자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 KLA의 보통주와 같은 위험 자산에 대한 기대 또는 필요한 수익률을 나타냅니다.
수익률
KLA Corp., 월별 수익률
| KLA Corp. (KLAC) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값KLAC,t1 | 피제수KLAC,t1 | RKLAC,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 7. 31. | $117.42 | 2,816.29 | ||||
| 1. | 2018. 8. 31. | $116.21 | $0.75 | -0.39% | 2,901.52 | 3.03% |
| 2. | 2018. 9. 30. | $101.71 | -12.48% | 2,913.98 | 0.43% | |
| 3. | 2018. 10. 31. | $91.54 | -10.00% | 2,711.74 | -6.94% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 5. 31. | $759.53 | $1.45 | 10.40% | 5,277.51 | 4.80% |
| 71. | 2024. 6. 30. | $824.51 | 8.56% | 5,460.48 | 3.47% | |
| 평균의 (R): | 3.36% | 1.07% | ||||
| 표준 편차: | 9.56% | 5.24% | ||||
| KLA Corp. (KLAC) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값KLAC,t1 | 피제수KLAC,t1 | RKLAC,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 7. 31. | $117.42 | 2,816.29 | ||||
| 1. | 2018. 8. 31. | $116.21 | $0.75 | -0.39% | 2,901.52 | 3.03% |
| 2. | 2018. 9. 30. | $101.71 | -12.48% | 2,913.98 | 0.43% | |
| 3. | 2018. 10. 31. | $91.54 | -10.00% | 2,711.74 | -6.94% | |
| 4. | 2018. 11. 30. | $98.56 | $0.75 | 8.49% | 2,760.17 | 1.79% |
| 5. | 2018. 12. 31. | $89.49 | -9.20% | 2,506.85 | -9.18% | |
| 6. | 2019. 1. 31. | $106.57 | 19.09% | 2,704.10 | 7.87% | |
| 7. | 2019. 2. 28. | $115.49 | $0.75 | 9.07% | 2,784.49 | 2.97% |
| 8. | 2019. 3. 31. | $119.41 | 3.39% | 2,834.40 | 1.79% | |
| 9. | 2019. 4. 30. | $127.48 | 6.76% | 2,945.83 | 3.93% | |
| 10. | 2019. 5. 31. | $103.07 | $0.75 | -18.56% | 2,752.06 | -6.58% |
| 11. | 2019. 6. 30. | $118.20 | 14.68% | 2,941.76 | 6.89% | |
| 12. | 2019. 7. 31. | $136.32 | 15.33% | 2,980.38 | 1.31% | |
| 13. | 2019. 8. 31. | $147.90 | $0.75 | 9.04% | 2,926.46 | -1.81% |
| 14. | 2019. 9. 30. | $159.45 | 7.81% | 2,976.74 | 1.72% | |
| 15. | 2019. 10. 31. | $169.04 | 6.01% | 3,037.56 | 2.04% | |
| 16. | 2019. 11. 30. | $163.86 | $0.85 | -2.56% | 3,140.98 | 3.40% |
| 17. | 2019. 12. 31. | $178.17 | 8.73% | 3,230.78 | 2.86% | |
| 18. | 2020. 1. 31. | $165.74 | -6.98% | 3,225.52 | -0.16% | |
| 19. | 2020. 2. 29. | $153.71 | $0.85 | -6.75% | 2,954.22 | -8.41% |
| 20. | 2020. 3. 31. | $143.74 | -6.49% | 2,584.59 | -12.51% | |
| 21. | 2020. 4. 30. | $164.09 | 14.16% | 2,912.43 | 12.68% | |
| 22. | 2020. 5. 31. | $175.96 | $0.85 | 7.75% | 3,044.31 | 4.53% |
| 23. | 2020. 6. 30. | $194.48 | 10.53% | 3,100.29 | 1.84% | |
| 24. | 2020. 7. 31. | $199.83 | 2.75% | 3,271.12 | 5.51% | |
| 25. | 2020. 8. 31. | $205.14 | $0.90 | 3.11% | 3,500.31 | 7.01% |
| 26. | 2020. 9. 30. | $193.74 | -5.56% | 3,363.00 | -3.92% | |
| 27. | 2020. 10. 31. | $197.18 | 1.78% | 3,269.96 | -2.77% | |
| 28. | 2020. 11. 30. | $251.97 | $0.90 | 28.24% | 3,621.63 | 10.75% |
| 29. | 2020. 12. 31. | $258.91 | 2.75% | 3,756.07 | 3.71% | |
| 30. | 2021. 1. 31. | $280.07 | 8.17% | 3,714.24 | -1.11% | |
| 31. | 2021. 2. 28. | $311.23 | $0.90 | 11.45% | 3,811.15 | 2.61% |
| 32. | 2021. 3. 31. | $330.40 | 6.16% | 3,972.89 | 4.24% | |
| 33. | 2021. 4. 30. | $315.35 | -4.56% | 4,181.17 | 5.24% | |
| 34. | 2021. 5. 31. | $316.89 | $0.90 | 0.77% | 4,204.11 | 0.55% |
| 35. | 2021. 6. 30. | $324.21 | 2.31% | 4,297.50 | 2.22% | |
| 36. | 2021. 7. 31. | $348.16 | 7.39% | 4,395.26 | 2.27% | |
| 37. | 2021. 8. 31. | $339.96 | $1.05 | -2.05% | 4,522.68 | 2.90% |
| 38. | 2021. 9. 30. | $334.51 | -1.60% | 4,307.54 | -4.76% | |
| 39. | 2021. 10. 31. | $372.76 | 11.43% | 4,605.38 | 6.91% | |
| 40. | 2021. 11. 30. | $408.13 | $1.05 | 9.77% | 4,567.00 | -0.83% |
| 41. | 2021. 12. 31. | $430.11 | 5.39% | 4,766.18 | 4.36% | |
| 42. | 2022. 1. 31. | $389.27 | -9.50% | 4,515.55 | -5.26% | |
| 43. | 2022. 2. 28. | $348.50 | $1.05 | -10.20% | 4,373.94 | -3.14% |
| 44. | 2022. 3. 31. | $366.06 | 5.04% | 4,530.41 | 3.58% | |
| 45. | 2022. 4. 30. | $319.26 | -12.78% | 4,131.93 | -8.80% | |
| 46. | 2022. 5. 31. | $364.85 | $1.05 | 14.61% | 4,132.15 | 0.01% |
| 47. | 2022. 6. 30. | $319.08 | -12.54% | 3,785.38 | -8.39% | |
| 48. | 2022. 7. 31. | $383.54 | 20.20% | 4,130.29 | 9.11% | |
| 49. | 2022. 8. 31. | $344.13 | $1.30 | -9.94% | 3,955.00 | -4.24% |
| 50. | 2022. 9. 30. | $302.63 | -12.06% | 3,585.62 | -9.34% | |
| 51. | 2022. 10. 31. | $316.45 | 4.57% | 3,871.98 | 7.99% | |
| 52. | 2022. 11. 30. | $393.15 | $1.30 | 24.65% | 4,080.11 | 5.38% |
| 53. | 2022. 12. 31. | $377.03 | -4.10% | 3,839.50 | -5.90% | |
| 54. | 2023. 1. 31. | $392.48 | 4.10% | 4,076.60 | 6.18% | |
| 55. | 2023. 2. 28. | $379.38 | $1.30 | -3.01% | 3,970.15 | -2.61% |
| 56. | 2023. 3. 31. | $399.17 | 5.22% | 4,109.31 | 3.51% | |
| 57. | 2023. 4. 30. | $386.54 | -3.16% | 4,169.48 | 1.46% | |
| 58. | 2023. 5. 31. | $442.99 | $1.30 | 14.94% | 4,179.83 | 0.25% |
| 59. | 2023. 6. 30. | $485.02 | 9.49% | 4,376.86 | 4.71% | |
| 60. | 2023. 7. 31. | $513.95 | 5.96% | 4,588.96 | 4.85% | |
| 61. | 2023. 8. 31. | $501.87 | $1.30 | -2.10% | 4,507.66 | -1.77% |
| 62. | 2023. 9. 30. | $458.66 | -8.61% | 4,288.05 | -4.87% | |
| 63. | 2023. 10. 31. | $469.70 | 2.41% | 4,193.80 | -2.20% | |
| 64. | 2023. 11. 30. | $544.62 | $1.45 | 16.26% | 4,567.80 | 8.92% |
| 65. | 2023. 12. 31. | $581.30 | 6.73% | 4,769.83 | 4.42% | |
| 66. | 2024. 1. 31. | $594.04 | 2.19% | 4,845.65 | 1.59% | |
| 67. | 2024. 2. 29. | $682.30 | $1.45 | 15.10% | 5,096.27 | 5.17% |
| 68. | 2024. 3. 31. | $698.57 | 2.38% | 5,254.35 | 3.10% | |
| 69. | 2024. 4. 30. | $689.29 | -1.33% | 5,035.69 | -4.16% | |
| 70. | 2024. 5. 31. | $759.53 | $1.45 | 10.40% | 5,277.51 | 4.80% |
| 71. | 2024. 6. 30. | $824.51 | 8.56% | 5,460.48 | 3.47% | |
| 평균의 (R): | 3.36% | 1.07% | ||||
| 표준 편차: | 9.56% | 5.24% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 t기간 동안 KLAC의 보통주 수익률
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
KLA Corp., 수익률의 분산 및 공분산 계산
| t | 날짜 | RKLAC,t | RS&P 500,t | (RKLAC,t–RKLAC)2 | (RS&P 500,t–RS&P 500)2 | (RKLAC,t–RKLAC)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 8. 31. | -0.39% | 3.03% | 14.08 | 3.81 | -7.33 |
| 2. | 2018. 9. 30. | -12.48% | 0.43% | 250.85 | 0.41 | 10.20 |
| 3. | 2018. 10. 31. | -10.00% | -6.94% | 178.49 | 64.22 | 107.06 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 5. 31. | 10.40% | 4.80% | 49.56 | 13.90 | 26.25 |
| 71. | 2024. 6. 30. | 8.56% | 3.47% | 26.98 | 5.73 | 12.43 |
| 합계 (Σ): | 6,393.19 | 1,922.79 | 2,630.64 | |||
| t | 날짜 | RKLAC,t | RS&P 500,t | (RKLAC,t–RKLAC)2 | (RS&P 500,t–RS&P 500)2 | (RKLAC,t–RKLAC)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 8. 31. | -0.39% | 3.03% | 14.08 | 3.81 | -7.33 |
| 2. | 2018. 9. 30. | -12.48% | 0.43% | 250.85 | 0.41 | 10.20 |
| 3. | 2018. 10. 31. | -10.00% | -6.94% | 178.49 | 64.22 | 107.06 |
| 4. | 2018. 11. 30. | 8.49% | 1.79% | 26.29 | 0.51 | 3.65 |
| 5. | 2018. 12. 31. | -9.20% | -9.18% | 157.84 | 105.08 | 128.79 |
| 6. | 2019. 1. 31. | 19.09% | 7.87% | 247.28 | 46.17 | 106.85 |
| 7. | 2019. 2. 28. | 9.07% | 2.97% | 32.64 | 3.61 | 10.85 |
| 8. | 2019. 3. 31. | 3.39% | 1.79% | 0.00 | 0.52 | 0.02 |
| 9. | 2019. 4. 30. | 6.76% | 3.93% | 11.54 | 8.17 | 9.71 |
| 10. | 2019. 5. 31. | -18.56% | -6.58% | 480.52 | 58.54 | 167.72 |
| 11. | 2019. 6. 30. | 14.68% | 6.89% | 128.11 | 33.87 | 65.87 |
| 12. | 2019. 7. 31. | 15.33% | 1.31% | 143.26 | 0.06 | 2.87 |
| 13. | 2019. 8. 31. | 9.04% | -1.81% | 32.31 | 8.31 | -16.38 |
| 14. | 2019. 9. 30. | 7.81% | 1.72% | 19.79 | 0.42 | 2.87 |
| 15. | 2019. 10. 31. | 6.01% | 2.04% | 7.04 | 0.94 | 2.57 |
| 16. | 2019. 11. 30. | -2.56% | 3.40% | 35.08 | 5.44 | -13.81 |
| 17. | 2019. 12. 31. | 8.73% | 2.86% | 28.86 | 3.19 | 9.59 |
| 18. | 2020. 1. 31. | -6.98% | -0.16% | 106.86 | 1.53 | 12.78 |
| 19. | 2020. 2. 29. | -6.75% | -8.41% | 102.14 | 89.95 | 95.85 |
| 20. | 2020. 3. 31. | -6.49% | -12.51% | 96.97 | 184.56 | 133.78 |
| 21. | 2020. 4. 30. | 14.16% | 12.68% | 116.57 | 134.82 | 125.36 |
| 22. | 2020. 5. 31. | 7.75% | 4.53% | 19.28 | 11.94 | 15.17 |
| 23. | 2020. 6. 30. | 10.53% | 1.84% | 51.33 | 0.59 | 5.48 |
| 24. | 2020. 7. 31. | 2.75% | 5.51% | 0.37 | 19.68 | -2.71 |
| 25. | 2020. 8. 31. | 3.11% | 7.01% | 0.06 | 35.20 | -1.50 |
| 26. | 2020. 9. 30. | -5.56% | -3.92% | 79.53 | 24.96 | 44.56 |
| 27. | 2020. 10. 31. | 1.78% | -2.77% | 2.51 | 14.75 | 6.09 |
| 28. | 2020. 11. 30. | 28.24% | 10.75% | 619.13 | 93.73 | 240.89 |
| 29. | 2020. 12. 31. | 2.75% | 3.71% | 0.37 | 6.96 | -1.60 |
| 30. | 2021. 1. 31. | 8.17% | -1.11% | 23.15 | 4.78 | -10.52 |
| 31. | 2021. 2. 28. | 11.45% | 2.61% | 65.39 | 2.36 | 12.42 |
| 32. | 2021. 3. 31. | 6.16% | 4.24% | 7.83 | 10.05 | 8.87 |
| 33. | 2021. 4. 30. | -4.56% | 5.24% | 62.66 | 17.38 | -33.00 |
| 34. | 2021. 5. 31. | 0.77% | 0.55% | 6.69 | 0.28 | 1.36 |
| 35. | 2021. 6. 30. | 2.31% | 2.22% | 1.10 | 1.32 | -1.21 |
| 36. | 2021. 7. 31. | 7.39% | 2.27% | 16.21 | 1.44 | 4.84 |
| 37. | 2021. 8. 31. | -2.05% | 2.90% | 29.32 | 3.33 | -9.89 |
| 38. | 2021. 9. 30. | -1.60% | -4.76% | 24.64 | 33.99 | 28.94 |
| 39. | 2021. 10. 31. | 11.43% | 6.91% | 65.19 | 34.12 | 47.16 |
| 40. | 2021. 11. 30. | 9.77% | -0.83% | 41.08 | 3.64 | -12.22 |
| 41. | 2021. 12. 31. | 5.39% | 4.36% | 4.10 | 10.81 | 6.66 |
| 42. | 2022. 1. 31. | -9.50% | -5.26% | 165.28 | 40.09 | 81.40 |
| 43. | 2022. 2. 28. | -10.20% | -3.14% | 184.00 | 17.72 | 57.10 |
| 44. | 2022. 3. 31. | 5.04% | 3.58% | 2.82 | 6.27 | 4.20 |
| 45. | 2022. 4. 30. | -12.78% | -8.80% | 260.68 | 97.40 | 159.34 |
| 46. | 2022. 5. 31. | 14.61% | 0.01% | 126.51 | 1.14 | -12.01 |
| 47. | 2022. 6. 30. | -12.54% | -8.39% | 252.99 | 89.59 | 150.55 |
| 48. | 2022. 7. 31. | 20.20% | 9.11% | 283.62 | 64.61 | 135.37 |
| 49. | 2022. 8. 31. | -9.94% | -4.24% | 176.82 | 28.27 | 70.71 |
| 50. | 2022. 9. 30. | -12.06% | -9.34% | 237.79 | 108.43 | 160.57 |
| 51. | 2022. 10. 31. | 4.57% | 7.99% | 1.45 | 47.79 | 8.34 |
| 52. | 2022. 11. 30. | 24.65% | 5.38% | 453.16 | 18.51 | 91.58 |
| 53. | 2022. 12. 31. | -4.10% | -5.90% | 55.67 | 48.59 | 52.01 |
| 54. | 2023. 1. 31. | 4.10% | 6.18% | 0.54 | 26.03 | 3.76 |
| 55. | 2023. 2. 28. | -3.01% | -2.61% | 40.54 | 13.58 | 23.46 |
| 56. | 2023. 3. 31. | 5.22% | 3.51% | 3.44 | 5.91 | 4.51 |
| 57. | 2023. 4. 30. | -3.16% | 1.46% | 42.58 | 0.15 | -2.55 |
| 58. | 2023. 5. 31. | 14.94% | 0.25% | 134.08 | 0.68 | -9.55 |
| 59. | 2023. 6. 30. | 9.49% | 4.71% | 37.54 | 13.25 | 22.30 |
| 60. | 2023. 7. 31. | 5.96% | 4.85% | 6.78 | 14.23 | 9.82 |
| 61. | 2023. 8. 31. | -2.10% | -1.77% | 29.79 | 8.09 | 15.53 |
| 62. | 2023. 9. 30. | -8.61% | -4.87% | 143.30 | 35.35 | 71.17 |
| 63. | 2023. 10. 31. | 2.41% | -2.20% | 0.91 | 10.70 | 3.12 |
| 64. | 2023. 11. 30. | 16.26% | 8.92% | 166.37 | 61.54 | 101.18 |
| 65. | 2023. 12. 31. | 6.73% | 4.42% | 11.38 | 11.22 | 11.30 |
| 66. | 2024. 1. 31. | 2.19% | 1.59% | 1.37 | 0.27 | -0.60 |
| 67. | 2024. 2. 29. | 15.10% | 5.17% | 137.85 | 16.80 | 48.12 |
| 68. | 2024. 3. 31. | 2.38% | 3.10% | 0.95 | 4.11 | -1.98 |
| 69. | 2024. 4. 30. | -1.33% | -4.16% | 21.99 | 27.40 | 24.55 |
| 70. | 2024. 5. 31. | 10.40% | 4.80% | 49.56 | 13.90 | 26.25 |
| 71. | 2024. 6. 30. | 8.56% | 3.47% | 26.98 | 5.73 | 12.43 |
| 합계 (Σ): | 6,393.19 | 1,922.79 | 2,630.64 | |||
모두 보기
분산KLAC = Σ(RKLAC,t–RKLAC)2 ÷ (71 – 1)
= 6,393.19 ÷ (71 – 1)
= 91.33
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,922.79 ÷ (71 – 1)
= 27.47
공분산KLAC, S&P 500 = Σ(RKLAC,t–RKLAC)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,630.64 ÷ (71 – 1)
= 37.58
체계적인 위험 추정 (β)
| 분산KLAC | 91.33 |
| 분산S&P 500 | 27.47 |
| 공분산KLAC, S&P 500 | 37.58 |
| 상관 계수KLAC, S&P 5001 | 0.75 |
| βKLAC2 | 1.37 |
| αKLAC3 | 1.89% |
계산
1 상관 계수KLAC, S&P 500
= 공분산KLAC, S&P 500 ÷ (표준 편차KLAC × 표준 편차S&P 500)
= 37.58 ÷ (9.56% × 5.24%)
= 0.75
2 βKLAC
= 공분산KLAC, S&P 500 ÷ 분산S&P 500
= 37.58 ÷ 27.47
= 1.37
3 αKLAC
= 평균의KLAC – βKLAC × 평균의S&P 500
= 3.36% – 1.37 × 1.07%
= 1.89%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.64% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.89% |
| 보통주의 체계적 위험KLA | βKLAC | 1.37 |
| KLA 보통주에 대한 예상 수익률3 | E(RKLAC) | 18.67% |
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(RKLAC) = RF + βKLAC [E(RM) – RF]
= 4.64% + 1.37 [14.89% – 4.64%]
= 18.67%