자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Analog Devices보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Analog Devices Inc., 월별 수익률
| Analog Devices Inc. (ADI) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ADI,t1 | 피제수ADI,t1 | RADI,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 11. 30. | $86.11 | 2,647.58 | ||||
| 1. | 2017. 12. 31. | $89.03 | 3.39% | 2,673.61 | 0.98% | |
| 2. | 2018. 1. 31. | $91.88 | 3.20% | 2,823.81 | 5.62% | |
| 3. | 2018. 2. 28. | $90.15 | -1.88% | 2,713.83 | -3.89% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023. 9. 30. | $175.09 | $0.86 | -3.21% | 4,288.05 | -4.87% |
| 71. | 2023. 10. 31. | $157.33 | -10.14% | 4,193.80 | -2.20% | |
| 평균의 (R): | 1.34% | 0.78% | ||||
| 표준 편차: | 8.29% | 5.13% | ||||
| Analog Devices Inc. (ADI) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ADI,t1 | 피제수ADI,t1 | RADI,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 11. 30. | $86.11 | 2,647.58 | ||||
| 1. | 2017. 12. 31. | $89.03 | 3.39% | 2,673.61 | 0.98% | |
| 2. | 2018. 1. 31. | $91.88 | 3.20% | 2,823.81 | 5.62% | |
| 3. | 2018. 2. 28. | $90.15 | -1.88% | 2,713.83 | -3.89% | |
| 4. | 2018. 3. 31. | $91.13 | $0.48 | 1.62% | 2,640.87 | -2.69% |
| 5. | 2018. 4. 30. | $87.35 | -4.15% | 2,648.05 | 0.27% | |
| 6. | 2018. 5. 31. | $97.18 | 11.25% | 2,705.27 | 2.16% | |
| 7. | 2018. 6. 30. | $95.92 | $0.48 | -0.80% | 2,718.37 | 0.48% |
| 8. | 2018. 7. 31. | $96.14 | 0.23% | 2,816.29 | 3.60% | |
| 9. | 2018. 8. 31. | $98.85 | $0.48 | 3.32% | 2,901.52 | 3.03% |
| 10. | 2018. 9. 30. | $92.46 | -6.46% | 2,913.98 | 0.43% | |
| 11. | 2018. 10. 31. | $83.71 | -9.46% | 2,711.74 | -6.94% | |
| 12. | 2018. 11. 30. | $91.92 | $0.48 | 10.38% | 2,760.17 | 1.79% |
| 13. | 2018. 12. 31. | $85.83 | -6.63% | 2,506.85 | -9.18% | |
| 14. | 2019. 1. 31. | $98.86 | 15.18% | 2,704.10 | 7.87% | |
| 15. | 2019. 2. 28. | $106.96 | $0.54 | 8.74% | 2,784.49 | 2.97% |
| 16. | 2019. 3. 31. | $105.27 | -1.58% | 2,834.40 | 1.79% | |
| 17. | 2019. 4. 30. | $116.24 | 10.42% | 2,945.83 | 3.93% | |
| 18. | 2019. 5. 31. | $96.62 | $0.54 | -16.41% | 2,752.06 | -6.58% |
| 19. | 2019. 6. 30. | $112.87 | 16.82% | 2,941.76 | 6.89% | |
| 20. | 2019. 7. 31. | $117.46 | 4.07% | 2,980.38 | 1.31% | |
| 21. | 2019. 8. 31. | $109.83 | $0.54 | -6.04% | 2,926.46 | -1.81% |
| 22. | 2019. 9. 30. | $111.73 | 1.73% | 2,976.74 | 1.72% | |
| 23. | 2019. 10. 31. | $106.63 | -4.56% | 3,037.56 | 2.04% | |
| 24. | 2019. 11. 30. | $112.95 | 5.93% | 3,140.98 | 3.40% | |
| 25. | 2019. 12. 31. | $118.84 | $0.54 | 5.69% | 3,230.78 | 2.86% |
| 26. | 2020. 1. 31. | $109.75 | -7.65% | 3,225.52 | -0.16% | |
| 27. | 2020. 2. 29. | $109.05 | $0.62 | -0.07% | 2,954.22 | -8.41% |
| 28. | 2020. 3. 31. | $89.65 | -17.79% | 2,584.59 | -12.51% | |
| 29. | 2020. 4. 30. | $109.60 | 22.25% | 2,912.43 | 12.68% | |
| 30. | 2020. 5. 31. | $112.95 | $0.62 | 3.62% | 3,044.31 | 4.53% |
| 31. | 2020. 6. 30. | $122.64 | 8.58% | 3,100.29 | 1.84% | |
| 32. | 2020. 7. 31. | $114.85 | -6.35% | 3,271.12 | 5.51% | |
| 33. | 2020. 8. 31. | $116.88 | $0.62 | 2.31% | 3,500.31 | 7.01% |
| 34. | 2020. 9. 30. | $116.74 | -0.12% | 3,363.00 | -3.92% | |
| 35. | 2020. 10. 31. | $118.53 | 1.53% | 3,269.96 | -2.77% | |
| 36. | 2020. 11. 30. | $139.08 | 17.34% | 3,621.63 | 10.75% | |
| 37. | 2020. 12. 31. | $147.73 | $0.62 | 6.67% | 3,756.07 | 3.71% |
| 38. | 2021. 1. 31. | $147.33 | -0.27% | 3,714.24 | -1.11% | |
| 39. | 2021. 2. 28. | $155.82 | $0.69 | 6.23% | 3,811.15 | 2.61% |
| 40. | 2021. 3. 31. | $155.08 | -0.47% | 3,972.89 | 4.24% | |
| 41. | 2021. 4. 30. | $153.16 | -1.24% | 4,181.17 | 5.24% | |
| 42. | 2021. 5. 31. | $164.60 | $0.69 | 7.92% | 4,204.11 | 0.55% |
| 43. | 2021. 6. 30. | $172.16 | 4.59% | 4,297.50 | 2.22% | |
| 44. | 2021. 7. 31. | $167.42 | -2.75% | 4,395.26 | 2.27% | |
| 45. | 2021. 8. 31. | $162.95 | $0.69 | -2.26% | 4,522.68 | 2.90% |
| 46. | 2021. 9. 30. | $167.48 | 2.78% | 4,307.54 | -4.76% | |
| 47. | 2021. 10. 31. | $173.49 | 3.59% | 4,605.38 | 6.91% | |
| 48. | 2021. 11. 30. | $180.25 | 3.90% | 4,567.00 | -0.83% | |
| 49. | 2021. 12. 31. | $175.77 | $0.69 | -2.10% | 4,766.18 | 4.36% |
| 50. | 2022. 1. 31. | $163.97 | -6.71% | 4,515.55 | -5.26% | |
| 51. | 2022. 2. 28. | $160.29 | $0.76 | -1.78% | 4,373.94 | -3.14% |
| 52. | 2022. 3. 31. | $165.18 | 3.05% | 4,530.41 | 3.58% | |
| 53. | 2022. 4. 30. | $154.38 | -6.54% | 4,131.93 | -8.80% | |
| 54. | 2022. 5. 31. | $168.40 | $0.76 | 9.57% | 4,132.15 | 0.01% |
| 55. | 2022. 6. 30. | $146.09 | -13.25% | 3,785.38 | -8.39% | |
| 56. | 2022. 7. 31. | $171.96 | 17.71% | 4,130.29 | 9.11% | |
| 57. | 2022. 8. 31. | $151.53 | $0.76 | -11.44% | 3,955.00 | -4.24% |
| 58. | 2022. 9. 30. | $139.34 | -8.04% | 3,585.62 | -9.34% | |
| 59. | 2022. 10. 31. | $142.62 | 2.35% | 3,871.98 | 7.99% | |
| 60. | 2022. 11. 30. | $171.91 | 20.54% | 4,080.11 | 5.38% | |
| 61. | 2022. 12. 31. | $164.03 | $0.76 | -4.14% | 3,839.50 | -5.90% |
| 62. | 2023. 1. 31. | $171.47 | 4.54% | 4,076.60 | 6.18% | |
| 63. | 2023. 2. 28. | $183.47 | $0.86 | 7.50% | 3,970.15 | -2.61% |
| 64. | 2023. 3. 31. | $197.22 | 7.49% | 4,109.31 | 3.51% | |
| 65. | 2023. 4. 30. | $179.88 | -8.79% | 4,169.48 | 1.46% | |
| 66. | 2023. 5. 31. | $177.69 | -1.22% | 4,179.83 | 0.25% | |
| 67. | 2023. 6. 30. | $194.81 | $0.86 | 10.12% | 4,376.86 | 4.71% |
| 68. | 2023. 7. 31. | $199.53 | 2.42% | 4,588.96 | 4.85% | |
| 69. | 2023. 8. 31. | $181.78 | -8.90% | 4,507.66 | -1.77% | |
| 70. | 2023. 9. 30. | $175.09 | $0.86 | -3.21% | 4,288.05 | -4.87% |
| 71. | 2023. 10. 31. | $157.33 | -10.14% | 4,193.80 | -2.20% | |
| 평균의 (R): | 1.34% | 0.78% | ||||
| 표준 편차: | 8.29% | 5.13% | ||||
모두 표시
1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.
2 기간 t 동안 ADI의 보통주에 대한 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.
분산과 공분산
Analog Devices Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RADI,t | RS&P 500,t | (RADI,t–RADI)2 | (RS&P 500,t–RS&P 500)2 | (RADI,t–RADI)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 12. 31. | 3.39% | 0.98% | 4.19 | 0.04 | 0.41 |
| 2. | 2018. 1. 31. | 3.20% | 5.62% | 3.45 | 23.40 | 8.99 |
| 3. | 2018. 2. 28. | -1.88% | -3.89% | 10.41 | 21.86 | 15.08 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023. 9. 30. | -3.21% | -4.87% | 20.70 | 31.95 | 25.72 |
| 71. | 2023. 10. 31. | -10.14% | -2.20% | 131.93 | 8.87 | 34.21 |
| 합계 (Σ): | 4,813.75 | 1,843.80 | 2,109.87 | |||
| t | 날짜 | RADI,t | RS&P 500,t | (RADI,t–RADI)2 | (RS&P 500,t–RS&P 500)2 | (RADI,t–RADI)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 12. 31. | 3.39% | 0.98% | 4.19 | 0.04 | 0.41 |
| 2. | 2018. 1. 31. | 3.20% | 5.62% | 3.45 | 23.40 | 8.99 |
| 3. | 2018. 2. 28. | -1.88% | -3.89% | 10.41 | 21.86 | 15.08 |
| 4. | 2018. 3. 31. | 1.62% | -2.69% | 0.08 | 12.04 | -0.96 |
| 5. | 2018. 4. 30. | -4.15% | 0.27% | 30.15 | 0.26 | 2.79 |
| 6. | 2018. 5. 31. | 11.25% | 2.16% | 98.22 | 1.90 | 13.68 |
| 7. | 2018. 6. 30. | -0.80% | 0.48% | 4.60 | 0.09 | 0.64 |
| 8. | 2018. 7. 31. | 0.23% | 3.60% | 1.24 | 7.96 | -3.14 |
| 9. | 2018. 8. 31. | 3.32% | 3.03% | 3.90 | 5.04 | 4.44 |
| 10. | 2018. 9. 30. | -6.46% | 0.43% | 60.95 | 0.12 | 2.74 |
| 11. | 2018. 10. 31. | -9.46% | -6.94% | 116.78 | 59.62 | 83.44 |
| 12. | 2018. 11. 30. | 10.38% | 1.79% | 81.69 | 1.01 | 9.09 |
| 13. | 2018. 12. 31. | -6.63% | -9.18% | 63.49 | 99.17 | 79.35 |
| 14. | 2019. 1. 31. | 15.18% | 7.87% | 191.50 | 50.24 | 98.08 |
| 15. | 2019. 2. 28. | 8.74% | 2.97% | 54.71 | 4.81 | 16.21 |
| 16. | 2019. 3. 31. | -1.58% | 1.79% | 8.54 | 1.02 | -2.96 |
| 17. | 2019. 4. 30. | 10.42% | 3.93% | 82.41 | 9.93 | 28.60 |
| 18. | 2019. 5. 31. | -16.41% | -6.58% | 315.32 | 54.15 | 130.67 |
| 19. | 2019. 6. 30. | 16.82% | 6.89% | 239.49 | 37.36 | 94.59 |
| 20. | 2019. 7. 31. | 4.07% | 1.31% | 7.42 | 0.28 | 1.45 |
| 21. | 2019. 8. 31. | -6.04% | -1.81% | 54.45 | 6.71 | 19.11 |
| 22. | 2019. 9. 30. | 1.73% | 1.72% | 0.15 | 0.88 | 0.36 |
| 23. | 2019. 10. 31. | -4.56% | 2.04% | 34.90 | 1.59 | -7.46 |
| 24. | 2019. 11. 30. | 5.93% | 3.40% | 21.01 | 6.89 | 12.03 |
| 25. | 2019. 12. 31. | 5.69% | 2.86% | 18.92 | 4.32 | 9.04 |
| 26. | 2020. 1. 31. | -7.65% | -0.16% | 80.85 | 0.89 | 8.48 |
| 27. | 2020. 2. 29. | -0.07% | -8.41% | 2.00 | 84.49 | 13.01 |
| 28. | 2020. 3. 31. | -17.79% | -12.51% | 366.07 | 176.70 | 254.33 |
| 29. | 2020. 4. 30. | 22.25% | 12.68% | 437.24 | 141.70 | 248.91 |
| 30. | 2020. 5. 31. | 3.62% | 4.53% | 5.20 | 14.04 | 8.54 |
| 31. | 2020. 6. 30. | 8.58% | 1.84% | 52.36 | 1.12 | 7.66 |
| 32. | 2020. 7. 31. | -6.35% | 5.51% | 59.21 | 22.37 | -36.39 |
| 33. | 2020. 8. 31. | 2.31% | 7.01% | 0.93 | 38.76 | 6.00 |
| 34. | 2020. 9. 30. | -0.12% | -3.92% | 2.14 | 22.12 | 6.88 |
| 35. | 2020. 10. 31. | 1.53% | -2.77% | 0.04 | 12.58 | -0.68 |
| 36. | 2020. 11. 30. | 17.34% | 10.75% | 255.82 | 99.48 | 159.53 |
| 37. | 2020. 12. 31. | 6.67% | 3.71% | 28.33 | 8.59 | 15.60 |
| 38. | 2021. 1. 31. | -0.27% | -1.11% | 2.60 | 3.59 | 3.06 |
| 39. | 2021. 2. 28. | 6.23% | 2.61% | 23.89 | 3.34 | 8.94 |
| 40. | 2021. 3. 31. | -0.47% | 4.24% | 3.30 | 11.99 | -6.30 |
| 41. | 2021. 4. 30. | -1.24% | 5.24% | 6.66 | 19.91 | -11.52 |
| 42. | 2021. 5. 31. | 7.92% | 0.55% | 43.26 | 0.05 | -1.53 |
| 43. | 2021. 6. 30. | 4.59% | 2.22% | 10.56 | 2.08 | 4.68 |
| 44. | 2021. 7. 31. | -2.75% | 2.27% | 16.78 | 2.23 | -6.12 |
| 45. | 2021. 8. 31. | -2.26% | 2.90% | 12.97 | 4.49 | -7.63 |
| 46. | 2021. 9. 30. | 2.78% | -4.76% | 2.07 | 30.67 | -7.96 |
| 47. | 2021. 10. 31. | 3.59% | 6.91% | 5.04 | 37.62 | 13.77 |
| 48. | 2021. 11. 30. | 3.90% | -0.83% | 6.52 | 2.61 | -4.12 |
| 49. | 2021. 12. 31. | -2.10% | 4.36% | 11.87 | 12.82 | -12.34 |
| 50. | 2022. 1. 31. | -6.71% | -5.26% | 64.90 | 36.47 | 48.65 |
| 51. | 2022. 2. 28. | -1.78% | -3.14% | 9.76 | 15.34 | 12.24 |
| 52. | 2022. 3. 31. | 3.05% | 3.58% | 2.92 | 7.82 | 4.78 |
| 53. | 2022. 4. 30. | -6.54% | -8.80% | 62.11 | 91.71 | 75.47 |
| 54. | 2022. 5. 31. | 9.57% | 0.01% | 67.75 | 0.60 | -6.38 |
| 55. | 2022. 6. 30. | -13.25% | -8.39% | 212.90 | 84.14 | 133.84 |
| 56. | 2022. 7. 31. | 17.71% | 9.11% | 267.82 | 69.40 | 136.34 |
| 57. | 2022. 8. 31. | -11.44% | -4.24% | 163.37 | 25.25 | 64.22 |
| 58. | 2022. 9. 30. | -8.04% | -9.34% | 88.13 | 102.42 | 95.00 |
| 59. | 2022. 10. 31. | 2.35% | 7.99% | 1.02 | 51.92 | 7.29 |
| 60. | 2022. 11. 30. | 20.54% | 5.38% | 368.42 | 21.11 | 88.19 |
| 61. | 2022. 12. 31. | -4.14% | -5.90% | 30.08 | 44.59 | 36.63 |
| 62. | 2023. 1. 31. | 4.54% | 6.18% | 10.19 | 29.10 | 17.22 |
| 63. | 2023. 2. 28. | 7.50% | -2.61% | 37.91 | 11.51 | -20.88 |
| 64. | 2023. 3. 31. | 7.49% | 3.51% | 37.84 | 7.42 | 16.76 |
| 65. | 2023. 4. 30. | -8.79% | 1.46% | 102.72 | 0.47 | -6.93 |
| 66. | 2023. 5. 31. | -1.22% | 0.25% | 6.56 | 0.28 | 1.36 |
| 67. | 2023. 6. 30. | 10.12% | 4.71% | 77.02 | 15.47 | 34.52 |
| 68. | 2023. 7. 31. | 2.42% | 4.85% | 1.17 | 16.53 | 4.39 |
| 69. | 2023. 8. 31. | -8.90% | -1.77% | 104.83 | 6.51 | 26.13 |
| 70. | 2023. 9. 30. | -3.21% | -4.87% | 20.70 | 31.95 | 25.72 |
| 71. | 2023. 10. 31. | -10.14% | -2.20% | 131.93 | 8.87 | 34.21 |
| 합계 (Σ): | 4,813.75 | 1,843.80 | 2,109.87 | |||
모두 표시
분산ADI = Σ(RADI,t–RADI)2 ÷ (71 – 1)
= 4,813.75 ÷ (71 – 1)
= 68.77
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,843.80 ÷ (71 – 1)
= 26.34
공분산ADI, S&P 500 = Σ(RADI,t–RADI)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,109.87 ÷ (71 – 1)
= 30.14
체계적인 위험 추정 (β)
| 분산ADI | 68.77 |
| 분산S&P 500 | 26.34 |
| 공분산ADI, S&P 500 | 30.14 |
| 상관 계수ADI, S&P 5001 | 0.71 |
| βADI2 | 1.14 |
| αADI3 | 0.45% |
계산
1 상관 계수ADI, S&P 500
= 공분산ADI, S&P 500 ÷ (표준 편차ADI × 표준 편차S&P 500)
= 30.14 ÷ (8.29% × 5.13%)
= 0.71
2 βADI
= 공분산ADI, S&P 500 ÷ 분산S&P 500
= 30.14 ÷ 26.34
= 1.14
3 αADI
= 평균의ADI – βADI × 평균의S&P 500
= 1.34% – 1.14 × 0.78%
= 0.45%
예상 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.56% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.77% |
| 보통주의 체계적 위험Analog Devices | βADI | 1.14 |
| Analog Devices 보통주에 대한 예상 수익률3 | E(RADI) | 15.09% |
1 10년 이내에 만기가 되지 않거나 콜 가능하지 않은 모든 미결제 고정 쿠폰 미국 재무부 채권에 대한 입찰 수익률의 가중 평균(무위험 수익률 프록시).
2 자세히 보기 »
3 E(RADI) = RF + βADI [E(RM) – RF]
= 4.56% + 1.14 [13.77% – 4.56%]
= 15.09%