Stock Analysis on Net

Chipotle Mexican Grill Inc. (NYSE:CMG)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

자본 자산 가격 책정 모델(CAPM)은 Chipotle의 보통주와 같은 위험 자산에 대한 기대 또는 필요한 수익률을 나타냅니다.


수익률

Chipotle Mexican Grill Inc., 월별 수익률

Microsoft Excel
Chipotle Mexican Grill Inc. (CMG) Standard & Poor’s 500 (S&P 500)
t 날짜 CMG,t1 피제수CMG,t1 RCMG,t2 S&P 500,t RS&P 500,t3
2019. 1. 31. $10.59 2,704.10
1. 2019. 2. 28. $12.15 14.73% 2,784.49 2.97%
2. 2019. 3. 31. $14.21 16.95% 2,834.40 1.79%
3. 2019. 4. 30. $13.76 -3.17% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023. 11. 30. $44.05 13.41% 4,567.80 8.92%
59. 2023. 12. 31. $45.74 3.84% 4,769.83 4.42%
평균의 (R): 2.98% 1.11%
표준 편차: 10.06% 5.31%
Chipotle Mexican Grill Inc. (CMG) Standard & Poor’s 500 (S&P 500)
t 날짜 CMG,t1 피제수CMG,t1 RCMG,t2 S&P 500,t RS&P 500,t3
2019. 1. 31. $10.59 2,704.10
1. 2019. 2. 28. $12.15 14.73% 2,784.49 2.97%
2. 2019. 3. 31. $14.21 16.95% 2,834.40 1.79%
3. 2019. 4. 30. $13.76 -3.17% 2,945.83 3.93%
4. 2019. 5. 31. $13.20 -4.07% 2,752.06 -6.58%
5. 2019. 6. 30. $14.66 11.06% 2,941.76 6.89%
6. 2019. 7. 31. $15.91 8.53% 2,980.38 1.31%
7. 2019. 8. 31. $16.77 5.41% 2,926.46 -1.81%
8. 2019. 9. 30. $16.81 0.24% 2,976.74 1.72%
9. 2019. 10. 31. $15.56 -7.44% 3,037.56 2.04%
10. 2019. 11. 30. $16.28 4.63% 3,140.98 3.40%
11. 2019. 12. 31. $16.74 2.83% 3,230.78 2.86%
12. 2020. 1. 31. $17.34 3.58% 3,225.52 -0.16%
13. 2020. 2. 29. $15.47 -10.78% 2,954.22 -8.41%
14. 2020. 3. 31. $13.09 -15.38% 2,584.59 -12.51%
15. 2020. 4. 30. $17.57 34.22% 2,912.43 12.68%
16. 2020. 5. 31. $20.08 14.29% 3,044.31 4.53%
17. 2020. 6. 30. $21.05 4.83% 3,100.29 1.84%
18. 2020. 7. 31. $23.10 9.74% 3,271.12 5.51%
19. 2020. 8. 31. $26.21 13.46% 3,500.31 7.01%
20. 2020. 9. 30. $24.87 -5.11% 3,363.00 -3.92%
21. 2020. 10. 31. $24.03 -3.38% 3,269.96 -2.77%
22. 2020. 11. 30. $25.79 7.32% 3,621.63 10.75%
23. 2020. 12. 31. $27.73 7.52% 3,756.07 3.71%
24. 2021. 1. 31. $29.60 6.74% 3,714.24 -1.11%
25. 2021. 2. 28. $28.84 -2.57% 3,811.15 2.61%
26. 2021. 3. 31. $28.42 -1.46% 3,972.89 4.24%
27. 2021. 4. 30. $29.84 5.00% 4,181.17 5.24%
28. 2021. 5. 31. $27.44 -8.04% 4,204.11 0.55%
29. 2021. 6. 30. $31.01 13.01% 4,297.50 2.22%
30. 2021. 7. 31. $37.27 20.19% 4,395.26 2.27%
31. 2021. 8. 31. $38.07 2.15% 4,522.68 2.90%
32. 2021. 9. 30. $36.35 -4.52% 4,307.54 -4.76%
33. 2021. 10. 31. $35.58 -2.12% 4,605.38 6.91%
34. 2021. 11. 30. $32.87 -7.62% 4,567.00 -0.83%
35. 2021. 12. 31. $34.97 6.39% 4,766.18 4.36%
36. 2022. 1. 31. $29.71 -15.04% 4,515.55 -5.26%
37. 2022. 2. 28. $30.47 2.56% 4,373.94 -3.14%
38. 2022. 3. 31. $31.64 3.84% 4,530.41 3.58%
39. 2022. 4. 30. $29.11 -8.00% 4,131.93 -8.80%
40. 2022. 5. 31. $28.05 -3.64% 4,132.15 0.01%
41. 2022. 6. 30. $26.15 -6.77% 3,785.38 -8.39%
42. 2022. 7. 31. $31.28 19.62% 4,130.29 9.11%
43. 2022. 8. 31. $31.94 2.11% 3,955.00 -4.24%
44. 2022. 9. 30. $30.06 -5.89% 3,585.62 -9.34%
45. 2022. 10. 31. $29.97 -0.30% 3,871.98 7.99%
46. 2022. 11. 30. $32.54 8.58% 4,080.11 5.38%
47. 2022. 12. 31. $27.75 -14.72% 3,839.50 -5.90%
48. 2023. 1. 31. $32.93 18.67% 4,076.60 6.18%
49. 2023. 2. 28. $29.82 -9.44% 3,970.15 -2.61%
50. 2023. 3. 31. $34.17 14.59% 4,109.31 3.51%
51. 2023. 4. 30. $41.35 21.01% 4,169.48 1.46%
52. 2023. 5. 31. $41.53 0.44% 4,179.83 0.25%
53. 2023. 6. 30. $42.78 3.01% 4,376.86 4.71%
54. 2023. 7. 31. $39.25 -8.25% 4,588.96 4.85%
55. 2023. 8. 31. $38.53 -1.83% 4,507.66 -1.77%
56. 2023. 9. 30. $36.64 -4.91% 4,288.05 -4.87%
57. 2023. 10. 31. $38.84 6.00% 4,193.80 -2.20%
58. 2023. 11. 30. $44.05 13.41% 4,567.80 8.92%
59. 2023. 12. 31. $45.74 3.84% 4,769.83 4.42%
평균의 (R): 2.98% 1.11%
표준 편차: 10.06% 5.31%

모두 보기

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

2 기간 t 동안 CMG의 보통주 수익률.

3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.


분산과 공분산

Chipotle Mexican Grill Inc., 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RCMG,t RS&P 500,t (RCMG,tRCMG)2 (RS&P 500,tRS&P 500)2 (RCMG,tRCMG)×(RS&P 500,tRS&P 500)
1. 2019. 2. 28. 14.73% 2.97% 138.00 3.49 21.93
2. 2019. 3. 31. 16.95% 1.79% 195.19 0.47 9.59
3. 2019. 4. 30. -3.17% 3.93% 37.83 7.98 -17.38
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023. 11. 30. 13.41% 8.92% 108.79 61.03 81.48
59. 2023. 12. 31. 3.84% 4.42% 0.73 11.00 2.83
합계 (Σ): 5,864.53 1,634.30 2,092.35
t 날짜 RCMG,t RS&P 500,t (RCMG,tRCMG)2 (RS&P 500,tRS&P 500)2 (RCMG,tRCMG)×(RS&P 500,tRS&P 500)
1. 2019. 2. 28. 14.73% 2.97% 138.00 3.49 21.93
2. 2019. 3. 31. 16.95% 1.79% 195.19 0.47 9.59
3. 2019. 4. 30. -3.17% 3.93% 37.83 7.98 -17.38
4. 2019. 5. 31. -4.07% -6.58% 49.75 59.04 54.20
5. 2019. 6. 30. 11.06% 6.89% 65.24 33.49 46.74
6. 2019. 7. 31. 8.53% 1.31% 30.72 0.04 1.15
7. 2019. 8. 31. 5.41% -1.81% 5.86 8.50 -7.06
8. 2019. 9. 30. 0.24% 1.72% 7.54 0.37 -1.68
9. 2019. 10. 31. -7.44% 2.04% 108.57 0.88 -9.77
10. 2019. 11. 30. 4.63% 3.40% 2.70 5.28 3.78
11. 2019. 12. 31. 2.83% 2.86% 0.03 3.07 -0.28
12. 2020. 1. 31. 3.58% -0.16% 0.36 1.61 -0.76
13. 2020. 2. 29. -10.78% -8.41% 189.56 90.57 131.03
14. 2020. 3. 31. -15.38% -12.51% 337.39 185.44 250.14
15. 2020. 4. 30. 34.22% 12.68% 975.99 134.06 361.72
16. 2020. 5. 31. 14.29% 4.53% 127.74 11.71 38.68
17. 2020. 6. 30. 4.83% 1.84% 3.41 0.54 1.35
18. 2020. 7. 31. 9.74% 5.51% 45.63 19.40 29.75
19. 2020. 8. 31. 13.46% 7.01% 109.82 34.82 61.84
20. 2020. 9. 30. -5.11% -3.92% 65.55 25.29 40.71
21. 2020. 10. 31. -3.38% -2.77% 40.47 15.00 24.63
22. 2020. 11. 30. 7.32% 10.75% 18.84 93.10 41.88
23. 2020. 12. 31. 7.52% 3.71% 20.60 6.79 11.83
24. 2021. 1. 31. 6.74% -1.11% 14.14 4.93 -8.35
25. 2021. 2. 28. -2.57% 2.61% 30.82 2.26 -8.35
26. 2021. 3. 31. -1.46% 4.24% 19.71 9.85 -13.93
27. 2021. 4. 30. 5.00% 5.24% 4.05 17.11 8.33
28. 2021. 5. 31. -8.04% 0.55% 121.59 0.31 6.14
29. 2021. 6. 30. 13.01% 2.22% 100.53 1.24 11.19
30. 2021. 7. 31. 20.19% 2.27% 295.95 1.37 20.11
31. 2021. 8. 31. 2.15% 2.90% 0.70 3.22 -1.50
32. 2021. 9. 30. -4.52% -4.76% 56.28 34.37 43.98
33. 2021. 10. 31. -2.12% 6.91% 26.03 33.74 -29.64
34. 2021. 11. 30. -7.62% -0.83% 112.37 3.76 20.56
35. 2021. 12. 31. 6.39% 4.36% 11.59 10.60 11.09
36. 2022. 1. 31. -15.04% -5.26% 324.91 40.51 114.72
37. 2022. 2. 28. 2.56% -3.14% 0.18 17.99 1.81
38. 2022. 3. 31. 3.84% 3.58% 0.73 6.11 2.12
39. 2022. 4. 30. -8.00% -8.80% 120.56 98.04 108.72
40. 2022. 5. 31. -3.64% 0.01% 43.89 1.21 7.29
41. 2022. 6. 30. -6.77% -8.39% 95.21 90.21 92.67
42. 2022. 7. 31. 19.62% 9.11% 276.69 64.09 133.17
43. 2022. 8. 31. 2.11% -4.24% 0.76 28.62 4.67
44. 2022. 9. 30. -5.89% -9.34% 78.67 109.11 92.65
45. 2022. 10. 31. -0.30% 7.99% 10.78 47.34 -22.59
46. 2022. 11. 30. 8.58% 5.38% 31.27 18.23 23.87
47. 2022. 12. 31. -14.72% -5.90% 313.43 49.04 123.98
48. 2023. 1. 31. 18.67% 6.18% 245.96 25.70 79.50
49. 2023. 2. 28. -9.44% -2.61% 154.45 13.82 46.20
50. 2023. 3. 31. 14.59% 3.51% 134.65 5.76 27.84
51. 2023. 4. 30. 21.01% 1.46% 325.04 0.13 6.46
52. 2023. 5. 31. 0.44% 0.25% 6.49 0.74 2.19
53. 2023. 6. 30. 3.01% 4.71% 0.00 13.02 0.09
54. 2023. 7. 31. -8.25% 4.85% 126.23 13.99 -42.02
55. 2023. 8. 31. -1.83% -1.77% 23.21 8.28 13.86
56. 2023. 9. 30. -4.91% -4.87% 62.24 35.73 47.16
57. 2023. 10. 31. 6.00% -2.20% 9.12 10.92 -9.98
58. 2023. 11. 30. 13.41% 8.92% 108.79 61.03 81.48
59. 2023. 12. 31. 3.84% 4.42% 0.73 11.00 2.83
합계 (Σ): 5,864.53 1,634.30 2,092.35

모두 보기

분산CMG = Σ(RCMG,tRCMG)2 ÷ (59 – 1)
= 5,864.53 ÷ (59 – 1)
= 101.11

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18

공분산CMG, S&P 500 = Σ(RCMG,tRCMG)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 2,092.35 ÷ (59 – 1)
= 36.07


체계적인 위험 추정 (β)

Microsoft Excel
분산CMG 101.11
분산S&P 500 28.18
공분산CMG, S&P 500 36.07
상관 계수CMG, S&P 5001 0.68
βCMG2 1.28
αCMG3 1.57%

계산

1 상관 계수CMG, S&P 500
= 공분산CMG, S&P 500 ÷ (표준 편차CMG × 표준 편차S&P 500)
= 36.07 ÷ (10.06% × 5.31%)
= 0.68

2 βCMG
= 공분산CMG, S&P 500 ÷ 분산S&P 500
= 36.07 ÷ 28.18
= 1.28

3 αCMG
= 평균의CMG – βCMG × 평균의S&P 500
= 2.98%1.28 × 1.11%
= 1.57%


기대 수익률

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.48%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 13.84%
보통주의 체계적 위험Chipotle βCMG 1.28
 
Chipotle 보통주에 대한 예상 수익률3 E(RCMG) 16.47%

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(RCMG) = RF + βCMG [E(RM) – RF]
= 4.48% + 1.28 [13.84%4.48%]
= 16.47%