자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 MPS보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Monolithic Power Systems Inc., 월별 수익률
| Monolithic Power Systems Inc. (MPWR) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값MPWR,t1 | 피제수MPWR,t1 | RMPWR,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 1. 31. | $119.12 | 2,823.81 | ||||
| 1. | 2018. 2. 28. | $117.06 | -1.73% | 2,713.83 | -3.89% | |
| 2. | 2018. 3. 31. | $115.77 | $0.30 | -0.85% | 2,640.87 | -2.69% |
| 3. | 2018. 4. 30. | $117.10 | 1.15% | 2,648.05 | 0.27% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022. 11. 30. | $381.96 | 12.52% | 4,080.11 | 5.38% | |
| 59. | 2022. 12. 31. | $353.61 | $0.75 | -7.23% | 3,839.50 | -5.90% |
| 평균의 (R): | 2.52% | 0.67% | ||||
| 표준 편차: | 10.75% | 5.40% | ||||
| Monolithic Power Systems Inc. (MPWR) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값MPWR,t1 | 피제수MPWR,t1 | RMPWR,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 1. 31. | $119.12 | 2,823.81 | ||||
| 1. | 2018. 2. 28. | $117.06 | -1.73% | 2,713.83 | -3.89% | |
| 2. | 2018. 3. 31. | $115.77 | $0.30 | -0.85% | 2,640.87 | -2.69% |
| 3. | 2018. 4. 30. | $117.10 | 1.15% | 2,648.05 | 0.27% | |
| 4. | 2018. 5. 31. | $131.81 | 12.56% | 2,705.27 | 2.16% | |
| 5. | 2018. 6. 30. | $133.67 | $0.30 | 1.64% | 2,718.37 | 0.48% |
| 6. | 2018. 7. 31. | $132.68 | -0.74% | 2,816.29 | 3.60% | |
| 7. | 2018. 8. 31. | $149.87 | 12.96% | 2,901.52 | 3.03% | |
| 8. | 2018. 9. 30. | $125.53 | $0.30 | -16.04% | 2,913.98 | 0.43% |
| 9. | 2018. 10. 31. | $118.12 | -5.90% | 2,711.74 | -6.94% | |
| 10. | 2018. 11. 30. | $132.07 | 11.81% | 2,760.17 | 1.79% | |
| 11. | 2018. 12. 31. | $116.25 | $0.30 | -11.75% | 2,506.85 | -9.18% |
| 12. | 2019. 1. 31. | $126.56 | 8.87% | 2,704.10 | 7.87% | |
| 13. | 2019. 2. 28. | $134.11 | 5.97% | 2,784.49 | 2.97% | |
| 14. | 2019. 3. 31. | $135.49 | $0.40 | 1.33% | 2,834.40 | 1.79% |
| 15. | 2019. 4. 30. | $155.71 | 14.92% | 2,945.83 | 3.93% | |
| 16. | 2019. 5. 31. | $116.45 | -25.21% | 2,752.06 | -6.58% | |
| 17. | 2019. 6. 30. | $135.78 | $0.40 | 16.94% | 2,941.76 | 6.89% |
| 18. | 2019. 7. 31. | $148.16 | 9.12% | 2,980.38 | 1.31% | |
| 19. | 2019. 8. 31. | $150.56 | 1.62% | 2,926.46 | -1.81% | |
| 20. | 2019. 9. 30. | $155.63 | $0.40 | 3.63% | 2,976.74 | 1.72% |
| 21. | 2019. 10. 31. | $149.92 | -3.67% | 3,037.56 | 2.04% | |
| 22. | 2019. 11. 30. | $160.68 | 7.18% | 3,140.98 | 3.40% | |
| 23. | 2019. 12. 31. | $178.02 | $0.40 | 11.04% | 3,230.78 | 2.86% |
| 24. | 2020. 1. 31. | $171.17 | -3.85% | 3,225.52 | -0.16% | |
| 25. | 2020. 2. 29. | $158.64 | -7.32% | 2,954.22 | -8.41% | |
| 26. | 2020. 3. 31. | $167.46 | $0.50 | 5.87% | 2,584.59 | -12.51% |
| 27. | 2020. 4. 30. | $199.91 | 19.38% | 2,912.43 | 12.68% | |
| 28. | 2020. 5. 31. | $209.75 | 4.92% | 3,044.31 | 4.53% | |
| 29. | 2020. 6. 30. | $237.00 | $0.50 | 13.23% | 3,100.29 | 1.84% |
| 30. | 2020. 7. 31. | $265.01 | 11.82% | 3,271.12 | 5.51% | |
| 31. | 2020. 8. 31. | $267.13 | 0.80% | 3,500.31 | 7.01% | |
| 32. | 2020. 9. 30. | $279.61 | $0.50 | 4.86% | 3,363.00 | -3.92% |
| 33. | 2020. 10. 31. | $319.60 | 14.30% | 3,269.96 | -2.77% | |
| 34. | 2020. 11. 30. | $319.96 | 0.11% | 3,621.63 | 10.75% | |
| 35. | 2020. 12. 31. | $366.23 | $0.50 | 14.62% | 3,756.07 | 3.71% |
| 36. | 2021. 1. 31. | $355.29 | -2.99% | 3,714.24 | -1.11% | |
| 37. | 2021. 2. 28. | $374.52 | 5.41% | 3,811.15 | 2.61% | |
| 38. | 2021. 3. 31. | $353.21 | $0.60 | -5.53% | 3,972.89 | 4.24% |
| 39. | 2021. 4. 30. | $361.38 | 2.31% | 4,181.17 | 5.24% | |
| 40. | 2021. 5. 31. | $343.12 | -5.05% | 4,204.11 | 0.55% | |
| 41. | 2021. 6. 30. | $373.45 | $0.60 | 9.01% | 4,297.50 | 2.22% |
| 42. | 2021. 7. 31. | $449.26 | 20.30% | 4,395.26 | 2.27% | |
| 43. | 2021. 8. 31. | $494.93 | 10.17% | 4,522.68 | 2.90% | |
| 44. | 2021. 9. 30. | $484.68 | $0.60 | -1.95% | 4,307.54 | -4.76% |
| 45. | 2021. 10. 31. | $525.46 | 8.41% | 4,605.38 | 6.91% | |
| 46. | 2021. 11. 30. | $553.46 | 5.33% | 4,567.00 | -0.83% | |
| 47. | 2021. 12. 31. | $493.33 | $0.60 | -10.76% | 4,766.18 | 4.36% |
| 48. | 2022. 1. 31. | $402.93 | -18.32% | 4,515.55 | -5.26% | |
| 49. | 2022. 2. 28. | $458.70 | 13.84% | 4,373.94 | -3.14% | |
| 50. | 2022. 3. 31. | $485.68 | $0.75 | 6.05% | 4,530.41 | 3.58% |
| 51. | 2022. 4. 30. | $392.24 | -19.24% | 4,131.93 | -8.80% | |
| 52. | 2022. 5. 31. | $450.39 | 14.83% | 4,132.15 | 0.01% | |
| 53. | 2022. 6. 30. | $384.04 | $0.75 | -14.57% | 3,785.38 | -8.39% |
| 54. | 2022. 7. 31. | $464.72 | 21.01% | 4,130.29 | 9.11% | |
| 55. | 2022. 8. 31. | $453.18 | -2.48% | 3,955.00 | -4.24% | |
| 56. | 2022. 9. 30. | $363.40 | $0.75 | -19.65% | 3,585.62 | -9.34% |
| 57. | 2022. 10. 31. | $339.45 | -6.59% | 3,871.98 | 7.99% | |
| 58. | 2022. 11. 30. | $381.96 | 12.52% | 4,080.11 | 5.38% | |
| 59. | 2022. 12. 31. | $353.61 | $0.75 | -7.23% | 3,839.50 | -5.90% |
| 평균의 (R): | 2.52% | 0.67% | ||||
| 표준 편차: | 10.75% | 5.40% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 MPWR의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Monolithic Power Systems Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RMPWR,t | RS&P 500,t | (RMPWR,t–RMPWR)2 | (RS&P 500,t–RS&P 500)2 | (RMPWR,t–RMPWR)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 2. 28. | -1.73% | -3.89% | 18.02 | 20.81 | 19.36 |
| 2. | 2018. 3. 31. | -0.85% | -2.69% | 11.30 | 11.26 | 11.28 |
| 3. | 2018. 4. 30. | 1.15% | 0.27% | 1.87 | 0.16 | 0.54 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022. 11. 30. | 12.52% | 5.38% | 100.15 | 22.17 | 47.12 |
| 59. | 2022. 12. 31. | -7.23% | -5.90% | 94.90 | 43.08 | 63.94 |
| 합계 (Σ): | 6,704.35 | 1,691.48 | 1,905.49 | |||
| t | 날짜 | RMPWR,t | RS&P 500,t | (RMPWR,t–RMPWR)2 | (RS&P 500,t–RS&P 500)2 | (RMPWR,t–RMPWR)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 2. 28. | -1.73% | -3.89% | 18.02 | 20.81 | 19.36 |
| 2. | 2018. 3. 31. | -0.85% | -2.69% | 11.30 | 11.26 | 11.28 |
| 3. | 2018. 4. 30. | 1.15% | 0.27% | 1.87 | 0.16 | 0.54 |
| 4. | 2018. 5. 31. | 12.56% | 2.16% | 100.93 | 2.23 | 15.01 |
| 5. | 2018. 6. 30. | 1.64% | 0.48% | 0.77 | 0.03 | 0.16 |
| 6. | 2018. 7. 31. | -0.74% | 3.60% | 10.60 | 8.62 | -9.56 |
| 7. | 2018. 8. 31. | 12.96% | 3.03% | 109.00 | 5.57 | 24.64 |
| 8. | 2018. 9. 30. | -16.04% | 0.43% | 344.34 | 0.06 | 4.40 |
| 9. | 2018. 10. 31. | -5.90% | -6.94% | 70.87 | 57.87 | 64.04 |
| 10. | 2018. 11. 30. | 11.81% | 1.79% | 86.38 | 1.25 | 10.40 |
| 11. | 2018. 12. 31. | -11.75% | -9.18% | 203.55 | 96.91 | 140.45 |
| 12. | 2019. 1. 31. | 8.87% | 7.87% | 40.36 | 51.87 | 45.75 |
| 13. | 2019. 2. 28. | 5.97% | 2.97% | 11.90 | 5.32 | 7.96 |
| 14. | 2019. 3. 31. | 1.33% | 1.79% | 1.41 | 1.27 | -1.34 |
| 15. | 2019. 4. 30. | 14.92% | 3.93% | 153.96 | 10.66 | 40.51 |
| 16. | 2019. 5. 31. | -25.21% | -6.58% | 768.91 | 52.48 | 200.88 |
| 17. | 2019. 6. 30. | 16.94% | 6.89% | 208.14 | 38.77 | 89.83 |
| 18. | 2019. 7. 31. | 9.12% | 1.31% | 43.59 | 0.42 | 4.27 |
| 19. | 2019. 8. 31. | 1.62% | -1.81% | 0.80 | 6.13 | 2.22 |
| 20. | 2019. 9. 30. | 3.63% | 1.72% | 1.25 | 1.11 | 1.17 |
| 21. | 2019. 10. 31. | -3.67% | 2.04% | 38.25 | 1.89 | -8.51 |
| 22. | 2019. 11. 30. | 7.18% | 3.40% | 21.73 | 7.50 | 12.76 |
| 23. | 2019. 12. 31. | 11.04% | 2.86% | 72.67 | 4.81 | 18.69 |
| 24. | 2020. 1. 31. | -3.85% | -0.16% | 40.50 | 0.69 | 5.28 |
| 25. | 2020. 2. 29. | -7.32% | -8.41% | 96.75 | 82.40 | 89.29 |
| 26. | 2020. 3. 31. | 5.87% | -12.51% | 11.28 | 173.67 | -44.27 |
| 27. | 2020. 4. 30. | 19.38% | 12.68% | 284.33 | 144.43 | 202.64 |
| 28. | 2020. 5. 31. | 4.92% | 4.53% | 5.79 | 14.91 | 9.29 |
| 29. | 2020. 6. 30. | 13.23% | 1.84% | 114.80 | 1.37 | 12.56 |
| 30. | 2020. 7. 31. | 11.82% | 5.51% | 86.54 | 23.46 | 45.06 |
| 31. | 2020. 8. 31. | 0.80% | 7.01% | 2.94 | 40.19 | -10.88 |
| 32. | 2020. 9. 30. | 4.86% | -3.92% | 5.49 | 21.06 | -10.75 |
| 33. | 2020. 10. 31. | 14.30% | -2.77% | 138.92 | 11.79 | -40.47 |
| 34. | 2020. 11. 30. | 0.11% | 10.75% | 5.77 | 101.77 | -24.24 |
| 35. | 2020. 12. 31. | 14.62% | 3.71% | 146.45 | 9.28 | 36.86 |
| 36. | 2021. 1. 31. | -2.99% | -1.11% | 30.28 | 3.17 | 9.80 |
| 37. | 2021. 2. 28. | 5.41% | 2.61% | 8.39 | 3.77 | 5.63 |
| 38. | 2021. 3. 31. | -5.53% | 4.24% | 64.73 | 12.80 | -28.78 |
| 39. | 2021. 4. 30. | 2.31% | 5.24% | 0.04 | 20.94 | -0.93 |
| 40. | 2021. 5. 31. | -5.05% | 0.55% | 57.28 | 0.01 | 0.89 |
| 41. | 2021. 6. 30. | 9.01% | 2.22% | 42.23 | 2.42 | 10.10 |
| 42. | 2021. 7. 31. | 20.30% | 2.27% | 316.28 | 2.59 | 28.60 |
| 43. | 2021. 8. 31. | 10.17% | 2.90% | 58.52 | 4.98 | 17.08 |
| 44. | 2021. 9. 30. | -1.95% | -4.76% | 19.94 | 29.42 | 24.22 |
| 45. | 2021. 10. 31. | 8.41% | 6.91% | 34.79 | 39.03 | 36.85 |
| 46. | 2021. 11. 30. | 5.33% | -0.83% | 7.91 | 2.25 | -4.22 |
| 47. | 2021. 12. 31. | -10.76% | 4.36% | 176.14 | 13.65 | -49.03 |
| 48. | 2022. 1. 31. | -18.32% | -5.26% | 434.31 | 35.11 | 123.48 |
| 49. | 2022. 2. 28. | 13.84% | -3.14% | 128.26 | 14.46 | -43.07 |
| 50. | 2022. 3. 31. | 6.05% | 3.58% | 12.46 | 8.47 | 10.27 |
| 51. | 2022. 4. 30. | -19.24% | -8.80% | 473.27 | 89.54 | 205.85 |
| 52. | 2022. 5. 31. | 14.83% | 0.01% | 151.52 | 0.44 | -8.14 |
| 53. | 2022. 6. 30. | -14.57% | -8.39% | 291.76 | 82.06 | 154.73 |
| 54. | 2022. 7. 31. | 21.01% | 9.11% | 341.97 | 71.32 | 156.17 |
| 55. | 2022. 8. 31. | -2.48% | -4.24% | 24.99 | 24.11 | 24.55 |
| 56. | 2022. 9. 30. | -19.65% | -9.34% | 491.12 | 100.12 | 221.75 |
| 57. | 2022. 10. 31. | -6.59% | 7.99% | 82.92 | 53.58 | -66.65 |
| 58. | 2022. 11. 30. | 12.52% | 5.38% | 100.15 | 22.17 | 47.12 |
| 59. | 2022. 12. 31. | -7.23% | -5.90% | 94.90 | 43.08 | 63.94 |
| 합계 (Σ): | 6,704.35 | 1,691.48 | 1,905.49 | |||
모두 보기
분산MPWR = Σ(RMPWR,t–RMPWR)2 ÷ (59 – 1)
= 6,704.35 ÷ (59 – 1)
= 115.59
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16
공분산MPWR, S&P 500 = Σ(RMPWR,t–RMPWR)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,905.49 ÷ (59 – 1)
= 32.85
체계적인 위험 추정 (β)
| 분산MPWR | 115.59 |
| 분산S&P 500 | 29.16 |
| 공분산MPWR, S&P 500 | 32.85 |
| 상관 계수MPWR, S&P 5001 | 0.57 |
| βMPWR2 | 1.13 |
| αMPWR3 | 1.76% |
계산
1 상관 계수MPWR, S&P 500
= 공분산MPWR, S&P 500 ÷ (표준 편차MPWR × 표준 편차S&P 500)
= 32.85 ÷ (10.75% × 5.40%)
= 0.57
2 βMPWR
= 공분산MPWR, S&P 500 ÷ 분산S&P 500
= 32.85 ÷ 29.16
= 1.13
3 αMPWR
= 평균의MPWR – βMPWR × 평균의S&P 500
= 2.52% – 1.13 × 0.67%
= 1.76%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.67% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.79% |
| 보통주의 체계적 위험MPS | βMPWR | 1.13 |
| MPS 보통주에 대한 예상 수익률3 | E(RMPWR) | 14.94% |
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(RMPWR) = RF + βMPWR [E(RM) – RF]
= 4.67% + 1.13 [13.79% – 4.67%]
= 14.94%