Capital Asset Pricing Model (CAPM)
Capital asset pricing model (CAPM) indicates what should be the expected or required rate of return on risky assets like Kraft Foods Group Inc. common stock.
Paying user area
Try for free
Kraft Foods Group Inc. pages available for free this week:
- Income Statement
- Statement of Comprehensive Income
- Common-Size Income Statement
- DuPont Analysis: Disaggregation of ROE, ROA, and Net Profit Margin
- Enterprise Value to FCFF (EV/FCFF)
- Present Value of Free Cash Flow to Equity (FCFE)
- Return on Equity (ROE) since 2012
- Current Ratio since 2012
- Total Asset Turnover since 2012
- Price to Earnings (P/E) since 2012
The data is hidden behind: . Unhide it.
Get full access to the entire website from $10.42/mo, or
get 1-month access to Kraft Foods Group Inc. for $22.49.
This is a one-time payment. There is no automatic renewal.
We accept:
Rates of Return
Kraft Foods Group Inc., monthly rates of return
| Kraft Foods Group Inc. (KRFT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Date | PriceKRFT,t1 | DividendKRFT,t1 | RKRFT,t2 | PriceS&P 500,t | RS&P 500,t3 |
| Sep 30, 2012 | ||||||
| 1. | Oct 31, 2012 | |||||
| 2. | Nov 30, 2012 | |||||
| 3. | Dec 31, 2012 | |||||
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 26. | Nov 30, 2014 | |||||
| 27. | Dec 31, 2014 | |||||
| Average (R): | ||||||
| Standard deviation: | ||||||
| Kraft Foods Group Inc. (KRFT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Date | PriceKRFT,t1 | DividendKRFT,t1 | RKRFT,t2 | PriceS&P 500,t | RS&P 500,t3 |
| Sep 30, 2012 | ||||||
| 1. | Oct 31, 2012 | |||||
| 2. | Nov 30, 2012 | |||||
| 3. | Dec 31, 2012 | |||||
| 4. | Jan 31, 2013 | |||||
| 5. | Feb 28, 2013 | |||||
| 6. | Mar 31, 2013 | |||||
| 7. | Apr 30, 2013 | |||||
| 8. | May 31, 2013 | |||||
| 9. | Jun 30, 2013 | |||||
| 10. | Jul 31, 2013 | |||||
| 11. | Aug 31, 2013 | |||||
| 12. | Sep 30, 2013 | |||||
| 13. | Oct 31, 2013 | |||||
| 14. | Nov 30, 2013 | |||||
| 15. | Dec 31, 2013 | |||||
| 16. | Jan 31, 2014 | |||||
| 17. | Feb 28, 2014 | |||||
| 18. | Mar 31, 2014 | |||||
| 19. | Apr 30, 2014 | |||||
| 20. | May 31, 2014 | |||||
| 21. | Jun 30, 2014 | |||||
| 22. | Jul 31, 2014 | |||||
| 23. | Aug 31, 2014 | |||||
| 24. | Sep 30, 2014 | |||||
| 25. | Oct 31, 2014 | |||||
| 26. | Nov 30, 2014 | |||||
| 27. | Dec 31, 2014 | |||||
| Average (R): | ||||||
| Standard deviation: | ||||||
Show all
1 Data in US$ per share of common stock, adjusted for splits and stock dividends.
2 Rate of return on common stock of KRFT during period t
3 Rate of return on S&P 500 (the market portfolio proxy) during period t
Variance and Covariance
Kraft Foods Group Inc., calculation of variance and covariance of returns
| t | Date | RKRFT,t | RS&P 500,t | (RKRFT,t–RKRFT)2 | (RS&P 500,t–RS&P 500)2 | (RKRFT,t–RKRFT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | Oct 31, 2012 | |||||
| 2. | Nov 30, 2012 | |||||
| 3. | Dec 31, 2012 | |||||
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 26. | Nov 30, 2014 | |||||
| 27. | Dec 31, 2014 | |||||
| Total (Σ): | ||||||
| t | Date | RKRFT,t | RS&P 500,t | (RKRFT,t–RKRFT)2 | (RS&P 500,t–RS&P 500)2 | (RKRFT,t–RKRFT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | Oct 31, 2012 | |||||
| 2. | Nov 30, 2012 | |||||
| 3. | Dec 31, 2012 | |||||
| 4. | Jan 31, 2013 | |||||
| 5. | Feb 28, 2013 | |||||
| 6. | Mar 31, 2013 | |||||
| 7. | Apr 30, 2013 | |||||
| 8. | May 31, 2013 | |||||
| 9. | Jun 30, 2013 | |||||
| 10. | Jul 31, 2013 | |||||
| 11. | Aug 31, 2013 | |||||
| 12. | Sep 30, 2013 | |||||
| 13. | Oct 31, 2013 | |||||
| 14. | Nov 30, 2013 | |||||
| 15. | Dec 31, 2013 | |||||
| 16. | Jan 31, 2014 | |||||
| 17. | Feb 28, 2014 | |||||
| 18. | Mar 31, 2014 | |||||
| 19. | Apr 30, 2014 | |||||
| 20. | May 31, 2014 | |||||
| 21. | Jun 30, 2014 | |||||
| 22. | Jul 31, 2014 | |||||
| 23. | Aug 31, 2014 | |||||
| 24. | Sep 30, 2014 | |||||
| 25. | Oct 31, 2014 | |||||
| 26. | Nov 30, 2014 | |||||
| 27. | Dec 31, 2014 | |||||
| Total (Σ): | ||||||
Show all
VarianceKRFT = Σ(RKRFT,t–RKRFT)2 ÷ (27 – 1)
= ÷ (27 – 1)
=
VarianceS&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (27 – 1)
= ÷ (27 – 1)
=
CovarianceKRFT, S&P 500 = Σ(RKRFT,t–RKRFT)×(RS&P 500,t–RS&P 500) ÷ (27 – 1)
= ÷ (27 – 1)
=
Systematic Risk (β) Estimation
| VarianceKRFT | |
| VarianceS&P 500 | |
| CovarianceKRFT, S&P 500 | |
| Correlation coefficientKRFT, S&P 5001 | |
| βKRFT2 | |
| αKRFT3 |
Calculations
1 Correlation coefficientKRFT, S&P 500
= CovarianceKRFT, S&P 500 ÷ (Standard deviationKRFT × Standard deviationS&P 500)
= ÷ ( × )
=
2 βKRFT
= CovarianceKRFT, S&P 500 ÷ VarianceS&P 500
= ÷
=
3 αKRFT
= AverageKRFT – βKRFT × AverageS&P 500
= – ×
=
Expected Rate of Return
| Assumptions | ||
| Rate of return on LT Treasury Composite1 | RF | |
| Expected rate of return on market portfolio2 | E(RM) | |
| Systematic risk (β) of Kraft Foods Group Inc. common stock | βKRFT | |
| Expected rate of return on Kraft Foods Group Inc. common stock3 | E(RKRFT) | |
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).
3 E(RKRFT) = RF + βKRFT [E(RM) – RF]
= + [ – ]
=