자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 AMD보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Advanced Micro Devices Inc., 월별 수익률
| Advanced Micro Devices Inc. (AMD) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값AMD,t1 | 피제수AMD,t1 | RAMD,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2021. 1. 31. | $85.64 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $84.51 | -1.32% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $78.50 | -7.11% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $81.62 | 3.97% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | $217.53 | -15.07% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $214.16 | -1.55% | 6,845.50 | -0.05% | |
| 평균의 (R): | 2.81% | 1.14% | ||||
| 표준 편차: | 16.53% | 4.37% | ||||
| Advanced Micro Devices Inc. (AMD) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값AMD,t1 | 피제수AMD,t1 | RAMD,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2021. 1. 31. | $85.64 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $84.51 | -1.32% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $78.50 | -7.11% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $81.62 | 3.97% | 4,181.17 | 5.24% | |
| 4. | 2021. 5. 31. | $80.08 | -1.89% | 4,204.11 | 0.55% | |
| 5. | 2021. 6. 30. | $93.93 | 17.30% | 4,297.50 | 2.22% | |
| 6. | 2021. 7. 31. | $106.19 | 13.05% | 4,395.26 | 2.27% | |
| 7. | 2021. 8. 31. | $110.72 | 4.27% | 4,522.68 | 2.90% | |
| 8. | 2021. 9. 30. | $102.90 | -7.06% | 4,307.54 | -4.76% | |
| 9. | 2021. 10. 31. | $120.23 | 16.84% | 4,605.38 | 6.91% | |
| 10. | 2021. 11. 30. | $158.37 | 31.72% | 4,567.00 | -0.83% | |
| 11. | 2021. 12. 31. | $143.90 | -9.14% | 4,766.18 | 4.36% | |
| 12. | 2022. 1. 31. | $114.25 | -20.60% | 4,515.55 | -5.26% | |
| 13. | 2022. 2. 28. | $123.34 | 7.96% | 4,373.94 | -3.14% | |
| 14. | 2022. 3. 31. | $109.34 | -11.35% | 4,530.41 | 3.58% | |
| 15. | 2022. 4. 30. | $85.52 | -21.79% | 4,131.93 | -8.80% | |
| 16. | 2022. 5. 31. | $101.86 | 19.11% | 4,132.15 | 0.01% | |
| 17. | 2022. 6. 30. | $76.47 | -24.93% | 3,785.38 | -8.39% | |
| 18. | 2022. 7. 31. | $94.47 | 23.54% | 4,130.29 | 9.11% | |
| 19. | 2022. 8. 31. | $84.87 | -10.16% | 3,955.00 | -4.24% | |
| 20. | 2022. 9. 30. | $63.36 | -25.34% | 3,585.62 | -9.34% | |
| 21. | 2022. 10. 31. | $60.06 | -5.21% | 3,871.98 | 7.99% | |
| 22. | 2022. 11. 30. | $77.63 | 29.25% | 4,080.11 | 5.38% | |
| 23. | 2022. 12. 31. | $64.77 | -16.57% | 3,839.50 | -5.90% | |
| 24. | 2023. 1. 31. | $75.15 | 16.03% | 4,076.60 | 6.18% | |
| 25. | 2023. 2. 28. | $78.58 | 4.56% | 3,970.15 | -2.61% | |
| 26. | 2023. 3. 31. | $98.01 | 24.73% | 4,109.31 | 3.51% | |
| 27. | 2023. 4. 30. | $89.37 | -8.82% | 4,169.48 | 1.46% | |
| 28. | 2023. 5. 31. | $118.21 | 32.27% | 4,179.83 | 0.25% | |
| 29. | 2023. 6. 30. | $113.91 | -3.64% | 4,376.86 | 4.71% | |
| 30. | 2023. 7. 31. | $114.40 | 0.43% | 4,588.96 | 4.85% | |
| 31. | 2023. 8. 31. | $105.72 | -7.59% | 4,507.66 | -1.77% | |
| 32. | 2023. 9. 30. | $102.82 | -2.74% | 4,288.05 | -4.87% | |
| 33. | 2023. 10. 31. | $98.50 | -4.20% | 4,193.80 | -2.20% | |
| 34. | 2023. 11. 30. | $121.16 | 23.01% | 4,567.80 | 8.92% | |
| 35. | 2023. 12. 31. | $147.41 | 21.67% | 4,769.83 | 4.42% | |
| 36. | 2024. 1. 31. | $167.69 | 13.76% | 4,845.65 | 1.59% | |
| 37. | 2024. 2. 29. | $192.53 | 14.81% | 5,096.27 | 5.17% | |
| 38. | 2024. 3. 31. | $180.49 | -6.25% | 5,254.35 | 3.10% | |
| 39. | 2024. 4. 30. | $158.38 | -12.25% | 5,035.69 | -4.16% | |
| 40. | 2024. 5. 31. | $166.90 | 5.38% | 5,277.51 | 4.80% | |
| 41. | 2024. 6. 30. | $162.21 | -2.81% | 5,460.48 | 3.47% | |
| 42. | 2024. 7. 31. | $144.48 | -10.93% | 5,522.30 | 1.13% | |
| 43. | 2024. 8. 31. | $148.56 | 2.82% | 5,648.40 | 2.28% | |
| 44. | 2024. 9. 30. | $164.08 | 10.45% | 5,762.48 | 2.02% | |
| 45. | 2024. 10. 31. | $144.07 | -12.20% | 5,705.45 | -0.99% | |
| 46. | 2024. 11. 30. | $137.18 | -4.78% | 6,032.38 | 5.73% | |
| 47. | 2024. 12. 31. | $120.79 | -11.95% | 5,881.63 | -2.50% | |
| 48. | 2025. 1. 31. | $115.95 | -4.01% | 6,040.53 | 2.70% | |
| 49. | 2025. 2. 28. | $99.86 | -13.88% | 5,954.50 | -1.42% | |
| 50. | 2025. 3. 31. | $102.74 | 2.88% | 5,611.85 | -5.75% | |
| 51. | 2025. 4. 30. | $97.35 | -5.25% | 5,569.06 | -0.76% | |
| 52. | 2025. 5. 31. | $110.73 | 13.74% | 5,911.69 | 6.15% | |
| 53. | 2025. 6. 30. | $141.90 | 28.15% | 6,204.95 | 4.96% | |
| 54. | 2025. 7. 31. | $176.31 | 24.25% | 6,339.39 | 2.17% | |
| 55. | 2025. 8. 31. | $162.63 | -7.76% | 6,460.26 | 1.91% | |
| 56. | 2025. 9. 30. | $161.79 | -0.52% | 6,688.46 | 3.53% | |
| 57. | 2025. 10. 31. | $256.12 | 58.30% | 6,840.20 | 2.27% | |
| 58. | 2025. 11. 30. | $217.53 | -15.07% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $214.16 | -1.55% | 6,845.50 | -0.05% | |
| 평균의 (R): | 2.81% | 1.14% | ||||
| 표준 편차: | 16.53% | 4.37% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 AMD의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Advanced Micro Devices Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RAMD,t | RS&P 500,t | (RAMD,t–RAMD)2 | (RS&P 500,t–RS&P 500)2 | (RAMD,t–RAMD)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 2. 28. | -1.32% | 2.61% | 17.03 | 2.17 | -6.08 |
| 2. | 2021. 3. 31. | -7.11% | 4.24% | 98.38 | 9.66 | -30.82 |
| 3. | 2021. 4. 30. | 3.97% | 5.24% | 1.36 | 16.86 | 4.79 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | -15.07% | 0.13% | 319.48 | 1.01 | 17.98 |
| 59. | 2025. 12. 31. | -1.55% | -0.05% | 18.98 | 1.41 | 5.18 |
| 합계 (Σ): | 15,844.16 | 1,108.23 | 2,167.11 | |||
| t | 날짜 | RAMD,t | RS&P 500,t | (RAMD,t–RAMD)2 | (RS&P 500,t–RS&P 500)2 | (RAMD,t–RAMD)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 2. 28. | -1.32% | 2.61% | 17.03 | 2.17 | -6.08 |
| 2. | 2021. 3. 31. | -7.11% | 4.24% | 98.38 | 9.66 | -30.82 |
| 3. | 2021. 4. 30. | 3.97% | 5.24% | 1.36 | 16.86 | 4.79 |
| 4. | 2021. 5. 31. | -1.89% | 0.55% | 22.03 | 0.35 | 2.76 |
| 5. | 2021. 6. 30. | 17.30% | 2.22% | 209.91 | 1.18 | 15.72 |
| 6. | 2021. 7. 31. | 13.05% | 2.27% | 104.97 | 1.30 | 11.67 |
| 7. | 2021. 8. 31. | 4.27% | 2.90% | 2.13 | 3.11 | 2.57 |
| 8. | 2021. 9. 30. | -7.06% | -4.76% | 97.41 | 34.73 | 58.16 |
| 9. | 2021. 10. 31. | 16.84% | 6.91% | 196.97 | 33.39 | 81.10 |
| 10. | 2021. 11. 30. | 31.72% | -0.83% | 836.11 | 3.88 | -56.95 |
| 11. | 2021. 12. 31. | -9.14% | 4.36% | 142.65 | 10.40 | -38.52 |
| 12. | 2022. 1. 31. | -20.60% | -5.26% | 548.10 | 40.89 | 149.71 |
| 13. | 2022. 2. 28. | 7.96% | -3.14% | 26.52 | 18.25 | -22.00 |
| 14. | 2022. 3. 31. | -11.35% | 3.58% | 200.44 | 5.96 | -34.56 |
| 15. | 2022. 4. 30. | -21.79% | -8.80% | 604.77 | 98.64 | 244.24 |
| 16. | 2022. 5. 31. | 19.11% | 0.01% | 265.68 | 1.28 | -18.43 |
| 17. | 2022. 6. 30. | -24.93% | -8.39% | 769.13 | 90.79 | 264.25 |
| 18. | 2022. 7. 31. | 23.54% | 9.11% | 429.81 | 63.61 | 165.35 |
| 19. | 2022. 8. 31. | -10.16% | -4.24% | 168.19 | 28.95 | 69.77 |
| 20. | 2022. 9. 30. | -25.34% | -9.34% | 792.51 | 109.74 | 294.91 |
| 21. | 2022. 10. 31. | -5.21% | 7.99% | 64.24 | 46.93 | -54.91 |
| 22. | 2022. 11. 30. | 29.25% | 5.38% | 699.45 | 17.97 | 112.11 |
| 23. | 2022. 12. 31. | -16.57% | -5.90% | 375.30 | 49.47 | 136.25 |
| 24. | 2023. 1. 31. | 16.03% | 6.18% | 174.74 | 25.39 | 66.61 |
| 25. | 2023. 2. 28. | 4.56% | -2.61% | 3.09 | 14.04 | -6.59 |
| 26. | 2023. 3. 31. | 24.73% | 3.51% | 480.46 | 5.61 | 51.93 |
| 27. | 2023. 4. 30. | -8.82% | 1.46% | 135.08 | 0.11 | -3.81 |
| 28. | 2023. 5. 31. | 32.27% | 0.25% | 868.10 | 0.79 | -26.16 |
| 29. | 2023. 6. 30. | -3.64% | 4.71% | 41.53 | 12.80 | -23.06 |
| 30. | 2023. 7. 31. | 0.43% | 4.85% | 5.65 | 13.76 | -8.82 |
| 31. | 2023. 8. 31. | -7.59% | -1.77% | 108.04 | 8.46 | 30.22 |
| 32. | 2023. 9. 30. | -2.74% | -4.87% | 30.80 | 36.10 | 33.34 |
| 33. | 2023. 10. 31. | -4.20% | -2.20% | 49.12 | 11.12 | 23.37 |
| 34. | 2023. 11. 30. | 23.01% | 8.92% | 407.97 | 60.56 | 157.18 |
| 35. | 2023. 12. 31. | 21.67% | 4.42% | 355.65 | 10.80 | 61.98 |
| 36. | 2024. 1. 31. | 13.76% | 1.59% | 119.92 | 0.21 | 4.97 |
| 37. | 2024. 2. 29. | 14.81% | 5.17% | 144.15 | 16.29 | 48.46 |
| 38. | 2024. 3. 31. | -6.25% | 3.10% | 82.09 | 3.86 | -17.81 |
| 39. | 2024. 4. 30. | -12.25% | -4.16% | 226.71 | 28.06 | 79.77 |
| 40. | 2024. 5. 31. | 5.38% | 4.80% | 6.62 | 13.44 | 9.43 |
| 41. | 2024. 6. 30. | -2.81% | 3.47% | 31.55 | 5.43 | -13.09 |
| 42. | 2024. 7. 31. | -10.93% | 1.13% | 188.71 | 0.00 | 0.05 |
| 43. | 2024. 8. 31. | 2.82% | 2.28% | 0.00 | 1.32 | 0.02 |
| 44. | 2024. 9. 30. | 10.45% | 2.02% | 58.37 | 0.78 | 6.75 |
| 45. | 2024. 10. 31. | -12.20% | -0.99% | 225.06 | 4.52 | 31.89 |
| 46. | 2024. 11. 30. | -4.78% | 5.73% | 57.60 | 21.10 | -34.87 |
| 47. | 2024. 12. 31. | -11.95% | -2.50% | 217.70 | 13.21 | 53.64 |
| 48. | 2025. 1. 31. | -4.01% | 2.70% | 46.43 | 2.45 | -10.67 |
| 49. | 2025. 2. 28. | -13.88% | -1.42% | 278.34 | 6.56 | 42.72 |
| 50. | 2025. 3. 31. | 2.88% | -5.75% | 0.01 | 47.48 | -0.53 |
| 51. | 2025. 4. 30. | -5.25% | -0.76% | 64.85 | 3.60 | 15.29 |
| 52. | 2025. 5. 31. | 13.74% | 6.15% | 119.63 | 25.16 | 54.86 |
| 53. | 2025. 6. 30. | 28.15% | 4.96% | 642.25 | 14.63 | 96.92 |
| 54. | 2025. 7. 31. | 24.25% | 2.17% | 459.78 | 1.06 | 22.10 |
| 55. | 2025. 8. 31. | -7.76% | 1.91% | 111.64 | 0.59 | -8.14 |
| 56. | 2025. 9. 30. | -0.52% | 3.53% | 11.04 | 5.74 | -7.96 |
| 57. | 2025. 10. 31. | 58.30% | 2.27% | 3,079.93 | 1.28 | 62.85 |
| 58. | 2025. 11. 30. | -15.07% | 0.13% | 319.48 | 1.01 | 17.98 |
| 59. | 2025. 12. 31. | -1.55% | -0.05% | 18.98 | 1.41 | 5.18 |
| 합계 (Σ): | 15,844.16 | 1,108.23 | 2,167.11 | |||
모두 보기
분산AMD = Σ(RAMD,t–RAMD)2 ÷ (59 – 1)
= 15,844.16 ÷ (59 – 1)
= 273.18
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
공분산AMD, S&P 500 = Σ(RAMD,t–RAMD)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 2,167.11 ÷ (59 – 1)
= 37.36
체계적인 위험 추정 (β)
| 분산AMD | 273.18 |
| 분산S&P 500 | 19.11 |
| 공분산AMD, S&P 500 | 37.36 |
| 상관 계수AMD, S&P 5001 | 0.52 |
| βAMD2 | 1.96 |
| αAMD3 | 0.59% |
계산
1 상관 계수AMD, S&P 500
= 공분산AMD, S&P 500 ÷ (표준 편차AMD × 표준 편차S&P 500)
= 37.36 ÷ (16.53% × 4.37%)
= 0.52
2 βAMD
= 공분산AMD, S&P 500 ÷ 분산S&P 500
= 37.36 ÷ 19.11
= 1.96
3 αAMD
= 평균의AMD – βAMD × 평균의S&P 500
= 2.81% – 1.96 × 1.14%
= 0.59%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.94% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.36% |
| 보통주의 체계적 위험AMD | βAMD | 1.96 |
| AMD 보통주에 대한 기대 수익률3 | E(RAMD) | 29.23% |
1 10년 이내에 만기가 도래하거나 콜링할 수 없는 모든 미결제 고정 쿠폰 미국 국채에 대한 입찰 수익률의 비가중 평균(무위험 수익률 대리).
2 자세히 보기 »
3 E(RAMD) = RF + βAMD [E(RM) – RF]
= 4.94% + 1.96 [17.36% – 4.94%]
= 29.23%