자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 CVS Health보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
CVS Health Corp., 월별 수익률
| CVS Health Corp. (CVS) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값CVS,t1 | 피제수CVS,t1 | RCVS,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 1. 31. | $67.82 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $59.18 | -12.74% | 2,954.22 | -8.41% | |
| 2. | 2020. 3. 31. | $59.33 | 0.25% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $61.55 | $0.50 | 4.58% | 2,912.43 | 12.68% |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | $59.85 | 6.00% | 6,032.38 | 5.73% | |
| 59. | 2024. 12. 31. | $44.89 | -25.00% | 5,881.63 | -2.50% | |
| 평균의 (R): | -0.13% | 1.16% | ||||
| 표준 편차: | 7.98% | 5.28% | ||||
| CVS Health Corp. (CVS) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값CVS,t1 | 피제수CVS,t1 | RCVS,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 1. 31. | $67.82 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $59.18 | -12.74% | 2,954.22 | -8.41% | |
| 2. | 2020. 3. 31. | $59.33 | 0.25% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $61.55 | $0.50 | 4.58% | 2,912.43 | 12.68% |
| 4. | 2020. 5. 31. | $65.57 | 6.53% | 3,044.31 | 4.53% | |
| 5. | 2020. 6. 30. | $64.97 | -0.92% | 3,100.29 | 1.84% | |
| 6. | 2020. 7. 31. | $62.94 | $0.50 | -2.35% | 3,271.12 | 5.51% |
| 7. | 2020. 8. 31. | $62.12 | -1.30% | 3,500.31 | 7.01% | |
| 8. | 2020. 9. 30. | $58.40 | -5.99% | 3,363.00 | -3.92% | |
| 9. | 2020. 10. 31. | $56.09 | $0.50 | -3.10% | 3,269.96 | -2.77% |
| 10. | 2020. 11. 30. | $67.79 | 20.86% | 3,621.63 | 10.75% | |
| 11. | 2020. 12. 31. | $68.30 | 0.75% | 3,756.07 | 3.71% | |
| 12. | 2021. 1. 31. | $71.65 | $0.50 | 5.64% | 3,714.24 | -1.11% |
| 13. | 2021. 2. 28. | $68.13 | -4.91% | 3,811.15 | 2.61% | |
| 14. | 2021. 3. 31. | $75.23 | 10.42% | 3,972.89 | 4.24% | |
| 15. | 2021. 4. 30. | $76.40 | $0.50 | 2.22% | 4,181.17 | 5.24% |
| 16. | 2021. 5. 31. | $86.44 | 13.14% | 4,204.11 | 0.55% | |
| 17. | 2021. 6. 30. | $83.44 | -3.47% | 4,297.50 | 2.22% | |
| 18. | 2021. 7. 31. | $82.36 | $0.50 | -0.70% | 4,395.26 | 2.27% |
| 19. | 2021. 8. 31. | $86.39 | 4.89% | 4,522.68 | 2.90% | |
| 20. | 2021. 9. 30. | $84.86 | -1.77% | 4,307.54 | -4.76% | |
| 21. | 2021. 10. 31. | $89.28 | $0.50 | 5.80% | 4,605.38 | 6.91% |
| 22. | 2021. 11. 30. | $89.06 | -0.25% | 4,567.00 | -0.83% | |
| 23. | 2021. 12. 31. | $103.16 | 15.83% | 4,766.18 | 4.36% | |
| 24. | 2022. 1. 31. | $106.51 | $0.55 | 3.78% | 4,515.55 | -5.26% |
| 25. | 2022. 2. 28. | $103.65 | -2.69% | 4,373.94 | -3.14% | |
| 26. | 2022. 3. 31. | $101.21 | -2.35% | 4,530.41 | 3.58% | |
| 27. | 2022. 4. 30. | $96.13 | $0.55 | -4.48% | 4,131.93 | -8.80% |
| 28. | 2022. 5. 31. | $96.75 | 0.64% | 4,132.15 | 0.01% | |
| 29. | 2022. 6. 30. | $92.66 | -4.23% | 3,785.38 | -8.39% | |
| 30. | 2022. 7. 31. | $95.68 | $0.55 | 3.85% | 4,130.29 | 9.11% |
| 31. | 2022. 8. 31. | $98.15 | 2.58% | 3,955.00 | -4.24% | |
| 32. | 2022. 9. 30. | $95.37 | -2.83% | 3,585.62 | -9.34% | |
| 33. | 2022. 10. 31. | $94.70 | $0.55 | -0.13% | 3,871.98 | 7.99% |
| 34. | 2022. 11. 30. | $101.88 | 7.58% | 4,080.11 | 5.38% | |
| 35. | 2022. 12. 31. | $93.19 | -8.53% | 3,839.50 | -5.90% | |
| 36. | 2023. 1. 31. | $88.22 | $0.605 | -4.68% | 4,076.60 | 6.18% |
| 37. | 2023. 2. 28. | $83.54 | -5.30% | 3,970.15 | -2.61% | |
| 38. | 2023. 3. 31. | $74.31 | -11.05% | 4,109.31 | 3.51% | |
| 39. | 2023. 4. 30. | $73.31 | $0.605 | -0.53% | 4,169.48 | 1.46% |
| 40. | 2023. 5. 31. | $68.03 | -7.20% | 4,179.83 | 0.25% | |
| 41. | 2023. 6. 30. | $69.13 | 1.62% | 4,376.86 | 4.71% | |
| 42. | 2023. 7. 31. | $74.69 | $0.605 | 8.92% | 4,588.96 | 4.85% |
| 43. | 2023. 8. 31. | $65.17 | -12.75% | 4,507.66 | -1.77% | |
| 44. | 2023. 9. 30. | $69.82 | 7.14% | 4,288.05 | -4.87% | |
| 45. | 2023. 10. 31. | $69.01 | $0.605 | -0.29% | 4,193.80 | -2.20% |
| 46. | 2023. 11. 30. | $67.95 | -1.54% | 4,567.80 | 8.92% | |
| 47. | 2023. 12. 31. | $78.96 | 16.20% | 4,769.83 | 4.42% | |
| 48. | 2024. 1. 31. | $74.37 | $0.665 | -4.97% | 4,845.65 | 1.59% |
| 49. | 2024. 2. 29. | $74.37 | 0.00% | 5,096.27 | 5.17% | |
| 50. | 2024. 3. 31. | $79.76 | 7.25% | 5,254.35 | 3.10% | |
| 51. | 2024. 4. 30. | $67.71 | $0.665 | -14.27% | 5,035.69 | -4.16% |
| 52. | 2024. 5. 31. | $59.60 | -11.98% | 5,277.51 | 4.80% | |
| 53. | 2024. 6. 30. | $59.06 | -0.91% | 5,460.48 | 3.47% | |
| 54. | 2024. 7. 31. | $60.33 | $0.665 | 3.28% | 5,522.30 | 1.13% |
| 55. | 2024. 8. 31. | $57.24 | -5.12% | 5,648.40 | 2.28% | |
| 56. | 2024. 9. 30. | $62.88 | 9.85% | 5,762.48 | 2.02% | |
| 57. | 2024. 10. 31. | $56.46 | $0.665 | -9.15% | 5,705.45 | -0.99% |
| 58. | 2024. 11. 30. | $59.85 | 6.00% | 6,032.38 | 5.73% | |
| 59. | 2024. 12. 31. | $44.89 | -25.00% | 5,881.63 | -2.50% | |
| 평균의 (R): | -0.13% | 1.16% | ||||
| 표준 편차: | 7.98% | 5.28% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 t기간 동안 CVS의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
CVS Health Corp., 수익률의 분산 및 공분산 계산
| t | 날짜 | RCVS,t | RS&P 500,t | (RCVS,t–RCVS)2 | (RS&P 500,t–RS&P 500)2 | (RCVS,t–RCVS)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020. 2. 29. | -12.74% | -8.41% | 158.92 | 91.63 | 120.67 |
| 2. | 2020. 3. 31. | 0.25% | -12.51% | 0.15 | 186.96 | -5.29 |
| 3. | 2020. 4. 30. | 4.58% | 12.68% | 22.26 | 132.78 | 54.36 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | 6.00% | 5.73% | 37.67 | 20.87 | 28.04 |
| 59. | 2024. 12. 31. | -25.00% | -2.50% | 618.16 | 13.40 | 91.00 |
| 합계 (Σ): | 3,694.18 | 1,618.62 | 970.56 | |||
| t | 날짜 | RCVS,t | RS&P 500,t | (RCVS,t–RCVS)2 | (RS&P 500,t–RS&P 500)2 | (RCVS,t–RCVS)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020. 2. 29. | -12.74% | -8.41% | 158.92 | 91.63 | 120.67 |
| 2. | 2020. 3. 31. | 0.25% | -12.51% | 0.15 | 186.96 | -5.29 |
| 3. | 2020. 4. 30. | 4.58% | 12.68% | 22.26 | 132.78 | 54.36 |
| 4. | 2020. 5. 31. | 6.53% | 4.53% | 44.41 | 11.34 | 22.44 |
| 5. | 2020. 6. 30. | -0.92% | 1.84% | 0.61 | 0.46 | -0.53 |
| 6. | 2020. 7. 31. | -2.35% | 5.51% | 4.94 | 18.91 | -9.66 |
| 7. | 2020. 8. 31. | -1.30% | 7.01% | 1.37 | 34.17 | -6.84 |
| 8. | 2020. 9. 30. | -5.99% | -3.92% | 34.28 | 25.85 | 29.77 |
| 9. | 2020. 10. 31. | -3.10% | -2.77% | 8.80 | 15.43 | 11.65 |
| 10. | 2020. 11. 30. | 20.86% | 10.75% | 440.68 | 92.03 | 201.39 |
| 11. | 2020. 12. 31. | 0.75% | 3.71% | 0.78 | 6.51 | 2.26 |
| 12. | 2021. 1. 31. | 5.64% | -1.11% | 33.29 | 5.18 | -13.13 |
| 13. | 2021. 2. 28. | -4.91% | 2.61% | 22.85 | 2.10 | -6.92 |
| 14. | 2021. 3. 31. | 10.42% | 4.24% | 111.39 | 9.50 | 32.53 |
| 15. | 2021. 4. 30. | 2.22% | 5.24% | 5.54 | 16.66 | 9.60 |
| 16. | 2021. 5. 31. | 13.14% | 0.55% | 176.21 | 0.38 | -8.13 |
| 17. | 2021. 6. 30. | -3.47% | 2.22% | 11.14 | 1.12 | -3.54 |
| 18. | 2021. 7. 31. | -0.70% | 2.27% | 0.32 | 1.24 | -0.63 |
| 19. | 2021. 8. 31. | 4.89% | 2.90% | 25.26 | 3.02 | 8.73 |
| 20. | 2021. 9. 30. | -1.77% | -4.76% | 2.68 | 35.02 | 9.69 |
| 21. | 2021. 10. 31. | 5.80% | 6.91% | 35.18 | 33.10 | 34.12 |
| 22. | 2021. 11. 30. | -0.25% | -0.83% | 0.01 | 3.98 | 0.23 |
| 23. | 2021. 12. 31. | 15.83% | 4.36% | 254.88 | 10.24 | 51.09 |
| 24. | 2022. 1. 31. | 3.78% | -5.26% | 15.32 | 41.21 | -25.12 |
| 25. | 2022. 2. 28. | -2.69% | -3.14% | 6.51 | 18.47 | 10.97 |
| 26. | 2022. 3. 31. | -2.35% | 3.58% | 4.93 | 5.84 | -5.37 |
| 27. | 2022. 4. 30. | -4.48% | -8.80% | 18.86 | 99.14 | 43.24 |
| 28. | 2022. 5. 31. | 0.64% | 0.01% | 0.61 | 1.34 | -0.90 |
| 29. | 2022. 6. 30. | -4.23% | -8.39% | 16.76 | 91.26 | 39.11 |
| 30. | 2022. 7. 31. | 3.85% | 9.11% | 15.89 | 63.21 | 31.69 |
| 31. | 2022. 8. 31. | 2.58% | -4.24% | 7.37 | 29.22 | -14.67 |
| 32. | 2022. 9. 30. | -2.83% | -9.34% | 7.29 | 110.27 | 28.34 |
| 33. | 2022. 10. 31. | -0.13% | 7.99% | 0.00 | 46.58 | 0.05 |
| 34. | 2022. 11. 30. | 7.58% | 5.38% | 59.52 | 17.76 | 32.51 |
| 35. | 2022. 12. 31. | -8.53% | -5.90% | 70.50 | 49.82 | 59.27 |
| 36. | 2023. 1. 31. | -4.68% | 6.18% | 20.71 | 25.14 | -22.82 |
| 37. | 2023. 2. 28. | -5.30% | -2.61% | 26.75 | 14.23 | 19.51 |
| 38. | 2023. 3. 31. | -11.05% | 3.51% | 119.15 | 5.49 | -25.58 |
| 39. | 2023. 4. 30. | -0.53% | 1.46% | 0.16 | 0.09 | -0.12 |
| 40. | 2023. 5. 31. | -7.20% | 0.25% | 49.97 | 0.83 | 6.45 |
| 41. | 2023. 6. 30. | 1.62% | 4.71% | 3.06 | 12.62 | 6.22 |
| 42. | 2023. 7. 31. | 8.92% | 4.85% | 81.92 | 13.58 | 33.35 |
| 43. | 2023. 8. 31. | -12.75% | -1.77% | 159.09 | 8.60 | 36.99 |
| 44. | 2023. 9. 30. | 7.14% | -4.87% | 52.83 | 36.40 | -43.85 |
| 45. | 2023. 10. 31. | -0.29% | -2.20% | 0.03 | 11.28 | 0.54 |
| 46. | 2023. 11. 30. | -1.54% | 8.92% | 1.97 | 60.17 | -10.88 |
| 47. | 2023. 12. 31. | 16.20% | 4.42% | 266.87 | 10.64 | 53.28 |
| 48. | 2024. 1. 31. | -4.97% | 1.59% | 23.40 | 0.18 | -2.07 |
| 49. | 2024. 2. 29. | 0.00% | 5.17% | 0.02 | 16.09 | 0.53 |
| 50. | 2024. 3. 31. | 7.25% | 3.10% | 54.47 | 3.77 | 14.32 |
| 51. | 2024. 4. 30. | -14.27% | -4.16% | 199.97 | 28.33 | 75.27 |
| 52. | 2024. 5. 31. | -11.98% | 4.80% | 140.29 | 13.26 | -43.12 |
| 53. | 2024. 6. 30. | -0.91% | 3.47% | 0.60 | 5.32 | -1.78 |
| 54. | 2024. 7. 31. | 3.28% | 1.13% | 11.62 | 0.00 | -0.10 |
| 55. | 2024. 8. 31. | -5.12% | 2.28% | 24.89 | 1.26 | -5.60 |
| 56. | 2024. 9. 30. | 9.85% | 2.02% | 99.73 | 0.74 | 8.57 |
| 57. | 2024. 10. 31. | -9.15% | -0.99% | 81.35 | 4.63 | 19.40 |
| 58. | 2024. 11. 30. | 6.00% | 5.73% | 37.67 | 20.87 | 28.04 |
| 59. | 2024. 12. 31. | -25.00% | -2.50% | 618.16 | 13.40 | 91.00 |
| 합계 (Σ): | 3,694.18 | 1,618.62 | 970.56 | |||
모두 보기
분산CVS = Σ(RCVS,t–RCVS)2 ÷ (59 – 1)
= 3,694.18 ÷ (59 – 1)
= 63.69
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91
공분산CVS, S&P 500 = Σ(RCVS,t–RCVS)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 970.56 ÷ (59 – 1)
= 16.73
체계적인 위험 추정 (β)
| 분산CVS | 63.69 |
| 분산S&P 500 | 27.91 |
| 공분산CVS, S&P 500 | 16.73 |
| 상관 계수CVS, S&P 5001 | 0.40 |
| βCVS2 | 0.60 |
| αCVS3 | -0.83% |
계산
1 상관 계수CVS, S&P 500
= 공분산CVS, S&P 500 ÷ (표준 편차CVS × 표준 편차S&P 500)
= 16.73 ÷ (7.98% × 5.28%)
= 0.40
2 βCVS
= 공분산CVS, S&P 500 ÷ 분산S&P 500
= 16.73 ÷ 27.91
= 0.60
3 αCVS
= 평균의CVS – βCVS × 평균의S&P 500
= -0.13% – 0.60 × 1.16%
= -0.83%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.76% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.72% |
| 보통주의 체계적 위험CVS Health | βCVS | 0.60 |
| CVS Health 보통주에 대한 기대 수익률3 | E(RCVS) | 10.73% |
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(RCVS) = RF + βCVS [E(RM) – RF]
= 4.76% + 0.60 [14.72% – 4.76%]
= 10.73%