Stock Analysis on Net

Meta Platforms Inc. (NASDAQ:META)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

자본 자산 가격 책정 모델(CAPM)은 Meta보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.


수익률

Meta Platforms Inc., 월별 수익률

Microsoft Excel
Meta Platforms Inc. (META) Standard & Poor’s 500 (S&P 500)
t 날짜 META,t1 피제수META,t1 RMETA,t2 S&P 500,t RS&P 500,t3
2019. 1. 31. $166.69 2,704.10
1. 2019. 2. 28. $161.45 -3.14% 2,784.49 2.97%
2. 2019. 3. 31. $166.69 3.25% 2,834.40 1.79%
3. 2019. 4. 30. $193.40 16.02% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023. 11. 30. $327.15 8.59% 4,567.80 8.92%
59. 2023. 12. 31. $353.96 8.20% 4,769.83 4.42%
평균의 (R): 1.97% 1.11%
표준 편차: 11.55% 5.31%
Meta Platforms Inc. (META) Standard & Poor’s 500 (S&P 500)
t 날짜 META,t1 피제수META,t1 RMETA,t2 S&P 500,t RS&P 500,t3
2019. 1. 31. $166.69 2,704.10
1. 2019. 2. 28. $161.45 -3.14% 2,784.49 2.97%
2. 2019. 3. 31. $166.69 3.25% 2,834.40 1.79%
3. 2019. 4. 30. $193.40 16.02% 2,945.83 3.93%
4. 2019. 5. 31. $177.47 -8.24% 2,752.06 -6.58%
5. 2019. 6. 30. $193.00 8.75% 2,941.76 6.89%
6. 2019. 7. 31. $194.23 0.64% 2,980.38 1.31%
7. 2019. 8. 31. $185.67 -4.41% 2,926.46 -1.81%
8. 2019. 9. 30. $178.08 -4.09% 2,976.74 1.72%
9. 2019. 10. 31. $191.65 7.62% 3,037.56 2.04%
10. 2019. 11. 30. $201.64 5.21% 3,140.98 3.40%
11. 2019. 12. 31. $205.25 1.79% 3,230.78 2.86%
12. 2020. 1. 31. $201.91 -1.63% 3,225.52 -0.16%
13. 2020. 2. 29. $192.47 -4.68% 2,954.22 -8.41%
14. 2020. 3. 31. $166.80 -13.34% 2,584.59 -12.51%
15. 2020. 4. 30. $204.71 22.73% 2,912.43 12.68%
16. 2020. 5. 31. $225.09 9.96% 3,044.31 4.53%
17. 2020. 6. 30. $227.07 0.88% 3,100.29 1.84%
18. 2020. 7. 31. $253.67 11.71% 3,271.12 5.51%
19. 2020. 8. 31. $293.20 15.58% 3,500.31 7.01%
20. 2020. 9. 30. $261.90 -10.68% 3,363.00 -3.92%
21. 2020. 10. 31. $263.11 0.46% 3,269.96 -2.77%
22. 2020. 11. 30. $276.97 5.27% 3,621.63 10.75%
23. 2020. 12. 31. $273.16 -1.38% 3,756.07 3.71%
24. 2021. 1. 31. $258.33 -5.43% 3,714.24 -1.11%
25. 2021. 2. 28. $257.62 -0.27% 3,811.15 2.61%
26. 2021. 3. 31. $294.53 14.33% 3,972.89 4.24%
27. 2021. 4. 30. $325.08 10.37% 4,181.17 5.24%
28. 2021. 5. 31. $328.73 1.12% 4,204.11 0.55%
29. 2021. 6. 30. $347.71 5.77% 4,297.50 2.22%
30. 2021. 7. 31. $356.30 2.47% 4,395.26 2.27%
31. 2021. 8. 31. $379.38 6.48% 4,522.68 2.90%
32. 2021. 9. 30. $339.39 -10.54% 4,307.54 -4.76%
33. 2021. 10. 31. $323.57 -4.66% 4,605.38 6.91%
34. 2021. 11. 30. $324.46 0.28% 4,567.00 -0.83%
35. 2021. 12. 31. $336.35 3.66% 4,766.18 4.36%
36. 2022. 1. 31. $313.26 -6.86% 4,515.55 -5.26%
37. 2022. 2. 28. $211.03 -32.63% 4,373.94 -3.14%
38. 2022. 3. 31. $222.36 5.37% 4,530.41 3.58%
39. 2022. 4. 30. $200.47 -9.84% 4,131.93 -8.80%
40. 2022. 5. 31. $193.64 -3.41% 4,132.15 0.01%
41. 2022. 6. 30. $161.25 -16.73% 3,785.38 -8.39%
42. 2022. 7. 31. $159.10 -1.33% 4,130.29 9.11%
43. 2022. 8. 31. $162.93 2.41% 3,955.00 -4.24%
44. 2022. 9. 30. $135.68 -16.72% 3,585.62 -9.34%
45. 2022. 10. 31. $93.16 -31.34% 3,871.98 7.99%
46. 2022. 11. 30. $118.10 26.77% 4,080.11 5.38%
47. 2022. 12. 31. $120.34 1.90% 3,839.50 -5.90%
48. 2023. 1. 31. $148.97 23.79% 4,076.60 6.18%
49. 2023. 2. 28. $174.94 17.43% 3,970.15 -2.61%
50. 2023. 3. 31. $211.94 21.15% 4,109.31 3.51%
51. 2023. 4. 30. $240.32 13.39% 4,169.48 1.46%
52. 2023. 5. 31. $264.72 10.15% 4,179.83 0.25%
53. 2023. 6. 30. $286.98 8.41% 4,376.86 4.71%
54. 2023. 7. 31. $318.60 11.02% 4,588.96 4.85%
55. 2023. 8. 31. $295.89 -7.13% 4,507.66 -1.77%
56. 2023. 9. 30. $300.21 1.46% 4,288.05 -4.87%
57. 2023. 10. 31. $301.27 0.35% 4,193.80 -2.20%
58. 2023. 11. 30. $327.15 8.59% 4,567.80 8.92%
59. 2023. 12. 31. $353.96 8.20% 4,769.83 4.42%
평균의 (R): 1.97% 1.11%
표준 편차: 11.55% 5.31%

모두 표시

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

2 기간 t 동안 META의 보통주에 대한 수익률.

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


분산과 공분산

Meta Platforms Inc., 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RMETA,t RS&P 500,t (RMETA,tRMETA)2 (RS&P 500,tRS&P 500)2 (RMETA,tRMETA)×(RS&P 500,tRS&P 500)
1. 2019. 2. 28. -3.14% 2.97% 26.16 3.49 -9.55
2. 2019. 3. 31. 3.25% 1.79% 1.63 0.47 0.88
3. 2019. 4. 30. 16.02% 3.93% 197.49 7.98 39.71
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023. 11. 30. 8.59% 8.92% 43.82 61.03 51.71
59. 2023. 12. 31. 8.20% 4.42% 38.74 11.00 20.65
합계 (Σ): 7,736.29 1,634.30 1,894.10
t 날짜 RMETA,t RS&P 500,t (RMETA,tRMETA)2 (RS&P 500,tRS&P 500)2 (RMETA,tRMETA)×(RS&P 500,tRS&P 500)
1. 2019. 2. 28. -3.14% 2.97% 26.16 3.49 -9.55
2. 2019. 3. 31. 3.25% 1.79% 1.63 0.47 0.88
3. 2019. 4. 30. 16.02% 3.93% 197.49 7.98 39.71
4. 2019. 5. 31. -8.24% -6.58% 104.19 59.04 78.43
5. 2019. 6. 30. 8.75% 6.89% 45.97 33.49 39.24
6. 2019. 7. 31. 0.64% 1.31% 1.78 0.04 -0.28
7. 2019. 8. 31. -4.41% -1.81% 40.68 8.50 18.59
8. 2019. 9. 30. -4.09% 1.72% 36.71 0.37 -3.71
9. 2019. 10. 31. 7.62% 2.04% 31.92 0.88 5.30
10. 2019. 11. 30. 5.21% 3.40% 10.51 5.28 7.45
11. 2019. 12. 31. 1.79% 2.86% 0.03 3.07 -0.32
12. 2020. 1. 31. -1.63% -0.16% 12.95 1.61 4.56
13. 2020. 2. 29. -4.68% -8.41% 44.17 90.57 63.25
14. 2020. 3. 31. -13.34% -12.51% 234.33 185.44 208.46
15. 2020. 4. 30. 22.73% 12.68% 430.86 134.06 240.34
16. 2020. 5. 31. 9.96% 4.53% 63.76 11.71 27.33
17. 2020. 6. 30. 0.88% 1.84% 1.19 0.54 -0.80
18. 2020. 7. 31. 11.71% 5.51% 94.94 19.40 42.91
19. 2020. 8. 31. 15.58% 7.01% 185.30 34.82 80.32
20. 2020. 9. 30. -10.68% -3.92% 159.92 25.29 63.59
21. 2020. 10. 31. 0.46% -2.77% 2.28 15.00 5.84
22. 2020. 11. 30. 5.27% 10.75% 10.87 93.10 31.81
23. 2020. 12. 31. -1.38% 3.71% 11.20 6.79 -8.72
24. 2021. 1. 31. -5.43% -1.11% 54.76 4.93 16.42
25. 2021. 2. 28. -0.27% 2.61% 5.04 2.26 -3.38
26. 2021. 3. 31. 14.33% 4.24% 152.69 9.85 38.78
27. 2021. 4. 30. 10.37% 5.24% 70.59 17.11 34.76
28. 2021. 5. 31. 1.12% 0.55% 0.72 0.31 0.47
29. 2021. 6. 30. 5.77% 2.22% 14.46 1.24 4.24
30. 2021. 7. 31. 2.47% 2.27% 0.25 1.37 0.58
31. 2021. 8. 31. 6.48% 2.90% 20.31 3.22 8.08
32. 2021. 9. 30. -10.54% -4.76% 156.54 34.37 73.35
33. 2021. 10. 31. -4.66% 6.91% 43.98 33.74 -38.52
34. 2021. 11. 30. 0.28% -0.83% 2.88 3.76 3.29
35. 2021. 12. 31. 3.66% 4.36% 2.87 10.60 5.51
36. 2022. 1. 31. -6.86% -5.26% 78.07 40.51 56.23
37. 2022. 2. 28. -32.63% -3.14% 1,197.50 17.99 146.79
38. 2022. 3. 31. 5.37% 3.58% 11.55 6.11 8.40
39. 2022. 4. 30. -9.84% -8.80% 139.60 98.04 116.99
40. 2022. 5. 31. -3.41% 0.01% 28.92 1.21 5.92
41. 2022. 6. 30. -16.73% -8.39% 349.60 90.21 177.59
42. 2022. 7. 31. -1.33% 9.11% 10.92 64.09 -26.45
43. 2022. 8. 31. 2.41% -4.24% 0.19 28.62 -2.34
44. 2022. 9. 30. -16.72% -9.34% 349.53 109.11 195.28
45. 2022. 10. 31. -31.34% 7.99% 1,109.50 47.34 -229.18
46. 2022. 11. 30. 26.77% 5.38% 615.06 18.23 105.88
47. 2022. 12. 31. 1.90% -5.90% 0.01 49.04 0.52
48. 2023. 1. 31. 23.79% 6.18% 476.12 25.70 110.62
49. 2023. 2. 28. 17.43% -2.61% 239.09 13.82 -57.48
50. 2023. 3. 31. 21.15% 3.51% 367.85 5.76 46.02
51. 2023. 4. 30. 13.39% 1.46% 130.42 0.13 4.09
52. 2023. 5. 31. 10.15% 0.25% 66.95 0.74 -7.02
53. 2023. 6. 30. 8.41% 4.71% 41.45 13.02 23.23
54. 2023. 7. 31. 11.02% 4.85% 81.86 13.99 33.84
55. 2023. 8. 31. -7.13% -1.77% 82.79 8.28 26.18
56. 2023. 9. 30. 1.46% -4.87% 0.26 35.73 3.05
57. 2023. 10. 31. 0.35% -2.20% 2.62 10.92 5.34
58. 2023. 11. 30. 8.59% 8.92% 43.82 61.03 51.71
59. 2023. 12. 31. 8.20% 4.42% 38.74 11.00 20.65
합계 (Σ): 7,736.29 1,634.30 1,894.10

모두 표시

분산META = Σ(RMETA,tRMETA)2 ÷ (59 – 1)
= 7,736.29 ÷ (59 – 1)
= 133.38

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

공분산META, S&P 500 = Σ(RMETA,tRMETA)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,894.10 ÷ (59 – 1)
= 32.66


체계적인 위험 추정 (β)

Microsoft Excel
분산META 133.38
분산S&P 500 28.18
공분산META, S&P 500 32.66
상관 계수META, S&P 5001 0.53
βMETA2 1.16
αMETA3 0.69%

계산

1 상관 계수META, S&P 500
= 공분산META, S&P 500 ÷ (표준 편차META × 표준 편차S&P 500)
= 32.66 ÷ (11.55% × 5.31%)
= 0.53

2 βMETA
= 공분산META, S&P 500 ÷ 분산S&P 500
= 32.66 ÷ 28.18
= 1.16

3 αMETA
= 평균의META – βMETA × 평균의S&P 500
= 1.97%1.16 × 1.11%
= 0.69%


예상 수익률

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.51%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 12.81%
보통주의 체계적 위험Meta βMETA 1.16
 
Meta 보통주의 예상 수익률3 E(RMETA) 14.13%

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(RMETA) = RF + βMETA [E(RM) – RF]
= 4.51% + 1.16 [12.81%4.51%]
= 14.13%