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 |
| 2020. 2. 29. | $6.75 | 2,954.22 | ||||
| 1. | 2020. 3. 31. | $6.59 | -2.37% | 2,584.59 | -12.51% | |
| 2. | 2020. 4. 30. | $7.31 | 10.93% | 2,912.43 | 12.68% | |
| 3. | 2020. 5. 31. | $8.88 | 21.48% | 3,044.31 | 4.53% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 12. 31. | $186.50 | $0.01 | 5.37% | 6,845.50 | -0.05% |
| 71. | 2026. 1. 31. | $191.13 | 2.48% | 6,939.03 | 1.37% | |
| 평균의 (R): | 5.77% | 1.33% | ||||
| 표준 편차: | 14.00% | 4.83% | ||||
| 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 |
| 2020. 2. 29. | $6.75 | 2,954.22 | ||||
| 1. | 2020. 3. 31. | $6.59 | -2.37% | 2,584.59 | -12.51% | |
| 2. | 2020. 4. 30. | $7.31 | 10.93% | 2,912.43 | 12.68% | |
| 3. | 2020. 5. 31. | $8.88 | 21.48% | 3,044.31 | 4.53% | |
| 4. | 2020. 6. 30. | $9.50 | $0.004 | 7.03% | 3,100.29 | 1.84% |
| 5. | 2020. 7. 31. | $10.62 | 11.79% | 3,271.12 | 5.51% | |
| 6. | 2020. 8. 31. | $13.38 | 25.99% | 3,500.31 | 7.01% | |
| 7. | 2020. 9. 30. | $13.53 | $0.004 | 1.15% | 3,363.00 | -3.92% |
| 8. | 2020. 10. 31. | $12.53 | -7.39% | 3,269.96 | -2.77% | |
| 9. | 2020. 11. 30. | $13.40 | 6.94% | 3,621.63 | 10.75% | |
| 10. | 2020. 12. 31. | $13.06 | $0.004 | -2.51% | 3,756.07 | 3.71% |
| 11. | 2021. 1. 31. | $12.99 | -0.54% | 3,714.24 | -1.11% | |
| 12. | 2021. 2. 28. | $13.72 | 5.62% | 3,811.15 | 2.61% | |
| 13. | 2021. 3. 31. | $13.35 | $0.004 | -2.67% | 3,972.89 | 4.24% |
| 14. | 2021. 4. 30. | $15.01 | 12.43% | 4,181.17 | 5.24% | |
| 15. | 2021. 5. 31. | $16.25 | 8.26% | 4,204.11 | 0.55% | |
| 16. | 2021. 6. 30. | $20.00 | $0.004 | 23.10% | 4,297.50 | 2.22% |
| 17. | 2021. 7. 31. | $19.50 | -2.50% | 4,395.26 | 2.27% | |
| 18. | 2021. 8. 31. | $22.39 | $0.004 | 14.84% | 4,522.68 | 2.90% |
| 19. | 2021. 9. 30. | $20.72 | -7.46% | 4,307.54 | -4.76% | |
| 20. | 2021. 10. 31. | $25.57 | 23.41% | 4,605.38 | 6.91% | |
| 21. | 2021. 11. 30. | $32.68 | 27.81% | 4,567.00 | -0.83% | |
| 22. | 2021. 12. 31. | $29.41 | $0.004 | -9.99% | 4,766.18 | 4.36% |
| 23. | 2022. 1. 31. | $24.49 | -16.73% | 4,515.55 | -5.26% | |
| 24. | 2022. 2. 28. | $24.39 | -0.41% | 4,373.94 | -3.14% | |
| 25. | 2022. 3. 31. | $27.29 | $0.004 | 11.91% | 4,530.41 | 3.58% |
| 26. | 2022. 4. 30. | $18.55 | -32.03% | 4,131.93 | -8.80% | |
| 27. | 2022. 5. 31. | $18.67 | 0.65% | 4,132.15 | 0.01% | |
| 28. | 2022. 6. 30. | $15.16 | $0.004 | -18.78% | 3,785.38 | -8.39% |
| 29. | 2022. 7. 31. | $18.16 | 19.79% | 4,130.29 | 9.11% | |
| 30. | 2022. 8. 31. | $15.09 | -16.91% | 3,955.00 | -4.24% | |
| 31. | 2022. 9. 30. | $12.14 | $0.004 | -19.52% | 3,585.62 | -9.34% |
| 32. | 2022. 10. 31. | $13.50 | 11.20% | 3,871.98 | 7.99% | |
| 33. | 2022. 11. 30. | $16.92 | $0.004 | 25.36% | 4,080.11 | 5.38% |
| 34. | 2022. 12. 31. | $14.61 | -13.65% | 3,839.50 | -5.90% | |
| 35. | 2023. 1. 31. | $19.54 | 33.74% | 4,076.60 | 6.18% | |
| 36. | 2023. 2. 28. | $23.22 | 18.83% | 3,970.15 | -2.61% | |
| 37. | 2023. 3. 31. | $27.78 | $0.004 | 19.66% | 4,109.31 | 3.51% |
| 38. | 2023. 4. 30. | $27.75 | -0.11% | 4,169.48 | 1.46% | |
| 39. | 2023. 5. 31. | $37.83 | 36.32% | 4,179.83 | 0.25% | |
| 40. | 2023. 6. 30. | $42.30 | $0.004 | 11.83% | 4,376.86 | 4.71% |
| 41. | 2023. 7. 31. | $46.73 | 10.47% | 4,588.96 | 4.85% | |
| 42. | 2023. 8. 31. | $49.36 | 5.63% | 4,507.66 | -1.77% | |
| 43. | 2023. 9. 30. | $43.50 | $0.004 | -11.86% | 4,288.05 | -4.87% |
| 44. | 2023. 10. 31. | $40.78 | -6.25% | 4,193.80 | -2.20% | |
| 45. | 2023. 11. 30. | $46.77 | 14.69% | 4,567.80 | 8.92% | |
| 46. | 2023. 12. 31. | $49.52 | $0.004 | 5.89% | 4,769.83 | 4.42% |
| 47. | 2024. 1. 31. | $61.53 | 24.25% | 4,845.65 | 1.59% | |
| 48. | 2024. 2. 29. | $79.11 | 28.57% | 5,096.27 | 5.17% | |
| 49. | 2024. 3. 31. | $90.36 | $0.01 | 14.23% | 5,254.35 | 3.10% |
| 50. | 2024. 4. 30. | $86.40 | -4.38% | 5,035.69 | -4.16% | |
| 51. | 2024. 5. 31. | $109.63 | 26.89% | 5,277.51 | 4.80% | |
| 52. | 2024. 6. 30. | $123.54 | $0.01 | 12.70% | 5,460.48 | 3.47% |
| 53. | 2024. 7. 31. | $117.02 | -5.28% | 5,522.30 | 1.13% | |
| 54. | 2024. 8. 31. | $119.37 | 2.01% | 5,648.40 | 2.28% | |
| 55. | 2024. 9. 30. | $121.44 | $0.01 | 1.74% | 5,762.48 | 2.02% |
| 56. | 2024. 10. 31. | $132.76 | 9.32% | 5,705.45 | -0.99% | |
| 57. | 2024. 11. 30. | $138.25 | 4.14% | 6,032.38 | 5.73% | |
| 58. | 2024. 12. 31. | $134.29 | $0.01 | -2.86% | 5,881.63 | -2.50% |
| 59. | 2025. 1. 31. | $120.07 | -10.59% | 6,040.53 | 2.70% | |
| 60. | 2025. 2. 28. | $124.92 | 4.04% | 5,954.50 | -1.42% | |
| 61. | 2025. 3. 31. | $108.38 | $0.01 | -13.23% | 5,611.85 | -5.75% |
| 62. | 2025. 4. 30. | $108.92 | 0.50% | 5,569.06 | -0.76% | |
| 63. | 2025. 5. 31. | $135.13 | 24.06% | 5,911.69 | 6.15% | |
| 64. | 2025. 6. 30. | $157.99 | $0.01 | 16.92% | 6,204.95 | 4.96% |
| 65. | 2025. 7. 31. | $177.87 | 12.58% | 6,339.39 | 2.17% | |
| 66. | 2025. 8. 31. | $174.18 | -2.07% | 6,460.26 | 1.91% | |
| 67. | 2025. 9. 30. | $186.58 | $0.01 | 7.12% | 6,688.46 | 3.53% |
| 68. | 2025. 10. 31. | $202.49 | 8.53% | 6,840.20 | 2.27% | |
| 69. | 2025. 11. 30. | $177.00 | -12.59% | 6,849.09 | 0.13% | |
| 70. | 2025. 12. 31. | $186.50 | $0.01 | 5.37% | 6,845.50 | -0.05% |
| 71. | 2026. 1. 31. | $191.13 | 2.48% | 6,939.03 | 1.37% | |
| 평균의 (R): | 5.77% | 1.33% | ||||
| 표준 편차: | 14.00% | 4.83% | ||||
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. | 2020. 3. 31. | -2.37% | -12.51% | 66.23 | 191.48 | 112.62 |
| 2. | 2020. 4. 30. | 10.93% | 12.68% | 26.60 | 129.02 | 58.58 |
| 3. | 2020. 5. 31. | 21.48% | 4.53% | 246.78 | 10.26 | 50.31 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 12. 31. | 5.37% | -0.05% | 0.16 | 1.90 | 0.54 |
| 71. | 2026. 1. 31. | 2.48% | 1.37% | 10.79 | 0.00 | -0.13 |
| 합계 (Σ): | 13,728.19 | 1,636.00 | 3,018.96 | |||
| 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. | 2020. 3. 31. | -2.37% | -12.51% | 66.23 | 191.48 | 112.62 |
| 2. | 2020. 4. 30. | 10.93% | 12.68% | 26.60 | 129.02 | 58.58 |
| 3. | 2020. 5. 31. | 21.48% | 4.53% | 246.78 | 10.26 | 50.31 |
| 4. | 2020. 6. 30. | 7.03% | 1.84% | 1.58 | 0.26 | 0.65 |
| 5. | 2020. 7. 31. | 11.79% | 5.51% | 36.26 | 17.51 | 25.20 |
| 6. | 2020. 8. 31. | 25.99% | 7.01% | 408.87 | 32.27 | 114.87 |
| 7. | 2020. 9. 30. | 1.15% | -3.92% | 21.32 | 27.55 | 24.23 |
| 8. | 2020. 10. 31. | -7.39% | -2.77% | 173.16 | 16.75 | 53.85 |
| 9. | 2020. 11. 30. | 6.94% | 10.75% | 1.38 | 88.91 | 11.08 |
| 10. | 2020. 12. 31. | -2.51% | 3.71% | 68.48 | 5.70 | -19.75 |
| 11. | 2021. 1. 31. | -0.54% | -1.11% | 39.74 | 5.95 | 15.38 |
| 12. | 2021. 2. 28. | 5.62% | 2.61% | 0.02 | 1.65 | -0.19 |
| 13. | 2021. 3. 31. | -2.67% | 4.24% | 71.16 | 8.52 | -24.62 |
| 14. | 2021. 4. 30. | 12.43% | 5.24% | 44.44 | 15.34 | 26.11 |
| 15. | 2021. 5. 31. | 8.26% | 0.55% | 6.22 | 0.60 | -1.94 |
| 16. | 2021. 6. 30. | 23.10% | 2.22% | 300.45 | 0.80 | 15.53 |
| 17. | 2021. 7. 31. | -2.50% | 2.27% | 68.36 | 0.90 | -7.85 |
| 18. | 2021. 8. 31. | 14.84% | 2.90% | 82.32 | 2.48 | 14.28 |
| 19. | 2021. 9. 30. | -7.46% | -4.76% | 174.95 | 37.00 | 80.45 |
| 20. | 2021. 10. 31. | 23.41% | 6.91% | 311.14 | 31.23 | 98.58 |
| 21. | 2021. 11. 30. | 27.81% | -0.83% | 485.67 | 4.66 | -47.58 |
| 22. | 2021. 12. 31. | -9.99% | 4.36% | 248.44 | 9.22 | -47.85 |
| 23. | 2022. 1. 31. | -16.73% | -5.26% | 506.12 | 43.35 | 148.12 |
| 24. | 2022. 2. 28. | -0.41% | -3.14% | 38.15 | 19.91 | 27.56 |
| 25. | 2022. 3. 31. | 11.91% | 3.58% | 37.68 | 5.07 | 13.82 |
| 26. | 2022. 4. 30. | -32.03% | -8.80% | 1,428.42 | 102.44 | 382.53 |
| 27. | 2022. 5. 31. | 0.65% | 0.01% | 26.23 | 1.74 | 6.76 |
| 28. | 2022. 6. 30. | -18.78% | -8.39% | 602.55 | 94.43 | 238.54 |
| 29. | 2022. 7. 31. | 19.79% | 9.11% | 196.58 | 60.62 | 109.17 |
| 30. | 2022. 8. 31. | -16.91% | -4.24% | 514.08 | 31.02 | 126.28 |
| 31. | 2022. 9. 30. | -19.52% | -9.34% | 639.63 | 113.75 | 269.73 |
| 32. | 2022. 10. 31. | 11.20% | 7.99% | 29.53 | 44.37 | 36.20 |
| 33. | 2022. 11. 30. | 25.36% | 5.38% | 383.96 | 16.40 | 79.35 |
| 34. | 2022. 12. 31. | -13.65% | -5.90% | 377.16 | 52.17 | 140.27 |
| 35. | 2023. 1. 31. | 33.74% | 6.18% | 782.65 | 23.52 | 135.67 |
| 36. | 2023. 2. 28. | 18.83% | -2.61% | 170.70 | 15.50 | -51.44 |
| 37. | 2023. 3. 31. | 19.66% | 3.51% | 192.86 | 4.75 | 30.27 |
| 38. | 2023. 4. 30. | -0.11% | 1.46% | 34.53 | 0.02 | -0.81 |
| 39. | 2023. 5. 31. | 36.32% | 0.25% | 933.68 | 1.16 | -32.92 |
| 40. | 2023. 6. 30. | 11.83% | 4.71% | 36.71 | 11.48 | 20.53 |
| 41. | 2023. 7. 31. | 10.47% | 4.85% | 22.13 | 12.39 | 16.56 |
| 42. | 2023. 8. 31. | 5.63% | -1.77% | 0.02 | 9.59 | 0.43 |
| 43. | 2023. 9. 30. | -11.86% | -4.87% | 310.89 | 38.41 | 109.27 |
| 44. | 2023. 10. 31. | -6.25% | -2.20% | 144.50 | 12.42 | 42.36 |
| 45. | 2023. 11. 30. | 14.69% | 8.92% | 79.58 | 57.64 | 67.73 |
| 46. | 2023. 12. 31. | 5.89% | 4.42% | 0.01 | 9.59 | 0.37 |
| 47. | 2024. 1. 31. | 24.25% | 1.59% | 341.69 | 0.07 | 4.88 |
| 48. | 2024. 2. 29. | 28.57% | 5.17% | 519.99 | 14.80 | 87.71 |
| 49. | 2024. 3. 31. | 14.23% | 3.10% | 71.66 | 3.16 | 15.04 |
| 50. | 2024. 4. 30. | -4.38% | -4.16% | 103.03 | 30.11 | 55.70 |
| 51. | 2024. 5. 31. | 26.89% | 4.80% | 445.99 | 12.09 | 73.42 |
| 52. | 2024. 6. 30. | 12.70% | 3.47% | 48.01 | 4.59 | 14.84 |
| 53. | 2024. 7. 31. | -5.28% | 1.13% | 122.01 | 0.04 | 2.14 |
| 54. | 2024. 8. 31. | 2.01% | 2.28% | 14.14 | 0.92 | -3.60 |
| 55. | 2024. 9. 30. | 1.74% | 2.02% | 16.21 | 0.48 | -2.79 |
| 56. | 2024. 10. 31. | 9.32% | -0.99% | 12.63 | 5.36 | -8.23 |
| 57. | 2024. 11. 30. | 4.14% | 5.73% | 2.67 | 19.40 | -7.19 |
| 58. | 2024. 12. 31. | -2.86% | -2.50% | 74.39 | 14.63 | 32.99 |
| 59. | 2025. 1. 31. | -10.59% | 2.70% | 267.55 | 1.89 | -22.51 |
| 60. | 2025. 2. 28. | 4.04% | -1.42% | 2.99 | 7.56 | 4.75 |
| 61. | 2025. 3. 31. | -13.23% | -5.75% | 361.02 | 50.13 | 134.53 |
| 62. | 2025. 4. 30. | 0.50% | -0.76% | 27.77 | 4.36 | 11.00 |
| 63. | 2025. 5. 31. | 24.06% | 6.15% | 334.72 | 23.30 | 88.31 |
| 64. | 2025. 6. 30. | 16.92% | 4.96% | 124.46 | 13.21 | 40.55 |
| 65. | 2025. 7. 31. | 12.58% | 2.17% | 46.44 | 0.71 | 5.73 |
| 66. | 2025. 8. 31. | -2.07% | 1.91% | 61.51 | 0.34 | -4.56 |
| 67. | 2025. 9. 30. | 7.12% | 3.53% | 1.84 | 4.87 | 2.99 |
| 68. | 2025. 10. 31. | 8.53% | 2.27% | 7.61 | 0.89 | 2.60 |
| 69. | 2025. 11. 30. | -12.59% | 0.13% | 336.96 | 1.43 | 21.95 |
| 70. | 2025. 12. 31. | 5.37% | -0.05% | 0.16 | 1.90 | 0.54 |
| 71. | 2026. 1. 31. | 2.48% | 1.37% | 10.79 | 0.00 | -0.13 |
| 합계 (Σ): | 13,728.19 | 1,636.00 | 3,018.96 | |||
모두 보기
분산NVDA = Σ(RNVDA,t–RNVDA)2 ÷ (71 – 1)
= 13,728.19 ÷ (71 – 1)
= 196.12
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,636.00 ÷ (71 – 1)
= 23.37
공분산NVDA, S&P 500 = Σ(RNVDA,t–RNVDA)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 3,018.96 ÷ (71 – 1)
= 43.13
체계적인 위험 추정 (β)
| 분산NVDA | 196.12 |
| 분산S&P 500 | 23.37 |
| 공분산NVDA, S&P 500 | 43.13 |
| 상관 계수NVDA, S&P 5001 | 0.64 |
| βNVDA2 | 1.85 |
| αNVDA3 | 3.32% |
계산
1 상관 계수NVDA, S&P 500
= 공분산NVDA, S&P 500 ÷ (표준 편차NVDA × 표준 편차S&P 500)
= 43.13 ÷ (14.00% × 4.83%)
= 0.64
2 βNVDA
= 공분산NVDA, S&P 500 ÷ 분산S&P 500
= 43.13 ÷ 23.37
= 1.85
3 αNVDA
= 평균의NVDA – βNVDA × 평균의S&P 500
= 5.77% – 1.85 × 1.33%
= 3.32%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.84% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.37% |
| 보통주의 체계적 위험NVIDIA | βNVDA | 1.85 |
| NVIDIA 보통주에 대한 예상 수익률3 | E(RNVDA) | 27.96% |
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]
= 4.84% + 1.85 [17.37% – 4.84%]
= 27.96%