자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Costco보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Costco Wholesale Corp., 월별 수익률
| Costco Wholesale Corp. (COST) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값COST,t1 | 피제수COST,t1 | RCOST,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 9. 30. | $288.11 | 2,976.74 | ||||
| 1. | 2019. 10. 31. | $297.11 | $0.65 | 3.35% | 3,037.56 | 2.04% |
| 2. | 2019. 11. 30. | $299.81 | 0.91% | 3,140.98 | 3.40% | |
| 3. | 2019. 12. 31. | $293.92 | -1.96% | 3,230.78 | 2.86% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 7. 31. | $939.64 | -5.08% | 6,339.39 | 2.17% | |
| 71. | 2025. 8. 31. | $943.32 | $1.30 | 0.53% | 6,460.26 | 1.91% |
| 평균의 (R): | 2.02% | 1.22% | ||||
| 표준 편차: | 6.46% | 4.97% | ||||
| Costco Wholesale Corp. (COST) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값COST,t1 | 피제수COST,t1 | RCOST,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 9. 30. | $288.11 | 2,976.74 | ||||
| 1. | 2019. 10. 31. | $297.11 | $0.65 | 3.35% | 3,037.56 | 2.04% |
| 2. | 2019. 11. 30. | $299.81 | 0.91% | 3,140.98 | 3.40% | |
| 3. | 2019. 12. 31. | $293.92 | -1.96% | 3,230.78 | 2.86% | |
| 4. | 2020. 1. 31. | $305.52 | 3.95% | 3,225.52 | -0.16% | |
| 5. | 2020. 2. 29. | $281.14 | $0.65 | -7.77% | 2,954.22 | -8.41% |
| 6. | 2020. 3. 31. | $285.13 | 1.42% | 2,584.59 | -12.51% | |
| 7. | 2020. 4. 30. | $303.00 | $0.70 | 6.51% | 2,912.43 | 12.68% |
| 8. | 2020. 5. 31. | $308.47 | 1.81% | 3,044.31 | 4.53% | |
| 9. | 2020. 6. 30. | $303.21 | -1.71% | 3,100.29 | 1.84% | |
| 10. | 2020. 7. 31. | $325.53 | $0.70 | 7.59% | 3,271.12 | 5.51% |
| 11. | 2020. 8. 31. | $347.66 | 6.80% | 3,500.31 | 7.01% | |
| 12. | 2020. 9. 30. | $355.00 | 2.11% | 3,363.00 | -3.92% | |
| 13. | 2020. 10. 31. | $357.62 | $0.70 | 0.94% | 3,269.96 | -2.77% |
| 14. | 2020. 11. 30. | $391.77 | 9.55% | 3,621.63 | 10.75% | |
| 15. | 2020. 12. 31. | $376.78 | $10.00 | -1.27% | 3,756.07 | 3.71% |
| 16. | 2021. 1. 31. | $352.43 | -6.46% | 3,714.24 | -1.11% | |
| 17. | 2021. 2. 28. | $331.00 | $0.70 | -5.88% | 3,811.15 | 2.61% |
| 18. | 2021. 3. 31. | $352.48 | 6.49% | 3,972.89 | 4.24% | |
| 19. | 2021. 4. 30. | $372.09 | $0.79 | 5.79% | 4,181.17 | 5.24% |
| 20. | 2021. 5. 31. | $378.27 | 1.66% | 4,204.11 | 0.55% | |
| 21. | 2021. 6. 30. | $395.67 | 4.60% | 4,297.50 | 2.22% | |
| 22. | 2021. 7. 31. | $429.72 | $0.79 | 8.81% | 4,395.26 | 2.27% |
| 23. | 2021. 8. 31. | $455.49 | 6.00% | 4,522.68 | 2.90% | |
| 24. | 2021. 9. 30. | $449.35 | -1.35% | 4,307.54 | -4.76% | |
| 25. | 2021. 10. 31. | $491.54 | $0.79 | 9.56% | 4,605.38 | 6.91% |
| 26. | 2021. 11. 30. | $539.38 | 9.73% | 4,567.00 | -0.83% | |
| 27. | 2021. 12. 31. | $567.70 | 5.25% | 4,766.18 | 4.36% | |
| 28. | 2022. 1. 31. | $505.13 | -11.02% | 4,515.55 | -5.26% | |
| 29. | 2022. 2. 28. | $519.25 | $0.79 | 2.95% | 4,373.94 | -3.14% |
| 30. | 2022. 3. 31. | $575.85 | 10.90% | 4,530.41 | 3.58% | |
| 31. | 2022. 4. 30. | $531.72 | $0.90 | -7.51% | 4,131.93 | -8.80% |
| 32. | 2022. 5. 31. | $466.22 | -12.32% | 4,132.15 | 0.01% | |
| 33. | 2022. 6. 30. | $479.28 | 2.80% | 3,785.38 | -8.39% | |
| 34. | 2022. 7. 31. | $541.30 | $0.90 | 13.13% | 4,130.29 | 9.11% |
| 35. | 2022. 8. 31. | $522.10 | -3.55% | 3,955.00 | -4.24% | |
| 36. | 2022. 9. 30. | $472.27 | -9.54% | 3,585.62 | -9.34% | |
| 37. | 2022. 10. 31. | $501.50 | $0.90 | 6.38% | 3,871.98 | 7.99% |
| 38. | 2022. 11. 30. | $539.25 | 7.53% | 4,080.11 | 5.38% | |
| 39. | 2022. 12. 31. | $456.50 | -15.35% | 3,839.50 | -5.90% | |
| 40. | 2023. 1. 31. | $511.14 | 11.97% | 4,076.60 | 6.18% | |
| 41. | 2023. 2. 28. | $484.18 | $0.90 | -5.10% | 3,970.15 | -2.61% |
| 42. | 2023. 3. 31. | $496.87 | 2.62% | 4,109.31 | 3.51% | |
| 43. | 2023. 4. 30. | $503.22 | 1.28% | 4,169.48 | 1.46% | |
| 44. | 2023. 5. 31. | $511.56 | $1.02 | 1.86% | 4,179.83 | 0.25% |
| 45. | 2023. 6. 30. | $538.38 | 5.24% | 4,376.86 | 4.71% | |
| 46. | 2023. 7. 31. | $560.67 | 4.14% | 4,588.96 | 4.85% | |
| 47. | 2023. 8. 31. | $549.28 | $1.02 | -1.85% | 4,507.66 | -1.77% |
| 48. | 2023. 9. 30. | $564.96 | 2.85% | 4,288.05 | -4.87% | |
| 49. | 2023. 10. 31. | $552.44 | -2.22% | 4,193.80 | -2.20% | |
| 50. | 2023. 11. 30. | $592.74 | $1.02 | 7.48% | 4,567.80 | 8.92% |
| 51. | 2023. 12. 31. | $660.08 | $15.00 | 13.89% | 4,769.83 | 4.42% |
| 52. | 2024. 1. 31. | $694.88 | 5.27% | 4,845.65 | 1.59% | |
| 53. | 2024. 2. 29. | $743.89 | $1.02 | 7.20% | 5,096.27 | 5.17% |
| 54. | 2024. 3. 31. | $732.63 | -1.51% | 5,254.35 | 3.10% | |
| 55. | 2024. 4. 30. | $722.90 | $1.16 | -1.17% | 5,035.69 | -4.16% |
| 56. | 2024. 5. 31. | $809.89 | 12.03% | 5,277.51 | 4.80% | |
| 57. | 2024. 6. 30. | $849.99 | 4.95% | 5,460.48 | 3.47% | |
| 58. | 2024. 7. 31. | $822.00 | $1.16 | -3.16% | 5,522.30 | 1.13% |
| 59. | 2024. 8. 31. | $892.38 | 8.56% | 5,648.40 | 2.28% | |
| 60. | 2024. 9. 30. | $886.52 | -0.66% | 5,762.48 | 2.02% | |
| 61. | 2024. 10. 31. | $874.18 | -1.39% | 5,705.45 | -0.99% | |
| 62. | 2024. 11. 30. | $971.88 | $1.16 | 11.31% | 6,032.38 | 5.73% |
| 63. | 2024. 12. 31. | $916.27 | -5.72% | 5,881.63 | -2.50% | |
| 64. | 2025. 1. 31. | $979.88 | 6.94% | 6,040.53 | 2.70% | |
| 65. | 2025. 2. 28. | $1,048.61 | $1.16 | 7.13% | 5,954.50 | -1.42% |
| 66. | 2025. 3. 31. | $945.78 | -9.81% | 5,611.85 | -5.75% | |
| 67. | 2025. 4. 30. | $994.50 | 5.15% | 5,569.06 | -0.76% | |
| 68. | 2025. 5. 31. | $1,040.18 | $1.30 | 4.72% | 5,911.69 | 6.15% |
| 69. | 2025. 6. 30. | $989.94 | -4.83% | 6,204.95 | 4.96% | |
| 70. | 2025. 7. 31. | $939.64 | -5.08% | 6,339.39 | 2.17% | |
| 71. | 2025. 8. 31. | $943.32 | $1.30 | 0.53% | 6,460.26 | 1.91% |
| 평균의 (R): | 2.02% | 1.22% | ||||
| 표준 편차: | 6.46% | 4.97% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 COST의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Costco Wholesale Corp., 수익률의 분산 및 공분산 계산
| t | 날짜 | RCOST,t | RS&P 500,t | (RCOST,t–RCOST)2 | (RS&P 500,t–RS&P 500)2 | (RCOST,t–RCOST)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 10. 31. | 3.35% | 2.04% | 1.77 | 0.68 | 1.09 |
| 2. | 2019. 11. 30. | 0.91% | 3.40% | 1.24 | 4.77 | -2.43 |
| 3. | 2019. 12. 31. | -1.96% | 2.86% | 15.88 | 2.69 | -6.53 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 7. 31. | -5.08% | 2.17% | 50.44 | 0.90 | -6.72 |
| 71. | 2025. 8. 31. | 0.53% | 1.91% | 2.22 | 0.47 | -1.02 |
| 합계 (Σ): | 2,916.93 | 1,730.32 | 1,399.93 | |||
| t | 날짜 | RCOST,t | RS&P 500,t | (RCOST,t–RCOST)2 | (RS&P 500,t–RS&P 500)2 | (RCOST,t–RCOST)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 10. 31. | 3.35% | 2.04% | 1.77 | 0.68 | 1.09 |
| 2. | 2019. 11. 30. | 0.91% | 3.40% | 1.24 | 4.77 | -2.43 |
| 3. | 2019. 12. 31. | -1.96% | 2.86% | 15.88 | 2.69 | -6.53 |
| 4. | 2020. 1. 31. | 3.95% | -0.16% | 3.71 | 1.91 | -2.66 |
| 5. | 2020. 2. 29. | -7.77% | -8.41% | 95.80 | 92.75 | 94.26 |
| 6. | 2020. 3. 31. | 1.42% | -12.51% | 0.36 | 188.56 | 8.26 |
| 7. | 2020. 4. 30. | 6.51% | 12.68% | 20.18 | 131.44 | 51.50 |
| 8. | 2020. 5. 31. | 1.81% | 4.53% | 0.05 | 10.95 | -0.71 |
| 9. | 2020. 6. 30. | -1.71% | 1.84% | 13.88 | 0.38 | -2.31 |
| 10. | 2020. 7. 31. | 7.59% | 5.51% | 31.04 | 18.41 | 23.90 |
| 11. | 2020. 8. 31. | 6.80% | 7.01% | 22.82 | 33.49 | 27.65 |
| 12. | 2020. 9. 30. | 2.11% | -3.92% | 0.01 | 26.45 | -0.47 |
| 13. | 2020. 10. 31. | 0.94% | -2.77% | 1.18 | 15.89 | 4.33 |
| 14. | 2020. 11. 30. | 9.55% | 10.75% | 56.68 | 90.91 | 71.78 |
| 15. | 2020. 12. 31. | -1.27% | 3.71% | 10.85 | 6.21 | -8.21 |
| 16. | 2021. 1. 31. | -6.46% | -1.11% | 71.97 | 5.45 | 19.80 |
| 17. | 2021. 2. 28. | -5.88% | 2.61% | 62.45 | 1.93 | -10.98 |
| 18. | 2021. 3. 31. | 6.49% | 4.24% | 19.97 | 9.14 | 13.51 |
| 19. | 2021. 4. 30. | 5.79% | 5.24% | 14.19 | 16.18 | 15.15 |
| 20. | 2021. 5. 31. | 1.66% | 0.55% | 0.13 | 0.45 | 0.24 |
| 21. | 2021. 6. 30. | 4.60% | 2.22% | 6.65 | 1.00 | 2.58 |
| 22. | 2021. 7. 31. | 8.81% | 2.27% | 46.03 | 1.11 | 7.16 |
| 23. | 2021. 8. 31. | 6.00% | 2.90% | 15.81 | 2.82 | 6.68 |
| 24. | 2021. 9. 30. | -1.35% | -4.76% | 11.35 | 35.72 | 20.13 |
| 25. | 2021. 10. 31. | 9.56% | 6.91% | 56.92 | 32.43 | 42.96 |
| 26. | 2021. 11. 30. | 9.73% | -0.83% | 59.47 | 4.22 | -15.83 |
| 27. | 2021. 12. 31. | 5.25% | 4.36% | 10.43 | 9.87 | 10.15 |
| 28. | 2022. 1. 31. | -11.02% | -5.26% | 170.10 | 41.97 | 84.49 |
| 29. | 2022. 2. 28. | 2.95% | -3.14% | 0.87 | 18.97 | -4.06 |
| 30. | 2022. 3. 31. | 10.90% | 3.58% | 78.85 | 5.56 | 20.93 |
| 31. | 2022. 4. 30. | -7.51% | -8.80% | 90.78 | 100.31 | 95.43 |
| 32. | 2022. 5. 31. | -12.32% | 0.01% | 205.61 | 1.47 | 17.41 |
| 33. | 2022. 6. 30. | 2.80% | -8.39% | 0.61 | 92.39 | -7.50 |
| 34. | 2022. 7. 31. | 13.13% | 9.11% | 123.37 | 62.28 | 87.66 |
| 35. | 2022. 8. 31. | -3.55% | -4.24% | 31.00 | 29.85 | 30.42 |
| 36. | 2022. 9. 30. | -9.54% | -9.34% | 133.75 | 111.50 | 122.12 |
| 37. | 2022. 10. 31. | 6.38% | 7.99% | 19.00 | 45.79 | 29.50 |
| 38. | 2022. 11. 30. | 7.53% | 5.38% | 30.32 | 17.27 | 22.88 |
| 39. | 2022. 12. 31. | -15.35% | -5.90% | 301.58 | 50.65 | 123.59 |
| 40. | 2023. 1. 31. | 11.97% | 6.18% | 98.98 | 24.56 | 49.30 |
| 41. | 2023. 2. 28. | -5.10% | -2.61% | 50.68 | 14.68 | 27.27 |
| 42. | 2023. 3. 31. | 2.62% | 3.51% | 0.36 | 5.22 | 1.37 |
| 43. | 2023. 4. 30. | 1.28% | 1.46% | 0.55 | 0.06 | -0.18 |
| 44. | 2023. 5. 31. | 1.86% | 0.25% | 0.03 | 0.94 | 0.16 |
| 45. | 2023. 6. 30. | 5.24% | 4.71% | 10.38 | 12.21 | 11.26 |
| 46. | 2023. 7. 31. | 4.14% | 4.85% | 4.49 | 13.15 | 7.69 |
| 47. | 2023. 8. 31. | -1.85% | -1.77% | 14.98 | 8.95 | 11.58 |
| 48. | 2023. 9. 30. | 2.85% | -4.87% | 0.70 | 37.11 | -5.08 |
| 49. | 2023. 10. 31. | -2.22% | -2.20% | 17.95 | 11.68 | 14.48 |
| 50. | 2023. 11. 30. | 7.48% | 8.92% | 29.80 | 59.26 | 42.02 |
| 51. | 2023. 12. 31. | 13.89% | 4.42% | 140.91 | 10.26 | 38.02 |
| 52. | 2024. 1. 31. | 5.27% | 1.59% | 10.57 | 0.14 | 1.20 |
| 53. | 2024. 2. 29. | 7.20% | 5.17% | 26.82 | 15.62 | 20.47 |
| 54. | 2024. 3. 31. | -1.51% | 3.10% | 12.49 | 3.54 | -6.65 |
| 55. | 2024. 4. 30. | -1.17% | -4.16% | 10.18 | 28.96 | 17.17 |
| 56. | 2024. 5. 31. | 12.03% | 4.80% | 100.26 | 12.83 | 35.87 |
| 57. | 2024. 6. 30. | 4.95% | 3.47% | 8.59 | 5.05 | 6.59 |
| 58. | 2024. 7. 31. | -3.16% | 1.13% | 26.80 | 0.01 | 0.45 |
| 59. | 2024. 8. 31. | 8.56% | 2.28% | 42.79 | 1.13 | 6.96 |
| 60. | 2024. 9. 30. | -0.66% | 2.02% | 7.17 | 0.64 | -2.14 |
| 61. | 2024. 10. 31. | -1.39% | -0.99% | 11.65 | 4.88 | 7.54 |
| 62. | 2024. 11. 30. | 11.31% | 5.73% | 86.27 | 20.34 | 41.89 |
| 63. | 2024. 12. 31. | -5.72% | -2.50% | 59.95 | 13.83 | 28.79 |
| 64. | 2025. 1. 31. | 6.94% | 2.70% | 24.22 | 2.20 | 7.29 |
| 65. | 2025. 2. 28. | 7.13% | -1.42% | 26.13 | 6.99 | -13.52 |
| 66. | 2025. 3. 31. | -9.81% | -5.75% | 139.88 | 48.64 | 82.48 |
| 67. | 2025. 4. 30. | 5.15% | -0.76% | 9.80 | 3.93 | -6.21 |
| 68. | 2025. 5. 31. | 4.72% | 6.15% | 7.31 | 24.33 | 13.33 |
| 69. | 2025. 6. 30. | -4.83% | 4.96% | 46.93 | 13.99 | -25.63 |
| 70. | 2025. 7. 31. | -5.08% | 2.17% | 50.44 | 0.90 | -6.72 |
| 71. | 2025. 8. 31. | 0.53% | 1.91% | 2.22 | 0.47 | -1.02 |
| 합계 (Σ): | 2,916.93 | 1,730.32 | 1,399.93 | |||
모두 보기
분산COST = Σ(RCOST,t–RCOST)2 ÷ (71 – 1)
= 2,916.93 ÷ (71 – 1)
= 41.67
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,730.32 ÷ (71 – 1)
= 24.72
공분산COST, S&P 500 = Σ(RCOST,t–RCOST)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,399.93 ÷ (71 – 1)
= 20.00
체계적인 위험 추정 (β)
| 분산COST | 41.67 |
| 분산S&P 500 | 24.72 |
| 공분산COST, S&P 500 | 20.00 |
| 상관 계수COST, S&P 5001 | 0.62 |
| βCOST2 | 0.81 |
| αCOST3 | 1.03% |
계산
1 상관 계수COST, S&P 500
= 공분산COST, S&P 500 ÷ (표준 편차COST × 표준 편차S&P 500)
= 20.00 ÷ (6.46% × 4.97%)
= 0.62
2 βCOST
= 공분산COST, S&P 500 ÷ 분산S&P 500
= 20.00 ÷ 24.72
= 0.81
3 αCOST
= 평균의COST – βCOST × 평균의S&P 500
= 2.02% – 0.81 × 1.22%
= 1.03%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.68% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.92% |
| 보통주의 체계적 위험Costco | βCOST | 0.81 |
| 코스트코 보통주 예상 수익률3 | E(RCOST) | 12.97% |
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(RCOST) = RF + βCOST [E(RM) – RF]
= 4.68% + 0.81 [14.92% – 4.68%]
= 12.97%