자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Applied보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Applied Materials Inc., 월별 수익률
| Applied Materials Inc. (AMAT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값AMAT,t1 | 피제수AMAT,t1 | RAMAT,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 11. 30. | $57.90 | 3,140.98 | ||||
| 1. | 2019. 12. 31. | $61.04 | 5.42% | 3,230.78 | 2.86% | |
| 2. | 2020. 1. 31. | $57.99 | -5.00% | 3,225.52 | -0.16% | |
| 3. | 2020. 2. 29. | $58.12 | $0.21 | 0.59% | 2,954.22 | -8.41% |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 9. 30. | $204.74 | 27.36% | 6,688.46 | 3.53% | |
| 71. | 2025. 10. 31. | $233.10 | 13.85% | 6,840.20 | 2.27% | |
| 평균의 (R): | 2.68% | 1.22% | ||||
| 표준 편차: | 11.43% | 4.97% | ||||
| Applied Materials Inc. (AMAT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값AMAT,t1 | 피제수AMAT,t1 | RAMAT,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 11. 30. | $57.90 | 3,140.98 | ||||
| 1. | 2019. 12. 31. | $61.04 | 5.42% | 3,230.78 | 2.86% | |
| 2. | 2020. 1. 31. | $57.99 | -5.00% | 3,225.52 | -0.16% | |
| 3. | 2020. 2. 29. | $58.12 | $0.21 | 0.59% | 2,954.22 | -8.41% |
| 4. | 2020. 3. 31. | $45.82 | -21.16% | 2,584.59 | -12.51% | |
| 5. | 2020. 4. 30. | $49.68 | 8.42% | 2,912.43 | 12.68% | |
| 6. | 2020. 5. 31. | $56.18 | $0.22 | 13.53% | 3,044.31 | 4.53% |
| 7. | 2020. 6. 30. | $60.45 | 7.60% | 3,100.29 | 1.84% | |
| 8. | 2020. 7. 31. | $64.33 | 6.42% | 3,271.12 | 5.51% | |
| 9. | 2020. 8. 31. | $61.60 | $0.22 | -3.90% | 3,500.31 | 7.01% |
| 10. | 2020. 9. 30. | $59.45 | -3.49% | 3,363.00 | -3.92% | |
| 11. | 2020. 10. 31. | $59.23 | -0.37% | 3,269.96 | -2.77% | |
| 12. | 2020. 11. 30. | $82.48 | $0.22 | 39.63% | 3,621.63 | 10.75% |
| 13. | 2020. 12. 31. | $86.30 | 4.63% | 3,756.07 | 3.71% | |
| 14. | 2021. 1. 31. | $96.68 | 12.03% | 3,714.24 | -1.11% | |
| 15. | 2021. 2. 28. | $118.19 | $0.22 | 22.48% | 3,811.15 | 2.61% |
| 16. | 2021. 3. 31. | $133.60 | 13.04% | 3,972.89 | 4.24% | |
| 17. | 2021. 4. 30. | $132.71 | -0.67% | 4,181.17 | 5.24% | |
| 18. | 2021. 5. 31. | $138.13 | $0.24 | 4.26% | 4,204.11 | 0.55% |
| 19. | 2021. 6. 30. | $142.40 | 3.09% | 4,297.50 | 2.22% | |
| 20. | 2021. 7. 31. | $139.93 | -1.73% | 4,395.26 | 2.27% | |
| 21. | 2021. 8. 31. | $135.13 | $0.24 | -3.26% | 4,522.68 | 2.90% |
| 22. | 2021. 9. 30. | $128.73 | -4.74% | 4,307.54 | -4.76% | |
| 23. | 2021. 10. 31. | $136.65 | 6.15% | 4,605.38 | 6.91% | |
| 24. | 2021. 11. 30. | $147.19 | $0.24 | 7.89% | 4,567.00 | -0.83% |
| 25. | 2021. 12. 31. | $157.36 | 6.91% | 4,766.18 | 4.36% | |
| 26. | 2022. 1. 31. | $138.18 | -12.19% | 4,515.55 | -5.26% | |
| 27. | 2022. 2. 28. | $134.20 | $0.24 | -2.71% | 4,373.94 | -3.14% |
| 28. | 2022. 3. 31. | $131.80 | -1.79% | 4,530.41 | 3.58% | |
| 29. | 2022. 4. 30. | $110.35 | -16.27% | 4,131.93 | -8.80% | |
| 30. | 2022. 5. 31. | $117.29 | $0.26 | 6.52% | 4,132.15 | 0.01% |
| 31. | 2022. 6. 30. | $90.98 | -22.43% | 3,785.38 | -8.39% | |
| 32. | 2022. 7. 31. | $105.98 | 16.49% | 4,130.29 | 9.11% | |
| 33. | 2022. 8. 31. | $94.07 | $0.26 | -10.99% | 3,955.00 | -4.24% |
| 34. | 2022. 9. 30. | $81.93 | -12.91% | 3,585.62 | -9.34% | |
| 35. | 2022. 10. 31. | $88.29 | 7.76% | 3,871.98 | 7.99% | |
| 36. | 2022. 11. 30. | $109.60 | $0.26 | 24.43% | 4,080.11 | 5.38% |
| 37. | 2022. 12. 31. | $97.38 | -11.15% | 3,839.50 | -5.90% | |
| 38. | 2023. 1. 31. | $111.49 | 14.49% | 4,076.60 | 6.18% | |
| 39. | 2023. 2. 28. | $116.15 | $0.26 | 4.41% | 3,970.15 | -2.61% |
| 40. | 2023. 3. 31. | $122.83 | 5.75% | 4,109.31 | 3.51% | |
| 41. | 2023. 4. 30. | $113.03 | -7.98% | 4,169.48 | 1.46% | |
| 42. | 2023. 5. 31. | $133.30 | $0.32 | 18.22% | 4,179.83 | 0.25% |
| 43. | 2023. 6. 30. | $144.54 | 8.43% | 4,376.86 | 4.71% | |
| 44. | 2023. 7. 31. | $151.59 | 4.88% | 4,588.96 | 4.85% | |
| 45. | 2023. 8. 31. | $152.76 | $0.32 | 0.98% | 4,507.66 | -1.77% |
| 46. | 2023. 9. 30. | $138.45 | -9.37% | 4,288.05 | -4.87% | |
| 47. | 2023. 10. 31. | $132.35 | -4.41% | 4,193.80 | -2.20% | |
| 48. | 2023. 11. 30. | $149.78 | $0.32 | 13.41% | 4,567.80 | 8.92% |
| 49. | 2023. 12. 31. | $162.07 | 8.21% | 4,769.83 | 4.42% | |
| 50. | 2024. 1. 31. | $164.30 | 1.38% | 4,845.65 | 1.59% | |
| 51. | 2024. 2. 29. | $201.62 | $0.32 | 22.91% | 5,096.27 | 5.17% |
| 52. | 2024. 3. 31. | $206.23 | 2.29% | 5,254.35 | 3.10% | |
| 53. | 2024. 4. 30. | $198.65 | -3.68% | 5,035.69 | -4.16% | |
| 54. | 2024. 5. 31. | $215.08 | $0.40 | 8.47% | 5,277.51 | 4.80% |
| 55. | 2024. 6. 30. | $235.99 | 9.72% | 5,460.48 | 3.47% | |
| 56. | 2024. 7. 31. | $212.20 | -10.08% | 5,522.30 | 1.13% | |
| 57. | 2024. 8. 31. | $197.26 | $0.40 | -6.85% | 5,648.40 | 2.28% |
| 58. | 2024. 9. 30. | $202.05 | 2.43% | 5,762.48 | 2.02% | |
| 59. | 2024. 10. 31. | $181.58 | -10.13% | 5,705.45 | -0.99% | |
| 60. | 2024. 11. 30. | $174.71 | $0.40 | -3.56% | 6,032.38 | 5.73% |
| 61. | 2024. 12. 31. | $162.63 | -6.91% | 5,881.63 | -2.50% | |
| 62. | 2025. 1. 31. | $180.35 | 10.90% | 6,040.53 | 2.70% | |
| 63. | 2025. 2. 28. | $158.07 | $0.40 | -12.13% | 5,954.50 | -1.42% |
| 64. | 2025. 3. 31. | $145.12 | -8.19% | 5,611.85 | -5.75% | |
| 65. | 2025. 4. 30. | $150.71 | 3.85% | 5,569.06 | -0.76% | |
| 66. | 2025. 5. 31. | $156.75 | $0.46 | 4.31% | 5,911.69 | 6.15% |
| 67. | 2025. 6. 30. | $183.07 | 16.79% | 6,204.95 | 4.96% | |
| 68. | 2025. 7. 31. | $180.06 | -1.64% | 6,339.39 | 2.17% | |
| 69. | 2025. 8. 31. | $160.76 | $0.46 | -10.46% | 6,460.26 | 1.91% |
| 70. | 2025. 9. 30. | $204.74 | 27.36% | 6,688.46 | 3.53% | |
| 71. | 2025. 10. 31. | $233.10 | 13.85% | 6,840.20 | 2.27% | |
| 평균의 (R): | 2.68% | 1.22% | ||||
| 표준 편차: | 11.43% | 4.97% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 t 기간 동안 AMAT의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Applied Materials Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RAMAT,t | RS&P 500,t | (RAMAT,t–RAMAT)2 | (RS&P 500,t–RS&P 500)2 | (RAMAT,t–RAMAT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 12. 31. | 5.42% | 2.86% | 7.53 | 2.67 | 4.49 |
| 2. | 2020. 1. 31. | -5.00% | -0.16% | 58.91 | 1.93 | 10.65 |
| 3. | 2020. 2. 29. | 0.59% | -8.41% | 4.38 | 92.85 | 20.16 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 9. 30. | 27.36% | 3.53% | 609.06 | 5.32 | 56.95 |
| 71. | 2025. 10. 31. | 13.85% | 2.27% | 124.84 | 1.09 | 11.66 |
| 합계 (Σ): | 9,146.04 | 1,731.31 | 2,718.36 | |||
| t | 날짜 | RAMAT,t | RS&P 500,t | (RAMAT,t–RAMAT)2 | (RS&P 500,t–RS&P 500)2 | (RAMAT,t–RAMAT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 12. 31. | 5.42% | 2.86% | 7.53 | 2.67 | 4.49 |
| 2. | 2020. 1. 31. | -5.00% | -0.16% | 58.91 | 1.93 | 10.65 |
| 3. | 2020. 2. 29. | 0.59% | -8.41% | 4.38 | 92.85 | 20.16 |
| 4. | 2020. 3. 31. | -21.16% | -12.51% | 568.42 | 188.70 | 327.50 |
| 5. | 2020. 4. 30. | 8.42% | 12.68% | 33.01 | 131.32 | 65.85 |
| 6. | 2020. 5. 31. | 13.53% | 4.53% | 117.68 | 10.91 | 35.84 |
| 7. | 2020. 6. 30. | 7.60% | 1.84% | 24.23 | 0.38 | 3.02 |
| 8. | 2020. 7. 31. | 6.42% | 5.51% | 13.99 | 18.36 | 16.03 |
| 9. | 2020. 8. 31. | -3.90% | 7.01% | 43.30 | 33.43 | -38.04 |
| 10. | 2020. 9. 30. | -3.49% | -3.92% | 38.05 | 26.50 | 31.75 |
| 11. | 2020. 10. 31. | -0.37% | -2.77% | 9.29 | 15.93 | 12.17 |
| 12. | 2020. 11. 30. | 39.63% | 10.75% | 1,365.06 | 90.82 | 352.09 |
| 13. | 2020. 12. 31. | 4.63% | 3.71% | 3.81 | 6.19 | 4.86 |
| 14. | 2021. 1. 31. | 12.03% | -1.11% | 87.41 | 5.47 | -21.86 |
| 15. | 2021. 2. 28. | 22.48% | 2.61% | 391.95 | 1.92 | 27.41 |
| 16. | 2021. 3. 31. | 13.04% | 4.24% | 107.33 | 9.11 | 31.28 |
| 17. | 2021. 4. 30. | -0.67% | 5.24% | 11.19 | 16.14 | -13.44 |
| 18. | 2021. 5. 31. | 4.26% | 0.55% | 2.52 | 0.46 | -1.07 |
| 19. | 2021. 6. 30. | 3.09% | 2.22% | 0.17 | 0.99 | 0.41 |
| 20. | 2021. 7. 31. | -1.73% | 2.27% | 19.47 | 1.10 | -4.63 |
| 21. | 2021. 8. 31. | -3.26% | 2.90% | 35.25 | 2.80 | -9.94 |
| 22. | 2021. 9. 30. | -4.74% | -4.76% | 54.98 | 35.78 | 44.35 |
| 23. | 2021. 10. 31. | 6.15% | 6.91% | 12.07 | 32.37 | 19.77 |
| 24. | 2021. 11. 30. | 7.89% | -0.83% | 27.15 | 4.24 | -10.72 |
| 25. | 2021. 12. 31. | 6.91% | 4.36% | 17.90 | 9.84 | 13.27 |
| 26. | 2022. 1. 31. | -12.19% | -5.26% | 221.03 | 42.03 | 96.39 |
| 27. | 2022. 2. 28. | -2.71% | -3.14% | 29.00 | 19.02 | 23.48 |
| 28. | 2022. 3. 31. | -1.79% | 3.58% | 19.95 | 5.53 | -10.51 |
| 29. | 2022. 4. 30. | -16.27% | -8.80% | 359.22 | 100.41 | 189.92 |
| 30. | 2022. 5. 31. | 6.52% | 0.01% | 14.79 | 1.49 | -4.69 |
| 31. | 2022. 6. 30. | -22.43% | -8.39% | 630.51 | 92.48 | 241.48 |
| 32. | 2022. 7. 31. | 16.49% | 9.11% | 190.68 | 62.20 | 108.91 |
| 33. | 2022. 8. 31. | -10.99% | -4.24% | 186.90 | 29.91 | 74.76 |
| 34. | 2022. 9. 30. | -12.91% | -9.34% | 242.85 | 111.61 | 164.63 |
| 35. | 2022. 10. 31. | 7.76% | 7.99% | 25.85 | 45.72 | 34.38 |
| 36. | 2022. 11. 30. | 24.43% | 5.38% | 473.17 | 17.23 | 90.28 |
| 37. | 2022. 12. 31. | -11.15% | -5.90% | 191.22 | 50.72 | 98.48 |
| 38. | 2023. 1. 31. | 14.49% | 6.18% | 139.50 | 24.51 | 58.47 |
| 39. | 2023. 2. 28. | 4.41% | -2.61% | 3.01 | 14.72 | -6.65 |
| 40. | 2023. 3. 31. | 5.75% | 3.51% | 9.44 | 5.20 | 7.01 |
| 41. | 2023. 4. 30. | -7.98% | 1.46% | 113.57 | 0.06 | -2.55 |
| 42. | 2023. 5. 31. | 18.22% | 0.25% | 241.43 | 0.95 | -15.17 |
| 43. | 2023. 6. 30. | 8.43% | 4.71% | 33.10 | 12.17 | 20.07 |
| 44. | 2023. 7. 31. | 4.88% | 4.85% | 4.84 | 13.11 | 7.96 |
| 45. | 2023. 8. 31. | 0.98% | -1.77% | 2.87 | 8.98 | 5.08 |
| 46. | 2023. 9. 30. | -9.37% | -4.87% | 145.11 | 37.17 | 73.44 |
| 47. | 2023. 10. 31. | -4.41% | -2.20% | 50.19 | 11.72 | 24.25 |
| 48. | 2023. 11. 30. | 13.41% | 8.92% | 115.20 | 59.18 | 82.57 |
| 49. | 2023. 12. 31. | 8.21% | 4.42% | 30.55 | 10.23 | 17.68 |
| 50. | 2024. 1. 31. | 1.38% | 1.59% | 1.70 | 0.13 | -0.48 |
| 51. | 2024. 2. 29. | 22.91% | 5.17% | 409.29 | 15.58 | 79.86 |
| 52. | 2024. 3. 31. | 2.29% | 3.10% | 0.15 | 3.52 | -0.74 |
| 53. | 2024. 4. 30. | -3.68% | -4.16% | 40.37 | 29.01 | 34.22 |
| 54. | 2024. 5. 31. | 8.47% | 4.80% | 33.57 | 12.80 | 20.73 |
| 55. | 2024. 6. 30. | 9.72% | 3.47% | 49.61 | 5.03 | 15.79 |
| 56. | 2024. 7. 31. | -10.08% | 1.13% | 162.80 | 0.01 | 1.18 |
| 57. | 2024. 8. 31. | -6.85% | 2.28% | 90.83 | 1.12 | -10.09 |
| 58. | 2024. 9. 30. | 2.43% | 2.02% | 0.06 | 0.63 | -0.20 |
| 59. | 2024. 10. 31. | -10.13% | -0.99% | 164.09 | 4.90 | 28.37 |
| 60. | 2024. 11. 30. | -3.56% | 5.73% | 38.96 | 20.30 | -28.12 |
| 61. | 2024. 12. 31. | -6.91% | -2.50% | 92.02 | 13.87 | 35.72 |
| 62. | 2025. 1. 31. | 10.90% | 2.70% | 67.53 | 2.18 | 12.14 |
| 63. | 2025. 2. 28. | -12.13% | -1.42% | 219.35 | 7.02 | 39.23 |
| 64. | 2025. 3. 31. | -8.19% | -5.75% | 118.18 | 48.71 | 75.87 |
| 65. | 2025. 4. 30. | 3.85% | -0.76% | 1.38 | 3.95 | -2.33 |
| 66. | 2025. 5. 31. | 4.31% | 6.15% | 2.67 | 24.28 | 8.05 |
| 67. | 2025. 6. 30. | 16.79% | 4.96% | 199.17 | 13.96 | 52.72 |
| 68. | 2025. 7. 31. | -1.64% | 2.17% | 18.69 | 0.89 | -4.07 |
| 69. | 2025. 8. 31. | -10.46% | 1.91% | 172.70 | 0.46 | -8.96 |
| 70. | 2025. 9. 30. | 27.36% | 3.53% | 609.06 | 5.32 | 56.95 |
| 71. | 2025. 10. 31. | 13.85% | 2.27% | 124.84 | 1.09 | 11.66 |
| 합계 (Σ): | 9,146.04 | 1,731.31 | 2,718.36 | |||
모두 보기
분산AMAT = Σ(RAMAT,t–RAMAT)2 ÷ (71 – 1)
= 9,146.04 ÷ (71 – 1)
= 130.66
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,731.31 ÷ (71 – 1)
= 24.73
공분산AMAT, S&P 500 = Σ(RAMAT,t–RAMAT)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,718.36 ÷ (71 – 1)
= 38.83
체계적인 위험 추정 (β)
| 분산AMAT | 130.66 |
| 분산S&P 500 | 24.73 |
| 공분산AMAT, S&P 500 | 38.83 |
| 상관 계수AMAT, S&P 5001 | 0.68 |
| βAMAT2 | 1.57 |
| αAMAT3 | 0.76% |
계산
1 상관 계수AMAT, S&P 500
= 공분산AMAT, S&P 500 ÷ (표준 편차AMAT × 표준 편차S&P 500)
= 38.83 ÷ (11.43% × 4.97%)
= 0.68
2 βAMAT
= 공분산AMAT, S&P 500 ÷ 분산S&P 500
= 38.83 ÷ 24.73
= 1.57
3 αAMAT
= 평균의AMAT – βAMAT × 평균의S&P 500
= 2.68% – 1.57 × 1.22%
= 0.76%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.94% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.36% |
| 보통주의 체계적 위험Applied | βAMAT | 1.57 |
| 적용 보통주에 대한 예상 수익률3 | E(RAMAT) | 24.44% |
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(RAMAT) = RF + βAMAT [E(RM) – RF]
= 4.94% + 1.57 [17.36% – 4.94%]
= 24.44%