Stock Analysis on Net

Newmont Corp. (NYSE:NEM)

This company has been moved to the archive! The financial data has not been updated since April 29, 2024.

Capital Asset Pricing Model (CAPM) 

Microsoft Excel

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


Rates of Return

Newmont Corp., monthly rates of return

Microsoft Excel
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, 2019 $34.11 2,704.10
1. Feb 28, 2019 $34.12 0.03% 2,784.49 2.97%
2. Mar 31, 2019 $35.77 $0.14 5.25% 2,834.40 1.79%
3. Apr 30, 2019 $31.06 $0.88 -10.71% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2023 $40.19 $0.40 8.33% 4,567.80 8.92%
59. Dec 31, 2023 $41.39 2.99% 4,769.83 4.42%
Average (R): 1.09% 1.11%
Standard deviation: 9.83% 5.31%
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, 2019 $34.11 2,704.10
1. Feb 28, 2019 $34.12 0.03% 2,784.49 2.97%
2. Mar 31, 2019 $35.77 $0.14 5.25% 2,834.40 1.79%
3. Apr 30, 2019 $31.06 $0.88 -10.71% 2,945.83 3.93%
4. May 31, 2019 $33.09 6.54% 2,752.06 -6.58%
5. Jun 30, 2019 $38.47 $0.14 16.68% 2,941.76 6.89%
6. Jul 31, 2019 $36.52 -5.07% 2,980.38 1.31%
7. Aug 31, 2019 $39.89 9.23% 2,926.46 -1.81%
8. Sep 30, 2019 $37.92 $0.14 -4.59% 2,976.74 1.72%
9. Oct 31, 2019 $39.73 4.77% 3,037.56 2.04%
10. Nov 30, 2019 $38.40 -3.35% 3,140.98 3.40%
11. Dec 31, 2019 $43.45 $0.14 13.52% 3,230.78 2.86%
12. Jan 31, 2020 $45.06 3.71% 3,225.52 -0.16%
13. Feb 29, 2020 $44.63 -0.95% 2,954.22 -8.41%
14. Mar 31, 2020 $45.28 $0.14 1.77% 2,584.59 -12.51%
15. Apr 30, 2020 $59.48 31.36% 2,912.43 12.68%
16. May 31, 2020 $58.47 -1.70% 3,044.31 4.53%
17. Jun 30, 2020 $61.74 $0.25 6.02% 3,100.29 1.84%
18. Jul 31, 2020 $69.20 12.08% 3,271.12 5.51%
19. Aug 31, 2020 $67.28 -2.77% 3,500.31 7.01%
20. Sep 30, 2020 $63.45 $0.25 -5.32% 3,363.00 -3.92%
21. Oct 31, 2020 $62.84 -0.96% 3,269.96 -2.77%
22. Nov 30, 2020 $58.82 -6.40% 3,621.63 10.75%
23. Dec 31, 2020 $59.89 $0.40 2.50% 3,756.07 3.71%
24. Jan 31, 2021 $59.60 -0.48% 3,714.24 -1.11%
25. Feb 28, 2021 $54.38 -8.76% 3,811.15 2.61%
26. Mar 31, 2021 $60.27 $0.55 11.84% 3,972.89 4.24%
27. Apr 30, 2021 $62.41 3.55% 4,181.17 5.24%
28. May 31, 2021 $73.48 17.74% 4,204.11 0.55%
29. Jun 30, 2021 $63.38 $0.55 -13.00% 4,297.50 2.22%
30. Jul 31, 2021 $62.82 -0.88% 4,395.26 2.27%
31. Aug 31, 2021 $57.99 -7.69% 4,522.68 2.90%
32. Sep 30, 2021 $54.30 $0.55 -5.41% 4,307.54 -4.76%
33. Oct 31, 2021 $54.00 -0.55% 4,605.38 6.91%
34. Nov 30, 2021 $54.92 1.70% 4,567.00 -0.83%
35. Dec 31, 2021 $62.02 $0.55 13.93% 4,766.18 4.36%
36. Jan 31, 2022 $61.17 -1.37% 4,515.55 -5.26%
37. Feb 28, 2022 $66.20 8.22% 4,373.94 -3.14%
38. Mar 31, 2022 $79.45 $0.55 20.85% 4,530.41 3.58%
39. Apr 30, 2022 $72.85 -8.31% 4,131.93 -8.80%
40. May 31, 2022 $67.85 -6.86% 4,132.15 0.01%
41. Jun 30, 2022 $59.67 $0.55 -11.25% 3,785.38 -8.39%
42. Jul 31, 2022 $45.28 -24.12% 4,130.29 9.11%
43. Aug 31, 2022 $41.36 -8.66% 3,955.00 -4.24%
44. Sep 30, 2022 $42.03 $0.55 2.95% 3,585.62 -9.34%
45. Oct 31, 2022 $42.32 0.69% 3,871.98 7.99%
46. Nov 30, 2022 $47.47 12.17% 4,080.11 5.38%
47. Dec 31, 2022 $47.20 $0.55 0.59% 3,839.50 -5.90%
48. Jan 31, 2023 $52.93 12.14% 4,076.60 6.18%
49. Feb 28, 2023 $43.61 -17.61% 3,970.15 -2.61%
50. Mar 31, 2023 $49.02 $0.40 13.32% 4,109.31 3.51%
51. Apr 30, 2023 $47.40 -3.30% 4,169.48 1.46%
52. May 31, 2023 $40.55 $0.40 -13.61% 4,179.83 0.25%
53. Jun 30, 2023 $42.66 5.20% 4,376.86 4.71%
54. Jul 31, 2023 $42.92 0.61% 4,588.96 4.85%
55. Aug 31, 2023 $39.42 -8.15% 4,507.66 -1.77%
56. Sep 30, 2023 $36.95 $0.40 -5.25% 4,288.05 -4.87%
57. Oct 31, 2023 $37.47 1.41% 4,193.80 -2.20%
58. Nov 30, 2023 $40.19 $0.40 8.33% 4,567.80 8.92%
59. Dec 31, 2023 $41.39 2.99% 4,769.83 4.42%
Average (R): 1.09% 1.11%
Standard deviation: 9.83% 5.31%

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
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 28, 2019 0.03% 2.97% 1.14 3.49 -1.99
2. Mar 31, 2019 5.25% 1.79% 17.23 0.47 2.85
3. Apr 30, 2019 -10.71% 3.93% 139.29 7.98 -33.35
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2023 8.33% 8.92% 52.30 61.03 56.50
59. Dec 31, 2023 2.99% 4.42% 3.58 11.00 6.27
Total (Σ): 5,604.79 1,634.30 847.32
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 28, 2019 0.03% 2.97% 1.14 3.49 -1.99
2. Mar 31, 2019 5.25% 1.79% 17.23 0.47 2.85
3. Apr 30, 2019 -10.71% 3.93% 139.29 7.98 -33.35
4. May 31, 2019 6.54% -6.58% 29.60 59.04 -41.81
5. Jun 30, 2019 16.68% 6.89% 242.95 33.49 90.20
6. Jul 31, 2019 -5.07% 1.31% 37.99 0.04 -1.28
7. Aug 31, 2019 9.23% -1.81% 66.15 8.50 -23.71
8. Sep 30, 2019 -4.59% 1.72% 32.29 0.37 -3.48
9. Oct 31, 2019 4.77% 2.04% 13.53 0.88 3.45
10. Nov 30, 2019 -3.35% 3.40% 19.73 5.28 -10.21
11. Dec 31, 2019 13.52% 2.86% 154.28 3.07 21.78
12. Jan 31, 2020 3.71% -0.16% 6.82 1.61 -3.31
13. Feb 29, 2020 -0.95% -8.41% 4.20 90.57 19.50
14. Mar 31, 2020 1.77% -12.51% 0.46 185.44 -9.20
15. Apr 30, 2020 31.36% 12.68% 916.01 134.06 350.43
16. May 31, 2020 -1.70% 4.53% 7.80 11.71 -9.56
17. Jun 30, 2020 6.02% 1.84% 24.26 0.54 3.61
18. Jul 31, 2020 12.08% 5.51% 120.74 19.40 48.39
19. Aug 31, 2020 -2.77% 7.01% 14.97 34.82 -22.83
20. Sep 30, 2020 -5.32% -3.92% 41.16 25.29 32.26
21. Oct 31, 2020 -0.96% -2.77% 4.23 15.00 7.96
22. Nov 30, 2020 -6.40% 10.75% 56.13 93.10 -72.29
23. Dec 31, 2020 2.50% 3.71% 1.97 6.79 3.66
24. Jan 31, 2021 -0.48% -1.11% 2.49 4.93 3.50
25. Feb 28, 2021 -8.76% 2.61% 97.08 2.26 -14.81
26. Mar 31, 2021 11.84% 4.24% 115.52 9.85 33.73
27. Apr 30, 2021 3.55% 5.24% 6.03 17.11 10.16
28. May 31, 2021 17.74% 0.55% 276.98 0.31 -9.27
29. Jun 30, 2021 -13.00% 2.22% 198.57 1.24 -15.72
30. Jul 31, 2021 -0.88% 2.27% 3.91 1.37 -2.31
31. Aug 31, 2021 -7.69% 2.90% 77.15 3.22 -15.75
32. Sep 30, 2021 -5.41% -4.76% 42.37 34.37 38.16
33. Oct 31, 2021 -0.55% 6.91% 2.71 33.74 -9.57
34. Nov 30, 2021 1.70% -0.83% 0.37 3.76 -1.18
35. Dec 31, 2021 13.93% 4.36% 164.73 10.60 41.78
36. Jan 31, 2022 -1.37% -5.26% 6.08 40.51 15.69
37. Feb 28, 2022 8.22% -3.14% 50.81 17.99 -30.24
38. Mar 31, 2022 20.85% 3.58% 390.11 6.11 48.81
39. Apr 30, 2022 -8.31% -8.80% 88.40 98.04 93.09
40. May 31, 2022 -6.86% 0.01% 63.33 1.21 8.76
41. Jun 30, 2022 -11.25% -8.39% 152.28 90.21 117.21
42. Jul 31, 2022 -24.12% 9.11% 635.58 64.09 -201.83
43. Aug 31, 2022 -8.66% -4.24% 95.10 28.62 52.17
44. Sep 30, 2022 2.95% -9.34% 3.44 109.11 -19.38
45. Oct 31, 2022 0.69% 7.99% 0.16 47.34 -2.79
46. Nov 30, 2022 12.17% 5.38% 122.64 18.23 47.28
47. Dec 31, 2022 0.59% -5.90% 0.25 49.04 3.54
48. Jan 31, 2023 12.14% 6.18% 121.99 25.70 55.99
49. Feb 28, 2023 -17.61% -2.61% 349.80 13.82 69.52
50. Mar 31, 2023 13.32% 3.51% 149.52 5.76 29.34
51. Apr 30, 2023 -3.30% 1.46% 19.36 0.13 -1.58
52. May 31, 2023 -13.61% 0.25% 216.16 0.74 12.61
53. Jun 30, 2023 5.20% 4.71% 16.88 13.02 14.82
54. Jul 31, 2023 0.61% 4.85% 0.24 13.99 -1.82
55. Aug 31, 2023 -8.15% -1.77% 85.55 8.28 26.62
56. Sep 30, 2023 -5.25% -4.87% 40.27 35.73 37.93
57. Oct 31, 2023 1.41% -2.20% 0.10 10.92 -1.03
58. Nov 30, 2023 8.33% 8.92% 52.30 61.03 56.50
59. Dec 31, 2023 2.99% 4.42% 3.58 11.00 6.27
Total (Σ): 5,604.79 1,634.30 847.32

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VarianceNEM = Σ(RNEM,tRNEM)2 ÷ (59 – 1)
= 5,604.79 ÷ (59 – 1)
= 96.63

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18

CovarianceNEM, S&P 500 = Σ(RNEM,tRNEM)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 847.32 ÷ (59 – 1)
= 14.61


Systematic Risk (β) Estimation

Microsoft Excel
VarianceNEM 96.63
VarianceS&P 500 28.18
CovarianceNEM, S&P 500 14.61
Correlation coefficientNEM, S&P 5001 0.28
βNEM2 0.52
αNEM3 0.52%

Calculations

1 Correlation coefficientNEM, S&P 500
= CovarianceNEM, S&P 500 ÷ (Standard deviationNEM × Standard deviationS&P 500)
= 14.61 ÷ (9.83% × 5.31%)
= 0.28

2 βNEM
= CovarianceNEM, S&P 500 ÷ VarianceS&P 500
= 14.61 ÷ 28.18
= 0.52

3 αNEM
= AverageNEM – βNEM × AverageS&P 500
= 1.09%0.52 × 1.11%
= 0.52%


Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF 4.68%
Expected rate of return on market portfolio2 E(RM) 13.78%
Systematic risk (β) of Newmont Corp. common stock βNEM 0.52
 
Expected rate of return on Newmont Corp. common stock3 E(RNEM) 9.40%

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]
= 4.68% + 0.52 [13.78%4.68%]
= 9.40%