자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Lam Research보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Lam Research Corp., 월별 수익률
| Lam Research Corp. (LRCX) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값LRCX,t1 | 피제수LRCX,t1 | RLRCX,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 7. 31. | $20.86 | 2,980.38 | ||||
| 1. | 2019. 8. 31. | $21.05 | 0.91% | 2,926.46 | -1.81% | |
| 2. | 2019. 9. 30. | $23.11 | $0.115 | 10.33% | 2,976.74 | 1.72% |
| 3. | 2019. 10. 31. | $27.10 | 17.27% | 3,037.56 | 2.04% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 5. 31. | $80.79 | 12.72% | 5,911.69 | 6.15% | |
| 71. | 2025. 6. 30. | $97.34 | $0.23 | 20.77% | 6,204.95 | 4.96% |
| 평균의 (R): | 2.89% | 1.16% | ||||
| 표준 편차: | 11.09% | 4.98% | ||||
| Lam Research Corp. (LRCX) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값LRCX,t1 | 피제수LRCX,t1 | RLRCX,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 7. 31. | $20.86 | 2,980.38 | ||||
| 1. | 2019. 8. 31. | $21.05 | 0.91% | 2,926.46 | -1.81% | |
| 2. | 2019. 9. 30. | $23.11 | $0.115 | 10.33% | 2,976.74 | 1.72% |
| 3. | 2019. 10. 31. | $27.10 | 17.27% | 3,037.56 | 2.04% | |
| 4. | 2019. 11. 30. | $26.68 | -1.55% | 3,140.98 | 3.40% | |
| 5. | 2019. 12. 31. | $29.24 | $0.115 | 10.03% | 3,230.78 | 2.86% |
| 6. | 2020. 1. 31. | $29.82 | 1.98% | 3,225.52 | -0.16% | |
| 7. | 2020. 2. 29. | $29.34 | -1.61% | 2,954.22 | -8.41% | |
| 8. | 2020. 3. 31. | $24.00 | $0.115 | -17.81% | 2,584.59 | -12.51% |
| 9. | 2020. 4. 30. | $25.53 | 6.38% | 2,912.43 | 12.68% | |
| 10. | 2020. 5. 31. | $27.37 | 7.21% | 3,044.31 | 4.53% | |
| 11. | 2020. 6. 30. | $32.35 | $0.115 | 18.62% | 3,100.29 | 1.84% |
| 12. | 2020. 7. 31. | $37.72 | 16.60% | 3,271.12 | 5.51% | |
| 13. | 2020. 8. 31. | $33.63 | -10.84% | 3,500.31 | 7.01% | |
| 14. | 2020. 9. 30. | $33.18 | $0.13 | -0.95% | 3,363.00 | -3.92% |
| 15. | 2020. 10. 31. | $34.21 | 3.10% | 3,269.96 | -2.77% | |
| 16. | 2020. 11. 30. | $45.27 | 32.33% | 3,621.63 | 10.75% | |
| 17. | 2020. 12. 31. | $47.23 | $0.13 | 4.62% | 3,756.07 | 3.71% |
| 18. | 2021. 1. 31. | $48.40 | 2.48% | 3,714.24 | -1.11% | |
| 19. | 2021. 2. 28. | $56.72 | 17.19% | 3,811.15 | 2.61% | |
| 20. | 2021. 3. 31. | $59.52 | $0.13 | 5.17% | 3,972.89 | 4.24% |
| 21. | 2021. 4. 30. | $62.05 | 4.25% | 4,181.17 | 5.24% | |
| 22. | 2021. 5. 31. | $64.99 | 4.74% | 4,204.11 | 0.55% | |
| 23. | 2021. 6. 30. | $65.07 | $0.13 | 0.32% | 4,297.50 | 2.22% |
| 24. | 2021. 7. 31. | $63.74 | -2.04% | 4,395.26 | 2.27% | |
| 25. | 2021. 8. 31. | $60.48 | -5.11% | 4,522.68 | 2.90% | |
| 26. | 2021. 9. 30. | $56.92 | $0.15 | -5.64% | 4,307.54 | -4.76% |
| 27. | 2021. 10. 31. | $56.36 | -0.98% | 4,605.38 | 6.91% | |
| 28. | 2021. 11. 30. | $67.99 | 20.64% | 4,567.00 | -0.83% | |
| 29. | 2021. 12. 31. | $71.92 | $0.15 | 6.00% | 4,766.18 | 4.36% |
| 30. | 2022. 1. 31. | $58.99 | -17.98% | 4,515.55 | -5.26% | |
| 31. | 2022. 2. 28. | $56.14 | -4.83% | 4,373.94 | -3.14% | |
| 32. | 2022. 3. 31. | $53.76 | $0.15 | -3.97% | 4,530.41 | 3.58% |
| 33. | 2022. 4. 30. | $46.58 | -13.36% | 4,131.93 | -8.80% | |
| 34. | 2022. 5. 31. | $52.00 | 11.64% | 4,132.15 | 0.01% | |
| 35. | 2022. 6. 30. | $42.62 | $0.15 | -17.75% | 3,785.38 | -8.39% |
| 36. | 2022. 7. 31. | $50.05 | 17.43% | 4,130.29 | 9.11% | |
| 37. | 2022. 8. 31. | $43.79 | -12.51% | 3,955.00 | -4.24% | |
| 38. | 2022. 9. 30. | $36.60 | $0.1725 | -16.03% | 3,585.62 | -9.34% |
| 39. | 2022. 10. 31. | $40.48 | 10.60% | 3,871.98 | 7.99% | |
| 40. | 2022. 11. 30. | $47.24 | 16.70% | 4,080.11 | 5.38% | |
| 41. | 2022. 12. 31. | $42.03 | $0.1725 | -10.66% | 3,839.50 | -5.90% |
| 42. | 2023. 1. 31. | $50.01 | 18.99% | 4,076.60 | 6.18% | |
| 43. | 2023. 2. 28. | $48.60 | -2.82% | 3,970.15 | -2.61% | |
| 44. | 2023. 3. 31. | $53.01 | $0.1725 | 9.43% | 4,109.31 | 3.51% |
| 45. | 2023. 4. 30. | $52.41 | -1.13% | 4,169.48 | 1.46% | |
| 46. | 2023. 5. 31. | $61.67 | 17.67% | 4,179.83 | 0.25% | |
| 47. | 2023. 6. 30. | $64.29 | $0.1725 | 4.53% | 4,376.86 | 4.71% |
| 48. | 2023. 7. 31. | $71.85 | 11.76% | 4,588.96 | 4.85% | |
| 49. | 2023. 8. 31. | $70.24 | -2.24% | 4,507.66 | -1.77% | |
| 50. | 2023. 9. 30. | $62.68 | $0.20 | -10.48% | 4,288.05 | -4.87% |
| 51. | 2023. 10. 31. | $58.82 | -6.16% | 4,193.80 | -2.20% | |
| 52. | 2023. 11. 30. | $71.59 | 21.71% | 4,567.80 | 8.92% | |
| 53. | 2023. 12. 31. | $78.33 | $0.20 | 9.69% | 4,769.83 | 4.42% |
| 54. | 2024. 1. 31. | $82.52 | 5.35% | 4,845.65 | 1.59% | |
| 55. | 2024. 2. 29. | $93.83 | 13.71% | 5,096.27 | 5.17% | |
| 56. | 2024. 3. 31. | $97.16 | $0.20 | 3.76% | 5,254.35 | 3.10% |
| 57. | 2024. 4. 30. | $89.44 | -7.95% | 5,035.69 | -4.16% | |
| 58. | 2024. 5. 31. | $93.24 | 4.25% | 5,277.51 | 4.80% | |
| 59. | 2024. 6. 30. | $106.49 | $0.20 | 14.43% | 5,460.48 | 3.47% |
| 60. | 2024. 7. 31. | $92.12 | -13.49% | 5,522.30 | 1.13% | |
| 61. | 2024. 8. 31. | $82.10 | -10.88% | 5,648.40 | 2.28% | |
| 62. | 2024. 9. 30. | $81.61 | $0.23 | -0.32% | 5,762.48 | 2.02% |
| 63. | 2024. 10. 31. | $74.35 | -8.90% | 5,705.45 | -0.99% | |
| 64. | 2024. 11. 30. | $73.88 | -0.63% | 6,032.38 | 5.73% | |
| 65. | 2024. 12. 31. | $72.23 | $0.23 | -1.92% | 5,881.63 | -2.50% |
| 66. | 2025. 1. 31. | $81.05 | 12.21% | 6,040.53 | 2.70% | |
| 67. | 2025. 2. 28. | $76.74 | -5.32% | 5,954.50 | -1.42% | |
| 68. | 2025. 3. 31. | $72.70 | $0.23 | -4.96% | 5,611.85 | -5.75% |
| 69. | 2025. 4. 30. | $71.67 | -1.42% | 5,569.06 | -0.76% | |
| 70. | 2025. 5. 31. | $80.79 | 12.72% | 5,911.69 | 6.15% | |
| 71. | 2025. 6. 30. | $97.34 | $0.23 | 20.77% | 6,204.95 | 4.96% |
| 평균의 (R): | 2.89% | 1.16% | ||||
| 표준 편차: | 11.09% | 4.98% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 LRCX의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Lam Research Corp., 수익률의 분산 및 공분산 계산
| t | 날짜 | RLRCX,t | RS&P 500,t | (RLRCX,t–RLRCX)2 | (RS&P 500,t–RS&P 500)2 | (RLRCX,t–RLRCX)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 8. 31. | 0.91% | -1.81% | 3.92 | 8.82 | 5.88 |
| 2. | 2019. 9. 30. | 10.33% | 1.72% | 55.38 | 0.31 | 4.14 |
| 3. | 2019. 10. 31. | 17.27% | 2.04% | 206.62 | 0.78 | 12.68 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 5. 31. | 12.72% | 6.15% | 96.71 | 24.91 | 49.08 |
| 71. | 2025. 6. 30. | 20.77% | 4.96% | 319.66 | 14.44 | 67.93 |
| 합계 (Σ): | 8,604.00 | 1,738.13 | 2,614.76 | |||
| t | 날짜 | RLRCX,t | RS&P 500,t | (RLRCX,t–RLRCX)2 | (RS&P 500,t–RS&P 500)2 | (RLRCX,t–RLRCX)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 8. 31. | 0.91% | -1.81% | 3.92 | 8.82 | 5.88 |
| 2. | 2019. 9. 30. | 10.33% | 1.72% | 55.38 | 0.31 | 4.14 |
| 3. | 2019. 10. 31. | 17.27% | 2.04% | 206.62 | 0.78 | 12.68 |
| 4. | 2019. 11. 30. | -1.55% | 3.40% | 19.72 | 5.03 | -9.96 |
| 5. | 2019. 12. 31. | 10.03% | 2.86% | 50.91 | 2.88 | 12.11 |
| 6. | 2020. 1. 31. | 1.98% | -0.16% | 0.82 | 1.75 | 1.20 |
| 7. | 2020. 2. 29. | -1.61% | -8.41% | 20.25 | 91.63 | 43.08 |
| 8. | 2020. 3. 31. | -17.81% | -12.51% | 428.46 | 186.95 | 283.02 |
| 9. | 2020. 4. 30. | 6.38% | 12.68% | 12.14 | 132.79 | 40.15 |
| 10. | 2020. 5. 31. | 7.21% | 4.53% | 18.63 | 11.34 | 14.53 |
| 11. | 2020. 6. 30. | 18.62% | 1.84% | 247.26 | 0.46 | 10.66 |
| 12. | 2020. 7. 31. | 16.60% | 5.51% | 187.93 | 18.91 | 59.62 |
| 13. | 2020. 8. 31. | -10.84% | 7.01% | 188.62 | 34.17 | -80.28 |
| 14. | 2020. 9. 30. | -0.95% | -3.92% | 14.76 | 25.85 | 19.53 |
| 15. | 2020. 10. 31. | 3.10% | -2.77% | 0.05 | 15.43 | -0.84 |
| 16. | 2020. 11. 30. | 32.33% | 10.75% | 866.65 | 92.03 | 282.42 |
| 17. | 2020. 12. 31. | 4.62% | 3.71% | 2.98 | 6.51 | 4.40 |
| 18. | 2021. 1. 31. | 2.48% | -1.11% | 0.17 | 5.17 | 0.94 |
| 19. | 2021. 2. 28. | 17.19% | 2.61% | 204.47 | 2.10 | 20.71 |
| 20. | 2021. 3. 31. | 5.17% | 4.24% | 5.18 | 9.50 | 7.01 |
| 21. | 2021. 4. 30. | 4.25% | 5.24% | 1.85 | 16.66 | 5.55 |
| 22. | 2021. 5. 31. | 4.74% | 0.55% | 3.41 | 0.38 | -1.13 |
| 23. | 2021. 6. 30. | 0.32% | 2.22% | 6.59 | 1.12 | -2.72 |
| 24. | 2021. 7. 31. | -2.04% | 2.27% | 24.35 | 1.24 | -5.50 |
| 25. | 2021. 8. 31. | -5.11% | 2.90% | 64.09 | 3.02 | -13.91 |
| 26. | 2021. 9. 30. | -5.64% | -4.76% | 72.75 | 35.02 | 50.48 |
| 27. | 2021. 10. 31. | -0.98% | 6.91% | 15.01 | 33.10 | -22.29 |
| 28. | 2021. 11. 30. | 20.64% | -0.83% | 314.86 | 3.98 | -35.39 |
| 29. | 2021. 12. 31. | 6.00% | 4.36% | 9.67 | 10.24 | 9.95 |
| 30. | 2022. 1. 31. | -17.98% | -5.26% | 435.52 | 41.21 | 133.97 |
| 31. | 2022. 2. 28. | -4.83% | -3.14% | 59.63 | 18.47 | 33.18 |
| 32. | 2022. 3. 31. | -3.97% | 3.58% | 47.10 | 5.84 | -16.58 |
| 33. | 2022. 4. 30. | -13.36% | -8.80% | 263.95 | 99.14 | 161.76 |
| 34. | 2022. 5. 31. | 11.64% | 0.01% | 76.48 | 1.34 | -10.11 |
| 35. | 2022. 6. 30. | -17.75% | -8.39% | 426.04 | 91.26 | 197.19 |
| 36. | 2022. 7. 31. | 17.43% | 9.11% | 211.48 | 63.21 | 115.62 |
| 37. | 2022. 8. 31. | -12.51% | -4.24% | 237.11 | 29.22 | 83.23 |
| 38. | 2022. 9. 30. | -16.03% | -9.34% | 357.82 | 110.27 | 198.63 |
| 39. | 2022. 10. 31. | 10.60% | 7.99% | 59.45 | 46.58 | 52.62 |
| 40. | 2022. 11. 30. | 16.70% | 5.38% | 190.68 | 17.76 | 58.19 |
| 41. | 2022. 12. 31. | -10.66% | -5.90% | 183.72 | 49.82 | 95.67 |
| 42. | 2023. 1. 31. | 18.99% | 6.18% | 259.07 | 25.14 | 80.71 |
| 43. | 2023. 2. 28. | -2.82% | -2.61% | 32.61 | 14.23 | 21.54 |
| 44. | 2023. 3. 31. | 9.43% | 3.51% | 42.75 | 5.49 | 15.33 |
| 45. | 2023. 4. 30. | -1.13% | 1.46% | 16.18 | 0.09 | -1.22 |
| 46. | 2023. 5. 31. | 17.67% | 0.25% | 218.38 | 0.83 | -13.49 |
| 47. | 2023. 6. 30. | 4.53% | 4.71% | 2.68 | 12.62 | 5.82 |
| 48. | 2023. 7. 31. | 11.76% | 4.85% | 78.65 | 13.58 | 32.68 |
| 49. | 2023. 8. 31. | -2.24% | -1.77% | 26.33 | 8.60 | 15.05 |
| 50. | 2023. 9. 30. | -10.48% | -4.87% | 178.74 | 36.40 | 80.66 |
| 51. | 2023. 10. 31. | -6.16% | -2.20% | 81.89 | 11.28 | 30.40 |
| 52. | 2023. 11. 30. | 21.71% | 8.92% | 354.17 | 60.17 | 145.98 |
| 53. | 2023. 12. 31. | 9.69% | 4.42% | 46.28 | 10.64 | 22.19 |
| 54. | 2024. 1. 31. | 5.35% | 1.59% | 6.04 | 0.18 | 1.05 |
| 55. | 2024. 2. 29. | 13.71% | 5.17% | 116.96 | 16.09 | 43.38 |
| 56. | 2024. 3. 31. | 3.76% | 3.10% | 0.76 | 3.77 | 1.69 |
| 57. | 2024. 4. 30. | -7.95% | -4.16% | 117.43 | 28.33 | 57.68 |
| 58. | 2024. 5. 31. | 4.25% | 4.80% | 1.84 | 13.26 | 4.94 |
| 59. | 2024. 6. 30. | 14.43% | 3.47% | 133.04 | 5.32 | 26.60 |
| 60. | 2024. 7. 31. | -13.49% | 1.13% | 268.47 | 0.00 | 0.48 |
| 61. | 2024. 8. 31. | -10.88% | 2.28% | 189.56 | 1.26 | -15.45 |
| 62. | 2024. 9. 30. | -0.32% | 2.02% | 10.29 | 0.74 | -2.75 |
| 63. | 2024. 10. 31. | -8.90% | -0.99% | 138.93 | 4.63 | 25.35 |
| 64. | 2024. 11. 30. | -0.63% | 5.73% | 12.41 | 20.88 | -16.10 |
| 65. | 2024. 12. 31. | -1.92% | -2.50% | 23.16 | 13.40 | 17.62 |
| 66. | 2025. 1. 31. | 12.21% | 2.70% | 86.86 | 2.37 | 14.36 |
| 67. | 2025. 2. 28. | -5.32% | -1.42% | 67.38 | 6.68 | 21.22 |
| 68. | 2025. 3. 31. | -4.96% | -5.75% | 61.71 | 47.83 | 54.33 |
| 69. | 2025. 4. 30. | -1.42% | -0.76% | 18.56 | 3.70 | 8.29 |
| 70. | 2025. 5. 31. | 12.72% | 6.15% | 96.71 | 24.91 | 49.08 |
| 71. | 2025. 6. 30. | 20.77% | 4.96% | 319.66 | 14.44 | 67.93 |
| 합계 (Σ): | 8,604.00 | 1,738.13 | 2,614.76 | |||
모두 보기
분산LRCX = Σ(RLRCX,t–RLRCX)2 ÷ (71 – 1)
= 8,604.00 ÷ (71 – 1)
= 122.91
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,738.13 ÷ (71 – 1)
= 24.83
공분산LRCX, S&P 500 = Σ(RLRCX,t–RLRCX)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,614.76 ÷ (71 – 1)
= 37.35
체계적인 위험 추정 (β)
| 분산LRCX | 122.91 |
| 분산S&P 500 | 24.83 |
| 공분산LRCX, S&P 500 | 37.35 |
| 상관 계수LRCX, S&P 5001 | 0.68 |
| βLRCX2 | 1.50 |
| αLRCX3 | 1.14% |
계산
1 상관 계수LRCX, S&P 500
= 공분산LRCX, S&P 500 ÷ (표준 편차LRCX × 표준 편차S&P 500)
= 37.35 ÷ (11.09% × 4.98%)
= 0.68
2 βLRCX
= 공분산LRCX, S&P 500 ÷ 분산S&P 500
= 37.35 ÷ 24.83
= 1.50
3 αLRCX
= 평균의LRCX – βLRCX × 평균의S&P 500
= 2.89% – 1.50 × 1.16%
= 1.14%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.95% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.36% |
| 보통주의 체계적 위험Lam Research | βLRCX | 1.50 |
| 램리서치 보통주 예상 수익률3 | E(RLRCX) | 23.62% |
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(RLRCX) = RF + βLRCX [E(RM) – RF]
= 4.95% + 1.50 [17.36% – 4.95%]
= 23.62%