자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Meta보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Meta Platforms Inc., 월별 수익률
| Meta Platforms Inc. (META) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값META,t1 | 피제수META,t1 | RMETA,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 1. 31. | $201.91 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $192.47 | -4.68% | 2,954.22 | -8.41% | |
| 2. | 2020. 3. 31. | $166.80 | -13.34% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $204.71 | 22.73% | 2,912.43 | 12.68% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | $574.32 | 1.19% | 6,032.38 | 5.73% | |
| 59. | 2024. 12. 31. | $585.51 | $0.50 | 2.04% | 5,881.63 | -2.50% |
| 평균의 (R): | 2.56% | 1.16% | ||||
| 표준 편차: | 11.96% | 5.28% | ||||
| Meta Platforms Inc. (META) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값META,t1 | 피제수META,t1 | RMETA,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 1. 31. | $201.91 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $192.47 | -4.68% | 2,954.22 | -8.41% | |
| 2. | 2020. 3. 31. | $166.80 | -13.34% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $204.71 | 22.73% | 2,912.43 | 12.68% | |
| 4. | 2020. 5. 31. | $225.09 | 9.96% | 3,044.31 | 4.53% | |
| 5. | 2020. 6. 30. | $227.07 | 0.88% | 3,100.29 | 1.84% | |
| 6. | 2020. 7. 31. | $253.67 | 11.71% | 3,271.12 | 5.51% | |
| 7. | 2020. 8. 31. | $293.20 | 15.58% | 3,500.31 | 7.01% | |
| 8. | 2020. 9. 30. | $261.90 | -10.68% | 3,363.00 | -3.92% | |
| 9. | 2020. 10. 31. | $263.11 | 0.46% | 3,269.96 | -2.77% | |
| 10. | 2020. 11. 30. | $276.97 | 5.27% | 3,621.63 | 10.75% | |
| 11. | 2020. 12. 31. | $273.16 | -1.38% | 3,756.07 | 3.71% | |
| 12. | 2021. 1. 31. | $258.33 | -5.43% | 3,714.24 | -1.11% | |
| 13. | 2021. 2. 28. | $257.62 | -0.27% | 3,811.15 | 2.61% | |
| 14. | 2021. 3. 31. | $294.53 | 14.33% | 3,972.89 | 4.24% | |
| 15. | 2021. 4. 30. | $325.08 | 10.37% | 4,181.17 | 5.24% | |
| 16. | 2021. 5. 31. | $328.73 | 1.12% | 4,204.11 | 0.55% | |
| 17. | 2021. 6. 30. | $347.71 | 5.77% | 4,297.50 | 2.22% | |
| 18. | 2021. 7. 31. | $356.30 | 2.47% | 4,395.26 | 2.27% | |
| 19. | 2021. 8. 31. | $379.38 | 6.48% | 4,522.68 | 2.90% | |
| 20. | 2021. 9. 30. | $339.39 | -10.54% | 4,307.54 | -4.76% | |
| 21. | 2021. 10. 31. | $323.57 | -4.66% | 4,605.38 | 6.91% | |
| 22. | 2021. 11. 30. | $324.46 | 0.28% | 4,567.00 | -0.83% | |
| 23. | 2021. 12. 31. | $336.35 | 3.66% | 4,766.18 | 4.36% | |
| 24. | 2022. 1. 31. | $313.26 | -6.86% | 4,515.55 | -5.26% | |
| 25. | 2022. 2. 28. | $211.03 | -32.63% | 4,373.94 | -3.14% | |
| 26. | 2022. 3. 31. | $222.36 | 5.37% | 4,530.41 | 3.58% | |
| 27. | 2022. 4. 30. | $200.47 | -9.84% | 4,131.93 | -8.80% | |
| 28. | 2022. 5. 31. | $193.64 | -3.41% | 4,132.15 | 0.01% | |
| 29. | 2022. 6. 30. | $161.25 | -16.73% | 3,785.38 | -8.39% | |
| 30. | 2022. 7. 31. | $159.10 | -1.33% | 4,130.29 | 9.11% | |
| 31. | 2022. 8. 31. | $162.93 | 2.41% | 3,955.00 | -4.24% | |
| 32. | 2022. 9. 30. | $135.68 | -16.72% | 3,585.62 | -9.34% | |
| 33. | 2022. 10. 31. | $93.16 | -31.34% | 3,871.98 | 7.99% | |
| 34. | 2022. 11. 30. | $118.10 | 26.77% | 4,080.11 | 5.38% | |
| 35. | 2022. 12. 31. | $120.34 | 1.90% | 3,839.50 | -5.90% | |
| 36. | 2023. 1. 31. | $148.97 | 23.79% | 4,076.60 | 6.18% | |
| 37. | 2023. 2. 28. | $174.94 | 17.43% | 3,970.15 | -2.61% | |
| 38. | 2023. 3. 31. | $211.94 | 21.15% | 4,109.31 | 3.51% | |
| 39. | 2023. 4. 30. | $240.32 | 13.39% | 4,169.48 | 1.46% | |
| 40. | 2023. 5. 31. | $264.72 | 10.15% | 4,179.83 | 0.25% | |
| 41. | 2023. 6. 30. | $286.98 | 8.41% | 4,376.86 | 4.71% | |
| 42. | 2023. 7. 31. | $318.60 | 11.02% | 4,588.96 | 4.85% | |
| 43. | 2023. 8. 31. | $295.89 | -7.13% | 4,507.66 | -1.77% | |
| 44. | 2023. 9. 30. | $300.21 | 1.46% | 4,288.05 | -4.87% | |
| 45. | 2023. 10. 31. | $301.27 | 0.35% | 4,193.80 | -2.20% | |
| 46. | 2023. 11. 30. | $327.15 | 8.59% | 4,567.80 | 8.92% | |
| 47. | 2023. 12. 31. | $353.96 | 8.20% | 4,769.83 | 4.42% | |
| 48. | 2024. 1. 31. | $390.14 | 10.22% | 4,845.65 | 1.59% | |
| 49. | 2024. 2. 29. | $490.13 | $0.50 | 25.76% | 5,096.27 | 5.17% |
| 50. | 2024. 3. 31. | $485.58 | -0.93% | 5,254.35 | 3.10% | |
| 51. | 2024. 4. 30. | $430.17 | -11.41% | 5,035.69 | -4.16% | |
| 52. | 2024. 5. 31. | $466.83 | 8.52% | 5,277.51 | 4.80% | |
| 53. | 2024. 6. 30. | $504.22 | $0.50 | 8.12% | 5,460.48 | 3.47% |
| 54. | 2024. 7. 31. | $474.83 | -5.83% | 5,522.30 | 1.13% | |
| 55. | 2024. 8. 31. | $521.31 | 9.79% | 5,648.40 | 2.28% | |
| 56. | 2024. 9. 30. | $572.44 | $0.50 | 9.90% | 5,762.48 | 2.02% |
| 57. | 2024. 10. 31. | $567.58 | -0.85% | 5,705.45 | -0.99% | |
| 58. | 2024. 11. 30. | $574.32 | 1.19% | 6,032.38 | 5.73% | |
| 59. | 2024. 12. 31. | $585.51 | $0.50 | 2.04% | 5,881.63 | -2.50% |
| 평균의 (R): | 2.56% | 1.16% | ||||
| 표준 편차: | 11.96% | 5.28% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 t 기간 동안 META의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Meta Platforms Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RMETA,t | RS&P 500,t | (RMETA,t–RMETA)2 | (RS&P 500,t–RS&P 500)2 | (RMETA,t–RMETA)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020. 2. 29. | -4.68% | -8.41% | 52.34 | 91.63 | 69.25 |
| 2. | 2020. 3. 31. | -13.34% | -12.51% | 252.70 | 186.96 | 217.36 |
| 3. | 2020. 4. 30. | 22.73% | 12.68% | 406.76 | 132.78 | 232.40 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | 1.19% | 5.73% | 1.88 | 20.87 | -6.27 |
| 59. | 2024. 12. 31. | 2.04% | -2.50% | 0.27 | 13.40 | 1.92 |
| 합계 (Σ): | 8,301.35 | 1,618.62 | 1,934.32 | |||
| t | 날짜 | RMETA,t | RS&P 500,t | (RMETA,t–RMETA)2 | (RS&P 500,t–RS&P 500)2 | (RMETA,t–RMETA)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020. 2. 29. | -4.68% | -8.41% | 52.34 | 91.63 | 69.25 |
| 2. | 2020. 3. 31. | -13.34% | -12.51% | 252.70 | 186.96 | 217.36 |
| 3. | 2020. 4. 30. | 22.73% | 12.68% | 406.76 | 132.78 | 232.40 |
| 4. | 2020. 5. 31. | 9.96% | 4.53% | 54.70 | 11.34 | 24.90 |
| 5. | 2020. 6. 30. | 0.88% | 1.84% | 2.82 | 0.46 | -1.14 |
| 6. | 2020. 7. 31. | 11.71% | 5.51% | 83.81 | 18.91 | 39.81 |
| 7. | 2020. 8. 31. | 15.58% | 7.01% | 169.62 | 34.17 | 76.13 |
| 8. | 2020. 9. 30. | -10.68% | -3.92% | 175.16 | 25.85 | 67.29 |
| 9. | 2020. 10. 31. | 0.46% | -2.77% | 4.40 | 15.43 | 8.24 |
| 10. | 2020. 11. 30. | 5.27% | 10.75% | 7.34 | 92.03 | 25.98 |
| 11. | 2020. 12. 31. | -1.38% | 3.71% | 15.48 | 6.51 | -10.04 |
| 12. | 2021. 1. 31. | -5.43% | -1.11% | 63.82 | 5.18 | 18.17 |
| 13. | 2021. 2. 28. | -0.27% | 2.61% | 8.03 | 2.10 | -4.10 |
| 14. | 2021. 3. 31. | 14.33% | 4.24% | 138.48 | 9.50 | 36.28 |
| 15. | 2021. 4. 30. | 10.37% | 5.24% | 61.04 | 16.66 | 31.89 |
| 16. | 2021. 5. 31. | 1.12% | 0.55% | 2.06 | 0.38 | 0.88 |
| 17. | 2021. 6. 30. | 5.77% | 2.22% | 10.33 | 1.12 | 3.41 |
| 18. | 2021. 7. 31. | 2.47% | 2.27% | 0.01 | 1.24 | -0.10 |
| 19. | 2021. 8. 31. | 6.48% | 2.90% | 15.35 | 3.02 | 6.81 |
| 20. | 2021. 9. 30. | -10.54% | -4.76% | 171.62 | 35.02 | 77.53 |
| 21. | 2021. 10. 31. | -4.66% | 6.91% | 52.14 | 33.10 | -41.54 |
| 22. | 2021. 11. 30. | 0.28% | -0.83% | 5.22 | 3.98 | 4.56 |
| 23. | 2021. 12. 31. | 3.66% | 4.36% | 1.22 | 10.24 | 3.54 |
| 24. | 2022. 1. 31. | -6.86% | -5.26% | 88.82 | 41.21 | 60.50 |
| 25. | 2022. 2. 28. | -32.63% | -3.14% | 1,238.59 | 18.47 | 151.24 |
| 26. | 2022. 3. 31. | 5.37% | 3.58% | 7.89 | 5.84 | 6.79 |
| 27. | 2022. 4. 30. | -9.84% | -8.80% | 153.85 | 99.14 | 123.50 |
| 28. | 2022. 5. 31. | -3.41% | 0.01% | 35.60 | 1.34 | 6.90 |
| 29. | 2022. 6. 30. | -16.73% | -8.39% | 371.96 | 91.26 | 184.25 |
| 30. | 2022. 7. 31. | -1.33% | 9.11% | 15.15 | 63.21 | -30.95 |
| 31. | 2022. 8. 31. | 2.41% | -4.24% | 0.02 | 29.22 | 0.82 |
| 32. | 2022. 9. 30. | -16.72% | -9.34% | 371.89 | 110.27 | 202.50 |
| 33. | 2022. 10. 31. | -31.34% | 7.99% | 1,149.07 | 46.58 | -231.36 |
| 34. | 2022. 11. 30. | 26.77% | 5.38% | 586.21 | 17.76 | 102.03 |
| 35. | 2022. 12. 31. | 1.90% | -5.90% | 0.44 | 49.82 | 4.68 |
| 36. | 2023. 1. 31. | 23.79% | 6.18% | 450.78 | 25.14 | 106.45 |
| 37. | 2023. 2. 28. | 17.43% | -2.61% | 221.22 | 14.23 | -56.11 |
| 38. | 2023. 3. 31. | 21.15% | 3.51% | 345.61 | 5.49 | 43.57 |
| 39. | 2023. 4. 30. | 13.39% | 1.46% | 117.31 | 0.09 | 3.28 |
| 40. | 2023. 5. 31. | 10.15% | 0.25% | 57.66 | 0.83 | -6.93 |
| 41. | 2023. 6. 30. | 8.41% | 4.71% | 34.22 | 12.62 | 20.78 |
| 42. | 2023. 7. 31. | 11.02% | 4.85% | 71.55 | 13.58 | 31.17 |
| 43. | 2023. 8. 31. | -7.13% | -1.77% | 93.85 | 8.60 | 28.41 |
| 44. | 2023. 9. 30. | 1.46% | -4.87% | 1.21 | 36.40 | 6.63 |
| 45. | 2023. 10. 31. | 0.35% | -2.20% | 4.87 | 11.28 | 7.41 |
| 46. | 2023. 11. 30. | 8.59% | 8.92% | 36.37 | 60.17 | 46.78 |
| 47. | 2023. 12. 31. | 8.20% | 4.42% | 31.76 | 10.64 | 18.38 |
| 48. | 2024. 1. 31. | 10.22% | 1.59% | 58.71 | 0.18 | 3.28 |
| 49. | 2024. 2. 29. | 25.76% | 5.17% | 538.15 | 16.09 | 93.04 |
| 50. | 2024. 3. 31. | -0.93% | 3.10% | 12.16 | 3.77 | -6.77 |
| 51. | 2024. 4. 30. | -11.41% | -4.16% | 195.18 | 28.33 | 74.36 |
| 52. | 2024. 5. 31. | 8.52% | 4.80% | 35.55 | 13.26 | 21.71 |
| 53. | 2024. 6. 30. | 8.12% | 3.47% | 30.88 | 5.32 | 12.81 |
| 54. | 2024. 7. 31. | -5.83% | 1.13% | 70.36 | 0.00 | 0.24 |
| 55. | 2024. 8. 31. | 9.79% | 2.28% | 52.26 | 1.26 | 8.11 |
| 56. | 2024. 9. 30. | 9.90% | 2.02% | 53.94 | 0.74 | 6.30 |
| 57. | 2024. 10. 31. | -0.85% | -0.99% | 11.62 | 4.63 | 7.33 |
| 58. | 2024. 11. 30. | 1.19% | 5.73% | 1.88 | 20.87 | -6.27 |
| 59. | 2024. 12. 31. | 2.04% | -2.50% | 0.27 | 13.40 | 1.92 |
| 합계 (Σ): | 8,301.35 | 1,618.62 | 1,934.32 | |||
모두 보기
분산META = Σ(RMETA,t–RMETA)2 ÷ (59 – 1)
= 8,301.35 ÷ (59 – 1)
= 143.13
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91
공분산META, S&P 500 = Σ(RMETA,t–RMETA)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,934.32 ÷ (59 – 1)
= 33.35
체계적인 위험 추정 (β)
| 분산META | 143.13 |
| 분산S&P 500 | 27.91 |
| 공분산META, S&P 500 | 33.35 |
| 상관 계수META, S&P 5001 | 0.53 |
| βMETA2 | 1.20 |
| αMETA3 | 1.17% |
계산
1 상관 계수META, S&P 500
= 공분산META, S&P 500 ÷ (표준 편차META × 표준 편차S&P 500)
= 33.35 ÷ (11.96% × 5.28%)
= 0.53
2 βMETA
= 공분산META, S&P 500 ÷ 분산S&P 500
= 33.35 ÷ 27.91
= 1.20
3 αMETA
= 평균의META – βMETA × 평균의S&P 500
= 2.56% – 1.20 × 1.16%
= 1.17%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.53% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.88% |
| 보통주의 체계적 위험Meta | βMETA | 1.20 |
| Meta 보통주의 예상 수익률3 | E(RMETA) | 16.90% |
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(RMETA) = RF + βMETA [E(RM) – RF]
= 4.53% + 1.20 [14.88% – 4.53%]
= 16.90%