자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Broadcom보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Broadcom Inc., 월별 수익률
| Broadcom Inc. (AVGO) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값AVGO,t1 | 피제수AVGO,t1 | RAVGO,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 11. 30. | $23.74 | 2,760.17 | ||||
| 1. | 2018. 12. 31. | $25.43 | $0.265 | 8.24% | 2,506.85 | -9.18% |
| 2. | 2019. 1. 31. | $26.83 | 5.51% | 2,704.10 | 7.87% | |
| 3. | 2019. 2. 28. | $27.54 | 2.65% | 2,784.49 | 2.97% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 9. 30. | $172.50 | $0.53 | 6.27% | 5,762.48 | 2.02% |
| 71. | 2024. 10. 31. | $169.77 | -1.58% | 5,705.45 | -0.99% | |
| 평균의 (R): | 3.45% | 1.16% | ||||
| 표준 편차: | 8.78% | 5.15% | ||||
| Broadcom Inc. (AVGO) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값AVGO,t1 | 피제수AVGO,t1 | RAVGO,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 11. 30. | $23.74 | 2,760.17 | ||||
| 1. | 2018. 12. 31. | $25.43 | $0.265 | 8.24% | 2,506.85 | -9.18% |
| 2. | 2019. 1. 31. | $26.83 | 5.51% | 2,704.10 | 7.87% | |
| 3. | 2019. 2. 28. | $27.54 | 2.65% | 2,784.49 | 2.97% | |
| 4. | 2019. 3. 31. | $30.07 | $0.265 | 10.15% | 2,834.40 | 1.79% |
| 5. | 2019. 4. 30. | $31.84 | 5.89% | 2,945.83 | 3.93% | |
| 6. | 2019. 5. 31. | $25.16 | -20.98% | 2,752.06 | -6.58% | |
| 7. | 2019. 6. 30. | $28.79 | $0.265 | 15.48% | 2,941.76 | 6.89% |
| 8. | 2019. 7. 31. | $29.00 | 0.73% | 2,980.38 | 1.31% | |
| 9. | 2019. 8. 31. | $28.26 | -2.55% | 2,926.46 | -1.81% | |
| 10. | 2019. 9. 30. | $27.61 | $0.265 | -1.36% | 2,976.74 | 1.72% |
| 11. | 2019. 10. 31. | $29.29 | 6.08% | 3,037.56 | 2.04% | |
| 12. | 2019. 11. 30. | $31.62 | 7.95% | 3,140.98 | 3.40% | |
| 13. | 2019. 12. 31. | $31.60 | $0.325 | 0.96% | 3,230.78 | 2.86% |
| 14. | 2020. 1. 31. | $30.52 | -3.42% | 3,225.52 | -0.16% | |
| 15. | 2020. 2. 29. | $27.26 | -10.68% | 2,954.22 | -8.41% | |
| 16. | 2020. 3. 31. | $23.71 | $0.325 | -11.83% | 2,584.59 | -12.51% |
| 17. | 2020. 4. 30. | $27.16 | 14.55% | 2,912.43 | 12.68% | |
| 18. | 2020. 5. 31. | $29.13 | 7.25% | 3,044.31 | 4.53% | |
| 19. | 2020. 6. 30. | $31.56 | $0.325 | 9.46% | 3,100.29 | 1.84% |
| 20. | 2020. 7. 31. | $31.68 | 0.38% | 3,271.12 | 5.51% | |
| 21. | 2020. 8. 31. | $34.72 | 9.60% | 3,500.31 | 7.01% | |
| 22. | 2020. 9. 30. | $36.43 | $0.325 | 5.86% | 3,363.00 | -3.92% |
| 23. | 2020. 10. 31. | $34.96 | -4.04% | 3,269.96 | -2.77% | |
| 24. | 2020. 11. 30. | $40.16 | 14.87% | 3,621.63 | 10.75% | |
| 25. | 2020. 12. 31. | $43.79 | $0.36 | 9.94% | 3,756.07 | 3.71% |
| 26. | 2021. 1. 31. | $45.05 | 2.88% | 3,714.24 | -1.11% | |
| 27. | 2021. 2. 28. | $46.99 | 4.31% | 3,811.15 | 2.61% | |
| 28. | 2021. 3. 31. | $46.37 | $0.36 | -0.55% | 3,972.89 | 4.24% |
| 29. | 2021. 4. 30. | $45.62 | -1.62% | 4,181.17 | 5.24% | |
| 30. | 2021. 5. 31. | $47.23 | 3.53% | 4,204.11 | 0.55% | |
| 31. | 2021. 6. 30. | $47.68 | $0.36 | 1.72% | 4,297.50 | 2.22% |
| 32. | 2021. 7. 31. | $48.54 | 1.80% | 4,395.26 | 2.27% | |
| 33. | 2021. 8. 31. | $49.72 | 2.43% | 4,522.68 | 2.90% | |
| 34. | 2021. 9. 30. | $48.49 | $0.36 | -1.75% | 4,307.54 | -4.76% |
| 35. | 2021. 10. 31. | $53.17 | 9.65% | 4,605.38 | 6.91% | |
| 36. | 2021. 11. 30. | $55.37 | 4.14% | 4,567.00 | -0.83% | |
| 37. | 2021. 12. 31. | $66.54 | $0.41 | 20.91% | 4,766.18 | 4.36% |
| 38. | 2022. 1. 31. | $58.59 | -11.95% | 4,515.55 | -5.26% | |
| 39. | 2022. 2. 28. | $58.74 | 0.26% | 4,373.94 | -3.14% | |
| 40. | 2022. 3. 31. | $62.97 | $0.41 | 7.90% | 4,530.41 | 3.58% |
| 41. | 2022. 4. 30. | $55.44 | -11.96% | 4,131.93 | -8.80% | |
| 42. | 2022. 5. 31. | $58.01 | 4.64% | 4,132.15 | 0.01% | |
| 43. | 2022. 6. 30. | $48.58 | $0.41 | -15.55% | 3,785.38 | -8.39% |
| 44. | 2022. 7. 31. | $53.55 | 10.23% | 4,130.29 | 9.11% | |
| 45. | 2022. 8. 31. | $49.91 | -6.80% | 3,955.00 | -4.24% | |
| 46. | 2022. 9. 30. | $44.40 | $0.41 | -10.22% | 3,585.62 | -9.34% |
| 47. | 2022. 10. 31. | $47.01 | 5.88% | 3,871.98 | 7.99% | |
| 48. | 2022. 11. 30. | $55.10 | 17.21% | 4,080.11 | 5.38% | |
| 49. | 2022. 12. 31. | $55.91 | $0.46 | 2.30% | 3,839.50 | -5.90% |
| 50. | 2023. 1. 31. | $58.50 | 4.63% | 4,076.60 | 6.18% | |
| 51. | 2023. 2. 28. | $59.43 | 1.59% | 3,970.15 | -2.61% | |
| 52. | 2023. 3. 31. | $64.15 | $0.46 | 8.72% | 4,109.31 | 3.51% |
| 53. | 2023. 4. 30. | $62.65 | -2.34% | 4,169.48 | 1.46% | |
| 54. | 2023. 5. 31. | $80.80 | 28.97% | 4,179.83 | 0.25% | |
| 55. | 2023. 6. 30. | $86.74 | $0.46 | 7.92% | 4,376.86 | 4.71% |
| 56. | 2023. 7. 31. | $89.87 | 3.61% | 4,588.96 | 4.85% | |
| 57. | 2023. 8. 31. | $92.29 | 2.69% | 4,507.66 | -1.77% | |
| 58. | 2023. 9. 30. | $83.06 | $0.46 | -9.50% | 4,288.05 | -4.87% |
| 59. | 2023. 10. 31. | $84.14 | 1.30% | 4,193.80 | -2.20% | |
| 60. | 2023. 11. 30. | $92.57 | 10.02% | 4,567.80 | 8.92% | |
| 61. | 2023. 12. 31. | $111.63 | $0.53 | 21.16% | 4,769.83 | 4.42% |
| 62. | 2024. 1. 31. | $118.00 | 5.71% | 4,845.65 | 1.59% | |
| 63. | 2024. 2. 29. | $130.05 | 10.21% | 5,096.27 | 5.17% | |
| 64. | 2024. 3. 31. | $132.54 | $0.53 | 2.32% | 5,254.35 | 3.10% |
| 65. | 2024. 4. 30. | $130.03 | -1.89% | 5,035.69 | -4.16% | |
| 66. | 2024. 5. 31. | $132.86 | 2.18% | 5,277.51 | 4.80% | |
| 67. | 2024. 6. 30. | $160.55 | $0.53 | 21.24% | 5,460.48 | 3.47% |
| 68. | 2024. 7. 31. | $160.68 | 0.08% | 5,522.30 | 1.13% | |
| 69. | 2024. 8. 31. | $162.82 | 1.33% | 5,648.40 | 2.28% | |
| 70. | 2024. 9. 30. | $172.50 | $0.53 | 6.27% | 5,762.48 | 2.02% |
| 71. | 2024. 10. 31. | $169.77 | -1.58% | 5,705.45 | -0.99% | |
| 평균의 (R): | 3.45% | 1.16% | ||||
| 표준 편차: | 8.78% | 5.15% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 AVGO의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Broadcom Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RAVGO,t | RS&P 500,t | (RAVGO,t–RAVGO)2 | (RS&P 500,t–RS&P 500)2 | (RAVGO,t–RAVGO)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 12. 31. | 8.24% | -9.18% | 22.93 | 106.87 | -49.50 |
| 2. | 2019. 1. 31. | 5.51% | 7.87% | 4.24 | 45.00 | 13.81 |
| 3. | 2019. 2. 28. | 2.65% | 2.97% | 0.64 | 3.29 | -1.45 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 9. 30. | 6.27% | 2.02% | 7.98 | 0.74 | 2.43 |
| 71. | 2024. 10. 31. | -1.58% | -0.99% | 25.29 | 4.62 | 10.81 |
| 합계 (Σ): | 5,392.70 | 1,859.93 | 2,110.79 | |||
| t | 날짜 | RAVGO,t | RS&P 500,t | (RAVGO,t–RAVGO)2 | (RS&P 500,t–RS&P 500)2 | (RAVGO,t–RAVGO)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 12. 31. | 8.24% | -9.18% | 22.93 | 106.87 | -49.50 |
| 2. | 2019. 1. 31. | 5.51% | 7.87% | 4.24 | 45.00 | 13.81 |
| 3. | 2019. 2. 28. | 2.65% | 2.97% | 0.64 | 3.29 | -1.45 |
| 4. | 2019. 3. 31. | 10.15% | 1.79% | 44.92 | 0.40 | 4.24 |
| 5. | 2019. 4. 30. | 5.89% | 3.93% | 5.95 | 7.68 | 6.76 |
| 6. | 2019. 5. 31. | -20.98% | -6.58% | 596.65 | 59.87 | 189.00 |
| 7. | 2019. 6. 30. | 15.48% | 6.89% | 144.82 | 32.87 | 68.99 |
| 8. | 2019. 7. 31. | 0.73% | 1.31% | 7.38 | 0.02 | -0.42 |
| 9. | 2019. 8. 31. | -2.55% | -1.81% | 35.98 | 8.82 | 17.81 |
| 10. | 2019. 9. 30. | -1.36% | 1.72% | 23.13 | 0.31 | -2.68 |
| 11. | 2019. 10. 31. | 6.08% | 2.04% | 6.96 | 0.78 | 2.33 |
| 12. | 2019. 11. 30. | 7.95% | 3.40% | 20.32 | 5.04 | 10.12 |
| 13. | 2019. 12. 31. | 0.96% | 2.86% | 6.16 | 2.89 | -4.22 |
| 14. | 2020. 1. 31. | -3.42% | -0.16% | 47.12 | 1.75 | 9.08 |
| 15. | 2020. 2. 29. | -10.68% | -8.41% | 199.60 | 91.60 | 135.22 |
| 16. | 2020. 3. 31. | -11.83% | -12.51% | 233.39 | 186.92 | 208.87 |
| 17. | 2020. 4. 30. | 14.55% | 12.68% | 123.30 | 132.81 | 127.97 |
| 18. | 2020. 5. 31. | 7.25% | 4.53% | 14.49 | 11.35 | 12.82 |
| 19. | 2020. 6. 30. | 9.46% | 1.84% | 36.13 | 0.46 | 4.08 |
| 20. | 2020. 7. 31. | 0.38% | 5.51% | 9.40 | 18.92 | -13.34 |
| 21. | 2020. 8. 31. | 9.60% | 7.01% | 37.81 | 34.18 | 35.95 |
| 22. | 2020. 9. 30. | 5.86% | -3.92% | 5.83 | 25.83 | -12.27 |
| 23. | 2020. 10. 31. | -4.04% | -2.77% | 55.98 | 15.42 | 29.38 |
| 24. | 2020. 11. 30. | 14.87% | 10.75% | 130.59 | 92.06 | 109.64 |
| 25. | 2020. 12. 31. | 9.94% | 3.71% | 42.10 | 6.51 | 16.56 |
| 26. | 2021. 1. 31. | 2.88% | -1.11% | 0.32 | 5.17 | 1.29 |
| 27. | 2021. 2. 28. | 4.31% | 2.61% | 0.74 | 2.10 | 1.25 |
| 28. | 2021. 3. 31. | -0.55% | 4.24% | 16.00 | 9.51 | -12.34 |
| 29. | 2021. 4. 30. | -1.62% | 5.24% | 25.64 | 16.67 | -20.67 |
| 30. | 2021. 5. 31. | 3.53% | 0.55% | 0.01 | 0.37 | -0.05 |
| 31. | 2021. 6. 30. | 1.72% | 2.22% | 3.00 | 1.13 | -1.84 |
| 32. | 2021. 7. 31. | 1.80% | 2.27% | 2.70 | 1.24 | -1.83 |
| 33. | 2021. 8. 31. | 2.43% | 2.90% | 1.03 | 3.02 | -1.77 |
| 34. | 2021. 9. 30. | -1.75% | -4.76% | 27.00 | 35.01 | 30.75 |
| 35. | 2021. 10. 31. | 9.65% | 6.91% | 38.50 | 33.11 | 35.71 |
| 36. | 2021. 11. 30. | 4.14% | -0.83% | 0.48 | 3.97 | -1.38 |
| 37. | 2021. 12. 31. | 20.91% | 4.36% | 305.10 | 10.25 | 55.92 |
| 38. | 2022. 1. 31. | -11.95% | -5.26% | 236.99 | 41.20 | 98.81 |
| 39. | 2022. 2. 28. | 0.26% | -3.14% | 10.18 | 18.46 | 13.71 |
| 40. | 2022. 3. 31. | 7.90% | 3.58% | 19.83 | 5.84 | 10.76 |
| 41. | 2022. 4. 30. | -11.96% | -8.80% | 237.30 | 99.11 | 153.36 |
| 42. | 2022. 5. 31. | 4.64% | 0.01% | 1.41 | 1.33 | -1.37 |
| 43. | 2022. 6. 30. | -15.55% | -8.39% | 360.84 | 91.24 | 181.44 |
| 44. | 2022. 7. 31. | 10.23% | 9.11% | 46.02 | 63.23 | 53.94 |
| 45. | 2022. 8. 31. | -6.80% | -4.24% | 104.94 | 29.20 | 55.36 |
| 46. | 2022. 9. 30. | -10.22% | -9.34% | 186.73 | 110.24 | 143.48 |
| 47. | 2022. 10. 31. | 5.88% | 7.99% | 5.91 | 46.60 | 16.60 |
| 48. | 2022. 11. 30. | 17.21% | 5.38% | 189.41 | 17.77 | 58.01 |
| 49. | 2022. 12. 31. | 2.30% | -5.90% | 1.30 | 49.80 | 8.06 |
| 50. | 2023. 1. 31. | 4.63% | 6.18% | 1.41 | 25.15 | 5.95 |
| 51. | 2023. 2. 28. | 1.59% | -2.61% | 3.45 | 14.22 | 7.00 |
| 52. | 2023. 3. 31. | 8.72% | 3.51% | 27.77 | 5.50 | 12.36 |
| 53. | 2023. 4. 30. | -2.34% | 1.46% | 33.46 | 0.09 | -1.76 |
| 54. | 2023. 5. 31. | 28.97% | 0.25% | 651.47 | 0.83 | -23.27 |
| 55. | 2023. 6. 30. | 7.92% | 4.71% | 20.02 | 12.63 | 15.90 |
| 56. | 2023. 7. 31. | 3.61% | 4.85% | 0.03 | 13.59 | 0.60 |
| 57. | 2023. 8. 31. | 2.69% | -1.77% | 0.57 | 8.59 | 2.21 |
| 58. | 2023. 9. 30. | -9.50% | -4.87% | 167.68 | 36.38 | 78.11 |
| 59. | 2023. 10. 31. | 1.30% | -2.20% | 4.61 | 11.28 | 7.21 |
| 60. | 2023. 11. 30. | 10.02% | 8.92% | 43.20 | 60.19 | 50.99 |
| 61. | 2023. 12. 31. | 21.16% | 4.42% | 313.85 | 10.65 | 57.81 |
| 62. | 2024. 1. 31. | 5.71% | 1.59% | 5.11 | 0.18 | 0.97 |
| 63. | 2024. 2. 29. | 10.21% | 5.17% | 45.77 | 16.10 | 27.14 |
| 64. | 2024. 3. 31. | 2.32% | 3.10% | 1.26 | 3.77 | -2.18 |
| 65. | 2024. 4. 30. | -1.89% | -4.16% | 28.52 | 28.32 | 28.42 |
| 66. | 2024. 5. 31. | 2.18% | 4.80% | 1.61 | 13.27 | -4.63 |
| 67. | 2024. 6. 30. | 21.24% | 3.47% | 316.62 | 5.32 | 41.05 |
| 68. | 2024. 7. 31. | 0.08% | 1.13% | 11.33 | 0.00 | 0.09 |
| 69. | 2024. 8. 31. | 1.33% | 2.28% | 4.47 | 1.26 | -2.38 |
| 70. | 2024. 9. 30. | 6.27% | 2.02% | 7.98 | 0.74 | 2.43 |
| 71. | 2024. 10. 31. | -1.58% | -0.99% | 25.29 | 4.62 | 10.81 |
| 합계 (Σ): | 5,392.70 | 1,859.93 | 2,110.79 | |||
모두 보기
분산AVGO = Σ(RAVGO,t–RAVGO)2 ÷ (71 – 1)
= 5,392.70 ÷ (71 – 1)
= 77.04
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,859.93 ÷ (71 – 1)
= 26.57
공분산AVGO, S&P 500 = Σ(RAVGO,t–RAVGO)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,110.79 ÷ (71 – 1)
= 30.15
체계적인 위험 추정 (β)
| 분산AVGO | 77.04 |
| 분산S&P 500 | 26.57 |
| 공분산AVGO, S&P 500 | 30.15 |
| 상관 계수AVGO, S&P 5001 | 0.67 |
| βAVGO2 | 1.13 |
| αAVGO3 | 2.13% |
계산
1 상관 계수AVGO, S&P 500
= 공분산AVGO, S&P 500 ÷ (표준 편차AVGO × 표준 편차S&P 500)
= 30.15 ÷ (8.78% × 5.15%)
= 0.67
2 βAVGO
= 공분산AVGO, S&P 500 ÷ 분산S&P 500
= 30.15 ÷ 26.57
= 1.13
3 αAVGO
= 평균의AVGO – βAVGO × 평균의S&P 500
= 3.45% – 1.13 × 1.16%
= 2.13%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.60% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.87% |
| 보통주의 체계적 위험Broadcom | βAVGO | 1.13 |
| Broadcom 보통주의 예상 수익률3 | E(RAVGO) | 16.25% |
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(RAVGO) = RF + βAVGO [E(RM) – RF]
= 4.60% + 1.13 [14.87% – 4.60%]
= 16.25%