriceWMT,t1 DividendWMT,t1 RWMT,t2 PriceS&P 500,t RS&P 500,t3
Feb 28, 2018 $30.00 2,713.83
1. Mar 31, 2018 $29.66 $0.173333 -0.56% 2,640.87 -2.69%
2. Apr 30, 2018 $29.49 -0.57% 2,648.05 0.27%
3. May 31, 2018 $27.51 $0.173333 -6.13% 2,705.27 2.16%
4. Jun 30, 2018 $28.55 3.78% 2,718.37 0.48%
5. Jul 31, 2018 $29.74 4.17% 2,816.29 3.60%
6. Aug 31, 2018 $31.95 $0.173333 8.01% 2,901.52 3.03%
7. Sep 30, 2018 $31.30 -2.03% 2,913.98 0.43%
8. Oct 31, 2018 $33.43 6.81% 2,711.74 -6.94%
9. Nov 30, 2018 $32.55 -2.63% 2,760.17 1.79%
10. Dec 31, 2018 $31.05 $0.173333 -4.08% 2,506.85 -9.18%
11. Jan 31, 2019 $31.94 2.87% 2,704.10 7.87%
12. Feb 28, 2019 $33.00 3.32% 2,784.49 2.97%
13. Mar 31, 2019 $32.51 $0.176667 -0.95% 2,834.40 1.79%
14. Apr 30, 2019 $34.28 5.44% 2,945.83 3.93%
15. May 31, 2019 $33.81 $0.176667 -0.86% 2,752.06 -6.58%
16. Jun 30, 2019 $36.83 8.93% 2,941.76 6.89%
17. Jul 31, 2019 $36.79 -0.11% 2,980.38 1.31%
18. Aug 31, 2019 $38.09 $0.176667 4.01% 2,926.46 -1.81%
19. Sep 30, 2019 $39.56 3.86% 2,976.74 1.72%
20. Oct 31, 2019 $39.09 -1.19% 3,037.56 2.04%
21. Nov 30, 2019 $39.70 1.56% 3,140.98 3.40%
22. Dec 31, 2019 $39.61 $0.176667 0.22% 3,230.78 2.86%
23. Jan 31, 2020 $38.16 -3.66% 3,225.52 -0.16%
24. Feb 29, 2020 $35.89 -5.95% 2,954.22 -8.41%
25. Mar 31, 2020 $37.87 $0.18 6.02% 2,584.59 -12.51%
26. Apr 30, 2020 $40.52 7.00% 2,912.43 12.68%
27. May 31, 2020 $41.35 $0.18 2.49% 3,044.31 4.53%
28. Jun 30, 2020 $39.93 -3.43% 3,100.29 1.84%
29. Jul 31, 2020 $43.13 8.01% 3,271.12 5.51%
30. Aug 31, 2020 $46.28 $0.18 7.72% 3,500.31 7.01%
31. Sep 30, 2020 $46.64 0.78% 3,363.00 -3.92%
32. Oct 31, 2020 $46.25 -0.84% 3,269.96 -2.77%
33. Nov 30, 2020 $50.93 10.12% 3,621.63 10.75%
34. Dec 31, 2020 $48.05 $0.18 -5.30% 3,756.07 3.71%
35. Jan 31, 2021 $46.83 -2.54% 3,714.24 -1.11%
36. Feb 28, 2021 $43.31 -7.52% 3,811.15 2.61%
37. Mar 31, 2021 $45.28 $0.183333 4.97% 3,972.89 4.24%
38. Apr 30, 2021 $46.64 3.00% 4,181.17 5.24%
39. May 31, 2021 $47.34 $0.183333 1.89% 4,204.11 0.55%
40. Jun 30, 2021 $47.01 -0.70% 4,297.50 2.22%
41. Jul 31, 2021 $47.52 1.08% 4,395.26 2.27%
42. Aug 31, 2021 $49.37 $0.183333 4.28% 4,522.68 2.90%
43. Sep 30, 2021 $46.46 -5.89% 4,307.54 -4.76%
44. Oct 31, 2021 $49.81 7.21% 4,605.38 6.91%
45. Nov 30, 2021 $46.88 -5.88% 4,567.00 -0.83%
46. Dec 31, 2021 $48.23 $0.183333 3.27% 4,766.18 4.36%
47. Jan 31, 2022 $46.60 -3.38% 4,515.55 -5.26%
48. Feb 28, 2022 $45.05 -3.33% 4,373.94 -3.14%
49. Mar 31, 2022 $49.64 $0.186667 10.60% 4,530.41 3.58%
50. Apr 30, 2022 $51.00 2.74% 4,131.93 -8.80%
51. May 31, 2022 $42.88 $0.186667 -15.56% 4,132.15 0.01%
52. Jun 30, 2022 $40.53 -5.48% 3,785.38 -8.39%
53. Jul 31, 2022 $44.02 8.61% 4,130.29 9.11%
54. Aug 31, 2022 $44.18 $0.186667 0.79% 3,955.00 -4.24%
55. Sep 30, 2022 $43.23 -2.15% 3,585.62 -9.34%
56. Oct 31, 2022 $47.44 9.74% 3,871.98 7.99%
57. Nov 30, 2022 $50.81 7.10% 4,080.11 5.38%
58. Dec 31, 2022 $47.26 $0.186667 -6.62% 3,839.50 -5.90%
59. Jan 31, 2023 $47.96 1.48% 4,076.60 6.18%
60. Feb 28, 2023 $47.38 -1.21% 3,970.15 -2.61%
61. Mar 31, 2023 $49.15 $0.19 4.14% 4,109.31 3.51%
62. Apr 30, 2023 $50.32 2.38% 4,169.48 1.46%
63. May 31, 2023 $48.96 $0.19 -2.33% 4,179.83 0.25%
64. Jun 30, 2023 $52.39 7.01% 4,376.86 4.71%
65. Jul 31, 2023 $53.29 1.72% 4,588.96 4.85%
66. Aug 31, 2023 $54.20 $0.19 2.06% 4,507.66 -1.77%
67. Sep 30, 2023 $53.31 -1.64% 4,288.05 -4.87%
68. Oct 31, 2023 $54.47 2.18% 4,193.80 -2.20%
69. Nov 30, 2023 $51.90 -4.72% 4,567.80 8.92%
70. Dec 31, 2023 $52.55 $0.19 1.62% 4,769.83 4.42%
71. Jan 31, 2024 $55.08 4.81% 4,845.65 1.59%
Average (R): 1.14% 0.95%
Standard deviation: 5.03% 5.18%

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 WMT during period t

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


Variance and Covariance

Walmart Inc., calculation of variance and covariance of returns

Microsoft Excel
t Date RWMT,t RS&P 500,t (RWMT,tRWMT)2 (RS&P 500,tRS&P 500)2 (RWMT,tRWMT)×(RS&P 500,tRS&P 500)
1. Mar 31, 2018 -0.56% -2.69% 2.86 13.26 6.16
2. Apr 30, 2018 -0.57% 0.27% 2.92 0.46 1.16
3. May 31, 2018 -6.13% 2.16% 52.73 1.46 -8.77
. . . . . . .
. . . . . . .
. . . . . . .
70. Dec 31, 2023 1.62% 4.42% 0.23 12.04 1.68
71. Jan 31, 2024 4.81% 1.59% 13.54 0.41 2.34
Total (Σ): 1,768.21 1,876.53 827.76
t Date RWMT,t RS&P 500,t (RWMT,tRWMT)2 (RS&P 500,tRS&P 500)2 (RWMT,tRWMT)×(RS&P 500,tRS&P 500)
1. Mar 31, 2018 -0.56% -2.69% 2.86 13.26 6.16
2. Apr 30, 2018 -0.57% 0.27% 2.92 0.46 1.16
3. May 31, 2018 -6.13% 2.16% 52.73 1.46 -8.77
4. Jun 30, 2018 3.78% 0.48% 7.00 0.22 -1.24
5. Jul 31, 2018 4.17% 3.60% 9.20 7.02 8.03
6. Aug 31, 2018 8.01% 3.03% 47.32 4.30 14.26
7. Sep 30, 2018 -2.03% 0.43% 10.05 0.27 1.66
8. Oct 31, 2018 6.81% -6.94% 32.15 62.30 -44.75
9. Nov 30, 2018 -2.63% 1.79% 14.19 0.69 -3.14
10. Dec 31, 2018 -4.08% -9.18% 27.15 102.63 52.79
11. Jan 31, 2019 2.87% 7.87% 3.00 47.82 11.97
12. Feb 28, 2019 3.32% 2.97% 4.77 4.08 4.41
13. Mar 31, 2019 -0.95% 1.79% 4.35 0.70 -1.75
14. Apr 30, 2019 5.44% 3.93% 18.57 8.87 12.83
15. May 31, 2019 -0.86% -6.58% 3.96 56.71 14.99
16. Jun 30, 2019 8.93% 6.89% 60.79 35.28 46.32
17. Jul 31, 2019 -0.11% 1.31% 1.55 0.13 -0.45
18. Aug 31, 2019 4.01% -1.81% 8.29 7.63 -7.95
19. Sep 30, 2019 3.86% 1.72% 7.42 0.59 2.08
20. Oct 31, 2019 -1.19% 2.04% 5.40 1.19 -2.53
21. Nov 30, 2019 1.56% 3.40% 0.18 6.01 1.04
22. Dec 31, 2019 0.22% 2.86% 0.84 3.63 -1.75
23. Jan 31, 2020 -3.66% -0.16% 23.00 1.24 5.35
24. Feb 29, 2020 -5.95% -8.41% 50.18 87.68 66.33
25. Mar 31, 2020 6.02% -12.51% 23.85 181.30 -65.75
26. Apr 30, 2020 7.00% 12.68% 34.37 137.63 68.78
27. May 31, 2020 2.49% 4.53% 1.84 12.78 4.85
28. Jun 30, 2020 -3.43% 1.84% 20.88 0.78 -4.05
29. Jul 31, 2020 8.01% 5.51% 47.32 20.77 31.35
30. Aug 31, 2020 7.72% 7.01% 43.37 36.65 39.87
31. Sep 30, 2020 0.78% -3.92% 0.13 23.77 1.74
32. Oct 31, 2020 -0.84% -2.77% 3.89 13.83 7.33
33. Nov 30, 2020 10.12% 10.75% 80.71 96.07 88.06
34. Dec 31, 2020 -5.30% 3.71% 41.43 7.61 -17.76
35. Jan 31, 2021 -2.54% -1.11% 13.50 4.27 7.59
36. Feb 28, 2021 -7.52% 2.61% 74.85 2.74 -14.33
37. Mar 31, 2021 4.97% 4.24% 14.72 10.83 12.63
38. Apr 30, 2021 3.00% 5.24% 3.49 18.40 8.01
39. May 31, 2021 1.89% 0.55% 0.58 0.16 -0.31
40. Jun 30, 2021 -0.70% 2.22% 3.36 1.61 -2.32
41. Jul 31, 2021 1.08% 2.27% 0.00 1.75 -0.07
42. Aug 31, 2021 4.28% 2.90% 9.88 3.79 6.12
43. Sep 30, 2021 -5.89% -4.76% 49.41 32.60 40.14
44. Oct 31, 2021 7.21% 6.91% 36.91 35.54 36.22
45. Nov 30, 2021 -5.88% -0.83% 49.25 3.19 12.54
46. Dec 31, 2021 3.27% 4.36% 4.56 11.62 7.28
47. Jan 31, 2022 -3.38% -5.26% 20.38 38.58 28.04
48. Feb 28, 2022 -3.33% -3.14% 19.90 16.72 18.24
49. Mar 31, 2022 10.60% 3.58% 89.64 6.89 24.85
50. Apr 30, 2022 2.74% -8.80% 2.57 95.04 -15.64
51. May 31, 2022 -15.56% 0.01% 278.58 0.90 15.82
52. Jun 30, 2022 -5.48% -8.39% 43.77 87.33 61.82
53. Jul 31, 2022 8.61% 9.11% 55.89 66.56 60.99
54. Aug 31, 2022 0.79% -4.24% 0.12 27.01 1.81
55. Sep 30, 2022 -2.15% -9.34% 10.79 105.94 33.82
56. Oct 31, 2022 9.74% 7.99% 74.02 49.47 60.51
57. Nov 30, 2022 7.10% 5.38% 35.62 19.56 26.39
58. Dec 31, 2022 -6.62% -5.90% 60.13 46.92 53.12
59. Jan 31, 2023 1.48% 6.18% 0.12 27.27 1.81
60. Feb 28, 2023 -1.21% -2.61% 5.50 12.70 8.36
61. Mar 31, 2023 4.14% 3.51% 9.01 6.51 7.66
62. Apr 30, 2023 2.38% 1.46% 1.55 0.26 0.64
63. May 31, 2023 -2.33% 0.25% 11.97 0.50 2.44
64. Jun 30, 2023 7.01% 4.71% 34.46 14.14 22.08
65. Jul 31, 2023 1.72% 4.85% 0.34 15.16 2.27
66. Aug 31, 2023 2.06% -1.77% 0.86 7.42 -2.53
67. Sep 30, 2023 -1.64% -4.87% 7.71 33.93 16.18
68. Oct 31, 2023 2.18% -2.20% 1.08 9.93 -3.28
69. Nov 30, 2023 -4.72% 8.92% 34.26 63.44 -46.62
70. Dec 31, 2023 1.62% 4.42% 0.23 12.04 1.68
71. Jan 31, 2024 4.81% 1.59% 13.54 0.41 2.34
Total (Σ): 1,768.21 1,876.53 827.76

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VarianceWMT = Σ(RWMT,tRWMT)2 ÷ (71 – 1)
= 1,768.21 ÷ (71 – 1)
= 25.26

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,876.53 ÷ (71 – 1)
= 26.81

CovarianceWMT, S&P 500 = Σ(RWMT,tRWMT)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 827.76 ÷ (71 – 1)
= 11.83


Systematic Risk (β) Estimation

Microsoft Excel
VarianceWMT 25.26
VarianceS&P 500 26.81
CovarianceWMT, S&P 500 11.83
Correlation coefficientWMT, S&P 5001 0.45
βWMT2 0.44
αWMT3 0.71%

Calculations

1 Correlation coefficientWMT, S&P 500
= CovarianceWMT, S&P 500 ÷ (Standard deviationWMT × Standard deviationS&P 500)
= 11.83 ÷ (5.03% × 5.18%)
= 0.45

2 βWMT
= CovarianceWMT, S&P 500 ÷ VarianceS&P 500
= 11.83 ÷ 26.81
= 0.44

3 αWMT
= AverageWMT – βWMT × AverageS&P 500
= 1.14%0.44 × 0.95%
= 0.71%


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 Walmart Inc. common stock βWMT 0.44
 
Expected rate of return on Walmart Inc. common stock3 E(RWMT) 8.48%

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(RWMT) = RF + βWMT [E(RM) – RF]
= 4.43% + 0.44 [13.60%4.43%]
= 8.48%