자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Shockwave보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Shockwave Medical Inc., 월별 수익률
| Shockwave Medical Inc. (SWAV) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값SWAV,t1 | 피제수SWAV,t1 | RSWAV,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 3. 31. | $33.47 | 2,834.40 | ||||
| 1. | 2019. 4. 30. | $42.61 | 27.31% | 2,945.83 | 3.93% | |
| 2. | 2019. 5. 31. | $59.79 | 40.32% | 2,752.06 | -6.58% | |
| 3. | 2019. 6. 30. | $57.09 | -4.52% | 2,941.76 | 6.89% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 56. | 2023. 11. 30. | $174.55 | -15.37% | 4,567.80 | 8.92% | |
| 57. | 2023. 12. 31. | $190.56 | 9.17% | 4,769.83 | 4.42% | |
| 평균의 (R): | 4.41% | 1.06% | ||||
| 표준 편차: | 16.74% | 5.40% | ||||
| Shockwave Medical Inc. (SWAV) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값SWAV,t1 | 피제수SWAV,t1 | RSWAV,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 3. 31. | $33.47 | 2,834.40 | ||||
| 1. | 2019. 4. 30. | $42.61 | 27.31% | 2,945.83 | 3.93% | |
| 2. | 2019. 5. 31. | $59.79 | 40.32% | 2,752.06 | -6.58% | |
| 3. | 2019. 6. 30. | $57.09 | -4.52% | 2,941.76 | 6.89% | |
| 4. | 2019. 7. 31. | $48.92 | -14.31% | 2,980.38 | 1.31% | |
| 5. | 2019. 8. 31. | $41.85 | -14.45% | 2,926.46 | -1.81% | |
| 6. | 2019. 9. 30. | $29.93 | -28.48% | 2,976.74 | 1.72% | |
| 7. | 2019. 10. 31. | $34.02 | 13.67% | 3,037.56 | 2.04% | |
| 8. | 2019. 11. 30. | $39.16 | 15.11% | 3,140.98 | 3.40% | |
| 9. | 2019. 12. 31. | $43.92 | 12.16% | 3,230.78 | 2.86% | |
| 10. | 2020. 1. 31. | $43.42 | -1.14% | 3,225.52 | -0.16% | |
| 11. | 2020. 2. 29. | $40.14 | -7.55% | 2,954.22 | -8.41% | |
| 12. | 2020. 3. 31. | $33.18 | -17.34% | 2,584.59 | -12.51% | |
| 13. | 2020. 4. 30. | $40.12 | 20.92% | 2,912.43 | 12.68% | |
| 14. | 2020. 5. 31. | $44.01 | 9.70% | 3,044.31 | 4.53% | |
| 15. | 2020. 6. 30. | $47.37 | 7.63% | 3,100.29 | 1.84% | |
| 16. | 2020. 7. 31. | $49.32 | 4.12% | 3,271.12 | 5.51% | |
| 17. | 2020. 8. 31. | $63.54 | 28.83% | 3,500.31 | 7.01% | |
| 18. | 2020. 9. 30. | $75.80 | 19.29% | 3,363.00 | -3.92% | |
| 19. | 2020. 10. 31. | $68.32 | -9.87% | 3,269.96 | -2.77% | |
| 20. | 2020. 11. 30. | $97.83 | 43.19% | 3,621.63 | 10.75% | |
| 21. | 2020. 12. 31. | $103.72 | 6.02% | 3,756.07 | 3.71% | |
| 22. | 2021. 1. 31. | $116.04 | 11.88% | 3,714.24 | -1.11% | |
| 23. | 2021. 2. 28. | $116.76 | 0.62% | 3,811.15 | 2.61% | |
| 24. | 2021. 3. 31. | $130.26 | 11.56% | 3,972.89 | 4.24% | |
| 25. | 2021. 4. 30. | $163.46 | 25.49% | 4,181.17 | 5.24% | |
| 26. | 2021. 5. 31. | $179.90 | 10.06% | 4,204.11 | 0.55% | |
| 27. | 2021. 6. 30. | $189.73 | 5.46% | 4,297.50 | 2.22% | |
| 28. | 2021. 7. 31. | $182.00 | -4.07% | 4,395.26 | 2.27% | |
| 29. | 2021. 8. 31. | $214.21 | 17.70% | 4,522.68 | 2.90% | |
| 30. | 2021. 9. 30. | $205.88 | -3.89% | 4,307.54 | -4.76% | |
| 31. | 2021. 10. 31. | $213.70 | 3.80% | 4,605.38 | 6.91% | |
| 32. | 2021. 11. 30. | $180.24 | -15.66% | 4,567.00 | -0.83% | |
| 33. | 2021. 12. 31. | $178.33 | -1.06% | 4,766.18 | 4.36% | |
| 34. | 2022. 1. 31. | $144.97 | -18.71% | 4,515.55 | -5.26% | |
| 35. | 2022. 2. 28. | $177.23 | 22.25% | 4,373.94 | -3.14% | |
| 36. | 2022. 3. 31. | $207.36 | 17.00% | 4,530.41 | 3.58% | |
| 37. | 2022. 4. 30. | $151.13 | -27.12% | 4,131.93 | -8.80% | |
| 38. | 2022. 5. 31. | $164.21 | 8.65% | 4,132.15 | 0.01% | |
| 39. | 2022. 6. 30. | $191.17 | 16.42% | 3,785.38 | -8.39% | |
| 40. | 2022. 7. 31. | $210.93 | 10.34% | 4,130.29 | 9.11% | |
| 41. | 2022. 8. 31. | $296.86 | 40.74% | 3,955.00 | -4.24% | |
| 42. | 2022. 9. 30. | $278.07 | -6.33% | 3,585.62 | -9.34% | |
| 43. | 2022. 10. 31. | $293.15 | 5.42% | 3,871.98 | 7.99% | |
| 44. | 2022. 11. 30. | $253.60 | -13.49% | 4,080.11 | 5.38% | |
| 45. | 2022. 12. 31. | $205.61 | -18.92% | 3,839.50 | -5.90% | |
| 46. | 2023. 1. 31. | $187.93 | -8.60% | 4,076.60 | 6.18% | |
| 47. | 2023. 2. 28. | $190.24 | 1.23% | 3,970.15 | -2.61% | |
| 48. | 2023. 3. 31. | $216.83 | 13.98% | 4,109.31 | 3.51% | |
| 49. | 2023. 4. 30. | $290.16 | 33.82% | 4,169.48 | 1.46% | |
| 50. | 2023. 5. 31. | $275.09 | -5.19% | 4,179.83 | 0.25% | |
| 51. | 2023. 6. 30. | $285.41 | 3.75% | 4,376.86 | 4.71% | |
| 52. | 2023. 7. 31. | $260.60 | -8.69% | 4,588.96 | 4.85% | |
| 53. | 2023. 8. 31. | $220.39 | -15.43% | 4,507.66 | -1.77% | |
| 54. | 2023. 9. 30. | $199.10 | -9.66% | 4,288.05 | -4.87% | |
| 55. | 2023. 10. 31. | $206.26 | 3.60% | 4,193.80 | -2.20% | |
| 56. | 2023. 11. 30. | $174.55 | -15.37% | 4,567.80 | 8.92% | |
| 57. | 2023. 12. 31. | $190.56 | 9.17% | 4,769.83 | 4.42% | |
| 평균의 (R): | 4.41% | 1.06% | ||||
| 표준 편차: | 16.74% | 5.40% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 SWAV의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Shockwave Medical Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RSWAV,t | RS&P 500,t | (RSWAV,t–RSWAV)2 | (RS&P 500,t–RS&P 500)2 | (RSWAV,t–RSWAV)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 4. 30. | 27.31% | 3.93% | 524.35 | 8.24 | 65.73 |
| 2. | 2019. 5. 31. | 40.32% | -6.58% | 1,289.51 | 58.35 | -274.31 |
| 3. | 2019. 6. 30. | -4.52% | 6.89% | 79.66 | 34.01 | -52.05 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 56. | 2023. 11. 30. | -15.37% | 8.92% | 391.38 | 61.73 | -155.43 |
| 57. | 2023. 12. 31. | 9.17% | 4.42% | 22.68 | 11.30 | 16.01 |
| 합계 (Σ): | 15,687.25 | 1,630.23 | 1,407.34 | |||
| t | 날짜 | RSWAV,t | RS&P 500,t | (RSWAV,t–RSWAV)2 | (RS&P 500,t–RS&P 500)2 | (RSWAV,t–RSWAV)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 4. 30. | 27.31% | 3.93% | 524.35 | 8.24 | 65.73 |
| 2. | 2019. 5. 31. | 40.32% | -6.58% | 1,289.51 | 58.35 | -274.31 |
| 3. | 2019. 6. 30. | -4.52% | 6.89% | 79.66 | 34.01 | -52.05 |
| 4. | 2019. 7. 31. | -14.31% | 1.31% | 350.44 | 0.06 | -4.71 |
| 5. | 2019. 8. 31. | -14.45% | -1.81% | 355.76 | 8.24 | 54.14 |
| 6. | 2019. 9. 30. | -28.48% | 1.72% | 1,081.89 | 0.43 | -21.61 |
| 7. | 2019. 10. 31. | 13.67% | 2.04% | 85.67 | 0.96 | 9.09 |
| 8. | 2019. 11. 30. | 15.11% | 3.40% | 114.48 | 5.49 | 25.08 |
| 9. | 2019. 12. 31. | 12.16% | 2.86% | 60.00 | 3.23 | 13.93 |
| 10. | 2020. 1. 31. | -1.14% | -0.16% | 30.78 | 1.50 | 6.79 |
| 11. | 2020. 2. 29. | -7.55% | -8.41% | 143.13 | 89.72 | 113.32 |
| 12. | 2020. 3. 31. | -17.34% | -12.51% | 473.01 | 184.23 | 295.20 |
| 13. | 2020. 4. 30. | 20.92% | 12.68% | 272.47 | 135.10 | 191.86 |
| 14. | 2020. 5. 31. | 9.70% | 4.53% | 27.95 | 12.02 | 18.33 |
| 15. | 2020. 6. 30. | 7.63% | 1.84% | 10.40 | 0.60 | 2.51 |
| 16. | 2020. 7. 31. | 4.12% | 5.51% | 0.09 | 19.79 | -1.30 |
| 17. | 2020. 8. 31. | 28.83% | 7.01% | 596.47 | 35.35 | 145.20 |
| 18. | 2020. 9. 30. | 19.29% | -3.92% | 221.58 | 24.84 | -74.19 |
| 19. | 2020. 10. 31. | -9.87% | -2.77% | 203.85 | 14.65 | 54.65 |
| 20. | 2020. 11. 30. | 43.19% | 10.75% | 1,504.23 | 93.96 | 375.96 |
| 21. | 2020. 12. 31. | 6.02% | 3.71% | 2.60 | 7.03 | 4.27 |
| 22. | 2021. 1. 31. | 11.88% | -1.11% | 55.78 | 4.73 | -16.24 |
| 23. | 2021. 2. 28. | 0.62% | 2.61% | 14.36 | 2.40 | -5.87 |
| 24. | 2021. 3. 31. | 11.56% | 4.24% | 51.16 | 10.13 | 22.77 |
| 25. | 2021. 4. 30. | 25.49% | 5.24% | 444.28 | 17.48 | 88.14 |
| 26. | 2021. 5. 31. | 10.06% | 0.55% | 31.90 | 0.26 | -2.89 |
| 27. | 2021. 6. 30. | 5.46% | 2.22% | 1.11 | 1.35 | 1.22 |
| 28. | 2021. 7. 31. | -4.07% | 2.27% | 71.97 | 1.47 | -10.30 |
| 29. | 2021. 8. 31. | 17.70% | 2.90% | 176.58 | 3.38 | 24.42 |
| 30. | 2021. 9. 30. | -3.89% | -4.76% | 68.86 | 33.85 | 48.28 |
| 31. | 2021. 10. 31. | 3.80% | 6.91% | 0.37 | 34.26 | -3.58 |
| 32. | 2021. 11. 30. | -15.66% | -0.83% | 402.68 | 3.59 | 38.02 |
| 33. | 2021. 12. 31. | -1.06% | 4.36% | 29.91 | 10.89 | -18.05 |
| 34. | 2022. 1. 31. | -18.71% | -5.26% | 534.36 | 39.94 | 146.08 |
| 35. | 2022. 2. 28. | 22.25% | -3.14% | 318.39 | 17.62 | -74.89 |
| 36. | 2022. 3. 31. | 17.00% | 3.58% | 158.54 | 6.33 | 31.68 |
| 37. | 2022. 4. 30. | -27.12% | -8.80% | 993.92 | 97.15 | 310.75 |
| 38. | 2022. 5. 31. | 8.65% | 0.01% | 18.02 | 1.11 | -4.48 |
| 39. | 2022. 6. 30. | 16.42% | -8.39% | 144.21 | 89.36 | -113.52 |
| 40. | 2022. 7. 31. | 10.34% | 9.11% | 35.13 | 64.81 | 47.72 |
| 41. | 2022. 8. 31. | 40.74% | -4.24% | 1,319.81 | 28.14 | -192.73 |
| 42. | 2022. 9. 30. | -6.33% | -9.34% | 115.33 | 108.17 | 111.69 |
| 43. | 2022. 10. 31. | 5.42% | 7.99% | 1.03 | 47.96 | 7.02 |
| 44. | 2022. 11. 30. | -13.49% | 5.38% | 320.44 | 18.61 | -77.23 |
| 45. | 2022. 12. 31. | -18.92% | -5.90% | 544.43 | 48.42 | 162.36 |
| 46. | 2023. 1. 31. | -8.60% | 6.18% | 169.21 | 26.16 | -66.53 |
| 47. | 2023. 2. 28. | 1.23% | -2.61% | 10.11 | 13.49 | 11.68 |
| 48. | 2023. 3. 31. | 13.98% | 3.51% | 91.54 | 5.97 | 23.38 |
| 49. | 2023. 4. 30. | 33.82% | 1.46% | 864.93 | 0.16 | 11.86 |
| 50. | 2023. 5. 31. | -5.19% | 0.25% | 92.22 | 0.66 | 7.81 |
| 51. | 2023. 6. 30. | 3.75% | 4.71% | 0.43 | 13.34 | -2.40 |
| 52. | 2023. 7. 31. | -8.69% | 4.85% | 171.67 | 14.33 | -49.59 |
| 53. | 2023. 8. 31. | -15.43% | -1.77% | 393.59 | 8.02 | 56.20 |
| 54. | 2023. 9. 30. | -9.66% | -4.87% | 197.95 | 35.20 | 83.47 |
| 55. | 2023. 10. 31. | 3.60% | -2.20% | 0.66 | 10.62 | 2.65 |
| 56. | 2023. 11. 30. | -15.37% | 8.92% | 391.38 | 61.73 | -155.43 |
| 57. | 2023. 12. 31. | 9.17% | 4.42% | 22.68 | 11.30 | 16.01 |
| 합계 (Σ): | 15,687.25 | 1,630.23 | 1,407.34 | |||
모두 보기
분산SWAV = Σ(RSWAV,t–RSWAV)2 ÷ (57 – 1)
= 15,687.25 ÷ (57 – 1)
= 280.13
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (57 – 1)
= 1,630.23 ÷ (57 – 1)
= 29.11
공분산SWAV, S&P 500 = Σ(RSWAV,t–RSWAV)×(RS&P 500,t–RS&P 500) ÷ (57 – 1)
= 1,407.34 ÷ (57 – 1)
= 25.13
체계적인 위험 추정 (β)
| 분산SWAV | 280.13 |
| 분산S&P 500 | 29.11 |
| 공분산SWAV, S&P 500 | 25.13 |
| 상관 계수SWAV, S&P 5001 | 0.28 |
| βSWAV2 | 0.86 |
| αSWAV3 | 3.49% |
계산
1 상관 계수SWAV, S&P 500
= 공분산SWAV, S&P 500 ÷ (표준 편차SWAV × 표준 편차S&P 500)
= 25.13 ÷ (16.74% × 5.40%)
= 0.28
2 βSWAV
= 공분산SWAV, S&P 500 ÷ 분산S&P 500
= 25.13 ÷ 29.11
= 0.86
3 αSWAV
= 평균의SWAV – βSWAV × 평균의S&P 500
= 4.41% – 0.86 × 1.06%
= 3.49%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.98% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.82% |
| 보통주의 체계적 위험Shockwave | βSWAV | 0.86 |
| Shockwave 보통주의 예상 수익률3 | E(RSWAV) | 13.48% |
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(RSWAV) = RF + βSWAV [E(RM) – RF]
= 4.98% + 0.86 [14.82% – 4.98%]
= 13.48%