Stock Analysis on Net

Freeport-McMoRan Inc. (NYSE:FCX)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

자본 자산 가격 책정 모델(CAPM)은 FCX보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.


수익률

Freeport-McMoRan Inc., 월별 수익률

Microsoft Excel
Freeport-McMoRan Inc. (FCX) Standard & Poor’s 500 (S&P 500)
t 날짜 FCX,t1 피제수FCX,t1 RFCX,t2 S&P 500,t RS&P 500,t3
2020. 1. 31. $11.10 3,225.52
1. 2020. 2. 29. $9.96 -10.27% 2,954.22 -8.41%
2. 2020. 3. 31. $6.75 -32.23% 2,584.59 -12.51%
3. 2020. 4. 30. $8.83 30.81% 2,912.43 12.68%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2024. 11. 30. $44.20 -1.82% 6,032.38 5.73%
59. 2024. 12. 31. $38.08 -13.85% 5,881.63 -2.50%
평균의 (R): 3.18% 1.16%
표준 편차: 14.27% 5.28%
Freeport-McMoRan Inc. (FCX) Standard & Poor’s 500 (S&P 500)
t 날짜 FCX,t1 피제수FCX,t1 RFCX,t2 S&P 500,t RS&P 500,t3
2020. 1. 31. $11.10 3,225.52
1. 2020. 2. 29. $9.96 -10.27% 2,954.22 -8.41%
2. 2020. 3. 31. $6.75 -32.23% 2,584.59 -12.51%
3. 2020. 4. 30. $8.83 30.81% 2,912.43 12.68%
4. 2020. 5. 31. $9.07 2.72% 3,044.31 4.53%
5. 2020. 6. 30. $11.57 27.56% 3,100.29 1.84%
6. 2020. 7. 31. $12.92 11.67% 3,271.12 5.51%
7. 2020. 8. 31. $15.61 20.82% 3,500.31 7.01%
8. 2020. 9. 30. $15.64 0.19% 3,363.00 -3.92%
9. 2020. 10. 31. $17.34 10.87% 3,269.96 -2.77%
10. 2020. 11. 30. $23.39 34.89% 3,621.63 10.75%
11. 2020. 12. 31. $26.02 11.24% 3,756.07 3.71%
12. 2021. 1. 31. $26.91 3.42% 3,714.24 -1.11%
13. 2021. 2. 28. $33.91 26.01% 3,811.15 2.61%
14. 2021. 3. 31. $32.93 -2.89% 3,972.89 4.24%
15. 2021. 4. 30. $37.71 $0.075 14.74% 4,181.17 5.24%
16. 2021. 5. 31. $42.72 13.29% 4,204.11 0.55%
17. 2021. 6. 30. $37.11 -13.13% 4,297.50 2.22%
18. 2021. 7. 31. $38.10 $0.075 2.87% 4,395.26 2.27%
19. 2021. 8. 31. $36.39 -4.49% 4,522.68 2.90%
20. 2021. 9. 30. $32.53 -10.61% 4,307.54 -4.76%
21. 2021. 10. 31. $37.72 $0.075 16.19% 4,605.38 6.91%
22. 2021. 11. 30. $37.08 -1.70% 4,567.00 -0.83%
23. 2021. 12. 31. $41.73 12.54% 4,766.18 4.36%
24. 2022. 1. 31. $37.22 $0.15 -10.45% 4,515.55 -5.26%
25. 2022. 2. 28. $46.95 26.14% 4,373.94 -3.14%
26. 2022. 3. 31. $49.74 5.94% 4,530.41 3.58%
27. 2022. 4. 30. $40.55 $0.15 -18.17% 4,131.93 -8.80%
28. 2022. 5. 31. $39.08 -3.63% 4,132.15 0.01%
29. 2022. 6. 30. $29.26 -25.13% 3,785.38 -8.39%
30. 2022. 7. 31. $31.55 $0.15 8.34% 4,130.29 9.11%
31. 2022. 8. 31. $29.60 -6.18% 3,955.00 -4.24%
32. 2022. 9. 30. $27.33 -7.67% 3,585.62 -9.34%
33. 2022. 10. 31. $31.69 $0.15 16.50% 3,871.98 7.99%
34. 2022. 11. 30. $39.80 25.59% 4,080.11 5.38%
35. 2022. 12. 31. $38.00 -4.52% 3,839.50 -5.90%
36. 2023. 1. 31. $44.62 $0.15 17.82% 4,076.60 6.18%
37. 2023. 2. 28. $40.97 -8.18% 3,970.15 -2.61%
38. 2023. 3. 31. $40.91 -0.15% 4,109.31 3.51%
39. 2023. 4. 30. $37.91 $0.15 -6.97% 4,169.48 1.46%
40. 2023. 5. 31. $34.34 -9.42% 4,179.83 0.25%
41. 2023. 6. 30. $40.00 16.48% 4,376.86 4.71%
42. 2023. 7. 31. $44.65 $0.15 12.00% 4,588.96 4.85%
43. 2023. 8. 31. $39.91 -10.62% 4,507.66 -1.77%
44. 2023. 9. 30. $37.29 -6.56% 4,288.05 -4.87%
45. 2023. 10. 31. $33.78 $0.15 -9.01% 4,193.80 -2.20%
46. 2023. 11. 30. $37.32 10.48% 4,567.80 8.92%
47. 2023. 12. 31. $42.57 14.07% 4,769.83 4.42%
48. 2024. 1. 31. $39.69 $0.15 -6.41% 4,845.65 1.59%
49. 2024. 2. 29. $37.81 -4.74% 5,096.27 5.17%
50. 2024. 3. 31. $47.02 24.36% 5,254.35 3.10%
51. 2024. 4. 30. $49.94 $0.15 6.53% 5,035.69 -4.16%
52. 2024. 5. 31. $52.73 5.59% 5,277.51 4.80%
53. 2024. 6. 30. $48.60 -7.83% 5,460.48 3.47%
54. 2024. 7. 31. $45.41 $0.15 -6.26% 5,522.30 1.13%
55. 2024. 8. 31. $44.28 -2.49% 5,648.40 2.28%
56. 2024. 9. 30. $49.92 12.74% 5,762.48 2.02%
57. 2024. 10. 31. $45.02 $0.15 -9.52% 5,705.45 -0.99%
58. 2024. 11. 30. $44.20 -1.82% 6,032.38 5.73%
59. 2024. 12. 31. $38.08 -13.85% 5,881.63 -2.50%
평균의 (R): 3.18% 1.16%
표준 편차: 14.27% 5.28%

모두 보기

1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.

2 t기간 동안 FCX의 보통주 수익률.

3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.


분산과 공분산

Freeport-McMoRan Inc., 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RFCX,t RS&P 500,t (RFCX,tRFCX)2 (RS&P 500,tRS&P 500)2 (RFCX,tRFCX)×(RS&P 500,tRS&P 500)
1. 2020. 2. 29. -10.27% -8.41% 180.87 91.63 128.74
2. 2020. 3. 31. -32.23% -12.51% 1,253.70 186.96 484.14
3. 2020. 4. 30. 30.81% 12.68% 763.76 132.78 318.46
. . . . . . .
. . . . . . .
. . . . . . .
58. 2024. 11. 30. -1.82% 5.73% 25.00 20.87 -22.84
59. 2024. 12. 31. -13.85% -2.50% 289.84 13.40 62.32
합계 (Σ): 11,806.48 1,618.62 3,016.36
t 날짜 RFCX,t RS&P 500,t (RFCX,tRFCX)2 (RS&P 500,tRS&P 500)2 (RFCX,tRFCX)×(RS&P 500,tRS&P 500)
1. 2020. 2. 29. -10.27% -8.41% 180.87 91.63 128.74
2. 2020. 3. 31. -32.23% -12.51% 1,253.70 186.96 484.14
3. 2020. 4. 30. 30.81% 12.68% 763.76 132.78 318.46
4. 2020. 5. 31. 2.72% 4.53% 0.21 11.34 -1.55
5. 2020. 6. 30. 27.56% 1.84% 594.62 0.46 16.52
6. 2020. 7. 31. 11.67% 5.51% 72.07 18.91 36.92
7. 2020. 8. 31. 20.82% 7.01% 311.23 34.17 103.12
8. 2020. 9. 30. 0.19% -3.92% 8.92 25.85 15.18
9. 2020. 10. 31. 10.87% -2.77% 59.15 15.43 -30.21
10. 2020. 11. 30. 34.89% 10.75% 1,005.64 92.03 304.22
11. 2020. 12. 31. 11.24% 3.71% 65.05 6.51 20.57
12. 2021. 1. 31. 3.42% -1.11% 0.06 5.18 -0.55
13. 2021. 2. 28. 26.01% 2.61% 521.39 2.10 33.06
14. 2021. 3. 31. -2.89% 4.24% 36.83 9.50 -18.71
15. 2021. 4. 30. 14.74% 5.24% 133.74 16.66 47.20
16. 2021. 5. 31. 13.29% 0.55% 102.15 0.38 -6.19
17. 2021. 6. 30. -13.13% 2.22% 266.04 1.12 -17.29
18. 2021. 7. 31. 2.87% 2.27% 0.10 1.24 -0.34
19. 2021. 8. 31. -4.49% 2.90% 58.78 3.02 -13.32
20. 2021. 9. 30. -10.61% -4.76% 190.05 35.02 81.59
21. 2021. 10. 31. 16.19% 6.91% 169.17 33.10 74.83
22. 2021. 11. 30. -1.70% -0.83% 23.77 3.98 9.72
23. 2021. 12. 31. 12.54% 4.36% 87.64 10.24 29.96
24. 2022. 1. 31. -10.45% -5.26% 185.69 41.21 87.48
25. 2022. 2. 28. 26.14% -3.14% 527.31 18.47 -98.68
26. 2022. 3. 31. 5.94% 3.58% 7.64 5.84 6.68
27. 2022. 4. 30. -18.17% -8.80% 455.96 99.14 212.61
28. 2022. 5. 31. -3.63% 0.01% 46.29 1.34 7.86
29. 2022. 6. 30. -25.13% -8.39% 801.26 91.26 270.42
30. 2022. 7. 31. 8.34% 9.11% 26.63 63.21 41.03
31. 2022. 8. 31. -6.18% -4.24% 87.60 29.22 50.59
32. 2022. 9. 30. -7.67% -9.34% 117.67 110.27 113.91
33. 2022. 10. 31. 16.50% 7.99% 177.51 46.58 90.93
34. 2022. 11. 30. 25.59% 5.38% 502.34 17.76 94.45
35. 2022. 12. 31. -4.52% -5.90% 59.31 49.82 54.36
36. 2023. 1. 31. 17.82% 6.18% 214.25 25.14 73.39
37. 2023. 2. 28. -8.18% -2.61% 129.02 14.23 42.85
38. 2023. 3. 31. -0.15% 3.51% 11.06 5.49 -7.79
39. 2023. 4. 30. -6.97% 1.46% 102.92 0.09 -3.07
40. 2023. 5. 31. -9.42% 0.25% 158.65 0.83 11.50
41. 2023. 6. 30. 16.48% 4.71% 176.99 12.62 47.26
42. 2023. 7. 31. 12.00% 4.85% 77.82 13.58 32.50
43. 2023. 8. 31. -10.62% -1.77% 190.29 8.60 40.46
44. 2023. 9. 30. -6.56% -4.87% 94.93 36.40 58.78
45. 2023. 10. 31. -9.01% -2.20% 148.57 11.28 40.95
46. 2023. 11. 30. 10.48% 8.92% 53.30 60.17 56.63
47. 2023. 12. 31. 14.07% 4.42% 118.57 10.64 35.52
48. 2024. 1. 31. -6.41% 1.59% 92.00 0.18 -4.11
49. 2024. 2. 29. -4.74% 5.17% 62.65 16.09 -31.75
50. 2024. 3. 31. 24.36% 3.10% 448.59 3.77 41.10
51. 2024. 4. 30. 6.53% -4.16% 11.23 28.33 -17.83
52. 2024. 5. 31. 5.59% 4.80% 5.80 13.26 8.77
53. 2024. 6. 30. -7.83% 3.47% 121.24 5.32 -25.39
54. 2024. 7. 31. -6.26% 1.13% 89.00 0.00 0.27
55. 2024. 8. 31. -2.49% 2.28% 32.12 1.26 -6.36
56. 2024. 9. 30. 12.74% 2.02% 91.36 0.74 8.21
57. 2024. 10. 31. -9.52% -0.99% 161.13 4.63 27.30
58. 2024. 11. 30. -1.82% 5.73% 25.00 20.87 -22.84
59. 2024. 12. 31. -13.85% -2.50% 289.84 13.40 62.32
합계 (Σ): 11,806.48 1,618.62 3,016.36

모두 보기

분산FCX = Σ(RFCX,tRFCX)2 ÷ (59 – 1)
= 11,806.48 ÷ (59 – 1)
= 203.56

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

공분산FCX, S&P 500 = Σ(RFCX,tRFCX)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 3,016.36 ÷ (59 – 1)
= 52.01


체계적인 위험 추정 (β)

Microsoft Excel
분산FCX 203.56
분산S&P 500 27.91
공분산FCX, S&P 500 52.01
상관 계수FCX, S&P 5001 0.69
βFCX2 1.86
αFCX3 1.01%

계산

1 상관 계수FCX, S&P 500
= 공분산FCX, S&P 500 ÷ (표준 편차FCX × 표준 편차S&P 500)
= 52.01 ÷ (14.27% × 5.28%)
= 0.69

2 βFCX
= 공분산FCX, S&P 500 ÷ 분산S&P 500
= 52.01 ÷ 27.91
= 1.86

3 αFCX
= 평균의FCX – βFCX × 평균의S&P 500
= 3.18%1.86 × 1.16%
= 1.01%


기대 수익률

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.85%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 14.71%
보통주의 체계적 위험FCX βFCX 1.86
 
FCX 보통주 예상 수익률3 E(RFCX) 23.22%

1 10년 이내에 만기가 도래하거나 콜링할 수 없는 모든 미결제 고정 쿠폰 미국 국채에 대한 입찰 수익률의 비가중 평균(무위험 수익률 대리).

2 자세히 보기 »

3 E(RFCX) = RF + βFCX [E(RM) – RF]
= 4.85% + 1.86 [14.71%4.85%]
= 23.22%