자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 SolarEdge보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
SolarEdge Technologies Inc., 월별 수익률
| SolarEdge Technologies Inc. (SEDG) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값SEDG,t1 | 피제수SEDG,t1 | RSEDG,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 1. 31. | $35.90 | 2,823.81 | ||||
| 1. | 2018. 2. 28. | $50.05 | 39.42% | 2,713.83 | -3.89% | |
| 2. | 2018. 3. 31. | $52.60 | 5.09% | 2,640.87 | -2.69% | |
| 3. | 2018. 4. 30. | $52.65 | 0.10% | 2,648.05 | 0.27% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022. 11. 30. | $298.86 | 29.92% | 4,080.11 | 5.38% | |
| 59. | 2022. 12. 31. | $283.27 | -5.22% | 3,839.50 | -5.90% | |
| 평균의 (R): | 4.89% | 0.67% | ||||
| 표준 편차: | 16.77% | 5.40% | ||||
| SolarEdge Technologies Inc. (SEDG) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값SEDG,t1 | 피제수SEDG,t1 | RSEDG,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 1. 31. | $35.90 | 2,823.81 | ||||
| 1. | 2018. 2. 28. | $50.05 | 39.42% | 2,713.83 | -3.89% | |
| 2. | 2018. 3. 31. | $52.60 | 5.09% | 2,640.87 | -2.69% | |
| 3. | 2018. 4. 30. | $52.65 | 0.10% | 2,648.05 | 0.27% | |
| 4. | 2018. 5. 31. | $55.85 | 6.08% | 2,705.27 | 2.16% | |
| 5. | 2018. 6. 30. | $47.85 | -14.32% | 2,718.37 | 0.48% | |
| 6. | 2018. 7. 31. | $53.25 | 11.29% | 2,816.29 | 3.60% | |
| 7. | 2018. 8. 31. | $47.95 | -9.95% | 2,901.52 | 3.03% | |
| 8. | 2018. 9. 30. | $37.65 | -21.48% | 2,913.98 | 0.43% | |
| 9. | 2018. 10. 31. | $38.73 | 2.87% | 2,711.74 | -6.94% | |
| 10. | 2018. 11. 30. | $38.93 | 0.52% | 2,760.17 | 1.79% | |
| 11. | 2018. 12. 31. | $35.10 | -9.84% | 2,506.85 | -9.18% | |
| 12. | 2019. 1. 31. | $43.79 | 24.76% | 2,704.10 | 7.87% | |
| 13. | 2019. 2. 28. | $42.26 | -3.49% | 2,784.49 | 2.97% | |
| 14. | 2019. 3. 31. | $37.68 | -10.84% | 2,834.40 | 1.79% | |
| 15. | 2019. 4. 30. | $44.30 | 17.57% | 2,945.83 | 3.93% | |
| 16. | 2019. 5. 31. | $53.58 | 20.95% | 2,752.06 | -6.58% | |
| 17. | 2019. 6. 30. | $62.46 | 16.57% | 2,941.76 | 6.89% | |
| 18. | 2019. 7. 31. | $65.23 | 4.43% | 2,980.38 | 1.31% | |
| 19. | 2019. 8. 31. | $81.92 | 25.59% | 2,926.46 | -1.81% | |
| 20. | 2019. 9. 30. | $83.72 | 2.20% | 2,976.74 | 1.72% | |
| 21. | 2019. 10. 31. | $84.96 | 1.48% | 3,037.56 | 2.04% | |
| 22. | 2019. 11. 30. | $81.61 | -3.94% | 3,140.98 | 3.40% | |
| 23. | 2019. 12. 31. | $95.09 | 16.52% | 3,230.78 | 2.86% | |
| 24. | 2020. 1. 31. | $97.86 | 2.91% | 3,225.52 | -0.16% | |
| 25. | 2020. 2. 29. | $124.72 | 27.45% | 2,954.22 | -8.41% | |
| 26. | 2020. 3. 31. | $81.88 | -34.35% | 2,584.59 | -12.51% | |
| 27. | 2020. 4. 30. | $111.59 | 36.28% | 2,912.43 | 12.68% | |
| 28. | 2020. 5. 31. | $141.90 | 27.16% | 3,044.31 | 4.53% | |
| 29. | 2020. 6. 30. | $138.78 | -2.20% | 3,100.29 | 1.84% | |
| 30. | 2020. 7. 31. | $175.10 | 26.17% | 3,271.12 | 5.51% | |
| 31. | 2020. 8. 31. | $221.15 | 26.30% | 3,500.31 | 7.01% | |
| 32. | 2020. 9. 30. | $238.35 | 7.78% | 3,363.00 | -3.92% | |
| 33. | 2020. 10. 31. | $257.69 | 8.11% | 3,269.96 | -2.77% | |
| 34. | 2020. 11. 30. | $277.98 | 7.87% | 3,621.63 | 10.75% | |
| 35. | 2020. 12. 31. | $319.12 | 14.80% | 3,756.07 | 3.71% | |
| 36. | 2021. 1. 31. | $288.33 | -9.65% | 3,714.24 | -1.11% | |
| 37. | 2021. 2. 28. | $298.31 | 3.46% | 3,811.15 | 2.61% | |
| 38. | 2021. 3. 31. | $287.44 | -3.64% | 3,972.89 | 4.24% | |
| 39. | 2021. 4. 30. | $263.54 | -8.31% | 4,181.17 | 5.24% | |
| 40. | 2021. 5. 31. | $258.01 | -2.10% | 4,204.11 | 0.55% | |
| 41. | 2021. 6. 30. | $276.37 | 7.12% | 4,297.50 | 2.22% | |
| 42. | 2021. 7. 31. | $259.48 | -6.11% | 4,395.26 | 2.27% | |
| 43. | 2021. 8. 31. | $289.78 | 11.68% | 4,522.68 | 2.90% | |
| 44. | 2021. 9. 30. | $265.22 | -8.48% | 4,307.54 | -4.76% | |
| 45. | 2021. 10. 31. | $354.68 | 33.73% | 4,605.38 | 6.91% | |
| 46. | 2021. 11. 30. | $327.76 | -7.59% | 4,567.00 | -0.83% | |
| 47. | 2021. 12. 31. | $280.57 | -14.40% | 4,766.18 | 4.36% | |
| 48. | 2022. 1. 31. | $238.22 | -15.09% | 4,515.55 | -5.26% | |
| 49. | 2022. 2. 28. | $319.42 | 34.09% | 4,373.94 | -3.14% | |
| 50. | 2022. 3. 31. | $322.37 | 0.92% | 4,530.41 | 3.58% | |
| 51. | 2022. 4. 30. | $250.41 | -22.32% | 4,131.93 | -8.80% | |
| 52. | 2022. 5. 31. | $272.79 | 8.94% | 4,132.15 | 0.01% | |
| 53. | 2022. 6. 30. | $273.68 | 0.33% | 3,785.38 | -8.39% | |
| 54. | 2022. 7. 31. | $360.13 | 31.59% | 4,130.29 | 9.11% | |
| 55. | 2022. 8. 31. | $275.97 | -23.37% | 3,955.00 | -4.24% | |
| 56. | 2022. 9. 30. | $231.46 | -16.13% | 3,585.62 | -9.34% | |
| 57. | 2022. 10. 31. | $230.03 | -0.62% | 3,871.98 | 7.99% | |
| 58. | 2022. 11. 30. | $298.86 | 29.92% | 4,080.11 | 5.38% | |
| 59. | 2022. 12. 31. | $283.27 | -5.22% | 3,839.50 | -5.90% | |
| 평균의 (R): | 4.89% | 0.67% | ||||
| 표준 편차: | 16.77% | 5.40% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 SEDG 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
SolarEdge Technologies Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RSEDG,t | RS&P 500,t | (RSEDG,t–RSEDG)2 | (RS&P 500,t–RS&P 500)2 | (RSEDG,t–RSEDG)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 2. 28. | 39.42% | -3.89% | 1,191.89 | 20.81 | -157.48 |
| 2. | 2018. 3. 31. | 5.09% | -2.69% | 0.04 | 11.26 | -0.68 |
| 3. | 2018. 4. 30. | 0.10% | 0.27% | 23.00 | 0.16 | 1.89 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022. 11. 30. | 29.92% | 5.38% | 626.55 | 22.17 | 117.86 |
| 59. | 2022. 12. 31. | -5.22% | -5.90% | 102.17 | 43.08 | 66.34 |
| 합계 (Σ): | 16,309.07 | 1,691.48 | 2,228.79 | |||
| t | 날짜 | RSEDG,t | RS&P 500,t | (RSEDG,t–RSEDG)2 | (RS&P 500,t–RS&P 500)2 | (RSEDG,t–RSEDG)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 2. 28. | 39.42% | -3.89% | 1,191.89 | 20.81 | -157.48 |
| 2. | 2018. 3. 31. | 5.09% | -2.69% | 0.04 | 11.26 | -0.68 |
| 3. | 2018. 4. 30. | 0.10% | 0.27% | 23.00 | 0.16 | 1.89 |
| 4. | 2018. 5. 31. | 6.08% | 2.16% | 1.41 | 2.23 | 1.77 |
| 5. | 2018. 6. 30. | -14.32% | 0.48% | 369.23 | 0.03 | 3.51 |
| 6. | 2018. 7. 31. | 11.29% | 3.60% | 40.88 | 8.62 | 18.77 |
| 7. | 2018. 8. 31. | -9.95% | 3.03% | 220.35 | 5.57 | -35.03 |
| 8. | 2018. 9. 30. | -21.48% | 0.43% | 695.48 | 0.06 | 6.26 |
| 9. | 2018. 10. 31. | 2.87% | -6.94% | 4.09 | 57.87 | 15.39 |
| 10. | 2018. 11. 30. | 0.52% | 1.79% | 19.14 | 1.25 | -4.90 |
| 11. | 2018. 12. 31. | -9.84% | -9.18% | 216.96 | 96.91 | 145.00 |
| 12. | 2019. 1. 31. | 24.76% | 7.87% | 394.68 | 51.87 | 143.08 |
| 13. | 2019. 2. 28. | -3.49% | 2.97% | 70.31 | 5.32 | -19.34 |
| 14. | 2019. 3. 31. | -10.84% | 1.79% | 247.40 | 1.27 | -17.71 |
| 15. | 2019. 4. 30. | 17.57% | 3.93% | 160.73 | 10.66 | 41.39 |
| 16. | 2019. 5. 31. | 20.95% | -6.58% | 257.82 | 52.48 | -116.32 |
| 17. | 2019. 6. 30. | 16.57% | 6.89% | 136.47 | 38.77 | 72.74 |
| 18. | 2019. 7. 31. | 4.43% | 1.31% | 0.21 | 0.42 | -0.29 |
| 19. | 2019. 8. 31. | 25.59% | -1.81% | 428.29 | 6.13 | -51.24 |
| 20. | 2019. 9. 30. | 2.20% | 1.72% | 7.26 | 1.11 | -2.83 |
| 21. | 2019. 10. 31. | 1.48% | 2.04% | 11.63 | 1.89 | -4.69 |
| 22. | 2019. 11. 30. | -3.94% | 3.40% | 78.04 | 7.50 | -24.19 |
| 23. | 2019. 12. 31. | 16.52% | 2.86% | 135.17 | 4.81 | 25.49 |
| 24. | 2020. 1. 31. | 2.91% | -0.16% | 3.91 | 0.69 | 1.64 |
| 25. | 2020. 2. 29. | 27.45% | -8.41% | 508.78 | 82.40 | -204.76 |
| 26. | 2020. 3. 31. | -34.35% | -12.51% | 1,539.79 | 173.67 | 517.13 |
| 27. | 2020. 4. 30. | 36.28% | 12.68% | 985.56 | 144.43 | 377.28 |
| 28. | 2020. 5. 31. | 27.16% | 4.53% | 495.98 | 14.91 | 86.00 |
| 29. | 2020. 6. 30. | -2.20% | 1.84% | 50.27 | 1.37 | -8.31 |
| 30. | 2020. 7. 31. | 26.17% | 5.51% | 452.83 | 23.46 | 103.07 |
| 31. | 2020. 8. 31. | 26.30% | 7.01% | 458.30 | 40.19 | 135.72 |
| 32. | 2020. 9. 30. | 7.78% | -3.92% | 8.33 | 21.06 | -13.25 |
| 33. | 2020. 10. 31. | 8.11% | -2.77% | 10.39 | 11.79 | -11.06 |
| 34. | 2020. 11. 30. | 7.87% | 10.75% | 8.90 | 101.77 | 30.09 |
| 35. | 2020. 12. 31. | 14.80% | 3.71% | 98.18 | 9.28 | 30.18 |
| 36. | 2021. 1. 31. | -9.65% | -1.11% | 211.40 | 3.17 | 25.89 |
| 37. | 2021. 2. 28. | 3.46% | 2.61% | 2.04 | 3.77 | -2.78 |
| 38. | 2021. 3. 31. | -3.64% | 4.24% | 72.85 | 12.80 | -30.53 |
| 39. | 2021. 4. 30. | -8.31% | 5.24% | 174.40 | 20.94 | -60.43 |
| 40. | 2021. 5. 31. | -2.10% | 0.55% | 48.85 | 0.01 | 0.82 |
| 41. | 2021. 6. 30. | 7.12% | 2.22% | 4.95 | 2.42 | 3.46 |
| 42. | 2021. 7. 31. | -6.11% | 2.27% | 121.06 | 2.59 | -17.69 |
| 43. | 2021. 8. 31. | 11.68% | 2.90% | 46.05 | 4.98 | 15.15 |
| 44. | 2021. 9. 30. | -8.48% | -4.76% | 178.67 | 29.42 | 72.49 |
| 45. | 2021. 10. 31. | 33.73% | 6.91% | 831.70 | 39.03 | 180.18 |
| 46. | 2021. 11. 30. | -7.59% | -0.83% | 155.78 | 2.25 | 18.72 |
| 47. | 2021. 12. 31. | -14.40% | 4.36% | 372.06 | 13.65 | -71.27 |
| 48. | 2022. 1. 31. | -15.09% | -5.26% | 399.42 | 35.11 | 118.42 |
| 49. | 2022. 2. 28. | 34.09% | -3.14% | 852.34 | 14.46 | -111.02 |
| 50. | 2022. 3. 31. | 0.92% | 3.58% | 15.74 | 8.47 | -11.55 |
| 51. | 2022. 4. 30. | -22.32% | -8.80% | 740.57 | 89.54 | 257.50 |
| 52. | 2022. 5. 31. | 8.94% | 0.01% | 16.37 | 0.44 | -2.68 |
| 53. | 2022. 6. 30. | 0.33% | -8.39% | 20.84 | 82.06 | 41.35 |
| 54. | 2022. 7. 31. | 31.59% | 9.11% | 712.72 | 71.32 | 225.45 |
| 55. | 2022. 8. 31. | -23.37% | -4.24% | 798.66 | 24.11 | 138.78 |
| 56. | 2022. 9. 30. | -16.13% | -9.34% | 441.83 | 100.12 | 210.33 |
| 57. | 2022. 10. 31. | -0.62% | 7.99% | 30.35 | 53.58 | -40.32 |
| 58. | 2022. 11. 30. | 29.92% | 5.38% | 626.55 | 22.17 | 117.86 |
| 59. | 2022. 12. 31. | -5.22% | -5.90% | 102.17 | 43.08 | 66.34 |
| 합계 (Σ): | 16,309.07 | 1,691.48 | 2,228.79 | |||
모두 보기
분산SEDG = Σ(RSEDG,t–RSEDG)2 ÷ (59 – 1)
= 16,309.07 ÷ (59 – 1)
= 281.19
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16
공분산SEDG, S&P 500 = Σ(RSEDG,t–RSEDG)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 2,228.79 ÷ (59 – 1)
= 38.43
체계적인 위험 추정 (β)
| 분산SEDG | 281.19 |
| 분산S&P 500 | 29.16 |
| 공분산SEDG, S&P 500 | 38.43 |
| 상관 계수SEDG, S&P 5001 | 0.42 |
| βSEDG2 | 1.32 |
| αSEDG3 | 4.01% |
계산
1 상관 계수SEDG, S&P 500
= 공분산SEDG, S&P 500 ÷ (표준 편차SEDG × 표준 편차S&P 500)
= 38.43 ÷ (16.77% × 5.40%)
= 0.42
2 βSEDG
= 공분산SEDG, S&P 500 ÷ 분산S&P 500
= 38.43 ÷ 29.16
= 1.32
3 αSEDG
= 평균의SEDG – βSEDG × 평균의S&P 500
= 4.89% – 1.32 × 0.67%
= 4.01%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.91% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.84% |
| 보통주의 체계적 위험SolarEdge | βSEDG | 1.32 |
| SolarEdge 보통주의 예상 수익률3 | E(RSEDG) | 17.99% |
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(RSEDG) = RF + βSEDG [E(RM) – RF]
= 4.91% + 1.32 [14.84% – 4.91%]
= 17.99%