Stock Analysis on Net

3M Co. (NYSE:MMM)

This company has been moved to the archive! The financial data has not been updated since October 25, 2022.

Capital Asset Pricing Model (CAPM) 

Microsoft Excel

Rates of Return

3M Co., monthly rates of return

Microsoft Excel
3M Co. (MMM) Standard & Poor’s 500 (S&P 500)
t Date PriceMMM,t1 DividendMMM,t1 RMMM,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2017 $174.82 2,278.87
1. Feb 28, 2017 $186.35 $1.175 7.27% 2,363.64 3.72%
2. Mar 31, 2017 $191.33 2.67% 2,362.72 -0.04%
3. Apr 30, 2017 $195.83 2.35% 2,384.20 0.91%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2021 $170.04 $1.48 -4.01% 4,567.00 -0.83%
59. Dec 31, 2021 $177.63 4.46% 4,766.18 4.36%
Average (R): 0.46% 1.36%
Standard deviation: 6.03% 4.48%
3M Co. (MMM) Standard & Poor’s 500 (S&P 500)
t Date PriceMMM,t1 DividendMMM,t1 RMMM,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2017 $174.82 2,278.87
1. Feb 28, 2017 $186.35 $1.175 7.27% 2,363.64 3.72%
2. Mar 31, 2017 $191.33 2.67% 2,362.72 -0.04%
3. Apr 30, 2017 $195.83 2.35% 2,384.20 0.91%
4. May 31, 2017 $204.47 $1.175 5.01% 2,411.80 1.16%
5. Jun 30, 2017 $208.19 1.82% 2,423.41 0.48%
6. Jul 31, 2017 $201.17 -3.37% 2,470.30 1.93%
7. Aug 31, 2017 $204.32 $1.175 2.15% 2,471.65 0.05%
8. Sep 30, 2017 $209.90 2.73% 2,519.36 1.93%
9. Oct 31, 2017 $230.19 9.67% 2,575.26 2.22%
10. Nov 30, 2017 $243.14 $1.175 6.14% 2,647.58 2.81%
11. Dec 31, 2017 $235.37 -3.20% 2,673.61 0.98%
12. Jan 31, 2018 $250.50 6.43% 2,823.81 5.62%
13. Feb 28, 2018 $235.51 $1.36 -5.44% 2,713.83 -3.89%
14. Mar 31, 2018 $219.52 -6.79% 2,640.87 -2.69%
15. Apr 30, 2018 $194.39 -11.45% 2,648.05 0.27%
16. May 31, 2018 $197.23 $1.36 2.16% 2,705.27 2.16%
17. Jun 30, 2018 $196.72 -0.26% 2,718.37 0.48%
18. Jul 31, 2018 $212.32 7.93% 2,816.29 3.60%
19. Aug 31, 2018 $210.92 $1.36 -0.02% 2,901.52 3.03%
20. Sep 30, 2018 $210.71 -0.10% 2,913.98 0.43%
21. Oct 31, 2018 $190.26 -9.71% 2,711.74 -6.94%
22. Nov 30, 2018 $207.92 $1.36 10.00% 2,760.17 1.79%
23. Dec 31, 2018 $190.54 -8.36% 2,506.85 -9.18%
24. Jan 31, 2019 $200.30 5.12% 2,704.10 7.87%
25. Feb 28, 2019 $207.39 $1.44 4.26% 2,784.49 2.97%
26. Mar 31, 2019 $207.78 0.19% 2,834.40 1.79%
27. Apr 30, 2019 $189.51 -8.79% 2,945.83 3.93%
28. May 31, 2019 $159.75 $1.44 -14.94% 2,752.06 -6.58%
29. Jun 30, 2019 $173.34 8.51% 2,941.76 6.89%
30. Jul 31, 2019 $174.72 0.80% 2,980.38 1.31%
31. Aug 31, 2019 $161.72 $1.44 -6.62% 2,926.46 -1.81%
32. Sep 30, 2019 $164.40 1.66% 2,976.74 1.72%
33. Oct 31, 2019 $164.99 0.36% 3,037.56 2.04%
34. Nov 30, 2019 $169.77 $1.44 3.77% 3,140.98 3.40%
35. Dec 31, 2019 $176.42 3.92% 3,230.78 2.86%
36. Jan 31, 2020 $158.66 -10.07% 3,225.52 -0.16%
37. Feb 29, 2020 $149.24 $1.47 -5.01% 2,954.22 -8.41%
38. Mar 31, 2020 $136.51 -8.53% 2,584.59 -12.51%
39. Apr 30, 2020 $151.92 11.29% 2,912.43 12.68%
40. May 31, 2020 $156.44 $1.47 3.94% 3,044.31 4.53%
41. Jun 30, 2020 $155.99 -0.29% 3,100.29 1.84%
42. Jul 31, 2020 $150.47 -3.54% 3,271.12 5.51%
43. Aug 31, 2020 $163.02 $1.47 9.32% 3,500.31 7.01%
44. Sep 30, 2020 $160.18 -1.74% 3,363.00 -3.92%
45. Oct 31, 2020 $159.96 -0.14% 3,269.96 -2.77%
46. Nov 30, 2020 $172.73 $1.47 8.90% 3,621.63 10.75%
47. Dec 31, 2020 $174.79 1.19% 3,756.07 3.71%
48. Jan 31, 2021 $175.66 0.50% 3,714.24 -1.11%
49. Feb 28, 2021 $175.06 $1.48 0.50% 3,811.15 2.61%
50. Mar 31, 2021 $192.68 10.07% 3,972.89 4.24%
51. Apr 30, 2021 $197.14 2.31% 4,181.17 5.24%
52. May 31, 2021 $203.04 $1.48 3.74% 4,204.11 0.55%
53. Jun 30, 2021 $198.63 -2.17% 4,297.50 2.22%
54. Jul 31, 2021 $197.94 -0.35% 4,395.26 2.27%
55. Aug 31, 2021 $194.74 $1.48 -0.87% 4,522.68 2.90%
56. Sep 30, 2021 $175.42 -9.92% 4,307.54 -4.76%
57. Oct 31, 2021 $178.68 1.86% 4,605.38 6.91%
58. Nov 30, 2021 $170.04 $1.48 -4.01% 4,567.00 -0.83%
59. Dec 31, 2021 $177.63 4.46% 4,766.18 4.36%
Average (R): 0.46% 1.36%
Standard deviation: 6.03% 4.48%

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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 MMM during period t

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


Variance and Covariance

3M Co., calculation of variance and covariance of returns

Microsoft Excel
t Date RMMM,t RS&P 500,t (RMMM,tRMMM)2 (RS&P 500,tRS&P 500)2 (RMMM,tRMMM)×(RS&P 500,tRS&P 500)
1. Feb 28, 2017 7.27% 3.72% 46.30 5.58 16.07
2. Mar 31, 2017 2.67% -0.04% 4.88 1.95 -3.09
3. Apr 30, 2017 2.35% 0.91% 3.57 0.20 -0.85
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2021 -4.01% -0.83% 19.98 4.80 9.80
59. Dec 31, 2021 4.46% 4.36% 16.01 9.02 12.02
Total (Σ): 2,109.95 1,164.17 1,113.30
t Date RMMM,t RS&P 500,t (RMMM,tRMMM)2 (RS&P 500,tRS&P 500)2 (RMMM,tRMMM)×(RS&P 500,tRS&P 500)
1. Feb 28, 2017 7.27% 3.72% 46.30 5.58 16.07
2. Mar 31, 2017 2.67% -0.04% 4.88 1.95 -3.09
3. Apr 30, 2017 2.35% 0.91% 3.57 0.20 -0.85
4. May 31, 2017 5.01% 1.16% 20.69 0.04 -0.91
5. Jun 30, 2017 1.82% 0.48% 1.84 0.77 -1.19
6. Jul 31, 2017 -3.37% 1.93% 14.71 0.33 -2.21
7. Aug 31, 2017 2.15% 0.05% 2.85 1.70 -2.20
8. Sep 30, 2017 2.73% 1.93% 5.14 0.33 1.30
9. Oct 31, 2017 9.67% 2.22% 84.70 0.74 7.92
10. Nov 30, 2017 6.14% 2.81% 32.19 2.10 8.23
11. Dec 31, 2017 -3.20% 0.98% 13.39 0.14 1.37
12. Jan 31, 2018 6.43% 5.62% 35.58 18.15 25.41
13. Feb 28, 2018 -5.44% -3.89% 34.86 27.59 31.01
14. Mar 31, 2018 -6.79% -2.69% 52.60 16.37 29.35
15. Apr 30, 2018 -11.45% 0.27% 141.86 1.18 12.94
16. May 31, 2018 2.16% 2.16% 2.88 0.64 1.36
17. Jun 30, 2018 -0.26% 0.48% 0.52 0.76 0.63
18. Jul 31, 2018 7.93% 3.60% 55.76 5.04 16.76
19. Aug 31, 2018 -0.02% 3.03% 0.23 2.78 -0.80
20. Sep 30, 2018 -0.10% 0.43% 0.32 0.86 0.52
21. Oct 31, 2018 -9.71% -6.94% 103.39 68.86 84.38
22. Nov 30, 2018 10.00% 1.79% 90.89 0.18 4.08
23. Dec 31, 2018 -8.36% -9.18% 77.83 111.00 92.94
24. Jan 31, 2019 5.12% 7.87% 21.71 42.39 30.33
25. Feb 28, 2019 4.26% 2.97% 14.41 2.61 6.13
26. Mar 31, 2019 0.19% 1.79% 0.08 0.19 -0.12
27. Apr 30, 2019 -8.79% 3.93% 85.67 6.62 -23.82
28. May 31, 2019 -14.94% -6.58% 237.37 62.97 122.26
29. Jun 30, 2019 8.51% 6.89% 64.71 30.64 44.52
30. Jul 31, 2019 0.80% 1.31% 0.11 0.00 -0.02
31. Aug 31, 2019 -6.62% -1.81% 50.12 10.03 22.42
32. Sep 30, 2019 1.66% 1.72% 1.43 0.13 0.43
33. Oct 31, 2019 0.36% 2.04% 0.01 0.47 -0.07
34. Nov 30, 2019 3.77% 3.40% 10.94 4.19 6.77
35. Dec 31, 2019 3.92% 2.86% 11.93 2.25 5.18
36. Jan 31, 2020 -10.07% -0.16% 110.88 2.31 16.01
37. Feb 29, 2020 -5.01% -8.41% 29.96 95.43 53.47
38. Mar 31, 2020 -8.53% -12.51% 80.87 192.37 124.73
39. Apr 30, 2020 11.29% 12.68% 117.19 128.29 122.62
40. May 31, 2020 3.94% 4.53% 12.11 10.05 11.03
41. Jun 30, 2020 -0.29% 1.84% 0.56 0.23 -0.36
42. Jul 31, 2020 -3.54% 5.51% 16.01 17.24 -16.62
43. Aug 31, 2020 9.32% 7.01% 78.40 31.91 50.02
44. Sep 30, 2020 -1.74% -3.92% 4.86 27.89 11.64
45. Oct 31, 2020 -0.14% -2.77% 0.36 17.01 2.48
46. Nov 30, 2020 8.90% 10.75% 71.22 88.30 79.30
47. Dec 31, 2020 1.19% 3.71% 0.53 5.54 1.72
48. Jan 31, 2021 0.50% -1.11% 0.00 6.11 -0.09
49. Feb 28, 2021 0.50% 2.61% 0.00 1.57 0.05
50. Mar 31, 2021 10.07% 4.24% 92.20 8.33 27.71
51. Apr 30, 2021 2.31% 5.24% 3.43 15.09 7.19
52. May 31, 2021 3.74% 0.55% 10.76 0.65 -2.65
53. Jun 30, 2021 -2.17% 2.22% 6.94 0.75 -2.28
54. Jul 31, 2021 -0.35% 2.27% 0.66 0.84 -0.74
55. Aug 31, 2021 -0.87% 2.90% 1.77 2.38 -2.05
56. Sep 30, 2021 -9.92% -4.76% 107.83 37.39 63.50
57. Oct 31, 2021 1.86% 6.91% 1.95 30.87 7.75
58. Nov 30, 2021 -4.01% -0.83% 19.98 4.80 9.80
59. Dec 31, 2021 4.46% 4.36% 16.01 9.02 12.02
Total (Σ): 2,109.95 1,164.17 1,113.30

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VarianceMMM = Σ(RMMM,tRMMM)2 ÷ (59 – 1)
= 2,109.95 ÷ (59 – 1)
= 36.38

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,164.17 ÷ (59 – 1)
= 20.07

CovarianceMMM, S&P 500 = Σ(RMMM,tRMMM)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,113.30 ÷ (59 – 1)
= 19.19


Systematic Risk (β) Estimation

Microsoft Excel
VarianceMMM 36.38
VarianceS&P 500 20.07
CovarianceMMM, S&P 500 19.19
Correlation coefficientMMM, S&P 5001 0.71
βMMM2 0.96
αMMM3 -0.84%

Calculations

1 Correlation coefficientMMM, S&P 500
= CovarianceMMM, S&P 500 ÷ (Standard deviationMMM × Standard deviationS&P 500)
= 19.19 ÷ (6.03% × 4.48%)
= 0.71

2 βMMM
= CovarianceMMM, S&P 500 ÷ VarianceS&P 500
= 19.19 ÷ 20.07
= 0.96

3 αMMM
= AverageMMM – βMMM × AverageS&P 500
= 0.46%0.96 × 1.36%
= -0.84%


Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF 4.68%
Expected rate of return on market portfolio2 E(RM) 13.78%
Systematic risk (β) of 3M Co. common stock βMMM 0.96
 
Expected rate of return on 3M Co. common stock3 E(RMMM) 13.39%

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(RMMM) = RF + βMMM [E(RM) – RF]
= 4.68% + 0.96 [13.78%4.68%]
= 13.39%