자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Qualcomm보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Qualcomm Inc., 월별 수익률
| Qualcomm Inc. (QCOM) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값QCOM,t1 | 피제수QCOM,t1 | RQCOM,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 10. 31. | $51.01 | 2,575.26 | ||||
| 1. | 2017. 11. 30. | $66.34 | $0.57 | 31.17% | 2,647.58 | 2.81% |
| 2. | 2017. 12. 31. | $64.02 | -3.50% | 2,673.61 | 0.98% | |
| 3. | 2018. 1. 31. | $68.25 | 6.61% | 2,823.81 | 5.62% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023. 8. 31. | $114.53 | $0.80 | -12.74% | 4,507.66 | -1.77% |
| 71. | 2023. 9. 30. | $111.06 | -3.03% | 4,288.05 | -4.87% | |
| 평균의 (R): | 2.03% | 0.85% | ||||
| 표준 편차: | 12.37% | 5.13% | ||||
| Qualcomm Inc. (QCOM) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값QCOM,t1 | 피제수QCOM,t1 | RQCOM,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 10. 31. | $51.01 | 2,575.26 | ||||
| 1. | 2017. 11. 30. | $66.34 | $0.57 | 31.17% | 2,647.58 | 2.81% |
| 2. | 2017. 12. 31. | $64.02 | -3.50% | 2,673.61 | 0.98% | |
| 3. | 2018. 1. 31. | $68.25 | 6.61% | 2,823.81 | 5.62% | |
| 4. | 2018. 2. 28. | $65.00 | $0.57 | -3.93% | 2,713.83 | -3.89% |
| 5. | 2018. 3. 31. | $55.41 | -14.75% | 2,640.87 | -2.69% | |
| 6. | 2018. 4. 30. | $51.01 | -7.94% | 2,648.05 | 0.27% | |
| 7. | 2018. 5. 31. | $58.12 | $0.62 | 15.15% | 2,705.27 | 2.16% |
| 8. | 2018. 6. 30. | $56.12 | -3.44% | 2,718.37 | 0.48% | |
| 9. | 2018. 7. 31. | $64.09 | 14.20% | 2,816.29 | 3.60% | |
| 10. | 2018. 8. 31. | $68.71 | 7.21% | 2,901.52 | 3.03% | |
| 11. | 2018. 9. 30. | $72.03 | $0.62 | 5.73% | 2,913.98 | 0.43% |
| 12. | 2018. 10. 31. | $62.89 | -12.69% | 2,711.74 | -6.94% | |
| 13. | 2018. 11. 30. | $58.26 | -7.36% | 2,760.17 | 1.79% | |
| 14. | 2018. 12. 31. | $56.91 | $0.62 | -1.25% | 2,506.85 | -9.18% |
| 15. | 2019. 1. 31. | $49.52 | -12.99% | 2,704.10 | 7.87% | |
| 16. | 2019. 2. 28. | $53.39 | 7.82% | 2,784.49 | 2.97% | |
| 17. | 2019. 3. 31. | $57.03 | $0.62 | 7.98% | 2,834.40 | 1.79% |
| 18. | 2019. 4. 30. | $86.13 | 51.03% | 2,945.83 | 3.93% | |
| 19. | 2019. 5. 31. | $66.82 | -22.42% | 2,752.06 | -6.58% | |
| 20. | 2019. 6. 30. | $76.07 | $0.62 | 14.77% | 2,941.76 | 6.89% |
| 21. | 2019. 7. 31. | $73.16 | -3.83% | 2,980.38 | 1.31% | |
| 22. | 2019. 8. 31. | $77.77 | 6.30% | 2,926.46 | -1.81% | |
| 23. | 2019. 9. 30. | $76.28 | $0.62 | -1.12% | 2,976.74 | 1.72% |
| 24. | 2019. 10. 31. | $80.44 | 5.45% | 3,037.56 | 2.04% | |
| 25. | 2019. 11. 30. | $83.55 | 3.87% | 3,140.98 | 3.40% | |
| 26. | 2019. 12. 31. | $88.23 | $0.62 | 6.34% | 3,230.78 | 2.86% |
| 27. | 2020. 1. 31. | $85.31 | -3.31% | 3,225.52 | -0.16% | |
| 28. | 2020. 2. 29. | $78.30 | -8.22% | 2,954.22 | -8.41% | |
| 29. | 2020. 3. 31. | $67.65 | $0.62 | -12.81% | 2,584.59 | -12.51% |
| 30. | 2020. 4. 30. | $78.67 | 16.29% | 2,912.43 | 12.68% | |
| 31. | 2020. 5. 31. | $80.88 | 2.81% | 3,044.31 | 4.53% | |
| 32. | 2020. 6. 30. | $91.21 | $0.65 | 13.58% | 3,100.29 | 1.84% |
| 33. | 2020. 7. 31. | $105.61 | 15.79% | 3,271.12 | 5.51% | |
| 34. | 2020. 8. 31. | $119.10 | 12.77% | 3,500.31 | 7.01% | |
| 35. | 2020. 9. 30. | $117.68 | $0.65 | -0.65% | 3,363.00 | -3.92% |
| 36. | 2020. 10. 31. | $123.36 | 4.83% | 3,269.96 | -2.77% | |
| 37. | 2020. 11. 30. | $147.17 | 19.30% | 3,621.63 | 10.75% | |
| 38. | 2020. 12. 31. | $152.34 | $0.65 | 3.95% | 3,756.07 | 3.71% |
| 39. | 2021. 1. 31. | $156.28 | 2.59% | 3,714.24 | -1.11% | |
| 40. | 2021. 2. 28. | $136.19 | -12.86% | 3,811.15 | 2.61% | |
| 41. | 2021. 3. 31. | $132.59 | $0.65 | -2.17% | 3,972.89 | 4.24% |
| 42. | 2021. 4. 30. | $138.80 | 4.68% | 4,181.17 | 5.24% | |
| 43. | 2021. 5. 31. | $134.54 | -3.07% | 4,204.11 | 0.55% | |
| 44. | 2021. 6. 30. | $142.93 | $0.68 | 6.74% | 4,297.50 | 2.22% |
| 45. | 2021. 7. 31. | $149.80 | 4.81% | 4,395.26 | 2.27% | |
| 46. | 2021. 8. 31. | $146.69 | -2.08% | 4,522.68 | 2.90% | |
| 47. | 2021. 9. 30. | $128.98 | $0.68 | -11.61% | 4,307.54 | -4.76% |
| 48. | 2021. 10. 31. | $133.04 | 3.15% | 4,605.38 | 6.91% | |
| 49. | 2021. 11. 30. | $180.56 | 35.72% | 4,567.00 | -0.83% | |
| 50. | 2021. 12. 31. | $182.87 | $0.68 | 1.66% | 4,766.18 | 4.36% |
| 51. | 2022. 1. 31. | $175.76 | -3.89% | 4,515.55 | -5.26% | |
| 52. | 2022. 2. 28. | $171.99 | -2.14% | 4,373.94 | -3.14% | |
| 53. | 2022. 3. 31. | $152.82 | $0.68 | -10.75% | 4,530.41 | 3.58% |
| 54. | 2022. 4. 30. | $139.69 | -8.59% | 4,131.93 | -8.80% | |
| 55. | 2022. 5. 31. | $143.22 | 2.53% | 4,132.15 | 0.01% | |
| 56. | 2022. 6. 30. | $127.74 | $0.75 | -10.28% | 3,785.38 | -8.39% |
| 57. | 2022. 7. 31. | $145.06 | 13.56% | 4,130.29 | 9.11% | |
| 58. | 2022. 8. 31. | $132.27 | $0.75 | -8.30% | 3,955.00 | -4.24% |
| 59. | 2022. 9. 30. | $112.98 | -14.58% | 3,585.62 | -9.34% | |
| 60. | 2022. 10. 31. | $117.66 | 4.14% | 3,871.98 | 7.99% | |
| 61. | 2022. 11. 30. | $126.49 | $0.75 | 8.14% | 4,080.11 | 5.38% |
| 62. | 2022. 12. 31. | $109.94 | -13.08% | 3,839.50 | -5.90% | |
| 63. | 2023. 1. 31. | $133.21 | 21.17% | 4,076.60 | 6.18% | |
| 64. | 2023. 2. 28. | $123.53 | -7.27% | 3,970.15 | -2.61% | |
| 65. | 2023. 3. 31. | $127.58 | $0.75 | 3.89% | 4,109.31 | 3.51% |
| 66. | 2023. 4. 30. | $116.80 | -8.45% | 4,169.48 | 1.46% | |
| 67. | 2023. 5. 31. | $113.41 | $0.80 | -2.22% | 4,179.83 | 0.25% |
| 68. | 2023. 6. 30. | $119.04 | 4.96% | 4,376.86 | 4.71% | |
| 69. | 2023. 7. 31. | $132.17 | 11.03% | 4,588.96 | 4.85% | |
| 70. | 2023. 8. 31. | $114.53 | $0.80 | -12.74% | 4,507.66 | -1.77% |
| 71. | 2023. 9. 30. | $111.06 | -3.03% | 4,288.05 | -4.87% | |
| 평균의 (R): | 2.03% | 0.85% | ||||
| 표준 편차: | 12.37% | 5.13% | ||||
모두 표시
1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.
2 기간 t 동안 QCOM의 보통주에 대한 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.
분산과 공분산
Qualcomm Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RQCOM,t | RS&P 500,t | (RQCOM,t–RQCOM)2 | (RS&P 500,t–RS&P 500)2 | (RQCOM,t–RQCOM)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 11. 30. | 31.17% | 2.81% | 848.94 | 3.83 | 57.02 |
| 2. | 2017. 12. 31. | -3.50% | 0.98% | 30.59 | 0.02 | -0.73 |
| 3. | 2018. 1. 31. | 6.61% | 5.62% | 20.92 | 22.72 | 21.80 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023. 8. 31. | -12.74% | -1.77% | 218.30 | 6.88 | 38.75 |
| 71. | 2023. 9. 30. | -3.03% | -4.87% | 25.64 | 32.75 | 28.98 |
| 합계 (Σ): | 10,712.97 | 1,838.69 | 2,431.28 | |||
| t | 날짜 | RQCOM,t | RS&P 500,t | (RQCOM,t–RQCOM)2 | (RS&P 500,t–RS&P 500)2 | (RQCOM,t–RQCOM)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 11. 30. | 31.17% | 2.81% | 848.94 | 3.83 | 57.02 |
| 2. | 2017. 12. 31. | -3.50% | 0.98% | 30.59 | 0.02 | -0.73 |
| 3. | 2018. 1. 31. | 6.61% | 5.62% | 20.92 | 22.72 | 21.80 |
| 4. | 2018. 2. 28. | -3.93% | -3.89% | 35.53 | 22.52 | 28.29 |
| 5. | 2018. 3. 31. | -14.75% | -2.69% | 281.83 | 12.53 | 59.42 |
| 6. | 2018. 4. 30. | -7.94% | 0.27% | 99.49 | 0.34 | 5.78 |
| 7. | 2018. 5. 31. | 15.15% | 2.16% | 172.14 | 1.71 | 17.18 |
| 8. | 2018. 6. 30. | -3.44% | 0.48% | 29.98 | 0.13 | 2.01 |
| 9. | 2018. 7. 31. | 14.20% | 3.60% | 148.06 | 7.57 | 33.47 |
| 10. | 2018. 8. 31. | 7.21% | 3.03% | 26.78 | 4.73 | 11.26 |
| 11. | 2018. 9. 30. | 5.73% | 0.43% | 13.69 | 0.18 | -1.56 |
| 12. | 2018. 10. 31. | -12.69% | -6.94% | 216.77 | 60.71 | 114.72 |
| 13. | 2018. 11. 30. | -7.36% | 1.79% | 88.28 | 0.87 | -8.78 |
| 14. | 2018. 12. 31. | -1.25% | -9.18% | 10.80 | 100.58 | 32.96 |
| 15. | 2019. 1. 31. | -12.99% | 7.87% | 225.58 | 49.24 | -105.39 |
| 16. | 2019. 2. 28. | 7.82% | 2.97% | 33.42 | 4.50 | 12.27 |
| 17. | 2019. 3. 31. | 7.98% | 1.79% | 35.35 | 0.89 | 5.60 |
| 18. | 2019. 4. 30. | 51.03% | 3.93% | 2,400.21 | 9.49 | 150.90 |
| 19. | 2019. 5. 31. | -22.42% | -6.58% | 597.97 | 55.19 | 181.67 |
| 20. | 2019. 6. 30. | 14.77% | 6.89% | 162.24 | 36.50 | 76.96 |
| 21. | 2019. 7. 31. | -3.83% | 1.31% | 34.33 | 0.21 | -2.70 |
| 22. | 2019. 8. 31. | 6.30% | -1.81% | 18.21 | 7.08 | -11.35 |
| 23. | 2019. 9. 30. | -1.12% | 1.72% | 9.94 | 0.75 | -2.73 |
| 24. | 2019. 10. 31. | 5.45% | 2.04% | 11.69 | 1.42 | 4.08 |
| 25. | 2019. 11. 30. | 3.87% | 3.40% | 3.36 | 6.52 | 4.68 |
| 26. | 2019. 12. 31. | 6.34% | 2.86% | 18.57 | 4.03 | 8.65 |
| 27. | 2020. 1. 31. | -3.31% | -0.16% | 28.55 | 1.03 | 5.42 |
| 28. | 2020. 2. 29. | -8.22% | -8.41% | 105.08 | 85.79 | 94.95 |
| 29. | 2020. 3. 31. | -12.81% | -12.51% | 220.33 | 178.57 | 198.36 |
| 30. | 2020. 4. 30. | 16.29% | 12.68% | 203.23 | 140.02 | 168.69 |
| 31. | 2020. 5. 31. | 2.81% | 4.53% | 0.60 | 13.52 | 2.85 |
| 32. | 2020. 6. 30. | 13.58% | 1.84% | 133.21 | 0.98 | 11.40 |
| 33. | 2020. 7. 31. | 15.79% | 5.51% | 189.17 | 21.71 | 64.08 |
| 34. | 2020. 8. 31. | 12.77% | 7.01% | 115.34 | 37.89 | 66.10 |
| 35. | 2020. 9. 30. | -0.65% | -3.92% | 7.18 | 22.79 | 12.80 |
| 36. | 2020. 10. 31. | 4.83% | -2.77% | 7.80 | 13.09 | -10.10 |
| 37. | 2020. 11. 30. | 19.30% | 10.75% | 298.16 | 98.08 | 171.00 |
| 38. | 2020. 12. 31. | 3.95% | 3.71% | 3.69 | 8.18 | 5.50 |
| 39. | 2021. 1. 31. | 2.59% | -1.11% | 0.31 | 3.86 | -1.09 |
| 40. | 2021. 2. 28. | -12.86% | 2.61% | 221.68 | 3.09 | -26.17 |
| 41. | 2021. 3. 31. | -2.17% | 4.24% | 17.64 | 11.51 | -14.25 |
| 42. | 2021. 4. 30. | 4.68% | 5.24% | 7.02 | 19.28 | 11.64 |
| 43. | 2021. 5. 31. | -3.07% | 0.55% | 26.04 | 0.09 | 1.54 |
| 44. | 2021. 6. 30. | 6.74% | 2.22% | 22.16 | 1.88 | 6.45 |
| 45. | 2021. 7. 31. | 4.81% | 2.27% | 7.69 | 2.03 | 3.95 |
| 46. | 2021. 8. 31. | -2.08% | 2.90% | 16.89 | 4.19 | -8.42 |
| 47. | 2021. 9. 30. | -11.61% | -4.76% | 186.14 | 31.45 | 76.51 |
| 48. | 2021. 10. 31. | 3.15% | 6.91% | 1.24 | 36.76 | 6.75 |
| 49. | 2021. 11. 30. | 35.72% | -0.83% | 1,134.66 | 2.84 | -56.75 |
| 50. | 2021. 12. 31. | 1.66% | 4.36% | 0.14 | 12.32 | -1.33 |
| 51. | 2022. 1. 31. | -3.89% | -5.26% | 35.07 | 37.33 | 36.18 |
| 52. | 2022. 2. 28. | -2.14% | -3.14% | 17.46 | 15.90 | 16.66 |
| 53. | 2022. 3. 31. | -10.75% | 3.58% | 163.44 | 7.43 | -34.85 |
| 54. | 2022. 4. 30. | -8.59% | -8.80% | 112.90 | 93.06 | 102.50 |
| 55. | 2022. 5. 31. | 2.53% | 0.01% | 0.24 | 0.72 | -0.42 |
| 56. | 2022. 6. 30. | -10.28% | -8.39% | 151.75 | 85.44 | 113.86 |
| 57. | 2022. 7. 31. | 13.56% | 9.11% | 132.82 | 68.23 | 95.20 |
| 58. | 2022. 8. 31. | -8.30% | -4.24% | 106.79 | 25.96 | 52.65 |
| 59. | 2022. 9. 30. | -14.58% | -9.34% | 276.15 | 103.85 | 169.35 |
| 60. | 2022. 10. 31. | 4.14% | 7.99% | 4.45 | 50.91 | 15.04 |
| 61. | 2022. 11. 30. | 8.14% | 5.38% | 37.31 | 20.47 | 27.63 |
| 62. | 2022. 12. 31. | -13.08% | -5.90% | 228.55 | 45.54 | 102.02 |
| 63. | 2023. 1. 31. | 21.17% | 6.18% | 366.04 | 28.35 | 101.86 |
| 64. | 2023. 2. 28. | -7.27% | -2.61% | 86.50 | 11.99 | 32.20 |
| 65. | 2023. 3. 31. | 3.89% | 3.51% | 3.43 | 7.04 | 4.91 |
| 66. | 2023. 4. 30. | -8.45% | 1.46% | 109.90 | 0.38 | -6.43 |
| 67. | 2023. 5. 31. | -2.22% | 0.25% | 18.07 | 0.36 | 2.56 |
| 68. | 2023. 6. 30. | 4.96% | 4.71% | 8.59 | 14.92 | 11.32 |
| 69. | 2023. 7. 31. | 11.03% | 4.85% | 80.93 | 15.96 | 35.94 |
| 70. | 2023. 8. 31. | -12.74% | -1.77% | 218.30 | 6.88 | 38.75 |
| 71. | 2023. 9. 30. | -3.03% | -4.87% | 25.64 | 32.75 | 28.98 |
| 합계 (Σ): | 10,712.97 | 1,838.69 | 2,431.28 | |||
모두 표시
분산QCOM = Σ(RQCOM,t–RQCOM)2 ÷ (71 – 1)
= 10,712.97 ÷ (71 – 1)
= 153.04
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,838.69 ÷ (71 – 1)
= 26.27
공분산QCOM, S&P 500 = Σ(RQCOM,t–RQCOM)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,431.28 ÷ (71 – 1)
= 34.73
체계적인 위험 추정 (β)
| 분산QCOM | 153.04 |
| 분산S&P 500 | 26.27 |
| 공분산QCOM, S&P 500 | 34.73 |
| 상관 계수QCOM, S&P 5001 | 0.55 |
| βQCOM2 | 1.32 |
| αQCOM3 | 0.91% |
계산
1 상관 계수QCOM, S&P 500
= 공분산QCOM, S&P 500 ÷ (표준 편차QCOM × 표준 편차S&P 500)
= 34.73 ÷ (12.37% × 5.13%)
= 0.55
2 βQCOM
= 공분산QCOM, S&P 500 ÷ 분산S&P 500
= 34.73 ÷ 26.27
= 1.32
3 αQCOM
= 평균의QCOM – βQCOM × 평균의S&P 500
= 2.03% – 1.32 × 0.85%
= 0.91%
예상 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.82% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.46% |
| 보통주의 체계적 위험Qualcomm | βQCOM | 1.32 |
| Qualcomm 보통주의 예상 수익률3 | E(RQCOM) | 16.25% |
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(RQCOM) = RF + βQCOM [E(RM) – RF]
= 4.82% + 1.32 [13.46% – 4.82%]
= 16.25%