자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Super Micro의 보통주와 같은 위험 자산에 대한 예상 또는 요구 수익률이 얼마여야 하는지를 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 |
| 2018. 7. 31. | $2.21 | 2,816.29 | ||||
| 1. | 2018. 8. 31. | $2.05 | -7.24% | 2,901.52 | 3.03% | |
| 2. | 2018. 9. 30. | $2.06 | 0.49% | 2,913.98 | 0.43% | |
| 3. | 2018. 10. 31. | $1.31 | -36.41% | 2,711.74 | -6.94% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 5. 31. | $78.45 | -8.65% | 5,277.51 | 4.80% | |
| 71. | 2024. 6. 30. | $81.94 | 4.45% | 5,460.48 | 3.47% | |
| 평균의 (R): | 7.11% | 1.07% | ||||
| 표준 편차: | 22.32% | 5.24% | ||||
| 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 |
| 2018. 7. 31. | $2.21 | 2,816.29 | ||||
| 1. | 2018. 8. 31. | $2.05 | -7.24% | 2,901.52 | 3.03% | |
| 2. | 2018. 9. 30. | $2.06 | 0.49% | 2,913.98 | 0.43% | |
| 3. | 2018. 10. 31. | $1.31 | -36.41% | 2,711.74 | -6.94% | |
| 4. | 2018. 11. 30. | $1.49 | 13.74% | 2,760.17 | 1.79% | |
| 5. | 2018. 12. 31. | $1.38 | -7.38% | 2,506.85 | -9.18% | |
| 6. | 2019. 1. 31. | $1.51 | 9.42% | 2,704.10 | 7.87% | |
| 7. | 2019. 2. 28. | $1.91 | 26.49% | 2,784.49 | 2.97% | |
| 8. | 2019. 3. 31. | $2.11 | 10.47% | 2,834.40 | 1.79% | |
| 9. | 2019. 4. 30. | $2.24 | 6.16% | 2,945.83 | 3.93% | |
| 10. | 2019. 5. 31. | $1.90 | -15.18% | 2,752.06 | -6.58% | |
| 11. | 2019. 6. 30. | $1.94 | 2.11% | 2,941.76 | 6.89% | |
| 12. | 2019. 7. 31. | $1.83 | -5.67% | 2,980.38 | 1.31% | |
| 13. | 2019. 8. 31. | $1.89 | 3.28% | 2,926.46 | -1.81% | |
| 14. | 2019. 9. 30. | $1.92 | 1.59% | 2,976.74 | 1.72% | |
| 15. | 2019. 10. 31. | $2.07 | 7.81% | 3,037.56 | 2.04% | |
| 16. | 2019. 11. 30. | $2.13 | 2.90% | 3,140.98 | 3.40% | |
| 17. | 2019. 12. 31. | $2.40 | 12.68% | 3,230.78 | 2.86% | |
| 18. | 2020. 1. 31. | $2.80 | 16.67% | 3,225.52 | -0.16% | |
| 19. | 2020. 2. 29. | $2.54 | -9.29% | 2,954.22 | -8.41% | |
| 20. | 2020. 3. 31. | $2.13 | -16.14% | 2,584.59 | -12.51% | |
| 21. | 2020. 4. 30. | $2.29 | 7.51% | 2,912.43 | 12.68% | |
| 22. | 2020. 5. 31. | $2.60 | 13.54% | 3,044.31 | 4.53% | |
| 23. | 2020. 6. 30. | $2.84 | 9.23% | 3,100.29 | 1.84% | |
| 24. | 2020. 7. 31. | $3.03 | 6.69% | 3,271.12 | 5.51% | |
| 25. | 2020. 8. 31. | $2.74 | -9.57% | 3,500.31 | 7.01% | |
| 26. | 2020. 9. 30. | $2.64 | -3.65% | 3,363.00 | -3.92% | |
| 27. | 2020. 10. 31. | $2.27 | -14.02% | 3,269.96 | -2.77% | |
| 28. | 2020. 11. 30. | $2.82 | 24.23% | 3,621.63 | 10.75% | |
| 29. | 2020. 12. 31. | $3.17 | 12.41% | 3,756.07 | 3.71% | |
| 30. | 2021. 1. 31. | $3.10 | -2.21% | 3,714.24 | -1.11% | |
| 31. | 2021. 2. 28. | $3.26 | 5.16% | 3,811.15 | 2.61% | |
| 32. | 2021. 3. 31. | $3.91 | 19.94% | 3,972.89 | 4.24% | |
| 33. | 2021. 4. 30. | $3.70 | -5.37% | 4,181.17 | 5.24% | |
| 34. | 2021. 5. 31. | $3.47 | -6.22% | 4,204.11 | 0.55% | |
| 35. | 2021. 6. 30. | $3.52 | 1.44% | 4,297.50 | 2.22% | |
| 36. | 2021. 7. 31. | $3.80 | 7.95% | 4,395.26 | 2.27% | |
| 37. | 2021. 8. 31. | $3.65 | -3.95% | 4,522.68 | 2.90% | |
| 38. | 2021. 9. 30. | $3.66 | 0.27% | 4,307.54 | -4.76% | |
| 39. | 2021. 10. 31. | $3.54 | -3.28% | 4,605.38 | 6.91% | |
| 40. | 2021. 11. 30. | $4.14 | 16.95% | 4,567.00 | -0.83% | |
| 41. | 2021. 12. 31. | $4.40 | 6.28% | 4,766.18 | 4.36% | |
| 42. | 2022. 1. 31. | $4.05 | -7.95% | 4,515.55 | -5.26% | |
| 43. | 2022. 2. 28. | $3.93 | -2.96% | 4,373.94 | -3.14% | |
| 44. | 2022. 3. 31. | $3.81 | -3.05% | 4,530.41 | 3.58% | |
| 45. | 2022. 4. 30. | $4.21 | 10.50% | 4,131.93 | -8.80% | |
| 46. | 2022. 5. 31. | $5.01 | 19.00% | 4,132.15 | 0.01% | |
| 47. | 2022. 6. 30. | $4.04 | -19.36% | 3,785.38 | -8.39% | |
| 48. | 2022. 7. 31. | $5.40 | 33.66% | 4,130.29 | 9.11% | |
| 49. | 2022. 8. 31. | $6.51 | 20.56% | 3,955.00 | -4.24% | |
| 50. | 2022. 9. 30. | $5.51 | -15.36% | 3,585.62 | -9.34% | |
| 51. | 2022. 10. 31. | $6.96 | 26.32% | 3,871.98 | 7.99% | |
| 52. | 2022. 11. 30. | $9.02 | 29.60% | 4,080.11 | 5.38% | |
| 53. | 2022. 12. 31. | $8.21 | -8.98% | 3,839.50 | -5.90% | |
| 54. | 2023. 1. 31. | $7.23 | -11.94% | 4,076.60 | 6.18% | |
| 55. | 2023. 2. 28. | $9.80 | 35.55% | 3,970.15 | -2.61% | |
| 56. | 2023. 3. 31. | $10.66 | 8.78% | 4,109.31 | 3.51% | |
| 57. | 2023. 4. 30. | $10.54 | -1.13% | 4,169.48 | 1.46% | |
| 58. | 2023. 5. 31. | $22.40 | 112.52% | 4,179.83 | 0.25% | |
| 59. | 2023. 6. 30. | $24.93 | 11.29% | 4,376.86 | 4.71% | |
| 60. | 2023. 7. 31. | $33.03 | 32.49% | 4,588.96 | 4.85% | |
| 61. | 2023. 8. 31. | $27.51 | -16.71% | 4,507.66 | -1.77% | |
| 62. | 2023. 9. 30. | $27.42 | -0.33% | 4,288.05 | -4.87% | |
| 63. | 2023. 10. 31. | $23.95 | -12.65% | 4,193.80 | -2.20% | |
| 64. | 2023. 11. 30. | $27.35 | 14.20% | 4,567.80 | 8.92% | |
| 65. | 2023. 12. 31. | $28.43 | 3.95% | 4,769.83 | 4.42% | |
| 66. | 2024. 1. 31. | $52.96 | 86.28% | 4,845.65 | 1.59% | |
| 67. | 2024. 2. 29. | $86.61 | 63.54% | 5,096.27 | 5.17% | |
| 68. | 2024. 3. 31. | $101.00 | 16.61% | 5,254.35 | 3.10% | |
| 69. | 2024. 4. 30. | $85.88 | -14.97% | 5,035.69 | -4.16% | |
| 70. | 2024. 5. 31. | $78.45 | -8.65% | 5,277.51 | 4.80% | |
| 71. | 2024. 6. 30. | $81.94 | 4.45% | 5,460.48 | 3.47% | |
| 평균의 (R): | 7.11% | 1.07% | ||||
| 표준 편차: | 22.32% | 5.24% | ||||
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. | 2018. 8. 31. | -7.24% | 3.03% | 206.03 | 3.81 | -28.03 |
| 2. | 2018. 9. 30. | 0.49% | 0.43% | 43.90 | 0.41 | 4.27 |
| 3. | 2018. 10. 31. | -36.41% | -6.94% | 1,894.13 | 64.22 | 348.77 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 5. 31. | -8.65% | 4.80% | 248.55 | 13.90 | -58.79 |
| 71. | 2024. 6. 30. | 4.45% | 3.47% | 7.10 | 5.73 | -6.38 |
| 합계 (Σ): | 34,859.28 | 1,922.79 | 2,744.74 | |||
| 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. | 2018. 8. 31. | -7.24% | 3.03% | 206.03 | 3.81 | -28.03 |
| 2. | 2018. 9. 30. | 0.49% | 0.43% | 43.90 | 0.41 | 4.27 |
| 3. | 2018. 10. 31. | -36.41% | -6.94% | 1,894.13 | 64.22 | 348.77 |
| 4. | 2018. 11. 30. | 13.74% | 1.79% | 43.91 | 0.51 | 4.72 |
| 5. | 2018. 12. 31. | -7.38% | -9.18% | 210.15 | 105.08 | 148.60 |
| 6. | 2019. 1. 31. | 9.42% | 7.87% | 5.32 | 46.17 | 15.67 |
| 7. | 2019. 2. 28. | 26.49% | 2.97% | 375.44 | 3.61 | 36.81 |
| 8. | 2019. 3. 31. | 10.47% | 1.79% | 11.27 | 0.52 | 2.41 |
| 9. | 2019. 4. 30. | 6.16% | 3.93% | 0.91 | 8.17 | -2.72 |
| 10. | 2019. 5. 31. | -15.18% | -6.58% | 496.95 | 58.54 | 170.56 |
| 11. | 2019. 6. 30. | 2.11% | 6.89% | 25.09 | 33.87 | -29.15 |
| 12. | 2019. 7. 31. | -5.67% | 1.31% | 163.43 | 0.06 | -3.06 |
| 13. | 2019. 8. 31. | 3.28% | -1.81% | 14.71 | 8.31 | 11.05 |
| 14. | 2019. 9. 30. | 1.59% | 1.72% | 30.54 | 0.42 | -3.56 |
| 15. | 2019. 10. 31. | 7.81% | 2.04% | 0.49 | 0.94 | 0.68 |
| 16. | 2019. 11. 30. | 2.90% | 3.40% | 17.77 | 5.44 | -9.83 |
| 17. | 2019. 12. 31. | 12.68% | 2.86% | 30.94 | 3.19 | 9.93 |
| 18. | 2020. 1. 31. | 16.67% | -0.16% | 91.26 | 1.53 | -11.81 |
| 19. | 2020. 2. 29. | -9.29% | -8.41% | 268.95 | 89.95 | 155.54 |
| 20. | 2020. 3. 31. | -16.14% | -12.51% | 540.82 | 184.56 | 315.93 |
| 21. | 2020. 4. 30. | 7.51% | 12.68% | 0.16 | 134.82 | 4.62 |
| 22. | 2020. 5. 31. | 13.54% | 4.53% | 41.26 | 11.94 | 22.19 |
| 23. | 2020. 6. 30. | 9.23% | 1.84% | 4.48 | 0.59 | 1.62 |
| 24. | 2020. 7. 31. | 6.69% | 5.51% | 0.18 | 19.68 | -1.88 |
| 25. | 2020. 8. 31. | -9.57% | 7.01% | 278.38 | 35.20 | -98.99 |
| 26. | 2020. 9. 30. | -3.65% | -3.92% | 115.85 | 24.96 | 53.78 |
| 27. | 2020. 10. 31. | -14.02% | -2.77% | 446.43 | 14.75 | 81.13 |
| 28. | 2020. 11. 30. | 24.23% | 10.75% | 292.93 | 93.73 | 165.70 |
| 29. | 2020. 12. 31. | 12.41% | 3.71% | 28.06 | 6.96 | 13.98 |
| 30. | 2021. 1. 31. | -2.21% | -1.11% | 86.90 | 4.78 | 20.39 |
| 31. | 2021. 2. 28. | 5.16% | 2.61% | 3.81 | 2.36 | -3.00 |
| 32. | 2021. 3. 31. | 19.94% | 4.24% | 164.48 | 10.05 | 40.66 |
| 33. | 2021. 4. 30. | -5.37% | 5.24% | 155.87 | 17.38 | -52.05 |
| 34. | 2021. 5. 31. | -6.22% | 0.55% | 177.69 | 0.28 | 6.99 |
| 35. | 2021. 6. 30. | 1.44% | 2.22% | 32.18 | 1.32 | -6.51 |
| 36. | 2021. 7. 31. | 7.95% | 2.27% | 0.71 | 1.44 | 1.01 |
| 37. | 2021. 8. 31. | -3.95% | 2.90% | 122.35 | 3.33 | -20.19 |
| 38. | 2021. 9. 30. | 0.27% | -4.76% | 46.78 | 33.99 | 39.88 |
| 39. | 2021. 10. 31. | -3.28% | 6.91% | 108.00 | 34.12 | -60.70 |
| 40. | 2021. 11. 30. | 16.95% | -0.83% | 96.73 | 3.64 | -18.75 |
| 41. | 2021. 12. 31. | 6.28% | 4.36% | 0.69 | 10.81 | -2.74 |
| 42. | 2022. 1. 31. | -7.95% | -5.26% | 227.06 | 40.09 | 95.41 |
| 43. | 2022. 2. 28. | -2.96% | -3.14% | 101.54 | 17.72 | 42.42 |
| 44. | 2022. 3. 31. | -3.05% | 3.58% | 103.37 | 6.27 | -25.46 |
| 45. | 2022. 4. 30. | 10.50% | -8.80% | 11.46 | 97.40 | -33.41 |
| 46. | 2022. 5. 31. | 19.00% | 0.01% | 141.34 | 1.14 | -12.70 |
| 47. | 2022. 6. 30. | -19.36% | -8.39% | 700.93 | 89.59 | 250.60 |
| 48. | 2022. 7. 31. | 33.66% | 9.11% | 704.88 | 64.61 | 213.41 |
| 49. | 2022. 8. 31. | 20.56% | -4.24% | 180.68 | 28.27 | -71.47 |
| 50. | 2022. 9. 30. | -15.36% | -9.34% | 505.12 | 108.43 | 234.03 |
| 51. | 2022. 10. 31. | 26.32% | 7.99% | 368.71 | 47.79 | 132.74 |
| 52. | 2022. 11. 30. | 29.60% | 5.38% | 505.52 | 18.51 | 96.72 |
| 53. | 2022. 12. 31. | -8.98% | -5.90% | 259.01 | 48.59 | 112.18 |
| 54. | 2023. 1. 31. | -11.94% | 6.18% | 362.92 | 26.03 | -97.19 |
| 55. | 2023. 2. 28. | 35.55% | -2.61% | 808.41 | 13.58 | -104.76 |
| 56. | 2023. 3. 31. | 8.78% | 3.51% | 2.76 | 5.91 | 4.04 |
| 57. | 2023. 4. 30. | -1.13% | 1.46% | 67.89 | 0.15 | -3.22 |
| 58. | 2023. 5. 31. | 112.52% | 0.25% | 11,111.24 | 0.68 | -86.98 |
| 59. | 2023. 6. 30. | 11.29% | 4.71% | 17.48 | 13.25 | 15.22 |
| 60. | 2023. 7. 31. | 32.49% | 4.85% | 644.00 | 14.23 | 95.74 |
| 61. | 2023. 8. 31. | -16.71% | -1.77% | 567.68 | 8.09 | 67.78 |
| 62. | 2023. 9. 30. | -0.33% | -4.87% | 55.37 | 35.35 | 44.24 |
| 63. | 2023. 10. 31. | -12.65% | -2.20% | 390.81 | 10.70 | 64.67 |
| 64. | 2023. 11. 30. | 14.20% | 8.92% | 50.16 | 61.54 | 55.56 |
| 65. | 2023. 12. 31. | 3.95% | 4.42% | 10.02 | 11.22 | -10.60 |
| 66. | 2024. 1. 31. | 86.28% | 1.59% | 6,267.61 | 0.27 | 40.87 |
| 67. | 2024. 2. 29. | 63.54% | 5.17% | 3,183.74 | 16.80 | 231.27 |
| 68. | 2024. 3. 31. | 16.61% | 3.10% | 90.27 | 4.11 | 19.27 |
| 69. | 2024. 4. 30. | -14.97% | -4.16% | 487.71 | 27.40 | 115.61 |
| 70. | 2024. 5. 31. | -8.65% | 4.80% | 248.55 | 13.90 | -58.79 |
| 71. | 2024. 6. 30. | 4.45% | 3.47% | 7.10 | 5.73 | -6.38 |
| 합계 (Σ): | 34,859.28 | 1,922.79 | 2,744.74 | |||
모두 보기
분산SMCI = Σ(RSMCI,t–RSMCI)2 ÷ (71 – 1)
= 34,859.28 ÷ (71 – 1)
= 497.99
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,922.79 ÷ (71 – 1)
= 27.47
공분산SMCI, S&P 500 = Σ(RSMCI,t–RSMCI)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,744.74 ÷ (71 – 1)
= 39.21
체계적인 위험 추정 (β)
| 분산SMCI | 497.99 |
| 분산S&P 500 | 27.47 |
| 공분산SMCI, S&P 500 | 39.21 |
| 상관 계수SMCI, S&P 5001 | 0.34 |
| βSMCI2 | 1.43 |
| αSMCI3 | 5.58% |
계산
1 상관 계수SMCI, S&P 500
= 공분산SMCI, S&P 500 ÷ (표준 편차SMCI × 표준 편차S&P 500)
= 39.21 ÷ (22.32% × 5.24%)
= 0.34
2 βSMCI
= 공분산SMCI, S&P 500 ÷ 분산S&P 500
= 39.21 ÷ 27.47
= 1.43
3 αSMCI
= 평균의SMCI – βSMCI × 평균의S&P 500
= 7.11% – 1.43 × 1.07%
= 5.58%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.83% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.73% |
| 보통주 Super Micro 대한 체계적 위험 | βSMCI | 1.43 |
| Super Micro 보통주의 예상 수익률3 | E(RSMCI) | 18.96% |
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]
= 4.83% + 1.43 [14.73% – 4.83%]
= 18.96%