자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Diamondback보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Diamondback Energy Inc., 월별 수익률
| Diamondback Energy Inc. (FANG) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값FANG,t1 | 피제수FANG,t1 | RFANG,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 1. 31. | $105.17 | 2,278.87 | ||||
| 1. | 2017. 2. 28. | $100.86 | -4.10% | 2,363.64 | 3.72% | |
| 2. | 2017. 3. 31. | $103.72 | 2.84% | 2,362.72 | -0.04% | |
| 3. | 2017. 4. 30. | $99.84 | -3.74% | 2,384.20 | 0.91% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2021. 11. 30. | $106.73 | $0.50 | 0.04% | 4,567.00 | -0.83% |
| 59. | 2021. 12. 31. | $107.85 | 1.05% | 4,766.18 | 4.36% | |
| 평균의 (R): | 1.64% | 1.36% | ||||
| 표준 편차: | 17.17% | 4.48% | ||||
| Diamondback Energy Inc. (FANG) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값FANG,t1 | 피제수FANG,t1 | RFANG,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 1. 31. | $105.17 | 2,278.87 | ||||
| 1. | 2017. 2. 28. | $100.86 | -4.10% | 2,363.64 | 3.72% | |
| 2. | 2017. 3. 31. | $103.72 | 2.84% | 2,362.72 | -0.04% | |
| 3. | 2017. 4. 30. | $99.84 | -3.74% | 2,384.20 | 0.91% | |
| 4. | 2017. 5. 31. | $92.76 | -7.09% | 2,411.80 | 1.16% | |
| 5. | 2017. 6. 30. | $88.81 | -4.26% | 2,423.41 | 0.48% | |
| 6. | 2017. 7. 31. | $95.88 | 7.96% | 2,470.30 | 1.93% | |
| 7. | 2017. 8. 31. | $90.79 | -5.31% | 2,471.65 | 0.05% | |
| 8. | 2017. 9. 30. | $97.96 | 7.90% | 2,519.36 | 1.93% | |
| 9. | 2017. 10. 31. | $107.16 | 9.39% | 2,575.26 | 2.22% | |
| 10. | 2017. 11. 30. | $109.31 | 2.01% | 2,647.58 | 2.81% | |
| 11. | 2017. 12. 31. | $126.25 | 15.50% | 2,673.61 | 0.98% | |
| 12. | 2018. 1. 31. | $125.50 | -0.59% | 2,823.81 | 5.62% | |
| 13. | 2018. 2. 28. | $124.64 | -0.69% | 2,713.83 | -3.89% | |
| 14. | 2018. 3. 31. | $126.52 | 1.51% | 2,640.87 | -2.69% | |
| 15. | 2018. 4. 30. | $128.45 | 1.53% | 2,648.05 | 0.27% | |
| 16. | 2018. 5. 31. | $120.76 | $0.125 | -5.89% | 2,705.27 | 2.16% |
| 17. | 2018. 6. 30. | $131.57 | 8.95% | 2,718.37 | 0.48% | |
| 18. | 2018. 7. 31. | $131.95 | 0.29% | 2,816.29 | 3.60% | |
| 19. | 2018. 8. 31. | $121.08 | $0.125 | -8.14% | 2,901.52 | 3.03% |
| 20. | 2018. 9. 30. | $135.19 | 11.65% | 2,913.98 | 0.43% | |
| 21. | 2018. 10. 31. | $112.36 | -16.89% | 2,711.74 | -6.94% | |
| 22. | 2018. 11. 30. | $110.38 | $0.125 | -1.65% | 2,760.17 | 1.79% |
| 23. | 2018. 12. 31. | $92.70 | -16.02% | 2,506.85 | -9.18% | |
| 24. | 2019. 1. 31. | $103.12 | 11.24% | 2,704.10 | 7.87% | |
| 25. | 2019. 2. 28. | $102.93 | $0.125 | -0.06% | 2,784.49 | 2.97% |
| 26. | 2019. 3. 31. | $101.53 | -1.36% | 2,834.40 | 1.79% | |
| 27. | 2019. 4. 30. | $106.39 | 4.79% | 2,945.83 | 3.93% | |
| 28. | 2019. 5. 31. | $98.06 | $0.1875 | -7.65% | 2,752.06 | -6.58% |
| 29. | 2019. 6. 30. | $108.97 | 11.13% | 2,941.76 | 6.89% | |
| 30. | 2019. 7. 31. | $103.43 | -5.08% | 2,980.38 | 1.31% | |
| 31. | 2019. 8. 31. | $98.08 | $0.1875 | -4.99% | 2,926.46 | -1.81% |
| 32. | 2019. 9. 30. | $89.91 | -8.33% | 2,976.74 | 1.72% | |
| 33. | 2019. 10. 31. | $85.76 | -4.62% | 3,037.56 | 2.04% | |
| 34. | 2019. 11. 30. | $77.34 | $0.1875 | -9.60% | 3,140.98 | 3.40% |
| 35. | 2019. 12. 31. | $92.86 | 20.07% | 3,230.78 | 2.86% | |
| 36. | 2020. 1. 31. | $74.40 | -19.88% | 3,225.52 | -0.16% | |
| 37. | 2020. 2. 29. | $62.00 | -16.67% | 2,954.22 | -8.41% | |
| 38. | 2020. 3. 31. | $26.20 | $0.375 | -57.14% | 2,584.59 | -12.51% |
| 39. | 2020. 4. 30. | $43.54 | 66.18% | 2,912.43 | 12.68% | |
| 40. | 2020. 5. 31. | $42.58 | $0.375 | -1.34% | 3,044.31 | 4.53% |
| 41. | 2020. 6. 30. | $41.82 | -1.78% | 3,100.29 | 1.84% | |
| 42. | 2020. 7. 31. | $39.86 | -4.69% | 3,271.12 | 5.51% | |
| 43. | 2020. 8. 31. | $38.96 | $0.375 | -1.32% | 3,500.31 | 7.01% |
| 44. | 2020. 9. 30. | $30.12 | -22.69% | 3,363.00 | -3.92% | |
| 45. | 2020. 10. 31. | $25.96 | -13.81% | 3,269.96 | -2.77% | |
| 46. | 2020. 11. 30. | $39.96 | $0.375 | 55.37% | 3,621.63 | 10.75% |
| 47. | 2020. 12. 31. | $48.40 | 21.12% | 3,756.07 | 3.71% | |
| 48. | 2021. 1. 31. | $56.69 | 17.13% | 3,714.24 | -1.11% | |
| 49. | 2021. 2. 28. | $69.28 | 22.21% | 3,811.15 | 2.61% | |
| 50. | 2021. 3. 31. | $73.49 | $0.40 | 6.65% | 3,972.89 | 4.24% |
| 51. | 2021. 4. 30. | $81.73 | 11.21% | 4,181.17 | 5.24% | |
| 52. | 2021. 5. 31. | $80.07 | $0.40 | -1.54% | 4,204.11 | 0.55% |
| 53. | 2021. 6. 30. | $93.89 | 17.26% | 4,297.50 | 2.22% | |
| 54. | 2021. 7. 31. | $77.13 | -17.85% | 4,395.26 | 2.27% | |
| 55. | 2021. 8. 31. | $77.14 | $0.45 | 0.60% | 4,522.68 | 2.90% |
| 56. | 2021. 9. 30. | $94.67 | 22.72% | 4,307.54 | -4.76% | |
| 57. | 2021. 10. 31. | $107.19 | 13.22% | 4,605.38 | 6.91% | |
| 58. | 2021. 11. 30. | $106.73 | $0.50 | 0.04% | 4,567.00 | -0.83% |
| 59. | 2021. 12. 31. | $107.85 | 1.05% | 4,766.18 | 4.36% | |
| 평균의 (R): | 1.64% | 1.36% | ||||
| 표준 편차: | 17.17% | 4.48% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 FANG의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Diamondback Energy Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RFANG,t | RS&P 500,t | (RFANG,t–RFANG)2 | (RS&P 500,t–RS&P 500)2 | (RFANG,t–RFANG)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 2. 28. | -4.10% | 3.72% | 32.92 | 5.58 | -13.55 |
| 2. | 2017. 3. 31. | 2.84% | -0.04% | 1.43 | 1.95 | -1.67 |
| 3. | 2017. 4. 30. | -3.74% | 0.91% | 28.95 | 0.20 | 2.41 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2021. 11. 30. | 0.04% | -0.83% | 2.57 | 4.80 | 3.51 |
| 59. | 2021. 12. 31. | 1.05% | 4.36% | 0.35 | 9.02 | -1.77 |
| 합계 (Σ): | 17,104.37 | 1,164.17 | 2,943.55 | |||
| t | 날짜 | RFANG,t | RS&P 500,t | (RFANG,t–RFANG)2 | (RS&P 500,t–RS&P 500)2 | (RFANG,t–RFANG)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 2. 28. | -4.10% | 3.72% | 32.92 | 5.58 | -13.55 |
| 2. | 2017. 3. 31. | 2.84% | -0.04% | 1.43 | 1.95 | -1.67 |
| 3. | 2017. 4. 30. | -3.74% | 0.91% | 28.95 | 0.20 | 2.41 |
| 4. | 2017. 5. 31. | -7.09% | 1.16% | 76.23 | 0.04 | 1.75 |
| 5. | 2017. 6. 30. | -4.26% | 0.48% | 34.79 | 0.77 | 5.17 |
| 6. | 2017. 7. 31. | 7.96% | 1.93% | 39.96 | 0.33 | 3.65 |
| 7. | 2017. 8. 31. | -5.31% | 0.05% | 48.28 | 1.70 | 9.06 |
| 8. | 2017. 9. 30. | 7.90% | 1.93% | 39.16 | 0.33 | 3.58 |
| 9. | 2017. 10. 31. | 9.39% | 2.22% | 60.09 | 0.74 | 6.67 |
| 10. | 2017. 11. 30. | 2.01% | 2.81% | 0.13 | 2.10 | 0.53 |
| 11. | 2017. 12. 31. | 15.50% | 0.98% | 192.03 | 0.14 | -5.19 |
| 12. | 2018. 1. 31. | -0.59% | 5.62% | 4.99 | 18.15 | -9.52 |
| 13. | 2018. 2. 28. | -0.69% | -3.89% | 5.41 | 27.59 | 12.21 |
| 14. | 2018. 3. 31. | 1.51% | -2.69% | 0.02 | 16.37 | 0.53 |
| 15. | 2018. 4. 30. | 1.53% | 0.27% | 0.01 | 1.18 | 0.12 |
| 16. | 2018. 5. 31. | -5.89% | 2.16% | 56.69 | 0.64 | -6.05 |
| 17. | 2018. 6. 30. | 8.95% | 0.48% | 53.47 | 0.76 | -6.39 |
| 18. | 2018. 7. 31. | 0.29% | 3.60% | 1.82 | 5.04 | -3.03 |
| 19. | 2018. 8. 31. | -8.14% | 3.03% | 95.70 | 2.78 | -16.32 |
| 20. | 2018. 9. 30. | 11.65% | 0.43% | 100.28 | 0.86 | -9.30 |
| 21. | 2018. 10. 31. | -16.89% | -6.94% | 343.25 | 68.86 | 153.74 |
| 22. | 2018. 11. 30. | -1.65% | 1.79% | 10.83 | 0.18 | -1.41 |
| 23. | 2018. 12. 31. | -16.02% | -9.18% | 311.77 | 111.00 | 186.03 |
| 24. | 2019. 1. 31. | 11.24% | 7.87% | 92.18 | 42.39 | 62.51 |
| 25. | 2019. 2. 28. | -0.06% | 2.97% | 2.90 | 2.61 | -2.75 |
| 26. | 2019. 3. 31. | -1.36% | 1.79% | 9.00 | 0.19 | -1.30 |
| 27. | 2019. 4. 30. | 4.79% | 3.93% | 9.90 | 6.62 | 8.10 |
| 28. | 2019. 5. 31. | -7.65% | -6.58% | 86.36 | 62.97 | 73.75 |
| 29. | 2019. 6. 30. | 11.13% | 6.89% | 89.99 | 30.64 | 52.51 |
| 30. | 2019. 7. 31. | -5.08% | 1.31% | 45.21 | 0.00 | 0.30 |
| 31. | 2019. 8. 31. | -4.99% | -1.81% | 43.97 | 10.03 | 21.00 |
| 32. | 2019. 9. 30. | -8.33% | 1.72% | 99.39 | 0.13 | -3.59 |
| 33. | 2019. 10. 31. | -4.62% | 2.04% | 39.13 | 0.47 | -4.29 |
| 34. | 2019. 11. 30. | -9.60% | 3.40% | 126.32 | 4.19 | -23.00 |
| 35. | 2019. 12. 31. | 20.07% | 2.86% | 339.58 | 2.25 | 27.66 |
| 36. | 2020. 1. 31. | -19.88% | -0.16% | 463.07 | 2.31 | 32.72 |
| 37. | 2020. 2. 29. | -16.67% | -8.41% | 335.12 | 95.43 | 178.83 |
| 38. | 2020. 3. 31. | -57.14% | -12.51% | 3,454.71 | 192.37 | 815.22 |
| 39. | 2020. 4. 30. | 66.18% | 12.68% | 4,165.87 | 128.29 | 731.05 |
| 40. | 2020. 5. 31. | -1.34% | 4.53% | 8.90 | 10.05 | -9.46 |
| 41. | 2020. 6. 30. | -1.78% | 1.84% | 11.73 | 0.23 | -1.65 |
| 42. | 2020. 7. 31. | -4.69% | 5.51% | 40.02 | 17.24 | -26.27 |
| 43. | 2020. 8. 31. | -1.32% | 7.01% | 8.74 | 31.91 | -16.70 |
| 44. | 2020. 9. 30. | -22.69% | -3.92% | 591.93 | 27.89 | 128.48 |
| 45. | 2020. 10. 31. | -13.81% | -2.77% | 238.74 | 17.01 | 63.73 |
| 46. | 2020. 11. 30. | 55.37% | 10.75% | 2,887.34 | 88.30 | 504.92 |
| 47. | 2020. 12. 31. | 21.12% | 3.71% | 379.53 | 5.54 | 45.86 |
| 48. | 2021. 1. 31. | 17.13% | -1.11% | 239.89 | 6.11 | -38.28 |
| 49. | 2021. 2. 28. | 22.21% | 2.61% | 423.08 | 1.57 | 25.74 |
| 50. | 2021. 3. 31. | 6.65% | 4.24% | 25.15 | 8.33 | 14.47 |
| 51. | 2021. 4. 30. | 11.21% | 5.24% | 91.64 | 15.09 | 37.19 |
| 52. | 2021. 5. 31. | -1.54% | 0.55% | 10.12 | 0.65 | 2.57 |
| 53. | 2021. 6. 30. | 17.26% | 2.22% | 243.99 | 0.75 | 13.49 |
| 54. | 2021. 7. 31. | -17.85% | 2.27% | 379.87 | 0.84 | -17.87 |
| 55. | 2021. 8. 31. | 0.60% | 2.90% | 1.09 | 2.38 | -1.61 |
| 56. | 2021. 9. 30. | 22.72% | -4.76% | 444.59 | 37.39 | -128.93 |
| 57. | 2021. 10. 31. | 13.22% | 6.91% | 134.22 | 30.87 | 64.37 |
| 58. | 2021. 11. 30. | 0.04% | -0.83% | 2.57 | 4.80 | 3.51 |
| 59. | 2021. 12. 31. | 1.05% | 4.36% | 0.35 | 9.02 | -1.77 |
| 합계 (Σ): | 17,104.37 | 1,164.17 | 2,943.55 | |||
모두 보기
분산FANG = Σ(RFANG,t–RFANG)2 ÷ (59 – 1)
= 17,104.37 ÷ (59 – 1)
= 294.90
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,164.17 ÷ (59 – 1)
= 20.07
공분산FANG, S&P 500 = Σ(RFANG,t–RFANG)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 2,943.55 ÷ (59 – 1)
= 50.75
체계적인 위험 추정 (β)
| 분산FANG | 294.90 |
| 분산S&P 500 | 20.07 |
| 공분산FANG, S&P 500 | 50.75 |
| 상관 계수FANG, S&P 5001 | 0.66 |
| βFANG2 | 2.53 |
| αFANG3 | -1.79% |
계산
1 상관 계수FANG, S&P 500
= 공분산FANG, S&P 500 ÷ (표준 편차FANG × 표준 편차S&P 500)
= 50.75 ÷ (17.17% × 4.48%)
= 0.66
2 βFANG
= 공분산FANG, S&P 500 ÷ 분산S&P 500
= 50.75 ÷ 20.07
= 2.53
3 αFANG
= 평균의FANG – βFANG × 평균의S&P 500
= 1.64% – 2.53 × 1.36%
= -1.79%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.91% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.84% |
| 보통주의 체계적 위험 Diamondback | βFANG | 2.53 |
| Diamondback 보통주의 예상 수익률3 | E(RFANG) | 30.01% |
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(RFANG) = RF + βFANG [E(RM) – RF]
= 4.91% + 2.53 [14.84% – 4.91%]
= 30.01%