자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Gilead보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Gilead Sciences Inc., 월별 수익률
| Gilead Sciences Inc. (GILD) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값GILD,t1 | 피제수GILD,t1 | RGILD,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2021. 1. 31. | $65.60 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $61.40 | -6.40% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $64.63 | $0.71 | 6.42% | 3,972.89 | 4.24% |
| 3. | 2021. 4. 30. | $63.47 | -1.79% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | $125.84 | 5.05% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $122.74 | $0.79 | -1.84% | 6,845.50 | -0.05% |
| 평균의 (R): | 1.60% | 1.14% | ||||
| 표준 편차: | 6.57% | 4.37% | ||||
| Gilead Sciences Inc. (GILD) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값GILD,t1 | 피제수GILD,t1 | RGILD,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2021. 1. 31. | $65.60 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $61.40 | -6.40% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $64.63 | $0.71 | 6.42% | 3,972.89 | 4.24% |
| 3. | 2021. 4. 30. | $63.47 | -1.79% | 4,181.17 | 5.24% | |
| 4. | 2021. 5. 31. | $66.11 | 4.16% | 4,204.11 | 0.55% | |
| 5. | 2021. 6. 30. | $68.86 | $0.71 | 5.23% | 4,297.50 | 2.22% |
| 6. | 2021. 7. 31. | $68.29 | -0.83% | 4,395.26 | 2.27% | |
| 7. | 2021. 8. 31. | $72.78 | 6.57% | 4,522.68 | 2.90% | |
| 8. | 2021. 9. 30. | $69.85 | $0.71 | -3.05% | 4,307.54 | -4.76% |
| 9. | 2021. 10. 31. | $64.88 | -7.12% | 4,605.38 | 6.91% | |
| 10. | 2021. 11. 30. | $68.93 | 6.24% | 4,567.00 | -0.83% | |
| 11. | 2021. 12. 31. | $72.61 | $0.71 | 6.37% | 4,766.18 | 4.36% |
| 12. | 2022. 1. 31. | $68.68 | -5.41% | 4,515.55 | -5.26% | |
| 13. | 2022. 2. 28. | $60.40 | -12.06% | 4,373.94 | -3.14% | |
| 14. | 2022. 3. 31. | $59.45 | $0.73 | -0.36% | 4,530.41 | 3.58% |
| 15. | 2022. 4. 30. | $59.34 | -0.19% | 4,131.93 | -8.80% | |
| 16. | 2022. 5. 31. | $64.85 | 9.29% | 4,132.15 | 0.01% | |
| 17. | 2022. 6. 30. | $61.81 | $0.73 | -3.56% | 3,785.38 | -8.39% |
| 18. | 2022. 7. 31. | $59.75 | -3.33% | 4,130.29 | 9.11% | |
| 19. | 2022. 8. 31. | $63.47 | 6.23% | 3,955.00 | -4.24% | |
| 20. | 2022. 9. 30. | $61.69 | $0.73 | -1.65% | 3,585.62 | -9.34% |
| 21. | 2022. 10. 31. | $78.46 | 27.18% | 3,871.98 | 7.99% | |
| 22. | 2022. 11. 30. | $87.83 | 11.94% | 4,080.11 | 5.38% | |
| 23. | 2022. 12. 31. | $85.85 | $0.73 | -1.42% | 3,839.50 | -5.90% |
| 24. | 2023. 1. 31. | $83.94 | -2.22% | 4,076.60 | 6.18% | |
| 25. | 2023. 2. 28. | $80.53 | -4.06% | 3,970.15 | -2.61% | |
| 26. | 2023. 3. 31. | $82.97 | $0.75 | 3.96% | 4,109.31 | 3.51% |
| 27. | 2023. 4. 30. | $82.21 | -0.92% | 4,169.48 | 1.46% | |
| 28. | 2023. 5. 31. | $76.94 | -6.41% | 4,179.83 | 0.25% | |
| 29. | 2023. 6. 30. | $77.07 | $0.75 | 1.14% | 4,376.86 | 4.71% |
| 30. | 2023. 7. 31. | $76.14 | -1.21% | 4,588.96 | 4.85% | |
| 31. | 2023. 8. 31. | $76.48 | 0.45% | 4,507.66 | -1.77% | |
| 32. | 2023. 9. 30. | $74.94 | $0.75 | -1.03% | 4,288.05 | -4.87% |
| 33. | 2023. 10. 31. | $78.54 | 4.80% | 4,193.80 | -2.20% | |
| 34. | 2023. 11. 30. | $76.60 | -2.47% | 4,567.80 | 8.92% | |
| 35. | 2023. 12. 31. | $81.01 | $0.75 | 6.74% | 4,769.83 | 4.42% |
| 36. | 2024. 1. 31. | $78.26 | -3.39% | 4,845.65 | 1.59% | |
| 37. | 2024. 2. 29. | $72.10 | -7.87% | 5,096.27 | 5.17% | |
| 38. | 2024. 3. 31. | $73.25 | $0.77 | 2.66% | 5,254.35 | 3.10% |
| 39. | 2024. 4. 30. | $65.20 | -10.99% | 5,035.69 | -4.16% | |
| 40. | 2024. 5. 31. | $64.27 | -1.43% | 5,277.51 | 4.80% | |
| 41. | 2024. 6. 30. | $68.61 | $0.77 | 7.95% | 5,460.48 | 3.47% |
| 42. | 2024. 7. 31. | $76.06 | 10.86% | 5,522.30 | 1.13% | |
| 43. | 2024. 8. 31. | $79.00 | 3.87% | 5,648.40 | 2.28% | |
| 44. | 2024. 9. 30. | $83.84 | $0.77 | 7.10% | 5,762.48 | 2.02% |
| 45. | 2024. 10. 31. | $88.82 | 5.94% | 5,705.45 | -0.99% | |
| 46. | 2024. 11. 30. | $92.58 | 4.23% | 6,032.38 | 5.73% | |
| 47. | 2024. 12. 31. | $92.37 | $0.77 | 0.60% | 5,881.63 | -2.50% |
| 48. | 2025. 1. 31. | $97.20 | 5.23% | 6,040.53 | 2.70% | |
| 49. | 2025. 2. 28. | $114.31 | 17.60% | 5,954.50 | -1.42% | |
| 50. | 2025. 3. 31. | $112.05 | $0.79 | -1.29% | 5,611.85 | -5.75% |
| 51. | 2025. 4. 30. | $106.54 | -4.92% | 5,569.06 | -0.76% | |
| 52. | 2025. 5. 31. | $110.08 | 3.32% | 5,911.69 | 6.15% | |
| 53. | 2025. 6. 30. | $110.87 | $0.79 | 1.44% | 6,204.95 | 4.96% |
| 54. | 2025. 7. 31. | $112.29 | 1.28% | 6,339.39 | 2.17% | |
| 55. | 2025. 8. 31. | $112.97 | 0.61% | 6,460.26 | 1.91% | |
| 56. | 2025. 9. 30. | $111.00 | $0.79 | -1.04% | 6,688.46 | 3.53% |
| 57. | 2025. 10. 31. | $119.79 | 7.92% | 6,840.20 | 2.27% | |
| 58. | 2025. 11. 30. | $125.84 | 5.05% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $122.74 | $0.79 | -1.84% | 6,845.50 | -0.05% |
| 평균의 (R): | 1.60% | 1.14% | ||||
| 표준 편차: | 6.57% | 4.37% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 GILD의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Gilead Sciences Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RGILD,t | RS&P 500,t | (RGILD,t–RGILD)2 | (RS&P 500,t–RS&P 500)2 | (RGILD,t–RGILD)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 2. 28. | -6.40% | 2.61% | 63.96 | 2.17 | -11.78 |
| 2. | 2021. 3. 31. | 6.42% | 4.24% | 23.25 | 9.66 | 14.98 |
| 3. | 2021. 4. 30. | -1.79% | 5.24% | 11.49 | 16.86 | -13.92 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | 5.05% | 0.13% | 11.94 | 1.01 | -3.48 |
| 59. | 2025. 12. 31. | -1.84% | -0.05% | 11.77 | 1.41 | 4.08 |
| 합계 (Σ): | 2,505.20 | 1,108.23 | 394.52 | |||
| t | 날짜 | RGILD,t | RS&P 500,t | (RGILD,t–RGILD)2 | (RS&P 500,t–RS&P 500)2 | (RGILD,t–RGILD)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 2. 28. | -6.40% | 2.61% | 63.96 | 2.17 | -11.78 |
| 2. | 2021. 3. 31. | 6.42% | 4.24% | 23.25 | 9.66 | 14.98 |
| 3. | 2021. 4. 30. | -1.79% | 5.24% | 11.49 | 16.86 | -13.92 |
| 4. | 2021. 5. 31. | 4.16% | 0.55% | 6.58 | 0.35 | -1.51 |
| 5. | 2021. 6. 30. | 5.23% | 2.22% | 13.24 | 1.18 | 3.95 |
| 6. | 2021. 7. 31. | -0.83% | 2.27% | 5.87 | 1.30 | -2.76 |
| 7. | 2021. 8. 31. | 6.57% | 2.90% | 24.80 | 3.11 | 8.78 |
| 8. | 2021. 9. 30. | -3.05% | -4.76% | 21.58 | 34.73 | 27.38 |
| 9. | 2021. 10. 31. | -7.12% | 6.91% | 75.87 | 33.39 | -50.33 |
| 10. | 2021. 11. 30. | 6.24% | -0.83% | 21.60 | 3.88 | -9.15 |
| 11. | 2021. 12. 31. | 6.37% | 4.36% | 22.79 | 10.40 | 15.40 |
| 12. | 2022. 1. 31. | -5.41% | -5.26% | 49.11 | 40.89 | 44.81 |
| 13. | 2022. 2. 28. | -12.06% | -3.14% | 186.35 | 18.25 | 58.32 |
| 14. | 2022. 3. 31. | -0.36% | 3.58% | 3.84 | 5.96 | -4.78 |
| 15. | 2022. 4. 30. | -0.19% | -8.80% | 3.17 | 98.64 | 17.68 |
| 16. | 2022. 5. 31. | 9.29% | 0.01% | 59.14 | 1.28 | -8.70 |
| 17. | 2022. 6. 30. | -3.56% | -8.39% | 26.60 | 90.79 | 49.14 |
| 18. | 2022. 7. 31. | -3.33% | 9.11% | 24.29 | 63.61 | -39.30 |
| 19. | 2022. 8. 31. | 6.23% | -4.24% | 21.44 | 28.95 | -24.91 |
| 20. | 2022. 9. 30. | -1.65% | -9.34% | 10.56 | 109.74 | 34.04 |
| 21. | 2022. 10. 31. | 27.18% | 7.99% | 654.80 | 46.93 | 175.29 |
| 22. | 2022. 11. 30. | 11.94% | 5.38% | 107.06 | 17.97 | 43.86 |
| 23. | 2022. 12. 31. | -1.42% | -5.90% | 9.11 | 49.47 | 21.23 |
| 24. | 2023. 1. 31. | -2.22% | 6.18% | 14.59 | 25.39 | -19.25 |
| 25. | 2023. 2. 28. | -4.06% | -2.61% | 32.01 | 14.04 | 21.20 |
| 26. | 2023. 3. 31. | 3.96% | 3.51% | 5.60 | 5.61 | 5.61 |
| 27. | 2023. 4. 30. | -0.92% | 1.46% | 6.31 | 0.11 | -0.82 |
| 28. | 2023. 5. 31. | -6.41% | 0.25% | 64.09 | 0.79 | 7.11 |
| 29. | 2023. 6. 30. | 1.14% | 4.71% | 0.20 | 12.80 | -1.62 |
| 30. | 2023. 7. 31. | -1.21% | 4.85% | 7.85 | 13.76 | -10.39 |
| 31. | 2023. 8. 31. | 0.45% | -1.77% | 1.32 | 8.46 | 3.34 |
| 32. | 2023. 9. 30. | -1.03% | -4.87% | 6.91 | 36.10 | 15.79 |
| 33. | 2023. 10. 31. | 4.80% | -2.20% | 10.30 | 11.12 | -10.70 |
| 34. | 2023. 11. 30. | -2.47% | 8.92% | 16.53 | 60.56 | -31.64 |
| 35. | 2023. 12. 31. | 6.74% | 4.42% | 26.43 | 10.80 | 16.90 |
| 36. | 2024. 1. 31. | -3.39% | 1.59% | 24.90 | 0.21 | -2.26 |
| 37. | 2024. 2. 29. | -7.87% | 5.17% | 89.61 | 16.29 | -38.21 |
| 38. | 2024. 3. 31. | 2.66% | 3.10% | 1.14 | 3.86 | 2.10 |
| 39. | 2024. 4. 30. | -10.99% | -4.16% | 158.38 | 28.06 | 66.67 |
| 40. | 2024. 5. 31. | -1.43% | 4.80% | 9.13 | 13.44 | -11.08 |
| 41. | 2024. 6. 30. | 7.95% | 3.47% | 40.39 | 5.43 | 14.81 |
| 42. | 2024. 7. 31. | 10.86% | 1.13% | 85.81 | 0.00 | -0.04 |
| 43. | 2024. 8. 31. | 3.87% | 2.28% | 5.15 | 1.32 | 2.60 |
| 44. | 2024. 9. 30. | 7.10% | 2.02% | 30.32 | 0.78 | 4.86 |
| 45. | 2024. 10. 31. | 5.94% | -0.99% | 18.88 | 4.52 | -9.24 |
| 46. | 2024. 11. 30. | 4.23% | 5.73% | 6.96 | 21.10 | 12.12 |
| 47. | 2024. 12. 31. | 0.60% | -2.50% | 0.98 | 13.21 | 3.60 |
| 48. | 2025. 1. 31. | 5.23% | 2.70% | 13.20 | 2.45 | 5.69 |
| 49. | 2025. 2. 28. | 17.60% | -1.42% | 256.24 | 6.56 | -40.99 |
| 50. | 2025. 3. 31. | -1.29% | -5.75% | 8.30 | 47.48 | 19.85 |
| 51. | 2025. 4. 30. | -4.92% | -0.76% | 42.42 | 3.60 | 12.37 |
| 52. | 2025. 5. 31. | 3.32% | 6.15% | 2.98 | 25.16 | 8.67 |
| 53. | 2025. 6. 30. | 1.44% | 4.96% | 0.03 | 14.63 | -0.61 |
| 54. | 2025. 7. 31. | 1.28% | 2.17% | 0.10 | 1.06 | -0.32 |
| 55. | 2025. 8. 31. | 0.61% | 1.91% | 0.98 | 0.59 | -0.76 |
| 56. | 2025. 9. 30. | -1.04% | 3.53% | 6.97 | 5.74 | -6.33 |
| 57. | 2025. 10. 31. | 7.92% | 2.27% | 39.99 | 1.28 | 7.16 |
| 58. | 2025. 11. 30. | 5.05% | 0.13% | 11.94 | 1.01 | -3.48 |
| 59. | 2025. 12. 31. | -1.84% | -0.05% | 11.77 | 1.41 | 4.08 |
| 합계 (Σ): | 2,505.20 | 1,108.23 | 394.52 | |||
모두 보기
분산GILD = Σ(RGILD,t–RGILD)2 ÷ (59 – 1)
= 2,505.20 ÷ (59 – 1)
= 43.19
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
공분산GILD, S&P 500 = Σ(RGILD,t–RGILD)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 394.52 ÷ (59 – 1)
= 6.80
체계적인 위험 추정 (β)
| 분산GILD | 43.19 |
| 분산S&P 500 | 19.11 |
| 공분산GILD, S&P 500 | 6.80 |
| 상관 계수GILD, S&P 5001 | 0.24 |
| βGILD2 | 0.36 |
| αGILD3 | 1.19% |
계산
1 상관 계수GILD, S&P 500
= 공분산GILD, S&P 500 ÷ (표준 편차GILD × 표준 편차S&P 500)
= 6.80 ÷ (6.57% × 4.37%)
= 0.24
2 βGILD
= 공분산GILD, S&P 500 ÷ 분산S&P 500
= 6.80 ÷ 19.11
= 0.36
3 αGILD
= 평균의GILD – βGILD × 평균의S&P 500
= 1.60% – 0.36 × 1.14%
= 1.19%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.54% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.37% |
| 보통주의 체계적 위험Gilead | βGILD | 0.36 |
| 길리어드 보통주에 대한 기대 수익률3 | E(RGILD) | 9.11% |
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(RGILD) = RF + βGILD [E(RM) – RF]
= 4.54% + 0.36 [17.37% – 4.54%]
= 9.11%