Stock Analysis on Net
Stock Analysis on Net
Microsoft Excel LibreOffice Calc

Newmont Corp. (NYSE:NEM)

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Capital Asset Pricing Model (CAPM)

Intermediate level

Capital asset pricing model (CAPM) indicates what should be the expected or required rate of return on risky assets like Newmont Corp.’s common stock.


Rates of Return

Newmont Corp., monthly rates of return

Microsoft Excel LibreOffice Calc
Newmont Corp. (NEM) Standard & Poor’s 500 (S&P 500)
t Date PriceNEM,t1 DividendNEM,t1 RNEM,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2016
1. Feb 29, 2016
2. Mar 31, 2016
3. Apr 30, 2016
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2020
59. Dec 31, 2020
Average (R):
Standard deviation:
Newmont Corp. (NEM) Standard & Poor’s 500 (S&P 500)
t Date PriceNEM,t1 DividendNEM,t1 RNEM,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2016
1. Feb 29, 2016
2. Mar 31, 2016
3. Apr 30, 2016
4. May 31, 2016
5. Jun 30, 2016
6. Jul 31, 2016
7. Aug 31, 2016
8. Sep 30, 2016
9. Oct 31, 2016
10. Nov 30, 2016
11. Dec 31, 2016
12. Jan 31, 2017
13. Feb 28, 2017
14. Mar 31, 2017
15. Apr 30, 2017
16. May 31, 2017
17. Jun 30, 2017
18. Jul 31, 2017
19. Aug 31, 2017
20. Sep 30, 2017
21. Oct 31, 2017
22. Nov 30, 2017
23. Dec 31, 2017
24. Jan 31, 2018
25. Feb 28, 2018
26. Mar 31, 2018
27. Apr 30, 2018
28. May 31, 2018
29. Jun 30, 2018
30. Jul 31, 2018
31. Aug 31, 2018
32. Sep 30, 2018
33. Oct 31, 2018
34. Nov 30, 2018
35. Dec 31, 2018
36. Jan 31, 2019
37. Feb 28, 2019
38. Mar 31, 2019
39. Apr 30, 2019
40. May 31, 2019
41. Jun 30, 2019
42. Jul 31, 2019
43. Aug 31, 2019
44. Sep 30, 2019
45. Oct 31, 2019
46. Nov 30, 2019
47. Dec 31, 2019
48. Jan 31, 2020
49. Feb 29, 2020
50. Mar 31, 2020
51. Apr 30, 2020
52. May 31, 2020
53. Jun 30, 2020
54. Jul 31, 2020
55. Aug 31, 2020
56. Sep 30, 2020
57. Oct 31, 2020
58. Nov 30, 2020
59. Dec 31, 2020
Average (R):
Standard deviation:

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 NEM during period t

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


Variance and Covariance

Newmont Corp., calculation of variance and covariance of returns

Microsoft Excel LibreOffice Calc
t Date RNEM,t RS&P 500,t (RNEM,tRNEM)2 (RS&P 500,tRS&P 500)2 (RNEM,tRNEM)×(RS&P 500,tRS&P 500)
1. Feb 29, 2016
2. Mar 31, 2016
3. Apr 30, 2016
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2020
59. Dec 31, 2020
Total (Σ):
t Date RNEM,t RS&P 500,t (RNEM,tRNEM)2 (RS&P 500,tRS&P 500)2 (RNEM,tRNEM)×(RS&P 500,tRS&P 500)
1. Feb 29, 2016
2. Mar 31, 2016
3. Apr 30, 2016
4. May 31, 2016
5. Jun 30, 2016
6. Jul 31, 2016
7. Aug 31, 2016
8. Sep 30, 2016
9. Oct 31, 2016
10. Nov 30, 2016
11. Dec 31, 2016
12. Jan 31, 2017
13. Feb 28, 2017
14. Mar 31, 2017
15. Apr 30, 2017
16. May 31, 2017
17. Jun 30, 2017
18. Jul 31, 2017
19. Aug 31, 2017
20. Sep 30, 2017
21. Oct 31, 2017
22. Nov 30, 2017
23. Dec 31, 2017
24. Jan 31, 2018
25. Feb 28, 2018
26. Mar 31, 2018
27. Apr 30, 2018
28. May 31, 2018
29. Jun 30, 2018
30. Jul 31, 2018
31. Aug 31, 2018
32. Sep 30, 2018
33. Oct 31, 2018
34. Nov 30, 2018
35. Dec 31, 2018
36. Jan 31, 2019
37. Feb 28, 2019
38. Mar 31, 2019
39. Apr 30, 2019
40. May 31, 2019
41. Jun 30, 2019
42. Jul 31, 2019
43. Aug 31, 2019
44. Sep 30, 2019
45. Oct 31, 2019
46. Nov 30, 2019
47. Dec 31, 2019
48. Jan 31, 2020
49. Feb 29, 2020
50. Mar 31, 2020
51. Apr 30, 2020
52. May 31, 2020
53. Jun 30, 2020
54. Jul 31, 2020
55. Aug 31, 2020
56. Sep 30, 2020
57. Oct 31, 2020
58. Nov 30, 2020
59. Dec 31, 2020
Total (Σ):

Show all

VarianceNEM = Σ(RNEM,tRNEM)2 ÷ (59 – 1)
= ÷ (59 – 1)
=

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

CovarianceNEM, S&P 500 = Σ(RNEM,tRNEM)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= ÷ (59 – 1)
=


Systematic Risk (β) Estimation

Microsoft Excel LibreOffice Calc
VarianceNEM
VarianceS&P 500
CovarianceNEM, S&P 500
Correlation coefficientNEM, S&P 5001
βNEM2
αNEM3

Calculations

1 Correlation coefficientNEM, S&P 500
= CovarianceNEM, S&P 500 ÷ (Standard deviationNEM × Standard deviationS&P 500)
= ÷ ( × )
=

2 βNEM
= CovarianceNEM, S&P 500 ÷ VarianceS&P 500
= ÷
=

3 αNEM
= AverageNEM – βNEM × AverageS&P 500
= ×
=


Expected Rate of Return

Microsoft Excel LibreOffice Calc
Assumptions
Rate of return on LT Treasury Composite1 RF
Expected rate of return on market portfolio2 E(RM)
Systematic risk (β) of Newmont Corp.’s common stock βNEM
 
Expected rate of return on Newmont Corp.’s common stock3 E(RNEM)

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(RNEM) = RF + βNEM [E(RM) – RF]
= + []
=