Stock Analysis on Net

United States Steel Corp. (NYSE:X)

This company has been moved to the archive! The financial data has not been updated since July 28, 2023.

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 United States Steel Corp. common stock.


Rates of Return

United States Steel Corp., monthly rates of return

Microsoft Excel
United States Steel Corp. (X) Standard & Poor’s 500 (S&P 500)
t Date PriceX,t1 DividendX,t1 RX,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2018 $37.41 2,823.81
1. Feb 28, 2018 $43.51 $0.05 16.44% 2,713.83 -3.89%
2. Mar 31, 2018 $35.19 -19.12% 2,640.87 -2.69%
3. Apr 30, 2018 $33.83 -3.86% 2,648.05 0.27%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2022 $26.29 $0.05 29.37% 4,080.11 5.38%
59. Dec 31, 2022 $25.05 -4.72% 3,839.50 -5.90%
Average (R): 1.16% 0.67%
Standard deviation: 19.70% 5.40%
United States Steel Corp. (X) Standard & Poor’s 500 (S&P 500)
t Date PriceX,t1 DividendX,t1 RX,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2018 $37.41 2,823.81
1. Feb 28, 2018 $43.51 $0.05 16.44% 2,713.83 -3.89%
2. Mar 31, 2018 $35.19 -19.12% 2,640.87 -2.69%
3. Apr 30, 2018 $33.83 -3.86% 2,648.05 0.27%
4. May 31, 2018 $36.87 $0.05 9.13% 2,705.27 2.16%
5. Jun 30, 2018 $34.75 -5.75% 2,718.37 0.48%
6. Jul 31, 2018 $36.43 4.83% 2,816.29 3.60%
7. Aug 31, 2018 $29.68 $0.05 -18.39% 2,901.52 3.03%
8. Sep 30, 2018 $30.48 2.70% 2,913.98 0.43%
9. Oct 31, 2018 $26.53 -12.96% 2,711.74 -6.94%
10. Nov 30, 2018 $23.06 $0.05 -12.89% 2,760.17 1.79%
11. Dec 31, 2018 $18.24 -20.90% 2,506.85 -9.18%
12. Jan 31, 2019 $22.54 23.57% 2,704.10 7.87%
13. Feb 28, 2019 $22.41 $0.05 -0.35% 2,784.49 2.97%
14. Mar 31, 2019 $19.49 -13.03% 2,834.40 1.79%
15. Apr 30, 2019 $15.60 -19.96% 2,945.83 3.93%
16. May 31, 2019 $11.82 $0.05 -23.91% 2,752.06 -6.58%
17. Jun 30, 2019 $15.31 29.53% 2,941.76 6.89%
18. Jul 31, 2019 $15.03 -1.83% 2,980.38 1.31%
19. Aug 31, 2019 $11.07 $0.05 -26.01% 2,926.46 -1.81%
20. Sep 30, 2019 $11.55 4.34% 2,976.74 1.72%
21. Oct 31, 2019 $11.51 -0.35% 3,037.56 2.04%
22. Nov 30, 2019 $13.12 $0.05 14.42% 3,140.98 3.40%
23. Dec 31, 2019 $11.41 -13.03% 3,230.78 2.86%
24. Jan 31, 2020 $9.07 -20.51% 3,225.52 -0.16%
25. Feb 29, 2020 $8.02 $0.01 -11.47% 2,954.22 -8.41%
26. Mar 31, 2020 $6.31 -21.32% 2,584.59 -12.51%
27. Apr 30, 2020 $7.68 21.71% 2,912.43 12.68%
28. May 31, 2020 $8.04 $0.01 4.82% 3,044.31 4.53%
29. Jun 30, 2020 $7.22 -10.20% 3,100.29 1.84%
30. Jul 31, 2020 $6.66 -7.76% 3,271.12 5.51%
31. Aug 31, 2020 $7.83 $0.01 17.72% 3,500.31 7.01%
32. Sep 30, 2020 $7.34 -6.26% 3,363.00 -3.92%
33. Oct 31, 2020 $9.66 31.61% 3,269.96 -2.77%
34. Nov 30, 2020 $14.19 $0.01 47.00% 3,621.63 10.75%
35. Dec 31, 2020 $16.77 18.18% 3,756.07 3.71%
36. Jan 31, 2021 $17.76 5.90% 3,714.24 -1.11%
37. Feb 28, 2021 $16.61 $0.01 -6.42% 3,811.15 2.61%
38. Mar 31, 2021 $26.17 57.56% 3,972.89 4.24%
39. Apr 30, 2021 $23.01 -12.07% 4,181.17 5.24%
40. May 31, 2021 $25.93 $0.01 12.73% 4,204.11 0.55%
41. Jun 30, 2021 $24.00 -7.44% 4,297.50 2.22%
42. Jul 31, 2021 $26.48 10.33% 4,395.26 2.27%
43. Aug 31, 2021 $26.75 $0.01 1.06% 4,522.68 2.90%
44. Sep 30, 2021 $21.97 -17.87% 4,307.54 -4.76%
45. Oct 31, 2021 $26.39 20.12% 4,605.38 6.91%
46. Nov 30, 2021 $22.61 $0.05 -14.13% 4,567.00 -0.83%
47. Dec 31, 2021 $23.81 5.31% 4,766.18 4.36%
48. Jan 31, 2022 $20.72 -12.98% 4,515.55 -5.26%
49. Feb 28, 2022 $27.21 $0.05 31.56% 4,373.94 -3.14%
50. Mar 31, 2022 $37.74 38.70% 4,530.41 3.58%
51. Apr 30, 2022 $30.49 -19.21% 4,131.93 -8.80%
52. May 31, 2022 $25.07 $0.05 -17.61% 4,132.15 0.01%
53. Jun 30, 2022 $17.91 -28.56% 3,785.38 -8.39%
54. Jul 31, 2022 $23.65 32.05% 4,130.29 9.11%
55. Aug 31, 2022 $22.87 $0.05 -3.09% 3,955.00 -4.24%
56. Sep 30, 2022 $18.12 -20.77% 3,585.62 -9.34%
57. Oct 31, 2022 $20.36 12.36% 3,871.98 7.99%
58. Nov 30, 2022 $26.29 $0.05 29.37% 4,080.11 5.38%
59. Dec 31, 2022 $25.05 -4.72% 3,839.50 -5.90%
Average (R): 1.16% 0.67%
Standard deviation: 19.70% 5.40%

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 X during period t

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


Variance and Covariance

United States Steel Corp., calculation of variance and covariance of returns

Microsoft Excel
t Date RX,t RS&P 500,t (RX,tRX)2 (RS&P 500,tRS&P 500)2 (RX,tRX)×(RS&P 500,tRS&P 500)
1. Feb 28, 2018 16.44% -3.89% 233.53 20.81 -69.71
2. Mar 31, 2018 -19.12% -2.69% 411.27 11.26 68.04
3. Apr 30, 2018 -3.86% 0.27% 25.23 0.16 1.98
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2022 29.37% 5.38% 796.00 22.17 132.85
59. Dec 31, 2022 -4.72% -5.90% 34.51 43.08 38.56
Total (Σ): 22,504.49 1,691.48 3,655.99
t Date RX,t RS&P 500,t (RX,tRX)2 (RS&P 500,tRS&P 500)2 (RX,tRX)×(RS&P 500,tRS&P 500)
1. Feb 28, 2018 16.44% -3.89% 233.53 20.81 -69.71
2. Mar 31, 2018 -19.12% -2.69% 411.27 11.26 68.04
3. Apr 30, 2018 -3.86% 0.27% 25.23 0.16 1.98
4. May 31, 2018 9.13% 2.16% 63.62 2.23 11.92
5. Jun 30, 2018 -5.75% 0.48% 47.72 0.03 1.26
6. Jul 31, 2018 4.83% 3.60% 13.52 8.62 10.79
7. Aug 31, 2018 -18.39% 3.03% 382.17 5.57 -46.13
8. Sep 30, 2018 2.70% 0.43% 2.36 0.06 -0.36
9. Oct 31, 2018 -12.96% -6.94% 199.29 57.87 107.39
10. Nov 30, 2018 -12.89% 1.79% 197.37 1.25 -15.72
11. Dec 31, 2018 -20.90% -9.18% 486.63 96.91 217.16
12. Jan 31, 2019 23.57% 7.87% 502.51 51.87 161.44
13. Feb 28, 2019 -0.35% 2.97% 2.29 5.32 -3.49
14. Mar 31, 2019 -13.03% 1.79% 201.29 1.27 -15.97
15. Apr 30, 2019 -19.96% 3.93% 445.92 10.66 -68.94
16. May 31, 2019 -23.91% -6.58% 628.41 52.48 181.60
17. Jun 30, 2019 29.53% 6.89% 804.77 38.77 176.63
18. Jul 31, 2019 -1.83% 1.31% 8.92 0.42 -1.93
19. Aug 31, 2019 -26.01% -1.81% 738.34 6.13 67.27
20. Sep 30, 2019 4.34% 1.72% 10.10 1.11 3.34
21. Oct 31, 2019 -0.35% 2.04% 2.26 1.89 -2.07
22. Nov 30, 2019 14.42% 3.40% 175.95 7.50 36.32
23. Dec 31, 2019 -13.03% 2.86% 201.39 4.81 -31.11
24. Jan 31, 2020 -20.51% -0.16% 469.42 0.69 17.97
25. Feb 29, 2020 -11.47% -8.41% 159.37 82.40 114.60
26. Mar 31, 2020 -21.32% -12.51% 505.33 173.67 296.25
27. Apr 30, 2020 21.71% 12.68% 422.46 144.43 247.01
28. May 31, 2020 4.82% 4.53% 13.39 14.91 14.13
29. Jun 30, 2020 -10.20% 1.84% 128.98 1.37 -13.31
30. Jul 31, 2020 -7.76% 5.51% 79.46 23.46 -43.17
31. Aug 31, 2020 17.72% 7.01% 274.23 40.19 104.99
32. Sep 30, 2020 -6.26% -3.92% 54.99 21.06 34.03
33. Oct 31, 2020 31.61% -2.77% 927.19 11.79 -104.54
34. Nov 30, 2020 47.00% 10.75% 2,101.32 101.77 462.43
35. Dec 31, 2020 18.18% 3.71% 289.82 9.28 51.85
36. Jan 31, 2021 5.90% -1.11% 22.52 3.17 -8.45
37. Feb 28, 2021 -6.42% 2.61% 57.41 3.77 -14.72
38. Mar 31, 2021 57.56% 4.24% 3,180.72 12.80 201.75
39. Apr 30, 2021 -12.07% 5.24% 175.10 20.94 -60.55
40. May 31, 2021 12.73% 0.55% 134.00 0.01 -1.37
41. Jun 30, 2021 -7.44% 2.22% 73.98 2.42 -13.37
42. Jul 31, 2021 10.33% 2.27% 84.19 2.59 14.76
43. Aug 31, 2021 1.06% 2.90% 0.01 4.98 -0.22
44. Sep 30, 2021 -17.87% -4.76% 362.03 29.42 103.19
45. Oct 31, 2021 20.12% 6.91% 359.50 39.03 118.46
46. Nov 30, 2021 -14.13% -0.83% 233.84 2.25 22.94
47. Dec 31, 2021 5.31% 4.36% 17.22 13.65 15.33
48. Jan 31, 2022 -12.98% -5.26% 199.81 35.11 83.76
49. Feb 28, 2022 31.56% -3.14% 924.52 14.46 -115.62
50. Mar 31, 2022 38.70% 3.58% 1,409.34 8.47 109.27
51. Apr 30, 2022 -19.21% -8.80% 414.86 89.54 192.73
52. May 31, 2022 -17.61% 0.01% 352.32 0.44 12.41
53. Jun 30, 2022 -28.56% -8.39% 883.15 82.06 269.20
54. Jul 31, 2022 32.05% 9.11% 954.27 71.32 260.88
55. Aug 31, 2022 -3.09% -4.24% 18.02 24.11 20.84
56. Sep 30, 2022 -20.77% -9.34% 480.81 100.12 219.41
57. Oct 31, 2022 12.36% 7.99% 125.53 53.58 82.01
58. Nov 30, 2022 29.37% 5.38% 796.00 22.17 132.85
59. Dec 31, 2022 -4.72% -5.90% 34.51 43.08 38.56
Total (Σ): 22,504.49 1,691.48 3,655.99

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VarianceX = Σ(RX,tRX)2 ÷ (59 – 1)
= 22,504.49 ÷ (59 – 1)
= 388.01

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16

CovarianceX, S&P 500 = Σ(RX,tRX)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 3,655.99 ÷ (59 – 1)
= 63.03


Systematic Risk (β) Estimation

Microsoft Excel
VarianceX 388.01
VarianceS&P 500 29.16
CovarianceX, S&P 500 63.03
Correlation coefficientX, S&P 5001 0.59
βX2 2.16
αX3 -0.28%

Calculations

1 Correlation coefficientX, S&P 500
= CovarianceX, S&P 500 ÷ (Standard deviationX × Standard deviationS&P 500)
= 63.03 ÷ (19.70% × 5.40%)
= 0.59

2 βX
= CovarianceX, S&P 500 ÷ VarianceS&P 500
= 63.03 ÷ 29.16
= 2.16

3 αX
= AverageX – βX × AverageS&P 500
= 1.16%2.16 × 0.67%
= -0.28%


Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF 4.67%
Expected rate of return on market portfolio2 E(RM) 13.79%
Systematic risk (β) of United States Steel Corp. common stock βX 2.16
 
Expected rate of return on United States Steel Corp. common stock3 E(RX) 24.37%

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(RX) = RF + βX [E(RM) – RF]
= 4.67% + 2.16 [13.79%4.67%]
= 24.37%