Freeport-McMoRan Inc. (NYSE:FCX)

Capital Asset Pricing Model (CAPM)

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

Rates of Return
Variance and Covariance
Systematic Risk (β) Estimation
Expected Rate of Return

Rates of Return

Freeport-McMoRan Inc., monthly rates of return

		Freeport-McMoRan Inc. (FCX)			Standard & Poor’s 500 (S&P 500)
t	Date	Price_FCX,t¹	Dividend_FCX,t¹	R_FCX,t²	Price_{S&P 500,t}	R_{S&P 500,t}³
	Jan 31, 2021	$26.91			3,714.24
1.	Feb 28, 2021	$33.91		26.01%	3,811.15	2.61%
2.	Mar 31, 2021	$32.93		-2.89%	3,972.89	4.24%
3.	Apr 30, 2021	$37.71	$0.075	14.74%	4,181.17	5.24%
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58.	Nov 30, 2025	$42.98		3.07%	6,849.09	0.13%
59.	Dec 31, 2025	$50.79		18.17%	6,845.50	-0.05%
Average (R):				1.88%		1.14%
Standard deviation:				11.92%		4.37%

		Freeport-McMoRan Inc. (FCX)			Standard & Poor’s 500 (S&P 500)
t	Date	Price_FCX,t¹	Dividend_FCX,t¹	R_FCX,t²	Price_{S&P 500,t}	R_{S&P 500,t}³
	Jan 31, 2021	$26.91			3,714.24
1.	Feb 28, 2021	$33.91		26.01%	3,811.15	2.61%
2.	Mar 31, 2021	$32.93		-2.89%	3,972.89	4.24%
3.	Apr 30, 2021	$37.71	$0.075	14.74%	4,181.17	5.24%
4.	May 31, 2021	$42.72		13.29%	4,204.11	0.55%
5.	Jun 30, 2021	$37.11		-13.13%	4,297.50	2.22%
6.	Jul 31, 2021	$38.10	$0.075	2.87%	4,395.26	2.27%
7.	Aug 31, 2021	$36.39		-4.49%	4,522.68	2.90%
8.	Sep 30, 2021	$32.53		-10.61%	4,307.54	-4.76%
9.	Oct 31, 2021	$37.72	$0.075	16.19%	4,605.38	6.91%
10.	Nov 30, 2021	$37.08		-1.70%	4,567.00	-0.83%
11.	Dec 31, 2021	$41.73		12.54%	4,766.18	4.36%
12.	Jan 31, 2022	$37.22	$0.15	-10.45%	4,515.55	-5.26%
13.	Feb 28, 2022	$46.95		26.14%	4,373.94	-3.14%
14.	Mar 31, 2022	$49.74		5.94%	4,530.41	3.58%
15.	Apr 30, 2022	$40.55	$0.15	-18.17%	4,131.93	-8.80%
16.	May 31, 2022	$39.08		-3.63%	4,132.15	0.01%
17.	Jun 30, 2022	$29.26		-25.13%	3,785.38	-8.39%
18.	Jul 31, 2022	$31.55	$0.15	8.34%	4,130.29	9.11%
19.	Aug 31, 2022	$29.60		-6.18%	3,955.00	-4.24%
20.	Sep 30, 2022	$27.33		-7.67%	3,585.62	-9.34%
21.	Oct 31, 2022	$31.69	$0.15	16.50%	3,871.98	7.99%
22.	Nov 30, 2022	$39.80		25.59%	4,080.11	5.38%
23.	Dec 31, 2022	$38.00		-4.52%	3,839.50	-5.90%
24.	Jan 31, 2023	$44.62	$0.15	17.82%	4,076.60	6.18%
25.	Feb 28, 2023	$40.97		-8.18%	3,970.15	-2.61%
26.	Mar 31, 2023	$40.91		-0.15%	4,109.31	3.51%
27.	Apr 30, 2023	$37.91	$0.15	-6.97%	4,169.48	1.46%
28.	May 31, 2023	$34.34		-9.42%	4,179.83	0.25%
29.	Jun 30, 2023	$40.00		16.48%	4,376.86	4.71%
30.	Jul 31, 2023	$44.65	$0.15	12.00%	4,588.96	4.85%
31.	Aug 31, 2023	$39.91		-10.62%	4,507.66	-1.77%
32.	Sep 30, 2023	$37.29		-6.56%	4,288.05	-4.87%
33.	Oct 31, 2023	$33.78	$0.15	-9.01%	4,193.80	-2.20%
34.	Nov 30, 2023	$37.32		10.48%	4,567.80	8.92%
35.	Dec 31, 2023	$42.57		14.07%	4,769.83	4.42%
36.	Jan 31, 2024	$39.69	$0.15	-6.41%	4,845.65	1.59%
37.	Feb 29, 2024	$37.81		-4.74%	5,096.27	5.17%
38.	Mar 31, 2024	$47.02		24.36%	5,254.35	3.10%
39.	Apr 30, 2024	$49.94	$0.15	6.53%	5,035.69	-4.16%
40.	May 31, 2024	$52.73		5.59%	5,277.51	4.80%
41.	Jun 30, 2024	$48.60		-7.83%	5,460.48	3.47%
42.	Jul 31, 2024	$45.41	$0.15	-6.26%	5,522.30	1.13%
43.	Aug 31, 2024	$44.28		-2.49%	5,648.40	2.28%
44.	Sep 30, 2024	$49.92		12.74%	5,762.48	2.02%
45.	Oct 31, 2024	$45.02	$0.15	-9.52%	5,705.45	-0.99%
46.	Nov 30, 2024	$44.20		-1.82%	6,032.38	5.73%
47.	Dec 31, 2024	$38.08		-13.85%	5,881.63	-2.50%
48.	Jan 31, 2025	$35.85	$0.15	-5.46%	6,040.53	2.70%
49.	Feb 28, 2025	$36.91		2.96%	5,954.50	-1.42%
50.	Mar 31, 2025	$37.86		2.57%	5,611.85	-5.75%
51.	Apr 30, 2025	$36.03	$0.15	-4.44%	5,569.06	-0.76%
52.	May 31, 2025	$38.48		6.80%	5,911.69	6.15%
53.	Jun 30, 2025	$43.35		12.66%	6,204.95	4.96%
54.	Jul 31, 2025	$40.24	$0.15	-6.83%	6,339.39	2.17%
55.	Aug 31, 2025	$44.40		10.34%	6,460.26	1.91%
56.	Sep 30, 2025	$39.22		-11.67%	6,688.46	3.53%
57.	Oct 31, 2025	$41.70	$0.15	6.71%	6,840.20	2.27%
58.	Nov 30, 2025	$42.98		3.07%	6,849.09	0.13%
59.	Dec 31, 2025	$50.79		18.17%	6,845.50	-0.05%
Average (R):				1.88%		1.14%
Standard deviation:				11.92%		4.37%

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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 FCX during period t

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

Variance and Covariance

Freeport-McMoRan Inc., calculation of variance and covariance of returns

t	Date	R_FCX,t	R_{S&P 500,t}	(R_FCX,t–R_FCX)²	(R_{S&P 500,t}–R_{S&P 500})²	(R_FCX,t–R_FCX)×(R_{S&P 500,t}–R_{S&P 500})
1.	Feb 28, 2021	26.01%	2.61%	582.55	2.17	35.55
2.	Mar 31, 2021	-2.89%	4.24%	22.72	9.66	-14.81
3.	Apr 30, 2021	14.74%	5.24%	165.56	16.86	52.84
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58.	Nov 30, 2025	3.07%	0.13%	1.42	1.01	-1.20
59.	Dec 31, 2025	18.17%	-0.05%	265.52	1.41	-19.37
Total (Σ):				8,236.19	1,108.23	1,624.95

t	Date	R_FCX,t	R_{S&P 500,t}	(R_FCX,t–R_FCX)²	(R_{S&P 500,t}–R_{S&P 500})²	(R_FCX,t–R_FCX)×(R_{S&P 500,t}–R_{S&P 500})
1.	Feb 28, 2021	26.01%	2.61%	582.55	2.17	35.55
2.	Mar 31, 2021	-2.89%	4.24%	22.72	9.66	-14.81
3.	Apr 30, 2021	14.74%	5.24%	165.56	16.86	52.84
4.	May 31, 2021	13.29%	0.55%	130.17	0.35	-6.70
5.	Jun 30, 2021	-13.13%	2.22%	225.26	1.18	-16.29
6.	Jul 31, 2021	2.87%	2.27%	0.99	1.30	1.13
7.	Aug 31, 2021	-4.49%	2.90%	40.51	3.11	-11.22
8.	Sep 30, 2021	-10.61%	-4.76%	155.85	34.73	73.57
9.	Oct 31, 2021	16.19%	6.91%	204.73	33.39	82.68
10.	Nov 30, 2021	-1.70%	-0.83%	12.77	3.88	7.04
11.	Dec 31, 2021	12.54%	4.36%	113.72	10.40	34.39
12.	Jan 31, 2022	-10.45%	-5.26%	151.90	40.89	78.81
13.	Feb 28, 2022	26.14%	-3.14%	588.81	18.25	-103.67
14.	Mar 31, 2022	5.94%	3.58%	16.53	5.96	9.93
15.	Apr 30, 2022	-18.17%	-8.80%	402.04	98.64	199.14
16.	May 31, 2022	-3.63%	0.01%	30.27	1.28	6.22
17.	Jun 30, 2022	-25.13%	-8.39%	729.24	90.79	257.30
18.	Jul 31, 2022	8.34%	9.11%	41.76	63.61	51.54
19.	Aug 31, 2022	-6.18%	-4.24%	64.92	28.95	43.35
20.	Sep 30, 2022	-7.67%	-9.34%	91.12	109.74	100.00
21.	Oct 31, 2022	16.50%	7.99%	213.90	46.93	100.19
22.	Nov 30, 2022	25.59%	5.38%	562.41	17.97	100.53
23.	Dec 31, 2022	-4.52%	-5.90%	40.95	49.47	45.01
24.	Jan 31, 2023	17.82%	6.18%	254.06	25.39	80.32
25.	Feb 28, 2023	-8.18%	-2.61%	101.14	14.04	37.69
26.	Mar 31, 2023	-0.15%	3.51%	4.09	5.61	-4.79
27.	Apr 30, 2023	-6.97%	1.46%	78.20	0.11	-2.90
28.	May 31, 2023	-9.42%	0.25%	127.54	0.79	10.03
29.	Jun 30, 2023	16.48%	4.71%	213.33	12.80	52.25
30.	Jul 31, 2023	12.00%	4.85%	102.48	13.76	37.56
31.	Aug 31, 2023	-10.62%	-1.77%	156.06	8.46	36.33
32.	Sep 30, 2023	-6.56%	-4.87%	71.26	36.10	50.72
33.	Oct 31, 2023	-9.01%	-2.20%	118.53	11.12	36.30
34.	Nov 30, 2023	10.48%	8.92%	74.01	60.56	66.95
35.	Dec 31, 2023	14.07%	4.42%	148.62	10.80	40.07
36.	Jan 31, 2024	-6.41%	1.59%	68.72	0.21	-3.76
37.	Feb 29, 2024	-4.74%	5.17%	43.73	16.29	-26.69
38.	Mar 31, 2024	24.36%	3.10%	505.44	3.86	44.19
39.	Apr 30, 2024	6.53%	-4.16%	21.65	28.06	-24.65
40.	May 31, 2024	5.59%	4.80%	13.77	13.44	13.60
41.	Jun 30, 2024	-7.83%	3.47%	94.26	5.43	-22.63
42.	Jul 31, 2024	-6.26%	1.13%	66.12	0.00	0.03
43.	Aug 31, 2024	-2.49%	2.28%	19.05	1.32	-5.01
44.	Sep 30, 2024	12.74%	2.02%	117.95	0.78	9.60
45.	Oct 31, 2024	-9.52%	-0.99%	129.77	4.52	24.22
46.	Nov 30, 2024	-1.82%	5.73%	13.67	21.10	-16.99
47.	Dec 31, 2024	-13.85%	-2.50%	247.20	13.21	57.15
48.	Jan 31, 2025	-5.46%	2.70%	53.86	2.45	-11.49
49.	Feb 28, 2025	2.96%	-1.42%	1.17	6.56	-2.77
50.	Mar 31, 2025	2.57%	-5.75%	0.49	47.48	-4.80
51.	Apr 30, 2025	-4.44%	-0.76%	39.87	3.60	11.99
52.	May 31, 2025	6.80%	6.15%	24.24	25.16	24.70
53.	Jun 30, 2025	12.66%	4.96%	116.20	14.63	41.23
54.	Jul 31, 2025	-6.83%	2.17%	75.77	1.06	-8.97
55.	Aug 31, 2025	10.34%	1.91%	71.60	0.59	6.52
56.	Sep 30, 2025	-11.67%	3.53%	183.42	5.74	-32.45
57.	Oct 31, 2025	6.71%	2.27%	23.32	1.28	5.47
58.	Nov 30, 2025	3.07%	0.13%	1.42	1.01	-1.20
59.	Dec 31, 2025	18.17%	-0.05%	265.52	1.41	-19.37
Total (Σ):				8,236.19	1,108.23	1,624.95

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Variance_FCX = Σ(R_FCX,t–R_FCX)² ÷ (59 – 1)
= 8,236.19 ÷ (59 – 1)
= 142.00

Variance_{S&P 500} = Σ(R_{S&P 500,t}–R_{S&P 500})² ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11

Covariance_{FCX, S&P 500} = Σ(R_FCX,t–R_FCX)×(R_{S&P 500,t}–R_{S&P 500}) ÷ (59 – 1)
= 1,624.95 ÷ (59 – 1)
= 28.02

Systematic Risk (β) Estimation

Variance_FCX	142.00
Variance_{S&P 500}	19.11
Covariance_{FCX, S&P 500}	28.02
Correlation coefficient_{FCX, S&P 500}¹	0.54
β_FCX²	1.47
α_FCX³	0.21%

Calculations

¹ Correlation coefficient_{FCX, S&P 500}
= Covariance_{FCX, S&P 500} ÷ (Standard deviation_FCX × Standard deviation_{S&P 500})
= 28.02 ÷ (11.92% × 4.37%)
= 0.54

² β_FCX
= Covariance_{FCX, S&P 500} ÷ Variance_{S&P 500}
= 28.02 ÷ 19.11
= 1.47

³ α_FCX
= Average_FCX – β_FCX × Average_{S&P 500}
= 1.88% – 1.47 × 1.14%
= 0.21%

Expected Rate of Return

Assumptions
Rate of return on LT Treasury Composite¹	R_F	4.84%
Expected rate of return on market portfolio²	E(R_M)	17.36%
Systematic risk (β) of Freeport-McMoRan Inc. common stock	β_FCX	1.47

Expected rate of return on Freeport-McMoRan Inc. common stock³	E(R_FCX)	23.20%

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(R_FCX) = R_F + β_FCX [E(R_M) – R_F]
= 4.84% + 1.47 [17.36% – 4.84%]
= 23.20%