Stock Analysis on Net

T-Mobile US Inc. (NASDAQ:TMUS)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

자본 자산 가격 책정 모델(CAPM)은 T-Mobile보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.


수익률

T-Mobile US Inc., 월별 수익률

Microsoft Excel
T-Mobile US Inc. (TMUS) Standard & Poor’s 500 (S&P 500)
t 날짜 TMUS,t1 피제수TMUS,t1 RTMUS,t2 S&P 500,t RS&P 500,t3
2020. 1. 31. $79.19 3,225.52
1. 2020. 2. 29. $90.16 13.85% 2,954.22 -8.41%
2. 2020. 3. 31. $83.90 -6.94% 2,584.59 -12.51%
3. 2020. 4. 30. $87.80 4.65% 2,912.43 12.68%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2024. 11. 30. $246.94 $0.88 11.05% 6,032.38 5.73%
59. 2024. 12. 31. $220.73 -10.61% 5,881.63 -2.50%
평균의 (R): 1.99% 1.16%
표준 편차: 6.59% 5.28%
T-Mobile US Inc. (TMUS) Standard & Poor’s 500 (S&P 500)
t 날짜 TMUS,t1 피제수TMUS,t1 RTMUS,t2 S&P 500,t RS&P 500,t3
2020. 1. 31. $79.19 3,225.52
1. 2020. 2. 29. $90.16 13.85% 2,954.22 -8.41%
2. 2020. 3. 31. $83.90 -6.94% 2,584.59 -12.51%
3. 2020. 4. 30. $87.80 4.65% 2,912.43 12.68%
4. 2020. 5. 31. $100.04 13.94% 3,044.31 4.53%
5. 2020. 6. 30. $104.15 4.11% 3,100.29 1.84%
6. 2020. 7. 31. $107.38 3.10% 3,271.12 5.51%
7. 2020. 8. 31. $116.68 8.66% 3,500.31 7.01%
8. 2020. 9. 30. $114.36 -1.99% 3,363.00 -3.92%
9. 2020. 10. 31. $109.57 -4.19% 3,269.96 -2.77%
10. 2020. 11. 30. $132.94 21.33% 3,621.63 10.75%
11. 2020. 12. 31. $134.85 1.44% 3,756.07 3.71%
12. 2021. 1. 31. $126.08 -6.50% 3,714.24 -1.11%
13. 2021. 2. 28. $119.97 -4.85% 3,811.15 2.61%
14. 2021. 3. 31. $125.29 4.43% 3,972.89 4.24%
15. 2021. 4. 30. $132.13 5.46% 4,181.17 5.24%
16. 2021. 5. 31. $141.45 7.05% 4,204.11 0.55%
17. 2021. 6. 30. $144.83 2.39% 4,297.50 2.22%
18. 2021. 7. 31. $144.02 -0.56% 4,395.26 2.27%
19. 2021. 8. 31. $137.02 -4.86% 4,522.68 2.90%
20. 2021. 9. 30. $127.76 -6.76% 4,307.54 -4.76%
21. 2021. 10. 31. $115.03 -9.96% 4,605.38 6.91%
22. 2021. 11. 30. $108.81 -5.41% 4,567.00 -0.83%
23. 2021. 12. 31. $115.98 6.59% 4,766.18 4.36%
24. 2022. 1. 31. $108.17 -6.73% 4,515.55 -5.26%
25. 2022. 2. 28. $123.21 13.90% 4,373.94 -3.14%
26. 2022. 3. 31. $128.35 4.17% 4,530.41 3.58%
27. 2022. 4. 30. $123.14 -4.06% 4,131.93 -8.80%
28. 2022. 5. 31. $133.29 8.24% 4,132.15 0.01%
29. 2022. 6. 30. $134.54 0.94% 3,785.38 -8.39%
30. 2022. 7. 31. $143.06 6.33% 4,130.29 9.11%
31. 2022. 8. 31. $143.96 0.63% 3,955.00 -4.24%
32. 2022. 9. 30. $134.17 -6.80% 3,585.62 -9.34%
33. 2022. 10. 31. $151.56 12.96% 3,871.98 7.99%
34. 2022. 11. 30. $151.46 -0.07% 4,080.11 5.38%
35. 2022. 12. 31. $140.00 -7.57% 3,839.50 -5.90%
36. 2023. 1. 31. $149.31 6.65% 4,076.60 6.18%
37. 2023. 2. 28. $142.18 -4.78% 3,970.15 -2.61%
38. 2023. 3. 31. $144.84 1.87% 4,109.31 3.51%
39. 2023. 4. 30. $143.90 -0.65% 4,169.48 1.46%
40. 2023. 5. 31. $137.25 -4.62% 4,179.83 0.25%
41. 2023. 6. 30. $138.90 1.20% 4,376.86 4.71%
42. 2023. 7. 31. $137.77 -0.81% 4,588.96 4.85%
43. 2023. 8. 31. $136.25 -1.10% 4,507.66 -1.77%
44. 2023. 9. 30. $140.05 2.79% 4,288.05 -4.87%
45. 2023. 10. 31. $143.86 2.72% 4,193.80 -2.20%
46. 2023. 11. 30. $150.45 $0.65 5.03% 4,567.80 8.92%
47. 2023. 12. 31. $160.33 6.57% 4,769.83 4.42%
48. 2024. 1. 31. $161.23 0.56% 4,845.65 1.59%
49. 2024. 2. 29. $163.30 $0.65 1.69% 5,096.27 5.17%
50. 2024. 3. 31. $163.22 -0.05% 5,254.35 3.10%
51. 2024. 4. 30. $164.17 0.58% 5,035.69 -4.16%
52. 2024. 5. 31. $174.96 $0.65 6.97% 5,277.51 4.80%
53. 2024. 6. 30. $176.18 0.70% 5,460.48 3.47%
54. 2024. 7. 31. $182.28 3.46% 5,522.30 1.13%
55. 2024. 8. 31. $198.72 $0.65 9.38% 5,648.40 2.28%
56. 2024. 9. 30. $206.36 3.84% 5,762.48 2.02%
57. 2024. 10. 31. $223.16 8.14% 5,705.45 -0.99%
58. 2024. 11. 30. $246.94 $0.88 11.05% 6,032.38 5.73%
59. 2024. 12. 31. $220.73 -10.61% 5,881.63 -2.50%
평균의 (R): 1.99% 1.16%
표준 편차: 6.59% 5.28%

모두 보기

1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.

2 기간 t 동안 TMUS의 보통주 수익률.

3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.


분산과 공분산

T-Mobile US Inc., 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RTMUS,t RS&P 500,t (RTMUS,tRTMUS)2 (RS&P 500,tRS&P 500)2 (RTMUS,tRTMUS)×(RS&P 500,tRS&P 500)
1. 2020. 2. 29. 13.85% -8.41% 140.68 91.63 -113.54
2. 2020. 3. 31. -6.94% -12.51% 79.83 186.96 122.17
3. 2020. 4. 30. 4.65% 12.68% 7.06 132.78 30.61
. . . . . . .
. . . . . . .
. . . . . . .
58. 2024. 11. 30. 11.05% 5.73% 82.06 20.87 41.39
59. 2024. 12. 31. -10.61% -2.50% 158.90 13.40 46.14
합계 (Σ): 2,515.13 1,618.62 902.53
t 날짜 RTMUS,t RS&P 500,t (RTMUS,tRTMUS)2 (RS&P 500,tRS&P 500)2 (RTMUS,tRTMUS)×(RS&P 500,tRS&P 500)
1. 2020. 2. 29. 13.85% -8.41% 140.68 91.63 -113.54
2. 2020. 3. 31. -6.94% -12.51% 79.83 186.96 122.17
3. 2020. 4. 30. 4.65% 12.68% 7.06 132.78 30.61
4. 2020. 5. 31. 13.94% 4.53% 142.78 11.34 40.23
5. 2020. 6. 30. 4.11% 1.84% 4.48 0.46 1.43
6. 2020. 7. 31. 3.10% 5.51% 1.23 18.91 4.83
7. 2020. 8. 31. 8.66% 7.01% 44.48 34.17 38.98
8. 2020. 9. 30. -1.99% -3.92% 15.84 25.85 20.24
9. 2020. 10. 31. -4.19% -2.77% 38.20 15.43 24.28
10. 2020. 11. 30. 21.33% 10.75% 373.92 92.03 185.51
11. 2020. 12. 31. 1.44% 3.71% 0.31 6.51 -1.42
12. 2021. 1. 31. -6.50% -1.11% 72.17 5.18 19.33
13. 2021. 2. 28. -4.85% 2.61% 46.76 2.10 -9.90
14. 2021. 3. 31. 4.43% 4.24% 5.97 9.50 7.53
15. 2021. 4. 30. 5.46% 5.24% 12.02 16.66 14.15
16. 2021. 5. 31. 7.05% 0.55% 25.62 0.38 -3.10
17. 2021. 6. 30. 2.39% 2.22% 0.16 1.12 0.42
18. 2021. 7. 31. -0.56% 2.27% 6.51 1.24 -2.84
19. 2021. 8. 31. -4.86% 2.90% 46.95 3.02 -11.91
20. 2021. 9. 30. -6.76% -4.76% 76.56 35.02 51.78
21. 2021. 10. 31. -9.96% 6.91% 142.94 33.10 -68.78
22. 2021. 11. 30. -5.41% -0.83% 54.75 3.98 14.76
23. 2021. 12. 31. 6.59% 4.36% 21.14 10.24 14.71
24. 2022. 1. 31. -6.73% -5.26% 76.14 41.21 56.02
25. 2022. 2. 28. 13.90% -3.14% 141.90 18.47 -51.19
26. 2022. 3. 31. 4.17% 3.58% 4.75 5.84 5.27
27. 2022. 4. 30. -4.06% -8.80% 36.61 99.14 60.25
28. 2022. 5. 31. 8.24% 0.01% 39.07 1.34 -7.23
29. 2022. 6. 30. 0.94% -8.39% 1.11 91.26 10.07
30. 2022. 7. 31. 6.33% 9.11% 18.84 63.21 34.51
31. 2022. 8. 31. 0.63% -4.24% 1.86 29.22 7.37
32. 2022. 9. 30. -6.80% -9.34% 77.30 110.27 92.33
33. 2022. 10. 31. 12.96% 7.99% 120.33 46.58 74.87
34. 2022. 11. 30. -0.07% 5.38% 4.23 17.76 -8.67
35. 2022. 12. 31. -7.57% -5.90% 91.36 49.82 67.47
36. 2023. 1. 31. 6.65% 6.18% 21.70 25.14 23.36
37. 2023. 2. 28. -4.78% -2.61% 45.79 14.23 25.53
38. 2023. 3. 31. 1.87% 3.51% 0.01 5.49 -0.28
39. 2023. 4. 30. -0.65% 1.46% 6.97 0.09 -0.80
40. 2023. 5. 31. -4.62% 0.25% 43.73 0.83 6.04
41. 2023. 6. 30. 1.20% 4.71% 0.62 12.62 -2.81
42. 2023. 7. 31. -0.81% 4.85% 7.87 13.58 -10.34
43. 2023. 8. 31. -1.10% -1.77% 9.58 8.60 9.08
44. 2023. 9. 30. 2.79% -4.87% 0.64 36.40 -4.81
45. 2023. 10. 31. 2.72% -2.20% 0.53 11.28 -2.45
46. 2023. 11. 30. 5.03% 8.92% 9.25 60.17 23.59
47. 2023. 12. 31. 6.57% 4.42% 20.93 10.64 14.92
48. 2024. 1. 31. 0.56% 1.59% 2.05 0.18 -0.61
49. 2024. 2. 29. 1.69% 5.17% 0.09 16.09 -1.22
50. 2024. 3. 31. -0.05% 3.10% 4.16 3.77 -3.96
51. 2024. 4. 30. 0.58% -4.16% 1.99 28.33 7.50
52. 2024. 5. 31. 6.97% 4.80% 24.77 13.26 18.12
53. 2024. 6. 30. 0.70% 3.47% 1.68 5.32 -2.98
54. 2024. 7. 31. 3.46% 1.13% 2.16 0.00 -0.04
55. 2024. 8. 31. 9.38% 2.28% 54.52 1.26 8.29
56. 2024. 9. 30. 3.84% 2.02% 3.43 0.74 1.59
57. 2024. 10. 31. 8.14% -0.99% 37.81 4.63 -13.23
58. 2024. 11. 30. 11.05% 5.73% 82.06 20.87 41.39
59. 2024. 12. 31. -10.61% -2.50% 158.90 13.40 46.14
합계 (Σ): 2,515.13 1,618.62 902.53

모두 보기

분산TMUS = Σ(RTMUS,tRTMUS)2 ÷ (59 – 1)
= 2,515.13 ÷ (59 – 1)
= 43.36

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91

공분산TMUS, S&P 500 = Σ(RTMUS,tRTMUS)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 902.53 ÷ (59 – 1)
= 15.56


체계적인 위험 추정 (β)

Microsoft Excel
분산TMUS 43.36
분산S&P 500 27.91
공분산TMUS, S&P 500 15.56
상관 계수TMUS, S&P 5001 0.45
βTMUS2 0.56
αTMUS3 1.34%

계산

1 상관 계수TMUS, S&P 500
= 공분산TMUS, S&P 500 ÷ (표준 편차TMUS × 표준 편차S&P 500)
= 15.56 ÷ (6.59% × 5.28%)
= 0.45

2 βTMUS
= 공분산TMUS, S&P 500 ÷ 분산S&P 500
= 15.56 ÷ 27.91
= 0.56

3 αTMUS
= 평균의TMUS – βTMUS × 평균의S&P 500
= 1.99%0.56 × 1.16%
= 1.34%


기대 수익률

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.74%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 14.42%
보통주의 체계적 위험T-Mobile βTMUS 0.56
 
T-Mobile 보통주의 예상 수익률3 E(RTMUS) 10.14%

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(RTMUS) = RF + βTMUS [E(RM) – RF]
= 4.74% + 0.56 [14.42%4.74%]
= 10.14%