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 |
| 2018. 7. 31. | $19.06 | 2,816.29 | ||||
| 1. | 2018. 8. 31. | $17.31 | -9.18% | 2,901.52 | 3.03% | |
| 2. | 2018. 9. 30. | $15.17 | $0.11 | -11.73% | 2,913.98 | 0.43% |
| 3. | 2018. 10. 31. | $14.17 | -6.59% | 2,711.74 | -6.94% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 5. 31. | $93.24 | 4.25% | 5,277.51 | 4.80% | |
| 71. | 2024. 6. 30. | $106.49 | $0.20 | 14.43% | 5,460.48 | 3.47% |
| 평균의 (R): | 3.21% | 1.07% | ||||
| 표준 편차: | 11.42% | 5.24% | ||||
| 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 |
| 2018. 7. 31. | $19.06 | 2,816.29 | ||||
| 1. | 2018. 8. 31. | $17.31 | -9.18% | 2,901.52 | 3.03% | |
| 2. | 2018. 9. 30. | $15.17 | $0.11 | -11.73% | 2,913.98 | 0.43% |
| 3. | 2018. 10. 31. | $14.17 | -6.59% | 2,711.74 | -6.94% | |
| 4. | 2018. 11. 30. | $15.70 | 10.80% | 2,760.17 | 1.79% | |
| 5. | 2018. 12. 31. | $13.62 | $0.11 | -12.55% | 2,506.85 | -9.18% |
| 6. | 2019. 1. 31. | $16.96 | 24.52% | 2,704.10 | 7.87% | |
| 7. | 2019. 2. 28. | $17.61 | 3.83% | 2,784.49 | 2.97% | |
| 8. | 2019. 3. 31. | $17.90 | $0.11 | 2.27% | 2,834.40 | 1.79% |
| 9. | 2019. 4. 30. | $20.74 | 15.87% | 2,945.83 | 3.93% | |
| 10. | 2019. 5. 31. | $17.46 | -15.81% | 2,752.06 | -6.58% | |
| 11. | 2019. 6. 30. | $18.78 | $0.11 | 8.19% | 2,941.76 | 6.89% |
| 12. | 2019. 7. 31. | $20.86 | 11.08% | 2,980.38 | 1.31% | |
| 13. | 2019. 8. 31. | $21.05 | 0.91% | 2,926.46 | -1.81% | |
| 14. | 2019. 9. 30. | $23.11 | $0.115 | 10.33% | 2,976.74 | 1.72% |
| 15. | 2019. 10. 31. | $27.10 | 17.27% | 3,037.56 | 2.04% | |
| 16. | 2019. 11. 30. | $26.68 | -1.55% | 3,140.98 | 3.40% | |
| 17. | 2019. 12. 31. | $29.24 | $0.115 | 10.03% | 3,230.78 | 2.86% |
| 18. | 2020. 1. 31. | $29.82 | 1.98% | 3,225.52 | -0.16% | |
| 19. | 2020. 2. 29. | $29.34 | -1.61% | 2,954.22 | -8.41% | |
| 20. | 2020. 3. 31. | $24.00 | $0.115 | -17.81% | 2,584.59 | -12.51% |
| 21. | 2020. 4. 30. | $25.53 | 6.38% | 2,912.43 | 12.68% | |
| 22. | 2020. 5. 31. | $27.37 | 7.21% | 3,044.31 | 4.53% | |
| 23. | 2020. 6. 30. | $32.35 | $0.115 | 18.62% | 3,100.29 | 1.84% |
| 24. | 2020. 7. 31. | $37.72 | 16.60% | 3,271.12 | 5.51% | |
| 25. | 2020. 8. 31. | $33.63 | -10.84% | 3,500.31 | 7.01% | |
| 26. | 2020. 9. 30. | $33.18 | $0.13 | -0.95% | 3,363.00 | -3.92% |
| 27. | 2020. 10. 31. | $34.21 | 3.10% | 3,269.96 | -2.77% | |
| 28. | 2020. 11. 30. | $45.27 | 32.33% | 3,621.63 | 10.75% | |
| 29. | 2020. 12. 31. | $47.23 | $0.13 | 4.62% | 3,756.07 | 3.71% |
| 30. | 2021. 1. 31. | $48.40 | 2.48% | 3,714.24 | -1.11% | |
| 31. | 2021. 2. 28. | $56.72 | 17.19% | 3,811.15 | 2.61% | |
| 32. | 2021. 3. 31. | $59.52 | $0.13 | 5.17% | 3,972.89 | 4.24% |
| 33. | 2021. 4. 30. | $62.05 | 4.25% | 4,181.17 | 5.24% | |
| 34. | 2021. 5. 31. | $64.99 | 4.74% | 4,204.11 | 0.55% | |
| 35. | 2021. 6. 30. | $65.07 | $0.13 | 0.32% | 4,297.50 | 2.22% |
| 36. | 2021. 7. 31. | $63.74 | -2.04% | 4,395.26 | 2.27% | |
| 37. | 2021. 8. 31. | $60.48 | -5.11% | 4,522.68 | 2.90% | |
| 38. | 2021. 9. 30. | $56.92 | $0.15 | -5.64% | 4,307.54 | -4.76% |
| 39. | 2021. 10. 31. | $56.36 | -0.98% | 4,605.38 | 6.91% | |
| 40. | 2021. 11. 30. | $67.99 | 20.64% | 4,567.00 | -0.83% | |
| 41. | 2021. 12. 31. | $71.92 | $0.15 | 6.00% | 4,766.18 | 4.36% |
| 42. | 2022. 1. 31. | $58.99 | -17.98% | 4,515.55 | -5.26% | |
| 43. | 2022. 2. 28. | $56.14 | -4.83% | 4,373.94 | -3.14% | |
| 44. | 2022. 3. 31. | $53.76 | $0.15 | -3.97% | 4,530.41 | 3.58% |
| 45. | 2022. 4. 30. | $46.58 | -13.36% | 4,131.93 | -8.80% | |
| 46. | 2022. 5. 31. | $52.00 | 11.64% | 4,132.15 | 0.01% | |
| 47. | 2022. 6. 30. | $42.62 | $0.15 | -17.75% | 3,785.38 | -8.39% |
| 48. | 2022. 7. 31. | $50.05 | 17.43% | 4,130.29 | 9.11% | |
| 49. | 2022. 8. 31. | $43.79 | -12.51% | 3,955.00 | -4.24% | |
| 50. | 2022. 9. 30. | $36.60 | $0.1725 | -16.03% | 3,585.62 | -9.34% |
| 51. | 2022. 10. 31. | $40.48 | 10.60% | 3,871.98 | 7.99% | |
| 52. | 2022. 11. 30. | $47.24 | 16.70% | 4,080.11 | 5.38% | |
| 53. | 2022. 12. 31. | $42.03 | $0.1725 | -10.66% | 3,839.50 | -5.90% |
| 54. | 2023. 1. 31. | $50.01 | 18.99% | 4,076.60 | 6.18% | |
| 55. | 2023. 2. 28. | $48.60 | -2.82% | 3,970.15 | -2.61% | |
| 56. | 2023. 3. 31. | $53.01 | $0.1725 | 9.43% | 4,109.31 | 3.51% |
| 57. | 2023. 4. 30. | $52.41 | -1.13% | 4,169.48 | 1.46% | |
| 58. | 2023. 5. 31. | $61.67 | 17.67% | 4,179.83 | 0.25% | |
| 59. | 2023. 6. 30. | $64.29 | $0.1725 | 4.53% | 4,376.86 | 4.71% |
| 60. | 2023. 7. 31. | $71.85 | 11.76% | 4,588.96 | 4.85% | |
| 61. | 2023. 8. 31. | $70.24 | -2.24% | 4,507.66 | -1.77% | |
| 62. | 2023. 9. 30. | $62.68 | $0.20 | -10.48% | 4,288.05 | -4.87% |
| 63. | 2023. 10. 31. | $58.82 | -6.16% | 4,193.80 | -2.20% | |
| 64. | 2023. 11. 30. | $71.59 | 21.71% | 4,567.80 | 8.92% | |
| 65. | 2023. 12. 31. | $78.33 | $0.20 | 9.69% | 4,769.83 | 4.42% |
| 66. | 2024. 1. 31. | $82.52 | 5.35% | 4,845.65 | 1.59% | |
| 67. | 2024. 2. 29. | $93.83 | 13.71% | 5,096.27 | 5.17% | |
| 68. | 2024. 3. 31. | $97.16 | $0.20 | 3.76% | 5,254.35 | 3.10% |
| 69. | 2024. 4. 30. | $89.44 | -7.95% | 5,035.69 | -4.16% | |
| 70. | 2024. 5. 31. | $93.24 | 4.25% | 5,277.51 | 4.80% | |
| 71. | 2024. 6. 30. | $106.49 | $0.20 | 14.43% | 5,460.48 | 3.47% |
| 평균의 (R): | 3.21% | 1.07% | ||||
| 표준 편차: | 11.42% | 5.24% | ||||
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. | 2018. 8. 31. | -9.18% | 3.03% | 153.61 | 3.81 | -24.20 |
| 2. | 2018. 9. 30. | -11.73% | 0.43% | 223.19 | 0.41 | 9.62 |
| 3. | 2018. 10. 31. | -6.59% | -6.94% | 96.12 | 64.22 | 78.57 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 5. 31. | 4.25% | 4.80% | 1.07 | 13.90 | 3.86 |
| 71. | 2024. 6. 30. | 14.43% | 3.47% | 125.73 | 5.73 | 26.84 |
| 합계 (Σ): | 9,135.72 | 1,922.79 | 2,980.70 | |||
| 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. | 2018. 8. 31. | -9.18% | 3.03% | 153.61 | 3.81 | -24.20 |
| 2. | 2018. 9. 30. | -11.73% | 0.43% | 223.19 | 0.41 | 9.62 |
| 3. | 2018. 10. 31. | -6.59% | -6.94% | 96.12 | 64.22 | 78.57 |
| 4. | 2018. 11. 30. | 10.80% | 1.79% | 57.53 | 0.51 | 5.41 |
| 5. | 2018. 12. 31. | -12.55% | -9.18% | 248.38 | 105.08 | 161.56 |
| 6. | 2019. 1. 31. | 24.52% | 7.87% | 454.13 | 46.17 | 144.81 |
| 7. | 2019. 2. 28. | 3.83% | 2.97% | 0.38 | 3.61 | 1.18 |
| 8. | 2019. 3. 31. | 2.27% | 1.79% | 0.89 | 0.52 | -0.68 |
| 9. | 2019. 4. 30. | 15.87% | 3.93% | 160.11 | 8.17 | 36.16 |
| 10. | 2019. 5. 31. | -15.81% | -6.58% | 362.03 | 58.54 | 145.58 |
| 11. | 2019. 6. 30. | 8.19% | 6.89% | 24.78 | 33.87 | 28.97 |
| 12. | 2019. 7. 31. | 11.08% | 1.31% | 61.83 | 0.06 | 1.88 |
| 13. | 2019. 8. 31. | 0.91% | -1.81% | 5.30 | 8.31 | 6.63 |
| 14. | 2019. 9. 30. | 10.33% | 1.72% | 50.70 | 0.42 | 4.59 |
| 15. | 2019. 10. 31. | 17.27% | 2.04% | 197.48 | 0.94 | 13.63 |
| 16. | 2019. 11. 30. | -1.55% | 3.40% | 22.68 | 5.44 | -11.10 |
| 17. | 2019. 12. 31. | 10.03% | 2.86% | 46.43 | 3.19 | 12.17 |
| 18. | 2020. 1. 31. | 1.98% | -0.16% | 1.51 | 1.53 | 1.52 |
| 19. | 2020. 2. 29. | -1.61% | -8.41% | 23.25 | 89.95 | 45.73 |
| 20. | 2020. 3. 31. | -17.81% | -12.51% | 441.87 | 184.56 | 285.57 |
| 21. | 2020. 4. 30. | 6.38% | 12.68% | 10.00 | 134.82 | 36.72 |
| 22. | 2020. 5. 31. | 7.21% | 4.53% | 15.96 | 11.94 | 13.80 |
| 23. | 2020. 6. 30. | 18.62% | 1.84% | 237.25 | 0.59 | 11.79 |
| 24. | 2020. 7. 31. | 16.60% | 5.51% | 179.22 | 19.68 | 59.40 |
| 25. | 2020. 8. 31. | -10.84% | 7.01% | 197.55 | 35.20 | -83.39 |
| 26. | 2020. 9. 30. | -0.95% | -3.92% | 17.34 | 24.96 | 20.80 |
| 27. | 2020. 10. 31. | 3.10% | -2.77% | 0.01 | 14.75 | 0.41 |
| 28. | 2020. 11. 30. | 32.33% | 10.75% | 847.82 | 93.73 | 281.89 |
| 29. | 2020. 12. 31. | 4.62% | 3.71% | 1.97 | 6.96 | 3.71 |
| 30. | 2021. 1. 31. | 2.48% | -1.11% | 0.54 | 4.78 | 1.61 |
| 31. | 2021. 2. 28. | 17.19% | 2.61% | 195.38 | 2.36 | 21.47 |
| 32. | 2021. 3. 31. | 5.17% | 4.24% | 3.82 | 10.05 | 6.19 |
| 33. | 2021. 4. 30. | 4.25% | 5.24% | 1.08 | 17.38 | 4.33 |
| 34. | 2021. 5. 31. | 4.74% | 0.55% | 2.33 | 0.28 | -0.80 |
| 35. | 2021. 6. 30. | 0.32% | 2.22% | 8.35 | 1.32 | -3.32 |
| 36. | 2021. 7. 31. | -2.04% | 2.27% | 27.63 | 1.44 | -6.32 |
| 37. | 2021. 8. 31. | -5.11% | 2.90% | 69.34 | 3.33 | -15.20 |
| 38. | 2021. 9. 30. | -5.64% | -4.76% | 78.33 | 33.99 | 51.60 |
| 39. | 2021. 10. 31. | -0.98% | 6.91% | 17.61 | 34.12 | -24.51 |
| 40. | 2021. 11. 30. | 20.64% | -0.83% | 303.56 | 3.64 | -33.22 |
| 41. | 2021. 12. 31. | 6.00% | 4.36% | 7.78 | 10.81 | 9.17 |
| 42. | 2022. 1. 31. | -17.98% | -5.26% | 449.04 | 40.09 | 134.18 |
| 43. | 2022. 2. 28. | -4.83% | -3.14% | 64.70 | 17.72 | 33.86 |
| 44. | 2022. 3. 31. | -3.97% | 3.58% | 51.62 | 6.27 | -17.99 |
| 45. | 2022. 4. 30. | -13.36% | -8.80% | 274.50 | 97.40 | 163.51 |
| 46. | 2022. 5. 31. | 11.64% | 0.01% | 70.96 | 1.14 | -9.00 |
| 47. | 2022. 6. 30. | -17.75% | -8.39% | 439.42 | 89.59 | 198.42 |
| 48. | 2022. 7. 31. | 17.43% | 9.11% | 202.23 | 64.61 | 114.31 |
| 49. | 2022. 8. 31. | -12.51% | -4.24% | 247.11 | 28.27 | 83.59 |
| 50. | 2022. 9. 30. | -16.03% | -9.34% | 370.09 | 108.43 | 200.32 |
| 51. | 2022. 10. 31. | 10.60% | 7.99% | 54.59 | 47.79 | 51.08 |
| 52. | 2022. 11. 30. | 16.70% | 5.38% | 181.91 | 18.51 | 58.02 |
| 53. | 2022. 12. 31. | -10.66% | -5.90% | 192.54 | 48.59 | 96.72 |
| 54. | 2023. 1. 31. | 18.99% | 6.18% | 248.82 | 26.03 | 80.48 |
| 55. | 2023. 2. 28. | -2.82% | -2.61% | 36.38 | 13.58 | 22.22 |
| 56. | 2023. 3. 31. | 9.43% | 3.51% | 38.65 | 5.91 | 15.12 |
| 57. | 2023. 4. 30. | -1.13% | 1.46% | 18.87 | 0.15 | -1.70 |
| 58. | 2023. 5. 31. | 17.67% | 0.25% | 208.98 | 0.68 | -11.93 |
| 59. | 2023. 6. 30. | 4.53% | 4.71% | 1.73 | 13.25 | 4.79 |
| 60. | 2023. 7. 31. | 11.76% | 4.85% | 73.05 | 14.23 | 32.24 |
| 61. | 2023. 8. 31. | -2.24% | -1.77% | 29.74 | 8.09 | 15.51 |
| 62. | 2023. 9. 30. | -10.48% | -4.87% | 187.43 | 35.35 | 81.39 |
| 63. | 2023. 10. 31. | -6.16% | -2.20% | 87.81 | 10.70 | 30.65 |
| 64. | 2023. 11. 30. | 21.71% | 8.92% | 342.18 | 61.54 | 145.11 |
| 65. | 2023. 12. 31. | 9.69% | 4.42% | 42.01 | 11.22 | 21.71 |
| 66. | 2024. 1. 31. | 5.35% | 1.59% | 4.57 | 0.27 | 1.10 |
| 67. | 2024. 2. 29. | 13.71% | 5.17% | 110.11 | 16.80 | 43.01 |
| 68. | 2024. 3. 31. | 3.76% | 3.10% | 0.30 | 4.11 | 1.12 |
| 69. | 2024. 4. 30. | -7.95% | -4.16% | 124.50 | 27.40 | 58.41 |
| 70. | 2024. 5. 31. | 4.25% | 4.80% | 1.07 | 13.90 | 3.86 |
| 71. | 2024. 6. 30. | 14.43% | 3.47% | 125.73 | 5.73 | 26.84 |
| 합계 (Σ): | 9,135.72 | 1,922.79 | 2,980.70 | |||
모두 보기
분산LRCX = Σ(RLRCX,t–RLRCX)2 ÷ (71 – 1)
= 9,135.72 ÷ (71 – 1)
= 130.51
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,922.79 ÷ (71 – 1)
= 27.47
공분산LRCX, S&P 500 = Σ(RLRCX,t–RLRCX)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,980.70 ÷ (71 – 1)
= 42.58
체계적인 위험 추정 (β)
| 분산LRCX | 130.51 |
| 분산S&P 500 | 27.47 |
| 공분산LRCX, S&P 500 | 42.58 |
| 상관 계수LRCX, S&P 5001 | 0.71 |
| βLRCX2 | 1.55 |
| αLRCX3 | 1.55% |
계산
1 상관 계수LRCX, S&P 500
= 공분산LRCX, S&P 500 ÷ (표준 편차LRCX × 표준 편차S&P 500)
= 42.58 ÷ (11.42% × 5.24%)
= 0.71
2 βLRCX
= 공분산LRCX, S&P 500 ÷ 분산S&P 500
= 42.58 ÷ 27.47
= 1.55
3 αLRCX
= 평균의LRCX – βLRCX × 평균의S&P 500
= 3.21% – 1.55 × 1.07%
= 1.55%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.90% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.94% |
| 보통주의 체계적 위험Lam Research | βLRCX | 1.55 |
| 램리서치 보통주 예상 수익률3 | E(RLRCX) | 18.91% |
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]
= 4.90% + 1.55 [13.94% – 4.90%]
= 18.91%