자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Intuit보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Intuit Inc., 월별 수익률
| Intuit Inc. (INTU) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값INTU,t1 | 피제수INTU,t1 | RINTU,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 8. 31. | $288.36 | 2,926.46 | ||||
| 1. | 2019. 9. 30. | $265.94 | -7.78% | 2,976.74 | 1.72% | |
| 2. | 2019. 10. 31. | $257.50 | $0.53 | -2.97% | 3,037.56 | 2.04% |
| 3. | 2019. 11. 30. | $258.89 | 0.54% | 3,140.98 | 3.40% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 6. 30. | $787.63 | 4.53% | 6,204.95 | 4.96% | |
| 71. | 2025. 7. 31. | $785.13 | $1.04 | -0.19% | 6,339.39 | 2.17% |
| 평균의 (R): | 1.79% | 1.22% | ||||
| 표준 편차: | 8.04% | 4.97% | ||||
| Intuit Inc. (INTU) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값INTU,t1 | 피제수INTU,t1 | RINTU,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 8. 31. | $288.36 | 2,926.46 | ||||
| 1. | 2019. 9. 30. | $265.94 | -7.78% | 2,976.74 | 1.72% | |
| 2. | 2019. 10. 31. | $257.50 | $0.53 | -2.97% | 3,037.56 | 2.04% |
| 3. | 2019. 11. 30. | $258.89 | 0.54% | 3,140.98 | 3.40% | |
| 4. | 2019. 12. 31. | $261.93 | 1.17% | 3,230.78 | 2.86% | |
| 5. | 2020. 1. 31. | $280.38 | $0.53 | 7.25% | 3,225.52 | -0.16% |
| 6. | 2020. 2. 29. | $265.85 | -5.18% | 2,954.22 | -8.41% | |
| 7. | 2020. 3. 31. | $230.00 | -13.49% | 2,584.59 | -12.51% | |
| 8. | 2020. 4. 30. | $269.81 | $0.53 | 17.54% | 2,912.43 | 12.68% |
| 9. | 2020. 5. 31. | $290.32 | 7.60% | 3,044.31 | 4.53% | |
| 10. | 2020. 6. 30. | $296.19 | 2.02% | 3,100.29 | 1.84% | |
| 11. | 2020. 7. 31. | $306.37 | $0.53 | 3.62% | 3,271.12 | 5.51% |
| 12. | 2020. 8. 31. | $345.39 | 12.74% | 3,500.31 | 7.01% | |
| 13. | 2020. 9. 30. | $326.21 | -5.55% | 3,363.00 | -3.92% | |
| 14. | 2020. 10. 31. | $314.68 | $0.59 | -3.35% | 3,269.96 | -2.77% |
| 15. | 2020. 11. 30. | $352.02 | 11.87% | 3,621.63 | 10.75% | |
| 16. | 2020. 12. 31. | $379.85 | 7.91% | 3,756.07 | 3.71% | |
| 17. | 2021. 1. 31. | $361.23 | $0.59 | -4.75% | 3,714.24 | -1.11% |
| 18. | 2021. 2. 28. | $390.14 | 8.00% | 3,811.15 | 2.61% | |
| 19. | 2021. 3. 31. | $383.06 | -1.81% | 3,972.89 | 4.24% | |
| 20. | 2021. 4. 30. | $412.16 | $0.59 | 7.75% | 4,181.17 | 5.24% |
| 21. | 2021. 5. 31. | $439.09 | 6.53% | 4,204.11 | 0.55% | |
| 22. | 2021. 6. 30. | $490.17 | 11.63% | 4,297.50 | 2.22% | |
| 23. | 2021. 7. 31. | $529.97 | $0.59 | 8.24% | 4,395.26 | 2.27% |
| 24. | 2021. 8. 31. | $566.11 | 6.82% | 4,522.68 | 2.90% | |
| 25. | 2021. 9. 30. | $539.51 | -4.70% | 4,307.54 | -4.76% | |
| 26. | 2021. 10. 31. | $625.99 | $0.68 | 16.16% | 4,605.38 | 6.91% |
| 27. | 2021. 11. 30. | $652.30 | 4.20% | 4,567.00 | -0.83% | |
| 28. | 2021. 12. 31. | $643.22 | -1.39% | 4,766.18 | 4.36% | |
| 29. | 2022. 1. 31. | $555.23 | $0.68 | -13.57% | 4,515.55 | -5.26% |
| 30. | 2022. 2. 28. | $474.37 | -14.56% | 4,373.94 | -3.14% | |
| 31. | 2022. 3. 31. | $480.84 | 1.36% | 4,530.41 | 3.58% | |
| 32. | 2022. 4. 30. | $418.75 | $0.68 | -12.77% | 4,131.93 | -8.80% |
| 33. | 2022. 5. 31. | $414.46 | -1.02% | 4,132.15 | 0.01% | |
| 34. | 2022. 6. 30. | $385.44 | -7.00% | 3,785.38 | -8.39% | |
| 35. | 2022. 7. 31. | $456.17 | $0.68 | 18.53% | 4,130.29 | 9.11% |
| 36. | 2022. 8. 31. | $431.78 | -5.35% | 3,955.00 | -4.24% | |
| 37. | 2022. 9. 30. | $387.32 | -10.30% | 3,585.62 | -9.34% | |
| 38. | 2022. 10. 31. | $427.50 | $0.78 | 10.58% | 3,871.98 | 7.99% |
| 39. | 2022. 11. 30. | $407.59 | -4.66% | 4,080.11 | 5.38% | |
| 40. | 2022. 12. 31. | $389.22 | -4.51% | 3,839.50 | -5.90% | |
| 41. | 2023. 1. 31. | $422.67 | $0.78 | 8.79% | 4,076.60 | 6.18% |
| 42. | 2023. 2. 28. | $407.18 | -3.66% | 3,970.15 | -2.61% | |
| 43. | 2023. 3. 31. | $445.83 | 9.49% | 4,109.31 | 3.51% | |
| 44. | 2023. 4. 30. | $443.95 | $0.78 | -0.25% | 4,169.48 | 1.46% |
| 45. | 2023. 5. 31. | $419.12 | -5.59% | 4,179.83 | 0.25% | |
| 46. | 2023. 6. 30. | $458.19 | 9.32% | 4,376.86 | 4.71% | |
| 47. | 2023. 7. 31. | $511.70 | $0.78 | 11.85% | 4,588.96 | 4.85% |
| 48. | 2023. 8. 31. | $541.81 | 5.88% | 4,507.66 | -1.77% | |
| 49. | 2023. 9. 30. | $510.94 | -5.70% | 4,288.05 | -4.87% | |
| 50. | 2023. 10. 31. | $494.95 | $0.90 | -2.95% | 4,193.80 | -2.20% |
| 51. | 2023. 11. 30. | $571.46 | 15.46% | 4,567.80 | 8.92% | |
| 52. | 2023. 12. 31. | $625.03 | 9.37% | 4,769.83 | 4.42% | |
| 53. | 2024. 1. 31. | $631.33 | $0.90 | 1.15% | 4,845.65 | 1.59% |
| 54. | 2024. 2. 29. | $662.89 | 5.00% | 5,096.27 | 5.17% | |
| 55. | 2024. 3. 31. | $650.00 | -1.94% | 5,254.35 | 3.10% | |
| 56. | 2024. 4. 30. | $625.62 | $0.90 | -3.61% | 5,035.69 | -4.16% |
| 57. | 2024. 5. 31. | $576.44 | -7.86% | 5,277.51 | 4.80% | |
| 58. | 2024. 6. 30. | $657.21 | 14.01% | 5,460.48 | 3.47% | |
| 59. | 2024. 7. 31. | $647.35 | $0.90 | -1.36% | 5,522.30 | 1.13% |
| 60. | 2024. 8. 31. | $630.26 | -2.64% | 5,648.40 | 2.28% | |
| 61. | 2024. 9. 30. | $621.00 | -1.47% | 5,762.48 | 2.02% | |
| 62. | 2024. 10. 31. | $610.30 | $1.04 | -1.56% | 5,705.45 | -0.99% |
| 63. | 2024. 11. 30. | $641.73 | 5.15% | 6,032.38 | 5.73% | |
| 64. | 2024. 12. 31. | $628.50 | -2.06% | 5,881.63 | -2.50% | |
| 65. | 2025. 1. 31. | $601.51 | $1.04 | -4.13% | 6,040.53 | 2.70% |
| 66. | 2025. 2. 28. | $613.84 | 2.05% | 5,954.50 | -1.42% | |
| 67. | 2025. 3. 31. | $613.99 | 0.02% | 5,611.85 | -5.75% | |
| 68. | 2025. 4. 30. | $627.47 | $1.04 | 2.36% | 5,569.06 | -0.76% |
| 69. | 2025. 5. 31. | $753.47 | 20.08% | 5,911.69 | 6.15% | |
| 70. | 2025. 6. 30. | $787.63 | 4.53% | 6,204.95 | 4.96% | |
| 71. | 2025. 7. 31. | $785.13 | $1.04 | -0.19% | 6,339.39 | 2.17% |
| 평균의 (R): | 1.79% | 1.22% | ||||
| 표준 편차: | 8.04% | 4.97% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 INTU의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Intuit Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RINTU,t | RS&P 500,t | (RINTU,t–RINTU)2 | (RS&P 500,t–RS&P 500)2 | (RINTU,t–RINTU)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 9. 30. | -7.78% | 1.72% | 91.44 | 0.25 | -4.79 |
| 2. | 2019. 10. 31. | -2.97% | 2.04% | 22.67 | 0.68 | -3.93 |
| 3. | 2019. 11. 30. | 0.54% | 3.40% | 1.56 | 4.79 | -2.73 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 6. 30. | 4.53% | 4.96% | 7.54 | 14.01 | 10.28 |
| 71. | 2025. 7. 31. | -0.19% | 2.17% | 3.89 | 0.90 | -1.87 |
| 합계 (Σ): | 4,521.95 | 1,730.09 | 2,121.14 | |||
| t | 날짜 | RINTU,t | RS&P 500,t | (RINTU,t–RINTU)2 | (RS&P 500,t–RS&P 500)2 | (RINTU,t–RINTU)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 9. 30. | -7.78% | 1.72% | 91.44 | 0.25 | -4.79 |
| 2. | 2019. 10. 31. | -2.97% | 2.04% | 22.67 | 0.68 | -3.93 |
| 3. | 2019. 11. 30. | 0.54% | 3.40% | 1.56 | 4.79 | -2.73 |
| 4. | 2019. 12. 31. | 1.17% | 2.86% | 0.38 | 2.70 | -1.01 |
| 5. | 2020. 1. 31. | 7.25% | -0.16% | 29.80 | 1.90 | -7.53 |
| 6. | 2020. 2. 29. | -5.18% | -8.41% | 48.57 | 92.70 | 67.10 |
| 7. | 2020. 3. 31. | -13.49% | -12.51% | 233.24 | 188.49 | 209.67 |
| 8. | 2020. 4. 30. | 17.54% | 12.68% | 248.12 | 131.50 | 180.63 |
| 9. | 2020. 5. 31. | 7.60% | 4.53% | 33.81 | 10.96 | 19.25 |
| 10. | 2020. 6. 30. | 2.02% | 1.84% | 0.06 | 0.39 | 0.15 |
| 11. | 2020. 7. 31. | 3.62% | 5.51% | 3.34 | 18.43 | 7.85 |
| 12. | 2020. 8. 31. | 12.74% | 7.01% | 119.88 | 33.52 | 63.39 |
| 13. | 2020. 9. 30. | -5.55% | -3.92% | 53.88 | 26.42 | 37.73 |
| 14. | 2020. 10. 31. | -3.35% | -2.77% | 26.43 | 15.87 | 20.48 |
| 15. | 2020. 11. 30. | 11.87% | 10.75% | 101.58 | 90.96 | 96.13 |
| 16. | 2020. 12. 31. | 7.91% | 3.71% | 37.44 | 6.22 | 15.27 |
| 17. | 2021. 1. 31. | -4.75% | -1.11% | 42.69 | 5.43 | 15.23 |
| 18. | 2021. 2. 28. | 8.00% | 2.61% | 38.64 | 1.94 | 8.65 |
| 19. | 2021. 3. 31. | -1.81% | 4.24% | 12.97 | 9.16 | -10.90 |
| 20. | 2021. 4. 30. | 7.75% | 5.24% | 35.56 | 16.20 | 24.01 |
| 21. | 2021. 5. 31. | 6.53% | 0.55% | 22.53 | 0.45 | -3.17 |
| 22. | 2021. 6. 30. | 11.63% | 2.22% | 96.94 | 1.01 | 9.89 |
| 23. | 2021. 7. 31. | 8.24% | 2.27% | 41.64 | 1.12 | 6.82 |
| 24. | 2021. 8. 31. | 6.82% | 2.90% | 25.32 | 2.83 | 8.46 |
| 25. | 2021. 9. 30. | -4.70% | -4.76% | 42.07 | 35.69 | 38.75 |
| 26. | 2021. 10. 31. | 16.16% | 6.91% | 206.44 | 32.46 | 81.86 |
| 27. | 2021. 11. 30. | 4.20% | -0.83% | 5.84 | 4.20 | -4.95 |
| 28. | 2021. 12. 31. | -1.39% | 4.36% | 10.11 | 9.89 | -10.00 |
| 29. | 2022. 1. 31. | -13.57% | -5.26% | 235.97 | 41.93 | 99.47 |
| 30. | 2022. 2. 28. | -14.56% | -3.14% | 267.34 | 18.95 | 71.18 |
| 31. | 2022. 3. 31. | 1.36% | 3.58% | 0.18 | 5.57 | -1.00 |
| 32. | 2022. 4. 30. | -12.77% | -8.80% | 211.95 | 100.26 | 145.77 |
| 33. | 2022. 5. 31. | -1.02% | 0.01% | 7.91 | 1.47 | 3.41 |
| 34. | 2022. 6. 30. | -7.00% | -8.39% | 77.25 | 92.34 | 84.46 |
| 35. | 2022. 7. 31. | 18.53% | 9.11% | 280.21 | 62.32 | 132.15 |
| 36. | 2022. 8. 31. | -5.35% | -4.24% | 50.89 | 29.82 | 38.96 |
| 37. | 2022. 9. 30. | -10.30% | -9.34% | 146.03 | 111.44 | 127.57 |
| 38. | 2022. 10. 31. | 10.58% | 7.99% | 77.23 | 45.82 | 59.49 |
| 39. | 2022. 11. 30. | -4.66% | 5.38% | 41.53 | 17.29 | -26.80 |
| 40. | 2022. 12. 31. | -4.51% | -5.90% | 39.62 | 50.61 | 44.78 |
| 41. | 2023. 1. 31. | 8.79% | 6.18% | 49.10 | 24.58 | 34.74 |
| 42. | 2023. 2. 28. | -3.66% | -2.61% | 29.73 | 14.66 | 20.87 |
| 43. | 2023. 3. 31. | 9.49% | 3.51% | 59.36 | 5.23 | 17.63 |
| 44. | 2023. 4. 30. | -0.25% | 1.46% | 4.14 | 0.06 | -0.50 |
| 45. | 2023. 5. 31. | -5.59% | 0.25% | 54.47 | 0.94 | 7.15 |
| 46. | 2023. 6. 30. | 9.32% | 4.71% | 56.77 | 12.23 | 26.35 |
| 47. | 2023. 7. 31. | 11.85% | 4.85% | 101.23 | 13.17 | 36.51 |
| 48. | 2023. 8. 31. | 5.88% | -1.77% | 16.79 | 8.93 | -12.25 |
| 49. | 2023. 9. 30. | -5.70% | -4.87% | 56.02 | 37.08 | 45.58 |
| 50. | 2023. 10. 31. | -2.95% | -2.20% | 22.47 | 11.66 | 16.19 |
| 51. | 2023. 11. 30. | 15.46% | 8.92% | 186.89 | 59.30 | 105.28 |
| 52. | 2023. 12. 31. | 9.37% | 4.42% | 57.56 | 10.28 | 24.32 |
| 53. | 2024. 1. 31. | 1.15% | 1.59% | 0.40 | 0.14 | -0.24 |
| 54. | 2024. 2. 29. | 5.00% | 5.17% | 10.32 | 15.64 | 12.70 |
| 55. | 2024. 3. 31. | -1.94% | 3.10% | 13.93 | 3.55 | -7.03 |
| 56. | 2024. 4. 30. | -3.61% | -4.16% | 29.16 | 28.93 | 29.04 |
| 57. | 2024. 5. 31. | -7.86% | 4.80% | 93.09 | 12.85 | -34.59 |
| 58. | 2024. 6. 30. | 14.01% | 3.47% | 149.44 | 5.06 | 27.50 |
| 59. | 2024. 7. 31. | -1.36% | 1.13% | 9.93 | 0.01 | 0.27 |
| 60. | 2024. 8. 31. | -2.64% | 2.28% | 19.60 | 1.14 | -4.72 |
| 61. | 2024. 9. 30. | -1.47% | 2.02% | 10.60 | 0.64 | -2.61 |
| 62. | 2024. 10. 31. | -1.56% | -0.99% | 11.17 | 4.87 | 7.38 |
| 63. | 2024. 11. 30. | 5.15% | 5.73% | 11.31 | 20.37 | 15.18 |
| 64. | 2024. 12. 31. | -2.06% | -2.50% | 14.81 | 13.81 | 14.30 |
| 65. | 2025. 1. 31. | -4.13% | 2.70% | 35.00 | 2.20 | -8.78 |
| 66. | 2025. 2. 28. | 2.05% | -1.42% | 0.07 | 6.98 | -0.69 |
| 67. | 2025. 3. 31. | 0.02% | -5.75% | 3.11 | 48.60 | 12.29 |
| 68. | 2025. 4. 30. | 2.36% | -0.76% | 0.33 | 3.92 | -1.14 |
| 69. | 2025. 5. 31. | 20.08% | 6.15% | 334.65 | 24.36 | 90.28 |
| 70. | 2025. 6. 30. | 4.53% | 4.96% | 7.54 | 14.01 | 10.28 |
| 71. | 2025. 7. 31. | -0.19% | 2.17% | 3.89 | 0.90 | -1.87 |
| 합계 (Σ): | 4,521.95 | 1,730.09 | 2,121.14 | |||
모두 보기
분산INTU = Σ(RINTU,t–RINTU)2 ÷ (71 – 1)
= 4,521.95 ÷ (71 – 1)
= 64.60
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,730.09 ÷ (71 – 1)
= 24.72
공분산INTU, S&P 500 = Σ(RINTU,t–RINTU)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,121.14 ÷ (71 – 1)
= 30.30
체계적인 위험 추정 (β)
| 분산INTU | 64.60 |
| 분산S&P 500 | 24.72 |
| 공분산INTU, S&P 500 | 30.30 |
| 상관 계수INTU, S&P 5001 | 0.76 |
| βINTU2 | 1.23 |
| αINTU3 | 0.30% |
계산
1 상관 계수INTU, S&P 500
= 공분산INTU, S&P 500 ÷ (표준 편차INTU × 표준 편차S&P 500)
= 30.30 ÷ (8.04% × 4.97%)
= 0.76
2 βINTU
= 공분산INTU, S&P 500 ÷ 분산S&P 500
= 30.30 ÷ 24.72
= 1.23
3 αINTU
= 평균의INTU – βINTU × 평균의S&P 500
= 1.79% – 1.23 × 1.22%
= 0.30%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.71% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.85% |
| 보통주의 체계적 위험Intuit | βINTU | 1.23 |
| Intuit 보통주의 예상 수익률3 | E(RINTU) | 17.15% |
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(RINTU) = RF + βINTU [E(RM) – RF]
= 4.71% + 1.23 [14.85% – 4.71%]
= 17.15%