Stock Analysis on Net

Cigna Group (NYSE:CI)

Capital Asset Pricing Model (CAPM)

Microsoft Excel

Rates of Return

Cigna Group, monthly rates of return

Microsoft Excel
Cigna Group (CI) Standard & Poor’s 500 (S&P 500)
t Date PriceCI,t1 DividendCI,t1 RCI,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2020 $192.38 3,225.52
1. Feb 29, 2020 $182.94 -4.91% 2,954.22 -8.41%
2. Mar 31, 2020 $177.18 $0.04 -3.13% 2,584.59 -12.51%
3. Apr 30, 2020 $195.78 10.50% 2,912.43 12.68%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2024 $337.80 7.30% 6,032.38 5.73%
59. Dec 31, 2024 $276.14 $1.40 -17.84% 5,881.63 -2.50%
Average (R): 1.06% 1.16%
Standard deviation: 8.31% 5.28%
Cigna Group (CI) Standard & Poor’s 500 (S&P 500)
t Date PriceCI,t1 DividendCI,t1 RCI,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2020 $192.38 3,225.52
1. Feb 29, 2020 $182.94 -4.91% 2,954.22 -8.41%
2. Mar 31, 2020 $177.18 $0.04 -3.13% 2,584.59 -12.51%
3. Apr 30, 2020 $195.78 10.50% 2,912.43 12.68%
4. May 31, 2020 $197.32 0.79% 3,044.31 4.53%
5. Jun 30, 2020 $187.65 -4.90% 3,100.29 1.84%
6. Jul 31, 2020 $172.69 -7.97% 3,271.12 5.51%
7. Aug 31, 2020 $177.37 2.71% 3,500.31 7.01%
8. Sep 30, 2020 $169.41 -4.49% 3,363.00 -3.92%
9. Oct 31, 2020 $166.97 -1.44% 3,269.96 -2.77%
10. Nov 30, 2020 $209.14 25.26% 3,621.63 10.75%
11. Dec 31, 2020 $208.18 -0.46% 3,756.07 3.71%
12. Jan 31, 2021 $217.05 4.26% 3,714.24 -1.11%
13. Feb 28, 2021 $209.90 -3.29% 3,811.15 2.61%
14. Mar 31, 2021 $241.74 $1.00 15.65% 3,972.89 4.24%
15. Apr 30, 2021 $249.01 3.01% 4,181.17 5.24%
16. May 31, 2021 $258.85 3.95% 4,204.11 0.55%
17. Jun 30, 2021 $237.07 $1.00 -8.03% 4,297.50 2.22%
18. Jul 31, 2021 $229.49 -3.20% 4,395.26 2.27%
19. Aug 31, 2021 $211.65 -7.77% 4,522.68 2.90%
20. Sep 30, 2021 $200.16 $1.00 -4.96% 4,307.54 -4.76%
21. Oct 31, 2021 $213.61 6.72% 4,605.38 6.91%
22. Nov 30, 2021 $191.90 -10.16% 4,567.00 -0.83%
23. Dec 31, 2021 $229.63 $1.00 20.18% 4,766.18 4.36%
24. Jan 31, 2022 $230.46 0.36% 4,515.55 -5.26%
25. Feb 28, 2022 $237.78 3.18% 4,373.94 -3.14%
26. Mar 31, 2022 $239.61 $1.12 1.24% 4,530.41 3.58%
27. Apr 30, 2022 $246.78 2.99% 4,131.93 -8.80%
28. May 31, 2022 $268.29 8.72% 4,132.15 0.01%
29. Jun 30, 2022 $263.52 $1.12 -1.36% 3,785.38 -8.39%
30. Jul 31, 2022 $275.36 4.49% 4,130.29 9.11%
31. Aug 31, 2022 $283.45 2.94% 3,955.00 -4.24%
32. Sep 30, 2022 $277.47 $1.12 -1.71% 3,585.62 -9.34%
33. Oct 31, 2022 $323.06 16.43% 3,871.98 7.99%
34. Nov 30, 2022 $328.89 1.80% 4,080.11 5.38%
35. Dec 31, 2022 $331.34 $1.12 1.09% 3,839.50 -5.90%
36. Jan 31, 2023 $316.67 -4.43% 4,076.60 6.18%
37. Feb 28, 2023 $292.10 -7.76% 3,970.15 -2.61%
38. Mar 31, 2023 $255.53 $1.23 -12.10% 4,109.31 3.51%
39. Apr 30, 2023 $253.29 -0.88% 4,169.48 1.46%
40. May 31, 2023 $247.41 -2.32% 4,179.83 0.25%
41. Jun 30, 2023 $280.60 $1.23 13.91% 4,376.86 4.71%
42. Jul 31, 2023 $295.10 5.17% 4,588.96 4.85%
43. Aug 31, 2023 $276.26 -6.38% 4,507.66 -1.77%
44. Sep 30, 2023 $286.07 $1.23 4.00% 4,288.05 -4.87%
45. Oct 31, 2023 $309.20 8.09% 4,193.80 -2.20%
46. Nov 30, 2023 $262.88 -14.98% 4,567.80 8.92%
47. Dec 31, 2023 $299.45 $1.23 14.38% 4,769.83 4.42%
48. Jan 31, 2024 $300.95 0.50% 4,845.65 1.59%
49. Feb 29, 2024 $336.14 11.69% 5,096.27 5.17%
50. Mar 31, 2024 $363.19 $1.40 8.46% 5,254.35 3.10%
51. Apr 30, 2024 $357.04 -1.69% 5,035.69 -4.16%
52. May 31, 2024 $344.62 -3.48% 5,277.51 4.80%
53. Jun 30, 2024 $330.57 $1.40 -3.67% 5,460.48 3.47%
54. Jul 31, 2024 $348.67 5.48% 5,522.30 1.13%
55. Aug 31, 2024 $361.81 3.77% 5,648.40 2.28%
56. Sep 30, 2024 $346.44 $1.40 -3.86% 5,762.48 2.02%
57. Oct 31, 2024 $314.81 -9.13% 5,705.45 -0.99%
58. Nov 30, 2024 $337.80 7.30% 6,032.38 5.73%
59. Dec 31, 2024 $276.14 $1.40 -17.84% 5,881.63 -2.50%
Average (R): 1.06% 1.16%
Standard deviation: 8.31% 5.28%

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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 CI during period t

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


Variance and Covariance

Cigna Group, calculation of variance and covariance of returns

Microsoft Excel
t Date RCI,t RS&P 500,t (RCI,tRCI)2 (RS&P 500,tRS&P 500)2 (RCI,tRCI)×(RS&P 500,tRS&P 500)
1. Feb 29, 2020 -4.91% -8.41% 35.64 91.63 57.14
2. Mar 31, 2020 -3.13% -12.51% 17.55 186.96 57.28
3. Apr 30, 2020 10.50% 12.68% 89.02 132.78 108.72
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2024 7.30% 5.73% 38.94 20.87 28.51
59. Dec 31, 2024 -17.84% -2.50% 357.27 13.40 69.19
Total (Σ): 4,008.77 1,618.62 859.41
t Date RCI,t RS&P 500,t (RCI,tRCI)2 (RS&P 500,tRS&P 500)2 (RCI,tRCI)×(RS&P 500,tRS&P 500)
1. Feb 29, 2020 -4.91% -8.41% 35.64 91.63 57.14
2. Mar 31, 2020 -3.13% -12.51% 17.55 186.96 57.28
3. Apr 30, 2020 10.50% 12.68% 89.02 132.78 108.72
4. May 31, 2020 0.79% 4.53% 0.08 11.34 -0.93
5. Jun 30, 2020 -4.90% 1.84% 35.56 0.46 -4.04
6. Jul 31, 2020 -7.97% 5.51% 81.63 18.91 -39.29
7. Aug 31, 2020 2.71% 7.01% 2.71 34.17 9.63
8. Sep 30, 2020 -4.49% -3.92% 30.81 25.85 28.22
9. Oct 31, 2020 -1.44% -2.77% 6.26 15.43 9.83
10. Nov 30, 2020 25.26% 10.75% 585.32 92.03 232.09
11. Dec 31, 2020 -0.46% 3.71% 2.32 6.51 -3.88
12. Jan 31, 2021 4.26% -1.11% 10.23 5.18 -7.28
13. Feb 28, 2021 -3.29% 2.61% 18.98 2.10 -6.31
14. Mar 31, 2021 15.65% 4.24% 212.66 9.50 44.95
15. Apr 30, 2021 3.01% 5.24% 3.78 16.66 7.94
16. May 31, 2021 3.95% 0.55% 8.35 0.38 -1.77
17. Jun 30, 2021 -8.03% 2.22% 82.64 1.12 -9.64
18. Jul 31, 2021 -3.20% 2.27% 18.15 1.24 -4.74
19. Aug 31, 2021 -7.77% 2.90% 78.08 3.02 -15.36
20. Sep 30, 2021 -4.96% -4.76% 36.23 35.02 35.62
21. Oct 31, 2021 6.72% 6.91% 32.00 33.10 32.54
22. Nov 30, 2021 -10.16% -0.83% 126.02 3.98 22.39
23. Dec 31, 2021 20.18% 4.36% 365.56 10.24 61.18
24. Jan 31, 2022 0.36% -5.26% 0.49 41.21 4.50
25. Feb 28, 2022 3.18% -3.14% 4.47 18.47 -9.08
26. Mar 31, 2022 1.24% 3.58% 0.03 5.84 0.43
27. Apr 30, 2022 2.99% -8.80% 3.72 99.14 -19.21
28. May 31, 2022 8.72% 0.01% 58.58 1.34 -8.85
29. Jun 30, 2022 -1.36% -8.39% 5.87 91.26 23.15
30. Jul 31, 2022 4.49% 9.11% 11.77 63.21 27.27
31. Aug 31, 2022 2.94% -4.24% 3.52 29.22 -10.14
32. Sep 30, 2022 -1.71% -9.34% 7.71 110.27 29.16
33. Oct 31, 2022 16.43% 7.99% 236.17 46.58 104.89
34. Nov 30, 2022 1.80% 5.38% 0.55 17.76 3.13
35. Dec 31, 2022 1.09% -5.90% 0.00 49.82 -0.16
36. Jan 31, 2023 -4.43% 6.18% 30.14 25.14 -27.53
37. Feb 28, 2023 -7.76% -2.61% 77.82 14.23 33.28
38. Mar 31, 2023 -12.10% 3.51% 173.22 5.49 -30.85
39. Apr 30, 2023 -0.88% 1.46% 3.76 0.09 -0.59
40. May 31, 2023 -2.32% 0.25% 11.45 0.83 3.09
41. Jun 30, 2023 13.91% 4.71% 165.11 12.62 45.65
42. Jul 31, 2023 5.17% 4.85% 16.85 13.58 15.12
43. Aug 31, 2023 -6.38% -1.77% 55.46 8.60 21.84
44. Sep 30, 2023 4.00% -4.87% 8.61 36.40 -17.70
45. Oct 31, 2023 8.09% -2.20% 49.32 11.28 -23.59
46. Nov 30, 2023 -14.98% 8.92% 257.39 60.17 -124.44
47. Dec 31, 2023 14.38% 4.42% 177.33 10.64 43.43
48. Jan 31, 2024 0.50% 1.59% 0.32 0.18 -0.24
49. Feb 29, 2024 11.69% 5.17% 113.00 16.09 42.64
50. Mar 31, 2024 8.46% 3.10% 54.78 3.77 14.36
51. Apr 30, 2024 -1.69% -4.16% 7.60 28.33 14.67
52. May 31, 2024 -3.48% 4.80% 20.62 13.26 -16.53
53. Jun 30, 2024 -3.67% 3.47% 22.41 5.32 -10.91
54. Jul 31, 2024 5.48% 1.13% 19.47 0.00 -0.13
55. Aug 31, 2024 3.77% 2.28% 7.32 1.26 3.04
56. Sep 30, 2024 -3.86% 2.02% 24.24 0.74 -4.23
57. Oct 31, 2024 -9.13% -0.99% 103.89 4.63 21.92
58. Nov 30, 2024 7.30% 5.73% 38.94 20.87 28.51
59. Dec 31, 2024 -17.84% -2.50% 357.27 13.40 69.19
Total (Σ): 4,008.77 1,618.62 859.41

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VarianceCI = Σ(RCI,tRCI)2 ÷ (59 – 1)
= 4,008.77 ÷ (59 – 1)
= 69.12

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91

CovarianceCI, S&P 500 = Σ(RCI,tRCI)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 859.41 ÷ (59 – 1)
= 14.82


Systematic Risk (β) Estimation

Microsoft Excel
VarianceCI 69.12
VarianceS&P 500 27.91
CovarianceCI, S&P 500 14.82
Correlation coefficientCI, S&P 5001 0.34
βCI2 0.53
αCI3 0.45%

Calculations

1 Correlation coefficientCI, S&P 500
= CovarianceCI, S&P 500 ÷ (Standard deviationCI × Standard deviationS&P 500)
= 14.82 ÷ (8.31% × 5.28%)
= 0.34

2 βCI
= CovarianceCI, S&P 500 ÷ VarianceS&P 500
= 14.82 ÷ 27.91
= 0.53

3 αCI
= AverageCI – βCI × AverageS&P 500
= 1.06%0.53 × 1.16%
= 0.45%


Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF 4.64%
Expected rate of return on market portfolio2 E(RM) 14.89%
Systematic risk (β) of Cigna Group common stock βCI 0.53
 
Expected rate of return on Cigna Group common stock3 E(RCI) 10.08%

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(RCI) = RF + βCI [E(RM) – RF]
= 4.64% + 0.53 [14.89%4.64%]
= 10.08%