자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Amphenol보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Amphenol Corp., 월별 수익률
| Amphenol Corp. (APH) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값APH,t1 | 피제수APH,t1 | RAPH,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 1. 31. | $43.96 | 2,704.10 | ||||
| 1. | 2019. 2. 28. | $46.99 | 6.89% | 2,784.49 | 2.97% | |
| 2. | 2019. 3. 31. | $47.22 | $0.115 | 0.73% | 2,834.40 | 1.79% |
| 3. | 2019. 4. 30. | $49.78 | 5.42% | 2,945.83 | 3.93% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023. 11. 30. | $90.99 | 12.96% | 4,567.80 | 8.92% | |
| 59. | 2023. 12. 31. | $99.13 | $0.22 | 9.19% | 4,769.83 | 4.42% |
| 평균의 (R): | 1.78% | 1.11% | ||||
| 표준 편차: | 7.91% | 5.31% | ||||
| Amphenol Corp. (APH) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값APH,t1 | 피제수APH,t1 | RAPH,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 1. 31. | $43.96 | 2,704.10 | ||||
| 1. | 2019. 2. 28. | $46.99 | 6.89% | 2,784.49 | 2.97% | |
| 2. | 2019. 3. 31. | $47.22 | $0.115 | 0.73% | 2,834.40 | 1.79% |
| 3. | 2019. 4. 30. | $49.78 | 5.42% | 2,945.83 | 3.93% | |
| 4. | 2019. 5. 31. | $43.50 | -12.62% | 2,752.06 | -6.58% | |
| 5. | 2019. 6. 30. | $47.97 | $0.115 | 10.54% | 2,941.76 | 6.89% |
| 6. | 2019. 7. 31. | $46.66 | -2.73% | 2,980.38 | 1.31% | |
| 7. | 2019. 8. 31. | $43.77 | -6.19% | 2,926.46 | -1.81% | |
| 8. | 2019. 9. 30. | $48.25 | $0.125 | 10.52% | 2,976.74 | 1.72% |
| 9. | 2019. 10. 31. | $50.17 | 3.98% | 3,037.56 | 2.04% | |
| 10. | 2019. 11. 30. | $52.00 | 3.65% | 3,140.98 | 3.40% | |
| 11. | 2019. 12. 31. | $54.12 | $0.125 | 4.32% | 3,230.78 | 2.86% |
| 12. | 2020. 1. 31. | $49.74 | -8.09% | 3,225.52 | -0.16% | |
| 13. | 2020. 2. 29. | $45.84 | -7.84% | 2,954.22 | -8.41% | |
| 14. | 2020. 3. 31. | $36.44 | $0.125 | -20.23% | 2,584.59 | -12.51% |
| 15. | 2020. 4. 30. | $44.13 | 21.10% | 2,912.43 | 12.68% | |
| 16. | 2020. 5. 31. | $48.28 | 9.40% | 3,044.31 | 4.53% | |
| 17. | 2020. 6. 30. | $47.90 | $0.125 | -0.53% | 3,100.29 | 1.84% |
| 18. | 2020. 7. 31. | $52.88 | 10.40% | 3,271.12 | 5.51% | |
| 19. | 2020. 8. 31. | $54.90 | 3.82% | 3,500.31 | 7.01% | |
| 20. | 2020. 9. 30. | $54.13 | $0.125 | -1.17% | 3,363.00 | -3.92% |
| 21. | 2020. 10. 31. | $56.42 | 4.23% | 3,269.96 | -2.77% | |
| 22. | 2020. 11. 30. | $65.40 | 15.92% | 3,621.63 | 10.75% | |
| 23. | 2020. 12. 31. | $65.39 | $0.145 | 0.21% | 3,756.07 | 3.71% |
| 24. | 2021. 1. 31. | $62.44 | -4.51% | 3,714.24 | -1.11% | |
| 25. | 2021. 2. 28. | $62.84 | 0.64% | 3,811.15 | 2.61% | |
| 26. | 2021. 3. 31. | $65.97 | $0.145 | 5.21% | 3,972.89 | 4.24% |
| 27. | 2021. 4. 30. | $67.34 | 2.08% | 4,181.17 | 5.24% | |
| 28. | 2021. 5. 31. | $67.26 | -0.12% | 4,204.11 | 0.55% | |
| 29. | 2021. 6. 30. | $68.41 | $0.145 | 1.93% | 4,297.50 | 2.22% |
| 30. | 2021. 7. 31. | $72.49 | 5.96% | 4,395.26 | 2.27% | |
| 31. | 2021. 8. 31. | $76.63 | 5.71% | 4,522.68 | 2.90% | |
| 32. | 2021. 9. 30. | $73.23 | $0.145 | -4.25% | 4,307.54 | -4.76% |
| 33. | 2021. 10. 31. | $76.77 | 4.83% | 4,605.38 | 6.91% | |
| 34. | 2021. 11. 30. | $80.58 | 4.96% | 4,567.00 | -0.83% | |
| 35. | 2021. 12. 31. | $87.46 | $0.20 | 8.79% | 4,766.18 | 4.36% |
| 36. | 2022. 1. 31. | $79.59 | -9.00% | 4,515.55 | -5.26% | |
| 37. | 2022. 2. 28. | $76.01 | -4.50% | 4,373.94 | -3.14% | |
| 38. | 2022. 3. 31. | $75.35 | $0.20 | -0.61% | 4,530.41 | 3.58% |
| 39. | 2022. 4. 30. | $71.50 | -5.11% | 4,131.93 | -8.80% | |
| 40. | 2022. 5. 31. | $70.86 | -0.90% | 4,132.15 | 0.01% | |
| 41. | 2022. 6. 30. | $64.38 | $0.20 | -8.86% | 3,785.38 | -8.39% |
| 42. | 2022. 7. 31. | $77.13 | 19.80% | 4,130.29 | 9.11% | |
| 43. | 2022. 8. 31. | $73.53 | -4.67% | 3,955.00 | -4.24% | |
| 44. | 2022. 9. 30. | $66.96 | $0.20 | -8.66% | 3,585.62 | -9.34% |
| 45. | 2022. 10. 31. | $75.83 | 13.25% | 3,871.98 | 7.99% | |
| 46. | 2022. 11. 30. | $80.43 | 6.07% | 4,080.11 | 5.38% | |
| 47. | 2022. 12. 31. | $76.14 | $0.21 | -5.07% | 3,839.50 | -5.90% |
| 48. | 2023. 1. 31. | $79.77 | 4.77% | 4,076.60 | 6.18% | |
| 49. | 2023. 2. 28. | $77.52 | -2.82% | 3,970.15 | -2.61% | |
| 50. | 2023. 3. 31. | $81.72 | $0.21 | 5.69% | 4,109.31 | 3.51% |
| 51. | 2023. 4. 30. | $75.47 | -7.65% | 4,169.48 | 1.46% | |
| 52. | 2023. 5. 31. | $75.45 | -0.03% | 4,179.83 | 0.25% | |
| 53. | 2023. 6. 30. | $84.95 | $0.21 | 12.87% | 4,376.86 | 4.71% |
| 54. | 2023. 7. 31. | $88.31 | 3.96% | 4,588.96 | 4.85% | |
| 55. | 2023. 8. 31. | $88.38 | 0.08% | 4,507.66 | -1.77% | |
| 56. | 2023. 9. 30. | $83.99 | $0.21 | -4.73% | 4,288.05 | -4.87% |
| 57. | 2023. 10. 31. | $80.55 | -4.10% | 4,193.80 | -2.20% | |
| 58. | 2023. 11. 30. | $90.99 | 12.96% | 4,567.80 | 8.92% | |
| 59. | 2023. 12. 31. | $99.13 | $0.22 | 9.19% | 4,769.83 | 4.42% |
| 평균의 (R): | 1.78% | 1.11% | ||||
| 표준 편차: | 7.91% | 5.31% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 APH의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Amphenol Corp., 수익률의 분산 및 공분산 계산
| t | 날짜 | RAPH,t | RS&P 500,t | (RAPH,t–RAPH)2 | (RS&P 500,t–RS&P 500)2 | (RAPH,t–RAPH)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 2. 28. | 6.89% | 2.97% | 26.16 | 3.49 | 9.55 |
| 2. | 2019. 3. 31. | 0.73% | 1.79% | 1.09 | 0.47 | -0.72 |
| 3. | 2019. 4. 30. | 5.42% | 3.93% | 13.28 | 7.98 | 10.30 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023. 11. 30. | 12.96% | 8.92% | 125.06 | 61.03 | 87.36 |
| 59. | 2023. 12. 31. | 9.19% | 4.42% | 54.91 | 11.00 | 24.58 |
| 합계 (Σ): | 3,627.09 | 1,634.30 | 2,123.37 | |||
| t | 날짜 | RAPH,t | RS&P 500,t | (RAPH,t–RAPH)2 | (RS&P 500,t–RS&P 500)2 | (RAPH,t–RAPH)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 2. 28. | 6.89% | 2.97% | 26.16 | 3.49 | 9.55 |
| 2. | 2019. 3. 31. | 0.73% | 1.79% | 1.09 | 0.47 | -0.72 |
| 3. | 2019. 4. 30. | 5.42% | 3.93% | 13.28 | 7.98 | 10.30 |
| 4. | 2019. 5. 31. | -12.62% | -6.58% | 207.17 | 59.04 | 110.59 |
| 5. | 2019. 6. 30. | 10.54% | 6.89% | 76.78 | 33.49 | 50.71 |
| 6. | 2019. 7. 31. | -2.73% | 1.31% | 20.33 | 0.04 | -0.93 |
| 7. | 2019. 8. 31. | -6.19% | -1.81% | 63.55 | 8.50 | 23.24 |
| 8. | 2019. 9. 30. | 10.52% | 1.72% | 76.44 | 0.37 | 5.35 |
| 9. | 2019. 10. 31. | 3.98% | 2.04% | 4.85 | 0.88 | 2.06 |
| 10. | 2019. 11. 30. | 3.65% | 3.40% | 3.50 | 5.28 | 4.30 |
| 11. | 2019. 12. 31. | 4.32% | 2.86% | 6.45 | 3.07 | 4.45 |
| 12. | 2020. 1. 31. | -8.09% | -0.16% | 97.43 | 1.61 | 12.52 |
| 13. | 2020. 2. 29. | -7.84% | -8.41% | 92.52 | 90.57 | 91.54 |
| 14. | 2020. 3. 31. | -20.23% | -12.51% | 484.49 | 185.44 | 299.74 |
| 15. | 2020. 4. 30. | 21.10% | 12.68% | 373.47 | 134.06 | 223.76 |
| 16. | 2020. 5. 31. | 9.40% | 4.53% | 58.16 | 11.71 | 26.10 |
| 17. | 2020. 6. 30. | -0.53% | 1.84% | 5.32 | 0.54 | -1.69 |
| 18. | 2020. 7. 31. | 10.40% | 5.51% | 74.29 | 19.40 | 37.96 |
| 19. | 2020. 8. 31. | 3.82% | 7.01% | 4.17 | 34.82 | 12.05 |
| 20. | 2020. 9. 30. | -1.17% | -3.92% | 8.72 | 25.29 | 14.85 |
| 21. | 2020. 10. 31. | 4.23% | -2.77% | 6.02 | 15.00 | -9.50 |
| 22. | 2020. 11. 30. | 15.92% | 10.75% | 199.90 | 93.10 | 136.42 |
| 23. | 2020. 12. 31. | 0.21% | 3.71% | 2.47 | 6.79 | -4.10 |
| 24. | 2021. 1. 31. | -4.51% | -1.11% | 39.55 | 4.93 | 13.96 |
| 25. | 2021. 2. 28. | 0.64% | 2.61% | 1.29 | 2.26 | -1.71 |
| 26. | 2021. 3. 31. | 5.21% | 4.24% | 11.79 | 9.85 | 10.78 |
| 27. | 2021. 4. 30. | 2.08% | 5.24% | 0.09 | 17.11 | 1.24 |
| 28. | 2021. 5. 31. | -0.12% | 0.55% | 3.60 | 0.31 | 1.06 |
| 29. | 2021. 6. 30. | 1.93% | 2.22% | 0.02 | 1.24 | 0.16 |
| 30. | 2021. 7. 31. | 5.96% | 2.27% | 17.52 | 1.37 | 4.89 |
| 31. | 2021. 8. 31. | 5.71% | 2.90% | 15.47 | 3.22 | 7.05 |
| 32. | 2021. 9. 30. | -4.25% | -4.76% | 36.31 | 34.37 | 35.33 |
| 33. | 2021. 10. 31. | 4.83% | 6.91% | 9.34 | 33.74 | 17.75 |
| 34. | 2021. 11. 30. | 4.96% | -0.83% | 10.14 | 3.76 | -6.18 |
| 35. | 2021. 12. 31. | 8.79% | 4.36% | 49.12 | 10.60 | 22.82 |
| 36. | 2022. 1. 31. | -9.00% | -5.26% | 116.13 | 40.51 | 68.58 |
| 37. | 2022. 2. 28. | -4.50% | -3.14% | 39.39 | 17.99 | 26.62 |
| 38. | 2022. 3. 31. | -0.61% | 3.58% | 5.68 | 6.11 | -5.89 |
| 39. | 2022. 4. 30. | -5.11% | -8.80% | 47.43 | 98.04 | 68.19 |
| 40. | 2022. 5. 31. | -0.90% | 0.01% | 7.14 | 1.21 | 2.94 |
| 41. | 2022. 6. 30. | -8.86% | -8.39% | 113.22 | 90.21 | 101.06 |
| 42. | 2022. 7. 31. | 19.80% | 9.11% | 324.96 | 64.09 | 144.32 |
| 43. | 2022. 8. 31. | -4.67% | -4.24% | 41.54 | 28.62 | 34.48 |
| 44. | 2022. 9. 30. | -8.66% | -9.34% | 109.01 | 109.11 | 109.06 |
| 45. | 2022. 10. 31. | 13.25% | 7.99% | 131.54 | 47.34 | 78.91 |
| 46. | 2022. 11. 30. | 6.07% | 5.38% | 18.39 | 18.23 | 18.31 |
| 47. | 2022. 12. 31. | -5.07% | -5.90% | 46.93 | 49.04 | 47.97 |
| 48. | 2023. 1. 31. | 4.77% | 6.18% | 8.94 | 25.70 | 15.16 |
| 49. | 2023. 2. 28. | -2.82% | -2.61% | 21.15 | 13.82 | 17.09 |
| 50. | 2023. 3. 31. | 5.69% | 3.51% | 15.30 | 5.76 | 9.38 |
| 51. | 2023. 4. 30. | -7.65% | 1.46% | 88.85 | 0.13 | -3.38 |
| 52. | 2023. 5. 31. | -0.03% | 0.25% | 3.26 | 0.74 | 1.55 |
| 53. | 2023. 6. 30. | 12.87% | 4.71% | 123.03 | 13.02 | 40.02 |
| 54. | 2023. 7. 31. | 3.96% | 4.85% | 4.74 | 13.99 | 8.14 |
| 55. | 2023. 8. 31. | 0.08% | -1.77% | 2.88 | 8.28 | 4.89 |
| 56. | 2023. 9. 30. | -4.73% | -4.87% | 42.35 | 35.73 | 38.90 |
| 57. | 2023. 10. 31. | -4.10% | -2.20% | 34.50 | 10.92 | 19.40 |
| 58. | 2023. 11. 30. | 12.96% | 8.92% | 125.06 | 61.03 | 87.36 |
| 59. | 2023. 12. 31. | 9.19% | 4.42% | 54.91 | 11.00 | 24.58 |
| 합계 (Σ): | 3,627.09 | 1,634.30 | 2,123.37 | |||
모두 보기
분산APH = Σ(RAPH,t–RAPH)2 ÷ (59 – 1)
= 3,627.09 ÷ (59 – 1)
= 62.54
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18
공분산APH, S&P 500 = Σ(RAPH,t–RAPH)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 2,123.37 ÷ (59 – 1)
= 36.61
체계적인 위험 추정 (β)
| 분산APH | 62.54 |
| 분산S&P 500 | 28.18 |
| 공분산APH, S&P 500 | 36.61 |
| 상관 계수APH, S&P 5001 | 0.87 |
| βAPH2 | 1.30 |
| αAPH3 | 0.34% |
계산
1 상관 계수APH, S&P 500
= 공분산APH, S&P 500 ÷ (표준 편차APH × 표준 편차S&P 500)
= 36.61 ÷ (7.91% × 5.31%)
= 0.87
2 βAPH
= 공분산APH, S&P 500 ÷ 분산S&P 500
= 36.61 ÷ 28.18
= 1.30
3 αAPH
= 평균의APH – βAPH × 평균의S&P 500
= 1.78% – 1.30 × 1.11%
= 0.34%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.42% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 15.02% |
| 보통주의 체계적 위험Amphenol | βAPH | 1.30 |
| Amphenol 보통주에 대한 예상 수익률3 | E(RAPH) | 18.20% |
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(RAPH) = RF + βAPH [E(RM) – RF]
= 4.42% + 1.30 [15.02% – 4.42%]
= 18.20%