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 |
| 2020. 1. 31. | $72.11 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $66.14 | -8.28% | 2,954.22 | -8.41% | |
| 2. | 2020. 3. 31. | $66.04 | -0.15% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $81.13 | 22.85% | 2,912.43 | 12.68% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | $306.81 | 11.11% | 6,032.38 | 5.73% | |
| 59. | 2024. 12. 31. | $300.46 | -2.07% | 5,881.63 | -2.50% | |
| 평균의 (R): | 2.79% | 1.16% | ||||
| 표준 편차: | 8.46% | 5.28% | ||||
| 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 |
| 2020. 1. 31. | $72.11 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $66.14 | -8.28% | 2,954.22 | -8.41% | |
| 2. | 2020. 3. 31. | $66.04 | -0.15% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $81.13 | 22.85% | 2,912.43 | 12.68% | |
| 4. | 2020. 5. 31. | $91.29 | 12.52% | 3,044.31 | 4.53% | |
| 5. | 2020. 6. 30. | $95.96 | 5.12% | 3,100.29 | 1.84% | |
| 6. | 2020. 7. 31. | $109.25 | 13.85% | 3,271.12 | 5.51% | |
| 7. | 2020. 8. 31. | $110.91 | 1.52% | 3,500.31 | 7.01% | |
| 8. | 2020. 9. 30. | $106.63 | -3.86% | 3,363.00 | -3.92% | |
| 9. | 2020. 10. 31. | $109.37 | 2.57% | 3,269.96 | -2.77% | |
| 10. | 2020. 11. 30. | $116.30 | 6.34% | 3,621.63 | 10.75% | |
| 11. | 2020. 12. 31. | $136.43 | 17.31% | 3,756.07 | 3.71% | |
| 12. | 2021. 1. 31. | $130.39 | -4.43% | 3,714.24 | -1.11% | |
| 13. | 2021. 2. 28. | $141.09 | 8.21% | 3,811.15 | 2.61% | |
| 14. | 2021. 3. 31. | $136.99 | -2.91% | 3,972.89 | 4.24% | |
| 15. | 2021. 4. 30. | $131.77 | -3.81% | 4,181.17 | 5.24% | |
| 16. | 2021. 5. 31. | $126.99 | -3.63% | 4,204.11 | 0.55% | |
| 17. | 2021. 6. 30. | $136.82 | 7.74% | 4,297.50 | 2.22% | |
| 18. | 2021. 7. 31. | $147.65 | 7.92% | 4,395.26 | 2.27% | |
| 19. | 2021. 8. 31. | $163.48 | 10.72% | 4,522.68 | 2.90% | |
| 20. | 2021. 9. 30. | $151.44 | -7.36% | 4,307.54 | -4.76% | |
| 21. | 2021. 10. 31. | $173.11 | 14.31% | 4,605.38 | 6.91% | |
| 22. | 2021. 11. 30. | $177.46 | 2.51% | 4,567.00 | -0.83% | |
| 23. | 2021. 12. 31. | $186.35 | 5.01% | 4,766.18 | 4.36% | |
| 24. | 2022. 1. 31. | $152.14 | -18.36% | 4,515.55 | -5.26% | |
| 25. | 2022. 2. 28. | $151.43 | -0.47% | 4,373.94 | -3.14% | |
| 26. | 2022. 3. 31. | $164.46 | 8.60% | 4,530.41 | 3.58% | |
| 27. | 2022. 4. 30. | $150.85 | -8.28% | 4,131.93 | -8.80% | |
| 28. | 2022. 5. 31. | $153.73 | 1.91% | 4,132.15 | 0.01% | |
| 29. | 2022. 6. 30. | $150.03 | -2.41% | 3,785.38 | -8.39% | |
| 30. | 2022. 7. 31. | $186.08 | 24.03% | 4,130.29 | 9.11% | |
| 31. | 2022. 8. 31. | $173.77 | -6.62% | 3,955.00 | -4.24% | |
| 32. | 2022. 9. 30. | $163.43 | -5.95% | 3,585.62 | -9.34% | |
| 33. | 2022. 10. 31. | $151.39 | -7.37% | 3,871.98 | 7.99% | |
| 34. | 2022. 11. 30. | $172.04 | 13.64% | 4,080.11 | 5.38% | |
| 35. | 2022. 12. 31. | $160.64 | -6.63% | 3,839.50 | -5.90% | |
| 36. | 2023. 1. 31. | $182.83 | 13.81% | 4,076.60 | 6.18% | |
| 37. | 2023. 2. 28. | $192.94 | 5.53% | 3,970.15 | -2.61% | |
| 38. | 2023. 3. 31. | $210.09 | 8.89% | 4,109.31 | 3.51% | |
| 39. | 2023. 4. 30. | $209.45 | -0.30% | 4,169.48 | 1.46% | |
| 40. | 2023. 5. 31. | $230.91 | 10.25% | 4,179.83 | 0.25% | |
| 41. | 2023. 6. 30. | $234.52 | 1.56% | 4,376.86 | 4.71% | |
| 42. | 2023. 7. 31. | $234.01 | -0.22% | 4,588.96 | 4.85% | |
| 43. | 2023. 8. 31. | $240.44 | 2.75% | 4,507.66 | -1.77% | |
| 44. | 2023. 9. 30. | $234.30 | -2.55% | 4,288.05 | -4.87% | |
| 45. | 2023. 10. 31. | $239.85 | 2.37% | 4,193.80 | -2.20% | |
| 46. | 2023. 11. 30. | $273.27 | 13.93% | 4,567.80 | 8.92% | |
| 47. | 2023. 12. 31. | $272.37 | -0.33% | 4,769.83 | 4.42% | |
| 48. | 2024. 1. 31. | $288.46 | 5.91% | 4,845.65 | 1.59% | |
| 49. | 2024. 2. 29. | $304.38 | 5.52% | 5,096.27 | 5.17% | |
| 50. | 2024. 3. 31. | $311.28 | 2.27% | 5,254.35 | 3.10% | |
| 51. | 2024. 4. 30. | $275.63 | -11.45% | 5,035.69 | -4.16% | |
| 52. | 2024. 5. 31. | $286.31 | 3.87% | 5,277.51 | 4.80% | |
| 53. | 2024. 6. 30. | $307.75 | 7.49% | 5,460.48 | 3.47% | |
| 54. | 2024. 7. 31. | $267.66 | -13.03% | 5,522.30 | 1.13% | |
| 55. | 2024. 8. 31. | $268.93 | 0.47% | 5,648.40 | 2.28% | |
| 56. | 2024. 9. 30. | $271.03 | 0.78% | 5,762.48 | 2.02% | |
| 57. | 2024. 10. 31. | $276.12 | 1.88% | 5,705.45 | -0.99% | |
| 58. | 2024. 11. 30. | $306.81 | 11.11% | 6,032.38 | 5.73% | |
| 59. | 2024. 12. 31. | $300.46 | -2.07% | 5,881.63 | -2.50% | |
| 평균의 (R): | 2.79% | 1.16% | ||||
| 표준 편차: | 8.46% | 5.28% | ||||
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. | 2020. 2. 29. | -8.28% | -8.41% | 122.53 | 91.63 | 105.96 |
| 2. | 2020. 3. 31. | -0.15% | -12.51% | 8.65 | 186.96 | 40.22 |
| 3. | 2020. 4. 30. | 22.85% | 12.68% | 402.39 | 132.78 | 231.15 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | 11.11% | 5.73% | 69.30 | 20.87 | 38.03 |
| 59. | 2024. 12. 31. | -2.07% | -2.50% | 23.62 | 13.40 | 17.79 |
| 합계 (Σ): | 4,147.21 | 1,618.62 | 1,681.39 | |||
| 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. | 2020. 2. 29. | -8.28% | -8.41% | 122.53 | 91.63 | 105.96 |
| 2. | 2020. 3. 31. | -0.15% | -12.51% | 8.65 | 186.96 | 40.22 |
| 3. | 2020. 4. 30. | 22.85% | 12.68% | 402.39 | 132.78 | 231.15 |
| 4. | 2020. 5. 31. | 12.52% | 4.53% | 94.73 | 11.34 | 32.77 |
| 5. | 2020. 6. 30. | 5.12% | 1.84% | 5.41 | 0.46 | 1.58 |
| 6. | 2020. 7. 31. | 13.85% | 5.51% | 122.31 | 18.91 | 48.10 |
| 7. | 2020. 8. 31. | 1.52% | 7.01% | 1.61 | 34.17 | -7.43 |
| 8. | 2020. 9. 30. | -3.86% | -3.92% | 44.21 | 25.85 | 33.80 |
| 9. | 2020. 10. 31. | 2.57% | -2.77% | 0.05 | 15.43 | 0.87 |
| 10. | 2020. 11. 30. | 6.34% | 10.75% | 12.57 | 92.03 | 34.02 |
| 11. | 2020. 12. 31. | 17.31% | 3.71% | 210.79 | 6.51 | 37.03 |
| 12. | 2021. 1. 31. | -4.43% | -1.11% | 52.09 | 5.18 | 16.42 |
| 13. | 2021. 2. 28. | 8.21% | 2.61% | 29.33 | 2.10 | 7.84 |
| 14. | 2021. 3. 31. | -2.91% | 4.24% | 32.45 | 9.50 | -17.56 |
| 15. | 2021. 4. 30. | -3.81% | 5.24% | 43.57 | 16.66 | -26.94 |
| 16. | 2021. 5. 31. | -3.63% | 0.55% | 41.19 | 0.38 | 3.93 |
| 17. | 2021. 6. 30. | 7.74% | 2.22% | 24.51 | 1.12 | 5.25 |
| 18. | 2021. 7. 31. | 7.92% | 2.27% | 26.27 | 1.24 | 5.71 |
| 19. | 2021. 8. 31. | 10.72% | 2.90% | 62.90 | 3.02 | 13.78 |
| 20. | 2021. 9. 30. | -7.36% | -4.76% | 103.12 | 35.02 | 60.10 |
| 21. | 2021. 10. 31. | 14.31% | 6.91% | 132.69 | 33.10 | 66.27 |
| 22. | 2021. 11. 30. | 2.51% | -0.83% | 0.08 | 3.98 | 0.55 |
| 23. | 2021. 12. 31. | 5.01% | 4.36% | 4.93 | 10.24 | 7.10 |
| 24. | 2022. 1. 31. | -18.36% | -5.26% | 447.24 | 41.21 | 135.77 |
| 25. | 2022. 2. 28. | -0.47% | -3.14% | 10.61 | 18.47 | 14.00 |
| 26. | 2022. 3. 31. | 8.60% | 3.58% | 33.81 | 5.84 | 14.05 |
| 27. | 2022. 4. 30. | -8.28% | -8.80% | 122.45 | 99.14 | 110.18 |
| 28. | 2022. 5. 31. | 1.91% | 0.01% | 0.78 | 1.34 | 1.02 |
| 29. | 2022. 6. 30. | -2.41% | -8.39% | 27.01 | 91.26 | 49.65 |
| 30. | 2022. 7. 31. | 24.03% | 9.11% | 451.07 | 63.21 | 168.85 |
| 31. | 2022. 8. 31. | -6.62% | -4.24% | 88.47 | 29.22 | 50.84 |
| 32. | 2022. 9. 30. | -5.95% | -9.34% | 76.40 | 110.27 | 91.78 |
| 33. | 2022. 10. 31. | -7.37% | 7.99% | 103.17 | 46.58 | -69.32 |
| 34. | 2022. 11. 30. | 13.64% | 5.38% | 117.72 | 17.76 | 45.72 |
| 35. | 2022. 12. 31. | -6.63% | -5.90% | 88.67 | 49.82 | 66.47 |
| 36. | 2023. 1. 31. | 13.81% | 6.18% | 121.51 | 25.14 | 55.27 |
| 37. | 2023. 2. 28. | 5.53% | -2.61% | 7.51 | 14.23 | -10.34 |
| 38. | 2023. 3. 31. | 8.89% | 3.51% | 37.19 | 5.49 | 14.29 |
| 39. | 2023. 4. 30. | -0.30% | 1.46% | 9.58 | 0.09 | -0.94 |
| 40. | 2023. 5. 31. | 10.25% | 0.25% | 55.59 | 0.83 | -6.81 |
| 41. | 2023. 6. 30. | 1.56% | 4.71% | 1.51 | 12.62 | -4.36 |
| 42. | 2023. 7. 31. | -0.22% | 4.85% | 9.05 | 13.58 | -11.08 |
| 43. | 2023. 8. 31. | 2.75% | -1.77% | 0.00 | 8.60 | 0.12 |
| 44. | 2023. 9. 30. | -2.55% | -4.87% | 28.56 | 36.40 | 32.24 |
| 45. | 2023. 10. 31. | 2.37% | -2.20% | 0.18 | 11.28 | 1.42 |
| 46. | 2023. 11. 30. | 13.93% | 8.92% | 124.18 | 60.17 | 86.44 |
| 47. | 2023. 12. 31. | -0.33% | 4.42% | 9.73 | 10.64 | -10.17 |
| 48. | 2024. 1. 31. | 5.91% | 1.59% | 9.72 | 0.18 | 1.34 |
| 49. | 2024. 2. 29. | 5.52% | 5.17% | 7.45 | 16.09 | 10.94 |
| 50. | 2024. 3. 31. | 2.27% | 3.10% | 0.27 | 3.77 | -1.02 |
| 51. | 2024. 4. 30. | -11.45% | -4.16% | 202.86 | 28.33 | 75.81 |
| 52. | 2024. 5. 31. | 3.87% | 4.80% | 1.18 | 13.26 | 3.95 |
| 53. | 2024. 6. 30. | 7.49% | 3.47% | 22.07 | 5.32 | 10.83 |
| 54. | 2024. 7. 31. | -13.03% | 1.13% | 250.18 | 0.00 | 0.46 |
| 55. | 2024. 8. 31. | 0.47% | 2.28% | 5.36 | 1.26 | -2.60 |
| 56. | 2024. 9. 30. | 0.78% | 2.02% | 4.04 | 0.74 | -1.72 |
| 57. | 2024. 10. 31. | 1.88% | -0.99% | 0.83 | 4.63 | 1.96 |
| 58. | 2024. 11. 30. | 11.11% | 5.73% | 69.30 | 20.87 | 38.03 |
| 59. | 2024. 12. 31. | -2.07% | -2.50% | 23.62 | 13.40 | 17.79 |
| 합계 (Σ): | 4,147.21 | 1,618.62 | 1,681.39 | |||
모두 보기
분산CDNS = Σ(RCDNS,t–RCDNS)2 ÷ (59 – 1)
= 4,147.21 ÷ (59 – 1)
= 71.50
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91
공분산CDNS, S&P 500 = Σ(RCDNS,t–RCDNS)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,681.39 ÷ (59 – 1)
= 28.99
체계적인 위험 추정 (β)
| 분산CDNS | 71.50 |
| 분산S&P 500 | 27.91 |
| 공분산CDNS, S&P 500 | 28.99 |
| 상관 계수CDNS, S&P 5001 | 0.65 |
| βCDNS2 | 1.04 |
| αCDNS3 | 1.58% |
계산
1 상관 계수CDNS, S&P 500
= 공분산CDNS, S&P 500 ÷ (표준 편차CDNS × 표준 편차S&P 500)
= 28.99 ÷ (8.46% × 5.28%)
= 0.65
2 βCDNS
= 공분산CDNS, S&P 500 ÷ 분산S&P 500
= 28.99 ÷ 27.91
= 1.04
3 αCDNS
= 평균의CDNS – βCDNS × 평균의S&P 500
= 2.79% – 1.04 × 1.16%
= 1.58%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.64% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.89% |
| 보통주의 체계적 위험Cadence | βCDNS | 1.04 |
| Cadence 보통주의 예상 수익률3 | E(RCDNS) | 15.29% |
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]
= 4.64% + 1.04 [14.89% – 4.64%]
= 15.29%