Super Micro Computer Inc. (NASDAQ:SMCI)

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 Super Micro Computer Inc. common stock.

Rates of Return
Variance and Covariance
Systematic Risk (β) Estimation
Expected Rate of Return

Rates of Return

Super Micro Computer Inc., monthly rates of return

		Super Micro Computer Inc. (SMCI)			Standard & Poor’s 500 (S&P 500)
t	Date	Price_SMCI,t¹	Dividend_SMCI,t¹	R_SMCI,t²	Price_{S&P 500,t}	R_{S&P 500,t}³
	Jul 31, 2017	$2.69			2,470.30
1.	Aug 31, 2017	$2.66		-1.12%	2,471.65	0.05%
2.	Sep 30, 2017	$2.21		-16.92%	2,519.36	1.93%
3.	Oct 31, 2017	$1.99		-9.95%	2,575.26	2.22%
.	.	.	.	.	.	.
.	.	.	.	.	.	.
.	.	.	.	.	.	.
70.	May 31, 2023	$22.40		112.52%	4,179.83	0.25%
71.	Jun 30, 2023	$24.93		11.29%	4,376.86	4.71%
Average (R):				4.63%		0.94%
Standard deviation:				19.12%		5.05%

		Super Micro Computer Inc. (SMCI)			Standard & Poor’s 500 (S&P 500)
t	Date	Price_SMCI,t¹	Dividend_SMCI,t¹	R_SMCI,t²	Price_{S&P 500,t}	R_{S&P 500,t}³
	Jul 31, 2017	$2.69			2,470.30
1.	Aug 31, 2017	$2.66		-1.12%	2,471.65	0.05%
2.	Sep 30, 2017	$2.21		-16.92%	2,519.36	1.93%
3.	Oct 31, 2017	$1.99		-9.95%	2,575.26	2.22%
4.	Nov 30, 2017	$2.21		11.06%	2,647.58	2.81%
5.	Dec 31, 2017	$2.09		-5.43%	2,673.61	0.98%
6.	Jan 31, 2018	$2.28		9.09%	2,823.81	5.62%
7.	Feb 28, 2018	$1.81		-20.61%	2,713.83	-3.89%
8.	Mar 31, 2018	$1.70		-6.08%	2,640.87	-2.69%
9.	Apr 30, 2018	$1.77		4.12%	2,648.05	0.27%
10.	May 31, 2018	$2.41		36.16%	2,705.27	2.16%
11.	Jun 30, 2018	$2.37		-1.66%	2,718.37	0.48%
12.	Jul 31, 2018	$2.21		-6.75%	2,816.29	3.60%
13.	Aug 31, 2018	$2.05		-7.24%	2,901.52	3.03%
14.	Sep 30, 2018	$2.06		0.49%	2,913.98	0.43%
15.	Oct 31, 2018	$1.31		-36.41%	2,711.74	-6.94%
16.	Nov 30, 2018	$1.49		13.74%	2,760.17	1.79%
17.	Dec 31, 2018	$1.38		-7.38%	2,506.85	-9.18%
18.	Jan 31, 2019	$1.51		9.42%	2,704.10	7.87%
19.	Feb 28, 2019	$1.91		26.49%	2,784.49	2.97%
20.	Mar 31, 2019	$2.11		10.47%	2,834.40	1.79%
21.	Apr 30, 2019	$2.24		6.16%	2,945.83	3.93%
22.	May 31, 2019	$1.90		-15.18%	2,752.06	-6.58%
23.	Jun 30, 2019	$1.94		2.11%	2,941.76	6.89%
24.	Jul 31, 2019	$1.83		-5.67%	2,980.38	1.31%
25.	Aug 31, 2019	$1.89		3.28%	2,926.46	-1.81%
26.	Sep 30, 2019	$1.92		1.59%	2,976.74	1.72%
27.	Oct 31, 2019	$2.07		7.81%	3,037.56	2.04%
28.	Nov 30, 2019	$2.13		2.90%	3,140.98	3.40%
29.	Dec 31, 2019	$2.40		12.68%	3,230.78	2.86%
30.	Jan 31, 2020	$2.80		16.67%	3,225.52	-0.16%
31.	Feb 29, 2020	$2.54		-9.29%	2,954.22	-8.41%
32.	Mar 31, 2020	$2.13		-16.14%	2,584.59	-12.51%
33.	Apr 30, 2020	$2.29		7.51%	2,912.43	12.68%
34.	May 31, 2020	$2.60		13.54%	3,044.31	4.53%
35.	Jun 30, 2020	$2.84		9.23%	3,100.29	1.84%
36.	Jul 31, 2020	$3.03		6.69%	3,271.12	5.51%
37.	Aug 31, 2020	$2.74		-9.57%	3,500.31	7.01%
38.	Sep 30, 2020	$2.64		-3.65%	3,363.00	-3.92%
39.	Oct 31, 2020	$2.27		-14.02%	3,269.96	-2.77%
40.	Nov 30, 2020	$2.82		24.23%	3,621.63	10.75%
41.	Dec 31, 2020	$3.17		12.41%	3,756.07	3.71%
42.	Jan 31, 2021	$3.10		-2.21%	3,714.24	-1.11%
43.	Feb 28, 2021	$3.26		5.16%	3,811.15	2.61%
44.	Mar 31, 2021	$3.91		19.94%	3,972.89	4.24%
45.	Apr 30, 2021	$3.70		-5.37%	4,181.17	5.24%
46.	May 31, 2021	$3.47		-6.22%	4,204.11	0.55%
47.	Jun 30, 2021	$3.52		1.44%	4,297.50	2.22%
48.	Jul 31, 2021	$3.80		7.95%	4,395.26	2.27%
49.	Aug 31, 2021	$3.65		-3.95%	4,522.68	2.90%
50.	Sep 30, 2021	$3.66		0.27%	4,307.54	-4.76%
51.	Oct 31, 2021	$3.54		-3.28%	4,605.38	6.91%
52.	Nov 30, 2021	$4.14		16.95%	4,567.00	-0.83%
53.	Dec 31, 2021	$4.40		6.28%	4,766.18	4.36%
54.	Jan 31, 2022	$4.05		-7.95%	4,515.55	-5.26%
55.	Feb 28, 2022	$3.93		-2.96%	4,373.94	-3.14%
56.	Mar 31, 2022	$3.81		-3.05%	4,530.41	3.58%
57.	Apr 30, 2022	$4.21		10.50%	4,131.93	-8.80%
58.	May 31, 2022	$5.01		19.00%	4,132.15	0.01%
59.	Jun 30, 2022	$4.04		-19.36%	3,785.38	-8.39%
60.	Jul 31, 2022	$5.40		33.66%	4,130.29	9.11%
61.	Aug 31, 2022	$6.51		20.56%	3,955.00	-4.24%
62.	Sep 30, 2022	$5.51		-15.36%	3,585.62	-9.34%
63.	Oct 31, 2022	$6.96		26.32%	3,871.98	7.99%
64.	Nov 30, 2022	$9.02		29.60%	4,080.11	5.38%
65.	Dec 31, 2022	$8.21		-8.98%	3,839.50	-5.90%
66.	Jan 31, 2023	$7.23		-11.94%	4,076.60	6.18%
67.	Feb 28, 2023	$9.80		35.55%	3,970.15	-2.61%
68.	Mar 31, 2023	$10.66		8.78%	4,109.31	3.51%
69.	Apr 30, 2023	$10.54		-1.13%	4,169.48	1.46%
70.	May 31, 2023	$22.40		112.52%	4,179.83	0.25%
71.	Jun 30, 2023	$24.93		11.29%	4,376.86	4.71%
Average (R):				4.63%		0.94%
Standard deviation:				19.12%		5.05%

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 SMCI during period t

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

Variance and Covariance

Super Micro Computer Inc., calculation of variance and covariance of returns

t	Date	R_SMCI,t	R_{S&P 500,t}	(R_SMCI,t–R_SMCI)²	(R_{S&P 500,t}–R_{S&P 500})²	(R_SMCI,t–R_SMCI)×(R_{S&P 500,t}–R_{S&P 500})
1.	Aug 31, 2017	-1.12%	0.05%	33.02	0.78	5.06
2.	Sep 30, 2017	-16.92%	1.93%	464.32	0.99	-21.43
3.	Oct 31, 2017	-9.95%	2.22%	212.74	1.65	-18.71
.	.	.	.	.	.	.
.	.	.	.	.	.	.
.	.	.	.	.	.	.
70.	May 31, 2023	112.52%	0.25%	11,640.90	0.47	-74.18
71.	Jun 30, 2023	11.29%	4.71%	44.41	14.27	25.18
Total (Σ):				25,596.43	1,786.26	2,237.91

t	Date	R_SMCI,t	R_{S&P 500,t}	(R_SMCI,t–R_SMCI)²	(R_{S&P 500,t}–R_{S&P 500})²	(R_SMCI,t–R_SMCI)×(R_{S&P 500,t}–R_{S&P 500})
1.	Aug 31, 2017	-1.12%	0.05%	33.02	0.78	5.06
2.	Sep 30, 2017	-16.92%	1.93%	464.32	0.99	-21.43
3.	Oct 31, 2017	-9.95%	2.22%	212.74	1.65	-18.71
4.	Nov 30, 2017	11.06%	2.81%	41.27	3.51	12.03
5.	Dec 31, 2017	-5.43%	0.98%	101.22	0.00	-0.48
6.	Jan 31, 2018	9.09%	5.62%	19.89	21.92	20.88
7.	Feb 28, 2018	-20.61%	-3.89%	637.30	23.33	121.95
8.	Mar 31, 2018	-6.08%	-2.69%	114.66	13.14	38.81
9.	Apr 30, 2018	4.12%	0.27%	0.26	0.44	0.34
10.	May 31, 2018	36.16%	2.16%	993.98	1.50	38.62
11.	Jun 30, 2018	-1.66%	0.48%	39.57	0.20	2.84
12.	Jul 31, 2018	-6.75%	3.60%	129.55	7.11	-30.35
13.	Aug 31, 2018	-7.24%	3.03%	140.91	4.37	-24.82
14.	Sep 30, 2018	0.49%	0.43%	17.16	0.26	2.10
15.	Oct 31, 2018	-36.41%	-6.94%	1,684.16	62.03	323.22
16.	Nov 30, 2018	13.74%	1.79%	82.99	0.72	7.74
17.	Dec 31, 2018	-7.38%	-9.18%	144.32	102.28	121.50
18.	Jan 31, 2019	9.42%	7.87%	22.94	48.06	33.20
19.	Feb 28, 2019	26.49%	2.97%	477.83	4.15	44.53
20.	Mar 31, 2019	10.47%	1.79%	34.11	0.73	5.00
21.	Apr 30, 2019	6.16%	3.93%	2.34	8.97	4.58
22.	May 31, 2019	-15.18%	-6.58%	392.41	56.45	148.84
23.	Jun 30, 2019	2.11%	6.89%	6.38	35.49	-15.04
24.	Jul 31, 2019	-5.67%	1.31%	106.11	0.14	-3.88
25.	Aug 31, 2019	3.28%	-1.81%	1.83	7.53	3.71
26.	Sep 30, 2019	1.59%	1.72%	9.26	0.61	-2.38
27.	Oct 31, 2019	7.81%	2.04%	10.12	1.23	3.52
28.	Nov 30, 2019	2.90%	3.40%	3.00	6.10	-4.28
29.	Dec 31, 2019	12.68%	2.86%	64.73	3.70	15.47
30.	Jan 31, 2020	16.67%	-0.16%	144.86	1.21	-13.22
31.	Feb 29, 2020	-9.29%	-8.41%	193.67	87.36	130.07
32.	Mar 31, 2020	-16.14%	-12.51%	431.50	180.84	279.34
33.	Apr 30, 2020	7.51%	12.68%	8.30	138.03	33.85
34.	May 31, 2020	13.54%	4.53%	79.32	12.91	32.00
35.	Jun 30, 2020	9.23%	1.84%	21.16	0.82	4.15
36.	Jul 31, 2020	6.69%	5.51%	4.24	20.92	9.42
37.	Aug 31, 2020	-9.57%	7.01%	201.69	36.85	-86.21
38.	Sep 30, 2020	-3.65%	-3.92%	68.56	23.61	40.23
39.	Oct 31, 2020	-14.02%	-2.77%	347.67	13.71	69.03
40.	Nov 30, 2020	24.23%	10.75%	384.09	96.41	192.43
41.	Dec 31, 2020	12.41%	3.71%	60.54	7.71	21.60
42.	Jan 31, 2021	-2.21%	-1.11%	46.77	4.20	14.02
43.	Feb 28, 2021	5.16%	2.61%	0.28	2.80	0.89
44.	Mar 31, 2021	19.94%	4.24%	234.33	10.94	50.64
45.	Apr 30, 2021	-5.37%	5.24%	100.03	18.55	-43.07
46.	May 31, 2021	-6.22%	0.55%	117.66	0.15	4.20
47.	Jun 30, 2021	1.44%	2.22%	10.17	1.65	-4.10
48.	Jul 31, 2021	7.95%	2.27%	11.05	1.79	4.45
49.	Aug 31, 2021	-3.95%	2.90%	73.58	3.85	-16.84
50.	Sep 30, 2021	0.27%	-4.76%	18.98	32.41	24.80
51.	Oct 31, 2021	-3.28%	6.91%	62.56	35.74	-47.29
52.	Nov 30, 2021	16.95%	-0.83%	151.74	3.13	-21.79
53.	Dec 31, 2021	6.28%	4.36%	2.72	11.73	5.65
54.	Jan 31, 2022	-7.95%	-5.26%	158.39	38.37	77.96
55.	Feb 28, 2022	-2.96%	-3.14%	57.66	16.58	30.92
56.	Mar 31, 2022	-3.05%	3.58%	59.05	6.98	-20.30
57.	Apr 30, 2022	10.50%	-8.80%	34.43	94.70	-57.10
58.	May 31, 2022	19.00%	0.01%	206.54	0.87	-13.37
59.	Jun 30, 2022	-19.36%	-8.39%	575.62	87.01	223.79
60.	Jul 31, 2022	33.66%	9.11%	842.89	66.84	237.37
61.	Aug 31, 2022	20.56%	-4.24%	253.60	26.83	-82.49
62.	Sep 30, 2022	-15.36%	-9.34%	399.67	105.58	205.42
63.	Oct 31, 2022	26.32%	7.99%	470.24	49.71	152.89
64.	Nov 30, 2022	29.60%	5.38%	623.35	19.71	110.84
65.	Dec 31, 2022	-8.98%	-5.90%	185.25	46.69	93.00
66.	Jan 31, 2023	-11.94%	6.18%	274.48	27.45	-86.80
67.	Feb 28, 2023	35.55%	-2.61%	955.77	12.58	-109.66
68.	Mar 31, 2023	8.78%	3.51%	17.18	6.60	10.65
69.	Apr 30, 2023	-1.13%	1.46%	33.14	0.28	-3.04
70.	May 31, 2023	112.52%	0.25%	11,640.90	0.47	-74.18
71.	Jun 30, 2023	11.29%	4.71%	44.41	14.27	25.18
Total (Σ):				25,596.43	1,786.26	2,237.91

Show all

Variance_SMCI = Σ(R_SMCI,t–R_SMCI)² ÷ (71 – 1)
= 25,596.43 ÷ (71 – 1)
= 365.66

Variance_{S&P 500} = Σ(R_{S&P 500,t}–R_{S&P 500})² ÷ (71 – 1)
= 1,786.26 ÷ (71 – 1)
= 25.52

Covariance_{SMCI, S&P 500} = Σ(R_SMCI,t–R_SMCI)×(R_{S&P 500,t}–R_{S&P 500}) ÷ (71 – 1)
= 2,237.91 ÷ (71 – 1)
= 31.97

Systematic Risk (β) Estimation

Variance_SMCI	365.66
Variance_{S&P 500}	25.52
Covariance_{SMCI, S&P 500}	31.97
Correlation coefficient_{SMCI, S&P 500}¹	0.33
β_SMCI²	1.25
α_SMCI³	3.46%

Calculations

¹ Correlation coefficient_{SMCI, S&P 500}
= Covariance_{SMCI, S&P 500} ÷ (Standard deviation_SMCI × Standard deviation_{S&P 500})
= 31.97 ÷ (19.12% × 5.05%)
= 0.33

² β_SMCI
= Covariance_{SMCI, S&P 500} ÷ Variance_{S&P 500}
= 31.97 ÷ 25.52
= 1.25

³ α_SMCI
= Average_SMCI – β_SMCI × Average_{S&P 500}
= 4.63% – 1.25 × 0.94%
= 3.46%

Expected Rate of Return

Assumptions
Rate of return on LT Treasury Composite¹	R_F	4.65%
Expected rate of return on market portfolio²	E(R_M)	13.79%
Systematic risk (β) of Super Micro Computer Inc. common stock	β_SMCI	1.25

Expected rate of return on Super Micro Computer Inc. common stock³	E(R_SMCI)	16.10%

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(R_SMCI) = R_F + β_SMCI [E(R_M) – R_F]
= 4.65% + 1.25 [13.79% – 4.65%]
= 16.10%