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 Dell Technologies Inc. common stock.
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Dell Technologies Inc. pages available for free this week:
- Income Statement
- Balance Sheet: Assets
- Common-Size Balance Sheet: Assets
- Enterprise Value (EV)
- Enterprise Value to EBITDA (EV/EBITDA)
- Dividend Discount Model (DDM)
- Selected Financial Data since 2019
- Total Asset Turnover since 2019
- Price to Operating Profit (P/OP) since 2019
- Price to Book Value (P/BV) since 2019
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Rates of Return
Dell Technologies Inc., monthly rates of return
| Dell Technologies Inc. (DELL) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Date | PriceDELL,t1 | DividendDELL,t1 | RDELL,t2 | PriceS&P 500,t | RS&P 500,t3 |
| Dec 31, 2018 | ||||||
| 1. | Jan 31, 2019 | |||||
| 2. | Feb 28, 2019 | |||||
| 3. | Mar 31, 2019 | |||||
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 60. | Dec 31, 2023 | |||||
| 61. | Jan 31, 2024 | |||||
| Average (R): | ||||||
| Standard deviation: | ||||||
| Dell Technologies Inc. (DELL) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Date | PriceDELL,t1 | DividendDELL,t1 | RDELL,t2 | PriceS&P 500,t | RS&P 500,t3 |
| Dec 31, 2018 | ||||||
| 1. | Jan 31, 2019 | |||||
| 2. | Feb 28, 2019 | |||||
| 3. | Mar 31, 2019 | |||||
| 4. | Apr 30, 2019 | |||||
| 5. | May 31, 2019 | |||||
| 6. | Jun 30, 2019 | |||||
| 7. | Jul 31, 2019 | |||||
| 8. | Aug 31, 2019 | |||||
| 9. | Sep 30, 2019 | |||||
| 10. | Oct 31, 2019 | |||||
| 11. | Nov 30, 2019 | |||||
| 12. | Dec 31, 2019 | |||||
| 13. | Jan 31, 2020 | |||||
| 14. | Feb 29, 2020 | |||||
| 15. | Mar 31, 2020 | |||||
| 16. | Apr 30, 2020 | |||||
| 17. | May 31, 2020 | |||||
| 18. | Jun 30, 2020 | |||||
| 19. | Jul 31, 2020 | |||||
| 20. | Aug 31, 2020 | |||||
| 21. | Sep 30, 2020 | |||||
| 22. | Oct 31, 2020 | |||||
| 23. | Nov 30, 2020 | |||||
| 24. | Dec 31, 2020 | |||||
| 25. | Jan 31, 2021 | |||||
| 26. | Feb 28, 2021 | |||||
| 27. | Mar 31, 2021 | |||||
| 28. | Apr 30, 2021 | |||||
| 29. | May 31, 2021 | |||||
| 30. | Jun 30, 2021 | |||||
| 31. | Jul 31, 2021 | |||||
| 32. | Aug 31, 2021 | |||||
| 33. | Sep 30, 2021 | |||||
| 34. | Oct 31, 2021 | |||||
| 35. | Nov 30, 2021 | |||||
| 36. | Dec 31, 2021 | |||||
| 37. | Jan 31, 2022 | |||||
| 38. | Feb 28, 2022 | |||||
| 39. | Mar 31, 2022 | |||||
| 40. | Apr 30, 2022 | |||||
| 41. | May 31, 2022 | |||||
| 42. | Jun 30, 2022 | |||||
| 43. | Jul 31, 2022 | |||||
| 44. | Aug 31, 2022 | |||||
| 45. | Sep 30, 2022 | |||||
| 46. | Oct 31, 2022 | |||||
| 47. | Nov 30, 2022 | |||||
| 48. | Dec 31, 2022 | |||||
| 49. | Jan 31, 2023 | |||||
| 50. | Feb 28, 2023 | |||||
| 51. | Mar 31, 2023 | |||||
| 52. | Apr 30, 2023 | |||||
| 53. | May 31, 2023 | |||||
| 54. | Jun 30, 2023 | |||||
| 55. | Jul 31, 2023 | |||||
| 56. | Aug 31, 2023 | |||||
| 57. | Sep 30, 2023 | |||||
| 58. | Oct 31, 2023 | |||||
| 59. | Nov 30, 2023 | |||||
| 60. | Dec 31, 2023 | |||||
| 61. | Jan 31, 2024 | |||||
| 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 DELL during period t
3 Rate of return on S&P 500 (the market portfolio proxy) during period t
Variance and Covariance
Dell Technologies Inc., calculation of variance and covariance of returns
| t | Date | RDELL,t | RS&P 500,t | (RDELL,t–RDELL)2 | (RS&P 500,t–RS&P 500)2 | (RDELL,t–RDELL)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | Jan 31, 2019 | |||||
| 2. | Feb 28, 2019 | |||||
| 3. | Mar 31, 2019 | |||||
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 60. | Dec 31, 2023 | |||||
| 61. | Jan 31, 2024 | |||||
| Total (Σ): | ||||||
| t | Date | RDELL,t | RS&P 500,t | (RDELL,t–RDELL)2 | (RS&P 500,t–RS&P 500)2 | (RDELL,t–RDELL)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | Jan 31, 2019 | |||||
| 2. | Feb 28, 2019 | |||||
| 3. | Mar 31, 2019 | |||||
| 4. | Apr 30, 2019 | |||||
| 5. | May 31, 2019 | |||||
| 6. | Jun 30, 2019 | |||||
| 7. | Jul 31, 2019 | |||||
| 8. | Aug 31, 2019 | |||||
| 9. | Sep 30, 2019 | |||||
| 10. | Oct 31, 2019 | |||||
| 11. | Nov 30, 2019 | |||||
| 12. | Dec 31, 2019 | |||||
| 13. | Jan 31, 2020 | |||||
| 14. | Feb 29, 2020 | |||||
| 15. | Mar 31, 2020 | |||||
| 16. | Apr 30, 2020 | |||||
| 17. | May 31, 2020 | |||||
| 18. | Jun 30, 2020 | |||||
| 19. | Jul 31, 2020 | |||||
| 20. | Aug 31, 2020 | |||||
| 21. | Sep 30, 2020 | |||||
| 22. | Oct 31, 2020 | |||||
| 23. | Nov 30, 2020 | |||||
| 24. | Dec 31, 2020 | |||||
| 25. | Jan 31, 2021 | |||||
| 26. | Feb 28, 2021 | |||||
| 27. | Mar 31, 2021 | |||||
| 28. | Apr 30, 2021 | |||||
| 29. | May 31, 2021 | |||||
| 30. | Jun 30, 2021 | |||||
| 31. | Jul 31, 2021 | |||||
| 32. | Aug 31, 2021 | |||||
| 33. | Sep 30, 2021 | |||||
| 34. | Oct 31, 2021 | |||||
| 35. | Nov 30, 2021 | |||||
| 36. | Dec 31, 2021 | |||||
| 37. | Jan 31, 2022 | |||||
| 38. | Feb 28, 2022 | |||||
| 39. | Mar 31, 2022 | |||||
| 40. | Apr 30, 2022 | |||||
| 41. | May 31, 2022 | |||||
| 42. | Jun 30, 2022 | |||||
| 43. | Jul 31, 2022 | |||||
| 44. | Aug 31, 2022 | |||||
| 45. | Sep 30, 2022 | |||||
| 46. | Oct 31, 2022 | |||||
| 47. | Nov 30, 2022 | |||||
| 48. | Dec 31, 2022 | |||||
| 49. | Jan 31, 2023 | |||||
| 50. | Feb 28, 2023 | |||||
| 51. | Mar 31, 2023 | |||||
| 52. | Apr 30, 2023 | |||||
| 53. | May 31, 2023 | |||||
| 54. | Jun 30, 2023 | |||||
| 55. | Jul 31, 2023 | |||||
| 56. | Aug 31, 2023 | |||||
| 57. | Sep 30, 2023 | |||||
| 58. | Oct 31, 2023 | |||||
| 59. | Nov 30, 2023 | |||||
| 60. | Dec 31, 2023 | |||||
| 61. | Jan 31, 2024 | |||||
| Total (Σ): | ||||||
Show all
VarianceDELL = Σ(RDELL,t–RDELL)2 ÷ (61 – 1)
= ÷ (61 – 1)
=
VarianceS&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (61 – 1)
= ÷ (61 – 1)
=
CovarianceDELL, S&P 500 = Σ(RDELL,t–RDELL)×(RS&P 500,t–RS&P 500) ÷ (61 – 1)
= ÷ (61 – 1)
=
Systematic Risk (β) Estimation
| VarianceDELL | |
| VarianceS&P 500 | |
| CovarianceDELL, S&P 500 | |
| Correlation coefficientDELL, S&P 5001 | |
| βDELL2 | |
| αDELL3 |
Calculations
1 Correlation coefficientDELL, S&P 500
= CovarianceDELL, S&P 500 ÷ (Standard deviationDELL × Standard deviationS&P 500)
= ÷ ( × )
=
2 βDELL
= CovarianceDELL, S&P 500 ÷ VarianceS&P 500
= ÷
=
3 αDELL
= AverageDELL – βDELL × 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 Dell Technologies Inc. common stock | βDELL | |
| Expected rate of return on Dell Technologies Inc. common stock3 | E(RDELL) | |
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(RDELL) = RF + βDELL [E(RM) – RF]
= + [ – ]
=