Stock Analysis on Net

Gilead Sciences Inc. (NASDAQ:GILD)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

수익률

Gilead Sciences Inc., 월별 수익률

Microsoft Excel
Gilead Sciences Inc. (GILD) Standard & Poor’s 500 (S&P 500)
t 날짜 GILD,t1 피제수GILD,t1 RGILD,t2 S&P 500,t RS&P 500,t3
2019. 1. 31. $70.01 2,704.10
1. 2019. 2. 28. $65.02 -7.13% 2,784.49 2.97%
2. 2019. 3. 31. $65.01 $0.63 0.95% 2,834.40 1.79%
3. 2019. 4. 30. $65.04 0.05% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023. 11. 30. $76.60 -2.47% 4,567.80 8.92%
59. 2023. 12. 31. $81.01 $0.75 6.74% 4,769.83 4.42%
평균의 (R): 0.80% 1.11%
표준 편차: 6.72% 5.31%
Gilead Sciences Inc. (GILD) Standard & Poor’s 500 (S&P 500)
t 날짜 GILD,t1 피제수GILD,t1 RGILD,t2 S&P 500,t RS&P 500,t3
2019. 1. 31. $70.01 2,704.10
1. 2019. 2. 28. $65.02 -7.13% 2,784.49 2.97%
2. 2019. 3. 31. $65.01 $0.63 0.95% 2,834.40 1.79%
3. 2019. 4. 30. $65.04 0.05% 2,945.83 3.93%
4. 2019. 5. 31. $62.25 -4.29% 2,752.06 -6.58%
5. 2019. 6. 30. $67.56 $0.63 9.54% 2,941.76 6.89%
6. 2019. 7. 31. $65.52 -3.02% 2,980.38 1.31%
7. 2019. 8. 31. $63.54 -3.02% 2,926.46 -1.81%
8. 2019. 9. 30. $63.38 $0.63 0.74% 2,976.74 1.72%
9. 2019. 10. 31. $63.71 0.52% 3,037.56 2.04%
10. 2019. 11. 30. $67.24 5.54% 3,140.98 3.40%
11. 2019. 12. 31. $64.98 $0.63 -2.42% 3,230.78 2.86%
12. 2020. 1. 31. $63.20 -2.74% 3,225.52 -0.16%
13. 2020. 2. 29. $69.36 9.75% 2,954.22 -8.41%
14. 2020. 3. 31. $74.76 $0.68 8.77% 2,584.59 -12.51%
15. 2020. 4. 30. $84.00 12.36% 2,912.43 12.68%
16. 2020. 5. 31. $77.83 -7.35% 3,044.31 4.53%
17. 2020. 6. 30. $76.94 $0.68 -0.27% 3,100.29 1.84%
18. 2020. 7. 31. $69.53 -9.63% 3,271.12 5.51%
19. 2020. 8. 31. $66.75 -4.00% 3,500.31 7.01%
20. 2020. 9. 30. $63.19 $0.68 -4.31% 3,363.00 -3.92%
21. 2020. 10. 31. $58.15 -7.98% 3,269.96 -2.77%
22. 2020. 11. 30. $60.67 4.33% 3,621.63 10.75%
23. 2020. 12. 31. $58.26 $0.68 -2.85% 3,756.07 3.71%
24. 2021. 1. 31. $65.60 12.60% 3,714.24 -1.11%
25. 2021. 2. 28. $61.40 -6.40% 3,811.15 2.61%
26. 2021. 3. 31. $64.63 $0.71 6.42% 3,972.89 4.24%
27. 2021. 4. 30. $63.47 -1.79% 4,181.17 5.24%
28. 2021. 5. 31. $66.11 4.16% 4,204.11 0.55%
29. 2021. 6. 30. $68.86 $0.71 5.23% 4,297.50 2.22%
30. 2021. 7. 31. $68.29 -0.83% 4,395.26 2.27%
31. 2021. 8. 31. $72.78 6.57% 4,522.68 2.90%
32. 2021. 9. 30. $69.85 $0.71 -3.05% 4,307.54 -4.76%
33. 2021. 10. 31. $64.88 -7.12% 4,605.38 6.91%
34. 2021. 11. 30. $68.93 6.24% 4,567.00 -0.83%
35. 2021. 12. 31. $72.61 $0.71 6.37% 4,766.18 4.36%
36. 2022. 1. 31. $68.68 -5.41% 4,515.55 -5.26%
37. 2022. 2. 28. $60.40 -12.06% 4,373.94 -3.14%
38. 2022. 3. 31. $59.45 $0.73 -0.36% 4,530.41 3.58%
39. 2022. 4. 30. $59.34 -0.19% 4,131.93 -8.80%
40. 2022. 5. 31. $64.85 9.29% 4,132.15 0.01%
41. 2022. 6. 30. $61.81 $0.73 -3.56% 3,785.38 -8.39%
42. 2022. 7. 31. $59.75 -3.33% 4,130.29 9.11%
43. 2022. 8. 31. $63.47 6.23% 3,955.00 -4.24%
44. 2022. 9. 30. $61.69 $0.73 -1.65% 3,585.62 -9.34%
45. 2022. 10. 31. $78.46 27.18% 3,871.98 7.99%
46. 2022. 11. 30. $87.83 11.94% 4,080.11 5.38%
47. 2022. 12. 31. $85.85 $0.73 -1.42% 3,839.50 -5.90%
48. 2023. 1. 31. $83.94 -2.22% 4,076.60 6.18%
49. 2023. 2. 28. $80.53 -4.06% 3,970.15 -2.61%
50. 2023. 3. 31. $82.97 $0.75 3.96% 4,109.31 3.51%
51. 2023. 4. 30. $82.21 -0.92% 4,169.48 1.46%
52. 2023. 5. 31. $76.94 -6.41% 4,179.83 0.25%
53. 2023. 6. 30. $77.07 $0.75 1.14% 4,376.86 4.71%
54. 2023. 7. 31. $76.14 -1.21% 4,588.96 4.85%
55. 2023. 8. 31. $76.48 0.45% 4,507.66 -1.77%
56. 2023. 9. 30. $74.94 $0.75 -1.03% 4,288.05 -4.87%
57. 2023. 10. 31. $78.54 4.80% 4,193.80 -2.20%
58. 2023. 11. 30. $76.60 -2.47% 4,567.80 8.92%
59. 2023. 12. 31. $81.01 $0.75 6.74% 4,769.83 4.42%
평균의 (R): 0.80% 1.11%
표준 편차: 6.72% 5.31%

모두 표시

1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.

2 기간 t 동안 GILD의 보통주에 대한 수익률.

3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.


분산과 공분산

Gilead Sciences Inc., 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RGILD,t RS&P 500,t (RGILD,tRGILD)2 (RS&P 500,tRS&P 500)2 (RGILD,tRGILD)×(RS&P 500,tRS&P 500)
1. 2019. 2. 28. -7.13% 2.97% 62.89 3.49 -14.81
2. 2019. 3. 31. 0.95% 1.79% 0.02 0.47 0.10
3. 2019. 4. 30. 0.05% 3.93% 0.57 7.98 -2.14
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023. 11. 30. -2.47% 8.92% 10.71 61.03 -25.57
59. 2023. 12. 31. 6.74% 4.42% 35.21 11.00 19.68
합계 (Σ): 2,622.61 1,634.30 323.59
t 날짜 RGILD,t RS&P 500,t (RGILD,tRGILD)2 (RS&P 500,tRS&P 500)2 (RGILD,tRGILD)×(RS&P 500,tRS&P 500)
1. 2019. 2. 28. -7.13% 2.97% 62.89 3.49 -14.81
2. 2019. 3. 31. 0.95% 1.79% 0.02 0.47 0.10
3. 2019. 4. 30. 0.05% 3.93% 0.57 7.98 -2.14
4. 2019. 5. 31. -4.29% -6.58% 25.93 59.04 39.13
5. 2019. 6. 30. 9.54% 6.89% 76.38 33.49 50.58
6. 2019. 7. 31. -3.02% 1.31% 14.61 0.04 -0.79
7. 2019. 8. 31. -3.02% -1.81% 14.63 8.50 11.15
8. 2019. 9. 30. 0.74% 1.72% 0.00 0.37 -0.04
9. 2019. 10. 31. 0.52% 2.04% 0.08 0.88 -0.26
10. 2019. 11. 30. 5.54% 3.40% 22.45 5.28 10.89
11. 2019. 12. 31. -2.42% 2.86% 10.41 3.07 -5.66
12. 2020. 1. 31. -2.74% -0.16% 12.55 1.61 4.49
13. 2020. 2. 29. 9.75% -8.41% 80.00 90.57 -85.12
14. 2020. 3. 31. 8.77% -12.51% 63.41 185.44 -108.44
15. 2020. 4. 30. 12.36% 12.68% 133.56 134.06 133.81
16. 2020. 5. 31. -7.35% 4.53% 66.39 11.71 -27.89
17. 2020. 6. 30. -0.27% 1.84% 1.15 0.54 -0.79
18. 2020. 7. 31. -9.63% 5.51% 108.86 19.40 -45.95
19. 2020. 8. 31. -4.00% 7.01% 23.05 34.82 -28.33
20. 2020. 9. 30. -4.31% -3.92% 26.19 25.29 25.73
21. 2020. 10. 31. -7.98% -2.77% 77.07 15.00 33.99
22. 2020. 11. 30. 4.33% 10.75% 12.47 93.10 34.07
23. 2020. 12. 31. -2.85% 3.71% 13.35 6.79 -9.52
24. 2021. 1. 31. 12.60% -1.11% 139.14 4.93 -26.18
25. 2021. 2. 28. -6.40% 2.61% 51.91 2.26 -10.83
26. 2021. 3. 31. 6.42% 4.24% 31.52 9.85 17.62
27. 2021. 4. 30. -1.79% 5.24% 6.75 17.11 -10.75
28. 2021. 5. 31. 4.16% 0.55% 11.27 0.31 -1.87
29. 2021. 6. 30. 5.23% 2.22% 19.63 1.24 4.94
30. 2021. 7. 31. -0.83% 2.27% 2.66 1.37 -1.91
31. 2021. 8. 31. 6.57% 2.90% 33.32 3.22 10.35
32. 2021. 9. 30. -3.05% -4.76% 14.85 34.37 22.59
33. 2021. 10. 31. -7.12% 6.91% 62.69 33.74 -45.99
34. 2021. 11. 30. 6.24% -0.83% 29.59 3.76 -10.55
35. 2021. 12. 31. 6.37% 4.36% 30.98 10.60 18.12
36. 2022. 1. 31. -5.41% -5.26% 38.63 40.51 39.56
37. 2022. 2. 28. -12.06% -3.14% 165.34 17.99 54.55
38. 2022. 3. 31. -0.36% 3.58% 1.36 6.11 -2.88
39. 2022. 4. 30. -0.19% -8.80% 0.98 98.04 9.78
40. 2022. 5. 31. 9.29% 0.01% 71.96 1.21 -9.34
41. 2022. 6. 30. -3.56% -8.39% 19.05 90.21 41.46
42. 2022. 7. 31. -3.33% 9.11% 17.10 64.09 -33.11
43. 2022. 8. 31. 6.23% -4.24% 29.41 28.62 -29.01
44. 2022. 9. 30. -1.65% -9.34% 6.04 109.11 25.66
45. 2022. 10. 31. 27.18% 7.99% 695.99 47.34 181.52
46. 2022. 11. 30. 11.94% 5.38% 124.09 18.23 47.56
47. 2022. 12. 31. -1.42% -5.90% 4.95 49.04 15.59
48. 2023. 1. 31. -2.22% 6.18% 9.17 25.70 -15.35
49. 2023. 2. 28. -4.06% -2.61% 23.67 13.82 18.08
50. 2023. 3. 31. 3.96% 3.51% 9.98 5.76 7.58
51. 2023. 4. 30. -0.92% 1.46% 2.95 0.13 -0.62
52. 2023. 5. 31. -6.41% 0.25% 52.03 0.74 6.19
53. 2023. 6. 30. 1.14% 4.71% 0.12 13.02 1.23
54. 2023. 7. 31. -1.21% 4.85% 4.04 13.99 -7.52
55. 2023. 8. 31. 0.45% -1.77% 0.13 8.28 1.02
56. 2023. 9. 30. -1.03% -4.87% 3.37 35.73 10.97
57. 2023. 10. 31. 4.80% -2.20% 16.01 10.92 -13.22
58. 2023. 11. 30. -2.47% 8.92% 10.71 61.03 -25.57
59. 2023. 12. 31. 6.74% 4.42% 35.21 11.00 19.68
합계 (Σ): 2,622.61 1,634.30 323.59

모두 표시

분산GILD = Σ(RGILD,tRGILD)2 ÷ (59 – 1)
= 2,622.61 ÷ (59 – 1)
= 45.22

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18

공분산GILD, S&P 500 = Σ(RGILD,tRGILD)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 323.59 ÷ (59 – 1)
= 5.58


체계적인 위험 추정 (β)

Microsoft Excel
분산GILD 45.22
분산S&P 500 28.18
공분산GILD, S&P 500 5.58
상관 계수GILD, S&P 5001 0.16
βGILD2 0.20
αGILD3 0.58%

계산

1 상관 계수GILD, S&P 500
= 공분산GILD, S&P 500 ÷ (표준 편차GILD × 표준 편차S&P 500)
= 5.58 ÷ (6.72% × 5.31%)
= 0.16

2 βGILD
= 공분산GILD, S&P 500 ÷ 분산S&P 500
= 5.58 ÷ 28.18
= 0.20

3 αGILD
= 평균의GILD – βGILD × 평균의S&P 500
= 0.80%0.20 × 1.11%
= 0.58%


예상 수익률

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.64%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 13.68%
보통주의 체계적 위험Gilead βGILD 0.20
 
길리어드 보통주에 대한 기대 수익률3 E(RGILD) 6.43%

1 10년 이내에 만기가 되지 않거나 콜 가능하지 않은 모든 미결제 고정 쿠폰 미국 재무부 채권에 대한 입찰 수익률의 가중 평균(무위험 수익률 프록시).

2 자세히 보기 »

3 E(RGILD) = RF + βGILD [E(RM) – RF]
= 4.64% + 0.20 [13.68%4.64%]
= 6.43%