자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 lululemon보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
lululemon athletica inc., 월별 수익률
| lululemon athletica inc. (LULU) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값LULU,t1 | 피제수LULU,t1 | RLULU,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 2. 29. | $217.41 | 2,954.22 | ||||
| 1. | 2020. 3. 31. | $189.55 | -12.81% | 2,584.59 | -12.51% | |
| 2. | 2020. 4. 30. | $223.48 | 17.90% | 2,912.43 | 12.68% | |
| 3. | 2020. 5. 31. | $300.10 | 34.28% | 3,044.31 | 4.53% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 12. 31. | $207.81 | 12.83% | 6,845.50 | -0.05% | |
| 71. | 2026. 1. 31. | $174.50 | -16.03% | 6,939.03 | 1.37% | |
| 평균의 (R): | 0.40% | 1.33% | ||||
| 표준 편차: | 12.01% | 4.83% | ||||
| lululemon athletica inc. (LULU) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값LULU,t1 | 피제수LULU,t1 | RLULU,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 2. 29. | $217.41 | 2,954.22 | ||||
| 1. | 2020. 3. 31. | $189.55 | -12.81% | 2,584.59 | -12.51% | |
| 2. | 2020. 4. 30. | $223.48 | 17.90% | 2,912.43 | 12.68% | |
| 3. | 2020. 5. 31. | $300.10 | 34.28% | 3,044.31 | 4.53% | |
| 4. | 2020. 6. 30. | $312.01 | 3.97% | 3,100.29 | 1.84% | |
| 5. | 2020. 7. 31. | $325.59 | 4.35% | 3,271.12 | 5.51% | |
| 6. | 2020. 8. 31. | $375.67 | 15.38% | 3,500.31 | 7.01% | |
| 7. | 2020. 9. 30. | $329.37 | -12.32% | 3,363.00 | -3.92% | |
| 8. | 2020. 10. 31. | $319.29 | -3.06% | 3,269.96 | -2.77% | |
| 9. | 2020. 11. 30. | $370.22 | 15.95% | 3,621.63 | 10.75% | |
| 10. | 2020. 12. 31. | $348.03 | -5.99% | 3,756.07 | 3.71% | |
| 11. | 2021. 1. 31. | $328.68 | -5.56% | 3,714.24 | -1.11% | |
| 12. | 2021. 2. 28. | $311.68 | -5.17% | 3,811.15 | 2.61% | |
| 13. | 2021. 3. 31. | $306.71 | -1.59% | 3,972.89 | 4.24% | |
| 14. | 2021. 4. 30. | $335.27 | 9.31% | 4,181.17 | 5.24% | |
| 15. | 2021. 5. 31. | $323.13 | -3.62% | 4,204.11 | 0.55% | |
| 16. | 2021. 6. 30. | $364.97 | 12.95% | 4,297.50 | 2.22% | |
| 17. | 2021. 7. 31. | $400.17 | 9.64% | 4,395.26 | 2.27% | |
| 18. | 2021. 8. 31. | $400.17 | 0.00% | 4,522.68 | 2.90% | |
| 19. | 2021. 9. 30. | $404.70 | 1.13% | 4,307.54 | -4.76% | |
| 20. | 2021. 10. 31. | $466.01 | 15.15% | 4,605.38 | 6.91% | |
| 21. | 2021. 11. 30. | $454.41 | -2.49% | 4,567.00 | -0.83% | |
| 22. | 2021. 12. 31. | $391.45 | -13.86% | 4,766.18 | 4.36% | |
| 23. | 2022. 1. 31. | $333.76 | -14.74% | 4,515.55 | -5.26% | |
| 24. | 2022. 2. 28. | $319.94 | -4.14% | 4,373.94 | -3.14% | |
| 25. | 2022. 3. 31. | $365.23 | 14.16% | 4,530.41 | 3.58% | |
| 26. | 2022. 4. 30. | $354.63 | -2.90% | 4,131.93 | -8.80% | |
| 27. | 2022. 5. 31. | $292.69 | -17.47% | 4,132.15 | 0.01% | |
| 28. | 2022. 6. 30. | $272.61 | -6.86% | 3,785.38 | -8.39% | |
| 29. | 2022. 7. 31. | $310.51 | 13.90% | 4,130.29 | 9.11% | |
| 30. | 2022. 8. 31. | $299.96 | -3.40% | 3,955.00 | -4.24% | |
| 31. | 2022. 9. 30. | $279.56 | -6.80% | 3,585.62 | -9.34% | |
| 32. | 2022. 10. 31. | $329.04 | 17.70% | 3,871.98 | 7.99% | |
| 33. | 2022. 11. 30. | $380.31 | 15.58% | 4,080.11 | 5.38% | |
| 34. | 2022. 12. 31. | $320.38 | -15.76% | 3,839.50 | -5.90% | |
| 35. | 2023. 1. 31. | $306.88 | -4.21% | 4,076.60 | 6.18% | |
| 36. | 2023. 2. 28. | $309.20 | 0.76% | 3,970.15 | -2.61% | |
| 37. | 2023. 3. 31. | $364.19 | 17.78% | 4,109.31 | 3.51% | |
| 38. | 2023. 4. 30. | $379.93 | 4.32% | 4,169.48 | 1.46% | |
| 39. | 2023. 5. 31. | $331.93 | -12.63% | 4,179.83 | 0.25% | |
| 40. | 2023. 6. 30. | $378.50 | 14.03% | 4,376.86 | 4.71% | |
| 41. | 2023. 7. 31. | $378.53 | 0.01% | 4,588.96 | 4.85% | |
| 42. | 2023. 8. 31. | $381.26 | 0.72% | 4,507.66 | -1.77% | |
| 43. | 2023. 9. 30. | $385.61 | 1.14% | 4,288.05 | -4.87% | |
| 44. | 2023. 10. 31. | $393.48 | 2.04% | 4,193.80 | -2.20% | |
| 45. | 2023. 11. 30. | $446.80 | 13.55% | 4,567.80 | 8.92% | |
| 46. | 2023. 12. 31. | $511.29 | 14.43% | 4,769.83 | 4.42% | |
| 47. | 2024. 1. 31. | $453.82 | -11.24% | 4,845.65 | 1.59% | |
| 48. | 2024. 2. 29. | $467.09 | 2.92% | 5,096.27 | 5.17% | |
| 49. | 2024. 3. 31. | $390.65 | -16.37% | 5,254.35 | 3.10% | |
| 50. | 2024. 4. 30. | $360.60 | -7.69% | 5,035.69 | -4.16% | |
| 51. | 2024. 5. 31. | $311.99 | -13.48% | 5,277.51 | 4.80% | |
| 52. | 2024. 6. 30. | $298.70 | -4.26% | 5,460.48 | 3.47% | |
| 53. | 2024. 7. 31. | $258.66 | -13.40% | 5,522.30 | 1.13% | |
| 54. | 2024. 8. 31. | $259.47 | 0.31% | 5,648.40 | 2.28% | |
| 55. | 2024. 9. 30. | $271.35 | 4.58% | 5,762.48 | 2.02% | |
| 56. | 2024. 10. 31. | $297.90 | 9.78% | 5,705.45 | -0.99% | |
| 57. | 2024. 11. 30. | $320.66 | 7.64% | 6,032.38 | 5.73% | |
| 58. | 2024. 12. 31. | $382.41 | 19.26% | 5,881.63 | -2.50% | |
| 59. | 2025. 1. 31. | $414.20 | 8.31% | 6,040.53 | 2.70% | |
| 60. | 2025. 2. 28. | $365.61 | -11.73% | 5,954.50 | -1.42% | |
| 61. | 2025. 3. 31. | $283.06 | -22.58% | 5,611.85 | -5.75% | |
| 62. | 2025. 4. 30. | $270.77 | -4.34% | 5,569.06 | -0.76% | |
| 63. | 2025. 5. 31. | $316.67 | 16.95% | 5,911.69 | 6.15% | |
| 64. | 2025. 6. 30. | $237.58 | -24.98% | 6,204.95 | 4.96% | |
| 65. | 2025. 7. 31. | $200.53 | -15.59% | 6,339.39 | 2.17% | |
| 66. | 2025. 8. 31. | $202.20 | 0.83% | 6,460.26 | 1.91% | |
| 67. | 2025. 9. 30. | $177.93 | -12.00% | 6,688.46 | 3.53% | |
| 68. | 2025. 10. 31. | $170.54 | -4.15% | 6,840.20 | 2.27% | |
| 69. | 2025. 11. 30. | $184.18 | 8.00% | 6,849.09 | 0.13% | |
| 70. | 2025. 12. 31. | $207.81 | 12.83% | 6,845.50 | -0.05% | |
| 71. | 2026. 1. 31. | $174.50 | -16.03% | 6,939.03 | 1.37% | |
| 평균의 (R): | 0.40% | 1.33% | ||||
| 표준 편차: | 12.01% | 4.83% | ||||
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
| t | 날짜 | RLULU,t | RS&P 500,t | (RLULU,t–RLULU)2 | (RS&P 500,t–RS&P 500)2 | (RLULU,t–RLULU)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020. 3. 31. | -12.81% | -12.51% | 174.60 | 191.48 | 182.84 |
| 2. | 2020. 4. 30. | 17.90% | 12.68% | 306.30 | 129.02 | 198.79 |
| 3. | 2020. 5. 31. | 34.28% | 4.53% | 1,148.26 | 10.26 | 108.52 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 12. 31. | 12.83% | -0.05% | 154.53 | 1.90 | -17.13 |
| 71. | 2026. 1. 31. | -16.03% | 1.37% | 269.88 | 0.00 | -0.67 |
| 합계 (Σ): | 10,104.45 | 1,636.00 | 1,925.58 | |||
| t | 날짜 | RLULU,t | RS&P 500,t | (RLULU,t–RLULU)2 | (RS&P 500,t–RS&P 500)2 | (RLULU,t–RLULU)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020. 3. 31. | -12.81% | -12.51% | 174.60 | 191.48 | 182.84 |
| 2. | 2020. 4. 30. | 17.90% | 12.68% | 306.30 | 129.02 | 198.79 |
| 3. | 2020. 5. 31. | 34.28% | 4.53% | 1,148.26 | 10.26 | 108.52 |
| 4. | 2020. 6. 30. | 3.97% | 1.84% | 12.74 | 0.26 | 1.83 |
| 5. | 2020. 7. 31. | 4.35% | 5.51% | 15.63 | 17.51 | 16.54 |
| 6. | 2020. 8. 31. | 15.38% | 7.01% | 224.47 | 32.27 | 85.11 |
| 7. | 2020. 9. 30. | -12.32% | -3.92% | 161.89 | 27.55 | 66.78 |
| 8. | 2020. 10. 31. | -3.06% | -2.77% | 11.97 | 16.75 | 14.16 |
| 9. | 2020. 11. 30. | 15.95% | 10.75% | 241.87 | 88.91 | 146.64 |
| 10. | 2020. 12. 31. | -5.99% | 3.71% | 40.87 | 5.70 | -15.26 |
| 11. | 2021. 1. 31. | -5.56% | -1.11% | 35.51 | 5.95 | 14.54 |
| 12. | 2021. 2. 28. | -5.17% | 2.61% | 31.04 | 1.65 | -7.15 |
| 13. | 2021. 3. 31. | -1.59% | 4.24% | 3.97 | 8.52 | -5.82 |
| 14. | 2021. 4. 30. | 9.31% | 5.24% | 79.44 | 15.34 | 34.91 |
| 15. | 2021. 5. 31. | -3.62% | 0.55% | 16.16 | 0.60 | 3.12 |
| 16. | 2021. 6. 30. | 12.95% | 2.22% | 157.49 | 0.80 | 11.24 |
| 17. | 2021. 7. 31. | 9.64% | 2.27% | 85.48 | 0.90 | 8.78 |
| 18. | 2021. 8. 31. | 0.00% | 2.90% | 0.16 | 2.48 | -0.63 |
| 19. | 2021. 9. 30. | 1.13% | -4.76% | 0.54 | 37.00 | -4.46 |
| 20. | 2021. 10. 31. | 15.15% | 6.91% | 217.58 | 31.23 | 82.44 |
| 21. | 2021. 11. 30. | -2.49% | -0.83% | 8.34 | 4.66 | 6.24 |
| 22. | 2021. 12. 31. | -13.86% | 4.36% | 203.19 | 9.22 | -43.27 |
| 23. | 2022. 1. 31. | -14.74% | -5.26% | 229.11 | 43.35 | 99.66 |
| 24. | 2022. 2. 28. | -4.14% | -3.14% | 20.61 | 19.91 | 20.25 |
| 25. | 2022. 3. 31. | 14.16% | 3.58% | 189.25 | 5.07 | 30.98 |
| 26. | 2022. 4. 30. | -2.90% | -8.80% | 10.90 | 102.44 | 33.41 |
| 27. | 2022. 5. 31. | -17.47% | 0.01% | 319.16 | 1.74 | 23.59 |
| 28. | 2022. 6. 30. | -6.86% | -8.39% | 52.70 | 94.43 | 70.54 |
| 29. | 2022. 7. 31. | 13.90% | 9.11% | 182.35 | 60.62 | 105.14 |
| 30. | 2022. 8. 31. | -3.40% | -4.24% | 14.41 | 31.02 | 21.15 |
| 31. | 2022. 9. 30. | -6.80% | -9.34% | 51.84 | 113.75 | 76.79 |
| 32. | 2022. 10. 31. | 17.70% | 7.99% | 299.30 | 44.37 | 115.23 |
| 33. | 2022. 11. 30. | 15.58% | 5.38% | 230.51 | 16.40 | 61.49 |
| 34. | 2022. 12. 31. | -15.76% | -5.90% | 261.05 | 52.17 | 116.70 |
| 35. | 2023. 1. 31. | -4.21% | 6.18% | 21.28 | 23.52 | -22.37 |
| 36. | 2023. 2. 28. | 0.76% | -2.61% | 0.13 | 15.50 | -1.41 |
| 37. | 2023. 3. 31. | 17.78% | 3.51% | 302.26 | 4.75 | 37.89 |
| 38. | 2023. 4. 30. | 4.32% | 1.46% | 15.39 | 0.02 | 0.54 |
| 39. | 2023. 5. 31. | -12.63% | 0.25% | 169.86 | 1.16 | 14.04 |
| 40. | 2023. 6. 30. | 14.03% | 4.71% | 185.81 | 11.48 | 46.19 |
| 41. | 2023. 7. 31. | 0.01% | 4.85% | 0.15 | 12.39 | -1.38 |
| 42. | 2023. 8. 31. | 0.72% | -1.77% | 0.10 | 9.59 | -1.00 |
| 43. | 2023. 9. 30. | 1.14% | -4.87% | 0.55 | 38.41 | -4.60 |
| 44. | 2023. 10. 31. | 2.04% | -2.20% | 2.70 | 12.42 | -5.79 |
| 45. | 2023. 11. 30. | 13.55% | 8.92% | 172.97 | 57.64 | 99.85 |
| 46. | 2023. 12. 31. | 14.43% | 4.42% | 196.97 | 9.59 | 43.47 |
| 47. | 2024. 1. 31. | -11.24% | 1.59% | 135.47 | 0.07 | -3.07 |
| 48. | 2024. 2. 29. | 2.92% | 5.17% | 6.38 | 14.80 | 9.71 |
| 49. | 2024. 3. 31. | -16.37% | 3.10% | 281.04 | 3.16 | -29.78 |
| 50. | 2024. 4. 30. | -7.69% | -4.16% | 65.47 | 30.11 | 44.40 |
| 51. | 2024. 5. 31. | -13.48% | 4.80% | 192.64 | 12.09 | -48.25 |
| 52. | 2024. 6. 30. | -4.26% | 3.47% | 21.70 | 4.59 | -9.98 |
| 53. | 2024. 7. 31. | -13.40% | 1.13% | 190.54 | 0.04 | 2.67 |
| 54. | 2024. 8. 31. | 0.31% | 2.28% | 0.01 | 0.92 | -0.08 |
| 55. | 2024. 9. 30. | 4.58% | 2.02% | 17.47 | 0.48 | 2.90 |
| 56. | 2024. 10. 31. | 9.78% | -0.99% | 88.09 | 5.36 | -21.73 |
| 57. | 2024. 11. 30. | 7.64% | 5.73% | 52.43 | 19.40 | 31.89 |
| 58. | 2024. 12. 31. | 19.26% | -2.50% | 355.63 | 14.63 | -72.13 |
| 59. | 2025. 1. 31. | 8.31% | 2.70% | 62.63 | 1.89 | 10.89 |
| 60. | 2025. 2. 28. | -11.73% | -1.42% | 147.14 | 7.56 | 33.36 |
| 61. | 2025. 3. 31. | -22.58% | -5.75% | 527.97 | 50.13 | 162.68 |
| 62. | 2025. 4. 30. | -4.34% | -0.76% | 22.48 | 4.36 | 9.90 |
| 63. | 2025. 5. 31. | 16.95% | 6.15% | 273.99 | 23.30 | 79.90 |
| 64. | 2025. 6. 30. | -24.98% | 4.96% | 643.87 | 13.21 | -92.24 |
| 65. | 2025. 7. 31. | -15.59% | 2.17% | 255.80 | 0.71 | -13.45 |
| 66. | 2025. 8. 31. | 0.83% | 1.91% | 0.19 | 0.34 | 0.25 |
| 67. | 2025. 9. 30. | -12.00% | 3.53% | 153.81 | 4.87 | -27.37 |
| 68. | 2025. 10. 31. | -4.15% | 2.27% | 20.72 | 0.89 | -4.29 |
| 69. | 2025. 11. 30. | 8.00% | 0.13% | 57.75 | 1.43 | -9.09 |
| 70. | 2025. 12. 31. | 12.83% | -0.05% | 154.53 | 1.90 | -17.13 |
| 71. | 2026. 1. 31. | -16.03% | 1.37% | 269.88 | 0.00 | -0.67 |
| 합계 (Σ): | 10,104.45 | 1,636.00 | 1,925.58 | |||
모두 보기
분산LULU = Σ(RLULU,t–RLULU)2 ÷ (71 – 1)
= 10,104.45 ÷ (71 – 1)
= 144.35
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,636.00 ÷ (71 – 1)
= 23.37
공분산LULU, S&P 500 = Σ(RLULU,t–RLULU)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,925.58 ÷ (71 – 1)
= 27.51
체계적인 위험 추정 (β)
| 분산LULU | 144.35 |
| 분산S&P 500 | 23.37 |
| 공분산LULU, S&P 500 | 27.51 |
| 상관 계수LULU, S&P 5001 | 0.47 |
| βLULU2 | 1.18 |
| αLULU3 | -1.16% |
계산
1 상관 계수LULU, S&P 500
= 공분산LULU, S&P 500 ÷ (표준 편차LULU × 표준 편차S&P 500)
= 27.51 ÷ (12.01% × 4.83%)
= 0.47
2 βLULU
= 공분산LULU, S&P 500 ÷ 분산S&P 500
= 27.51 ÷ 23.37
= 1.18
3 αLULU
= 평균의LULU – βLULU × 평균의S&P 500
= 0.40% – 1.18 × 1.33%
= -1.16%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.94% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.36% |
| 보통주의 체계적 위험lululemon | βLULU | 1.18 |
| 룰루레몬 보통주 예상 수익률3 | E(RLULU) | 19.56% |
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]
= 4.94% + 1.18 [17.36% – 4.94%]
= 19.56%