자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Synopsys보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Synopsys Inc., 월별 수익률
| Synopsys Inc. (SNPS) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값SNPS,t1 | 피제수SNPS,t1 | RSNPS,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 11. 30. | $141.04 | 3,140.98 | ||||
| 1. | 2019. 12. 31. | $139.20 | -1.30% | 3,230.78 | 2.86% | |
| 2. | 2020. 1. 31. | $147.51 | 5.97% | 3,225.52 | -0.16% | |
| 3. | 2020. 2. 29. | $137.93 | -6.49% | 2,954.22 | -8.41% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 9. 30. | $493.39 | -18.25% | 6,688.46 | 3.53% | |
| 71. | 2025. 10. 31. | $453.82 | -8.02% | 6,840.20 | 2.27% | |
| 평균의 (R): | 2.08% | 1.22% | ||||
| 표준 편차: | 9.35% | 4.97% | ||||
| Synopsys Inc. (SNPS) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값SNPS,t1 | 피제수SNPS,t1 | RSNPS,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 11. 30. | $141.04 | 3,140.98 | ||||
| 1. | 2019. 12. 31. | $139.20 | -1.30% | 3,230.78 | 2.86% | |
| 2. | 2020. 1. 31. | $147.51 | 5.97% | 3,225.52 | -0.16% | |
| 3. | 2020. 2. 29. | $137.93 | -6.49% | 2,954.22 | -8.41% | |
| 4. | 2020. 3. 31. | $128.79 | -6.63% | 2,584.59 | -12.51% | |
| 5. | 2020. 4. 30. | $157.12 | 22.00% | 2,912.43 | 12.68% | |
| 6. | 2020. 5. 31. | $180.91 | 15.14% | 3,044.31 | 4.53% | |
| 7. | 2020. 6. 30. | $195.00 | 7.79% | 3,100.29 | 1.84% | |
| 8. | 2020. 7. 31. | $199.22 | 2.16% | 3,271.12 | 5.51% | |
| 9. | 2020. 8. 31. | $221.30 | 11.08% | 3,500.31 | 7.01% | |
| 10. | 2020. 9. 30. | $213.98 | -3.31% | 3,363.00 | -3.92% | |
| 11. | 2020. 10. 31. | $213.86 | -0.06% | 3,269.96 | -2.77% | |
| 12. | 2020. 11. 30. | $227.50 | 6.38% | 3,621.63 | 10.75% | |
| 13. | 2020. 12. 31. | $259.24 | 13.95% | 3,756.07 | 3.71% | |
| 14. | 2021. 1. 31. | $255.45 | -1.46% | 3,714.24 | -1.11% | |
| 15. | 2021. 2. 28. | $245.21 | -4.01% | 3,811.15 | 2.61% | |
| 16. | 2021. 3. 31. | $247.78 | 1.05% | 3,972.89 | 4.24% | |
| 17. | 2021. 4. 30. | $247.06 | -0.29% | 4,181.17 | 5.24% | |
| 18. | 2021. 5. 31. | $254.34 | 2.95% | 4,204.11 | 0.55% | |
| 19. | 2021. 6. 30. | $275.79 | 8.43% | 4,297.50 | 2.22% | |
| 20. | 2021. 7. 31. | $287.99 | 4.42% | 4,395.26 | 2.27% | |
| 21. | 2021. 8. 31. | $332.24 | 15.37% | 4,522.68 | 2.90% | |
| 22. | 2021. 9. 30. | $299.41 | -9.88% | 4,307.54 | -4.76% | |
| 23. | 2021. 10. 31. | $333.18 | 11.28% | 4,605.38 | 6.91% | |
| 24. | 2021. 11. 30. | $341.00 | 2.35% | 4,567.00 | -0.83% | |
| 25. | 2021. 12. 31. | $368.50 | 8.06% | 4,766.18 | 4.36% | |
| 26. | 2022. 1. 31. | $310.50 | -15.74% | 4,515.55 | -5.26% | |
| 27. | 2022. 2. 28. | $312.39 | 0.61% | 4,373.94 | -3.14% | |
| 28. | 2022. 3. 31. | $333.27 | 6.68% | 4,530.41 | 3.58% | |
| 29. | 2022. 4. 30. | $286.79 | -13.95% | 4,131.93 | -8.80% | |
| 30. | 2022. 5. 31. | $319.20 | 11.30% | 4,132.15 | 0.01% | |
| 31. | 2022. 6. 30. | $303.70 | -4.86% | 3,785.38 | -8.39% | |
| 32. | 2022. 7. 31. | $367.50 | 21.01% | 4,130.29 | 9.11% | |
| 33. | 2022. 8. 31. | $346.02 | -5.84% | 3,955.00 | -4.24% | |
| 34. | 2022. 9. 30. | $305.51 | -11.71% | 3,585.62 | -9.34% | |
| 35. | 2022. 10. 31. | $292.55 | -4.24% | 3,871.98 | 7.99% | |
| 36. | 2022. 11. 30. | $339.54 | 16.06% | 4,080.11 | 5.38% | |
| 37. | 2022. 12. 31. | $319.29 | -5.96% | 3,839.50 | -5.90% | |
| 38. | 2023. 1. 31. | $353.75 | 10.79% | 4,076.60 | 6.18% | |
| 39. | 2023. 2. 28. | $363.76 | 2.83% | 3,970.15 | -2.61% | |
| 40. | 2023. 3. 31. | $386.25 | 6.18% | 4,109.31 | 3.51% | |
| 41. | 2023. 4. 30. | $371.32 | -3.87% | 4,169.48 | 1.46% | |
| 42. | 2023. 5. 31. | $454.96 | 22.53% | 4,179.83 | 0.25% | |
| 43. | 2023. 6. 30. | $435.41 | -4.30% | 4,376.86 | 4.71% | |
| 44. | 2023. 7. 31. | $451.80 | 3.76% | 4,588.96 | 4.85% | |
| 45. | 2023. 8. 31. | $458.89 | 1.57% | 4,507.66 | -1.77% | |
| 46. | 2023. 9. 30. | $458.97 | 0.02% | 4,288.05 | -4.87% | |
| 47. | 2023. 10. 31. | $469.44 | 2.28% | 4,193.80 | -2.20% | |
| 48. | 2023. 11. 30. | $543.23 | 15.72% | 4,567.80 | 8.92% | |
| 49. | 2023. 12. 31. | $514.91 | -5.21% | 4,769.83 | 4.42% | |
| 50. | 2024. 1. 31. | $533.35 | 3.58% | 4,845.65 | 1.59% | |
| 51. | 2024. 2. 29. | $573.73 | 7.57% | 5,096.27 | 5.17% | |
| 52. | 2024. 3. 31. | $571.50 | -0.39% | 5,254.35 | 3.10% | |
| 53. | 2024. 4. 30. | $530.59 | -7.16% | 5,035.69 | -4.16% | |
| 54. | 2024. 5. 31. | $560.80 | 5.69% | 5,277.51 | 4.80% | |
| 55. | 2024. 6. 30. | $595.06 | 6.11% | 5,460.48 | 3.47% | |
| 56. | 2024. 7. 31. | $558.32 | -6.17% | 5,522.30 | 1.13% | |
| 57. | 2024. 8. 31. | $519.58 | -6.94% | 5,648.40 | 2.28% | |
| 58. | 2024. 9. 30. | $506.39 | -2.54% | 5,762.48 | 2.02% | |
| 59. | 2024. 10. 31. | $513.61 | 1.43% | 5,705.45 | -0.99% | |
| 60. | 2024. 11. 30. | $558.49 | 8.74% | 6,032.38 | 5.73% | |
| 61. | 2024. 12. 31. | $485.36 | -13.09% | 5,881.63 | -2.50% | |
| 62. | 2025. 1. 31. | $525.48 | 8.27% | 6,040.53 | 2.70% | |
| 63. | 2025. 2. 28. | $457.28 | -12.98% | 5,954.50 | -1.42% | |
| 64. | 2025. 3. 31. | $428.85 | -6.22% | 5,611.85 | -5.75% | |
| 65. | 2025. 4. 30. | $459.01 | 7.03% | 5,569.06 | -0.76% | |
| 66. | 2025. 5. 31. | $463.98 | 1.08% | 5,911.69 | 6.15% | |
| 67. | 2025. 6. 30. | $512.68 | 10.50% | 6,204.95 | 4.96% | |
| 68. | 2025. 7. 31. | $633.47 | 23.56% | 6,339.39 | 2.17% | |
| 69. | 2025. 8. 31. | $603.52 | -4.73% | 6,460.26 | 1.91% | |
| 70. | 2025. 9. 30. | $493.39 | -18.25% | 6,688.46 | 3.53% | |
| 71. | 2025. 10. 31. | $453.82 | -8.02% | 6,840.20 | 2.27% | |
| 평균의 (R): | 2.08% | 1.22% | ||||
| 표준 편차: | 9.35% | 4.97% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 SNPS의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Synopsys Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RSNPS,t | RS&P 500,t | (RSNPS,t–RSNPS)2 | (RS&P 500,t–RS&P 500)2 | (RSNPS,t–RSNPS)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 12. 31. | -1.30% | 2.86% | 11.46 | 2.67 | -5.53 |
| 2. | 2020. 1. 31. | 5.97% | -0.16% | 15.13 | 1.93 | -5.40 |
| 3. | 2020. 2. 29. | -6.49% | -8.41% | 73.52 | 92.85 | 82.62 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 9. 30. | -18.25% | 3.53% | 413.23 | 5.32 | -46.91 |
| 71. | 2025. 10. 31. | -8.02% | 2.27% | 102.01 | 1.09 | -10.54 |
| 합계 (Σ): | 6,121.14 | 1,731.31 | 1,898.45 | |||
| t | 날짜 | RSNPS,t | RS&P 500,t | (RSNPS,t–RSNPS)2 | (RS&P 500,t–RS&P 500)2 | (RSNPS,t–RSNPS)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 12. 31. | -1.30% | 2.86% | 11.46 | 2.67 | -5.53 |
| 2. | 2020. 1. 31. | 5.97% | -0.16% | 15.13 | 1.93 | -5.40 |
| 3. | 2020. 2. 29. | -6.49% | -8.41% | 73.52 | 92.85 | 82.62 |
| 4. | 2020. 3. 31. | -6.63% | -12.51% | 75.81 | 188.70 | 119.60 |
| 5. | 2020. 4. 30. | 22.00% | 12.68% | 396.68 | 131.32 | 228.24 |
| 6. | 2020. 5. 31. | 15.14% | 4.53% | 170.59 | 10.91 | 43.15 |
| 7. | 2020. 6. 30. | 7.79% | 1.84% | 32.58 | 0.38 | 3.51 |
| 8. | 2020. 7. 31. | 2.16% | 5.51% | 0.01 | 18.36 | 0.36 |
| 9. | 2020. 8. 31. | 11.08% | 7.01% | 81.06 | 33.43 | 52.05 |
| 10. | 2020. 9. 30. | -3.31% | -3.92% | 29.03 | 26.50 | 27.73 |
| 11. | 2020. 10. 31. | -0.06% | -2.77% | 4.56 | 15.93 | 8.53 |
| 12. | 2020. 11. 30. | 6.38% | 10.75% | 18.47 | 90.82 | 40.96 |
| 13. | 2020. 12. 31. | 13.95% | 3.71% | 140.93 | 6.19 | 29.53 |
| 14. | 2021. 1. 31. | -1.46% | -1.11% | 12.55 | 5.47 | 8.28 |
| 15. | 2021. 2. 28. | -4.01% | 2.61% | 37.07 | 1.92 | -8.43 |
| 16. | 2021. 3. 31. | 1.05% | 4.24% | 1.07 | 9.11 | -3.12 |
| 17. | 2021. 4. 30. | -0.29% | 5.24% | 5.62 | 16.14 | -9.52 |
| 18. | 2021. 5. 31. | 2.95% | 0.55% | 0.75 | 0.46 | -0.59 |
| 19. | 2021. 6. 30. | 8.43% | 2.22% | 40.37 | 0.99 | 6.33 |
| 20. | 2021. 7. 31. | 4.42% | 2.27% | 5.49 | 1.10 | 2.46 |
| 21. | 2021. 8. 31. | 15.37% | 2.90% | 176.49 | 2.80 | 22.24 |
| 22. | 2021. 9. 30. | -9.88% | -4.76% | 143.08 | 35.78 | 71.55 |
| 23. | 2021. 10. 31. | 11.28% | 6.91% | 84.62 | 32.37 | 52.34 |
| 24. | 2021. 11. 30. | 2.35% | -0.83% | 0.07 | 4.24 | -0.55 |
| 25. | 2021. 12. 31. | 8.06% | 4.36% | 35.81 | 9.84 | 18.77 |
| 26. | 2022. 1. 31. | -15.74% | -5.26% | 317.54 | 42.03 | 115.53 |
| 27. | 2022. 2. 28. | 0.61% | -3.14% | 2.17 | 19.02 | 6.42 |
| 28. | 2022. 3. 31. | 6.68% | 3.58% | 21.20 | 5.53 | 10.83 |
| 29. | 2022. 4. 30. | -13.95% | -8.80% | 256.86 | 100.41 | 160.60 |
| 30. | 2022. 5. 31. | 11.30% | 0.01% | 85.02 | 1.49 | -11.24 |
| 31. | 2022. 6. 30. | -4.86% | -8.39% | 48.11 | 92.48 | 66.70 |
| 32. | 2022. 7. 31. | 21.01% | 9.11% | 358.25 | 62.20 | 149.28 |
| 33. | 2022. 8. 31. | -5.84% | -4.24% | 62.81 | 29.91 | 43.34 |
| 34. | 2022. 9. 30. | -11.71% | -9.34% | 190.10 | 111.61 | 145.66 |
| 35. | 2022. 10. 31. | -4.24% | 7.99% | 39.97 | 45.72 | -42.75 |
| 36. | 2022. 11. 30. | 16.06% | 5.38% | 195.50 | 17.23 | 58.03 |
| 37. | 2022. 12. 31. | -5.96% | -5.90% | 64.71 | 50.72 | 57.29 |
| 38. | 2023. 1. 31. | 10.79% | 6.18% | 75.91 | 24.51 | 43.13 |
| 39. | 2023. 2. 28. | 2.83% | -2.61% | 0.56 | 14.72 | -2.88 |
| 40. | 2023. 3. 31. | 6.18% | 3.51% | 16.83 | 5.20 | 9.36 |
| 41. | 2023. 4. 30. | -3.87% | 1.46% | 35.35 | 0.06 | -1.42 |
| 42. | 2023. 5. 31. | 22.53% | 0.25% | 417.99 | 0.95 | -19.97 |
| 43. | 2023. 6. 30. | -4.30% | 4.71% | 40.67 | 12.17 | -22.25 |
| 44. | 2023. 7. 31. | 3.76% | 4.85% | 2.84 | 13.11 | 6.10 |
| 45. | 2023. 8. 31. | 1.57% | -1.77% | 0.26 | 8.98 | 1.53 |
| 46. | 2023. 9. 30. | 0.02% | -4.87% | 4.25 | 37.17 | 12.58 |
| 47. | 2023. 10. 31. | 2.28% | -2.20% | 0.04 | 11.72 | -0.69 |
| 48. | 2023. 11. 30. | 15.72% | 8.92% | 186.01 | 59.18 | 104.92 |
| 49. | 2023. 12. 31. | -5.21% | 4.42% | 53.19 | 10.23 | -23.33 |
| 50. | 2024. 1. 31. | 3.58% | 1.59% | 2.25 | 0.13 | 0.55 |
| 51. | 2024. 2. 29. | 7.57% | 5.17% | 30.15 | 15.58 | 21.67 |
| 52. | 2024. 3. 31. | -0.39% | 3.10% | 6.10 | 3.52 | -4.63 |
| 53. | 2024. 4. 30. | -7.16% | -4.16% | 85.35 | 29.01 | 49.76 |
| 54. | 2024. 5. 31. | 5.69% | 4.80% | 13.06 | 12.80 | 12.93 |
| 55. | 2024. 6. 30. | 6.11% | 3.47% | 16.23 | 5.03 | 9.03 |
| 56. | 2024. 7. 31. | -6.17% | 1.13% | 68.13 | 0.01 | 0.76 |
| 57. | 2024. 8. 31. | -6.94% | 2.28% | 81.34 | 1.12 | -9.55 |
| 58. | 2024. 9. 30. | -2.54% | 2.02% | 21.33 | 0.63 | -3.67 |
| 59. | 2024. 10. 31. | 1.43% | -0.99% | 0.43 | 4.90 | 1.45 |
| 60. | 2024. 11. 30. | 8.74% | 5.73% | 44.33 | 20.30 | 30.00 |
| 61. | 2024. 12. 31. | -13.09% | -2.50% | 230.26 | 13.87 | 56.51 |
| 62. | 2025. 1. 31. | 8.27% | 2.70% | 38.27 | 2.18 | 9.14 |
| 63. | 2025. 2. 28. | -12.98% | -1.42% | 226.77 | 7.02 | 39.89 |
| 64. | 2025. 3. 31. | -6.22% | -5.75% | 68.85 | 48.71 | 57.91 |
| 65. | 2025. 4. 30. | 7.03% | -0.76% | 24.53 | 3.95 | -9.84 |
| 66. | 2025. 5. 31. | 1.08% | 6.15% | 0.99 | 24.28 | -4.91 |
| 67. | 2025. 6. 30. | 10.50% | 4.96% | 70.83 | 13.96 | 31.44 |
| 68. | 2025. 7. 31. | 23.56% | 2.17% | 461.41 | 0.89 | 20.23 |
| 69. | 2025. 8. 31. | -4.73% | 1.91% | 46.35 | 0.46 | -4.64 |
| 70. | 2025. 9. 30. | -18.25% | 3.53% | 413.23 | 5.32 | -46.91 |
| 71. | 2025. 10. 31. | -8.02% | 2.27% | 102.01 | 1.09 | -10.54 |
| 합계 (Σ): | 6,121.14 | 1,731.31 | 1,898.45 | |||
모두 보기
분산SNPS = Σ(RSNPS,t–RSNPS)2 ÷ (71 – 1)
= 6,121.14 ÷ (71 – 1)
= 87.44
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,731.31 ÷ (71 – 1)
= 24.73
공분산SNPS, S&P 500 = Σ(RSNPS,t–RSNPS)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,898.45 ÷ (71 – 1)
= 27.12
체계적인 위험 추정 (β)
| 분산SNPS | 87.44 |
| 분산S&P 500 | 24.73 |
| 공분산SNPS, S&P 500 | 27.12 |
| 상관 계수SNPS, S&P 5001 | 0.58 |
| βSNPS2 | 1.10 |
| αSNPS3 | 0.74% |
계산
1 상관 계수SNPS, S&P 500
= 공분산SNPS, S&P 500 ÷ (표준 편차SNPS × 표준 편차S&P 500)
= 27.12 ÷ (9.35% × 4.97%)
= 0.58
2 βSNPS
= 공분산SNPS, S&P 500 ÷ 분산S&P 500
= 27.12 ÷ 24.73
= 1.10
3 αSNPS
= 평균의SNPS – βSNPS × 평균의S&P 500
= 2.08% – 1.10 × 1.22%
= 0.74%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.60% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.88% |
| 보통주의 체계적 위험Synopsys | βSNPS | 1.10 |
| Synopsys 보통주에 대한 예상 수익률3 | E(RSNPS) | 15.87% |
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(RSNPS) = RF + βSNPS [E(RM) – RF]
= 4.60% + 1.10 [14.88% – 4.60%]
= 15.87%