자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Cadence보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Cadence Design Systems Inc., 월별 수익률
| Cadence Design Systems Inc. (CDNS) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값CDNS,t1 | 피제수CDNS,t1 | RCDNS,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2021. 1. 31. | $130.39 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $141.09 | 8.21% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $136.99 | -2.91% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $131.77 | -3.81% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | $311.84 | -7.93% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $312.58 | 0.24% | 6,845.50 | -0.05% | |
| 평균의 (R): | 1.83% | 1.14% | ||||
| 표준 편차: | 8.40% | 4.37% | ||||
| Cadence Design Systems Inc. (CDNS) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값CDNS,t1 | 피제수CDNS,t1 | RCDNS,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2021. 1. 31. | $130.39 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $141.09 | 8.21% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $136.99 | -2.91% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $131.77 | -3.81% | 4,181.17 | 5.24% | |
| 4. | 2021. 5. 31. | $126.99 | -3.63% | 4,204.11 | 0.55% | |
| 5. | 2021. 6. 30. | $136.82 | 7.74% | 4,297.50 | 2.22% | |
| 6. | 2021. 7. 31. | $147.65 | 7.92% | 4,395.26 | 2.27% | |
| 7. | 2021. 8. 31. | $163.48 | 10.72% | 4,522.68 | 2.90% | |
| 8. | 2021. 9. 30. | $151.44 | -7.36% | 4,307.54 | -4.76% | |
| 9. | 2021. 10. 31. | $173.11 | 14.31% | 4,605.38 | 6.91% | |
| 10. | 2021. 11. 30. | $177.46 | 2.51% | 4,567.00 | -0.83% | |
| 11. | 2021. 12. 31. | $186.35 | 5.01% | 4,766.18 | 4.36% | |
| 12. | 2022. 1. 31. | $152.14 | -18.36% | 4,515.55 | -5.26% | |
| 13. | 2022. 2. 28. | $151.43 | -0.47% | 4,373.94 | -3.14% | |
| 14. | 2022. 3. 31. | $164.46 | 8.60% | 4,530.41 | 3.58% | |
| 15. | 2022. 4. 30. | $150.85 | -8.28% | 4,131.93 | -8.80% | |
| 16. | 2022. 5. 31. | $153.73 | 1.91% | 4,132.15 | 0.01% | |
| 17. | 2022. 6. 30. | $150.03 | -2.41% | 3,785.38 | -8.39% | |
| 18. | 2022. 7. 31. | $186.08 | 24.03% | 4,130.29 | 9.11% | |
| 19. | 2022. 8. 31. | $173.77 | -6.62% | 3,955.00 | -4.24% | |
| 20. | 2022. 9. 30. | $163.43 | -5.95% | 3,585.62 | -9.34% | |
| 21. | 2022. 10. 31. | $151.39 | -7.37% | 3,871.98 | 7.99% | |
| 22. | 2022. 11. 30. | $172.04 | 13.64% | 4,080.11 | 5.38% | |
| 23. | 2022. 12. 31. | $160.64 | -6.63% | 3,839.50 | -5.90% | |
| 24. | 2023. 1. 31. | $182.83 | 13.81% | 4,076.60 | 6.18% | |
| 25. | 2023. 2. 28. | $192.94 | 5.53% | 3,970.15 | -2.61% | |
| 26. | 2023. 3. 31. | $210.09 | 8.89% | 4,109.31 | 3.51% | |
| 27. | 2023. 4. 30. | $209.45 | -0.30% | 4,169.48 | 1.46% | |
| 28. | 2023. 5. 31. | $230.91 | 10.25% | 4,179.83 | 0.25% | |
| 29. | 2023. 6. 30. | $234.52 | 1.56% | 4,376.86 | 4.71% | |
| 30. | 2023. 7. 31. | $234.01 | -0.22% | 4,588.96 | 4.85% | |
| 31. | 2023. 8. 31. | $240.44 | 2.75% | 4,507.66 | -1.77% | |
| 32. | 2023. 9. 30. | $234.30 | -2.55% | 4,288.05 | -4.87% | |
| 33. | 2023. 10. 31. | $239.85 | 2.37% | 4,193.80 | -2.20% | |
| 34. | 2023. 11. 30. | $273.27 | 13.93% | 4,567.80 | 8.92% | |
| 35. | 2023. 12. 31. | $272.37 | -0.33% | 4,769.83 | 4.42% | |
| 36. | 2024. 1. 31. | $288.46 | 5.91% | 4,845.65 | 1.59% | |
| 37. | 2024. 2. 29. | $304.38 | 5.52% | 5,096.27 | 5.17% | |
| 38. | 2024. 3. 31. | $311.28 | 2.27% | 5,254.35 | 3.10% | |
| 39. | 2024. 4. 30. | $275.63 | -11.45% | 5,035.69 | -4.16% | |
| 40. | 2024. 5. 31. | $286.31 | 3.87% | 5,277.51 | 4.80% | |
| 41. | 2024. 6. 30. | $307.75 | 7.49% | 5,460.48 | 3.47% | |
| 42. | 2024. 7. 31. | $267.66 | -13.03% | 5,522.30 | 1.13% | |
| 43. | 2024. 8. 31. | $268.93 | 0.47% | 5,648.40 | 2.28% | |
| 44. | 2024. 9. 30. | $271.03 | 0.78% | 5,762.48 | 2.02% | |
| 45. | 2024. 10. 31. | $276.12 | 1.88% | 5,705.45 | -0.99% | |
| 46. | 2024. 11. 30. | $306.81 | 11.11% | 6,032.38 | 5.73% | |
| 47. | 2024. 12. 31. | $300.46 | -2.07% | 5,881.63 | -2.50% | |
| 48. | 2025. 1. 31. | $297.62 | -0.95% | 6,040.53 | 2.70% | |
| 49. | 2025. 2. 28. | $250.50 | -15.83% | 5,954.50 | -1.42% | |
| 50. | 2025. 3. 31. | $254.33 | 1.53% | 5,611.85 | -5.75% | |
| 51. | 2025. 4. 30. | $297.74 | 17.07% | 5,569.06 | -0.76% | |
| 52. | 2025. 5. 31. | $287.07 | -3.58% | 5,911.69 | 6.15% | |
| 53. | 2025. 6. 30. | $308.15 | 7.34% | 6,204.95 | 4.96% | |
| 54. | 2025. 7. 31. | $364.57 | 18.31% | 6,339.39 | 2.17% | |
| 55. | 2025. 8. 31. | $350.43 | -3.88% | 6,460.26 | 1.91% | |
| 56. | 2025. 9. 30. | $351.26 | 0.24% | 6,688.46 | 3.53% | |
| 57. | 2025. 10. 31. | $338.69 | -3.58% | 6,840.20 | 2.27% | |
| 58. | 2025. 11. 30. | $311.84 | -7.93% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $312.58 | 0.24% | 6,845.50 | -0.05% | |
| 평균의 (R): | 1.83% | 1.14% | ||||
| 표준 편차: | 8.40% | 4.37% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 t 기간 동안 CDNS의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Cadence Design Systems Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RCDNS,t | RS&P 500,t | (RCDNS,t–RCDNS)2 | (RS&P 500,t–RS&P 500)2 | (RCDNS,t–RCDNS)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 2. 28. | 8.21% | 2.61% | 40.60 | 2.17 | 9.39 |
| 2. | 2021. 3. 31. | -2.91% | 4.24% | 22.47 | 9.66 | -14.73 |
| 3. | 2021. 4. 30. | -3.81% | 5.24% | 31.87 | 16.86 | -23.18 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | -7.93% | 0.13% | 95.30 | 1.01 | 9.82 |
| 59. | 2025. 12. 31. | 0.24% | -0.05% | 2.55 | 1.41 | 1.90 |
| 합계 (Σ): | 4,097.34 | 1,108.23 | 1,126.30 | |||
| t | 날짜 | RCDNS,t | RS&P 500,t | (RCDNS,t–RCDNS)2 | (RS&P 500,t–RS&P 500)2 | (RCDNS,t–RCDNS)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 2. 28. | 8.21% | 2.61% | 40.60 | 2.17 | 9.39 |
| 2. | 2021. 3. 31. | -2.91% | 4.24% | 22.47 | 9.66 | -14.73 |
| 3. | 2021. 4. 30. | -3.81% | 5.24% | 31.87 | 16.86 | -23.18 |
| 4. | 2021. 5. 31. | -3.63% | 0.55% | 29.84 | 0.35 | 3.21 |
| 5. | 2021. 6. 30. | 7.74% | 2.22% | 34.88 | 1.18 | 6.41 |
| 6. | 2021. 7. 31. | 7.92% | 2.27% | 36.98 | 1.30 | 6.92 |
| 7. | 2021. 8. 31. | 10.72% | 2.90% | 78.97 | 3.11 | 15.67 |
| 8. | 2021. 9. 30. | -7.36% | -4.76% | 84.63 | 34.73 | 54.21 |
| 9. | 2021. 10. 31. | 14.31% | 6.91% | 155.62 | 33.39 | 72.08 |
| 10. | 2021. 11. 30. | 2.51% | -0.83% | 0.46 | 3.88 | -1.34 |
| 11. | 2021. 12. 31. | 5.01% | 4.36% | 10.08 | 10.40 | 10.24 |
| 12. | 2022. 1. 31. | -18.36% | -5.26% | 407.74 | 40.89 | 129.12 |
| 13. | 2022. 2. 28. | -0.47% | -3.14% | 5.30 | 18.25 | 9.83 |
| 14. | 2022. 3. 31. | 8.60% | 3.58% | 45.83 | 5.96 | 16.53 |
| 15. | 2022. 4. 30. | -8.28% | -8.80% | 102.22 | 98.64 | 100.41 |
| 16. | 2022. 5. 31. | 1.91% | 0.01% | 0.01 | 1.28 | -0.08 |
| 17. | 2022. 6. 30. | -2.41% | -8.39% | 17.99 | 90.79 | 40.41 |
| 18. | 2022. 7. 31. | 24.03% | 9.11% | 492.57 | 63.61 | 177.01 |
| 19. | 2022. 8. 31. | -6.62% | -4.24% | 71.40 | 28.95 | 45.46 |
| 20. | 2022. 9. 30. | -5.95% | -9.34% | 60.61 | 109.74 | 81.55 |
| 21. | 2022. 10. 31. | -7.37% | 7.99% | 84.67 | 46.93 | -63.03 |
| 22. | 2022. 11. 30. | 13.64% | 5.38% | 139.37 | 17.97 | 50.05 |
| 23. | 2022. 12. 31. | -6.63% | -5.90% | 71.59 | 49.47 | 59.51 |
| 24. | 2023. 1. 31. | 13.81% | 6.18% | 143.49 | 25.39 | 60.36 |
| 25. | 2023. 2. 28. | 5.53% | -2.61% | 13.65 | 14.04 | -13.85 |
| 26. | 2023. 3. 31. | 8.89% | 3.51% | 49.76 | 5.61 | 16.71 |
| 27. | 2023. 4. 30. | -0.30% | 1.46% | 4.58 | 0.11 | -0.70 |
| 28. | 2023. 5. 31. | 10.25% | 0.25% | 70.75 | 0.79 | -7.47 |
| 29. | 2023. 6. 30. | 1.56% | 4.71% | 0.07 | 12.80 | -0.97 |
| 30. | 2023. 7. 31. | -0.22% | 4.85% | 4.21 | 13.76 | -7.61 |
| 31. | 2023. 8. 31. | 2.75% | -1.77% | 0.83 | 8.46 | -2.66 |
| 32. | 2023. 9. 30. | -2.55% | -4.87% | 19.26 | 36.10 | 26.37 |
| 33. | 2023. 10. 31. | 2.37% | -2.20% | 0.29 | 11.12 | -1.78 |
| 34. | 2023. 11. 30. | 13.93% | 8.92% | 146.39 | 60.56 | 94.15 |
| 35. | 2023. 12. 31. | -0.33% | 4.42% | 4.68 | 10.80 | -7.11 |
| 36. | 2024. 1. 31. | 5.91% | 1.59% | 16.59 | 0.21 | 1.85 |
| 37. | 2024. 2. 29. | 5.52% | 5.17% | 13.57 | 16.29 | 14.87 |
| 38. | 2024. 3. 31. | 2.27% | 3.10% | 0.19 | 3.86 | 0.85 |
| 39. | 2024. 4. 30. | -11.45% | -4.16% | 176.55 | 28.06 | 70.39 |
| 40. | 2024. 5. 31. | 3.87% | 4.80% | 4.16 | 13.44 | 7.48 |
| 41. | 2024. 6. 30. | 7.49% | 3.47% | 31.97 | 5.43 | 13.18 |
| 42. | 2024. 7. 31. | -13.03% | 1.13% | 220.86 | 0.00 | 0.06 |
| 43. | 2024. 8. 31. | 0.47% | 2.28% | 1.85 | 1.32 | -1.56 |
| 44. | 2024. 9. 30. | 0.78% | 2.02% | 1.11 | 0.78 | -0.93 |
| 45. | 2024. 10. 31. | 1.88% | -0.99% | 0.00 | 4.52 | -0.09 |
| 46. | 2024. 11. 30. | 11.11% | 5.73% | 86.12 | 21.10 | 42.63 |
| 47. | 2024. 12. 31. | -2.07% | -2.50% | 15.24 | 13.21 | 14.19 |
| 48. | 2025. 1. 31. | -0.95% | 2.70% | 7.73 | 2.45 | -4.35 |
| 49. | 2025. 2. 28. | -15.83% | -1.42% | 312.12 | 6.56 | 45.23 |
| 50. | 2025. 3. 31. | 1.53% | -5.75% | 0.09 | 47.48 | 2.11 |
| 51. | 2025. 4. 30. | 17.07% | -0.76% | 232.07 | 3.60 | -28.92 |
| 52. | 2025. 5. 31. | -3.58% | 6.15% | 29.36 | 25.16 | -27.18 |
| 53. | 2025. 6. 30. | 7.34% | 4.96% | 30.34 | 14.63 | 21.07 |
| 54. | 2025. 7. 31. | 18.31% | 2.17% | 271.41 | 1.06 | 16.98 |
| 55. | 2025. 8. 31. | -3.88% | 1.91% | 32.64 | 0.59 | -4.40 |
| 56. | 2025. 9. 30. | 0.24% | 3.53% | 2.55 | 5.74 | -3.83 |
| 57. | 2025. 10. 31. | -3.58% | 2.27% | 29.30 | 1.28 | -6.13 |
| 58. | 2025. 11. 30. | -7.93% | 0.13% | 95.30 | 1.01 | 9.82 |
| 59. | 2025. 12. 31. | 0.24% | -0.05% | 2.55 | 1.41 | 1.90 |
| 합계 (Σ): | 4,097.34 | 1,108.23 | 1,126.30 | |||
모두 보기
분산CDNS = Σ(RCDNS,t–RCDNS)2 ÷ (59 – 1)
= 4,097.34 ÷ (59 – 1)
= 70.64
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
공분산CDNS, S&P 500 = Σ(RCDNS,t–RCDNS)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,126.30 ÷ (59 – 1)
= 19.42
체계적인 위험 추정 (β)
| 분산CDNS | 70.64 |
| 분산S&P 500 | 19.11 |
| 공분산CDNS, S&P 500 | 19.42 |
| 상관 계수CDNS, S&P 5001 | 0.53 |
| βCDNS2 | 1.02 |
| αCDNS3 | 0.68% |
계산
1 상관 계수CDNS, S&P 500
= 공분산CDNS, S&P 500 ÷ (표준 편차CDNS × 표준 편차S&P 500)
= 19.42 ÷ (8.40% × 4.37%)
= 0.53
2 βCDNS
= 공분산CDNS, S&P 500 ÷ 분산S&P 500
= 19.42 ÷ 19.11
= 1.02
3 αCDNS
= 평균의CDNS – βCDNS × 평균의S&P 500
= 1.83% – 1.02 × 1.14%
= 0.68%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.54% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.37% |
| 보통주의 체계적 위험Cadence | βCDNS | 1.02 |
| Cadence 보통주의 예상 수익률3 | E(RCDNS) | 17.58% |
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(RCDNS) = RF + βCDNS [E(RM) – RF]
= 4.54% + 1.02 [17.37% – 4.54%]
= 17.58%