자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Microchip보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Microchip Technology Inc., 월별 수익률
| Microchip Technology Inc. (MCHP) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값MCHP,t1 | 피제수MCHP,t1 | RMCHP,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2016. 4. 30. | $24.30 | 2,065.30 | ||||
| 1. | 2016. 5. 31. | $25.84 | $0.17975 | 7.08% | 2,096.95 | 1.53% |
| 2. | 2016. 6. 30. | $25.38 | -1.78% | 2,098.86 | 0.09% | |
| 3. | 2016. 7. 31. | $27.82 | 9.61% | 2,173.60 | 3.56% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2022. 2. 28. | $70.33 | $0.253 | -8.90% | 4,373.94 | -3.14% |
| 71. | 2022. 3. 31. | $75.14 | 6.84% | 4,530.41 | 3.58% | |
| 평균의 (R): | 2.20% | 1.20% | ||||
| 표준 편차: | 9.71% | 4.24% | ||||
| Microchip Technology Inc. (MCHP) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값MCHP,t1 | 피제수MCHP,t1 | RMCHP,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2016. 4. 30. | $24.30 | 2,065.30 | ||||
| 1. | 2016. 5. 31. | $25.84 | $0.17975 | 7.08% | 2,096.95 | 1.53% |
| 2. | 2016. 6. 30. | $25.38 | -1.78% | 2,098.86 | 0.09% | |
| 3. | 2016. 7. 31. | $27.82 | 9.61% | 2,173.60 | 3.56% | |
| 4. | 2016. 8. 31. | $30.96 | $0.18 | 11.93% | 2,170.95 | -0.12% |
| 5. | 2016. 9. 30. | $31.07 | 0.36% | 2,168.27 | -0.12% | |
| 6. | 2016. 10. 31. | $30.28 | -2.54% | 2,126.15 | -1.94% | |
| 7. | 2016. 11. 30. | $33.09 | $0.18025 | 9.88% | 2,198.81 | 3.42% |
| 8. | 2016. 12. 31. | $32.08 | -3.05% | 2,238.83 | 1.82% | |
| 9. | 2017. 1. 31. | $33.67 | 4.96% | 2,278.87 | 1.79% | |
| 10. | 2017. 2. 28. | $36.26 | $0.1805 | 8.23% | 2,363.64 | 3.72% |
| 11. | 2017. 3. 31. | $36.89 | 1.74% | 2,362.72 | -0.04% | |
| 12. | 2017. 4. 30. | $37.79 | 2.44% | 2,384.20 | 0.91% | |
| 13. | 2017. 5. 31. | $41.65 | $0.18075 | 10.69% | 2,411.80 | 1.16% |
| 14. | 2017. 6. 30. | $38.59 | -7.35% | 2,423.41 | 0.48% | |
| 15. | 2017. 7. 31. | $40.02 | 3.71% | 2,470.30 | 1.93% | |
| 16. | 2017. 8. 31. | $43.40 | $0.181 | 8.90% | 2,471.65 | 0.05% |
| 17. | 2017. 9. 30. | $44.89 | 3.43% | 2,519.36 | 1.93% | |
| 18. | 2017. 10. 31. | $47.40 | 5.59% | 2,575.26 | 2.22% | |
| 19. | 2017. 11. 30. | $43.49 | $0.18125 | -7.87% | 2,647.58 | 2.81% |
| 20. | 2017. 12. 31. | $43.94 | 1.03% | 2,673.61 | 0.98% | |
| 21. | 2018. 1. 31. | $47.61 | 8.35% | 2,823.81 | 5.62% | |
| 22. | 2018. 2. 28. | $44.47 | $0.1815 | -6.21% | 2,713.83 | -3.89% |
| 23. | 2018. 3. 31. | $45.68 | 2.72% | 2,640.87 | -2.69% | |
| 24. | 2018. 4. 30. | $41.83 | -8.43% | 2,648.05 | 0.27% | |
| 25. | 2018. 5. 31. | $48.69 | $0.18175 | 16.83% | 2,705.27 | 2.16% |
| 26. | 2018. 6. 30. | $45.47 | -6.61% | 2,718.37 | 0.48% | |
| 27. | 2018. 7. 31. | $46.72 | 2.75% | 2,816.29 | 3.60% | |
| 28. | 2018. 8. 31. | $43.01 | $0.182 | -7.55% | 2,901.52 | 3.03% |
| 29. | 2018. 9. 30. | $39.46 | -8.25% | 2,913.98 | 0.43% | |
| 30. | 2018. 10. 31. | $32.89 | -16.65% | 2,711.74 | -6.94% | |
| 31. | 2018. 11. 30. | $37.50 | $0.18225 | 14.57% | 2,760.17 | 1.79% |
| 32. | 2018. 12. 31. | $35.96 | -4.11% | 2,506.85 | -9.18% | |
| 33. | 2019. 1. 31. | $40.19 | 11.76% | 2,704.10 | 7.87% | |
| 34. | 2019. 2. 28. | $43.44 | $0.1825 | 8.54% | 2,784.49 | 2.97% |
| 35. | 2019. 3. 31. | $41.48 | -4.51% | 2,834.40 | 1.79% | |
| 36. | 2019. 4. 30. | $49.95 | 20.42% | 2,945.83 | 3.93% | |
| 37. | 2019. 5. 31. | $40.01 | $0.18275 | -19.53% | 2,752.06 | -6.58% |
| 38. | 2019. 6. 30. | $43.35 | 8.35% | 2,941.76 | 6.89% | |
| 39. | 2019. 7. 31. | $47.21 | 8.90% | 2,980.38 | 1.31% | |
| 40. | 2019. 8. 31. | $43.17 | $0.183 | -8.17% | 2,926.46 | -1.81% |
| 41. | 2019. 9. 30. | $46.46 | 7.62% | 2,976.74 | 1.72% | |
| 42. | 2019. 10. 31. | $47.15 | 1.49% | 3,037.56 | 2.04% | |
| 43. | 2019. 11. 30. | $47.27 | $0.18325 | 0.64% | 3,140.98 | 3.40% |
| 44. | 2019. 12. 31. | $52.36 | 10.77% | 3,230.78 | 2.86% | |
| 45. | 2020. 1. 31. | $48.74 | -6.91% | 3,225.52 | -0.16% | |
| 46. | 2020. 2. 29. | $45.36 | $0.1835 | -6.56% | 2,954.22 | -8.41% |
| 47. | 2020. 3. 31. | $33.90 | -25.26% | 2,584.59 | -12.51% | |
| 48. | 2020. 4. 30. | $43.87 | 29.41% | 2,912.43 | 12.68% | |
| 49. | 2020. 5. 31. | $48.01 | $0.18375 | 9.86% | 3,044.31 | 4.53% |
| 50. | 2020. 6. 30. | $52.65 | 9.66% | 3,100.29 | 1.84% | |
| 51. | 2020. 7. 31. | $50.87 | -3.38% | 3,271.12 | 5.51% | |
| 52. | 2020. 8. 31. | $54.85 | $0.184 | 8.19% | 3,500.31 | 7.01% |
| 53. | 2020. 9. 30. | $51.38 | -6.33% | 3,363.00 | -3.92% | |
| 54. | 2020. 10. 31. | $52.54 | 2.26% | 3,269.96 | -2.77% | |
| 55. | 2020. 11. 30. | $67.20 | $0.18425 | 28.25% | 3,621.63 | 10.75% |
| 56. | 2020. 12. 31. | $69.06 | 2.77% | 3,756.07 | 3.71% | |
| 57. | 2021. 1. 31. | $68.06 | -1.45% | 3,714.24 | -1.11% | |
| 58. | 2021. 2. 28. | $76.32 | $0.195 | 12.42% | 3,811.15 | 2.61% |
| 59. | 2021. 3. 31. | $77.61 | 1.69% | 3,972.89 | 4.24% | |
| 60. | 2021. 4. 30. | $75.14 | -3.18% | 4,181.17 | 5.24% | |
| 61. | 2021. 5. 31. | $78.47 | $0.2065 | 4.71% | 4,204.11 | 0.55% |
| 62. | 2021. 6. 30. | $74.87 | -4.59% | 4,297.50 | 2.22% | |
| 63. | 2021. 7. 31. | $71.56 | -4.42% | 4,395.26 | 2.27% | |
| 64. | 2021. 8. 31. | $78.68 | $0.2185 | 10.26% | 4,522.68 | 2.90% |
| 65. | 2021. 9. 30. | $76.75 | -2.45% | 4,307.54 | -4.76% | |
| 66. | 2021. 10. 31. | $74.09 | -3.47% | 4,605.38 | 6.91% | |
| 67. | 2021. 11. 30. | $83.43 | $0.232 | 12.92% | 4,567.00 | -0.83% |
| 68. | 2021. 12. 31. | $87.06 | 4.35% | 4,766.18 | 4.36% | |
| 69. | 2022. 1. 31. | $77.48 | -11.00% | 4,515.55 | -5.26% | |
| 70. | 2022. 2. 28. | $70.33 | $0.253 | -8.90% | 4,373.94 | -3.14% |
| 71. | 2022. 3. 31. | $75.14 | 6.84% | 4,530.41 | 3.58% | |
| 평균의 (R): | 2.20% | 1.20% | ||||
| 표준 편차: | 9.71% | 4.24% | ||||
모두 표시
1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.
2 기간 t 동안 MCHP의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.
분산과 공분산
Microchip Technology Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RMCHP,t | RS&P 500,t | (RMCHP,t–RMCHP)2 | (RS&P 500,t–RS&P 500)2 | (RMCHP,t–RMCHP)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2016. 5. 31. | 7.08% | 1.53% | 23.77 | 0.11 | 1.61 |
| 2. | 2016. 6. 30. | -1.78% | 0.09% | 15.86 | 1.23 | 4.42 |
| 3. | 2016. 7. 31. | 9.61% | 3.56% | 54.94 | 5.57 | 17.49 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2022. 2. 28. | -8.90% | -3.14% | 123.29 | 18.82 | 48.17 |
| 71. | 2022. 3. 31. | 6.84% | 3.58% | 21.50 | 5.64 | 11.02 |
| 합계 (Σ): | 6,603.67 | 1,257.74 | 1,975.96 | |||
| t | 날짜 | RMCHP,t | RS&P 500,t | (RMCHP,t–RMCHP)2 | (RS&P 500,t–RS&P 500)2 | (RMCHP,t–RMCHP)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2016. 5. 31. | 7.08% | 1.53% | 23.77 | 0.11 | 1.61 |
| 2. | 2016. 6. 30. | -1.78% | 0.09% | 15.86 | 1.23 | 4.42 |
| 3. | 2016. 7. 31. | 9.61% | 3.56% | 54.94 | 5.57 | 17.49 |
| 4. | 2016. 8. 31. | 11.93% | -0.12% | 94.71 | 1.75 | -12.88 |
| 5. | 2016. 9. 30. | 0.36% | -0.12% | 3.41 | 1.76 | 2.45 |
| 6. | 2016. 10. 31. | -2.54% | -1.94% | 22.51 | 9.89 | 14.92 |
| 7. | 2016. 11. 30. | 9.88% | 3.42% | 58.88 | 4.91 | 17.00 |
| 8. | 2016. 12. 31. | -3.05% | 1.82% | 27.61 | 0.38 | -3.25 |
| 9. | 2017. 1. 31. | 4.96% | 1.79% | 7.59 | 0.34 | 1.62 |
| 10. | 2017. 2. 28. | 8.23% | 3.72% | 36.32 | 6.34 | 15.18 |
| 11. | 2017. 3. 31. | 1.74% | -0.04% | 0.22 | 1.54 | 0.58 |
| 12. | 2017. 4. 30. | 2.44% | 0.91% | 0.06 | 0.09 | -0.07 |
| 13. | 2017. 5. 31. | 10.69% | 1.16% | 72.09 | 0.00 | -0.37 |
| 14. | 2017. 6. 30. | -7.35% | 0.48% | 91.18 | 0.52 | 6.88 |
| 15. | 2017. 7. 31. | 3.71% | 1.93% | 2.26 | 0.54 | 1.10 |
| 16. | 2017. 8. 31. | 8.90% | 0.05% | 44.84 | 1.32 | -7.68 |
| 17. | 2017. 9. 30. | 3.43% | 1.93% | 1.52 | 0.53 | 0.90 |
| 18. | 2017. 10. 31. | 5.59% | 2.22% | 11.49 | 1.03 | 3.45 |
| 19. | 2017. 11. 30. | -7.87% | 2.81% | 101.38 | 2.58 | -16.18 |
| 20. | 2017. 12. 31. | 1.03% | 0.98% | 1.36 | 0.05 | 0.26 |
| 21. | 2018. 1. 31. | 8.35% | 5.62% | 37.83 | 19.50 | 27.16 |
| 22. | 2018. 2. 28. | -6.21% | -3.89% | 70.83 | 25.97 | 42.89 |
| 23. | 2018. 3. 31. | 2.72% | -2.69% | 0.27 | 15.13 | -2.02 |
| 24. | 2018. 4. 30. | -8.43% | 0.27% | 113.00 | 0.86 | 9.88 |
| 25. | 2018. 5. 31. | 16.83% | 2.16% | 214.10 | 0.92 | 14.03 |
| 26. | 2018. 6. 30. | -6.61% | 0.48% | 77.71 | 0.51 | 6.32 |
| 27. | 2018. 7. 31. | 2.75% | 3.60% | 0.30 | 5.76 | 1.31 |
| 28. | 2018. 8. 31. | -7.55% | 3.03% | 95.13 | 3.33 | -17.80 |
| 29. | 2018. 9. 30. | -8.25% | 0.43% | 109.33 | 0.60 | 8.07 |
| 30. | 2018. 10. 31. | -16.65% | -6.94% | 355.39 | 66.29 | 153.49 |
| 31. | 2018. 11. 30. | 14.57% | 1.79% | 152.98 | 0.34 | 7.23 |
| 32. | 2018. 12. 31. | -4.11% | -9.18% | 39.80 | 107.73 | 65.48 |
| 33. | 2019. 1. 31. | 11.76% | 7.87% | 91.41 | 44.45 | 63.74 |
| 34. | 2019. 2. 28. | 8.54% | 2.97% | 40.18 | 3.14 | 11.23 |
| 35. | 2019. 3. 31. | -4.51% | 1.79% | 45.08 | 0.35 | -3.97 |
| 36. | 2019. 4. 30. | 20.42% | 3.93% | 331.88 | 7.45 | 49.73 |
| 37. | 2019. 5. 31. | -19.53% | -6.58% | 472.46 | 60.52 | 169.10 |
| 38. | 2019. 6. 30. | 8.35% | 6.89% | 37.77 | 32.39 | 34.98 |
| 39. | 2019. 7. 31. | 8.90% | 1.31% | 44.92 | 0.01 | 0.74 |
| 40. | 2019. 8. 31. | -8.17% | -1.81% | 107.58 | 9.07 | 31.23 |
| 41. | 2019. 9. 30. | 7.62% | 1.72% | 29.37 | 0.27 | 2.80 |
| 42. | 2019. 10. 31. | 1.49% | 2.04% | 0.51 | 0.71 | -0.60 |
| 43. | 2019. 11. 30. | 0.64% | 3.40% | 2.43 | 4.85 | -3.43 |
| 44. | 2019. 12. 31. | 10.77% | 2.86% | 73.37 | 2.75 | 14.20 |
| 45. | 2020. 1. 31. | -6.91% | -0.16% | 83.10 | 1.86 | 12.44 |
| 46. | 2020. 2. 29. | -6.56% | -8.41% | 76.74 | 92.41 | 84.21 |
| 47. | 2020. 3. 31. | -25.26% | -12.51% | 754.41 | 188.06 | 376.67 |
| 48. | 2020. 4. 30. | 29.41% | 12.68% | 740.28 | 131.85 | 312.42 |
| 49. | 2020. 5. 31. | 9.86% | 4.53% | 58.58 | 11.07 | 25.46 |
| 50. | 2020. 6. 30. | 9.66% | 1.84% | 55.69 | 0.41 | 4.75 |
| 51. | 2020. 7. 31. | -3.38% | 5.51% | 31.17 | 18.56 | -24.05 |
| 52. | 2020. 8. 31. | 8.19% | 7.01% | 35.80 | 33.70 | 34.73 |
| 53. | 2020. 9. 30. | -6.33% | -3.92% | 72.73 | 26.26 | 43.70 |
| 54. | 2020. 10. 31. | 2.26% | -2.77% | 0.00 | 15.75 | -0.22 |
| 55. | 2020. 11. 30. | 28.25% | 10.75% | 678.67 | 91.26 | 248.86 |
| 56. | 2020. 12. 31. | 2.77% | 3.71% | 0.32 | 6.30 | 1.42 |
| 57. | 2021. 1. 31. | -1.45% | -1.11% | 13.32 | 5.36 | 8.45 |
| 58. | 2021. 2. 28. | 12.42% | 2.61% | 104.47 | 1.98 | 14.39 |
| 59. | 2021. 3. 31. | 1.69% | 4.24% | 0.26 | 9.25 | -1.56 |
| 60. | 2021. 4. 30. | -3.18% | 5.24% | 28.99 | 16.33 | -21.76 |
| 61. | 2021. 5. 31. | 4.71% | 0.55% | 6.27 | 0.43 | -1.64 |
| 62. | 2021. 6. 30. | -4.59% | 2.22% | 46.10 | 1.04 | -6.92 |
| 63. | 2021. 7. 31. | -4.42% | 2.27% | 43.86 | 1.15 | -7.11 |
| 64. | 2021. 8. 31. | 10.26% | 2.90% | 64.85 | 2.88 | 13.67 |
| 65. | 2021. 9. 30. | -2.45% | -4.76% | 21.67 | 35.51 | 27.74 |
| 66. | 2021. 10. 31. | -3.47% | 6.91% | 32.12 | 32.63 | -32.38 |
| 67. | 2021. 11. 30. | 12.92% | -0.83% | 114.86 | 4.14 | -21.81 |
| 68. | 2021. 12. 31. | 4.35% | 4.36% | 4.62 | 9.98 | 6.79 |
| 69. | 2022. 1. 31. | -11.00% | -5.26% | 174.40 | 41.73 | 85.31 |
| 70. | 2022. 2. 28. | -8.90% | -3.14% | 123.29 | 18.82 | 48.17 |
| 71. | 2022. 3. 31. | 6.84% | 3.58% | 21.50 | 5.64 | 11.02 |
| 합계 (Σ): | 6,603.67 | 1,257.74 | 1,975.96 | |||
모두 표시
분산MCHP = Σ(RMCHP,t–RMCHP)2 ÷ (71 – 1)
= 6,603.67 ÷ (71 – 1)
= 94.34
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,257.74 ÷ (71 – 1)
= 17.97
공분산MCHP, S&P 500 = Σ(RMCHP,t–RMCHP)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,975.96 ÷ (71 – 1)
= 28.23
체계적인 위험 추정 (β)
| 분산MCHP | 94.34 |
| 분산S&P 500 | 17.97 |
| 공분산MCHP, S&P 500 | 28.23 |
| 상관 계수MCHP, S&P 5001 | 0.69 |
| βMCHP2 | 1.57 |
| αMCHP3 | 0.31% |
계산
1 상관 계수MCHP, S&P 500
= 공분산MCHP, S&P 500 ÷ (표준 편차MCHP × 표준 편차S&P 500)
= 28.23 ÷ (9.71% × 4.24%)
= 0.69
2 βMCHP
= 공분산MCHP, S&P 500 ÷ 분산S&P 500
= 28.23 ÷ 17.97
= 1.57
3 αMCHP
= 평균의MCHP – βMCHP × 평균의S&P 500
= 2.20% – 1.57 × 1.20%
= 0.31%
예상 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.86% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.54% |
| 보통주의 체계적 위험Microchip | βMCHP | 1.57 |
| Microchip 보통주에 대한 예상 수익률3 | E(RMCHP) | 18.49% |
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(RMCHP) = RF + βMCHP [E(RM) – RF]
= 4.86% + 1.57 [13.54% – 4.86%]
= 18.49%