자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 NVIDIA보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
NVIDIA Corp., 월별 수익률
| NVIDIA Corp. (NVDA) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값NVDA,t1 | 피제수NVDA,t1 | RNVDA,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 2. 28. | $6.05 | 2,713.83 | ||||
| 1. | 2018. 3. 31. | $5.79 | -4.30% | 2,640.87 | -2.69% | |
| 2. | 2018. 4. 30. | $5.62 | -2.94% | 2,648.05 | 0.27% | |
| 3. | 2018. 5. 31. | $6.31 | $0.00375 | 12.34% | 2,705.27 | 2.16% |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023. 12. 31. | $49.52 | $0.004 | 5.89% | 4,769.83 | 4.42% |
| 71. | 2024. 1. 31. | $61.53 | 24.25% | 4,845.65 | 1.59% | |
| 평균의 (R): | 4.39% | 0.95% | ||||
| 표준 편차: | 14.63% | 5.18% | ||||
| NVIDIA Corp. (NVDA) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값NVDA,t1 | 피제수NVDA,t1 | RNVDA,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 2. 28. | $6.05 | 2,713.83 | ||||
| 1. | 2018. 3. 31. | $5.79 | -4.30% | 2,640.87 | -2.69% | |
| 2. | 2018. 4. 30. | $5.62 | -2.94% | 2,648.05 | 0.27% | |
| 3. | 2018. 5. 31. | $6.31 | $0.00375 | 12.34% | 2,705.27 | 2.16% |
| 4. | 2018. 6. 30. | $5.92 | -6.18% | 2,718.37 | 0.48% | |
| 5. | 2018. 7. 31. | $6.12 | 3.38% | 2,816.29 | 3.60% | |
| 6. | 2018. 8. 31. | $7.02 | $0.00375 | 14.77% | 2,901.52 | 3.03% |
| 7. | 2018. 9. 30. | $7.03 | 0.14% | 2,913.98 | 0.43% | |
| 8. | 2018. 10. 31. | $5.27 | -25.04% | 2,711.74 | -6.94% | |
| 9. | 2018. 11. 30. | $4.09 | $0.004 | -22.31% | 2,760.17 | 1.79% |
| 10. | 2018. 12. 31. | $3.34 | -18.34% | 2,506.85 | -9.18% | |
| 11. | 2019. 1. 31. | $3.59 | 7.49% | 2,704.10 | 7.87% | |
| 12. | 2019. 2. 28. | $3.86 | $0.004 | 7.63% | 2,784.49 | 2.97% |
| 13. | 2019. 3. 31. | $4.49 | 16.32% | 2,834.40 | 1.79% | |
| 14. | 2019. 4. 30. | $4.53 | 0.89% | 2,945.83 | 3.93% | |
| 15. | 2019. 5. 31. | $3.39 | $0.004 | -25.08% | 2,752.06 | -6.58% |
| 16. | 2019. 6. 30. | $4.11 | 21.24% | 2,941.76 | 6.89% | |
| 17. | 2019. 7. 31. | $4.22 | 2.68% | 2,980.38 | 1.31% | |
| 18. | 2019. 8. 31. | $4.19 | $0.004 | -0.62% | 2,926.46 | -1.81% |
| 19. | 2019. 9. 30. | $4.35 | 3.82% | 2,976.74 | 1.72% | |
| 20. | 2019. 10. 31. | $5.03 | 15.63% | 3,037.56 | 2.04% | |
| 21. | 2019. 11. 30. | $5.42 | $0.004 | 7.83% | 3,140.98 | 3.40% |
| 22. | 2019. 12. 31. | $5.88 | 8.49% | 3,230.78 | 2.86% | |
| 23. | 2020. 1. 31. | $5.91 | 0.51% | 3,225.52 | -0.16% | |
| 24. | 2020. 2. 29. | $6.75 | $0.004 | 14.28% | 2,954.22 | -8.41% |
| 25. | 2020. 3. 31. | $6.59 | -2.37% | 2,584.59 | -12.51% | |
| 26. | 2020. 4. 30. | $7.31 | 10.93% | 2,912.43 | 12.68% | |
| 27. | 2020. 5. 31. | $8.88 | 21.48% | 3,044.31 | 4.53% | |
| 28. | 2020. 6. 30. | $9.50 | $0.004 | 7.03% | 3,100.29 | 1.84% |
| 29. | 2020. 7. 31. | $10.62 | 11.79% | 3,271.12 | 5.51% | |
| 30. | 2020. 8. 31. | $13.38 | 25.99% | 3,500.31 | 7.01% | |
| 31. | 2020. 9. 30. | $13.53 | $0.004 | 1.15% | 3,363.00 | -3.92% |
| 32. | 2020. 10. 31. | $12.53 | -7.39% | 3,269.96 | -2.77% | |
| 33. | 2020. 11. 30. | $13.40 | 6.94% | 3,621.63 | 10.75% | |
| 34. | 2020. 12. 31. | $13.06 | $0.004 | -2.51% | 3,756.07 | 3.71% |
| 35. | 2021. 1. 31. | $12.99 | -0.54% | 3,714.24 | -1.11% | |
| 36. | 2021. 2. 28. | $13.72 | 5.62% | 3,811.15 | 2.61% | |
| 37. | 2021. 3. 31. | $13.35 | $0.004 | -2.67% | 3,972.89 | 4.24% |
| 38. | 2021. 4. 30. | $15.01 | 12.43% | 4,181.17 | 5.24% | |
| 39. | 2021. 5. 31. | $16.25 | 8.26% | 4,204.11 | 0.55% | |
| 40. | 2021. 6. 30. | $20.00 | $0.004 | 23.10% | 4,297.50 | 2.22% |
| 41. | 2021. 7. 31. | $19.50 | -2.50% | 4,395.26 | 2.27% | |
| 42. | 2021. 8. 31. | $22.39 | $0.004 | 14.84% | 4,522.68 | 2.90% |
| 43. | 2021. 9. 30. | $20.72 | -7.46% | 4,307.54 | -4.76% | |
| 44. | 2021. 10. 31. | $25.57 | 23.41% | 4,605.38 | 6.91% | |
| 45. | 2021. 11. 30. | $32.68 | 27.81% | 4,567.00 | -0.83% | |
| 46. | 2021. 12. 31. | $29.41 | $0.004 | -9.99% | 4,766.18 | 4.36% |
| 47. | 2022. 1. 31. | $24.49 | -16.73% | 4,515.55 | -5.26% | |
| 48. | 2022. 2. 28. | $24.39 | -0.41% | 4,373.94 | -3.14% | |
| 49. | 2022. 3. 31. | $27.29 | $0.004 | 11.91% | 4,530.41 | 3.58% |
| 50. | 2022. 4. 30. | $18.55 | -32.03% | 4,131.93 | -8.80% | |
| 51. | 2022. 5. 31. | $18.67 | 0.65% | 4,132.15 | 0.01% | |
| 52. | 2022. 6. 30. | $15.16 | $0.004 | -18.78% | 3,785.38 | -8.39% |
| 53. | 2022. 7. 31. | $18.16 | 19.79% | 4,130.29 | 9.11% | |
| 54. | 2022. 8. 31. | $15.09 | -16.91% | 3,955.00 | -4.24% | |
| 55. | 2022. 9. 30. | $12.14 | $0.004 | -19.52% | 3,585.62 | -9.34% |
| 56. | 2022. 10. 31. | $13.50 | 11.20% | 3,871.98 | 7.99% | |
| 57. | 2022. 11. 30. | $16.92 | $0.004 | 25.36% | 4,080.11 | 5.38% |
| 58. | 2022. 12. 31. | $14.61 | -13.65% | 3,839.50 | -5.90% | |
| 59. | 2023. 1. 31. | $19.54 | 33.74% | 4,076.60 | 6.18% | |
| 60. | 2023. 2. 28. | $23.22 | 18.83% | 3,970.15 | -2.61% | |
| 61. | 2023. 3. 31. | $27.78 | $0.004 | 19.66% | 4,109.31 | 3.51% |
| 62. | 2023. 4. 30. | $27.75 | -0.11% | 4,169.48 | 1.46% | |
| 63. | 2023. 5. 31. | $37.83 | 36.32% | 4,179.83 | 0.25% | |
| 64. | 2023. 6. 30. | $42.30 | $0.004 | 11.83% | 4,376.86 | 4.71% |
| 65. | 2023. 7. 31. | $46.73 | 10.47% | 4,588.96 | 4.85% | |
| 66. | 2023. 8. 31. | $49.36 | 5.63% | 4,507.66 | -1.77% | |
| 67. | 2023. 9. 30. | $43.50 | $0.004 | -11.86% | 4,288.05 | -4.87% |
| 68. | 2023. 10. 31. | $40.78 | -6.25% | 4,193.80 | -2.20% | |
| 69. | 2023. 11. 30. | $46.77 | 14.69% | 4,567.80 | 8.92% | |
| 70. | 2023. 12. 31. | $49.52 | $0.004 | 5.89% | 4,769.83 | 4.42% |
| 71. | 2024. 1. 31. | $61.53 | 24.25% | 4,845.65 | 1.59% | |
| 평균의 (R): | 4.39% | 0.95% | ||||
| 표준 편차: | 14.63% | 5.18% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 t기간 동안 NVDA의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
NVIDIA Corp., 수익률의 분산 및 공분산 계산
| t | 날짜 | RNVDA,t | RS&P 500,t | (RNVDA,t–RNVDA)2 | (RS&P 500,t–RS&P 500)2 | (RNVDA,t–RNVDA)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 3. 31. | -4.30% | -2.69% | 75.54 | 13.26 | 31.65 |
| 2. | 2018. 4. 30. | -2.94% | 0.27% | 53.73 | 0.46 | 4.99 |
| 3. | 2018. 5. 31. | 12.34% | 2.16% | 63.21 | 1.46 | 9.60 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023. 12. 31. | 5.89% | 4.42% | 2.23 | 12.04 | 5.19 |
| 71. | 2024. 1. 31. | 24.25% | 1.59% | 394.38 | 0.41 | 12.64 |
| 합계 (Σ): | 14,975.14 | 1,876.53 | 3,307.93 | |||
| t | 날짜 | RNVDA,t | RS&P 500,t | (RNVDA,t–RNVDA)2 | (RS&P 500,t–RS&P 500)2 | (RNVDA,t–RNVDA)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 3. 31. | -4.30% | -2.69% | 75.54 | 13.26 | 31.65 |
| 2. | 2018. 4. 30. | -2.94% | 0.27% | 53.73 | 0.46 | 4.99 |
| 3. | 2018. 5. 31. | 12.34% | 2.16% | 63.21 | 1.46 | 9.60 |
| 4. | 2018. 6. 30. | -6.18% | 0.48% | 111.82 | 0.22 | 4.96 |
| 5. | 2018. 7. 31. | 3.38% | 3.60% | 1.03 | 7.02 | -2.69 |
| 6. | 2018. 8. 31. | 14.77% | 3.03% | 107.60 | 4.30 | 21.51 |
| 7. | 2018. 9. 30. | 0.14% | 0.43% | 18.07 | 0.27 | 2.23 |
| 8. | 2018. 10. 31. | -25.04% | -6.94% | 866.09 | 62.30 | 232.29 |
| 9. | 2018. 11. 30. | -22.31% | 1.79% | 713.36 | 0.69 | -22.25 |
| 10. | 2018. 12. 31. | -18.34% | -9.18% | 516.71 | 102.63 | 230.28 |
| 11. | 2019. 1. 31. | 7.49% | 7.87% | 9.56 | 47.82 | 21.38 |
| 12. | 2019. 2. 28. | 7.63% | 2.97% | 10.49 | 4.08 | 6.54 |
| 13. | 2019. 3. 31. | 16.32% | 1.79% | 142.26 | 0.70 | 10.01 |
| 14. | 2019. 4. 30. | 0.89% | 3.93% | 12.27 | 8.87 | -10.43 |
| 15. | 2019. 5. 31. | -25.08% | -6.58% | 868.55 | 56.71 | 221.94 |
| 16. | 2019. 6. 30. | 21.24% | 6.89% | 283.76 | 35.28 | 100.06 |
| 17. | 2019. 7. 31. | 2.68% | 1.31% | 2.95 | 0.13 | -0.62 |
| 18. | 2019. 8. 31. | -0.62% | -1.81% | 25.10 | 7.63 | 13.84 |
| 19. | 2019. 9. 30. | 3.82% | 1.72% | 0.33 | 0.59 | -0.44 |
| 20. | 2019. 10. 31. | 15.63% | 2.04% | 126.30 | 1.19 | 12.25 |
| 21. | 2019. 11. 30. | 7.83% | 3.40% | 11.83 | 6.01 | 8.43 |
| 22. | 2019. 12. 31. | 8.49% | 2.86% | 16.75 | 3.63 | 7.80 |
| 23. | 2020. 1. 31. | 0.51% | -0.16% | 15.08 | 1.24 | 4.33 |
| 24. | 2020. 2. 29. | 14.28% | -8.41% | 97.75 | 87.68 | -92.58 |
| 25. | 2020. 3. 31. | -2.37% | -12.51% | 45.76 | 181.30 | 91.08 |
| 26. | 2020. 4. 30. | 10.93% | 12.68% | 42.66 | 137.63 | 76.63 |
| 27. | 2020. 5. 31. | 21.48% | 4.53% | 291.85 | 12.78 | 61.08 |
| 28. | 2020. 6. 30. | 7.03% | 1.84% | 6.93 | 0.78 | 2.33 |
| 29. | 2020. 7. 31. | 11.79% | 5.51% | 54.69 | 20.77 | 33.70 |
| 30. | 2020. 8. 31. | 25.99% | 7.01% | 466.34 | 36.65 | 130.73 |
| 31. | 2020. 9. 30. | 1.15% | -3.92% | 10.52 | 23.77 | 15.81 |
| 32. | 2020. 10. 31. | -7.39% | -2.77% | 138.88 | 13.83 | 43.83 |
| 33. | 2020. 11. 30. | 6.94% | 10.75% | 6.50 | 96.07 | 24.99 |
| 34. | 2020. 12. 31. | -2.51% | 3.71% | 47.63 | 7.61 | -19.04 |
| 35. | 2021. 1. 31. | -0.54% | -1.11% | 24.30 | 4.27 | 10.19 |
| 36. | 2021. 2. 28. | 5.62% | 2.61% | 1.50 | 2.74 | 2.03 |
| 37. | 2021. 3. 31. | -2.67% | 4.24% | 49.87 | 10.83 | -23.24 |
| 38. | 2021. 4. 30. | 12.43% | 5.24% | 64.65 | 18.40 | 34.49 |
| 39. | 2021. 5. 31. | 8.26% | 0.55% | 14.96 | 0.16 | -1.56 |
| 40. | 2021. 6. 30. | 23.10% | 2.22% | 349.98 | 1.61 | 23.73 |
| 41. | 2021. 7. 31. | -2.50% | 2.27% | 47.53 | 1.75 | -9.11 |
| 42. | 2021. 8. 31. | 14.84% | 2.90% | 109.14 | 3.79 | 20.33 |
| 43. | 2021. 9. 30. | -7.46% | -4.76% | 140.48 | 32.60 | 67.68 |
| 44. | 2021. 10. 31. | 23.41% | 6.91% | 361.51 | 35.54 | 113.35 |
| 45. | 2021. 11. 30. | 27.81% | -0.83% | 548.13 | 3.19 | -41.82 |
| 46. | 2021. 12. 31. | -9.99% | 4.36% | 207.01 | 11.62 | -49.04 |
| 47. | 2022. 1. 31. | -16.73% | -5.26% | 446.18 | 38.58 | 131.20 |
| 48. | 2022. 2. 28. | -0.41% | -3.14% | 23.06 | 16.72 | 19.64 |
| 49. | 2022. 3. 31. | 11.91% | 3.58% | 56.44 | 6.89 | 19.72 |
| 50. | 2022. 4. 30. | -32.03% | -8.80% | 1,326.44 | 95.04 | 355.05 |
| 51. | 2022. 5. 31. | 0.65% | 0.01% | 14.04 | 0.90 | 3.55 |
| 52. | 2022. 6. 30. | -18.78% | -8.39% | 536.97 | 87.33 | 216.55 |
| 53. | 2022. 7. 31. | 19.79% | 9.11% | 237.01 | 66.56 | 125.60 |
| 54. | 2022. 8. 31. | -16.91% | -4.24% | 453.66 | 27.01 | 110.69 |
| 55. | 2022. 9. 30. | -19.52% | -9.34% | 572.01 | 105.94 | 246.16 |
| 56. | 2022. 10. 31. | 11.20% | 7.99% | 46.36 | 49.47 | 47.89 |
| 57. | 2022. 11. 30. | 25.36% | 5.38% | 439.70 | 19.56 | 92.73 |
| 58. | 2022. 12. 31. | -13.65% | -5.90% | 325.67 | 46.92 | 123.62 |
| 59. | 2023. 1. 31. | 33.74% | 6.18% | 861.43 | 27.27 | 153.28 |
| 60. | 2023. 2. 28. | 18.83% | -2.61% | 208.49 | 12.70 | -51.46 |
| 61. | 2023. 3. 31. | 19.66% | 3.51% | 232.92 | 6.51 | 38.95 |
| 62. | 2023. 4. 30. | -0.11% | 1.46% | 20.27 | 0.26 | -2.30 |
| 63. | 2023. 5. 31. | 36.32% | 0.25% | 1,019.55 | 0.50 | -22.50 |
| 64. | 2023. 6. 30. | 11.83% | 4.71% | 55.24 | 14.14 | 27.95 |
| 65. | 2023. 7. 31. | 10.47% | 4.85% | 36.95 | 15.16 | 23.67 |
| 66. | 2023. 8. 31. | 5.63% | -1.77% | 1.52 | 7.42 | -3.36 |
| 67. | 2023. 9. 30. | -11.86% | -4.87% | 264.31 | 33.93 | 94.70 |
| 68. | 2023. 10. 31. | -6.25% | -2.20% | 113.35 | 9.93 | 33.55 |
| 69. | 2023. 11. 30. | 14.69% | 8.92% | 105.98 | 63.44 | 82.00 |
| 70. | 2023. 12. 31. | 5.89% | 4.42% | 2.23 | 12.04 | 5.19 |
| 71. | 2024. 1. 31. | 24.25% | 1.59% | 394.38 | 0.41 | 12.64 |
| 합계 (Σ): | 14,975.14 | 1,876.53 | 3,307.93 | |||
모두 보기
분산NVDA = Σ(RNVDA,t–RNVDA)2 ÷ (71 – 1)
= 14,975.14 ÷ (71 – 1)
= 213.93
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,876.53 ÷ (71 – 1)
= 26.81
공분산NVDA, S&P 500 = Σ(RNVDA,t–RNVDA)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 3,307.93 ÷ (71 – 1)
= 47.26
체계적인 위험 추정 (β)
| 분산NVDA | 213.93 |
| 분산S&P 500 | 26.81 |
| 공분산NVDA, S&P 500 | 47.26 |
| 상관 계수NVDA, S&P 5001 | 0.62 |
| βNVDA2 | 1.76 |
| αNVDA3 | 2.71% |
계산
1 상관 계수NVDA, S&P 500
= 공분산NVDA, S&P 500 ÷ (표준 편차NVDA × 표준 편차S&P 500)
= 47.26 ÷ (14.63% × 5.18%)
= 0.62
2 βNVDA
= 공분산NVDA, S&P 500 ÷ 분산S&P 500
= 47.26 ÷ 26.81
= 1.76
3 αNVDA
= 평균의NVDA – βNVDA × 평균의S&P 500
= 4.39% – 1.76 × 0.95%
= 2.71%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.67% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.79% |
| 보통주의 체계적 위험NVIDIA | βNVDA | 1.76 |
| NVIDIA 보통주에 대한 예상 수익률3 | E(RNVDA) | 20.74% |
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(RNVDA) = RF + βNVDA [E(RM) – RF]
= 4.67% + 1.76 [13.79% – 4.67%]
= 20.74%