자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Dexcom의 보통주와 같은 위험 자산에 대한 기대 또는 필요한 수익률을 나타냅니다.
수익률
DexCom Inc., 월별 수익률
| DexCom Inc. (DXCM) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값DXCM,t1 | 피제수DXCM,t1 | RDXCM,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 1. 31. | $14.55 | 2,823.81 | ||||
| 1. | 2018. 2. 28. | $14.04 | -3.51% | 2,713.83 | -3.89% | |
| 2. | 2018. 3. 31. | $18.54 | 32.05% | 2,640.87 | -2.69% | |
| 3. | 2018. 4. 30. | $18.30 | -1.29% | 2,648.05 | 0.27% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022. 11. 30. | $116.28 | -3.73% | 4,080.11 | 5.38% | |
| 59. | 2022. 12. 31. | $113.24 | -2.61% | 3,839.50 | -5.90% | |
| 평균의 (R): | 4.65% | 0.67% | ||||
| 표준 편차: | 15.85% | 5.40% | ||||
| DexCom Inc. (DXCM) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값DXCM,t1 | 피제수DXCM,t1 | RDXCM,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 1. 31. | $14.55 | 2,823.81 | ||||
| 1. | 2018. 2. 28. | $14.04 | -3.51% | 2,713.83 | -3.89% | |
| 2. | 2018. 3. 31. | $18.54 | 32.05% | 2,640.87 | -2.69% | |
| 3. | 2018. 4. 30. | $18.30 | -1.29% | 2,648.05 | 0.27% | |
| 4. | 2018. 5. 31. | $22.00 | 20.22% | 2,705.27 | 2.16% | |
| 5. | 2018. 6. 30. | $23.75 | 7.95% | 2,718.37 | 0.48% | |
| 6. | 2018. 7. 31. | $23.78 | 0.13% | 2,816.29 | 3.60% | |
| 7. | 2018. 8. 31. | $36.10 | 51.81% | 2,901.52 | 3.03% | |
| 8. | 2018. 9. 30. | $35.76 | -0.94% | 2,913.98 | 0.43% | |
| 9. | 2018. 10. 31. | $33.19 | -7.19% | 2,711.74 | -6.94% | |
| 10. | 2018. 11. 30. | $32.40 | -2.38% | 2,760.17 | 1.79% | |
| 11. | 2018. 12. 31. | $29.95 | -7.56% | 2,506.85 | -9.18% | |
| 12. | 2019. 1. 31. | $35.26 | 17.73% | 2,704.10 | 7.87% | |
| 13. | 2019. 2. 28. | $34.83 | -1.22% | 2,784.49 | 2.97% | |
| 14. | 2019. 3. 31. | $29.78 | -14.50% | 2,834.40 | 1.79% | |
| 15. | 2019. 4. 30. | $30.27 | 1.65% | 2,945.83 | 3.93% | |
| 16. | 2019. 5. 31. | $30.33 | 0.20% | 2,752.06 | -6.58% | |
| 17. | 2019. 6. 30. | $37.46 | 23.51% | 2,941.76 | 6.89% | |
| 18. | 2019. 7. 31. | $39.22 | 4.70% | 2,980.38 | 1.31% | |
| 19. | 2019. 8. 31. | $42.90 | 9.38% | 2,926.46 | -1.81% | |
| 20. | 2019. 9. 30. | $37.31 | -13.03% | 2,976.74 | 1.72% | |
| 21. | 2019. 10. 31. | $38.56 | 3.35% | 3,037.56 | 2.04% | |
| 22. | 2019. 11. 30. | $56.83 | 47.38% | 3,140.98 | 3.40% | |
| 23. | 2019. 12. 31. | $54.69 | -3.77% | 3,230.78 | 2.86% | |
| 24. | 2020. 1. 31. | $60.19 | 10.06% | 3,225.52 | -0.16% | |
| 25. | 2020. 2. 29. | $69.00 | 14.64% | 2,954.22 | -8.41% | |
| 26. | 2020. 3. 31. | $67.32 | -2.43% | 2,584.59 | -12.51% | |
| 27. | 2020. 4. 30. | $83.80 | 24.48% | 2,912.43 | 12.68% | |
| 28. | 2020. 5. 31. | $94.58 | 12.86% | 3,044.31 | 4.53% | |
| 29. | 2020. 6. 30. | $101.35 | 7.16% | 3,100.29 | 1.84% | |
| 30. | 2020. 7. 31. | $108.89 | 7.44% | 3,271.12 | 5.51% | |
| 31. | 2020. 8. 31. | $106.35 | -2.33% | 3,500.31 | 7.01% | |
| 32. | 2020. 9. 30. | $103.06 | -3.09% | 3,363.00 | -3.92% | |
| 33. | 2020. 10. 31. | $79.89 | -22.48% | 3,269.96 | -2.77% | |
| 34. | 2020. 11. 30. | $79.92 | 0.04% | 3,621.63 | 10.75% | |
| 35. | 2020. 12. 31. | $92.43 | 15.65% | 3,756.07 | 3.71% | |
| 36. | 2021. 1. 31. | $93.71 | 1.38% | 3,714.24 | -1.11% | |
| 37. | 2021. 2. 28. | $99.45 | 6.13% | 3,811.15 | 2.61% | |
| 38. | 2021. 3. 31. | $89.85 | -9.65% | 3,972.89 | 4.24% | |
| 39. | 2021. 4. 30. | $96.53 | 7.43% | 4,181.17 | 5.24% | |
| 40. | 2021. 5. 31. | $92.35 | -4.33% | 4,204.11 | 0.55% | |
| 41. | 2021. 6. 30. | $106.75 | 15.59% | 4,297.50 | 2.22% | |
| 42. | 2021. 7. 31. | $128.88 | 20.73% | 4,395.26 | 2.27% | |
| 43. | 2021. 8. 31. | $132.35 | 2.69% | 4,522.68 | 2.90% | |
| 44. | 2021. 9. 30. | $136.71 | 3.29% | 4,307.54 | -4.76% | |
| 45. | 2021. 10. 31. | $155.80 | 13.96% | 4,605.38 | 6.91% | |
| 46. | 2021. 11. 30. | $140.65 | -9.72% | 4,567.00 | -0.83% | |
| 47. | 2021. 12. 31. | $134.24 | -4.56% | 4,766.18 | 4.36% | |
| 48. | 2022. 1. 31. | $107.62 | -19.83% | 4,515.55 | -5.26% | |
| 49. | 2022. 2. 28. | $103.48 | -3.85% | 4,373.94 | -3.14% | |
| 50. | 2022. 3. 31. | $127.90 | 23.60% | 4,530.41 | 3.58% | |
| 51. | 2022. 4. 30. | $102.14 | -20.14% | 4,131.93 | -8.80% | |
| 52. | 2022. 5. 31. | $74.49 | -27.07% | 4,132.15 | 0.01% | |
| 53. | 2022. 6. 30. | $74.53 | 0.05% | 3,785.38 | -8.39% | |
| 54. | 2022. 7. 31. | $82.08 | 10.13% | 4,130.29 | 9.11% | |
| 55. | 2022. 8. 31. | $82.21 | 0.16% | 3,955.00 | -4.24% | |
| 56. | 2022. 9. 30. | $80.54 | -2.03% | 3,585.62 | -9.34% | |
| 57. | 2022. 10. 31. | $120.78 | 49.96% | 3,871.98 | 7.99% | |
| 58. | 2022. 11. 30. | $116.28 | -3.73% | 4,080.11 | 5.38% | |
| 59. | 2022. 12. 31. | $113.24 | -2.61% | 3,839.50 | -5.90% | |
| 평균의 (R): | 4.65% | 0.67% | ||||
| 표준 편차: | 15.85% | 5.40% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 DXCM의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
DexCom Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RDXCM,t | RS&P 500,t | (RDXCM,t–RDXCM)2 | (RS&P 500,t–RS&P 500)2 | (RDXCM,t–RDXCM)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 2. 28. | -3.51% | -3.89% | 66.48 | 20.81 | 37.19 |
| 2. | 2018. 3. 31. | 32.05% | -2.69% | 750.92 | 11.26 | -91.94 |
| 3. | 2018. 4. 30. | -1.29% | 0.27% | 35.32 | 0.16 | 2.35 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022. 11. 30. | -3.73% | 5.38% | 70.12 | 22.17 | -39.43 |
| 59. | 2022. 12. 31. | -2.61% | -5.90% | 52.75 | 43.08 | 47.67 |
| 합계 (Σ): | 14,562.94 | 1,691.48 | 1,961.26 | |||
| t | 날짜 | RDXCM,t | RS&P 500,t | (RDXCM,t–RDXCM)2 | (RS&P 500,t–RS&P 500)2 | (RDXCM,t–RDXCM)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 2. 28. | -3.51% | -3.89% | 66.48 | 20.81 | 37.19 |
| 2. | 2018. 3. 31. | 32.05% | -2.69% | 750.92 | 11.26 | -91.94 |
| 3. | 2018. 4. 30. | -1.29% | 0.27% | 35.32 | 0.16 | 2.35 |
| 4. | 2018. 5. 31. | 20.22% | 2.16% | 242.43 | 2.23 | 23.26 |
| 5. | 2018. 6. 30. | 7.95% | 0.48% | 10.93 | 0.03 | -0.60 |
| 6. | 2018. 7. 31. | 0.13% | 3.60% | 20.45 | 8.62 | -13.27 |
| 7. | 2018. 8. 31. | 51.81% | 3.03% | 2,224.06 | 5.57 | 111.28 |
| 8. | 2018. 9. 30. | -0.94% | 0.43% | 31.25 | 0.06 | 1.33 |
| 9. | 2018. 10. 31. | -7.19% | -6.94% | 140.07 | 57.87 | 90.03 |
| 10. | 2018. 11. 30. | -2.38% | 1.79% | 49.40 | 1.25 | -7.87 |
| 11. | 2018. 12. 31. | -7.56% | -9.18% | 149.08 | 96.91 | 120.20 |
| 12. | 2019. 1. 31. | 17.73% | 7.87% | 171.12 | 51.87 | 94.21 |
| 13. | 2019. 2. 28. | -1.22% | 2.97% | 34.43 | 5.32 | -13.53 |
| 14. | 2019. 3. 31. | -14.50% | 1.79% | 366.62 | 1.27 | -21.56 |
| 15. | 2019. 4. 30. | 1.65% | 3.93% | 9.02 | 10.66 | -9.80 |
| 16. | 2019. 5. 31. | 0.20% | -6.58% | 19.80 | 52.48 | 32.24 |
| 17. | 2019. 6. 30. | 23.51% | 6.89% | 355.69 | 38.77 | 117.43 |
| 18. | 2019. 7. 31. | 4.70% | 1.31% | 0.00 | 0.42 | 0.03 |
| 19. | 2019. 8. 31. | 9.38% | -1.81% | 22.42 | 6.13 | -11.72 |
| 20. | 2019. 9. 30. | -13.03% | 1.72% | 312.53 | 1.11 | -18.59 |
| 21. | 2019. 10. 31. | 3.35% | 2.04% | 1.68 | 1.89 | -1.79 |
| 22. | 2019. 11. 30. | 47.38% | 3.40% | 1,826.06 | 7.50 | 117.00 |
| 23. | 2019. 12. 31. | -3.77% | 2.86% | 70.79 | 4.81 | -18.45 |
| 24. | 2020. 1. 31. | 10.06% | -0.16% | 29.25 | 0.69 | -4.49 |
| 25. | 2020. 2. 29. | 14.64% | -8.41% | 99.77 | 82.40 | -90.67 |
| 26. | 2020. 3. 31. | -2.43% | -12.51% | 50.17 | 173.67 | 93.34 |
| 27. | 2020. 4. 30. | 24.48% | 12.68% | 393.30 | 144.43 | 238.33 |
| 28. | 2020. 5. 31. | 12.86% | 4.53% | 67.50 | 14.91 | 31.73 |
| 29. | 2020. 6. 30. | 7.16% | 1.84% | 6.30 | 1.37 | 2.94 |
| 30. | 2020. 7. 31. | 7.44% | 5.51% | 7.79 | 23.46 | 13.52 |
| 31. | 2020. 8. 31. | -2.33% | 7.01% | 48.73 | 40.19 | -44.26 |
| 32. | 2020. 9. 30. | -3.09% | -3.92% | 59.94 | 21.06 | 35.53 |
| 33. | 2020. 10. 31. | -22.48% | -2.77% | 736.05 | 11.79 | 93.14 |
| 34. | 2020. 11. 30. | 0.04% | 10.75% | 21.26 | 101.77 | -46.51 |
| 35. | 2020. 12. 31. | 15.65% | 3.71% | 121.11 | 9.28 | 33.52 |
| 36. | 2021. 1. 31. | 1.38% | -1.11% | 10.65 | 3.17 | 5.81 |
| 37. | 2021. 2. 28. | 6.13% | 2.61% | 2.18 | 3.77 | 2.87 |
| 38. | 2021. 3. 31. | -9.65% | 4.24% | 204.53 | 12.80 | -51.16 |
| 39. | 2021. 4. 30. | 7.43% | 5.24% | 7.76 | 20.94 | 12.75 |
| 40. | 2021. 5. 31. | -4.33% | 0.55% | 80.61 | 0.01 | 1.06 |
| 41. | 2021. 6. 30. | 15.59% | 2.22% | 119.78 | 2.42 | 17.02 |
| 42. | 2021. 7. 31. | 20.73% | 2.27% | 258.64 | 2.59 | 25.86 |
| 43. | 2021. 8. 31. | 2.69% | 2.90% | 3.83 | 4.98 | -4.37 |
| 44. | 2021. 9. 30. | 3.29% | -4.76% | 1.83 | 29.42 | 7.34 |
| 45. | 2021. 10. 31. | 13.96% | 6.91% | 86.78 | 39.03 | 58.20 |
| 46. | 2021. 11. 30. | -9.72% | -0.83% | 206.56 | 2.25 | 21.56 |
| 47. | 2021. 12. 31. | -4.56% | 4.36% | 84.74 | 13.65 | -34.01 |
| 48. | 2022. 1. 31. | -19.83% | -5.26% | 599.19 | 35.11 | 145.04 |
| 49. | 2022. 2. 28. | -3.85% | -3.14% | 72.17 | 14.46 | 32.30 |
| 50. | 2022. 3. 31. | 23.60% | 3.58% | 359.12 | 8.47 | 55.16 |
| 51. | 2022. 4. 30. | -20.14% | -8.80% | 614.50 | 89.54 | 234.56 |
| 52. | 2022. 5. 31. | -27.07% | 0.01% | 1,006.09 | 0.44 | 20.98 |
| 53. | 2022. 6. 30. | 0.05% | -8.39% | 21.11 | 82.06 | 41.62 |
| 54. | 2022. 7. 31. | 10.13% | 9.11% | 30.05 | 71.32 | 46.29 |
| 55. | 2022. 8. 31. | 0.16% | -4.24% | 20.16 | 24.11 | 22.05 |
| 56. | 2022. 9. 30. | -2.03% | -9.34% | 44.62 | 100.12 | 66.84 |
| 57. | 2022. 10. 31. | 49.96% | 7.99% | 2,053.40 | 53.58 | 331.69 |
| 58. | 2022. 11. 30. | -3.73% | 5.38% | 70.12 | 22.17 | -39.43 |
| 59. | 2022. 12. 31. | -2.61% | -5.90% | 52.75 | 43.08 | 47.67 |
| 합계 (Σ): | 14,562.94 | 1,691.48 | 1,961.26 | |||
모두 보기
분산DXCM = Σ(RDXCM,t–RDXCM)2 ÷ (59 – 1)
= 14,562.94 ÷ (59 – 1)
= 251.09
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16
공분산DXCM, S&P 500 = Σ(RDXCM,t–RDXCM)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,961.26 ÷ (59 – 1)
= 33.81
체계적인 위험 추정 (β)
| 분산DXCM | 251.09 |
| 분산S&P 500 | 29.16 |
| 공분산DXCM, S&P 500 | 33.81 |
| 상관 계수DXCM, S&P 5001 | 0.40 |
| βDXCM2 | 1.16 |
| αDXCM3 | 3.88% |
계산
1 상관 계수DXCM, S&P 500
= 공분산DXCM, S&P 500 ÷ (표준 편차DXCM × 표준 편차S&P 500)
= 33.81 ÷ (15.85% × 5.40%)
= 0.40
2 βDXCM
= 공분산DXCM, S&P 500 ÷ 분산S&P 500
= 33.81 ÷ 29.16
= 1.16
3 αDXCM
= 평균의DXCM – βDXCM × 평균의S&P 500
= 4.65% – 1.16 × 0.67%
= 3.88%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.94% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.84% |
| 보통주의 체계적 위험Dexcom | βDXCM | 1.16 |
| Dexcom 보통주에 대한 예상 수익률3 | E(RDXCM) | 16.42% |
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(RDXCM) = RF + βDXCM [E(RM) – RF]
= 4.94% + 1.16 [14.84% – 4.94%]
= 16.42%