자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Supermicro보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Super Micro Computer Inc., 월별 수익률
| Super Micro Computer Inc. (SMCI) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값SMCI,t1 | 피제수SMCI,t1 | RSMCI,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 7. 31. | $1.83 | 2,980.38 | ||||
| 1. | 2019. 8. 31. | $1.89 | 3.28% | 2,926.46 | -1.81% | |
| 2. | 2019. 9. 30. | $1.92 | 1.59% | 2,976.74 | 1.72% | |
| 3. | 2019. 10. 31. | $2.07 | 7.81% | 3,037.56 | 2.04% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 5. 31. | $40.02 | 25.61% | 5,911.69 | 6.15% | |
| 71. | 2025. 6. 30. | $49.01 | 22.46% | 6,204.95 | 4.96% | |
| 평균의 (R): | 6.89% | 1.16% | ||||
| 표준 편차: | 23.48% | 4.98% | ||||
| Super Micro Computer Inc. (SMCI) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값SMCI,t1 | 피제수SMCI,t1 | RSMCI,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 7. 31. | $1.83 | 2,980.38 | ||||
| 1. | 2019. 8. 31. | $1.89 | 3.28% | 2,926.46 | -1.81% | |
| 2. | 2019. 9. 30. | $1.92 | 1.59% | 2,976.74 | 1.72% | |
| 3. | 2019. 10. 31. | $2.07 | 7.81% | 3,037.56 | 2.04% | |
| 4. | 2019. 11. 30. | $2.13 | 2.90% | 3,140.98 | 3.40% | |
| 5. | 2019. 12. 31. | $2.40 | 12.68% | 3,230.78 | 2.86% | |
| 6. | 2020. 1. 31. | $2.80 | 16.67% | 3,225.52 | -0.16% | |
| 7. | 2020. 2. 29. | $2.54 | -9.29% | 2,954.22 | -8.41% | |
| 8. | 2020. 3. 31. | $2.13 | -16.14% | 2,584.59 | -12.51% | |
| 9. | 2020. 4. 30. | $2.29 | 7.51% | 2,912.43 | 12.68% | |
| 10. | 2020. 5. 31. | $2.60 | 13.54% | 3,044.31 | 4.53% | |
| 11. | 2020. 6. 30. | $2.84 | 9.23% | 3,100.29 | 1.84% | |
| 12. | 2020. 7. 31. | $3.03 | 6.69% | 3,271.12 | 5.51% | |
| 13. | 2020. 8. 31. | $2.74 | -9.57% | 3,500.31 | 7.01% | |
| 14. | 2020. 9. 30. | $2.64 | -3.65% | 3,363.00 | -3.92% | |
| 15. | 2020. 10. 31. | $2.27 | -14.02% | 3,269.96 | -2.77% | |
| 16. | 2020. 11. 30. | $2.82 | 24.23% | 3,621.63 | 10.75% | |
| 17. | 2020. 12. 31. | $3.17 | 12.41% | 3,756.07 | 3.71% | |
| 18. | 2021. 1. 31. | $3.10 | -2.21% | 3,714.24 | -1.11% | |
| 19. | 2021. 2. 28. | $3.26 | 5.16% | 3,811.15 | 2.61% | |
| 20. | 2021. 3. 31. | $3.91 | 19.94% | 3,972.89 | 4.24% | |
| 21. | 2021. 4. 30. | $3.70 | -5.37% | 4,181.17 | 5.24% | |
| 22. | 2021. 5. 31. | $3.47 | -6.22% | 4,204.11 | 0.55% | |
| 23. | 2021. 6. 30. | $3.52 | 1.44% | 4,297.50 | 2.22% | |
| 24. | 2021. 7. 31. | $3.80 | 7.95% | 4,395.26 | 2.27% | |
| 25. | 2021. 8. 31. | $3.65 | -3.95% | 4,522.68 | 2.90% | |
| 26. | 2021. 9. 30. | $3.66 | 0.27% | 4,307.54 | -4.76% | |
| 27. | 2021. 10. 31. | $3.54 | -3.28% | 4,605.38 | 6.91% | |
| 28. | 2021. 11. 30. | $4.14 | 16.95% | 4,567.00 | -0.83% | |
| 29. | 2021. 12. 31. | $4.40 | 6.28% | 4,766.18 | 4.36% | |
| 30. | 2022. 1. 31. | $4.05 | -7.95% | 4,515.55 | -5.26% | |
| 31. | 2022. 2. 28. | $3.93 | -2.96% | 4,373.94 | -3.14% | |
| 32. | 2022. 3. 31. | $3.81 | -3.05% | 4,530.41 | 3.58% | |
| 33. | 2022. 4. 30. | $4.21 | 10.50% | 4,131.93 | -8.80% | |
| 34. | 2022. 5. 31. | $5.01 | 19.00% | 4,132.15 | 0.01% | |
| 35. | 2022. 6. 30. | $4.04 | -19.36% | 3,785.38 | -8.39% | |
| 36. | 2022. 7. 31. | $5.40 | 33.66% | 4,130.29 | 9.11% | |
| 37. | 2022. 8. 31. | $6.51 | 20.56% | 3,955.00 | -4.24% | |
| 38. | 2022. 9. 30. | $5.51 | -15.36% | 3,585.62 | -9.34% | |
| 39. | 2022. 10. 31. | $6.96 | 26.32% | 3,871.98 | 7.99% | |
| 40. | 2022. 11. 30. | $9.02 | 29.60% | 4,080.11 | 5.38% | |
| 41. | 2022. 12. 31. | $8.21 | -8.98% | 3,839.50 | -5.90% | |
| 42. | 2023. 1. 31. | $7.23 | -11.94% | 4,076.60 | 6.18% | |
| 43. | 2023. 2. 28. | $9.80 | 35.55% | 3,970.15 | -2.61% | |
| 44. | 2023. 3. 31. | $10.66 | 8.78% | 4,109.31 | 3.51% | |
| 45. | 2023. 4. 30. | $10.54 | -1.13% | 4,169.48 | 1.46% | |
| 46. | 2023. 5. 31. | $22.40 | 112.52% | 4,179.83 | 0.25% | |
| 47. | 2023. 6. 30. | $24.93 | 11.29% | 4,376.86 | 4.71% | |
| 48. | 2023. 7. 31. | $33.03 | 32.49% | 4,588.96 | 4.85% | |
| 49. | 2023. 8. 31. | $27.51 | -16.71% | 4,507.66 | -1.77% | |
| 50. | 2023. 9. 30. | $27.42 | -0.33% | 4,288.05 | -4.87% | |
| 51. | 2023. 10. 31. | $23.95 | -12.65% | 4,193.80 | -2.20% | |
| 52. | 2023. 11. 30. | $27.35 | 14.20% | 4,567.80 | 8.92% | |
| 53. | 2023. 12. 31. | $28.43 | 3.95% | 4,769.83 | 4.42% | |
| 54. | 2024. 1. 31. | $52.96 | 86.28% | 4,845.65 | 1.59% | |
| 55. | 2024. 2. 29. | $86.61 | 63.54% | 5,096.27 | 5.17% | |
| 56. | 2024. 3. 31. | $101.00 | 16.61% | 5,254.35 | 3.10% | |
| 57. | 2024. 4. 30. | $85.88 | -14.97% | 5,035.69 | -4.16% | |
| 58. | 2024. 5. 31. | $78.45 | -8.65% | 5,277.51 | 4.80% | |
| 59. | 2024. 6. 30. | $81.94 | 4.45% | 5,460.48 | 3.47% | |
| 60. | 2024. 7. 31. | $70.17 | -14.36% | 5,522.30 | 1.13% | |
| 61. | 2024. 8. 31. | $43.77 | -37.62% | 5,648.40 | 2.28% | |
| 62. | 2024. 9. 30. | $41.64 | -4.87% | 5,762.48 | 2.02% | |
| 63. | 2024. 10. 31. | $29.11 | -30.09% | 5,705.45 | -0.99% | |
| 64. | 2024. 11. 30. | $32.64 | 12.13% | 6,032.38 | 5.73% | |
| 65. | 2024. 12. 31. | $30.48 | -6.62% | 5,881.63 | -2.50% | |
| 66. | 2025. 1. 31. | $28.52 | -6.43% | 6,040.53 | 2.70% | |
| 67. | 2025. 2. 28. | $41.46 | 45.37% | 5,954.50 | -1.42% | |
| 68. | 2025. 3. 31. | $34.24 | -17.41% | 5,611.85 | -5.75% | |
| 69. | 2025. 4. 30. | $31.86 | -6.95% | 5,569.06 | -0.76% | |
| 70. | 2025. 5. 31. | $40.02 | 25.61% | 5,911.69 | 6.15% | |
| 71. | 2025. 6. 30. | $49.01 | 22.46% | 6,204.95 | 4.96% | |
| 평균의 (R): | 6.89% | 1.16% | ||||
| 표준 편차: | 23.48% | 4.98% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 SMCI의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Super Micro Computer Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RSMCI,t | RS&P 500,t | (RSMCI,t–RSMCI)2 | (RS&P 500,t–RS&P 500)2 | (RSMCI,t–RSMCI)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 8. 31. | 3.28% | -1.81% | 13.05 | 8.82 | 10.73 |
| 2. | 2019. 9. 30. | 1.59% | 1.72% | 28.14 | 0.31 | -2.95 |
| 3. | 2019. 10. 31. | 7.81% | 2.04% | 0.85 | 0.78 | 0.81 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 5. 31. | 25.61% | 6.15% | 350.46 | 24.91 | 93.44 |
| 71. | 2025. 6. 30. | 22.46% | 4.96% | 242.49 | 14.44 | 59.17 |
| 합계 (Σ): | 38,607.71 | 1,738.13 | 2,389.00 | |||
| t | 날짜 | RSMCI,t | RS&P 500,t | (RSMCI,t–RSMCI)2 | (RS&P 500,t–RS&P 500)2 | (RSMCI,t–RSMCI)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 8. 31. | 3.28% | -1.81% | 13.05 | 8.82 | 10.73 |
| 2. | 2019. 9. 30. | 1.59% | 1.72% | 28.14 | 0.31 | -2.95 |
| 3. | 2019. 10. 31. | 7.81% | 2.04% | 0.85 | 0.78 | 0.81 |
| 4. | 2019. 11. 30. | 2.90% | 3.40% | 15.94 | 5.03 | -8.96 |
| 5. | 2019. 12. 31. | 12.68% | 2.86% | 33.46 | 2.88 | 9.82 |
| 6. | 2020. 1. 31. | 16.67% | -0.16% | 95.55 | 1.75 | -12.94 |
| 7. | 2020. 2. 29. | -9.29% | -8.41% | 261.70 | 91.63 | 154.85 |
| 8. | 2020. 3. 31. | -16.14% | -12.51% | 530.53 | 186.95 | 314.94 |
| 9. | 2020. 4. 30. | 7.51% | 12.68% | 0.38 | 132.79 | 7.15 |
| 10. | 2020. 5. 31. | 13.54% | 4.53% | 44.16 | 11.34 | 22.38 |
| 11. | 2020. 6. 30. | 9.23% | 1.84% | 5.47 | 0.46 | 1.59 |
| 12. | 2020. 7. 31. | 6.69% | 5.51% | 0.04 | 18.91 | -0.88 |
| 13. | 2020. 8. 31. | -9.57% | 7.01% | 271.02 | 34.17 | -96.23 |
| 14. | 2020. 9. 30. | -3.65% | -3.92% | 111.12 | 25.85 | 53.59 |
| 15. | 2020. 10. 31. | -14.02% | -2.77% | 437.09 | 15.43 | 82.12 |
| 16. | 2020. 11. 30. | 24.23% | 10.75% | 300.59 | 92.03 | 166.33 |
| 17. | 2020. 12. 31. | 12.41% | 3.71% | 30.47 | 6.51 | 14.08 |
| 18. | 2021. 1. 31. | -2.21% | -1.11% | 82.81 | 5.17 | 20.70 |
| 19. | 2021. 2. 28. | 5.16% | 2.61% | 2.99 | 2.10 | -2.51 |
| 20. | 2021. 3. 31. | 19.94% | 4.24% | 170.23 | 9.50 | 40.22 |
| 21. | 2021. 4. 30. | -5.37% | 5.24% | 150.37 | 16.66 | -50.05 |
| 22. | 2021. 5. 31. | -6.22% | 0.55% | 171.81 | 0.38 | 8.03 |
| 23. | 2021. 6. 30. | 1.44% | 2.22% | 29.71 | 1.12 | -5.78 |
| 24. | 2021. 7. 31. | 7.95% | 2.27% | 1.13 | 1.24 | 1.18 |
| 25. | 2021. 8. 31. | -3.95% | 2.90% | 117.48 | 3.02 | -18.84 |
| 26. | 2021. 9. 30. | 0.27% | -4.76% | 43.79 | 35.02 | 39.16 |
| 27. | 2021. 10. 31. | -3.28% | 6.91% | 103.43 | 33.10 | -58.51 |
| 28. | 2021. 11. 30. | 16.95% | -0.83% | 101.15 | 3.98 | -20.06 |
| 29. | 2021. 12. 31. | 6.28% | 4.36% | 0.37 | 10.24 | -1.96 |
| 30. | 2022. 1. 31. | -7.95% | -5.26% | 220.41 | 41.21 | 95.31 |
| 31. | 2022. 2. 28. | -2.96% | -3.14% | 97.11 | 18.47 | 42.35 |
| 32. | 2022. 3. 31. | -3.05% | 3.58% | 98.90 | 5.84 | -24.03 |
| 33. | 2022. 4. 30. | 10.50% | -8.80% | 13.01 | 99.14 | -35.92 |
| 34. | 2022. 5. 31. | 19.00% | 0.01% | 146.67 | 1.34 | -14.00 |
| 35. | 2022. 6. 30. | -19.36% | -8.39% | 689.21 | 91.26 | 250.80 |
| 36. | 2022. 7. 31. | 33.66% | 9.11% | 716.73 | 63.21 | 212.85 |
| 37. | 2022. 8. 31. | 20.56% | -4.24% | 186.70 | 29.22 | -73.86 |
| 38. | 2022. 9. 30. | -15.36% | -9.34% | 495.18 | 110.27 | 233.67 |
| 39. | 2022. 10. 31. | 26.32% | 7.99% | 377.30 | 46.58 | 132.57 |
| 40. | 2022. 11. 30. | 29.60% | 5.38% | 515.57 | 17.76 | 95.69 |
| 41. | 2022. 12. 31. | -8.98% | -5.90% | 251.91 | 49.82 | 112.03 |
| 42. | 2023. 1. 31. | -11.94% | 6.18% | 354.50 | 25.14 | -94.41 |
| 43. | 2023. 2. 28. | 35.55% | -2.61% | 821.10 | 14.23 | -108.10 |
| 44. | 2023. 3. 31. | 8.78% | 3.51% | 3.55 | 5.49 | 4.42 |
| 45. | 2023. 4. 30. | -1.13% | 1.46% | 64.28 | 0.09 | -2.43 |
| 46. | 2023. 5. 31. | 112.52% | 0.25% | 11,158.15 | 0.83 | -96.43 |
| 47. | 2023. 6. 30. | 11.29% | 4.71% | 19.39 | 12.62 | 15.64 |
| 48. | 2023. 7. 31. | 32.49% | 4.85% | 655.33 | 13.58 | 94.33 |
| 49. | 2023. 8. 31. | -16.71% | -1.77% | 557.13 | 8.60 | 69.22 |
| 50. | 2023. 9. 30. | -0.33% | -4.87% | 52.11 | 36.40 | 43.55 |
| 51. | 2023. 10. 31. | -12.65% | -2.20% | 382.07 | 11.28 | 65.66 |
| 52. | 2023. 11. 30. | 14.20% | 8.92% | 53.36 | 60.17 | 56.66 |
| 53. | 2023. 12. 31. | 3.95% | 4.42% | 8.66 | 10.64 | -9.60 |
| 54. | 2024. 1. 31. | 86.28% | 1.59% | 6,302.85 | 0.18 | 34.01 |
| 55. | 2024. 2. 29. | 63.54% | 5.17% | 3,208.88 | 16.09 | 227.21 |
| 56. | 2024. 3. 31. | 16.61% | 3.10% | 94.54 | 3.77 | 18.87 |
| 57. | 2024. 4. 30. | -14.97% | -4.16% | 477.94 | 28.33 | 116.36 |
| 58. | 2024. 5. 31. | -8.65% | 4.80% | 241.59 | 13.26 | -56.59 |
| 59. | 2024. 6. 30. | 4.45% | 3.47% | 5.97 | 5.32 | -5.63 |
| 60. | 2024. 7. 31. | -14.36% | 1.13% | 451.81 | 0.00 | 0.62 |
| 61. | 2024. 8. 31. | -37.62% | 2.28% | 1,981.54 | 1.26 | -49.96 |
| 62. | 2024. 9. 30. | -4.87% | 2.02% | 138.25 | 0.74 | -10.09 |
| 63. | 2024. 10. 31. | -30.09% | -0.99% | 1,367.73 | 4.63 | 79.54 |
| 64. | 2024. 11. 30. | 12.13% | 5.73% | 27.40 | 20.88 | 23.92 |
| 65. | 2024. 12. 31. | -6.62% | -2.50% | 182.50 | 13.40 | 49.45 |
| 66. | 2025. 1. 31. | -6.43% | 2.70% | 177.48 | 2.37 | -20.52 |
| 67. | 2025. 2. 28. | 45.37% | -1.42% | 1,480.72 | 6.68 | -99.48 |
| 68. | 2025. 3. 31. | -17.41% | -5.75% | 590.78 | 47.83 | 168.09 |
| 69. | 2025. 4. 30. | -6.95% | -0.76% | 191.62 | 3.70 | 26.63 |
| 70. | 2025. 5. 31. | 25.61% | 6.15% | 350.46 | 24.91 | 93.44 |
| 71. | 2025. 6. 30. | 22.46% | 4.96% | 242.49 | 14.44 | 59.17 |
| 합계 (Σ): | 38,607.71 | 1,738.13 | 2,389.00 | |||
모두 보기
분산SMCI = Σ(RSMCI,t–RSMCI)2 ÷ (71 – 1)
= 38,607.71 ÷ (71 – 1)
= 551.54
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,738.13 ÷ (71 – 1)
= 24.83
공분산SMCI, S&P 500 = Σ(RSMCI,t–RSMCI)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,389.00 ÷ (71 – 1)
= 34.13
체계적인 위험 추정 (β)
| 분산SMCI | 551.54 |
| 분산S&P 500 | 24.83 |
| 공분산SMCI, S&P 500 | 34.13 |
| 상관 계수SMCI, S&P 5001 | 0.29 |
| βSMCI2 | 1.37 |
| αSMCI3 | 5.30% |
계산
1 상관 계수SMCI, S&P 500
= 공분산SMCI, S&P 500 ÷ (표준 편차SMCI × 표준 편차S&P 500)
= 34.13 ÷ (23.48% × 4.98%)
= 0.29
2 βSMCI
= 공분산SMCI, S&P 500 ÷ 분산S&P 500
= 34.13 ÷ 24.83
= 1.37
3 αSMCI
= 평균의SMCI – βSMCI × 평균의S&P 500
= 6.89% – 1.37 × 1.16%
= 5.30%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.67% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.91% |
| 보통주의 체계적 위험Supermicro | βSMCI | 1.37 |
| Supermicro 보통주에 대한 기대 수익률3 | E(RSMCI) | 18.74% |
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(RSMCI) = RF + βSMCI [E(RM) – RF]
= 4.67% + 1.37 [14.91% – 4.67%]
= 18.74%