Stock Analysis on Net

Delta Air Lines Inc. (NYSE:DAL)

This company has been moved to the archive! The financial data has not been updated since July 13, 2022.

Capital Asset Pricing Model (CAPM) 

Microsoft Excel

Capital asset pricing model (CAPM) indicates what should be the expected or required rate of return on risky assets like Delta Air Lines Inc. common stock.


Rates of Return

Delta Air Lines Inc., monthly rates of return

Microsoft Excel
Delta Air Lines Inc. (DAL) Standard & Poor’s 500 (S&P 500)
t Date PriceDAL,t1 DividendDAL,t1 RDAL,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2017 $47.24 2,278.87
1. Feb 28, 2017 $49.93 $0.2025 6.12% 2,363.64 3.72%
2. Mar 31, 2017 $45.96 -7.95% 2,362.72 -0.04%
3. Apr 30, 2017 $45.44 -1.13% 2,384.20 0.91%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2021 $36.20 -7.49% 4,567.00 -0.83%
59. Dec 31, 2021 $39.08 7.96% 4,766.18 4.36%
Average (R): 0.38% 1.36%
Standard deviation: 10.57% 4.48%
Delta Air Lines Inc. (DAL) Standard & Poor’s 500 (S&P 500)
t Date PriceDAL,t1 DividendDAL,t1 RDAL,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2017 $47.24 2,278.87
1. Feb 28, 2017 $49.93 $0.2025 6.12% 2,363.64 3.72%
2. Mar 31, 2017 $45.96 -7.95% 2,362.72 -0.04%
3. Apr 30, 2017 $45.44 -1.13% 2,384.20 0.91%
4. May 31, 2017 $49.13 $0.2025 8.57% 2,411.80 1.16%
5. Jun 30, 2017 $53.74 9.38% 2,423.41 0.48%
6. Jul 31, 2017 $49.36 -8.15% 2,470.30 1.93%
7. Aug 31, 2017 $47.19 $0.305 -3.78% 2,471.65 0.05%
8. Sep 30, 2017 $48.22 2.18% 2,519.36 1.93%
9. Oct 31, 2017 $50.03 3.75% 2,575.26 2.22%
10. Nov 30, 2017 $52.92 $0.305 6.39% 2,647.58 2.81%
11. Dec 31, 2017 $56.00 5.82% 2,673.61 0.98%
12. Jan 31, 2018 $56.77 1.38% 2,823.81 5.62%
13. Feb 28, 2018 $53.90 $0.305 -4.52% 2,713.83 -3.89%
14. Mar 31, 2018 $54.81 1.69% 2,640.87 -2.69%
15. Apr 30, 2018 $52.22 -4.73% 2,648.05 0.27%
16. May 31, 2018 $54.05 $0.305 4.09% 2,705.27 2.16%
17. Jun 30, 2018 $49.54 -8.34% 2,718.37 0.48%
18. Jul 31, 2018 $54.42 $0.35 10.56% 2,816.29 3.60%
19. Aug 31, 2018 $58.48 7.46% 2,901.52 3.03%
20. Sep 30, 2018 $57.83 -1.11% 2,913.98 0.43%
21. Oct 31, 2018 $54.73 -5.36% 2,711.74 -6.94%
22. Nov 30, 2018 $60.71 $0.35 11.57% 2,760.17 1.79%
23. Dec 31, 2018 $49.90 -17.81% 2,506.85 -9.18%
24. Jan 31, 2019 $49.43 -0.94% 2,704.10 7.87%
25. Feb 28, 2019 $49.58 $0.35 1.01% 2,784.49 2.97%
26. Mar 31, 2019 $51.65 4.18% 2,834.40 1.79%
27. Apr 30, 2019 $58.29 12.86% 2,945.83 3.93%
28. May 31, 2019 $51.50 $0.35 -11.05% 2,752.06 -6.58%
29. Jun 30, 2019 $56.75 10.19% 2,941.76 6.89%
30. Jul 31, 2019 $61.04 $0.4025 8.27% 2,980.38 1.31%
31. Aug 31, 2019 $57.86 -5.21% 2,926.46 -1.81%
32. Sep 30, 2019 $57.60 -0.45% 2,976.74 1.72%
33. Oct 31, 2019 $55.08 $0.4025 -3.68% 3,037.56 2.04%
34. Nov 30, 2019 $57.31 4.05% 3,140.98 3.40%
35. Dec 31, 2019 $58.48 2.04% 3,230.78 2.86%
36. Jan 31, 2020 $55.74 -4.69% 3,225.52 -0.16%
37. Feb 29, 2020 $46.13 $0.4025 -16.52% 2,954.22 -8.41%
38. Mar 31, 2020 $28.53 -38.15% 2,584.59 -12.51%
39. Apr 30, 2020 $25.91 -9.18% 2,912.43 12.68%
40. May 31, 2020 $25.21 -2.70% 3,044.31 4.53%
41. Jun 30, 2020 $28.05 11.27% 3,100.29 1.84%
42. Jul 31, 2020 $24.97 -10.98% 3,271.12 5.51%
43. Aug 31, 2020 $30.85 23.55% 3,500.31 7.01%
44. Sep 30, 2020 $30.58 -0.88% 3,363.00 -3.92%
45. Oct 31, 2020 $30.64 0.20% 3,269.96 -2.77%
46. Nov 30, 2020 $40.25 31.36% 3,621.63 10.75%
47. Dec 31, 2020 $40.21 -0.10% 3,756.07 3.71%
48. Jan 31, 2021 $37.96 -5.60% 3,714.24 -1.11%
49. Feb 28, 2021 $47.94 26.29% 3,811.15 2.61%
50. Mar 31, 2021 $48.28 0.71% 3,972.89 4.24%
51. Apr 30, 2021 $46.92 -2.82% 4,181.17 5.24%
52. May 31, 2021 $47.68 1.62% 4,204.11 0.55%
53. Jun 30, 2021 $43.26 -9.27% 4,297.50 2.22%
54. Jul 31, 2021 $39.90 -7.77% 4,395.26 2.27%
55. Aug 31, 2021 $40.44 1.35% 4,522.68 2.90%
56. Sep 30, 2021 $42.61 5.37% 4,307.54 -4.76%
57. Oct 31, 2021 $39.13 -8.17% 4,605.38 6.91%
58. Nov 30, 2021 $36.20 -7.49% 4,567.00 -0.83%
59. Dec 31, 2021 $39.08 7.96% 4,766.18 4.36%
Average (R): 0.38% 1.36%
Standard deviation: 10.57% 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 DAL during period t

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


Variance and Covariance

Delta Air Lines Inc., calculation of variance and covariance of returns

Microsoft Excel
t Date RDAL,t RS&P 500,t (RDAL,tRDAL)2 (RS&P 500,tRS&P 500)2 (RDAL,tRDAL)×(RS&P 500,tRS&P 500)
1. Feb 28, 2017 6.12% 3.72% 32.93 5.58 13.55
2. Mar 31, 2017 -7.95% -0.04% 69.49 1.95 11.64
3. Apr 30, 2017 -1.13% 0.91% 2.30 0.20 0.68
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2021 -7.49% -0.83% 61.98 4.80 17.25
59. Dec 31, 2021 7.96% 4.36% 57.32 9.02 22.74
Total (Σ): 6,476.17 1,164.17 1,501.70
t Date RDAL,t RS&P 500,t (RDAL,tRDAL)2 (RS&P 500,tRS&P 500)2 (RDAL,tRDAL)×(RS&P 500,tRS&P 500)
1. Feb 28, 2017 6.12% 3.72% 32.93 5.58 13.55
2. Mar 31, 2017 -7.95% -0.04% 69.49 1.95 11.64
3. Apr 30, 2017 -1.13% 0.91% 2.30 0.20 0.68
4. May 31, 2017 8.57% 1.16% 66.93 0.04 -1.64
5. Jun 30, 2017 9.38% 0.48% 80.97 0.77 -7.89
6. Jul 31, 2017 -8.15% 1.93% 72.85 0.33 -4.92
7. Aug 31, 2017 -3.78% 0.05% 17.33 1.70 5.43
8. Sep 30, 2017 2.18% 1.93% 3.23 0.33 1.03
9. Oct 31, 2017 3.75% 2.22% 11.35 0.74 2.90
10. Nov 30, 2017 6.39% 2.81% 36.01 2.10 8.70
11. Dec 31, 2017 5.82% 0.98% 29.54 0.14 -2.04
12. Jan 31, 2018 1.38% 5.62% 0.98 18.15 4.22
13. Feb 28, 2018 -4.52% -3.89% 24.04 27.59 25.75
14. Mar 31, 2018 1.69% -2.69% 1.70 16.37 -5.27
15. Apr 30, 2018 -4.73% 0.27% 26.12 1.18 5.55
16. May 31, 2018 4.09% 2.16% 13.72 0.64 2.97
17. Jun 30, 2018 -8.34% 0.48% 76.20 0.76 7.63
18. Jul 31, 2018 10.56% 3.60% 103.47 5.04 22.83
19. Aug 31, 2018 7.46% 3.03% 50.06 2.78 11.81
20. Sep 30, 2018 -1.11% 0.43% 2.24 0.86 1.39
21. Oct 31, 2018 -5.36% -6.94% 33.01 68.86 47.68
22. Nov 30, 2018 11.57% 1.79% 125.01 0.18 4.79
23. Dec 31, 2018 -17.81% -9.18% 330.91 111.00 191.65
24. Jan 31, 2019 -0.94% 7.87% 1.76 42.39 -8.64
25. Feb 28, 2019 1.01% 2.97% 0.39 2.61 1.01
26. Mar 31, 2019 4.18% 1.79% 14.37 0.19 1.65
27. Apr 30, 2019 12.86% 3.93% 155.52 6.62 32.09
28. May 31, 2019 -11.05% -6.58% 130.72 62.97 90.73
29. Jun 30, 2019 10.19% 6.89% 96.22 30.64 54.30
30. Jul 31, 2019 8.27% 1.31% 62.15 0.00 -0.36
31. Aug 31, 2019 -5.21% -1.81% 31.30 10.03 17.72
32. Sep 30, 2019 -0.45% 1.72% 0.70 0.13 -0.30
33. Oct 31, 2019 -3.68% 2.04% 16.49 0.47 -2.78
34. Nov 30, 2019 4.05% 3.40% 13.42 4.19 7.50
35. Dec 31, 2019 2.04% 2.86% 2.74 2.25 2.49
36. Jan 31, 2020 -4.69% -0.16% 25.71 2.31 7.71
37. Feb 29, 2020 -16.52% -8.41% 285.73 95.43 165.13
38. Mar 31, 2020 -38.15% -12.51% 1,485.18 192.37 534.52
39. Apr 30, 2020 -9.18% 12.68% 91.55 128.29 -108.37
40. May 31, 2020 -2.70% 4.53% 9.53 10.05 -9.79
41. Jun 30, 2020 11.27% 1.84% 118.38 0.23 5.23
42. Jul 31, 2020 -10.98% 5.51% 129.17 17.24 -47.19
43. Aug 31, 2020 23.55% 7.01% 536.54 31.91 130.84
44. Sep 30, 2020 -0.88% -3.92% 1.59 27.89 6.65
45. Oct 31, 2020 0.20% -2.77% 0.04 17.01 0.78
46. Nov 30, 2020 31.36% 10.75% 959.72 88.30 291.10
47. Dec 31, 2020 -0.10% 3.71% 0.23 5.54 -1.14
48. Jan 31, 2021 -5.60% -1.11% 35.77 6.11 14.78
49. Feb 28, 2021 26.29% 2.61% 671.12 1.57 32.41
50. Mar 31, 2021 0.71% 4.24% 0.11 8.33 0.94
51. Apr 30, 2021 -2.82% 5.24% 10.25 15.09 -12.44
52. May 31, 2021 1.62% 0.55% 1.52 0.65 -1.00
53. Jun 30, 2021 -9.27% 2.22% 93.22 0.75 -8.34
54. Jul 31, 2021 -7.77% 2.27% 66.45 0.84 -7.47
55. Aug 31, 2021 1.35% 2.90% 0.94 2.38 1.49
56. Sep 30, 2021 5.37% -4.76% 24.81 37.39 -30.46
57. Oct 31, 2021 -8.17% 6.91% 73.14 30.87 -47.52
58. Nov 30, 2021 -7.49% -0.83% 61.98 4.80 17.25
59. Dec 31, 2021 7.96% 4.36% 57.32 9.02 22.74
Total (Σ): 6,476.17 1,164.17 1,501.70

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VarianceDAL = Σ(RDAL,tRDAL)2 ÷ (59 – 1)
= 6,476.17 ÷ (59 – 1)
= 111.66

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

CovarianceDAL, S&P 500 = Σ(RDAL,tRDAL)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,501.70 ÷ (59 – 1)
= 25.89


Systematic Risk (β) Estimation

Microsoft Excel
VarianceDAL 111.66
VarianceS&P 500 20.07
CovarianceDAL, S&P 500 25.89
Correlation coefficientDAL, S&P 5001 0.55
βDAL2 1.29
αDAL3 -1.37%

Calculations

1 Correlation coefficientDAL, S&P 500
= CovarianceDAL, S&P 500 ÷ (Standard deviationDAL × Standard deviationS&P 500)
= 25.89 ÷ (10.57% × 4.48%)
= 0.55

2 βDAL
= CovarianceDAL, S&P 500 ÷ VarianceS&P 500
= 25.89 ÷ 20.07
= 1.29

3 αDAL
= AverageDAL – βDAL × AverageS&P 500
= 0.38%1.29 × 1.36%
= -1.37%


Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF 4.67%
Expected rate of return on market portfolio2 E(RM) 13.79%
Systematic risk (β) of Delta Air Lines Inc. common stock βDAL 1.29
 
Expected rate of return on Delta Air Lines Inc. common stock3 E(RDAL) 16.43%

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(RDAL) = RF + βDAL [E(RM) – RF]
= 4.67% + 1.29 [13.79%4.67%]
= 16.43%