자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 ConocoPhillips보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
ConocoPhillips, 월별 수익률
| ConocoPhillips (COP) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값COP,t1 | 피제수COP,t1 | RCOP,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 1. 31. | $59.43 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $48.42 | $0.42 | -17.82% | 2,954.22 | -8.41% |
| 2. | 2020. 3. 31. | $30.80 | -36.39% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $42.10 | 36.69% | 2,912.43 | 12.68% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | $108.34 | $0.78 | -0.38% | 6,032.38 | 5.73% |
| 59. | 2024. 12. 31. | $99.17 | -8.46% | 5,881.63 | -2.50% | |
| 평균의 (R): | 1.98% | 1.16% | ||||
| 표준 편차: | 12.81% | 5.28% | ||||
| ConocoPhillips (COP) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값COP,t1 | 피제수COP,t1 | RCOP,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 1. 31. | $59.43 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $48.42 | $0.42 | -17.82% | 2,954.22 | -8.41% |
| 2. | 2020. 3. 31. | $30.80 | -36.39% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $42.10 | 36.69% | 2,912.43 | 12.68% | |
| 4. | 2020. 5. 31. | $42.18 | $0.42 | 1.19% | 3,044.31 | 4.53% |
| 5. | 2020. 6. 30. | $42.02 | -0.38% | 3,100.29 | 1.84% | |
| 6. | 2020. 7. 31. | $37.39 | $0.42 | -10.02% | 3,271.12 | 5.51% |
| 7. | 2020. 8. 31. | $37.89 | 1.34% | 3,500.31 | 7.01% | |
| 8. | 2020. 9. 30. | $32.84 | -13.33% | 3,363.00 | -3.92% | |
| 9. | 2020. 10. 31. | $28.62 | $0.43 | -11.54% | 3,269.96 | -2.77% |
| 10. | 2020. 11. 30. | $39.56 | 38.23% | 3,621.63 | 10.75% | |
| 11. | 2020. 12. 31. | $39.99 | 1.09% | 3,756.07 | 3.71% | |
| 12. | 2021. 1. 31. | $40.03 | 0.10% | 3,714.24 | -1.11% | |
| 13. | 2021. 2. 28. | $52.01 | $0.43 | 31.00% | 3,811.15 | 2.61% |
| 14. | 2021. 3. 31. | $52.97 | 1.85% | 3,972.89 | 4.24% | |
| 15. | 2021. 4. 30. | $51.14 | -3.45% | 4,181.17 | 5.24% | |
| 16. | 2021. 5. 31. | $55.74 | $0.43 | 9.84% | 4,204.11 | 0.55% |
| 17. | 2021. 6. 30. | $60.90 | 9.26% | 4,297.50 | 2.22% | |
| 18. | 2021. 7. 31. | $56.06 | $0.43 | -7.24% | 4,395.26 | 2.27% |
| 19. | 2021. 8. 31. | $55.53 | -0.95% | 4,522.68 | 2.90% | |
| 20. | 2021. 9. 30. | $67.77 | 22.04% | 4,307.54 | -4.76% | |
| 21. | 2021. 10. 31. | $74.49 | $0.46 | 10.59% | 4,605.38 | 6.91% |
| 22. | 2021. 11. 30. | $70.13 | -5.85% | 4,567.00 | -0.83% | |
| 23. | 2021. 12. 31. | $72.18 | $0.20 | 3.21% | 4,766.18 | 4.36% |
| 24. | 2022. 1. 31. | $88.62 | 22.78% | 4,515.55 | -5.26% | |
| 25. | 2022. 2. 28. | $94.86 | $0.46 | 7.56% | 4,373.94 | -3.14% |
| 26. | 2022. 3. 31. | $100.00 | $0.30 | 5.73% | 4,530.41 | 3.58% |
| 27. | 2022. 4. 30. | $95.52 | -4.48% | 4,131.93 | -8.80% | |
| 28. | 2022. 5. 31. | $112.36 | $0.46 | 18.11% | 4,132.15 | 0.01% |
| 29. | 2022. 6. 30. | $89.81 | $0.70 | -19.45% | 3,785.38 | -8.39% |
| 30. | 2022. 7. 31. | $97.43 | 8.48% | 4,130.29 | 9.11% | |
| 31. | 2022. 8. 31. | $109.45 | $0.46 | 12.81% | 3,955.00 | -4.24% |
| 32. | 2022. 9. 30. | $102.34 | $1.40 | -5.22% | 3,585.62 | -9.34% |
| 33. | 2022. 10. 31. | $126.09 | 23.21% | 3,871.98 | 7.99% | |
| 34. | 2022. 11. 30. | $123.51 | $0.51 | -1.64% | 4,080.11 | 5.38% |
| 35. | 2022. 12. 31. | $118.00 | $0.70 | -3.89% | 3,839.50 | -5.90% |
| 36. | 2023. 1. 31. | $121.87 | 3.28% | 4,076.60 | 6.18% | |
| 37. | 2023. 2. 28. | $103.35 | $0.51 | -14.78% | 3,970.15 | -2.61% |
| 38. | 2023. 3. 31. | $99.21 | $0.60 | -3.43% | 4,109.31 | 3.51% |
| 39. | 2023. 4. 30. | $102.89 | 3.71% | 4,169.48 | 1.46% | |
| 40. | 2023. 5. 31. | $99.30 | $0.51 | -2.99% | 4,179.83 | 0.25% |
| 41. | 2023. 6. 30. | $103.61 | $0.60 | 4.94% | 4,376.86 | 4.71% |
| 42. | 2023. 7. 31. | $117.72 | 13.62% | 4,588.96 | 4.85% | |
| 43. | 2023. 8. 31. | $119.03 | $0.51 | 1.55% | 4,507.66 | -1.77% |
| 44. | 2023. 9. 30. | $119.80 | $0.60 | 1.15% | 4,288.05 | -4.87% |
| 45. | 2023. 10. 31. | $118.80 | -0.83% | 4,193.80 | -2.20% | |
| 46. | 2023. 11. 30. | $115.57 | $0.58 | -2.23% | 4,567.80 | 8.92% |
| 47. | 2023. 12. 31. | $116.07 | 0.43% | 4,769.83 | 4.42% | |
| 48. | 2024. 1. 31. | $111.87 | -3.62% | 4,845.65 | 1.59% | |
| 49. | 2024. 2. 29. | $112.54 | $0.78 | 1.30% | 5,096.27 | 5.17% |
| 50. | 2024. 3. 31. | $127.28 | 13.10% | 5,254.35 | 3.10% | |
| 51. | 2024. 4. 30. | $125.62 | -1.30% | 5,035.69 | -4.16% | |
| 52. | 2024. 5. 31. | $116.48 | $0.78 | -6.65% | 5,277.51 | 4.80% |
| 53. | 2024. 6. 30. | $114.38 | -1.80% | 5,460.48 | 3.47% | |
| 54. | 2024. 7. 31. | $111.20 | -2.78% | 5,522.30 | 1.13% | |
| 55. | 2024. 8. 31. | $113.79 | $0.78 | 3.03% | 5,648.40 | 2.28% |
| 56. | 2024. 9. 30. | $105.28 | -7.48% | 5,762.48 | 2.02% | |
| 57. | 2024. 10. 31. | $109.54 | 4.05% | 5,705.45 | -0.99% | |
| 58. | 2024. 11. 30. | $108.34 | $0.78 | -0.38% | 6,032.38 | 5.73% |
| 59. | 2024. 12. 31. | $99.17 | -8.46% | 5,881.63 | -2.50% | |
| 평균의 (R): | 1.98% | 1.16% | ||||
| 표준 편차: | 12.81% | 5.28% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 COP의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
ConocoPhillips, 수익률의 분산 및 공분산 계산
| t | 날짜 | RCOP,t | RS&P 500,t | (RCOP,t–RCOP)2 | (RS&P 500,t–RS&P 500)2 | (RCOP,t–RCOP)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020. 2. 29. | -17.82% | -8.41% | 392.03 | 91.63 | 189.53 |
| 2. | 2020. 3. 31. | -36.39% | -12.51% | 1,472.29 | 186.96 | 524.65 |
| 3. | 2020. 4. 30. | 36.69% | 12.68% | 1,204.64 | 132.78 | 399.94 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | -0.38% | 5.73% | 5.59 | 20.87 | -10.80 |
| 59. | 2024. 12. 31. | -8.46% | -2.50% | 109.09 | 13.40 | 38.23 |
| 합계 (Σ): | 9,522.57 | 1,618.62 | 1,937.20 | |||
| t | 날짜 | RCOP,t | RS&P 500,t | (RCOP,t–RCOP)2 | (RS&P 500,t–RS&P 500)2 | (RCOP,t–RCOP)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020. 2. 29. | -17.82% | -8.41% | 392.03 | 91.63 | 189.53 |
| 2. | 2020. 3. 31. | -36.39% | -12.51% | 1,472.29 | 186.96 | 524.65 |
| 3. | 2020. 4. 30. | 36.69% | 12.68% | 1,204.64 | 132.78 | 399.94 |
| 4. | 2020. 5. 31. | 1.19% | 4.53% | 0.63 | 11.34 | -2.67 |
| 5. | 2020. 6. 30. | -0.38% | 1.84% | 5.57 | 0.46 | -1.60 |
| 6. | 2020. 7. 31. | -10.02% | 5.51% | 143.99 | 18.91 | -52.18 |
| 7. | 2020. 8. 31. | 1.34% | 7.01% | 0.41 | 34.17 | -3.76 |
| 8. | 2020. 9. 30. | -13.33% | -3.92% | 234.35 | 25.85 | 77.83 |
| 9. | 2020. 10. 31. | -11.54% | -2.77% | 182.82 | 15.43 | 53.11 |
| 10. | 2020. 11. 30. | 38.23% | 10.75% | 1,313.67 | 92.03 | 347.70 |
| 11. | 2020. 12. 31. | 1.09% | 3.71% | 0.80 | 6.51 | -2.28 |
| 12. | 2021. 1. 31. | 0.10% | -1.11% | 3.54 | 5.18 | 4.28 |
| 13. | 2021. 2. 28. | 31.00% | 2.61% | 842.24 | 2.10 | 42.02 |
| 14. | 2021. 3. 31. | 1.85% | 4.24% | 0.02 | 9.50 | -0.42 |
| 15. | 2021. 4. 30. | -3.45% | 5.24% | 29.54 | 16.66 | -22.18 |
| 16. | 2021. 5. 31. | 9.84% | 0.55% | 61.71 | 0.38 | -4.81 |
| 17. | 2021. 6. 30. | 9.26% | 2.22% | 52.95 | 1.12 | 7.71 |
| 18. | 2021. 7. 31. | -7.24% | 2.27% | 85.04 | 1.24 | -10.27 |
| 19. | 2021. 8. 31. | -0.95% | 2.90% | 8.56 | 3.02 | -5.08 |
| 20. | 2021. 9. 30. | 22.04% | -4.76% | 402.47 | 35.02 | -118.73 |
| 21. | 2021. 10. 31. | 10.59% | 6.91% | 74.20 | 33.10 | 49.56 |
| 22. | 2021. 11. 30. | -5.85% | -0.83% | 61.37 | 3.98 | 15.63 |
| 23. | 2021. 12. 31. | 3.21% | 4.36% | 1.51 | 10.24 | 3.93 |
| 24. | 2022. 1. 31. | 22.78% | -5.26% | 432.47 | 41.21 | -133.51 |
| 25. | 2022. 2. 28. | 7.56% | -3.14% | 31.14 | 18.47 | -23.98 |
| 26. | 2022. 3. 31. | 5.73% | 3.58% | 14.09 | 5.84 | 9.07 |
| 27. | 2022. 4. 30. | -4.48% | -8.80% | 41.74 | 99.14 | 64.33 |
| 28. | 2022. 5. 31. | 18.11% | 0.01% | 260.21 | 1.34 | -18.65 |
| 29. | 2022. 6. 30. | -19.45% | -8.39% | 459.11 | 91.26 | 204.70 |
| 30. | 2022. 7. 31. | 8.48% | 9.11% | 42.30 | 63.21 | 51.71 |
| 31. | 2022. 8. 31. | 12.81% | -4.24% | 117.26 | 29.22 | -58.53 |
| 32. | 2022. 9. 30. | -5.22% | -9.34% | 51.80 | 110.27 | 75.58 |
| 33. | 2022. 10. 31. | 23.21% | 7.99% | 450.56 | 46.58 | 144.87 |
| 34. | 2022. 11. 30. | -1.64% | 5.38% | 13.12 | 17.76 | -15.26 |
| 35. | 2022. 12. 31. | -3.89% | -5.90% | 34.51 | 49.82 | 41.47 |
| 36. | 2023. 1. 31. | 3.28% | 6.18% | 1.69 | 25.14 | 6.51 |
| 37. | 2023. 2. 28. | -14.78% | -2.61% | 280.85 | 14.23 | 63.22 |
| 38. | 2023. 3. 31. | -3.43% | 3.51% | 29.22 | 5.49 | -12.67 |
| 39. | 2023. 4. 30. | 3.71% | 1.46% | 2.99 | 0.09 | 0.52 |
| 40. | 2023. 5. 31. | -2.99% | 0.25% | 24.74 | 0.83 | 4.54 |
| 41. | 2023. 6. 30. | 4.94% | 4.71% | 8.79 | 12.62 | 10.53 |
| 42. | 2023. 7. 31. | 13.62% | 4.85% | 135.44 | 13.58 | 42.88 |
| 43. | 2023. 8. 31. | 1.55% | -1.77% | 0.19 | 8.60 | 1.27 |
| 44. | 2023. 9. 30. | 1.15% | -4.87% | 0.69 | 36.40 | 5.00 |
| 45. | 2023. 10. 31. | -0.83% | -2.20% | 7.93 | 11.28 | 9.46 |
| 46. | 2023. 11. 30. | -2.23% | 8.92% | 17.73 | 60.17 | -32.66 |
| 47. | 2023. 12. 31. | 0.43% | 4.42% | 2.40 | 10.64 | -5.05 |
| 48. | 2024. 1. 31. | -3.62% | 1.59% | 31.35 | 0.18 | -2.40 |
| 49. | 2024. 2. 29. | 1.30% | 5.17% | 0.47 | 16.09 | -2.74 |
| 50. | 2024. 3. 31. | 13.10% | 3.10% | 123.59 | 3.77 | 21.57 |
| 51. | 2024. 4. 30. | -1.30% | -4.16% | 10.79 | 28.33 | 17.48 |
| 52. | 2024. 5. 31. | -6.65% | 4.80% | 74.57 | 13.26 | -31.44 |
| 53. | 2024. 6. 30. | -1.80% | 3.47% | 14.31 | 5.32 | -8.72 |
| 54. | 2024. 7. 31. | -2.78% | 1.13% | 22.66 | 0.00 | 0.14 |
| 55. | 2024. 8. 31. | 3.03% | 2.28% | 1.10 | 1.26 | 1.18 |
| 56. | 2024. 9. 30. | -7.48% | 2.02% | 89.48 | 0.74 | -8.12 |
| 57. | 2024. 10. 31. | 4.05% | -0.99% | 4.27 | 4.63 | -4.44 |
| 58. | 2024. 11. 30. | -0.38% | 5.73% | 5.59 | 20.87 | -10.80 |
| 59. | 2024. 12. 31. | -8.46% | -2.50% | 109.09 | 13.40 | 38.23 |
| 합계 (Σ): | 9,522.57 | 1,618.62 | 1,937.20 | |||
모두 보기
분산COP = Σ(RCOP,t–RCOP)2 ÷ (59 – 1)
= 9,522.57 ÷ (59 – 1)
= 164.18
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91
공분산COP, S&P 500 = Σ(RCOP,t–RCOP)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,937.20 ÷ (59 – 1)
= 33.40
체계적인 위험 추정 (β)
| 분산COP | 164.18 |
| 분산S&P 500 | 27.91 |
| 공분산COP, S&P 500 | 33.40 |
| 상관 계수COP, S&P 5001 | 0.49 |
| βCOP2 | 1.20 |
| αCOP3 | 0.59% |
계산
1 상관 계수COP, S&P 500
= 공분산COP, S&P 500 ÷ (표준 편차COP × 표준 편차S&P 500)
= 33.40 ÷ (12.81% × 5.28%)
= 0.49
2 βCOP
= 공분산COP, S&P 500 ÷ 분산S&P 500
= 33.40 ÷ 27.91
= 1.20
3 αCOP
= 평균의COP – βCOP × 평균의S&P 500
= 1.98% – 1.20 × 1.16%
= 0.59%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.91% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.84% |
| 보통주의 체계적 위험ConocoPhillips | βCOP | 1.20 |
| ConocoPhillips 보통주의 예상 수익률3 | E(RCOP) | 16.79% |
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(RCOP) = RF + βCOP [E(RM) – RF]
= 4.91% + 1.20 [14.84% – 4.91%]
= 16.79%