Stock Analysis on Net

Broadcom Inc. (NASDAQ:AVGO)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

수익률

Broadcom Inc., 월별 수익률

Microsoft Excel
Broadcom Inc. (AVGO) Standard & Poor’s 500 (S&P 500)
t 날짜 AVGO,t1 피제수AVGO,t1 RAVGO,t2 S&P 500,t RS&P 500,t3
2017. 11. 30. $277.94 2,647.58
1. 2017. 12. 31. $256.90 $1.75 -6.94% 2,673.61 0.98%
2. 2018. 1. 31. $248.03 -3.45% 2,823.81 5.62%
3. 2018. 2. 28. $246.46 -0.63% 2,713.83 -3.89%
. . . . . . .
. . . . . . .
. . . . . . .
70. 2023. 9. 30. $830.58 $4.60 -9.50% 4,288.05 -4.87%
71. 2023. 10. 31. $841.37 1.30% 4,193.80 -2.20%
평균의 (R): 2.22% 0.78%
표준 편차: 8.67% 5.13%
Broadcom Inc. (AVGO) Standard & Poor’s 500 (S&P 500)
t 날짜 AVGO,t1 피제수AVGO,t1 RAVGO,t2 S&P 500,t RS&P 500,t3
2017. 11. 30. $277.94 2,647.58
1. 2017. 12. 31. $256.90 $1.75 -6.94% 2,673.61 0.98%
2. 2018. 1. 31. $248.03 -3.45% 2,823.81 5.62%
3. 2018. 2. 28. $246.46 -0.63% 2,713.83 -3.89%
4. 2018. 3. 31. $235.65 $1.75 -3.68% 2,640.87 -2.69%
5. 2018. 4. 30. $229.42 -2.64% 2,648.05 0.27%
6. 2018. 5. 31. $252.07 9.87% 2,705.27 2.16%
7. 2018. 6. 30. $242.64 $1.75 -3.05% 2,718.37 0.48%
8. 2018. 7. 31. $221.77 -8.60% 2,816.29 3.60%
9. 2018. 8. 31. $219.03 -1.24% 2,901.52 3.03%
10. 2018. 9. 30. $246.73 $1.75 13.45% 2,913.98 0.43%
11. 2018. 10. 31. $223.49 -9.42% 2,711.74 -6.94%
12. 2018. 11. 30. $237.41 6.23% 2,760.17 1.79%
13. 2018. 12. 31. $254.28 $2.65 8.22% 2,506.85 -9.18%
14. 2019. 1. 31. $268.25 5.49% 2,704.10 7.87%
15. 2019. 2. 28. $275.36 2.65% 2,784.49 2.97%
16. 2019. 3. 31. $300.71 $2.65 10.17% 2,834.40 1.79%
17. 2019. 4. 30. $318.40 5.88% 2,945.83 3.93%
18. 2019. 5. 31. $251.64 -20.97% 2,752.06 -6.58%
19. 2019. 6. 30. $287.86 $2.65 15.45% 2,941.76 6.89%
20. 2019. 7. 31. $289.99 0.74% 2,980.38 1.31%
21. 2019. 8. 31. $282.64 -2.53% 2,926.46 -1.81%
22. 2019. 9. 30. $276.07 $2.65 -1.39% 2,976.74 1.72%
23. 2019. 10. 31. $292.85 6.08% 3,037.56 2.04%
24. 2019. 11. 30. $316.21 7.98% 3,140.98 3.40%
25. 2019. 12. 31. $316.02 $3.25 0.97% 3,230.78 2.86%
26. 2020. 1. 31. $305.16 -3.44% 3,225.52 -0.16%
27. 2020. 2. 29. $272.62 -10.66% 2,954.22 -8.41%
28. 2020. 3. 31. $237.10 $3.25 -11.84% 2,584.59 -12.51%
29. 2020. 4. 30. $271.62 14.56% 2,912.43 12.68%
30. 2020. 5. 31. $291.27 7.23% 3,044.31 4.53%
31. 2020. 6. 30. $315.61 $3.25 9.47% 3,100.29 1.84%
32. 2020. 7. 31. $316.75 0.36% 3,271.12 5.51%
33. 2020. 8. 31. $347.15 9.60% 3,500.31 7.01%
34. 2020. 9. 30. $364.32 $3.25 5.88% 3,363.00 -3.92%
35. 2020. 10. 31. $349.63 -4.03% 3,269.96 -2.77%
36. 2020. 11. 30. $401.58 14.86% 3,621.63 10.75%
37. 2020. 12. 31. $437.85 $3.60 9.93% 3,756.07 3.71%
38. 2021. 1. 31. $450.50 2.89% 3,714.24 -1.11%
39. 2021. 2. 28. $469.87 4.30% 3,811.15 2.61%
40. 2021. 3. 31. $463.66 $3.60 -0.56% 3,972.89 4.24%
41. 2021. 4. 30. $456.20 -1.61% 4,181.17 5.24%
42. 2021. 5. 31. $472.33 3.54% 4,204.11 0.55%
43. 2021. 6. 30. $476.84 $3.60 1.72% 4,297.50 2.22%
44. 2021. 7. 31. $485.40 1.80% 4,395.26 2.27%
45. 2021. 8. 31. $497.21 2.43% 4,522.68 2.90%
46. 2021. 9. 30. $484.93 $3.60 -1.75% 4,307.54 -4.76%
47. 2021. 10. 31. $531.67 9.64% 4,605.38 6.91%
48. 2021. 11. 30. $553.68 4.14% 4,567.00 -0.83%
49. 2021. 12. 31. $665.41 $4.10 20.92% 4,766.18 4.36%
50. 2022. 1. 31. $585.88 -11.95% 4,515.55 -5.26%
51. 2022. 2. 28. $587.44 0.27% 4,373.94 -3.14%
52. 2022. 3. 31. $629.68 $4.10 7.89% 4,530.41 3.58%
53. 2022. 4. 30. $554.39 -11.96% 4,131.93 -8.80%
54. 2022. 5. 31. $580.13 4.64% 4,132.15 0.01%
55. 2022. 6. 30. $485.81 $4.10 -15.55% 3,785.38 -8.39%
56. 2022. 7. 31. $535.48 10.22% 4,130.29 9.11%
57. 2022. 8. 31. $499.11 -6.79% 3,955.00 -4.24%
58. 2022. 9. 30. $444.01 $4.10 -10.22% 3,585.62 -9.34%
59. 2022. 10. 31. $470.12 5.88% 3,871.98 7.99%
60. 2022. 11. 30. $551.03 17.21% 4,080.11 5.38%
61. 2022. 12. 31. $559.13 $4.60 2.30% 3,839.50 -5.90%
62. 2023. 1. 31. $585.01 4.63% 4,076.60 6.18%
63. 2023. 2. 28. $594.29 1.59% 3,970.15 -2.61%
64. 2023. 3. 31. $641.54 $4.60 8.72% 4,109.31 3.51%
65. 2023. 4. 30. $626.50 -2.34% 4,169.48 1.46%
66. 2023. 5. 31. $807.96 28.96% 4,179.83 0.25%
67. 2023. 6. 30. $867.43 $4.60 7.93% 4,376.86 4.71%
68. 2023. 7. 31. $898.65 3.60% 4,588.96 4.85%
69. 2023. 8. 31. $922.89 2.70% 4,507.66 -1.77%
70. 2023. 9. 30. $830.58 $4.60 -9.50% 4,288.05 -4.87%
71. 2023. 10. 31. $841.37 1.30% 4,193.80 -2.20%
평균의 (R): 2.22% 0.78%
표준 편차: 8.67% 5.13%

모두 표시

1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.

2 기간 t 동안 AVGO의 보통주에 대한 수익률.

3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.


분산과 공분산

Broadcom Inc., 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RAVGO,t RS&P 500,t (RAVGO,tRAVGO)2 (RS&P 500,tRS&P 500)2 (RAVGO,tRAVGO)×(RS&P 500,tRS&P 500)
1. 2017. 12. 31. -6.94% 0.98% 83.89 0.04 -1.85
2. 2018. 1. 31. -3.45% 5.62% 32.17 23.40 -27.43
3. 2018. 2. 28. -0.63% -3.89% 8.13 21.86 13.33
. . . . . . .
. . . . . . .
. . . . . . .
70. 2023. 9. 30. -9.50% -4.87% 137.42 31.95 66.27
71. 2023. 10. 31. 1.30% -2.20% 0.85 8.87 2.74
합계 (Σ): 5,262.88 1,843.80 1,962.24
t 날짜 RAVGO,t RS&P 500,t (RAVGO,tRAVGO)2 (RS&P 500,tRS&P 500)2 (RAVGO,tRAVGO)×(RS&P 500,tRS&P 500)
1. 2017. 12. 31. -6.94% 0.98% 83.89 0.04 -1.85
2. 2018. 1. 31. -3.45% 5.62% 32.17 23.40 -27.43
3. 2018. 2. 28. -0.63% -3.89% 8.13 21.86 13.33
4. 2018. 3. 31. -3.68% -2.69% 34.75 12.04 20.45
5. 2018. 4. 30. -2.64% 0.27% 23.65 0.26 2.47
6. 2018. 5. 31. 9.87% 2.16% 58.58 1.90 10.56
7. 2018. 6. 30. -3.05% 0.48% 27.73 0.09 1.56
8. 2018. 7. 31. -8.60% 3.60% 117.08 7.96 -30.53
9. 2018. 8. 31. -1.24% 3.03% 11.93 5.04 -7.76
10. 2018. 9. 30. 13.45% 0.43% 126.04 0.12 -3.94
11. 2018. 10. 31. -9.42% -6.94% 135.45 59.62 89.86
12. 2018. 11. 30. 6.23% 1.79% 16.08 1.01 4.03
13. 2018. 12. 31. 8.22% -9.18% 36.04 99.17 -59.78
14. 2019. 1. 31. 5.49% 7.87% 10.73 50.24 23.21
15. 2019. 2. 28. 2.65% 2.97% 0.19 4.81 0.95
16. 2019. 3. 31. 10.17% 1.79% 63.20 1.02 8.04
17. 2019. 4. 30. 5.88% 3.93% 13.42 9.93 11.54
18. 2019. 5. 31. -20.97% -6.58% 537.60 54.15 170.62
19. 2019. 6. 30. 15.45% 6.89% 174.97 37.36 80.85
20. 2019. 7. 31. 0.74% 1.31% 2.19 0.28 -0.79
21. 2019. 8. 31. -2.53% -1.81% 22.60 6.71 12.31
22. 2019. 9. 30. -1.39% 1.72% 13.00 0.88 -3.38
23. 2019. 10. 31. 6.08% 2.04% 14.89 1.59 4.87
24. 2019. 11. 30. 7.98% 3.40% 33.15 6.89 15.11
25. 2019. 12. 31. 0.97% 2.86% 1.57 4.32 -2.60
26. 2020. 1. 31. -3.44% -0.16% 31.98 0.89 5.34
27. 2020. 2. 29. -10.66% -8.41% 165.95 84.49 118.41
28. 2020. 3. 31. -11.84% -12.51% 197.57 176.70 186.84
29. 2020. 4. 30. 14.56% 12.68% 152.28 141.70 146.89
30. 2020. 5. 31. 7.23% 4.53% 25.15 14.04 18.79
31. 2020. 6. 30. 9.47% 1.84% 52.61 1.12 7.67
32. 2020. 7. 31. 0.36% 5.51% 3.45 22.37 -8.79
33. 2020. 8. 31. 9.60% 7.01% 54.44 38.76 45.94
34. 2020. 9. 30. 5.88% -3.92% 13.42 22.12 -17.23
35. 2020. 10. 31. -4.03% -2.77% 39.08 12.58 22.17
36. 2020. 11. 30. 14.86% 10.75% 159.76 99.48 126.07
37. 2020. 12. 31. 9.93% 3.71% 59.43 8.59 22.60
38. 2021. 1. 31. 2.89% -1.11% 0.45 3.59 -1.27
39. 2021. 2. 28. 4.30% 2.61% 4.33 3.34 3.80
40. 2021. 3. 31. -0.56% 4.24% 7.70 11.99 -9.61
41. 2021. 4. 30. -1.61% 5.24% 14.65 19.91 -17.08
42. 2021. 5. 31. 3.54% 0.55% 1.73 0.05 -0.31
43. 2021. 6. 30. 1.72% 2.22% 0.25 2.08 -0.72
44. 2021. 7. 31. 1.80% 2.27% 0.18 2.23 -0.63
45. 2021. 8. 31. 2.43% 2.90% 0.05 4.49 0.45
46. 2021. 9. 30. -1.75% -4.76% 15.72 30.67 21.96
47. 2021. 10. 31. 9.64% 6.91% 55.05 37.62 45.51
48. 2021. 11. 30. 4.14% -0.83% 3.69 2.61 -3.10
49. 2021. 12. 31. 20.92% 4.36% 349.73 12.82 66.96
50. 2022. 1. 31. -11.95% -5.26% 200.82 36.47 85.58
51. 2022. 2. 28. 0.27% -3.14% 3.81 15.34 7.65
52. 2022. 3. 31. 7.89% 3.58% 32.14 7.82 15.86
53. 2022. 4. 30. -11.96% -8.80% 200.95 91.71 135.75
54. 2022. 5. 31. 4.64% 0.01% 5.88 0.60 -1.88
55. 2022. 6. 30. -15.55% -8.39% 315.80 84.14 163.01
56. 2022. 7. 31. 10.22% 9.11% 64.08 69.40 66.69
57. 2022. 8. 31. -6.79% -4.24% 81.20 25.25 45.28
58. 2022. 9. 30. -10.22% -9.34% 154.68 102.42 125.87
59. 2022. 10. 31. 5.88% 7.99% 13.41 51.92 26.38
60. 2022. 11. 30. 17.21% 5.38% 224.75 21.11 68.88
61. 2022. 12. 31. 2.30% -5.90% 0.01 44.59 -0.57
62. 2023. 1. 31. 4.63% 6.18% 5.81 29.10 13.00
63. 2023. 2. 28. 1.59% -2.61% 0.40 11.51 2.15
64. 2023. 3. 31. 8.72% 3.51% 42.32 7.42 17.72
65. 2023. 4. 30. -2.34% 1.46% 20.82 0.47 -3.12
66. 2023. 5. 31. 28.96% 0.25% 715.30 0.28 -14.24
67. 2023. 6. 30. 7.93% 4.71% 32.61 15.47 22.46
68. 2023. 7. 31. 3.60% 4.85% 1.90 16.53 5.61
69. 2023. 8. 31. 2.70% -1.77% 0.23 6.51 -1.22
70. 2023. 9. 30. -9.50% -4.87% 137.42 31.95 66.27
71. 2023. 10. 31. 1.30% -2.20% 0.85 8.87 2.74
합계 (Σ): 5,262.88 1,843.80 1,962.24

모두 표시

분산AVGO = Σ(RAVGO,tRAVGO)2 ÷ (71 – 1)
= 5,262.88 ÷ (71 – 1)
= 75.18

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,843.80 ÷ (71 – 1)
= 26.34

공분산AVGO, S&P 500 = Σ(RAVGO,tRAVGO)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 1,962.24 ÷ (71 – 1)
= 28.03


체계적인 위험 추정 (β)

Microsoft Excel
분산AVGO 75.18
분산S&P 500 26.34
공분산AVGO, S&P 500 28.03
상관 계수AVGO, S&P 5001 0.63
βAVGO2 1.06
αAVGO3 1.39%

계산

1 상관 계수AVGO, S&P 500
= 공분산AVGO, S&P 500 ÷ (표준 편차AVGO × 표준 편차S&P 500)
= 28.03 ÷ (8.67% × 5.13%)
= 0.63

2 βAVGO
= 공분산AVGO, S&P 500 ÷ 분산S&P 500
= 28.03 ÷ 26.34
= 1.06

3 αAVGO
= 평균의AVGO – βAVGO × 평균의S&P 500
= 2.22%1.06 × 0.78%
= 1.39%


예상 수익률

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.48%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 12.81%
보통주의 체계적 위험Broadcom βAVGO 1.06
 
Broadcom 보통주의 예상 수익률3 E(RAVGO) 13.34%

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(RAVGO) = RF + βAVGO [E(RM) – RF]
= 4.48% + 1.06 [12.81%4.48%]
= 13.34%