Stock Analysis on Net

Northrop Grumman Corp. (NYSE:NOC)

This company has been moved to the archive! The financial data has not been updated since April 27, 2023.

Capital Asset Pricing Model (CAPM)

Microsoft Excel

Rates of Return

Northrop Grumman Corp., monthly rates of return

Microsoft Excel
Northrop Grumman Corp. (NOC) Standard & Poor’s 500 (S&P 500)
t Date PriceNOC,t1 DividendNOC,t1 RNOC,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2018 $340.53 2,823.81
1. Feb 28, 2018 $350.04 2.79% 2,713.83 -3.89%
2. Mar 31, 2018 $349.12 $1.10 0.05% 2,640.87 -2.69%
3. Apr 30, 2018 $322.04 -7.76% 2,648.05 0.27%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2022 $533.29 $1.73 -2.55% 4,080.11 5.38%
59. Dec 31, 2022 $545.61 2.31% 3,839.50 -5.90%
Average (R): 1.17% 0.67%
Standard deviation: 6.86% 5.40%
Northrop Grumman Corp. (NOC) Standard & Poor’s 500 (S&P 500)
t Date PriceNOC,t1 DividendNOC,t1 RNOC,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2018 $340.53 2,823.81
1. Feb 28, 2018 $350.04 2.79% 2,713.83 -3.89%
2. Mar 31, 2018 $349.12 $1.10 0.05% 2,640.87 -2.69%
3. Apr 30, 2018 $322.04 -7.76% 2,648.05 0.27%
4. May 31, 2018 $327.25 1.62% 2,705.27 2.16%
5. Jun 30, 2018 $307.70 $1.20 -5.61% 2,718.37 0.48%
6. Jul 31, 2018 $300.49 -2.34% 2,816.29 3.60%
7. Aug 31, 2018 $298.49 $1.20 -0.27% 2,901.52 3.03%
8. Sep 30, 2018 $317.37 6.33% 2,913.98 0.43%
9. Oct 31, 2018 $261.95 -17.46% 2,711.74 -6.94%
10. Nov 30, 2018 $259.88 $1.20 -0.33% 2,760.17 1.79%
11. Dec 31, 2018 $244.90 -5.76% 2,506.85 -9.18%
12. Jan 31, 2019 $275.55 12.52% 2,704.10 7.87%
13. Feb 28, 2019 $289.96 $1.20 5.67% 2,784.49 2.97%
14. Mar 31, 2019 $269.60 -7.02% 2,834.40 1.79%
15. Apr 30, 2019 $289.91 7.53% 2,945.83 3.93%
16. May 31, 2019 $303.25 $1.32 5.06% 2,752.06 -6.58%
17. Jun 30, 2019 $323.11 6.55% 2,941.76 6.89%
18. Jul 31, 2019 $345.57 6.95% 2,980.38 1.31%
19. Aug 31, 2019 $367.87 6.45% 2,926.46 -1.81%
20. Sep 30, 2019 $374.79 $1.32 2.24% 2,976.74 1.72%
21. Oct 31, 2019 $352.48 -5.95% 3,037.56 2.04%
22. Nov 30, 2019 $351.77 $1.32 0.17% 3,140.98 3.40%
23. Dec 31, 2019 $343.97 -2.22% 3,230.78 2.86%
24. Jan 31, 2020 $374.57 8.90% 3,225.52 -0.16%
25. Feb 29, 2020 $328.84 $1.32 -11.86% 2,954.22 -8.41%
26. Mar 31, 2020 $302.55 -7.99% 2,584.59 -12.51%
27. Apr 30, 2020 $330.67 9.29% 2,912.43 12.68%
28. May 31, 2020 $335.20 $1.45 1.81% 3,044.31 4.53%
29. Jun 30, 2020 $307.44 -8.28% 3,100.29 1.84%
30. Jul 31, 2020 $325.01 5.71% 3,271.12 5.51%
31. Aug 31, 2020 $342.61 $1.45 5.86% 3,500.31 7.01%
32. Sep 30, 2020 $315.49 -7.92% 3,363.00 -3.92%
33. Oct 31, 2020 $289.82 -8.14% 3,269.96 -2.77%
34. Nov 30, 2020 $302.26 $1.45 4.79% 3,621.63 10.75%
35. Dec 31, 2020 $304.72 0.81% 3,756.07 3.71%
36. Jan 31, 2021 $286.61 -5.94% 3,714.24 -1.11%
37. Feb 28, 2021 $291.66 $1.45 2.27% 3,811.15 2.61%
38. Mar 31, 2021 $323.64 10.96% 3,972.89 4.24%
39. Apr 30, 2021 $354.44 9.52% 4,181.17 5.24%
40. May 31, 2021 $365.87 $1.57 3.67% 4,204.11 0.55%
41. Jun 30, 2021 $363.43 -0.67% 4,297.50 2.22%
42. Jul 31, 2021 $363.02 -0.11% 4,395.26 2.27%
43. Aug 31, 2021 $367.70 $1.57 1.72% 4,522.68 2.90%
44. Sep 30, 2021 $360.15 -2.05% 4,307.54 -4.76%
45. Oct 31, 2021 $357.22 -0.81% 4,605.38 6.91%
46. Nov 30, 2021 $348.80 $1.57 -1.92% 4,567.00 -0.83%
47. Dec 31, 2021 $387.07 10.97% 4,766.18 4.36%
48. Jan 31, 2022 $369.90 -4.44% 4,515.55 -5.26%
49. Feb 28, 2022 $442.14 $1.57 19.95% 4,373.94 -3.14%
50. Mar 31, 2022 $447.22 1.15% 4,530.41 3.58%
51. Apr 30, 2022 $439.40 -1.75% 4,131.93 -8.80%
52. May 31, 2022 $467.97 $1.73 6.90% 4,132.15 0.01%
53. Jun 30, 2022 $478.57 2.27% 3,785.38 -8.39%
54. Jul 31, 2022 $478.90 0.07% 4,130.29 9.11%
55. Aug 31, 2022 $477.99 $1.73 0.17% 3,955.00 -4.24%
56. Sep 30, 2022 $470.32 -1.60% 3,585.62 -9.34%
57. Oct 31, 2022 $549.01 16.73% 3,871.98 7.99%
58. Nov 30, 2022 $533.29 $1.73 -2.55% 4,080.11 5.38%
59. Dec 31, 2022 $545.61 2.31% 3,839.50 -5.90%
Average (R): 1.17% 0.67%
Standard deviation: 6.86% 5.40%

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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 NOC during period t

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


Variance and Covariance

Northrop Grumman Corp., calculation of variance and covariance of returns

Microsoft Excel
t Date RNOC,t RS&P 500,t (RNOC,tRNOC)2 (RS&P 500,tRS&P 500)2 (RNOC,tRNOC)×(RS&P 500,tRS&P 500)
1. Feb 28, 2018 2.79% -3.89% 2.63 20.81 -7.40
2. Mar 31, 2018 0.05% -2.69% 1.25 11.26 3.75
3. Apr 30, 2018 -7.76% 0.27% 79.68 0.16 3.52
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2022 -2.55% 5.38% 13.82 22.17 -17.51
59. Dec 31, 2022 2.31% -5.90% 1.30 43.08 -7.49
Total (Σ): 2,731.47 1,691.48 976.36
t Date RNOC,t RS&P 500,t (RNOC,tRNOC)2 (RS&P 500,tRS&P 500)2 (RNOC,tRNOC)×(RS&P 500,tRS&P 500)
1. Feb 28, 2018 2.79% -3.89% 2.63 20.81 -7.40
2. Mar 31, 2018 0.05% -2.69% 1.25 11.26 3.75
3. Apr 30, 2018 -7.76% 0.27% 79.68 0.16 3.52
4. May 31, 2018 1.62% 2.16% 0.20 2.23 0.67
5. Jun 30, 2018 -5.61% 0.48% 45.93 0.03 1.24
6. Jul 31, 2018 -2.34% 3.60% 12.34 8.62 -10.31
7. Aug 31, 2018 -0.27% 3.03% 2.06 5.57 -3.39
8. Sep 30, 2018 6.33% 0.43% 26.58 0.06 -1.22
9. Oct 31, 2018 -17.46% -6.94% 347.15 57.87 141.73
10. Nov 30, 2018 -0.33% 1.79% 2.26 1.25 -1.68
11. Dec 31, 2018 -5.76% -9.18% 48.08 96.91 68.26
12. Jan 31, 2019 12.52% 7.87% 128.72 51.87 81.71
13. Feb 28, 2019 5.67% 2.97% 20.21 5.32 10.37
14. Mar 31, 2019 -7.02% 1.79% 67.10 1.27 -9.22
15. Apr 30, 2019 7.53% 3.93% 40.50 10.66 20.78
16. May 31, 2019 5.06% -6.58% 15.11 52.48 -28.16
17. Jun 30, 2019 6.55% 6.89% 28.94 38.77 33.49
18. Jul 31, 2019 6.95% 1.31% 33.43 0.42 3.74
19. Aug 31, 2019 6.45% -1.81% 27.92 6.13 -13.08
20. Sep 30, 2019 2.24% 1.72% 1.15 1.11 1.13
21. Oct 31, 2019 -5.95% 2.04% 50.73 1.89 -9.80
22. Nov 30, 2019 0.17% 3.40% 0.99 7.50 -2.73
23. Dec 31, 2019 -2.22% 2.86% 11.47 4.81 -7.43
24. Jan 31, 2020 8.90% -0.16% 59.70 0.69 -6.41
25. Feb 29, 2020 -11.86% -8.41% 169.67 82.40 118.25
26. Mar 31, 2020 -7.99% -12.51% 83.99 173.67 120.77
27. Apr 30, 2020 9.29% 12.68% 66.01 144.43 97.64
28. May 31, 2020 1.81% 4.53% 0.41 14.91 2.47
29. Jun 30, 2020 -8.28% 1.84% 89.33 1.37 -11.08
30. Jul 31, 2020 5.71% 5.51% 20.66 23.46 22.02
31. Aug 31, 2020 5.86% 7.01% 22.01 40.19 29.74
32. Sep 30, 2020 -7.92% -3.92% 82.54 21.06 41.70
33. Oct 31, 2020 -8.14% -2.77% 86.61 11.79 31.95
34. Nov 30, 2020 4.79% 10.75% 13.13 101.77 36.55
35. Dec 31, 2020 0.81% 3.71% 0.13 9.28 -1.08
36. Jan 31, 2021 -5.94% -1.11% 50.59 3.17 12.66
37. Feb 28, 2021 2.27% 2.61% 1.21 3.77 2.13
38. Mar 31, 2021 10.96% 4.24% 95.95 12.80 35.04
39. Apr 30, 2021 9.52% 5.24% 69.67 20.94 38.20
40. May 31, 2021 3.67% 0.55% 6.24 0.01 -0.29
41. Jun 30, 2021 -0.67% 2.22% 3.37 2.42 -2.86
42. Jul 31, 2021 -0.11% 2.27% 1.64 2.59 -2.06
43. Aug 31, 2021 1.72% 2.90% 0.30 4.98 1.23
44. Sep 30, 2021 -2.05% -4.76% 10.39 29.42 17.48
45. Oct 31, 2021 -0.81% 6.91% 3.93 39.03 -12.39
46. Nov 30, 2021 -1.92% -0.83% 9.53 2.25 4.63
47. Dec 31, 2021 10.97% 4.36% 96.08 13.65 36.22
48. Jan 31, 2022 -4.44% -5.26% 31.42 35.11 33.21
49. Feb 28, 2022 19.95% -3.14% 352.85 14.46 -71.43
50. Mar 31, 2022 1.15% 3.58% 0.00 8.47 -0.06
51. Apr 30, 2022 -1.75% -8.80% 8.52 89.54 27.61
52. May 31, 2022 6.90% 0.01% 32.79 0.44 -3.79
53. Jun 30, 2022 2.27% -8.39% 1.20 82.06 -9.92
54. Jul 31, 2022 0.07% 9.11% 1.21 71.32 -9.30
55. Aug 31, 2022 0.17% -4.24% 1.00 24.11 4.90
56. Sep 30, 2022 -1.60% -9.34% 7.70 100.12 27.76
57. Oct 31, 2022 16.73% 7.99% 242.16 53.58 113.91
58. Nov 30, 2022 -2.55% 5.38% 13.82 22.17 -17.51
59. Dec 31, 2022 2.31% -5.90% 1.30 43.08 -7.49
Total (Σ): 2,731.47 1,691.48 976.36

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VarianceNOC = Σ(RNOC,tRNOC)2 ÷ (59 – 1)
= 2,731.47 ÷ (59 – 1)
= 47.09

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16

CovarianceNOC, S&P 500 = Σ(RNOC,tRNOC)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 976.36 ÷ (59 – 1)
= 16.83


Systematic Risk (β) Estimation

Microsoft Excel
VarianceNOC 47.09
VarianceS&P 500 29.16
CovarianceNOC, S&P 500 16.83
Correlation coefficientNOC, S&P 5001 0.45
βNOC2 0.58
αNOC3 0.78%

Calculations

1 Correlation coefficientNOC, S&P 500
= CovarianceNOC, S&P 500 ÷ (Standard deviationNOC × Standard deviationS&P 500)
= 16.83 ÷ (6.86% × 5.40%)
= 0.45

2 βNOC
= CovarianceNOC, S&P 500 ÷ VarianceS&P 500
= 16.83 ÷ 29.16
= 0.58

3 αNOC
= AverageNOC – βNOC × AverageS&P 500
= 1.17%0.58 × 0.67%
= 0.78%


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 Northrop Grumman Corp. common stock βNOC 0.58
 
Expected rate of return on Northrop Grumman Corp. common stock3 E(RNOC) 9.93%

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(RNOC) = RF + βNOC [E(RM) – RF]
= 4.67% + 0.58 [13.79%4.67%]
= 9.93%