자본 자산 가격 책정 모델(CAPM)은 AMD보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
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 |
2020. 1. 31. | $47.00 | 3,225.52 | ||||
1. | 2020. 2. 29. | $45.48 | -3.23% | 2,954.22 | -8.41% | |
2. | 2020. 3. 31. | $45.48 | 0.00% | 2,584.59 | -12.51% | |
3. | 2020. 4. 30. | $52.39 | 15.19% | 2,912.43 | 12.68% | |
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58. | 2024. 11. 30. | $137.18 | -4.78% | 6,032.38 | 5.73% | |
59. | 2024. 12. 31. | $120.79 | -11.95% | 5,881.63 | -2.50% | |
평균의 (R): | 2.72% | 1.16% | ||||
표준 편차: | 15.47% | 5.28% |
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 |
2020. 1. 31. | $47.00 | 3,225.52 | ||||
1. | 2020. 2. 29. | $45.48 | -3.23% | 2,954.22 | -8.41% | |
2. | 2020. 3. 31. | $45.48 | 0.00% | 2,584.59 | -12.51% | |
3. | 2020. 4. 30. | $52.39 | 15.19% | 2,912.43 | 12.68% | |
4. | 2020. 5. 31. | $53.80 | 2.69% | 3,044.31 | 4.53% | |
5. | 2020. 6. 30. | $52.61 | -2.21% | 3,100.29 | 1.84% | |
6. | 2020. 7. 31. | $77.43 | 47.18% | 3,271.12 | 5.51% | |
7. | 2020. 8. 31. | $90.82 | 17.29% | 3,500.31 | 7.01% | |
8. | 2020. 9. 30. | $81.99 | -9.72% | 3,363.00 | -3.92% | |
9. | 2020. 10. 31. | $75.29 | -8.17% | 3,269.96 | -2.77% | |
10. | 2020. 11. 30. | $92.66 | 23.07% | 3,621.63 | 10.75% | |
11. | 2020. 12. 31. | $91.71 | -1.03% | 3,756.07 | 3.71% | |
12. | 2021. 1. 31. | $85.64 | -6.62% | 3,714.24 | -1.11% | |
13. | 2021. 2. 28. | $84.51 | -1.32% | 3,811.15 | 2.61% | |
14. | 2021. 3. 31. | $78.50 | -7.11% | 3,972.89 | 4.24% | |
15. | 2021. 4. 30. | $81.62 | 3.97% | 4,181.17 | 5.24% | |
16. | 2021. 5. 31. | $80.08 | -1.89% | 4,204.11 | 0.55% | |
17. | 2021. 6. 30. | $93.93 | 17.30% | 4,297.50 | 2.22% | |
18. | 2021. 7. 31. | $106.19 | 13.05% | 4,395.26 | 2.27% | |
19. | 2021. 8. 31. | $110.72 | 4.27% | 4,522.68 | 2.90% | |
20. | 2021. 9. 30. | $102.90 | -7.06% | 4,307.54 | -4.76% | |
21. | 2021. 10. 31. | $120.23 | 16.84% | 4,605.38 | 6.91% | |
22. | 2021. 11. 30. | $158.37 | 31.72% | 4,567.00 | -0.83% | |
23. | 2021. 12. 31. | $143.90 | -9.14% | 4,766.18 | 4.36% | |
24. | 2022. 1. 31. | $114.25 | -20.60% | 4,515.55 | -5.26% | |
25. | 2022. 2. 28. | $123.34 | 7.96% | 4,373.94 | -3.14% | |
26. | 2022. 3. 31. | $109.34 | -11.35% | 4,530.41 | 3.58% | |
27. | 2022. 4. 30. | $85.52 | -21.79% | 4,131.93 | -8.80% | |
28. | 2022. 5. 31. | $101.86 | 19.11% | 4,132.15 | 0.01% | |
29. | 2022. 6. 30. | $76.47 | -24.93% | 3,785.38 | -8.39% | |
30. | 2022. 7. 31. | $94.47 | 23.54% | 4,130.29 | 9.11% | |
31. | 2022. 8. 31. | $84.87 | -10.16% | 3,955.00 | -4.24% | |
32. | 2022. 9. 30. | $63.36 | -25.34% | 3,585.62 | -9.34% | |
33. | 2022. 10. 31. | $60.06 | -5.21% | 3,871.98 | 7.99% | |
34. | 2022. 11. 30. | $77.63 | 29.25% | 4,080.11 | 5.38% | |
35. | 2022. 12. 31. | $64.77 | -16.57% | 3,839.50 | -5.90% | |
36. | 2023. 1. 31. | $75.15 | 16.03% | 4,076.60 | 6.18% | |
37. | 2023. 2. 28. | $78.58 | 4.56% | 3,970.15 | -2.61% | |
38. | 2023. 3. 31. | $98.01 | 24.73% | 4,109.31 | 3.51% | |
39. | 2023. 4. 30. | $89.37 | -8.82% | 4,169.48 | 1.46% | |
40. | 2023. 5. 31. | $118.21 | 32.27% | 4,179.83 | 0.25% | |
41. | 2023. 6. 30. | $113.91 | -3.64% | 4,376.86 | 4.71% | |
42. | 2023. 7. 31. | $114.40 | 0.43% | 4,588.96 | 4.85% | |
43. | 2023. 8. 31. | $105.72 | -7.59% | 4,507.66 | -1.77% | |
44. | 2023. 9. 30. | $102.82 | -2.74% | 4,288.05 | -4.87% | |
45. | 2023. 10. 31. | $98.50 | -4.20% | 4,193.80 | -2.20% | |
46. | 2023. 11. 30. | $121.16 | 23.01% | 4,567.80 | 8.92% | |
47. | 2023. 12. 31. | $147.41 | 21.67% | 4,769.83 | 4.42% | |
48. | 2024. 1. 31. | $167.69 | 13.76% | 4,845.65 | 1.59% | |
49. | 2024. 2. 29. | $192.53 | 14.81% | 5,096.27 | 5.17% | |
50. | 2024. 3. 31. | $180.49 | -6.25% | 5,254.35 | 3.10% | |
51. | 2024. 4. 30. | $158.38 | -12.25% | 5,035.69 | -4.16% | |
52. | 2024. 5. 31. | $166.90 | 5.38% | 5,277.51 | 4.80% | |
53. | 2024. 6. 30. | $162.21 | -2.81% | 5,460.48 | 3.47% | |
54. | 2024. 7. 31. | $144.48 | -10.93% | 5,522.30 | 1.13% | |
55. | 2024. 8. 31. | $148.56 | 2.82% | 5,648.40 | 2.28% | |
56. | 2024. 9. 30. | $164.08 | 10.45% | 5,762.48 | 2.02% | |
57. | 2024. 10. 31. | $144.07 | -12.20% | 5,705.45 | -0.99% | |
58. | 2024. 11. 30. | $137.18 | -4.78% | 6,032.38 | 5.73% | |
59. | 2024. 12. 31. | $120.79 | -11.95% | 5,881.63 | -2.50% | |
평균의 (R): | 2.72% | 1.16% | ||||
표준 편차: | 15.47% | 5.28% |
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
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. | 2020. 2. 29. | -3.23% | -8.41% | 35.50 | 91.63 | 57.04 |
2. | 2020. 3. 31. | 0.00% | -12.51% | 7.42 | 186.96 | 37.25 |
3. | 2020. 4. 30. | 15.19% | 12.68% | 155.48 | 132.78 | 143.68 |
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58. | 2024. 11. 30. | -4.78% | 5.73% | 56.35 | 20.87 | -34.30 |
59. | 2024. 12. 31. | -11.95% | -2.50% | 215.27 | 13.40 | 53.70 |
합계 (Σ): | 13,884.66 | 1,618.62 | 2,703.32 |
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. | 2020. 2. 29. | -3.23% | -8.41% | 35.50 | 91.63 | 57.04 |
2. | 2020. 3. 31. | 0.00% | -12.51% | 7.42 | 186.96 | 37.25 |
3. | 2020. 4. 30. | 15.19% | 12.68% | 155.48 | 132.78 | 143.68 |
4. | 2020. 5. 31. | 2.69% | 4.53% | 0.00 | 11.34 | -0.11 |
5. | 2020. 6. 30. | -2.21% | 1.84% | 24.37 | 0.46 | -3.34 |
6. | 2020. 7. 31. | 47.18% | 5.51% | 1,976.07 | 18.91 | 193.32 |
7. | 2020. 8. 31. | 17.29% | 7.01% | 212.25 | 34.17 | 85.16 |
8. | 2020. 9. 30. | -9.72% | -3.92% | 154.93 | 25.85 | 63.28 |
9. | 2020. 10. 31. | -8.17% | -2.77% | 118.73 | 15.43 | 42.80 |
10. | 2020. 11. 30. | 23.07% | 10.75% | 413.98 | 92.03 | 195.19 |
11. | 2020. 12. 31. | -1.03% | 3.71% | 14.06 | 6.51 | -9.56 |
12. | 2021. 1. 31. | -6.62% | -1.11% | 87.29 | 5.18 | 21.25 |
13. | 2021. 2. 28. | -1.32% | 2.61% | 16.35 | 2.10 | -5.86 |
14. | 2021. 3. 31. | -7.11% | 4.24% | 96.75 | 9.50 | -30.32 |
15. | 2021. 4. 30. | 3.97% | 5.24% | 1.56 | 16.66 | 5.10 |
16. | 2021. 5. 31. | -1.89% | 0.55% | 21.26 | 0.38 | 2.82 |
17. | 2021. 6. 30. | 17.30% | 2.22% | 212.31 | 1.12 | 15.45 |
18. | 2021. 7. 31. | 13.05% | 2.27% | 106.67 | 1.24 | 11.50 |
19. | 2021. 8. 31. | 4.27% | 2.90% | 2.38 | 3.02 | 2.68 |
20. | 2021. 9. 30. | -7.06% | -4.76% | 95.79 | 35.02 | 57.92 |
21. | 2021. 10. 31. | 16.84% | 6.91% | 199.30 | 33.10 | 81.22 |
22. | 2021. 11. 30. | 31.72% | -0.83% | 840.89 | 3.98 | -57.84 |
23. | 2021. 12. 31. | -9.14% | 4.36% | 140.69 | 10.24 | -37.96 |
24. | 2022. 1. 31. | -20.60% | -5.26% | 544.24 | 41.21 | 149.77 |
25. | 2022. 2. 28. | 7.96% | -3.14% | 27.37 | 18.47 | -22.48 |
26. | 2022. 3. 31. | -11.35% | 3.58% | 198.11 | 5.84 | -34.01 |
27. | 2022. 4. 30. | -21.79% | -8.80% | 600.72 | 99.14 | 244.04 |
28. | 2022. 5. 31. | 19.11% | 0.01% | 268.38 | 1.34 | -18.94 |
29. | 2022. 6. 30. | -24.93% | -8.39% | 764.56 | 91.26 | 264.16 |
30. | 2022. 7. 31. | 23.54% | 9.11% | 433.23 | 63.21 | 165.48 |
31. | 2022. 8. 31. | -10.16% | -4.24% | 166.06 | 29.22 | 69.65 |
32. | 2022. 9. 30. | -25.34% | -9.34% | 787.87 | 110.27 | 294.75 |
33. | 2022. 10. 31. | -5.21% | 7.99% | 62.93 | 46.58 | -54.14 |
34. | 2022. 11. 30. | 29.25% | 5.38% | 703.82 | 17.76 | 111.80 |
35. | 2022. 12. 31. | -16.57% | -5.90% | 372.11 | 49.82 | 136.16 |
36. | 2023. 1. 31. | 16.03% | 6.18% | 176.93 | 25.14 | 66.69 |
37. | 2023. 2. 28. | 4.56% | -2.61% | 3.38 | 14.23 | -6.94 |
38. | 2023. 3. 31. | 24.73% | 3.51% | 484.09 | 5.49 | 51.57 |
39. | 2023. 4. 30. | -8.82% | 1.46% | 133.17 | 0.09 | -3.50 |
40. | 2023. 5. 31. | 32.27% | 0.25% | 872.96 | 0.83 | -26.98 |
41. | 2023. 6. 30. | -3.64% | 4.71% | 40.47 | 12.62 | -22.60 |
42. | 2023. 7. 31. | 0.43% | 4.85% | 5.26 | 13.58 | -8.45 |
43. | 2023. 8. 31. | -7.59% | -1.77% | 106.33 | 8.60 | 30.24 |
44. | 2023. 9. 30. | -2.74% | -4.87% | 29.89 | 36.40 | 32.99 |
45. | 2023. 10. 31. | -4.20% | -2.20% | 47.97 | 11.28 | 23.27 |
46. | 2023. 11. 30. | 23.01% | 8.92% | 411.31 | 60.17 | 157.31 |
47. | 2023. 12. 31. | 21.67% | 4.42% | 358.77 | 10.64 | 61.78 |
48. | 2024. 1. 31. | 13.76% | 1.59% | 121.73 | 0.18 | 4.73 |
49. | 2024. 2. 29. | 14.81% | 5.17% | 146.14 | 16.09 | 48.49 |
50. | 2024. 3. 31. | -6.25% | 3.10% | 80.60 | 3.77 | -17.42 |
51. | 2024. 4. 30. | -12.25% | -4.16% | 224.23 | 28.33 | 79.71 |
52. | 2024. 5. 31. | 5.38% | 4.80% | 7.05 | 13.26 | 9.67 |
53. | 2024. 6. 30. | -2.81% | 3.47% | 30.63 | 5.32 | -12.76 |
54. | 2024. 7. 31. | -10.93% | 1.13% | 186.45 | 0.00 | 0.40 |
55. | 2024. 8. 31. | 2.82% | 2.28% | 0.01 | 1.26 | 0.11 |
56. | 2024. 9. 30. | 10.45% | 2.02% | 59.64 | 0.74 | 6.63 |
57. | 2024. 10. 31. | -12.20% | -0.99% | 222.60 | 4.63 | 32.09 |
58. | 2024. 11. 30. | -4.78% | 5.73% | 56.35 | 20.87 | -34.30 |
59. | 2024. 12. 31. | -11.95% | -2.50% | 215.27 | 13.40 | 53.70 |
합계 (Σ): | 13,884.66 | 1,618.62 | 2,703.32 |
모두 보기
분산AMD = Σ(RAMD,t–RAMD)2 ÷ (59 – 1)
= 13,884.66 ÷ (59 – 1)
= 239.39
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91
공분산AMD, S&P 500 = Σ(RAMD,t–RAMD)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 2,703.32 ÷ (59 – 1)
= 46.61
체계적인 위험 추정 (β)
분산AMD | 239.39 |
분산S&P 500 | 27.91 |
공분산AMD, S&P 500 | 46.61 |
상관 계수AMD, S&P 5001 | 0.57 |
βAMD2 | 1.67 |
αAMD3 | 0.78% |
계산
1 상관 계수AMD, S&P 500
= 공분산AMD, S&P 500 ÷ (표준 편차AMD × 표준 편차S&P 500)
= 46.61 ÷ (15.47% × 5.28%)
= 0.57
2 βAMD
= 공분산AMD, S&P 500 ÷ 분산S&P 500
= 46.61 ÷ 27.91
= 1.67
3 αAMD
= 평균의AMD – βAMD × 평균의S&P 500
= 2.72% – 1.67 × 1.16%
= 0.78%
기대 수익률
가정 | ||
LT Treasury Composite의 수익률1 | RF | 4.74% |
시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.42% |
보통주의 체계적 위험AMD | βAMD | 1.67 |
AMD 보통주에 대한 기대 수익률3 | E(RAMD) | 20.91% |
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]
= 4.74% + 1.67 [14.42% – 4.74%]
= 20.91%