Stock Analysis on Net

lululemon athletica inc. (NASDAQ:LULU)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

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


수익률

lululemon athletica inc., 월별 수익률

Microsoft Excel
lululemon athletica inc. (LULU) Standard & Poor’s 500 (S&P 500)
t 날짜 LULU,t1 피제수LULU,t1 RLULU,t2 S&P 500,t RS&P 500,t3
2019. 2. 28. $150.42 2,784.49
1. 2019. 3. 31. $163.87 8.94% 2,834.40 1.79%
2. 2019. 4. 30. $176.35 7.62% 2,945.83 3.93%
3. 2019. 5. 31. $165.59 -6.10% 2,752.06 -6.58%
. . . . . . .
. . . . . . .
. . . . . . .
70. 2024. 12. 31. $382.41 19.26% 5,881.63 -2.50%
71. 2025. 1. 31. $414.20 8.31% 6,040.53 2.70%
평균의 (R): 1.98% 1.22%
표준 편차: 10.65% 4.99%
lululemon athletica inc. (LULU) Standard & Poor’s 500 (S&P 500)
t 날짜 LULU,t1 피제수LULU,t1 RLULU,t2 S&P 500,t RS&P 500,t3
2019. 2. 28. $150.42 2,784.49
1. 2019. 3. 31. $163.87 8.94% 2,834.40 1.79%
2. 2019. 4. 30. $176.35 7.62% 2,945.83 3.93%
3. 2019. 5. 31. $165.59 -6.10% 2,752.06 -6.58%
4. 2019. 6. 30. $180.21 8.83% 2,941.76 6.89%
5. 2019. 7. 31. $191.09 6.04% 2,980.38 1.31%
6. 2019. 8. 31. $184.67 -3.36% 2,926.46 -1.81%
7. 2019. 9. 30. $192.53 4.26% 2,976.74 1.72%
8. 2019. 10. 31. $204.27 6.10% 3,037.56 2.04%
9. 2019. 11. 30. $225.69 10.49% 3,140.98 3.40%
10. 2019. 12. 31. $231.67 2.65% 3,230.78 2.86%
11. 2020. 1. 31. $239.39 3.33% 3,225.52 -0.16%
12. 2020. 2. 29. $217.41 -9.18% 2,954.22 -8.41%
13. 2020. 3. 31. $189.55 -12.81% 2,584.59 -12.51%
14. 2020. 4. 30. $223.48 17.90% 2,912.43 12.68%
15. 2020. 5. 31. $300.10 34.28% 3,044.31 4.53%
16. 2020. 6. 30. $312.01 3.97% 3,100.29 1.84%
17. 2020. 7. 31. $325.59 4.35% 3,271.12 5.51%
18. 2020. 8. 31. $375.67 15.38% 3,500.31 7.01%
19. 2020. 9. 30. $329.37 -12.32% 3,363.00 -3.92%
20. 2020. 10. 31. $319.29 -3.06% 3,269.96 -2.77%
21. 2020. 11. 30. $370.22 15.95% 3,621.63 10.75%
22. 2020. 12. 31. $348.03 -5.99% 3,756.07 3.71%
23. 2021. 1. 31. $328.68 -5.56% 3,714.24 -1.11%
24. 2021. 2. 28. $311.68 -5.17% 3,811.15 2.61%
25. 2021. 3. 31. $306.71 -1.59% 3,972.89 4.24%
26. 2021. 4. 30. $335.27 9.31% 4,181.17 5.24%
27. 2021. 5. 31. $323.13 -3.62% 4,204.11 0.55%
28. 2021. 6. 30. $364.97 12.95% 4,297.50 2.22%
29. 2021. 7. 31. $400.17 9.64% 4,395.26 2.27%
30. 2021. 8. 31. $400.17 0.00% 4,522.68 2.90%
31. 2021. 9. 30. $404.70 1.13% 4,307.54 -4.76%
32. 2021. 10. 31. $466.01 15.15% 4,605.38 6.91%
33. 2021. 11. 30. $454.41 -2.49% 4,567.00 -0.83%
34. 2021. 12. 31. $391.45 -13.86% 4,766.18 4.36%
35. 2022. 1. 31. $333.76 -14.74% 4,515.55 -5.26%
36. 2022. 2. 28. $319.94 -4.14% 4,373.94 -3.14%
37. 2022. 3. 31. $365.23 14.16% 4,530.41 3.58%
38. 2022. 4. 30. $354.63 -2.90% 4,131.93 -8.80%
39. 2022. 5. 31. $292.69 -17.47% 4,132.15 0.01%
40. 2022. 6. 30. $272.61 -6.86% 3,785.38 -8.39%
41. 2022. 7. 31. $310.51 13.90% 4,130.29 9.11%
42. 2022. 8. 31. $299.96 -3.40% 3,955.00 -4.24%
43. 2022. 9. 30. $279.56 -6.80% 3,585.62 -9.34%
44. 2022. 10. 31. $329.04 17.70% 3,871.98 7.99%
45. 2022. 11. 30. $380.31 15.58% 4,080.11 5.38%
46. 2022. 12. 31. $320.38 -15.76% 3,839.50 -5.90%
47. 2023. 1. 31. $306.88 -4.21% 4,076.60 6.18%
48. 2023. 2. 28. $309.20 0.76% 3,970.15 -2.61%
49. 2023. 3. 31. $364.19 17.78% 4,109.31 3.51%
50. 2023. 4. 30. $379.93 4.32% 4,169.48 1.46%
51. 2023. 5. 31. $331.93 -12.63% 4,179.83 0.25%
52. 2023. 6. 30. $378.50 14.03% 4,376.86 4.71%
53. 2023. 7. 31. $378.53 0.01% 4,588.96 4.85%
54. 2023. 8. 31. $381.26 0.72% 4,507.66 -1.77%
55. 2023. 9. 30. $385.61 1.14% 4,288.05 -4.87%
56. 2023. 10. 31. $393.48 2.04% 4,193.80 -2.20%
57. 2023. 11. 30. $446.80 13.55% 4,567.80 8.92%
58. 2023. 12. 31. $511.29 14.43% 4,769.83 4.42%
59. 2024. 1. 31. $453.82 -11.24% 4,845.65 1.59%
60. 2024. 2. 29. $467.09 2.92% 5,096.27 5.17%
61. 2024. 3. 31. $390.65 -16.37% 5,254.35 3.10%
62. 2024. 4. 30. $360.60 -7.69% 5,035.69 -4.16%
63. 2024. 5. 31. $311.99 -13.48% 5,277.51 4.80%
64. 2024. 6. 30. $298.70 -4.26% 5,460.48 3.47%
65. 2024. 7. 31. $258.66 -13.40% 5,522.30 1.13%
66. 2024. 8. 31. $259.47 0.31% 5,648.40 2.28%
67. 2024. 9. 30. $271.35 4.58% 5,762.48 2.02%
68. 2024. 10. 31. $297.90 9.78% 5,705.45 -0.99%
69. 2024. 11. 30. $320.66 7.64% 6,032.38 5.73%
70. 2024. 12. 31. $382.41 19.26% 5,881.63 -2.50%
71. 2025. 1. 31. $414.20 8.31% 6,040.53 2.70%
평균의 (R): 1.98% 1.22%
표준 편차: 10.65% 4.99%

모두 보기

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

2 기간 t 동안 LULU의 보통주 수익률.

3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.


분산과 공분산

lululemon athletica inc., 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RLULU,t RS&P 500,t (RLULU,tRLULU)2 (RS&P 500,tRS&P 500)2 (RLULU,tRLULU)×(RS&P 500,tRS&P 500)
1. 2019. 3. 31. 8.94% 1.79% 48.44 0.33 3.98
2. 2019. 4. 30. 7.62% 3.93% 31.74 7.35 15.27
3. 2019. 5. 31. -6.10% -6.58% 65.34 60.81 63.03
. . . . . . .
. . . . . . .
. . . . . . .
70. 2024. 12. 31. 19.26% -2.50% 298.43 13.83 -64.25
71. 2025. 1. 31. 8.31% 2.70% 40.08 2.20 9.38
합계 (Σ): 7,937.26 1,741.16 2,067.35
t 날짜 RLULU,t RS&P 500,t (RLULU,tRLULU)2 (RS&P 500,tRS&P 500)2 (RLULU,tRLULU)×(RS&P 500,tRS&P 500)
1. 2019. 3. 31. 8.94% 1.79% 48.44 0.33 3.98
2. 2019. 4. 30. 7.62% 3.93% 31.74 7.35 15.27
3. 2019. 5. 31. -6.10% -6.58% 65.34 60.81 63.03
4. 2019. 6. 30. 8.83% 6.89% 46.88 32.18 38.84
5. 2019. 7. 31. 6.04% 1.31% 16.45 0.01 0.38
6. 2019. 8. 31. -3.36% -1.81% 28.53 9.18 16.18
7. 2019. 9. 30. 4.26% 1.72% 5.17 0.25 1.13
8. 2019. 10. 31. 6.10% 2.04% 16.94 0.68 3.39
9. 2019. 11. 30. 10.49% 3.40% 72.32 4.77 18.58
10. 2019. 12. 31. 2.65% 2.86% 0.45 2.69 1.09
11. 2020. 1. 31. 3.33% -0.16% 1.82 1.91 -1.87
12. 2020. 2. 29. -9.18% -8.41% 124.63 92.76 107.52
13. 2020. 3. 31. -12.81% -12.51% 218.94 188.57 203.19
14. 2020. 4. 30. 17.90% 12.68% 253.39 131.43 182.49
15. 2020. 5. 31. 34.28% 4.53% 1,043.48 10.94 106.86
16. 2020. 6. 30. 3.97% 1.84% 3.95 0.38 1.23
17. 2020. 7. 31. 4.35% 5.51% 5.62 18.41 10.17
18. 2020. 8. 31. 15.38% 7.01% 179.54 33.48 77.53
19. 2020. 9. 30. -12.32% -3.92% 204.68 26.45 73.58
20. 2020. 10. 31. -3.06% -2.77% 25.43 15.89 20.10
21. 2020. 11. 30. 15.95% 10.75% 195.13 90.91 133.19
22. 2020. 12. 31. -5.99% 3.71% 63.61 6.21 -19.88
23. 2021. 1. 31. -5.56% -1.11% 56.88 5.45 17.60
24. 2021. 2. 28. -5.17% 2.61% 51.18 1.93 -9.94
25. 2021. 3. 31. -1.59% 4.24% 12.79 9.14 -10.82
26. 2021. 4. 30. 9.31% 5.24% 53.72 16.18 29.48
27. 2021. 5. 31. -3.62% 0.55% 31.39 0.45 3.76
28. 2021. 6. 30. 12.95% 2.22% 120.26 1.00 10.98
29. 2021. 7. 31. 9.64% 2.27% 58.71 1.11 8.08
30. 2021. 8. 31. 0.00% 2.90% 3.93 2.82 -3.33
31. 2021. 9. 30. 1.13% -4.76% 0.72 35.72 5.08
32. 2021. 10. 31. 15.15% 6.91% 173.38 32.43 74.98
33. 2021. 11. 30. -2.49% -0.83% 19.99 4.22 9.18
34. 2021. 12. 31. -13.86% 4.36% 250.82 9.87 -49.75
35. 2022. 1. 31. -14.74% -5.26% 279.54 41.97 108.32
36. 2022. 2. 28. -4.14% -3.14% 37.49 18.98 26.67
37. 2022. 3. 31. 14.16% 3.58% 148.20 5.56 28.70
38. 2022. 4. 30. -2.90% -8.80% 23.86 100.31 48.92
39. 2022. 5. 31. -17.47% 0.01% 378.23 1.48 23.62
40. 2022. 6. 30. -6.86% -8.39% 78.19 92.39 84.99
41. 2022. 7. 31. 13.90% 9.11% 142.10 62.28 94.07
42. 2022. 8. 31. -3.40% -4.24% 28.94 29.86 29.39
43. 2022. 9. 30. -6.80% -9.34% 77.14 111.50 92.74
44. 2022. 10. 31. 17.70% 7.99% 247.03 45.78 106.35
45. 2022. 11. 30. 15.58% 5.38% 184.95 17.27 56.51
46. 2022. 12. 31. -15.76% -5.90% 314.72 50.65 126.26
47. 2023. 1. 31. -4.21% 6.18% 38.39 24.55 -30.70
48. 2023. 2. 28. 0.76% -2.61% 1.50 14.68 4.70
49. 2023. 3. 31. 17.78% 3.51% 249.72 5.22 36.11
50. 2023. 4. 30. 4.32% 1.46% 5.47 0.06 0.57
51. 2023. 5. 31. -12.63% 0.25% 213.63 0.94 14.20
52. 2023. 6. 30. 14.03% 4.71% 145.15 12.21 42.09
53. 2023. 7. 31. 0.01% 4.85% 3.90 13.15 -7.16
54. 2023. 8. 31. 0.72% -1.77% 1.59 8.95 3.77
55. 2023. 9. 30. 1.14% -4.87% 0.71 37.11 5.12
56. 2023. 10. 31. 2.04% -2.20% 0.00 11.68 -0.20
57. 2023. 11. 30. 13.55% 8.92% 133.84 59.26 89.06
58. 2023. 12. 31. 14.43% 4.42% 155.04 10.26 39.88
59. 2024. 1. 31. -11.24% 1.59% 174.83 0.14 -4.89
60. 2024. 2. 29. 2.92% 5.17% 0.89 15.62 3.72
61. 2024. 3. 31. -16.37% 3.10% 336.62 3.54 -34.53
62. 2024. 4. 30. -7.69% -4.16% 93.59 28.96 52.06
63. 2024. 5. 31. -13.48% 4.80% 239.09 12.83 -55.39
64. 2024. 6. 30. -4.26% 3.47% 38.96 5.05 -14.03
65. 2024. 7. 31. -13.40% 1.13% 236.75 0.01 1.35
66. 2024. 8. 31. 0.31% 2.28% 2.79 1.13 -1.77
67. 2024. 9. 30. 4.58% 2.02% 6.74 0.64 2.08
68. 2024. 10. 31. 9.78% -0.99% 60.88 4.88 -17.24
69. 2024. 11. 30. 7.64% 5.73% 32.01 20.34 25.52
70. 2024. 12. 31. 19.26% -2.50% 298.43 13.83 -64.25
71. 2025. 1. 31. 8.31% 2.70% 40.08 2.20 9.38
합계 (Σ): 7,937.26 1,741.16 2,067.35

모두 보기

분산LULU = Σ(RLULU,tRLULU)2 ÷ (71 – 1)
= 7,937.26 ÷ (71 – 1)
= 113.39

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,741.16 ÷ (71 – 1)
= 24.87

공분산LULU, S&P 500 = Σ(RLULU,tRLULU)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 2,067.35 ÷ (71 – 1)
= 29.53


체계적인 위험 추정 (β)

Microsoft Excel
분산LULU 113.39
분산S&P 500 24.87
공분산LULU, S&P 500 29.53
상관 계수LULU, S&P 5001 0.56
βLULU2 1.19
αLULU3 0.53%

계산

1 상관 계수LULU, S&P 500
= 공분산LULU, S&P 500 ÷ (표준 편차LULU × 표준 편차S&P 500)
= 29.53 ÷ (10.65% × 4.99%)
= 0.56

2 βLULU
= 공분산LULU, S&P 500 ÷ 분산S&P 500
= 29.53 ÷ 24.87
= 1.19

3 αLULU
= 평균의LULU – βLULU × 평균의S&P 500
= 1.98%1.19 × 1.22%
= 0.53%


기대 수익률

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.91%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 14.84%
보통주의 체계적 위험lululemon βLULU 1.19
 
룰루레몬 보통주 예상 수익률3 E(RLULU) 16.70%

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(RLULU) = RF + βLULU [E(RM) – RF]
= 4.91% + 1.19 [14.84%4.91%]
= 16.70%