Stock Analysis on Net

ON Semiconductor Corp. (NASDAQ:ON)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

수익률

ON Semiconductor Corp., 월별 수익률

Microsoft Excel
ON Semiconductor Corp. (ON) Standard & Poor’s 500 (S&P 500)
t 날짜 ON,t1 피제수ON,t1 RON,t2 S&P 500,t RS&P 500,t3
2019. 1. 31. $20.04 2,704.10
1. 2019. 2. 28. $21.48 7.19% 2,784.49 2.97%
2. 2019. 3. 31. $20.57 -4.24% 2,834.40 1.79%
3. 2019. 4. 30. $23.06 12.11% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023. 11. 30. $71.33 13.87% 4,567.80 8.92%
59. 2023. 12. 31. $83.53 17.10% 4,769.83 4.42%
평균의 (R): 3.48% 1.11%
표준 편차: 14.18% 5.31%
ON Semiconductor Corp. (ON) Standard & Poor’s 500 (S&P 500)
t 날짜 ON,t1 피제수ON,t1 RON,t2 S&P 500,t RS&P 500,t3
2019. 1. 31. $20.04 2,704.10
1. 2019. 2. 28. $21.48 7.19% 2,784.49 2.97%
2. 2019. 3. 31. $20.57 -4.24% 2,834.40 1.79%
3. 2019. 4. 30. $23.06 12.11% 2,945.83 3.93%
4. 2019. 5. 31. $17.76 -22.98% 2,752.06 -6.58%
5. 2019. 6. 30. $20.21 13.80% 2,941.76 6.89%
6. 2019. 7. 31. $21.51 6.43% 2,980.38 1.31%
7. 2019. 8. 31. $17.80 -17.25% 2,926.46 -1.81%
8. 2019. 9. 30. $19.21 7.92% 2,976.74 1.72%
9. 2019. 10. 31. $20.40 6.19% 3,037.56 2.04%
10. 2019. 11. 30. $21.47 5.25% 3,140.98 3.40%
11. 2019. 12. 31. $24.38 13.55% 3,230.78 2.86%
12. 2020. 1. 31. $23.15 -5.05% 3,225.52 -0.16%
13. 2020. 2. 29. $18.66 -19.40% 2,954.22 -8.41%
14. 2020. 3. 31. $12.44 -33.33% 2,584.59 -12.51%
15. 2020. 4. 30. $16.05 29.02% 2,912.43 12.68%
16. 2020. 5. 31. $16.49 2.74% 3,044.31 4.53%
17. 2020. 6. 30. $19.82 20.19% 3,100.29 1.84%
18. 2020. 7. 31. $20.60 3.94% 3,271.12 5.51%
19. 2020. 8. 31. $21.37 3.74% 3,500.31 7.01%
20. 2020. 9. 30. $21.69 1.50% 3,363.00 -3.92%
21. 2020. 10. 31. $25.09 15.68% 3,269.96 -2.77%
22. 2020. 11. 30. $28.75 14.59% 3,621.63 10.75%
23. 2020. 12. 31. $32.73 13.84% 3,756.07 3.71%
24. 2021. 1. 31. $34.49 5.38% 3,714.24 -1.11%
25. 2021. 2. 28. $40.27 16.76% 3,811.15 2.61%
26. 2021. 3. 31. $41.61 3.33% 3,972.89 4.24%
27. 2021. 4. 30. $39.00 -6.27% 4,181.17 5.24%
28. 2021. 5. 31. $40.04 2.67% 4,204.11 0.55%
29. 2021. 6. 30. $38.28 -4.40% 4,297.50 2.22%
30. 2021. 7. 31. $39.06 2.04% 4,395.26 2.27%
31. 2021. 8. 31. $44.36 13.57% 4,522.68 2.90%
32. 2021. 9. 30. $45.77 3.18% 4,307.54 -4.76%
33. 2021. 10. 31. $48.07 5.03% 4,605.38 6.91%
34. 2021. 11. 30. $61.43 27.79% 4,567.00 -0.83%
35. 2021. 12. 31. $67.92 10.56% 4,766.18 4.36%
36. 2022. 1. 31. $59.00 -13.13% 4,515.55 -5.26%
37. 2022. 2. 28. $62.61 6.12% 4,373.94 -3.14%
38. 2022. 3. 31. $62.61 0.00% 4,530.41 3.58%
39. 2022. 4. 30. $52.11 -16.77% 4,131.93 -8.80%
40. 2022. 5. 31. $60.68 16.45% 4,132.15 0.01%
41. 2022. 6. 30. $50.31 -17.09% 3,785.38 -8.39%
42. 2022. 7. 31. $66.78 32.74% 4,130.29 9.11%
43. 2022. 8. 31. $68.77 2.98% 3,955.00 -4.24%
44. 2022. 9. 30. $62.33 -9.36% 3,585.62 -9.34%
45. 2022. 10. 31. $61.43 -1.44% 3,871.98 7.99%
46. 2022. 11. 30. $75.20 22.42% 4,080.11 5.38%
47. 2022. 12. 31. $62.37 -17.06% 3,839.50 -5.90%
48. 2023. 1. 31. $73.45 17.76% 4,076.60 6.18%
49. 2023. 2. 28. $77.41 5.39% 3,970.15 -2.61%
50. 2023. 3. 31. $82.32 6.34% 4,109.31 3.51%
51. 2023. 4. 30. $71.96 -12.59% 4,169.48 1.46%
52. 2023. 5. 31. $83.60 16.18% 4,179.83 0.25%
53. 2023. 6. 30. $94.58 13.13% 4,376.86 4.71%
54. 2023. 7. 31. $107.75 13.92% 4,588.96 4.85%
55. 2023. 8. 31. $98.46 -8.62% 4,507.66 -1.77%
56. 2023. 9. 30. $92.95 -5.60% 4,288.05 -4.87%
57. 2023. 10. 31. $62.64 -32.61% 4,193.80 -2.20%
58. 2023. 11. 30. $71.33 13.87% 4,567.80 8.92%
59. 2023. 12. 31. $83.53 17.10% 4,769.83 4.42%
평균의 (R): 3.48% 1.11%
표준 편차: 14.18% 5.31%

모두 표시

1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.

2 기간 t 동안 ON의 보통주에 대한 수익률.

3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.


분산과 공분산

ON Semiconductor Corp., 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RON,t RS&P 500,t (RON,tRON)2 (RS&P 500,tRS&P 500)2 (RON,tRON)×(RS&P 500,tRS&P 500)
1. 2019. 2. 28. 7.19% 2.97% 13.75 3.49 6.92
2. 2019. 3. 31. -4.24% 1.79% 59.51 0.47 -5.30
3. 2019. 4. 30. 12.11% 3.93% 74.43 7.98 24.38
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023. 11. 30. 13.87% 8.92% 108.06 61.03 81.21
59. 2023. 12. 31. 17.10% 4.42% 185.66 11.00 45.20
합계 (Σ): 11,661.53 1,634.30 2,975.97
t 날짜 RON,t RS&P 500,t (RON,tRON)2 (RS&P 500,tRS&P 500)2 (RON,tRON)×(RS&P 500,tRS&P 500)
1. 2019. 2. 28. 7.19% 2.97% 13.75 3.49 6.92
2. 2019. 3. 31. -4.24% 1.79% 59.51 0.47 -5.30
3. 2019. 4. 30. 12.11% 3.93% 74.43 7.98 24.38
4. 2019. 5. 31. -22.98% -6.58% 700.20 59.04 203.32
5. 2019. 6. 30. 13.80% 6.89% 106.45 33.49 59.71
6. 2019. 7. 31. 6.43% 1.31% 8.73 0.04 0.61
7. 2019. 8. 31. -17.25% -1.81% 429.55 8.50 60.42
8. 2019. 9. 30. 7.92% 1.72% 19.75 0.37 2.72
9. 2019. 10. 31. 6.19% 2.04% 7.38 0.88 2.55
10. 2019. 11. 30. 5.25% 3.40% 3.12 5.28 4.06
11. 2019. 12. 31. 13.55% 2.86% 101.53 3.07 17.66
12. 2020. 1. 31. -5.05% -0.16% 72.64 1.61 10.81
13. 2020. 2. 29. -19.40% -8.41% 523.17 90.57 217.68
14. 2020. 3. 31. -33.33% -12.51% 1,355.05 185.44 501.28
15. 2020. 4. 30. 29.02% 12.68% 652.37 134.06 295.73
16. 2020. 5. 31. 2.74% 4.53% 0.54 11.71 -2.52
17. 2020. 6. 30. 20.19% 1.84% 279.44 0.54 12.25
18. 2020. 7. 31. 3.94% 5.51% 0.21 19.40 2.02
19. 2020. 8. 31. 3.74% 7.01% 0.07 34.82 1.53
20. 2020. 9. 30. 1.50% -3.92% 3.92 25.29 9.96
21. 2020. 10. 31. 15.68% -2.77% 148.78 15.00 -47.23
22. 2020. 11. 30. 14.59% 10.75% 123.43 93.10 107.19
23. 2020. 12. 31. 13.84% 3.71% 107.45 6.79 27.02
24. 2021. 1. 31. 5.38% -1.11% 3.61 4.93 -4.22
25. 2021. 2. 28. 16.76% 2.61% 176.38 2.26 19.96
26. 2021. 3. 31. 3.33% 4.24% 0.02 9.85 -0.47
27. 2021. 4. 30. -6.27% 5.24% 95.07 17.11 -40.33
28. 2021. 5. 31. 2.67% 0.55% 0.66 0.31 0.45
29. 2021. 6. 30. -4.40% 2.22% 61.99 1.24 -8.78
30. 2021. 7. 31. 2.04% 2.27% 2.07 1.37 -1.68
31. 2021. 8. 31. 13.57% 2.90% 101.83 3.22 18.10
32. 2021. 9. 30. 3.18% -4.76% 0.09 34.37 1.75
33. 2021. 10. 31. 5.03% 6.91% 2.39 33.74 8.99
34. 2021. 11. 30. 27.79% -0.83% 591.22 3.76 -47.15
35. 2021. 12. 31. 10.56% 4.36% 50.23 10.60 23.07
36. 2022. 1. 31. -13.13% -5.26% 275.92 40.51 105.72
37. 2022. 2. 28. 6.12% -3.14% 6.97 17.99 -11.20
38. 2022. 3. 31. 0.00% 3.58% 12.09 6.11 -8.60
39. 2022. 4. 30. -16.77% -8.80% 409.99 98.04 200.49
40. 2022. 5. 31. 16.45% 0.01% 168.18 1.21 -14.27
41. 2022. 6. 30. -17.09% -8.39% 423.02 90.21 195.35
42. 2022. 7. 31. 32.74% 9.11% 856.11 64.09 234.24
43. 2022. 8. 31. 2.98% -4.24% 0.25 28.62 2.66
44. 2022. 9. 30. -9.36% -9.34% 164.92 109.11 134.14
45. 2022. 10. 31. -1.44% 7.99% 24.22 47.34 -33.86
46. 2022. 11. 30. 22.42% 5.38% 358.65 18.23 80.85
47. 2022. 12. 31. -17.06% -5.90% 421.85 49.04 143.83
48. 2023. 1. 31. 17.76% 6.18% 204.12 25.70 72.43
49. 2023. 2. 28. 5.39% -2.61% 3.66 13.82 -7.11
50. 2023. 3. 31. 6.34% 3.51% 8.21 5.76 6.87
51. 2023. 4. 30. -12.59% 1.46% 258.01 0.13 -5.76
52. 2023. 5. 31. 16.18% 0.25% 161.24 0.74 -10.89
53. 2023. 6. 30. 13.13% 4.71% 93.24 13.02 34.84
54. 2023. 7. 31. 13.92% 4.85% 109.14 13.99 39.07
55. 2023. 8. 31. -8.62% -1.77% 146.40 8.28 34.82
56. 2023. 9. 30. -5.60% -4.87% 82.34 35.73 54.24
57. 2023. 10. 31. -32.61% -2.20% 1,302.25 10.92 119.22
58. 2023. 11. 30. 13.87% 8.92% 108.06 61.03 81.21
59. 2023. 12. 31. 17.10% 4.42% 185.66 11.00 45.20
합계 (Σ): 11,661.53 1,634.30 2,975.97

모두 표시

분산ON = Σ(RON,tRON)2 ÷ (59 – 1)
= 11,661.53 ÷ (59 – 1)
= 201.06

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18

공분산ON, S&P 500 = Σ(RON,tRON)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 2,975.97 ÷ (59 – 1)
= 51.31


체계적인 위험 추정 (β)

Microsoft Excel
분산ON 201.06
분산S&P 500 28.18
공분산ON, S&P 500 51.31
상관 계수ON, S&P 5001 0.68
βON2 1.82
αON3 1.46%

계산

1 상관 계수ON, S&P 500
= 공분산ON, S&P 500 ÷ (표준 편차ON × 표준 편차S&P 500)
= 51.31 ÷ (14.18% × 5.31%)
= 0.68

2 βON
= 공분산ON, S&P 500 ÷ 분산S&P 500
= 51.31 ÷ 28.18
= 1.82

3 αON
= 평균의ON – βON × 평균의S&P 500
= 3.48%1.82 × 1.11%
= 1.46%


예상 수익률

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.48%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 12.81%
보통주 onsemi 의 체계적인 리스크 βON 1.82
 
onsemi 보통주에 대한 예상 수익률3 E(RON) 19.64%

1 10년 이내에 만기가 되지 않거나 콜 가능하지 않은 모든 미결제 고정 쿠폰 미국 재무부 채권에 대한 입찰 수익률의 가중 평균(무위험 수익률 프록시).

2 자세히 보기 »

3 E(RON) = RF + βON [E(RM) – RF]
= 4.48% + 1.82 [12.81%4.48%]
= 19.64%