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 |
| 2021. 1. 31. | $258.33 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $257.62 | -0.27% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $294.53 | 14.33% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $325.08 | 10.37% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | $647.95 | -0.06% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $660.09 | $0.525 | 1.95% | 6,845.50 | -0.05% |
| 평균의 (R): | 2.34% | 1.14% | ||||
| 표준 편차: | 11.91% | 4.37% | ||||
| 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 |
| 2021. 1. 31. | $258.33 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $257.62 | -0.27% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $294.53 | 14.33% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $325.08 | 10.37% | 4,181.17 | 5.24% | |
| 4. | 2021. 5. 31. | $328.73 | 1.12% | 4,204.11 | 0.55% | |
| 5. | 2021. 6. 30. | $347.71 | 5.77% | 4,297.50 | 2.22% | |
| 6. | 2021. 7. 31. | $356.30 | 2.47% | 4,395.26 | 2.27% | |
| 7. | 2021. 8. 31. | $379.38 | 6.48% | 4,522.68 | 2.90% | |
| 8. | 2021. 9. 30. | $339.39 | -10.54% | 4,307.54 | -4.76% | |
| 9. | 2021. 10. 31. | $323.57 | -4.66% | 4,605.38 | 6.91% | |
| 10. | 2021. 11. 30. | $324.46 | 0.28% | 4,567.00 | -0.83% | |
| 11. | 2021. 12. 31. | $336.35 | 3.66% | 4,766.18 | 4.36% | |
| 12. | 2022. 1. 31. | $313.26 | -6.86% | 4,515.55 | -5.26% | |
| 13. | 2022. 2. 28. | $211.03 | -32.63% | 4,373.94 | -3.14% | |
| 14. | 2022. 3. 31. | $222.36 | 5.37% | 4,530.41 | 3.58% | |
| 15. | 2022. 4. 30. | $200.47 | -9.84% | 4,131.93 | -8.80% | |
| 16. | 2022. 5. 31. | $193.64 | -3.41% | 4,132.15 | 0.01% | |
| 17. | 2022. 6. 30. | $161.25 | -16.73% | 3,785.38 | -8.39% | |
| 18. | 2022. 7. 31. | $159.10 | -1.33% | 4,130.29 | 9.11% | |
| 19. | 2022. 8. 31. | $162.93 | 2.41% | 3,955.00 | -4.24% | |
| 20. | 2022. 9. 30. | $135.68 | -16.72% | 3,585.62 | -9.34% | |
| 21. | 2022. 10. 31. | $93.16 | -31.34% | 3,871.98 | 7.99% | |
| 22. | 2022. 11. 30. | $118.10 | 26.77% | 4,080.11 | 5.38% | |
| 23. | 2022. 12. 31. | $120.34 | 1.90% | 3,839.50 | -5.90% | |
| 24. | 2023. 1. 31. | $148.97 | 23.79% | 4,076.60 | 6.18% | |
| 25. | 2023. 2. 28. | $174.94 | 17.43% | 3,970.15 | -2.61% | |
| 26. | 2023. 3. 31. | $211.94 | 21.15% | 4,109.31 | 3.51% | |
| 27. | 2023. 4. 30. | $240.32 | 13.39% | 4,169.48 | 1.46% | |
| 28. | 2023. 5. 31. | $264.72 | 10.15% | 4,179.83 | 0.25% | |
| 29. | 2023. 6. 30. | $286.98 | 8.41% | 4,376.86 | 4.71% | |
| 30. | 2023. 7. 31. | $318.60 | 11.02% | 4,588.96 | 4.85% | |
| 31. | 2023. 8. 31. | $295.89 | -7.13% | 4,507.66 | -1.77% | |
| 32. | 2023. 9. 30. | $300.21 | 1.46% | 4,288.05 | -4.87% | |
| 33. | 2023. 10. 31. | $301.27 | 0.35% | 4,193.80 | -2.20% | |
| 34. | 2023. 11. 30. | $327.15 | 8.59% | 4,567.80 | 8.92% | |
| 35. | 2023. 12. 31. | $353.96 | 8.20% | 4,769.83 | 4.42% | |
| 36. | 2024. 1. 31. | $390.14 | 10.22% | 4,845.65 | 1.59% | |
| 37. | 2024. 2. 29. | $490.13 | $0.50 | 25.76% | 5,096.27 | 5.17% |
| 38. | 2024. 3. 31. | $485.58 | -0.93% | 5,254.35 | 3.10% | |
| 39. | 2024. 4. 30. | $430.17 | -11.41% | 5,035.69 | -4.16% | |
| 40. | 2024. 5. 31. | $466.83 | 8.52% | 5,277.51 | 4.80% | |
| 41. | 2024. 6. 30. | $504.22 | $0.50 | 8.12% | 5,460.48 | 3.47% |
| 42. | 2024. 7. 31. | $474.83 | -5.83% | 5,522.30 | 1.13% | |
| 43. | 2024. 8. 31. | $521.31 | 9.79% | 5,648.40 | 2.28% | |
| 44. | 2024. 9. 30. | $572.44 | $0.50 | 9.90% | 5,762.48 | 2.02% |
| 45. | 2024. 10. 31. | $567.58 | -0.85% | 5,705.45 | -0.99% | |
| 46. | 2024. 11. 30. | $574.32 | 1.19% | 6,032.38 | 5.73% | |
| 47. | 2024. 12. 31. | $585.51 | $0.50 | 2.04% | 5,881.63 | -2.50% |
| 48. | 2025. 1. 31. | $689.18 | 17.71% | 6,040.53 | 2.70% | |
| 49. | 2025. 2. 28. | $668.20 | -3.04% | 5,954.50 | -1.42% | |
| 50. | 2025. 3. 31. | $576.36 | $0.525 | -13.67% | 5,611.85 | -5.75% |
| 51. | 2025. 4. 30. | $549.00 | -4.75% | 5,569.06 | -0.76% | |
| 52. | 2025. 5. 31. | $647.49 | 17.94% | 5,911.69 | 6.15% | |
| 53. | 2025. 6. 30. | $738.09 | $0.525 | 14.07% | 6,204.95 | 4.96% |
| 54. | 2025. 7. 31. | $773.44 | 4.79% | 6,339.39 | 2.17% | |
| 55. | 2025. 8. 31. | $738.70 | -4.49% | 6,460.26 | 1.91% | |
| 56. | 2025. 9. 30. | $734.38 | $0.525 | -0.51% | 6,688.46 | 3.53% |
| 57. | 2025. 10. 31. | $648.35 | -11.71% | 6,840.20 | 2.27% | |
| 58. | 2025. 11. 30. | $647.95 | -0.06% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $660.09 | $0.525 | 1.95% | 6,845.50 | -0.05% |
| 평균의 (R): | 2.34% | 1.14% | ||||
| 표준 편차: | 11.91% | 4.37% | ||||
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. | 2021. 2. 28. | -0.27% | 2.61% | 6.84 | 2.17 | -3.85 |
| 2. | 2021. 3. 31. | 14.33% | 4.24% | 143.67 | 9.66 | 37.25 |
| 3. | 2021. 4. 30. | 10.37% | 5.24% | 64.50 | 16.86 | 32.98 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | -0.06% | 0.13% | 5.77 | 1.01 | 2.42 |
| 59. | 2025. 12. 31. | 1.95% | -0.05% | 0.15 | 1.41 | 0.46 |
| 합계 (Σ): | 8,231.30 | 1,108.23 | 1,427.56 | |||
| 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. | 2021. 2. 28. | -0.27% | 2.61% | 6.84 | 2.17 | -3.85 |
| 2. | 2021. 3. 31. | 14.33% | 4.24% | 143.67 | 9.66 | 37.25 |
| 3. | 2021. 4. 30. | 10.37% | 5.24% | 64.50 | 16.86 | 32.98 |
| 4. | 2021. 5. 31. | 1.12% | 0.55% | 1.48 | 0.35 | 0.72 |
| 5. | 2021. 6. 30. | 5.77% | 2.22% | 11.78 | 1.18 | 3.73 |
| 6. | 2021. 7. 31. | 2.47% | 2.27% | 0.02 | 1.30 | 0.15 |
| 7. | 2021. 8. 31. | 6.48% | 2.90% | 17.11 | 3.11 | 7.29 |
| 8. | 2021. 9. 30. | -10.54% | -4.76% | 165.95 | 34.73 | 75.91 |
| 9. | 2021. 10. 31. | -4.66% | 6.91% | 49.04 | 33.39 | -40.46 |
| 10. | 2021. 11. 30. | 0.28% | -0.83% | 4.27 | 3.88 | 4.07 |
| 11. | 2021. 12. 31. | 3.66% | 4.36% | 1.75 | 10.40 | 4.27 |
| 12. | 2022. 1. 31. | -6.86% | -5.26% | 84.75 | 40.89 | 58.87 |
| 13. | 2022. 2. 28. | -32.63% | -3.14% | 1,223.28 | 18.25 | 149.42 |
| 14. | 2022. 3. 31. | 5.37% | 3.58% | 9.17 | 5.96 | 7.39 |
| 15. | 2022. 4. 30. | -9.84% | -8.80% | 148.49 | 98.64 | 121.03 |
| 16. | 2022. 5. 31. | -3.41% | 0.01% | 33.04 | 1.28 | 6.50 |
| 17. | 2022. 6. 30. | -16.73% | -8.39% | 363.59 | 90.79 | 181.68 |
| 18. | 2022. 7. 31. | -1.33% | 9.11% | 13.50 | 63.61 | -29.31 |
| 19. | 2022. 8. 31. | 2.41% | -4.24% | 0.00 | 28.95 | -0.36 |
| 20. | 2022. 9. 30. | -16.72% | -9.34% | 363.52 | 109.74 | 199.73 |
| 21. | 2022. 10. 31. | -31.34% | 7.99% | 1,134.32 | 46.93 | -230.71 |
| 22. | 2022. 11. 30. | 26.77% | 5.38% | 596.82 | 17.97 | 103.56 |
| 23. | 2022. 12. 31. | 1.90% | -5.90% | 0.20 | 49.47 | 3.13 |
| 24. | 2023. 1. 31. | 23.79% | 6.18% | 460.09 | 25.39 | 108.09 |
| 25. | 2023. 2. 28. | 17.43% | -2.61% | 227.76 | 14.04 | -56.55 |
| 26. | 2023. 3. 31. | 21.15% | 3.51% | 353.77 | 5.61 | 44.56 |
| 27. | 2023. 4. 30. | 13.39% | 1.46% | 122.09 | 0.11 | 3.63 |
| 28. | 2023. 5. 31. | 10.15% | 0.25% | 61.03 | 0.79 | -6.94 |
| 29. | 2023. 6. 30. | 8.41% | 4.71% | 36.82 | 12.80 | 21.71 |
| 30. | 2023. 7. 31. | 11.02% | 4.85% | 75.29 | 13.76 | 32.19 |
| 31. | 2023. 8. 31. | -7.13% | -1.77% | 89.67 | 8.46 | 27.53 |
| 32. | 2023. 9. 30. | 1.46% | -4.87% | 0.78 | 36.10 | 5.29 |
| 33. | 2023. 10. 31. | 0.35% | -2.20% | 3.95 | 11.12 | 6.63 |
| 34. | 2023. 11. 30. | 8.59% | 8.92% | 39.05 | 60.56 | 48.63 |
| 35. | 2023. 12. 31. | 8.20% | 4.42% | 34.27 | 10.80 | 19.24 |
| 36. | 2024. 1. 31. | 10.22% | 1.59% | 62.10 | 0.21 | 3.57 |
| 37. | 2024. 2. 29. | 25.76% | 5.17% | 548.32 | 16.29 | 94.51 |
| 38. | 2024. 3. 31. | -0.93% | 3.10% | 10.69 | 3.86 | -6.43 |
| 39. | 2024. 4. 30. | -11.41% | -4.16% | 189.13 | 28.06 | 72.85 |
| 40. | 2024. 5. 31. | 8.52% | 4.80% | 38.20 | 13.44 | 22.66 |
| 41. | 2024. 6. 30. | 8.12% | 3.47% | 33.35 | 5.43 | 13.46 |
| 42. | 2024. 7. 31. | -5.83% | 1.13% | 66.75 | 0.00 | 0.03 |
| 43. | 2024. 8. 31. | 9.79% | 2.28% | 55.47 | 1.32 | 8.54 |
| 44. | 2024. 9. 30. | 9.90% | 2.02% | 57.19 | 0.78 | 6.68 |
| 45. | 2024. 10. 31. | -0.85% | -0.99% | 10.18 | 4.52 | 6.78 |
| 46. | 2024. 11. 30. | 1.19% | 5.73% | 1.33 | 21.10 | -5.30 |
| 47. | 2024. 12. 31. | 2.04% | -2.50% | 0.09 | 13.21 | 1.11 |
| 48. | 2025. 1. 31. | 17.71% | 2.70% | 236.07 | 2.45 | 24.05 |
| 49. | 2025. 2. 28. | -3.04% | -1.42% | 29.00 | 6.56 | 13.79 |
| 50. | 2025. 3. 31. | -13.67% | -5.75% | 256.23 | 47.48 | 110.30 |
| 51. | 2025. 4. 30. | -4.75% | -0.76% | 50.24 | 3.60 | 13.46 |
| 52. | 2025. 5. 31. | 17.94% | 6.15% | 243.32 | 25.16 | 78.25 |
| 53. | 2025. 6. 30. | 14.07% | 4.96% | 137.65 | 14.63 | 44.87 |
| 54. | 2025. 7. 31. | 4.79% | 2.17% | 5.99 | 1.06 | 2.52 |
| 55. | 2025. 8. 31. | -4.49% | 1.91% | 46.69 | 0.59 | -5.26 |
| 56. | 2025. 9. 30. | -0.51% | 3.53% | 8.15 | 5.74 | -6.84 |
| 57. | 2025. 10. 31. | -11.71% | 2.27% | 197.57 | 1.28 | -15.92 |
| 58. | 2025. 11. 30. | -0.06% | 0.13% | 5.77 | 1.01 | 2.42 |
| 59. | 2025. 12. 31. | 1.95% | -0.05% | 0.15 | 1.41 | 0.46 |
| 합계 (Σ): | 8,231.30 | 1,108.23 | 1,427.56 | |||
모두 보기
분산META = Σ(RMETA,t–RMETA)2 ÷ (59 – 1)
= 8,231.30 ÷ (59 – 1)
= 141.92
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
공분산META, S&P 500 = Σ(RMETA,t–RMETA)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,427.56 ÷ (59 – 1)
= 24.61
체계적인 위험 추정 (β)
| 분산META | 141.92 |
| 분산S&P 500 | 19.11 |
| 공분산META, S&P 500 | 24.61 |
| 상관 계수META, S&P 5001 | 0.47 |
| βMETA2 | 1.29 |
| αMETA3 | 0.88% |
계산
1 상관 계수META, S&P 500
= 공분산META, S&P 500 ÷ (표준 편차META × 표준 편차S&P 500)
= 24.61 ÷ (11.91% × 4.37%)
= 0.47
2 βMETA
= 공분산META, S&P 500 ÷ 분산S&P 500
= 24.61 ÷ 19.11
= 1.29
3 αMETA
= 평균의META – βMETA × 평균의S&P 500
= 2.34% – 1.29 × 1.14%
= 0.88%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.54% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.37% |
| 보통주의 체계적 위험Meta | βMETA | 1.29 |
| Meta 보통주의 예상 수익률3 | E(RMETA) | 21.06% |
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]
= 4.54% + 1.29 [17.37% – 4.54%]
= 21.06%