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 |
| 2019. 10. 31. | $80.44 | 3,037.56 | ||||
| 1. | 2019. 11. 30. | $83.55 | 3.87% | 3,140.98 | 3.40% | |
| 2. | 2019. 12. 31. | $88.23 | $0.62 | 6.34% | 3,230.78 | 2.86% |
| 3. | 2020. 1. 31. | $85.31 | -3.31% | 3,225.52 | -0.16% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 8. 31. | $160.73 | 9.52% | 6,460.26 | 1.91% | |
| 71. | 2025. 9. 30. | $166.36 | $0.89 | 4.06% | 6,688.46 | 3.53% |
| 평균의 (R): | 1.68% | 1.24% | ||||
| 표준 편차: | 9.92% | 4.98% | ||||
| 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 |
| 2019. 10. 31. | $80.44 | 3,037.56 | ||||
| 1. | 2019. 11. 30. | $83.55 | 3.87% | 3,140.98 | 3.40% | |
| 2. | 2019. 12. 31. | $88.23 | $0.62 | 6.34% | 3,230.78 | 2.86% |
| 3. | 2020. 1. 31. | $85.31 | -3.31% | 3,225.52 | -0.16% | |
| 4. | 2020. 2. 29. | $78.30 | -8.22% | 2,954.22 | -8.41% | |
| 5. | 2020. 3. 31. | $67.65 | $0.62 | -12.81% | 2,584.59 | -12.51% |
| 6. | 2020. 4. 30. | $78.67 | 16.29% | 2,912.43 | 12.68% | |
| 7. | 2020. 5. 31. | $80.88 | 2.81% | 3,044.31 | 4.53% | |
| 8. | 2020. 6. 30. | $91.21 | $0.65 | 13.58% | 3,100.29 | 1.84% |
| 9. | 2020. 7. 31. | $105.61 | 15.79% | 3,271.12 | 5.51% | |
| 10. | 2020. 8. 31. | $119.10 | 12.77% | 3,500.31 | 7.01% | |
| 11. | 2020. 9. 30. | $117.68 | $0.65 | -0.65% | 3,363.00 | -3.92% |
| 12. | 2020. 10. 31. | $123.36 | 4.83% | 3,269.96 | -2.77% | |
| 13. | 2020. 11. 30. | $147.17 | 19.30% | 3,621.63 | 10.75% | |
| 14. | 2020. 12. 31. | $152.34 | $0.65 | 3.95% | 3,756.07 | 3.71% |
| 15. | 2021. 1. 31. | $156.28 | 2.59% | 3,714.24 | -1.11% | |
| 16. | 2021. 2. 28. | $136.19 | -12.86% | 3,811.15 | 2.61% | |
| 17. | 2021. 3. 31. | $132.59 | $0.65 | -2.17% | 3,972.89 | 4.24% |
| 18. | 2021. 4. 30. | $138.80 | 4.68% | 4,181.17 | 5.24% | |
| 19. | 2021. 5. 31. | $134.54 | -3.07% | 4,204.11 | 0.55% | |
| 20. | 2021. 6. 30. | $142.93 | $0.68 | 6.74% | 4,297.50 | 2.22% |
| 21. | 2021. 7. 31. | $149.80 | 4.81% | 4,395.26 | 2.27% | |
| 22. | 2021. 8. 31. | $146.69 | -2.08% | 4,522.68 | 2.90% | |
| 23. | 2021. 9. 30. | $128.98 | $0.68 | -11.61% | 4,307.54 | -4.76% |
| 24. | 2021. 10. 31. | $133.04 | 3.15% | 4,605.38 | 6.91% | |
| 25. | 2021. 11. 30. | $180.56 | 35.72% | 4,567.00 | -0.83% | |
| 26. | 2021. 12. 31. | $182.87 | $0.68 | 1.66% | 4,766.18 | 4.36% |
| 27. | 2022. 1. 31. | $175.76 | -3.89% | 4,515.55 | -5.26% | |
| 28. | 2022. 2. 28. | $171.99 | -2.14% | 4,373.94 | -3.14% | |
| 29. | 2022. 3. 31. | $152.82 | $0.68 | -10.75% | 4,530.41 | 3.58% |
| 30. | 2022. 4. 30. | $139.69 | -8.59% | 4,131.93 | -8.80% | |
| 31. | 2022. 5. 31. | $143.22 | 2.53% | 4,132.15 | 0.01% | |
| 32. | 2022. 6. 30. | $127.74 | $0.75 | -10.28% | 3,785.38 | -8.39% |
| 33. | 2022. 7. 31. | $145.06 | 13.56% | 4,130.29 | 9.11% | |
| 34. | 2022. 8. 31. | $132.27 | $0.75 | -8.30% | 3,955.00 | -4.24% |
| 35. | 2022. 9. 30. | $112.98 | -14.58% | 3,585.62 | -9.34% | |
| 36. | 2022. 10. 31. | $117.66 | 4.14% | 3,871.98 | 7.99% | |
| 37. | 2022. 11. 30. | $126.49 | $0.75 | 8.14% | 4,080.11 | 5.38% |
| 38. | 2022. 12. 31. | $109.94 | -13.08% | 3,839.50 | -5.90% | |
| 39. | 2023. 1. 31. | $133.21 | 21.17% | 4,076.60 | 6.18% | |
| 40. | 2023. 2. 28. | $123.53 | -7.27% | 3,970.15 | -2.61% | |
| 41. | 2023. 3. 31. | $127.58 | $0.75 | 3.89% | 4,109.31 | 3.51% |
| 42. | 2023. 4. 30. | $116.80 | -8.45% | 4,169.48 | 1.46% | |
| 43. | 2023. 5. 31. | $113.41 | $0.80 | -2.22% | 4,179.83 | 0.25% |
| 44. | 2023. 6. 30. | $119.04 | 4.96% | 4,376.86 | 4.71% | |
| 45. | 2023. 7. 31. | $132.17 | 11.03% | 4,588.96 | 4.85% | |
| 46. | 2023. 8. 31. | $114.53 | $0.80 | -12.74% | 4,507.66 | -1.77% |
| 47. | 2023. 9. 30. | $111.06 | -3.03% | 4,288.05 | -4.87% | |
| 48. | 2023. 10. 31. | $108.99 | -1.86% | 4,193.80 | -2.20% | |
| 49. | 2023. 11. 30. | $129.05 | $0.80 | 19.14% | 4,567.80 | 8.92% |
| 50. | 2023. 12. 31. | $144.63 | 12.07% | 4,769.83 | 4.42% | |
| 51. | 2024. 1. 31. | $148.51 | 2.68% | 4,845.65 | 1.59% | |
| 52. | 2024. 2. 29. | $157.79 | $0.80 | 6.79% | 5,096.27 | 5.17% |
| 53. | 2024. 3. 31. | $169.30 | 7.29% | 5,254.35 | 3.10% | |
| 54. | 2024. 4. 30. | $165.85 | -2.04% | 5,035.69 | -4.16% | |
| 55. | 2024. 5. 31. | $204.05 | $0.85 | 23.55% | 5,277.51 | 4.80% |
| 56. | 2024. 6. 30. | $199.18 | -2.39% | 5,460.48 | 3.47% | |
| 57. | 2024. 7. 31. | $180.95 | -9.15% | 5,522.30 | 1.13% | |
| 58. | 2024. 8. 31. | $175.30 | -3.12% | 5,648.40 | 2.28% | |
| 59. | 2024. 9. 30. | $170.05 | $0.85 | -2.51% | 5,762.48 | 2.02% |
| 60. | 2024. 10. 31. | $162.77 | -4.28% | 5,705.45 | -0.99% | |
| 61. | 2024. 11. 30. | $158.53 | -2.60% | 6,032.38 | 5.73% | |
| 62. | 2024. 12. 31. | $153.62 | $0.85 | -2.56% | 5,881.63 | -2.50% |
| 63. | 2025. 1. 31. | $172.93 | 12.57% | 6,040.53 | 2.70% | |
| 64. | 2025. 2. 28. | $157.17 | -9.11% | 5,954.50 | -1.42% | |
| 65. | 2025. 3. 31. | $153.61 | $0.85 | -1.72% | 5,611.85 | -5.75% |
| 66. | 2025. 4. 30. | $148.46 | -3.35% | 5,569.06 | -0.76% | |
| 67. | 2025. 5. 31. | $145.20 | -2.20% | 5,911.69 | 6.15% | |
| 68. | 2025. 6. 30. | $159.26 | $0.89 | 10.30% | 6,204.95 | 4.96% |
| 69. | 2025. 7. 31. | $146.76 | -7.85% | 6,339.39 | 2.17% | |
| 70. | 2025. 8. 31. | $160.73 | 9.52% | 6,460.26 | 1.91% | |
| 71. | 2025. 9. 30. | $166.36 | $0.89 | 4.06% | 6,688.46 | 3.53% |
| 평균의 (R): | 1.68% | 1.24% | ||||
| 표준 편차: | 9.92% | 4.98% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 t기간 동안 QCOM의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 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. | 2019. 11. 30. | 3.87% | 3.40% | 4.77 | 4.68 | 4.73 |
| 2. | 2019. 12. 31. | 6.34% | 2.86% | 21.73 | 2.62 | 7.54 |
| 3. | 2020. 1. 31. | -3.31% | -0.16% | 24.91 | 1.97 | 7.01 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 8. 31. | 9.52% | 1.91% | 61.42 | 0.44 | 5.22 |
| 71. | 2025. 9. 30. | 4.06% | 3.53% | 5.64 | 5.25 | 5.44 |
| 합계 (Σ): | 6,886.80 | 1,734.96 | 2,150.11 | |||
| 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. | 2019. 11. 30. | 3.87% | 3.40% | 4.77 | 4.68 | 4.73 |
| 2. | 2019. 12. 31. | 6.34% | 2.86% | 21.73 | 2.62 | 7.54 |
| 3. | 2020. 1. 31. | -3.31% | -0.16% | 24.91 | 1.97 | 7.01 |
| 4. | 2020. 2. 29. | -8.22% | -8.41% | 97.99 | 93.16 | 95.54 |
| 5. | 2020. 3. 31. | -12.81% | -12.51% | 210.00 | 189.14 | 199.30 |
| 6. | 2020. 4. 30. | 16.29% | 12.68% | 213.39 | 130.96 | 167.17 |
| 7. | 2020. 5. 31. | 2.81% | 4.53% | 1.27 | 10.81 | 3.71 |
| 8. | 2020. 6. 30. | 13.58% | 1.84% | 141.47 | 0.36 | 7.11 |
| 9. | 2020. 7. 31. | 15.79% | 5.51% | 198.98 | 18.23 | 60.22 |
| 10. | 2020. 8. 31. | 12.77% | 7.01% | 123.03 | 33.24 | 63.95 |
| 11. | 2020. 9. 30. | -0.65% | -3.92% | 5.42 | 26.66 | 12.02 |
| 12. | 2020. 10. 31. | 4.83% | -2.77% | 9.89 | 16.06 | -12.60 |
| 13. | 2020. 11. 30. | 19.30% | 10.75% | 310.45 | 90.51 | 167.63 |
| 14. | 2020. 12. 31. | 3.95% | 3.71% | 5.17 | 6.11 | 5.62 |
| 15. | 2021. 1. 31. | 2.59% | -1.11% | 0.82 | 5.54 | -2.13 |
| 16. | 2021. 2. 28. | -12.86% | 2.61% | 211.32 | 1.87 | -19.89 |
| 17. | 2021. 3. 31. | -2.17% | 4.24% | 14.81 | 9.02 | -11.56 |
| 18. | 2021. 4. 30. | 4.68% | 5.24% | 9.01 | 16.01 | 12.01 |
| 19. | 2021. 5. 31. | -3.07% | 0.55% | 22.57 | 0.48 | 3.29 |
| 20. | 2021. 6. 30. | 6.74% | 2.22% | 25.60 | 0.96 | 4.96 |
| 21. | 2021. 7. 31. | 4.81% | 2.27% | 9.76 | 1.07 | 3.23 |
| 22. | 2021. 8. 31. | -2.08% | 2.90% | 14.12 | 2.75 | -6.23 |
| 23. | 2021. 9. 30. | -11.61% | -4.76% | 176.66 | 35.97 | 79.72 |
| 24. | 2021. 10. 31. | 3.15% | 6.91% | 2.15 | 32.19 | 8.32 |
| 25. | 2021. 11. 30. | 35.72% | -0.83% | 1,158.51 | 4.30 | -70.60 |
| 26. | 2021. 12. 31. | 1.66% | 4.36% | 0.00 | 9.74 | -0.08 |
| 27. | 2022. 1. 31. | -3.89% | -5.26% | 31.02 | 42.24 | 36.20 |
| 28. | 2022. 2. 28. | -2.14% | -3.14% | 14.64 | 19.16 | 16.75 |
| 29. | 2022. 3. 31. | -10.75% | 3.58% | 154.56 | 5.46 | -29.05 |
| 30. | 2022. 4. 30. | -8.59% | -8.80% | 105.55 | 100.73 | 103.11 |
| 31. | 2022. 5. 31. | 2.53% | 0.01% | 0.71 | 1.53 | -1.04 |
| 32. | 2022. 6. 30. | -10.28% | -8.39% | 143.20 | 92.79 | 115.27 |
| 33. | 2022. 7. 31. | 13.56% | 9.11% | 141.07 | 61.95 | 93.48 |
| 34. | 2022. 8. 31. | -8.30% | -4.24% | 99.63 | 30.08 | 54.75 |
| 35. | 2022. 9. 30. | -14.58% | -9.34% | 264.57 | 111.94 | 172.09 |
| 36. | 2022. 10. 31. | 4.14% | 7.99% | 6.05 | 45.50 | 16.60 |
| 37. | 2022. 11. 30. | 8.14% | 5.38% | 41.74 | 17.09 | 26.71 |
| 38. | 2022. 12. 31. | -13.08% | -5.90% | 218.03 | 50.95 | 105.40 |
| 39. | 2023. 1. 31. | 21.17% | 6.18% | 379.64 | 24.35 | 96.15 |
| 40. | 2023. 2. 28. | -7.27% | -2.61% | 80.07 | 14.84 | 34.47 |
| 41. | 2023. 3. 31. | 3.89% | 3.51% | 4.86 | 5.13 | 4.99 |
| 42. | 2023. 4. 30. | -8.45% | 1.46% | 102.64 | 0.05 | -2.26 |
| 43. | 2023. 5. 31. | -2.22% | 0.25% | 15.20 | 0.99 | 3.87 |
| 44. | 2023. 6. 30. | 4.96% | 4.71% | 10.78 | 12.06 | 11.40 |
| 45. | 2023. 7. 31. | 11.03% | 4.85% | 87.39 | 13.00 | 33.70 |
| 46. | 2023. 8. 31. | -12.74% | -1.77% | 208.02 | 9.07 | 43.45 |
| 47. | 2023. 9. 30. | -3.03% | -4.87% | 22.20 | 37.37 | 28.80 |
| 48. | 2023. 10. 31. | -1.86% | -2.20% | 12.57 | 11.82 | 12.19 |
| 49. | 2023. 11. 30. | 19.14% | 8.92% | 304.77 | 58.94 | 134.03 |
| 50. | 2023. 12. 31. | 12.07% | 4.42% | 107.98 | 10.13 | 33.07 |
| 51. | 2024. 1. 31. | 2.68% | 1.59% | 1.00 | 0.12 | 0.35 |
| 52. | 2024. 2. 29. | 6.79% | 5.17% | 26.07 | 15.46 | 20.07 |
| 53. | 2024. 3. 31. | 7.29% | 3.10% | 31.50 | 3.46 | 10.45 |
| 54. | 2024. 4. 30. | -2.04% | -4.16% | 13.83 | 29.18 | 20.09 |
| 55. | 2024. 5. 31. | 23.55% | 4.80% | 478.02 | 12.68 | 77.86 |
| 56. | 2024. 6. 30. | -2.39% | 3.47% | 16.55 | 4.96 | -9.06 |
| 57. | 2024. 7. 31. | -9.15% | 1.13% | 117.38 | 0.01 | 1.18 |
| 58. | 2024. 8. 31. | -3.12% | 2.28% | 23.08 | 1.09 | -5.01 |
| 59. | 2024. 9. 30. | -2.51% | 2.02% | 17.57 | 0.61 | -3.26 |
| 60. | 2024. 10. 31. | -4.28% | -0.99% | 35.55 | 4.97 | 13.30 |
| 61. | 2024. 11. 30. | -2.60% | 5.73% | 18.38 | 20.15 | -19.24 |
| 62. | 2024. 12. 31. | -2.56% | -2.50% | 18.00 | 13.99 | 15.87 |
| 63. | 2025. 1. 31. | 12.57% | 2.70% | 118.55 | 2.13 | 15.91 |
| 64. | 2025. 2. 28. | -9.11% | -1.42% | 116.54 | 7.10 | 28.77 |
| 65. | 2025. 3. 31. | -1.72% | -5.75% | 11.60 | 48.93 | 23.83 |
| 66. | 2025. 4. 30. | -3.35% | -0.76% | 25.34 | 4.01 | 10.09 |
| 67. | 2025. 5. 31. | -2.20% | 6.15% | 15.04 | 24.12 | -19.05 |
| 68. | 2025. 6. 30. | 10.30% | 4.96% | 74.21 | 13.84 | 32.04 |
| 69. | 2025. 7. 31. | -7.85% | 2.17% | 90.83 | 0.86 | -8.82 |
| 70. | 2025. 8. 31. | 9.52% | 1.91% | 61.42 | 0.44 | 5.22 |
| 71. | 2025. 9. 30. | 4.06% | 3.53% | 5.64 | 5.25 | 5.44 |
| 합계 (Σ): | 6,886.80 | 1,734.96 | 2,150.11 | |||
모두 보기
분산QCOM = Σ(RQCOM,t–RQCOM)2 ÷ (71 – 1)
= 6,886.80 ÷ (71 – 1)
= 98.38
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,734.96 ÷ (71 – 1)
= 24.79
공분산QCOM, S&P 500 = Σ(RQCOM,t–RQCOM)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,150.11 ÷ (71 – 1)
= 30.72
체계적인 위험 추정 (β)
| 분산QCOM | 98.38 |
| 분산S&P 500 | 24.79 |
| 공분산QCOM, S&P 500 | 30.72 |
| 상관 계수QCOM, S&P 5001 | 0.62 |
| βQCOM2 | 1.24 |
| αQCOM3 | 0.14% |
계산
1 상관 계수QCOM, S&P 500
= 공분산QCOM, S&P 500 ÷ (표준 편차QCOM × 표준 편차S&P 500)
= 30.72 ÷ (9.92% × 4.98%)
= 0.62
2 βQCOM
= 공분산QCOM, S&P 500 ÷ 분산S&P 500
= 30.72 ÷ 24.79
= 1.24
3 αQCOM
= 평균의QCOM – βQCOM × 평균의S&P 500
= 1.68% – 1.24 × 1.24%
= 0.14%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.64% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.91% |
| 보통주의 체계적 위험Qualcomm | βQCOM | 1.24 |
| Qualcomm 보통주의 예상 수익률3 | E(RQCOM) | 17.36% |
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(RQCOM) = RF + βQCOM [E(RM) – RF]
= 4.64% + 1.24 [14.91% – 4.64%]
= 17.36%