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 |
| 2018. 9. 30. | $234.88 | 2,913.98 | ||||
| 1. | 2018. 10. 31. | $228.63 | -2.66% | 2,711.74 | -6.94% | |
| 2. | 2018. 11. 30. | $231.28 | $0.57 | 1.41% | 2,760.17 | 1.79% |
| 3. | 2018. 12. 31. | $203.71 | -11.92% | 2,506.85 | -9.18% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 7. 31. | $822.00 | $1.16 | -3.16% | 5,522.30 | 1.13% |
| 71. | 2024. 8. 31. | $892.38 | 8.56% | 5,648.40 | 2.28% | |
| 평균의 (R): | 2.20% | 1.07% | ||||
| 표준 편차: | 6.36% | 5.24% | ||||
| 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 |
| 2018. 9. 30. | $234.88 | 2,913.98 | ||||
| 1. | 2018. 10. 31. | $228.63 | -2.66% | 2,711.74 | -6.94% | |
| 2. | 2018. 11. 30. | $231.28 | $0.57 | 1.41% | 2,760.17 | 1.79% |
| 3. | 2018. 12. 31. | $203.71 | -11.92% | 2,506.85 | -9.18% | |
| 4. | 2019. 1. 31. | $214.63 | 5.36% | 2,704.10 | 7.87% | |
| 5. | 2019. 2. 28. | $218.74 | $0.57 | 2.18% | 2,784.49 | 2.97% |
| 6. | 2019. 3. 31. | $242.14 | 10.70% | 2,834.40 | 1.79% | |
| 7. | 2019. 4. 30. | $245.53 | 1.40% | 2,945.83 | 3.93% | |
| 8. | 2019. 5. 31. | $239.58 | $0.65 | -2.16% | 2,752.06 | -6.58% |
| 9. | 2019. 6. 30. | $264.26 | 10.30% | 2,941.76 | 6.89% | |
| 10. | 2019. 7. 31. | $275.63 | 4.30% | 2,980.38 | 1.31% | |
| 11. | 2019. 8. 31. | $294.76 | $0.65 | 7.18% | 2,926.46 | -1.81% |
| 12. | 2019. 9. 30. | $288.11 | -2.26% | 2,976.74 | 1.72% | |
| 13. | 2019. 10. 31. | $297.11 | $0.65 | 3.35% | 3,037.56 | 2.04% |
| 14. | 2019. 11. 30. | $299.81 | 0.91% | 3,140.98 | 3.40% | |
| 15. | 2019. 12. 31. | $293.92 | -1.96% | 3,230.78 | 2.86% | |
| 16. | 2020. 1. 31. | $305.52 | 3.95% | 3,225.52 | -0.16% | |
| 17. | 2020. 2. 29. | $281.14 | $0.65 | -7.77% | 2,954.22 | -8.41% |
| 18. | 2020. 3. 31. | $285.13 | 1.42% | 2,584.59 | -12.51% | |
| 19. | 2020. 4. 30. | $303.00 | $0.70 | 6.51% | 2,912.43 | 12.68% |
| 20. | 2020. 5. 31. | $308.47 | 1.81% | 3,044.31 | 4.53% | |
| 21. | 2020. 6. 30. | $303.21 | -1.71% | 3,100.29 | 1.84% | |
| 22. | 2020. 7. 31. | $325.53 | $0.70 | 7.59% | 3,271.12 | 5.51% |
| 23. | 2020. 8. 31. | $347.66 | 6.80% | 3,500.31 | 7.01% | |
| 24. | 2020. 9. 30. | $355.00 | 2.11% | 3,363.00 | -3.92% | |
| 25. | 2020. 10. 31. | $357.62 | $0.70 | 0.94% | 3,269.96 | -2.77% |
| 26. | 2020. 11. 30. | $391.77 | 9.55% | 3,621.63 | 10.75% | |
| 27. | 2020. 12. 31. | $376.78 | $10.00 | -1.27% | 3,756.07 | 3.71% |
| 28. | 2021. 1. 31. | $352.43 | -6.46% | 3,714.24 | -1.11% | |
| 29. | 2021. 2. 28. | $331.00 | $0.70 | -5.88% | 3,811.15 | 2.61% |
| 30. | 2021. 3. 31. | $352.48 | 6.49% | 3,972.89 | 4.24% | |
| 31. | 2021. 4. 30. | $372.09 | $0.79 | 5.79% | 4,181.17 | 5.24% |
| 32. | 2021. 5. 31. | $378.27 | 1.66% | 4,204.11 | 0.55% | |
| 33. | 2021. 6. 30. | $395.67 | 4.60% | 4,297.50 | 2.22% | |
| 34. | 2021. 7. 31. | $429.72 | $0.79 | 8.81% | 4,395.26 | 2.27% |
| 35. | 2021. 8. 31. | $455.49 | 6.00% | 4,522.68 | 2.90% | |
| 36. | 2021. 9. 30. | $449.35 | -1.35% | 4,307.54 | -4.76% | |
| 37. | 2021. 10. 31. | $491.54 | $0.79 | 9.56% | 4,605.38 | 6.91% |
| 38. | 2021. 11. 30. | $539.38 | 9.73% | 4,567.00 | -0.83% | |
| 39. | 2021. 12. 31. | $567.70 | 5.25% | 4,766.18 | 4.36% | |
| 40. | 2022. 1. 31. | $505.13 | -11.02% | 4,515.55 | -5.26% | |
| 41. | 2022. 2. 28. | $519.25 | $0.79 | 2.95% | 4,373.94 | -3.14% |
| 42. | 2022. 3. 31. | $575.85 | 10.90% | 4,530.41 | 3.58% | |
| 43. | 2022. 4. 30. | $531.72 | $0.90 | -7.51% | 4,131.93 | -8.80% |
| 44. | 2022. 5. 31. | $466.22 | -12.32% | 4,132.15 | 0.01% | |
| 45. | 2022. 6. 30. | $479.28 | 2.80% | 3,785.38 | -8.39% | |
| 46. | 2022. 7. 31. | $541.30 | $0.90 | 13.13% | 4,130.29 | 9.11% |
| 47. | 2022. 8. 31. | $522.10 | -3.55% | 3,955.00 | -4.24% | |
| 48. | 2022. 9. 30. | $472.27 | -9.54% | 3,585.62 | -9.34% | |
| 49. | 2022. 10. 31. | $501.50 | $0.90 | 6.38% | 3,871.98 | 7.99% |
| 50. | 2022. 11. 30. | $539.25 | 7.53% | 4,080.11 | 5.38% | |
| 51. | 2022. 12. 31. | $456.50 | -15.35% | 3,839.50 | -5.90% | |
| 52. | 2023. 1. 31. | $511.14 | 11.97% | 4,076.60 | 6.18% | |
| 53. | 2023. 2. 28. | $484.18 | $0.90 | -5.10% | 3,970.15 | -2.61% |
| 54. | 2023. 3. 31. | $496.87 | 2.62% | 4,109.31 | 3.51% | |
| 55. | 2023. 4. 30. | $503.22 | 1.28% | 4,169.48 | 1.46% | |
| 56. | 2023. 5. 31. | $511.56 | $1.02 | 1.86% | 4,179.83 | 0.25% |
| 57. | 2023. 6. 30. | $538.38 | 5.24% | 4,376.86 | 4.71% | |
| 58. | 2023. 7. 31. | $560.67 | 4.14% | 4,588.96 | 4.85% | |
| 59. | 2023. 8. 31. | $549.28 | $1.02 | -1.85% | 4,507.66 | -1.77% |
| 60. | 2023. 9. 30. | $564.96 | 2.85% | 4,288.05 | -4.87% | |
| 61. | 2023. 10. 31. | $552.44 | -2.22% | 4,193.80 | -2.20% | |
| 62. | 2023. 11. 30. | $592.74 | $1.02 | 7.48% | 4,567.80 | 8.92% |
| 63. | 2023. 12. 31. | $660.08 | 11.36% | 4,769.83 | 4.42% | |
| 64. | 2024. 1. 31. | $694.88 | 5.27% | 4,845.65 | 1.59% | |
| 65. | 2024. 2. 29. | $743.89 | $1.02 | 7.20% | 5,096.27 | 5.17% |
| 66. | 2024. 3. 31. | $732.63 | -1.51% | 5,254.35 | 3.10% | |
| 67. | 2024. 4. 30. | $722.90 | $1.16 | -1.17% | 5,035.69 | -4.16% |
| 68. | 2024. 5. 31. | $809.89 | 12.03% | 5,277.51 | 4.80% | |
| 69. | 2024. 6. 30. | $849.99 | 4.95% | 5,460.48 | 3.47% | |
| 70. | 2024. 7. 31. | $822.00 | $1.16 | -3.16% | 5,522.30 | 1.13% |
| 71. | 2024. 8. 31. | $892.38 | 8.56% | 5,648.40 | 2.28% | |
| 평균의 (R): | 2.20% | 1.07% | ||||
| 표준 편차: | 6.36% | 5.24% | ||||
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. | 2018. 10. 31. | -2.66% | -6.94% | 23.67 | 64.21 | 38.98 |
| 2. | 2018. 11. 30. | 1.41% | 1.79% | 0.63 | 0.51 | -0.57 |
| 3. | 2018. 12. 31. | -11.92% | -9.18% | 199.50 | 105.07 | 144.78 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 7. 31. | -3.16% | 1.13% | 28.73 | 0.00 | -0.32 |
| 71. | 2024. 8. 31. | 8.56% | 2.28% | 40.43 | 1.47 | 7.70 |
| 합계 (Σ): | 2,828.54 | 1,920.03 | 1,538.25 | |||
| 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. | 2018. 10. 31. | -2.66% | -6.94% | 23.67 | 64.21 | 38.98 |
| 2. | 2018. 11. 30. | 1.41% | 1.79% | 0.63 | 0.51 | -0.57 |
| 3. | 2018. 12. 31. | -11.92% | -9.18% | 199.50 | 105.07 | 144.78 |
| 4. | 2019. 1. 31. | 5.36% | 7.87% | 9.97 | 46.18 | 21.45 |
| 5. | 2019. 2. 28. | 2.18% | 2.97% | 0.00 | 3.61 | -0.04 |
| 6. | 2019. 3. 31. | 10.70% | 1.79% | 72.15 | 0.52 | 6.11 |
| 7. | 2019. 4. 30. | 1.40% | 3.93% | 0.65 | 8.17 | -2.30 |
| 8. | 2019. 5. 31. | -2.16% | -6.58% | 19.03 | 58.53 | 33.37 |
| 9. | 2019. 6. 30. | 10.30% | 6.89% | 65.57 | 33.88 | 47.13 |
| 10. | 2019. 7. 31. | 4.30% | 1.31% | 4.40 | 0.06 | 0.50 |
| 11. | 2019. 8. 31. | 7.18% | -1.81% | 24.73 | 8.31 | -14.33 |
| 12. | 2019. 9. 30. | -2.26% | 1.72% | 19.89 | 0.42 | -2.88 |
| 13. | 2019. 10. 31. | 3.35% | 2.04% | 1.31 | 0.94 | 1.11 |
| 14. | 2019. 11. 30. | 0.91% | 3.40% | 1.68 | 5.44 | -3.02 |
| 15. | 2019. 12. 31. | -1.96% | 2.86% | 17.38 | 3.19 | -7.45 |
| 16. | 2020. 1. 31. | 3.95% | -0.16% | 3.04 | 1.53 | -2.15 |
| 17. | 2020. 2. 29. | -7.77% | -8.41% | 99.42 | 89.94 | 94.56 |
| 18. | 2020. 3. 31. | 1.42% | -12.51% | 0.62 | 184.54 | 10.66 |
| 19. | 2020. 4. 30. | 6.51% | 12.68% | 18.57 | 134.83 | 50.03 |
| 20. | 2020. 5. 31. | 1.81% | 4.53% | 0.16 | 11.94 | -1.38 |
| 21. | 2020. 6. 30. | -1.71% | 1.84% | 15.28 | 0.59 | -2.99 |
| 22. | 2020. 7. 31. | 7.59% | 5.51% | 29.03 | 19.69 | 23.91 |
| 23. | 2020. 8. 31. | 6.80% | 7.01% | 21.11 | 35.21 | 27.26 |
| 24. | 2020. 9. 30. | 2.11% | -3.92% | 0.01 | 24.96 | 0.46 |
| 25. | 2020. 10. 31. | 0.94% | -2.77% | 1.61 | 14.74 | 4.87 |
| 26. | 2020. 11. 30. | 9.55% | 10.75% | 53.96 | 93.74 | 71.12 |
| 27. | 2020. 12. 31. | -1.27% | 3.71% | 12.09 | 6.97 | -9.18 |
| 28. | 2021. 1. 31. | -6.46% | -1.11% | 75.11 | 4.78 | 18.95 |
| 29. | 2021. 2. 28. | -5.88% | 2.61% | 65.38 | 2.36 | -12.42 |
| 30. | 2021. 3. 31. | 6.49% | 4.24% | 18.37 | 10.06 | 13.59 |
| 31. | 2021. 4. 30. | 5.79% | 5.24% | 12.84 | 17.39 | 14.94 |
| 32. | 2021. 5. 31. | 1.66% | 0.55% | 0.29 | 0.27 | 0.28 |
| 33. | 2021. 6. 30. | 4.60% | 2.22% | 5.74 | 1.32 | 2.75 |
| 34. | 2021. 7. 31. | 8.81% | 2.27% | 43.58 | 1.44 | 7.94 |
| 35. | 2021. 8. 31. | 6.00% | 2.90% | 14.39 | 3.34 | 6.93 |
| 36. | 2021. 9. 30. | -1.35% | -4.76% | 12.62 | 33.99 | 20.71 |
| 37. | 2021. 10. 31. | 9.56% | 6.91% | 54.19 | 34.12 | 43.00 |
| 38. | 2021. 11. 30. | 9.73% | -0.83% | 56.68 | 3.63 | -14.35 |
| 39. | 2021. 12. 31. | 5.25% | 4.36% | 9.28 | 10.81 | 10.02 |
| 40. | 2022. 1. 31. | -11.02% | -5.26% | 174.91 | 40.09 | 83.73 |
| 41. | 2022. 2. 28. | 2.95% | -3.14% | 0.56 | 17.71 | -3.15 |
| 42. | 2022. 3. 31. | 10.90% | 3.58% | 75.63 | 6.27 | 21.78 |
| 43. | 2022. 4. 30. | -7.51% | -8.80% | 94.30 | 97.39 | 95.83 |
| 44. | 2022. 5. 31. | -12.32% | 0.01% | 210.90 | 1.14 | 15.50 |
| 45. | 2022. 6. 30. | 2.80% | -8.39% | 0.36 | 89.58 | -5.65 |
| 46. | 2022. 7. 31. | 13.13% | 9.11% | 119.34 | 64.62 | 87.82 |
| 47. | 2022. 8. 31. | -3.55% | -4.24% | 33.07 | 28.27 | 30.58 |
| 48. | 2022. 9. 30. | -9.54% | -9.34% | 138.01 | 108.42 | 122.32 |
| 49. | 2022. 10. 31. | 6.38% | 7.99% | 17.44 | 47.80 | 28.87 |
| 50. | 2022. 11. 30. | 7.53% | 5.38% | 28.34 | 18.51 | 22.90 |
| 51. | 2022. 12. 31. | -15.35% | -5.90% | 307.97 | 48.58 | 122.32 |
| 52. | 2023. 1. 31. | 11.97% | 6.18% | 95.37 | 26.04 | 49.83 |
| 53. | 2023. 2. 28. | -5.10% | -2.61% | 53.32 | 13.57 | 26.90 |
| 54. | 2023. 3. 31. | 2.62% | 3.51% | 0.17 | 5.92 | 1.01 |
| 55. | 2023. 4. 30. | 1.28% | 1.46% | 0.86 | 0.15 | -0.36 |
| 56. | 2023. 5. 31. | 1.86% | 0.25% | 0.12 | 0.68 | 0.28 |
| 57. | 2023. 6. 30. | 5.24% | 4.71% | 9.24 | 13.26 | 11.07 |
| 58. | 2023. 7. 31. | 4.14% | 4.85% | 3.75 | 14.24 | 7.31 |
| 59. | 2023. 8. 31. | -1.85% | -1.77% | 16.43 | 8.09 | 11.53 |
| 60. | 2023. 9. 30. | 2.85% | -4.87% | 0.42 | 35.34 | -3.87 |
| 61. | 2023. 10. 31. | -2.22% | -2.20% | 19.54 | 10.70 | 14.46 |
| 62. | 2023. 11. 30. | 7.48% | 8.92% | 27.83 | 61.55 | 41.39 |
| 63. | 2023. 12. 31. | 11.36% | 4.42% | 83.85 | 11.22 | 30.68 |
| 64. | 2024. 1. 31. | 5.27% | 1.59% | 9.41 | 0.27 | 1.59 |
| 65. | 2024. 2. 29. | 7.20% | 5.17% | 24.96 | 16.80 | 20.48 |
| 66. | 2024. 3. 31. | -1.51% | 3.10% | 13.82 | 4.12 | -7.54 |
| 67. | 2024. 4. 30. | -1.17% | -4.16% | 11.38 | 27.40 | 17.66 |
| 68. | 2024. 5. 31. | 12.03% | 4.80% | 96.62 | 13.91 | 36.66 |
| 69. | 2024. 6. 30. | 4.95% | 3.47% | 7.55 | 5.73 | 6.58 |
| 70. | 2024. 7. 31. | -3.16% | 1.13% | 28.73 | 0.00 | -0.32 |
| 71. | 2024. 8. 31. | 8.56% | 2.28% | 40.43 | 1.47 | 7.70 |
| 합계 (Σ): | 2,828.54 | 1,920.03 | 1,538.25 | |||
모두 보기
분산COST = Σ(RCOST,t–RCOST)2 ÷ (71 – 1)
= 2,828.54 ÷ (71 – 1)
= 40.41
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,920.03 ÷ (71 – 1)
= 27.43
공분산COST, S&P 500 = Σ(RCOST,t–RCOST)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,538.25 ÷ (71 – 1)
= 21.97
체계적인 위험 추정 (β)
| 분산COST | 40.41 |
| 분산S&P 500 | 27.43 |
| 공분산COST, S&P 500 | 21.97 |
| 상관 계수COST, S&P 5001 | 0.66 |
| βCOST2 | 0.80 |
| αCOST3 | 1.34% |
계산
1 상관 계수COST, S&P 500
= 공분산COST, S&P 500 ÷ (표준 편차COST × 표준 편차S&P 500)
= 21.97 ÷ (6.36% × 5.24%)
= 0.66
2 βCOST
= 공분산COST, S&P 500 ÷ 분산S&P 500
= 21.97 ÷ 27.43
= 0.80
3 αCOST
= 평균의COST – βCOST × 평균의S&P 500
= 2.20% – 0.80 × 1.07%
= 1.34%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.90% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.86% |
| 보통주의 체계적 위험Costco | βCOST | 0.80 |
| 코스트코 보통주 예상 수익률3 | E(RCOST) | 12.08% |
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]
= 4.90% + 0.80 [13.86% – 4.90%]
= 12.08%