Stock Analysis on Net

FedEx Corp. (NYSE:FDX)

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 FedEx Corp. common stock.


Rates of Return

FedEx Corp., monthly rates of return

Microsoft Excel
FedEx Corp. (FDX) Standard & Poor’s 500 (S&P 500)
t Date PriceFDX,t1 DividendFDX,t1 RFDX,t2 PriceS&P 500,t RS&P 500,t3
Jun 30, 2018 $227.06 2,718.37
1. Jul 31, 2018 $245.87 8.28% 2,816.29 3.60%
2. Aug 31, 2018 $243.95 -0.78% 2,901.52 3.03%
3. Sep 30, 2018 $240.79 $0.65 -1.03% 2,913.98 0.43%
. . . . . . .
. . . . . . .
. . . . . . .
70. Apr 30, 2024 $261.78 -9.65% 5,035.69 -4.16%
71. May 31, 2024 $253.96 -2.99% 5,277.51 4.80%
Average (R): 0.85% 1.08%
Standard deviation: 10.45% 5.24%
FedEx Corp. (FDX) Standard & Poor’s 500 (S&P 500)
t Date PriceFDX,t1 DividendFDX,t1 RFDX,t2 PriceS&P 500,t RS&P 500,t3
Jun 30, 2018 $227.06 2,718.37
1. Jul 31, 2018 $245.87 8.28% 2,816.29 3.60%
2. Aug 31, 2018 $243.95 -0.78% 2,901.52 3.03%
3. Sep 30, 2018 $240.79 $0.65 -1.03% 2,913.98 0.43%
4. Oct 31, 2018 $220.34 -8.49% 2,711.74 -6.94%
5. Nov 30, 2018 $229.00 3.93% 2,760.17 1.79%
6. Dec 31, 2018 $161.33 $0.65 -29.27% 2,506.85 -9.18%
7. Jan 31, 2019 $177.57 10.07% 2,704.10 7.87%
8. Feb 28, 2019 $181.00 1.93% 2,784.49 2.97%
9. Mar 31, 2019 $181.41 $0.65 0.59% 2,834.40 1.79%
10. Apr 30, 2019 $189.46 4.44% 2,945.83 3.93%
11. May 31, 2019 $154.28 -18.57% 2,752.06 -6.58%
12. Jun 30, 2019 $164.19 $0.65 6.84% 2,941.76 6.89%
13. Jul 31, 2019 $170.53 3.86% 2,980.38 1.31%
14. Aug 31, 2019 $158.61 -6.99% 2,926.46 -1.81%
15. Sep 30, 2019 $145.57 $0.65 -7.81% 2,976.74 1.72%
16. Oct 31, 2019 $152.66 4.87% 3,037.56 2.04%
17. Nov 30, 2019 $160.05 4.84% 3,140.98 3.40%
18. Dec 31, 2019 $151.21 $0.65 -5.12% 3,230.78 2.86%
19. Jan 31, 2020 $144.64 -4.34% 3,225.52 -0.16%
20. Feb 29, 2020 $141.17 -2.40% 2,954.22 -8.41%
21. Mar 31, 2020 $121.26 $0.65 -13.64% 2,584.59 -12.51%
22. Apr 30, 2020 $126.77 4.54% 2,912.43 12.68%
23. May 31, 2020 $130.56 2.99% 3,044.31 4.53%
24. Jun 30, 2020 $140.22 $0.65 7.90% 3,100.29 1.84%
25. Jul 31, 2020 $168.40 20.10% 3,271.12 5.51%
26. Aug 31, 2020 $219.84 30.55% 3,500.31 7.01%
27. Sep 30, 2020 $251.52 $0.65 14.71% 3,363.00 -3.92%
28. Oct 31, 2020 $259.47 3.16% 3,269.96 -2.77%
29. Nov 30, 2020 $286.58 10.45% 3,621.63 10.75%
30. Dec 31, 2020 $259.62 $0.65 -9.18% 3,756.07 3.71%
31. Jan 31, 2021 $235.34 -9.35% 3,714.24 -1.11%
32. Feb 28, 2021 $254.50 8.14% 3,811.15 2.61%
33. Mar 31, 2021 $284.04 $0.65 11.86% 3,972.89 4.24%
34. Apr 30, 2021 $290.31 2.21% 4,181.17 5.24%
35. May 31, 2021 $314.81 8.44% 4,204.11 0.55%
36. Jun 30, 2021 $298.33 $0.75 -5.00% 4,297.50 2.22%
37. Jul 31, 2021 $279.95 -6.16% 4,395.26 2.27%
38. Aug 31, 2021 $265.69 -5.09% 4,522.68 2.90%
39. Sep 30, 2021 $219.29 $0.75 -17.18% 4,307.54 -4.76%
40. Oct 31, 2021 $235.53 7.41% 4,605.38 6.91%
41. Nov 30, 2021 $230.37 -2.19% 4,567.00 -0.83%
42. Dec 31, 2021 $258.64 $0.75 12.60% 4,766.18 4.36%
43. Jan 31, 2022 $245.86 -4.94% 4,515.55 -5.26%
44. Feb 28, 2022 $222.27 -9.59% 4,373.94 -3.14%
45. Mar 31, 2022 $231.39 $0.75 4.44% 4,530.41 3.58%
46. Apr 30, 2022 $198.74 -14.11% 4,131.93 -8.80%
47. May 31, 2022 $224.58 13.00% 4,132.15 0.01%
48. Jun 30, 2022 $226.71 $1.15 1.46% 3,785.38 -8.39%
49. Jul 31, 2022 $233.09 2.81% 4,130.29 9.11%
50. Aug 31, 2022 $210.81 -9.56% 3,955.00 -4.24%
51. Sep 30, 2022 $148.47 $1.15 -29.03% 3,585.62 -9.34%
52. Oct 31, 2022 $160.28 7.95% 3,871.98 7.99%
53. Nov 30, 2022 $182.22 13.69% 4,080.11 5.38%
54. Dec 31, 2022 $173.20 $1.15 -4.32% 3,839.50 -5.90%
55. Jan 31, 2023 $193.86 11.93% 4,076.60 6.18%
56. Feb 28, 2023 $203.22 4.83% 3,970.15 -2.61%
57. Mar 31, 2023 $228.49 $1.15 13.00% 4,109.31 3.51%
58. Apr 30, 2023 $227.78 -0.31% 4,169.48 1.46%
59. May 31, 2023 $217.98 -4.30% 4,179.83 0.25%
60. Jun 30, 2023 $247.90 $1.26 14.30% 4,376.86 4.71%
61. Jul 31, 2023 $269.95 8.89% 4,588.96 4.85%
62. Aug 31, 2023 $261.02 -3.31% 4,507.66 -1.77%
63. Sep 30, 2023 $264.92 $1.26 1.98% 4,288.05 -4.87%
64. Oct 31, 2023 $240.10 -9.37% 4,193.80 -2.20%
65. Nov 30, 2023 $258.83 7.80% 4,567.80 8.92%
66. Dec 31, 2023 $252.97 $1.26 -1.78% 4,769.83 4.42%
67. Jan 31, 2024 $241.29 -4.62% 4,845.65 1.59%
68. Feb 29, 2024 $248.97 3.18% 5,096.27 5.17%
69. Mar 31, 2024 $289.74 $1.26 16.88% 5,254.35 3.10%
70. Apr 30, 2024 $261.78 -9.65% 5,035.69 -4.16%
71. May 31, 2024 $253.96 -2.99% 5,277.51 4.80%
Average (R): 0.85% 1.08%
Standard deviation: 10.45% 5.24%

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 FDX during period t

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


Variance and Covariance

FedEx Corp., calculation of variance and covariance of returns

Microsoft Excel
t Date RFDX,t RS&P 500,t (RFDX,tRFDX)2 (RS&P 500,tRS&P 500)2 (RFDX,tRFDX)×(RS&P 500,tRS&P 500)
1. Jul 31, 2018 8.28% 3.60% 55.26 6.39 18.78
2. Aug 31, 2018 -0.78% 3.03% 2.66 3.81 -3.18
3. Sep 30, 2018 -1.03% 0.43% 3.53 0.42 1.21
. . . . . . .
. . . . . . .
. . . . . . .
70. Apr 30, 2024 -9.65% -4.16% 110.26 27.42 54.99
71. May 31, 2024 -2.99% 4.80% 14.73 13.89 -14.30
Total (Σ): 7,649.93 1,923.46 2,512.67
t Date RFDX,t RS&P 500,t (RFDX,tRFDX)2 (RS&P 500,tRS&P 500)2 (RFDX,tRFDX)×(RS&P 500,tRS&P 500)
1. Jul 31, 2018 8.28% 3.60% 55.26 6.39 18.78
2. Aug 31, 2018 -0.78% 3.03% 2.66 3.81 -3.18
3. Sep 30, 2018 -1.03% 0.43% 3.53 0.42 1.21
4. Oct 31, 2018 -8.49% -6.94% 87.30 64.25 74.89
5. Nov 30, 2018 3.93% 1.79% 9.49 0.51 2.19
6. Dec 31, 2018 -29.27% -9.18% 907.02 105.12 308.79
7. Jan 31, 2019 10.07% 7.87% 84.93 46.15 62.61
8. Feb 28, 2019 1.93% 2.97% 1.17 3.60 2.05
9. Mar 31, 2019 0.59% 1.79% 0.07 0.51 -0.19
10. Apr 30, 2019 4.44% 3.93% 12.87 8.16 10.24
11. May 31, 2019 -18.57% -6.58% 377.10 58.57 148.61
12. Jun 30, 2019 6.84% 6.89% 35.93 33.85 34.87
13. Jul 31, 2019 3.86% 1.31% 9.07 0.06 0.72
14. Aug 31, 2019 -6.99% -1.81% 61.47 8.32 22.62
15. Sep 30, 2019 -7.81% 1.72% 75.03 0.41 -5.57
16. Oct 31, 2019 4.87% 2.04% 16.16 0.94 3.89
17. Nov 30, 2019 4.84% 3.40% 15.92 5.43 9.30
18. Dec 31, 2019 -5.12% 2.86% 35.61 3.18 -10.64
19. Jan 31, 2020 -4.34% -0.16% 26.99 1.53 6.43
20. Feb 29, 2020 -2.40% -8.41% 10.56 89.99 30.83
21. Mar 31, 2020 -13.64% -12.51% 210.06 184.61 196.93
22. Apr 30, 2020 4.54% 12.68% 13.64 134.77 42.88
23. May 31, 2020 2.99% 4.53% 4.58 11.92 7.39
24. Jun 30, 2020 7.90% 1.84% 49.65 0.58 5.38
25. Jul 31, 2020 20.10% 5.51% 370.43 19.67 85.36
26. Aug 31, 2020 30.55% 7.01% 881.84 35.18 176.13
27. Sep 30, 2020 14.71% -3.92% 191.98 24.98 -69.25
28. Oct 31, 2020 3.16% -2.77% 5.34 14.76 -8.88
29. Nov 30, 2020 10.45% 10.75% 92.12 93.69 92.90
30. Dec 31, 2020 -9.18% 3.71% 100.62 6.95 -26.45
31. Jan 31, 2021 -9.35% -1.11% 104.09 4.79 22.33
32. Feb 28, 2021 8.14% 2.61% 53.16 2.35 11.18
33. Mar 31, 2021 11.86% 4.24% 121.26 10.04 34.89
34. Apr 30, 2021 2.21% 5.24% 1.84 17.37 5.65
35. May 31, 2021 8.44% 0.55% 57.59 0.28 -4.00
36. Jun 30, 2021 -5.00% 2.22% 34.19 1.31 -6.70
37. Jul 31, 2021 -6.16% 2.27% 49.16 1.44 -8.41
38. Aug 31, 2021 -5.09% 2.90% 35.33 3.33 -10.84
39. Sep 30, 2021 -17.18% -4.76% 325.16 34.01 105.17
40. Oct 31, 2021 7.41% 6.91% 42.97 34.10 38.28
41. Nov 30, 2021 -2.19% -0.83% 9.25 3.64 5.80
42. Dec 31, 2021 12.60% 4.36% 137.98 10.80 38.60
43. Jan 31, 2022 -4.94% -5.26% 33.54 40.12 36.68
44. Feb 28, 2022 -9.59% -3.14% 109.11 17.74 43.99
45. Mar 31, 2022 4.44% 3.58% 12.89 6.26 8.98
46. Apr 30, 2022 -14.11% -8.80% 223.83 97.44 147.68
47. May 31, 2022 13.00% 0.01% 147.66 1.14 -13.00
48. Jun 30, 2022 1.46% -8.39% 0.37 89.63 -5.78
49. Jul 31, 2022 2.81% 9.11% 3.86 64.58 15.78
50. Aug 31, 2022 -9.56% -4.24% 108.35 28.29 55.37
51. Sep 30, 2022 -29.03% -9.34% 892.61 108.47 311.16
52. Oct 31, 2022 7.95% 7.99% 50.47 47.76 49.10
53. Nov 30, 2022 13.69% 5.38% 164.82 18.49 55.20
54. Dec 31, 2022 -4.32% -5.90% 26.72 48.61 36.04
55. Jan 31, 2023 11.93% 6.18% 122.72 26.01 56.50
56. Feb 28, 2023 4.83% -2.61% 15.82 13.59 -14.66
57. Mar 31, 2023 13.00% 3.51% 147.63 5.90 29.52
58. Apr 30, 2023 -0.31% 1.46% 1.35 0.15 -0.45
59. May 31, 2023 -4.30% 0.25% 26.55 0.68 4.26
60. Jun 30, 2023 14.30% 4.71% 181.00 13.24 48.95
61. Jul 31, 2023 8.89% 4.85% 64.71 14.22 30.33
62. Aug 31, 2023 -3.31% -1.77% 17.29 8.10 11.84
63. Sep 30, 2023 1.98% -4.87% 1.27 35.37 -6.70
64. Oct 31, 2023 -9.37% -2.20% 104.43 10.71 33.45
65. Nov 30, 2023 7.80% 8.92% 48.31 61.51 54.51
66. Dec 31, 2023 -1.78% 4.42% 6.90 11.21 -8.80
67. Jan 31, 2024 -4.62% 1.59% 29.89 0.26 -2.81
68. Feb 29, 2024 3.18% 5.17% 5.44 16.78 9.56
69. Mar 31, 2024 16.88% 3.10% 257.00 4.11 32.49
70. Apr 30, 2024 -9.65% -4.16% 110.26 27.42 54.99
71. May 31, 2024 -2.99% 4.80% 14.73 13.89 -14.30
Total (Σ): 7,649.93 1,923.46 2,512.67

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VarianceFDX = Σ(RFDX,tRFDX)2 ÷ (71 – 1)
= 7,649.93 ÷ (71 – 1)
= 109.28

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,923.46 ÷ (71 – 1)
= 27.48

CovarianceFDX, S&P 500 = Σ(RFDX,tRFDX)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 2,512.67 ÷ (71 – 1)
= 35.90


Systematic Risk (β) Estimation

Microsoft Excel
VarianceFDX 109.28
VarianceS&P 500 27.48
CovarianceFDX, S&P 500 35.90
Correlation coefficientFDX, S&P 5001 0.66
βFDX2 1.31
αFDX3 -0.55%

Calculations

1 Correlation coefficientFDX, S&P 500
= CovarianceFDX, S&P 500 ÷ (Standard deviationFDX × Standard deviationS&P 500)
= 35.90 ÷ (10.45% × 5.24%)
= 0.66

2 βFDX
= CovarianceFDX, S&P 500 ÷ VarianceS&P 500
= 35.90 ÷ 27.48
= 1.31

3 αFDX
= AverageFDX – βFDX × AverageS&P 500
= 0.85%1.31 × 1.08%
= -0.55%


Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF 4.65%
Expected rate of return on market portfolio2 E(RM) 13.79%
Systematic risk (β) of FedEx Corp. common stock βFDX 1.31
 
Expected rate of return on FedEx Corp. common stock3 E(RFDX) 16.59%

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(RFDX) = RF + βFDX [E(RM) – RF]
= 4.65% + 1.31 [13.79%4.65%]
= 16.59%