Stock Analysis on Net

Freeport-McMoRan Inc. (NYSE:FCX)

Modelo de fijación de precios de activos de capital (CAPM) 

Microsoft Excel

El modelo de fijación de precios de activos de capital (CAPM, por sus siglas en inglés) indica cuál debería ser la tasa de rendimiento esperada o requerida en activos de riesgo como las acciones ordinarias de FCX.


Tasas de retorno

Freeport-McMoRan Inc., tasas mensuales de retorno

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

Mostrar todo

1 Datos en dólares estadounidenses por acción ordinaria, ajustados por divisiones y dividendos de acciones.

2 Tasa de rendimiento de las acciones ordinarias de FCX durante el período t.

3 Tasa de rendimiento del S&P 500 (el proxy de la cartera de mercado) durante el período t.


Varianza y covarianza

Freeport-McMoRan Inc., cálculo de la varianza y covarianza de los rendimientos

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

Mostrar todo

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

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

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


Estimación sistemática del riesgo (β)

Microsoft Excel
VarianzaFCX 203.56
VarianzaS&P 500 27.91
CovarianzaFCX, S&P 500 52.01
Coeficiente de correlaciónFCX, S&P 5001 0.69
βFCX2 1.86
αFCX3 1.01%

Cálculos

1 Coeficiente de correlaciónFCX, S&P 500
= CovarianzaFCX, S&P 500 ÷ (Desviación estándarFCX × Desviación estándarS&P 500)
= 52.01 ÷ (14.27% × 5.28%)
= 0.69

2 βFCX
= CovarianzaFCX, S&P 500 ÷ VarianzaS&P 500
= 52.01 ÷ 27.91
= 1.86

3 αFCX
= PromedioFCX – βFCX × PromedioS&P 500
= 3.18%1.86 × 1.16%
= 1.01%


Tasa de rendimiento esperada

Microsoft Excel
Suposiciones
Tasa de rendimiento del LT Treasury Composite1 RF 4.76%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 14.72%
Riesgo sistemático de FCX acciones ordinarias βFCX 1.86
 
Tasa de rendimiento esperada de las acciones ordinarias de FCX3 E(RFCX) 23.32%

1 Promedio no ponderado de los rendimientos de las ofertas de todos los bonos del Tesoro de EE. UU. con cupón fijo en circulación que no vencen ni son rescatables en menos de 10 años (proxy de tasa de rendimiento libre de riesgo).

2 Ver detalles »

3 E(RFCX) = RF + βFCX [E(RM) – RF]
= 4.76% + 1.86 [14.72%4.76%]
= 23.32%