자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Mondelēz International보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Mondelēz International Inc., 월별 수익률
| Mondelēz International Inc. (MDLZ) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값MDLZ,t1 | 피제수MDLZ,t1 | RMDLZ,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2021. 1. 31. | $55.44 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $53.16 | -4.11% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $58.53 | $0.315 | 10.69% | 3,972.89 | 4.24% |
| 3. | 2021. 4. 30. | $60.81 | 3.90% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | $57.57 | 0.19% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $53.83 | $0.50 | -5.63% | 6,845.50 | -0.05% |
| 평균의 (R): | 0.30% | 1.14% | ||||
| 표준 편차: | 5.38% | 4.37% | ||||
| Mondelēz International Inc. (MDLZ) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값MDLZ,t1 | 피제수MDLZ,t1 | RMDLZ,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2021. 1. 31. | $55.44 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $53.16 | -4.11% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $58.53 | $0.315 | 10.69% | 3,972.89 | 4.24% |
| 3. | 2021. 4. 30. | $60.81 | 3.90% | 4,181.17 | 5.24% | |
| 4. | 2021. 5. 31. | $63.53 | 4.47% | 4,204.11 | 0.55% | |
| 5. | 2021. 6. 30. | $62.44 | $0.315 | -1.22% | 4,297.50 | 2.22% |
| 6. | 2021. 7. 31. | $63.26 | 1.31% | 4,395.26 | 2.27% | |
| 7. | 2021. 8. 31. | $62.07 | -1.88% | 4,522.68 | 2.90% | |
| 8. | 2021. 9. 30. | $58.18 | $0.35 | -5.70% | 4,307.54 | -4.76% |
| 9. | 2021. 10. 31. | $60.74 | 4.40% | 4,605.38 | 6.91% | |
| 10. | 2021. 11. 30. | $58.94 | -2.96% | 4,567.00 | -0.83% | |
| 11. | 2021. 12. 31. | $66.31 | $0.35 | 13.10% | 4,766.18 | 4.36% |
| 12. | 2022. 1. 31. | $67.03 | 1.09% | 4,515.55 | -5.26% | |
| 13. | 2022. 2. 28. | $65.48 | -2.31% | 4,373.94 | -3.14% | |
| 14. | 2022. 3. 31. | $62.78 | $0.35 | -3.59% | 4,530.41 | 3.58% |
| 15. | 2022. 4. 30. | $64.48 | 2.71% | 4,131.93 | -8.80% | |
| 16. | 2022. 5. 31. | $63.56 | -1.43% | 4,132.15 | 0.01% | |
| 17. | 2022. 6. 30. | $62.09 | $0.35 | -1.76% | 3,785.38 | -8.39% |
| 18. | 2022. 7. 31. | $64.04 | 3.14% | 4,130.29 | 9.11% | |
| 19. | 2022. 8. 31. | $61.86 | -3.40% | 3,955.00 | -4.24% | |
| 20. | 2022. 9. 30. | $54.83 | $0.385 | -10.74% | 3,585.62 | -9.34% |
| 21. | 2022. 10. 31. | $61.48 | 12.13% | 3,871.98 | 7.99% | |
| 22. | 2022. 11. 30. | $67.61 | 9.97% | 4,080.11 | 5.38% | |
| 23. | 2022. 12. 31. | $66.65 | $0.385 | -0.85% | 3,839.50 | -5.90% |
| 24. | 2023. 1. 31. | $65.44 | -1.82% | 4,076.60 | 6.18% | |
| 25. | 2023. 2. 28. | $65.18 | -0.40% | 3,970.15 | -2.61% | |
| 26. | 2023. 3. 31. | $69.72 | $0.385 | 7.56% | 4,109.31 | 3.51% |
| 27. | 2023. 4. 30. | $76.72 | 10.04% | 4,169.48 | 1.46% | |
| 28. | 2023. 5. 31. | $73.41 | -4.31% | 4,179.83 | 0.25% | |
| 29. | 2023. 6. 30. | $72.94 | $0.385 | -0.12% | 4,376.86 | 4.71% |
| 30. | 2023. 7. 31. | $74.13 | 1.63% | 4,588.96 | 4.85% | |
| 31. | 2023. 8. 31. | $71.26 | -3.87% | 4,507.66 | -1.77% | |
| 32. | 2023. 9. 30. | $69.40 | $0.425 | -2.01% | 4,288.05 | -4.87% |
| 33. | 2023. 10. 31. | $66.21 | -4.60% | 4,193.80 | -2.20% | |
| 34. | 2023. 11. 30. | $71.06 | 7.33% | 4,567.80 | 8.92% | |
| 35. | 2023. 12. 31. | $72.43 | $0.425 | 2.53% | 4,769.83 | 4.42% |
| 36. | 2024. 1. 31. | $75.27 | 3.92% | 4,845.65 | 1.59% | |
| 37. | 2024. 2. 29. | $73.07 | -2.92% | 5,096.27 | 5.17% | |
| 38. | 2024. 3. 31. | $70.00 | $0.425 | -3.62% | 5,254.35 | 3.10% |
| 39. | 2024. 4. 30. | $71.94 | 2.77% | 5,035.69 | -4.16% | |
| 40. | 2024. 5. 31. | $68.53 | -4.74% | 5,277.51 | 4.80% | |
| 41. | 2024. 6. 30. | $65.44 | $0.425 | -3.89% | 5,460.48 | 3.47% |
| 42. | 2024. 7. 31. | $68.35 | 4.45% | 5,522.30 | 1.13% | |
| 43. | 2024. 8. 31. | $71.81 | 5.06% | 5,648.40 | 2.28% | |
| 44. | 2024. 9. 30. | $73.67 | $0.47 | 3.24% | 5,762.48 | 2.02% |
| 45. | 2024. 10. 31. | $68.48 | -7.04% | 5,705.45 | -0.99% | |
| 46. | 2024. 11. 30. | $64.95 | -5.15% | 6,032.38 | 5.73% | |
| 47. | 2024. 12. 31. | $59.73 | $0.47 | -7.31% | 5,881.63 | -2.50% |
| 48. | 2025. 1. 31. | $57.99 | -2.91% | 6,040.53 | 2.70% | |
| 49. | 2025. 2. 28. | $64.23 | 10.76% | 5,954.50 | -1.42% | |
| 50. | 2025. 3. 31. | $67.85 | $0.47 | 6.37% | 5,611.85 | -5.75% |
| 51. | 2025. 4. 30. | $68.13 | 0.41% | 5,569.06 | -0.76% | |
| 52. | 2025. 5. 31. | $67.49 | -0.94% | 5,911.69 | 6.15% | |
| 53. | 2025. 6. 30. | $67.44 | $0.47 | 0.62% | 6,204.95 | 4.96% |
| 54. | 2025. 7. 31. | $64.69 | -4.08% | 6,339.39 | 2.17% | |
| 55. | 2025. 8. 31. | $61.44 | -5.02% | 6,460.26 | 1.91% | |
| 56. | 2025. 9. 30. | $62.47 | $0.50 | 2.49% | 6,688.46 | 3.53% |
| 57. | 2025. 10. 31. | $57.46 | -8.02% | 6,840.20 | 2.27% | |
| 58. | 2025. 11. 30. | $57.57 | 0.19% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $53.83 | $0.50 | -5.63% | 6,845.50 | -0.05% |
| 평균의 (R): | 0.30% | 1.14% | ||||
| 표준 편차: | 5.38% | 4.37% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 MDLZ의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Mondelēz International Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RMDLZ,t | RS&P 500,t | (RMDLZ,t–RMDLZ)2 | (RS&P 500,t–RS&P 500)2 | (RMDLZ,t–RMDLZ)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 2. 28. | -4.11% | 2.61% | 19.50 | 2.17 | -6.50 |
| 2. | 2021. 3. 31. | 10.69% | 4.24% | 107.97 | 9.66 | 32.29 |
| 3. | 2021. 4. 30. | 3.90% | 5.24% | 12.90 | 16.86 | 14.75 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | 0.19% | 0.13% | 0.01 | 1.01 | 0.11 |
| 59. | 2025. 12. 31. | -5.63% | -0.05% | 35.18 | 1.41 | 7.05 |
| 합계 (Σ): | 1,677.09 | 1,108.23 | 428.90 | |||
| t | 날짜 | RMDLZ,t | RS&P 500,t | (RMDLZ,t–RMDLZ)2 | (RS&P 500,t–RS&P 500)2 | (RMDLZ,t–RMDLZ)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 2. 28. | -4.11% | 2.61% | 19.50 | 2.17 | -6.50 |
| 2. | 2021. 3. 31. | 10.69% | 4.24% | 107.97 | 9.66 | 32.29 |
| 3. | 2021. 4. 30. | 3.90% | 5.24% | 12.90 | 16.86 | 14.75 |
| 4. | 2021. 5. 31. | 4.47% | 0.55% | 17.39 | 0.35 | -2.45 |
| 5. | 2021. 6. 30. | -1.22% | 2.22% | 2.32 | 1.18 | -1.65 |
| 6. | 2021. 7. 31. | 1.31% | 2.27% | 1.02 | 1.30 | 1.15 |
| 7. | 2021. 8. 31. | -1.88% | 2.90% | 4.77 | 3.11 | -3.85 |
| 8. | 2021. 9. 30. | -5.70% | -4.76% | 36.08 | 34.73 | 35.40 |
| 9. | 2021. 10. 31. | 4.40% | 6.91% | 16.78 | 33.39 | 23.67 |
| 10. | 2021. 11. 30. | -2.96% | -0.83% | 10.67 | 3.88 | 6.43 |
| 11. | 2021. 12. 31. | 13.10% | 4.36% | 163.70 | 10.40 | 41.26 |
| 12. | 2022. 1. 31. | 1.09% | -5.26% | 0.61 | 40.89 | -5.00 |
| 13. | 2022. 2. 28. | -2.31% | -3.14% | 6.84 | 18.25 | 11.18 |
| 14. | 2022. 3. 31. | -3.59% | 3.58% | 15.15 | 5.96 | -9.50 |
| 15. | 2022. 4. 30. | 2.71% | -8.80% | 5.78 | 98.64 | -23.88 |
| 16. | 2022. 5. 31. | -1.43% | 0.01% | 2.99 | 1.28 | 1.96 |
| 17. | 2022. 6. 30. | -1.76% | -8.39% | 4.27 | 90.79 | 19.68 |
| 18. | 2022. 7. 31. | 3.14% | 9.11% | 8.05 | 63.61 | 22.63 |
| 19. | 2022. 8. 31. | -3.40% | -4.24% | 13.75 | 28.95 | 19.95 |
| 20. | 2022. 9. 30. | -10.74% | -9.34% | 122.00 | 109.74 | 115.71 |
| 21. | 2022. 10. 31. | 12.13% | 7.99% | 139.83 | 46.93 | 81.00 |
| 22. | 2022. 11. 30. | 9.97% | 5.38% | 93.46 | 17.97 | 40.98 |
| 23. | 2022. 12. 31. | -0.85% | -5.90% | 1.33 | 49.47 | 8.12 |
| 24. | 2023. 1. 31. | -1.82% | 6.18% | 4.49 | 25.39 | -10.68 |
| 25. | 2023. 2. 28. | -0.40% | -2.61% | 0.49 | 14.04 | 2.63 |
| 26. | 2023. 3. 31. | 7.56% | 3.51% | 52.60 | 5.61 | 17.18 |
| 27. | 2023. 4. 30. | 10.04% | 1.46% | 94.81 | 0.11 | 3.19 |
| 28. | 2023. 5. 31. | -4.31% | 0.25% | 21.32 | 0.79 | 4.10 |
| 29. | 2023. 6. 30. | -0.12% | 4.71% | 0.18 | 12.80 | -1.50 |
| 30. | 2023. 7. 31. | 1.63% | 4.85% | 1.76 | 13.76 | 4.93 |
| 31. | 2023. 8. 31. | -3.87% | -1.77% | 17.43 | 8.46 | 12.14 |
| 32. | 2023. 9. 30. | -2.01% | -4.87% | 5.37 | 36.10 | 13.92 |
| 33. | 2023. 10. 31. | -4.60% | -2.20% | 24.01 | 11.12 | 16.34 |
| 34. | 2023. 11. 30. | 7.33% | 8.92% | 49.31 | 60.56 | 54.64 |
| 35. | 2023. 12. 31. | 2.53% | 4.42% | 4.94 | 10.80 | 7.31 |
| 36. | 2024. 1. 31. | 3.92% | 1.59% | 13.09 | 0.21 | 1.64 |
| 37. | 2024. 2. 29. | -2.92% | 5.17% | 10.41 | 16.29 | -13.02 |
| 38. | 2024. 3. 31. | -3.62% | 3.10% | 15.39 | 3.86 | -7.71 |
| 39. | 2024. 4. 30. | 2.77% | -4.16% | 6.09 | 28.06 | -13.07 |
| 40. | 2024. 5. 31. | -4.74% | 4.80% | 25.44 | 13.44 | -18.49 |
| 41. | 2024. 6. 30. | -3.89% | 3.47% | 17.57 | 5.43 | -9.77 |
| 42. | 2024. 7. 31. | 4.45% | 1.13% | 17.17 | 0.00 | -0.02 |
| 43. | 2024. 8. 31. | 5.06% | 2.28% | 22.65 | 1.32 | 5.46 |
| 44. | 2024. 9. 30. | 3.24% | 2.02% | 8.65 | 0.78 | 2.60 |
| 45. | 2024. 10. 31. | -7.04% | -0.99% | 54.00 | 4.52 | 15.62 |
| 46. | 2024. 11. 30. | -5.15% | 5.73% | 29.79 | 21.10 | -25.07 |
| 47. | 2024. 12. 31. | -7.31% | -2.50% | 58.01 | 13.21 | 27.69 |
| 48. | 2025. 1. 31. | -2.91% | 2.70% | 10.35 | 2.45 | -5.04 |
| 49. | 2025. 2. 28. | 10.76% | -1.42% | 109.35 | 6.56 | -26.77 |
| 50. | 2025. 3. 31. | 6.37% | -5.75% | 36.78 | 47.48 | -41.79 |
| 51. | 2025. 4. 30. | 0.41% | -0.76% | 0.01 | 3.60 | -0.21 |
| 52. | 2025. 5. 31. | -0.94% | 6.15% | 1.54 | 25.16 | -6.23 |
| 53. | 2025. 6. 30. | 0.62% | 4.96% | 0.10 | 14.63 | 1.22 |
| 54. | 2025. 7. 31. | -4.08% | 2.17% | 19.19 | 1.06 | -4.51 |
| 55. | 2025. 8. 31. | -5.02% | 1.91% | 28.38 | 0.59 | -4.10 |
| 56. | 2025. 9. 30. | 2.49% | 3.53% | 4.78 | 5.74 | 5.24 |
| 57. | 2025. 10. 31. | -8.02% | 2.27% | 69.28 | 1.28 | -9.43 |
| 58. | 2025. 11. 30. | 0.19% | 0.13% | 0.01 | 1.01 | 0.11 |
| 59. | 2025. 12. 31. | -5.63% | -0.05% | 35.18 | 1.41 | 7.05 |
| 합계 (Σ): | 1,677.09 | 1,108.23 | 428.90 | |||
모두 보기
분산MDLZ = Σ(RMDLZ,t–RMDLZ)2 ÷ (59 – 1)
= 1,677.09 ÷ (59 – 1)
= 28.92
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
공분산MDLZ, S&P 500 = Σ(RMDLZ,t–RMDLZ)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 428.90 ÷ (59 – 1)
= 7.39
체계적인 위험 추정 (β)
| 분산MDLZ | 28.92 |
| 분산S&P 500 | 19.11 |
| 공분산MDLZ, S&P 500 | 7.39 |
| 상관 계수MDLZ, S&P 5001 | 0.31 |
| βMDLZ2 | 0.39 |
| αMDLZ3 | -0.14% |
계산
1 상관 계수MDLZ, S&P 500
= 공분산MDLZ, S&P 500 ÷ (표준 편차MDLZ × 표준 편차S&P 500)
= 7.39 ÷ (5.38% × 4.37%)
= 0.31
2 βMDLZ
= 공분산MDLZ, S&P 500 ÷ 분산S&P 500
= 7.39 ÷ 19.11
= 0.39
3 αMDLZ
= 평균의MDLZ – βMDLZ × 평균의S&P 500
= 0.30% – 0.39 × 1.14%
= -0.14%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.54% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.37% |
| 보통주의 체계적 위험Mondelēz International | βMDLZ | 0.39 |
| Mondelēz International 보통주의 예상 수익률3 | E(RMDLZ) | 9.50% |
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(RMDLZ) = RF + βMDLZ [E(RM) – RF]
= 4.54% + 0.39 [17.37% – 4.54%]
= 9.50%