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 |
| 2020. 1. 31. | $171.17 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $158.64 | -7.32% | 2,954.22 | -8.41% | |
| 2. | 2020. 3. 31. | $167.46 | $0.50 | 5.87% | 2,584.59 | -12.51% |
| 3. | 2020. 4. 30. | $199.91 | 19.38% | 2,912.43 | 12.68% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | $567.64 | -25.24% | 6,032.38 | 5.73% | |
| 59. | 2024. 12. 31. | $591.70 | $1.25 | 4.46% | 5,881.63 | -2.50% |
| 평균의 (R): | 2.85% | 1.16% | ||||
| 표준 편차: | 11.54% | 5.28% | ||||
| 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 |
| 2020. 1. 31. | $171.17 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $158.64 | -7.32% | 2,954.22 | -8.41% | |
| 2. | 2020. 3. 31. | $167.46 | $0.50 | 5.87% | 2,584.59 | -12.51% |
| 3. | 2020. 4. 30. | $199.91 | 19.38% | 2,912.43 | 12.68% | |
| 4. | 2020. 5. 31. | $209.75 | 4.92% | 3,044.31 | 4.53% | |
| 5. | 2020. 6. 30. | $237.00 | $0.50 | 13.23% | 3,100.29 | 1.84% |
| 6. | 2020. 7. 31. | $265.01 | 11.82% | 3,271.12 | 5.51% | |
| 7. | 2020. 8. 31. | $267.13 | 0.80% | 3,500.31 | 7.01% | |
| 8. | 2020. 9. 30. | $279.61 | $0.50 | 4.86% | 3,363.00 | -3.92% |
| 9. | 2020. 10. 31. | $319.60 | 14.30% | 3,269.96 | -2.77% | |
| 10. | 2020. 11. 30. | $319.96 | 0.11% | 3,621.63 | 10.75% | |
| 11. | 2020. 12. 31. | $366.23 | $0.50 | 14.62% | 3,756.07 | 3.71% |
| 12. | 2021. 1. 31. | $355.29 | -2.99% | 3,714.24 | -1.11% | |
| 13. | 2021. 2. 28. | $374.52 | 5.41% | 3,811.15 | 2.61% | |
| 14. | 2021. 3. 31. | $353.21 | $0.60 | -5.53% | 3,972.89 | 4.24% |
| 15. | 2021. 4. 30. | $361.38 | 2.31% | 4,181.17 | 5.24% | |
| 16. | 2021. 5. 31. | $343.12 | -5.05% | 4,204.11 | 0.55% | |
| 17. | 2021. 6. 30. | $373.45 | $0.60 | 9.01% | 4,297.50 | 2.22% |
| 18. | 2021. 7. 31. | $449.26 | 20.30% | 4,395.26 | 2.27% | |
| 19. | 2021. 8. 31. | $494.93 | 10.17% | 4,522.68 | 2.90% | |
| 20. | 2021. 9. 30. | $484.68 | $0.60 | -1.95% | 4,307.54 | -4.76% |
| 21. | 2021. 10. 31. | $525.46 | 8.41% | 4,605.38 | 6.91% | |
| 22. | 2021. 11. 30. | $553.46 | 5.33% | 4,567.00 | -0.83% | |
| 23. | 2021. 12. 31. | $493.33 | $0.60 | -10.76% | 4,766.18 | 4.36% |
| 24. | 2022. 1. 31. | $402.93 | -18.32% | 4,515.55 | -5.26% | |
| 25. | 2022. 2. 28. | $458.70 | 13.84% | 4,373.94 | -3.14% | |
| 26. | 2022. 3. 31. | $485.68 | $0.75 | 6.05% | 4,530.41 | 3.58% |
| 27. | 2022. 4. 30. | $392.24 | -19.24% | 4,131.93 | -8.80% | |
| 28. | 2022. 5. 31. | $450.39 | 14.83% | 4,132.15 | 0.01% | |
| 29. | 2022. 6. 30. | $384.04 | $0.75 | -14.57% | 3,785.38 | -8.39% |
| 30. | 2022. 7. 31. | $464.72 | 21.01% | 4,130.29 | 9.11% | |
| 31. | 2022. 8. 31. | $453.18 | -2.48% | 3,955.00 | -4.24% | |
| 32. | 2022. 9. 30. | $363.40 | $0.75 | -19.65% | 3,585.62 | -9.34% |
| 33. | 2022. 10. 31. | $339.45 | -6.59% | 3,871.98 | 7.99% | |
| 34. | 2022. 11. 30. | $381.96 | 12.52% | 4,080.11 | 5.38% | |
| 35. | 2022. 12. 31. | $353.61 | $0.75 | -7.23% | 3,839.50 | -5.90% |
| 36. | 2023. 1. 31. | $426.56 | 20.63% | 4,076.60 | 6.18% | |
| 37. | 2023. 2. 28. | $484.29 | 13.53% | 3,970.15 | -2.61% | |
| 38. | 2023. 3. 31. | $500.54 | $1.00 | 3.56% | 4,109.31 | 3.51% |
| 39. | 2023. 4. 30. | $461.97 | -7.71% | 4,169.48 | 1.46% | |
| 40. | 2023. 5. 31. | $489.91 | 6.05% | 4,179.83 | 0.25% | |
| 41. | 2023. 6. 30. | $540.23 | $1.00 | 10.48% | 4,376.86 | 4.71% |
| 42. | 2023. 7. 31. | $559.49 | 3.57% | 4,588.96 | 4.85% | |
| 43. | 2023. 8. 31. | $521.21 | -6.84% | 4,507.66 | -1.77% | |
| 44. | 2023. 9. 30. | $462.00 | $1.00 | -11.17% | 4,288.05 | -4.87% |
| 45. | 2023. 10. 31. | $441.74 | -4.39% | 4,193.80 | -2.20% | |
| 46. | 2023. 11. 30. | $548.72 | 24.22% | 4,567.80 | 8.92% | |
| 47. | 2023. 12. 31. | $630.78 | $1.00 | 15.14% | 4,769.83 | 4.42% |
| 48. | 2024. 1. 31. | $602.72 | -4.45% | 4,845.65 | 1.59% | |
| 49. | 2024. 2. 29. | $720.04 | 19.47% | 5,096.27 | 5.17% | |
| 50. | 2024. 3. 31. | $677.42 | $1.25 | -5.75% | 5,254.35 | 3.10% |
| 51. | 2024. 4. 30. | $669.33 | -1.19% | 5,035.69 | -4.16% | |
| 52. | 2024. 5. 31. | $735.63 | 9.91% | 5,277.51 | 4.80% | |
| 53. | 2024. 6. 30. | $821.68 | $1.25 | 11.87% | 5,460.48 | 3.47% |
| 54. | 2024. 7. 31. | $863.09 | 5.04% | 5,522.30 | 1.13% | |
| 55. | 2024. 8. 31. | $934.68 | 8.29% | 5,648.40 | 2.28% | |
| 56. | 2024. 9. 30. | $924.50 | $1.25 | -0.96% | 5,762.48 | 2.02% |
| 57. | 2024. 10. 31. | $759.30 | -17.87% | 5,705.45 | -0.99% | |
| 58. | 2024. 11. 30. | $567.64 | -25.24% | 6,032.38 | 5.73% | |
| 59. | 2024. 12. 31. | $591.70 | $1.25 | 4.46% | 5,881.63 | -2.50% |
| 평균의 (R): | 2.85% | 1.16% | ||||
| 표준 편차: | 11.54% | 5.28% | ||||
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. | 2020. 2. 29. | -7.32% | -8.41% | 103.41 | 91.63 | 97.34 |
| 2. | 2020. 3. 31. | 5.87% | -12.51% | 9.16 | 186.96 | -41.38 |
| 3. | 2020. 4. 30. | 19.38% | 12.68% | 273.21 | 132.78 | 190.47 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | -25.24% | 5.73% | 789.08 | 20.87 | -128.34 |
| 59. | 2024. 12. 31. | 4.46% | -2.50% | 2.59 | 13.40 | -5.89 |
| 합계 (Σ): | 7,722.91 | 1,618.62 | 1,651.40 | |||
| 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. | 2020. 2. 29. | -7.32% | -8.41% | 103.41 | 91.63 | 97.34 |
| 2. | 2020. 3. 31. | 5.87% | -12.51% | 9.16 | 186.96 | -41.38 |
| 3. | 2020. 4. 30. | 19.38% | 12.68% | 273.21 | 132.78 | 190.47 |
| 4. | 2020. 5. 31. | 4.92% | 4.53% | 4.30 | 11.34 | 6.98 |
| 5. | 2020. 6. 30. | 13.23% | 1.84% | 107.77 | 0.46 | 7.03 |
| 6. | 2020. 7. 31. | 11.82% | 5.51% | 80.46 | 18.91 | 39.01 |
| 7. | 2020. 8. 31. | 0.80% | 7.01% | 4.20 | 34.17 | -11.98 |
| 8. | 2020. 9. 30. | 4.86% | -3.92% | 4.04 | 25.85 | -10.22 |
| 9. | 2020. 10. 31. | 14.30% | -2.77% | 131.18 | 15.43 | -44.99 |
| 10. | 2020. 11. 30. | 0.11% | 10.75% | 7.49 | 92.03 | -26.25 |
| 11. | 2020. 12. 31. | 14.62% | 3.71% | 138.50 | 6.51 | 30.02 |
| 12. | 2021. 1. 31. | -2.99% | -1.11% | 34.06 | 5.18 | 13.28 |
| 13. | 2021. 2. 28. | 5.41% | 2.61% | 6.57 | 2.10 | 3.71 |
| 14. | 2021. 3. 31. | -5.53% | 4.24% | 70.20 | 9.50 | -25.83 |
| 15. | 2021. 4. 30. | 2.31% | 5.24% | 0.29 | 16.66 | -2.19 |
| 16. | 2021. 5. 31. | -5.05% | 0.55% | 62.44 | 0.38 | 4.84 |
| 17. | 2021. 6. 30. | 9.01% | 2.22% | 38.01 | 1.12 | 6.54 |
| 18. | 2021. 7. 31. | 20.30% | 2.27% | 304.54 | 1.24 | 19.43 |
| 19. | 2021. 8. 31. | 10.17% | 2.90% | 53.54 | 3.02 | 12.71 |
| 20. | 2021. 9. 30. | -1.95% | -4.76% | 23.03 | 35.02 | 28.40 |
| 21. | 2021. 10. 31. | 8.41% | 6.91% | 30.97 | 33.10 | 32.02 |
| 22. | 2021. 11. 30. | 5.33% | -0.83% | 6.15 | 3.98 | -4.95 |
| 23. | 2021. 12. 31. | -10.76% | 4.36% | 185.09 | 10.24 | -43.54 |
| 24. | 2022. 1. 31. | -18.32% | -5.26% | 448.31 | 41.21 | 135.93 |
| 25. | 2022. 2. 28. | 13.84% | -3.14% | 120.83 | 18.47 | -47.24 |
| 26. | 2022. 3. 31. | 6.05% | 3.58% | 10.22 | 5.84 | 7.72 |
| 27. | 2022. 4. 30. | -19.24% | -8.80% | 487.87 | 99.14 | 219.93 |
| 28. | 2022. 5. 31. | 14.83% | 0.01% | 143.43 | 1.34 | -13.84 |
| 29. | 2022. 6. 30. | -14.57% | -8.39% | 303.25 | 91.26 | 166.36 |
| 30. | 2022. 7. 31. | 21.01% | 9.11% | 329.76 | 63.21 | 144.37 |
| 31. | 2022. 8. 31. | -2.48% | -4.24% | 28.43 | 29.22 | 28.82 |
| 32. | 2022. 9. 30. | -19.65% | -9.34% | 506.00 | 110.27 | 236.21 |
| 33. | 2022. 10. 31. | -6.59% | 7.99% | 89.10 | 46.58 | -64.42 |
| 34. | 2022. 11. 30. | 12.52% | 5.38% | 93.59 | 17.76 | 40.77 |
| 35. | 2022. 12. 31. | -7.23% | -5.90% | 101.50 | 49.82 | 71.11 |
| 36. | 2023. 1. 31. | 20.63% | 6.18% | 316.17 | 25.14 | 89.16 |
| 37. | 2023. 2. 28. | 13.53% | -2.61% | 114.17 | 14.23 | -40.31 |
| 38. | 2023. 3. 31. | 3.56% | 3.51% | 0.51 | 5.49 | 1.67 |
| 39. | 2023. 4. 30. | -7.71% | 1.46% | 111.40 | 0.09 | -3.20 |
| 40. | 2023. 5. 31. | 6.05% | 0.25% | 10.23 | 0.83 | -2.92 |
| 41. | 2023. 6. 30. | 10.48% | 4.71% | 58.16 | 12.62 | 27.09 |
| 42. | 2023. 7. 31. | 3.57% | 4.85% | 0.51 | 13.58 | 2.64 |
| 43. | 2023. 8. 31. | -6.84% | -1.77% | 93.91 | 8.60 | 28.42 |
| 44. | 2023. 9. 30. | -11.17% | -4.87% | 196.48 | 36.40 | 84.57 |
| 45. | 2023. 10. 31. | -4.39% | -2.20% | 52.33 | 11.28 | 24.30 |
| 46. | 2023. 11. 30. | 24.22% | 8.92% | 456.64 | 60.17 | 165.75 |
| 47. | 2023. 12. 31. | 15.14% | 4.42% | 151.00 | 10.64 | 40.08 |
| 48. | 2024. 1. 31. | -4.45% | 1.59% | 53.25 | 0.18 | -3.13 |
| 49. | 2024. 2. 29. | 19.47% | 5.17% | 276.10 | 16.09 | 66.64 |
| 50. | 2024. 3. 31. | -5.75% | 3.10% | 73.86 | 3.77 | -16.68 |
| 51. | 2024. 4. 30. | -1.19% | -4.16% | 16.35 | 28.33 | 21.52 |
| 52. | 2024. 5. 31. | 9.91% | 4.80% | 49.80 | 13.26 | 25.69 |
| 53. | 2024. 6. 30. | 11.87% | 3.47% | 81.33 | 5.32 | 20.79 |
| 54. | 2024. 7. 31. | 5.04% | 1.13% | 4.80 | 0.00 | -0.06 |
| 55. | 2024. 8. 31. | 8.29% | 2.28% | 29.66 | 1.26 | 6.11 |
| 56. | 2024. 9. 30. | -0.96% | 2.02% | 14.47 | 0.74 | -3.27 |
| 57. | 2024. 10. 31. | -17.87% | -0.99% | 429.23 | 4.63 | 44.56 |
| 58. | 2024. 11. 30. | -25.24% | 5.73% | 789.08 | 20.87 | -128.34 |
| 59. | 2024. 12. 31. | 4.46% | -2.50% | 2.59 | 13.40 | -5.89 |
| 합계 (Σ): | 7,722.91 | 1,618.62 | 1,651.40 | |||
모두 보기
분산MPWR = Σ(RMPWR,t–RMPWR)2 ÷ (59 – 1)
= 7,722.91 ÷ (59 – 1)
= 133.15
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91
공분산MPWR, S&P 500 = Σ(RMPWR,t–RMPWR)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,651.40 ÷ (59 – 1)
= 28.47
체계적인 위험 추정 (β)
| 분산MPWR | 133.15 |
| 분산S&P 500 | 27.91 |
| 공분산MPWR, S&P 500 | 28.47 |
| 상관 계수MPWR, S&P 5001 | 0.47 |
| βMPWR2 | 1.02 |
| αMPWR3 | 1.66% |
계산
1 상관 계수MPWR, S&P 500
= 공분산MPWR, S&P 500 ÷ (표준 편차MPWR × 표준 편차S&P 500)
= 28.47 ÷ (11.54% × 5.28%)
= 0.47
2 βMPWR
= 공분산MPWR, S&P 500 ÷ 분산S&P 500
= 28.47 ÷ 27.91
= 1.02
3 αMPWR
= 평균의MPWR – βMPWR × 평균의S&P 500
= 2.85% – 1.02 × 1.16%
= 1.66%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.88% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.88% |
| 보통주의 체계적 위험MPS | βMPWR | 1.02 |
| MPS 보통주에 대한 예상 수익률3 | E(RMPWR) | 15.08% |
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]
= 4.88% + 1.02 [14.88% – 4.88%]
= 15.08%