Stock Analysis on Net

Advanced Micro Devices Inc. (NASDAQ:AMD)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

수익률

Advanced Micro Devices Inc., 월별 수익률

Microsoft Excel
Advanced Micro Devices Inc. (AMD) Standard & Poor’s 500 (S&P 500)
t 날짜 AMD,t1 피제수AMD,t1 RAMD,t2 S&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%
. . . . . . .
. . . . . . .
. . . . . . .
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 AMD,t1 피제수AMD,t1 RAMD,t2 S&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

Advanced Micro Devices Inc., 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RAMD,t RS&P 500,t (RAMD,tRAMD)2 (RS&P 500,tRS&P 500)2 (RAMD,tRAMD)×(RS&P 500,tRS&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
. . . . . . .
. . . . . . .
. . . . . . .
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,tRAMD)2 (RS&P 500,tRS&P 500)2 (RAMD,tRAMD)×(RS&P 500,tRS&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,tRAMD)2 ÷ (59 – 1)
= 13,884.66 ÷ (59 – 1)
= 239.39

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91

공분산AMD, S&P 500 = Σ(RAMD,tRAMD)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 2,703.32 ÷ (59 – 1)
= 46.61


체계적인 위험 추정 (β)

Microsoft Excel
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

Microsoft Excel
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%