자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Deckers보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Deckers Outdoor Corp., 월별 수익률
| Deckers Outdoor Corp. (DECK) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값DECK,t1 | 피제수DECK,t1 | RDECK,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 4. 30. | $59.59 | 2,384.20 | ||||
| 1. | 2017. 5. 31. | $69.36 | 16.40% | 2,411.80 | 1.16% | |
| 2. | 2017. 6. 30. | $68.26 | -1.59% | 2,423.41 | 0.48% | |
| 3. | 2017. 7. 31. | $64.86 | -4.98% | 2,470.30 | 1.93% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023. 2. 28. | $416.35 | -2.60% | 3,970.15 | -2.61% | |
| 71. | 2023. 3. 31. | $449.55 | 7.97% | 4,109.31 | 3.51% | |
| 평균의 (R): | 3.26% | 0.90% | ||||
| 표준 편차: | 8.81% | 5.03% | ||||
| Deckers Outdoor Corp. (DECK) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값DECK,t1 | 피제수DECK,t1 | RDECK,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 4. 30. | $59.59 | 2,384.20 | ||||
| 1. | 2017. 5. 31. | $69.36 | 16.40% | 2,411.80 | 1.16% | |
| 2. | 2017. 6. 30. | $68.26 | -1.59% | 2,423.41 | 0.48% | |
| 3. | 2017. 7. 31. | $64.86 | -4.98% | 2,470.30 | 1.93% | |
| 4. | 2017. 8. 31. | $63.90 | -1.48% | 2,471.65 | 0.05% | |
| 5. | 2017. 9. 30. | $68.41 | 7.06% | 2,519.36 | 1.93% | |
| 6. | 2017. 10. 31. | $68.24 | -0.25% | 2,575.26 | 2.22% | |
| 7. | 2017. 11. 30. | $74.73 | 9.51% | 2,647.58 | 2.81% | |
| 8. | 2017. 12. 31. | $80.25 | 7.39% | 2,673.61 | 0.98% | |
| 9. | 2018. 1. 31. | $85.71 | 6.80% | 2,823.81 | 5.62% | |
| 10. | 2018. 2. 28. | $94.58 | 10.35% | 2,713.83 | -3.89% | |
| 11. | 2018. 3. 31. | $90.03 | -4.81% | 2,640.87 | -2.69% | |
| 12. | 2018. 4. 30. | $93.26 | 3.59% | 2,648.05 | 0.27% | |
| 13. | 2018. 5. 31. | $113.16 | 21.34% | 2,705.27 | 2.16% | |
| 14. | 2018. 6. 30. | $112.89 | -0.24% | 2,718.37 | 0.48% | |
| 15. | 2018. 7. 31. | $112.83 | -0.05% | 2,816.29 | 3.60% | |
| 16. | 2018. 8. 31. | $121.84 | 7.99% | 2,901.52 | 3.03% | |
| 17. | 2018. 9. 30. | $118.58 | -2.68% | 2,913.98 | 0.43% | |
| 18. | 2018. 10. 31. | $127.17 | 7.24% | 2,711.74 | -6.94% | |
| 19. | 2018. 11. 30. | $133.24 | 4.77% | 2,760.17 | 1.79% | |
| 20. | 2018. 12. 31. | $127.95 | -3.97% | 2,506.85 | -9.18% | |
| 21. | 2019. 1. 31. | $128.45 | 0.39% | 2,704.10 | 7.87% | |
| 22. | 2019. 2. 28. | $147.95 | 15.18% | 2,784.49 | 2.97% | |
| 23. | 2019. 3. 31. | $146.99 | -0.65% | 2,834.40 | 1.79% | |
| 24. | 2019. 4. 30. | $158.21 | 7.63% | 2,945.83 | 3.93% | |
| 25. | 2019. 5. 31. | $152.10 | -3.86% | 2,752.06 | -6.58% | |
| 26. | 2019. 6. 30. | $175.97 | 15.69% | 2,941.76 | 6.89% | |
| 27. | 2019. 7. 31. | $156.28 | -11.19% | 2,980.38 | 1.31% | |
| 28. | 2019. 8. 31. | $147.45 | -5.65% | 2,926.46 | -1.81% | |
| 29. | 2019. 9. 30. | $147.36 | -0.06% | 2,976.74 | 1.72% | |
| 30. | 2019. 10. 31. | $152.90 | 3.76% | 3,037.56 | 2.04% | |
| 31. | 2019. 11. 30. | $168.18 | 9.99% | 3,140.98 | 3.40% | |
| 32. | 2019. 12. 31. | $168.86 | 0.40% | 3,230.78 | 2.86% | |
| 33. | 2020. 1. 31. | $190.91 | 13.06% | 3,225.52 | -0.16% | |
| 34. | 2020. 2. 29. | $173.80 | -8.96% | 2,954.22 | -8.41% | |
| 35. | 2020. 3. 31. | $134.00 | -22.90% | 2,584.59 | -12.51% | |
| 36. | 2020. 4. 30. | $148.76 | 11.01% | 2,912.43 | 12.68% | |
| 37. | 2020. 5. 31. | $182.53 | 22.70% | 3,044.31 | 4.53% | |
| 38. | 2020. 6. 30. | $196.39 | 7.59% | 3,100.29 | 1.84% | |
| 39. | 2020. 7. 31. | $209.25 | 6.55% | 3,271.12 | 5.51% | |
| 40. | 2020. 8. 31. | $203.87 | -2.57% | 3,500.31 | 7.01% | |
| 41. | 2020. 9. 30. | $220.01 | 7.92% | 3,363.00 | -3.92% | |
| 42. | 2020. 10. 31. | $253.37 | 15.16% | 3,269.96 | -2.77% | |
| 43. | 2020. 11. 30. | $254.59 | 0.48% | 3,621.63 | 10.75% | |
| 44. | 2020. 12. 31. | $286.78 | 12.64% | 3,756.07 | 3.71% | |
| 45. | 2021. 1. 31. | $291.98 | 1.81% | 3,714.24 | -1.11% | |
| 46. | 2021. 2. 28. | $326.11 | 11.69% | 3,811.15 | 2.61% | |
| 47. | 2021. 3. 31. | $330.42 | 1.32% | 3,972.89 | 4.24% | |
| 48. | 2021. 4. 30. | $338.20 | 2.35% | 4,181.17 | 5.24% | |
| 49. | 2021. 5. 31. | $335.44 | -0.82% | 4,204.11 | 0.55% | |
| 50. | 2021. 6. 30. | $384.07 | 14.50% | 4,297.50 | 2.22% | |
| 51. | 2021. 7. 31. | $410.85 | 6.97% | 4,395.26 | 2.27% | |
| 52. | 2021. 8. 31. | $418.45 | 1.85% | 4,522.68 | 2.90% | |
| 53. | 2021. 9. 30. | $360.20 | -13.92% | 4,307.54 | -4.76% | |
| 54. | 2021. 10. 31. | $395.31 | 9.75% | 4,605.38 | 6.91% | |
| 55. | 2021. 11. 30. | $405.40 | 2.55% | 4,567.00 | -0.83% | |
| 56. | 2021. 12. 31. | $366.31 | -9.64% | 4,766.18 | 4.36% | |
| 57. | 2022. 1. 31. | $320.23 | -12.58% | 4,515.55 | -5.26% | |
| 58. | 2022. 2. 28. | $288.64 | -9.86% | 4,373.94 | -3.14% | |
| 59. | 2022. 3. 31. | $273.77 | -5.15% | 4,530.41 | 3.58% | |
| 60. | 2022. 4. 30. | $265.75 | -2.93% | 4,131.93 | -8.80% | |
| 61. | 2022. 5. 31. | $268.56 | 1.06% | 4,132.15 | 0.01% | |
| 62. | 2022. 6. 30. | $255.35 | -4.92% | 3,785.38 | -8.39% | |
| 63. | 2022. 7. 31. | $313.21 | 22.66% | 4,130.29 | 9.11% | |
| 64. | 2022. 8. 31. | $321.57 | 2.67% | 3,955.00 | -4.24% | |
| 65. | 2022. 9. 30. | $312.61 | -2.79% | 3,585.62 | -9.34% | |
| 66. | 2022. 10. 31. | $349.93 | 11.94% | 3,871.98 | 7.99% | |
| 67. | 2022. 11. 30. | $398.88 | 13.99% | 4,080.11 | 5.38% | |
| 68. | 2022. 12. 31. | $399.16 | 0.07% | 3,839.50 | -5.90% | |
| 69. | 2023. 1. 31. | $427.48 | 7.09% | 4,076.60 | 6.18% | |
| 70. | 2023. 2. 28. | $416.35 | -2.60% | 3,970.15 | -2.61% | |
| 71. | 2023. 3. 31. | $449.55 | 7.97% | 4,109.31 | 3.51% | |
| 평균의 (R): | 3.26% | 0.90% | ||||
| 표준 편차: | 8.81% | 5.03% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 DECK의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Deckers Outdoor Corp., 수익률의 분산 및 공분산 계산
| t | 날짜 | RDECK,t | RS&P 500,t | (RDECK,t–RDECK)2 | (RS&P 500,t–RS&P 500)2 | (RDECK,t–RDECK)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 5. 31. | 16.40% | 1.16% | 172.43 | 0.07 | 3.44 |
| 2. | 2017. 6. 30. | -1.59% | 0.48% | 23.52 | 0.17 | 2.01 |
| 3. | 2017. 7. 31. | -4.98% | 1.93% | 67.98 | 1.08 | -8.57 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023. 2. 28. | -2.60% | -2.61% | 34.43 | 12.30 | 20.58 |
| 71. | 2023. 3. 31. | 7.97% | 3.51% | 22.18 | 6.81 | 12.29 |
| 합계 (Σ): | 5,438.60 | 1,772.37 | 1,590.05 | |||
| t | 날짜 | RDECK,t | RS&P 500,t | (RDECK,t–RDECK)2 | (RS&P 500,t–RS&P 500)2 | (RDECK,t–RDECK)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 5. 31. | 16.40% | 1.16% | 172.43 | 0.07 | 3.44 |
| 2. | 2017. 6. 30. | -1.59% | 0.48% | 23.52 | 0.17 | 2.01 |
| 3. | 2017. 7. 31. | -4.98% | 1.93% | 67.98 | 1.08 | -8.57 |
| 4. | 2017. 8. 31. | -1.48% | 0.05% | 22.51 | 0.71 | 3.99 |
| 5. | 2017. 9. 30. | 7.06% | 1.93% | 14.39 | 1.07 | 3.93 |
| 6. | 2017. 10. 31. | -0.25% | 2.22% | 12.34 | 1.75 | -4.65 |
| 7. | 2017. 11. 30. | 9.51% | 2.81% | 39.02 | 3.66 | 11.95 |
| 8. | 2017. 12. 31. | 7.39% | 0.98% | 16.99 | 0.01 | 0.36 |
| 9. | 2018. 1. 31. | 6.80% | 5.62% | 12.53 | 22.30 | 16.71 |
| 10. | 2018. 2. 28. | 10.35% | -3.89% | 50.19 | 22.95 | -33.94 |
| 11. | 2018. 3. 31. | -4.81% | -2.69% | 65.20 | 12.85 | 28.94 |
| 12. | 2018. 4. 30. | 3.59% | 0.27% | 0.10 | 0.39 | -0.20 |
| 13. | 2018. 5. 31. | 21.34% | 2.16% | 326.67 | 1.60 | 22.87 |
| 14. | 2018. 6. 30. | -0.24% | 0.48% | 12.27 | 0.17 | 1.44 |
| 15. | 2018. 7. 31. | -0.05% | 3.60% | 11.00 | 7.33 | -8.98 |
| 16. | 2018. 8. 31. | 7.99% | 3.03% | 22.29 | 4.54 | 10.06 |
| 17. | 2018. 9. 30. | -2.68% | 0.43% | 35.28 | 0.22 | 2.77 |
| 18. | 2018. 10. 31. | 7.24% | -6.94% | 15.84 | 61.40 | -31.19 |
| 19. | 2018. 11. 30. | 4.77% | 1.79% | 2.28 | 0.79 | 1.34 |
| 20. | 2018. 12. 31. | -3.97% | -9.18% | 52.34 | 101.47 | 72.87 |
| 21. | 2019. 1. 31. | 0.39% | 7.87% | 8.26 | 48.62 | -20.04 |
| 22. | 2019. 2. 28. | 15.18% | 2.97% | 142.01 | 4.32 | 24.75 |
| 23. | 2019. 3. 31. | -0.65% | 1.79% | 15.31 | 0.80 | -3.51 |
| 24. | 2019. 4. 30. | 7.63% | 3.93% | 19.09 | 9.22 | 13.26 |
| 25. | 2019. 5. 31. | -3.86% | -6.58% | 50.78 | 55.85 | 53.26 |
| 26. | 2019. 6. 30. | 15.69% | 6.89% | 154.49 | 35.97 | 74.54 |
| 27. | 2019. 7. 31. | -11.19% | 1.31% | 208.91 | 0.17 | -6.03 |
| 28. | 2019. 8. 31. | -5.65% | -1.81% | 79.46 | 7.32 | 24.11 |
| 29. | 2019. 9. 30. | -0.06% | 1.72% | 11.06 | 0.68 | -2.74 |
| 30. | 2019. 10. 31. | 3.76% | 2.04% | 0.25 | 1.32 | 0.57 |
| 31. | 2019. 11. 30. | 9.99% | 3.40% | 45.28 | 6.30 | 16.88 |
| 32. | 2019. 12. 31. | 0.40% | 2.86% | 8.18 | 3.85 | -5.61 |
| 33. | 2020. 1. 31. | 13.06% | -0.16% | 95.92 | 1.12 | -10.37 |
| 34. | 2020. 2. 29. | -8.96% | -8.41% | 149.49 | 86.61 | 113.79 |
| 35. | 2020. 3. 31. | -22.90% | -12.51% | 684.56 | 179.76 | 350.80 |
| 36. | 2020. 4. 30. | 11.01% | 12.68% | 60.07 | 138.98 | 91.37 |
| 37. | 2020. 5. 31. | 22.70% | 4.53% | 377.79 | 13.20 | 70.61 |
| 38. | 2020. 6. 30. | 7.59% | 1.84% | 18.74 | 0.89 | 4.08 |
| 39. | 2020. 7. 31. | 6.55% | 5.51% | 10.78 | 21.29 | 15.15 |
| 40. | 2020. 8. 31. | -2.57% | 7.01% | 34.05 | 37.34 | -35.66 |
| 41. | 2020. 9. 30. | 7.92% | -3.92% | 21.65 | 23.22 | -22.42 |
| 42. | 2020. 10. 31. | 15.16% | -2.77% | 141.58 | 13.41 | -43.58 |
| 43. | 2020. 11. 30. | 0.48% | 10.75% | 7.74 | 97.20 | -27.43 |
| 44. | 2020. 12. 31. | 12.64% | 3.71% | 87.98 | 7.93 | 26.42 |
| 45. | 2021. 1. 31. | 1.81% | -1.11% | 2.11 | 4.04 | 2.92 |
| 46. | 2021. 2. 28. | 11.69% | 2.61% | 70.98 | 2.94 | 14.44 |
| 47. | 2021. 3. 31. | 1.32% | 4.24% | 3.77 | 11.21 | -6.50 |
| 48. | 2021. 4. 30. | 2.35% | 5.24% | 0.83 | 18.90 | -3.95 |
| 49. | 2021. 5. 31. | -0.82% | 0.55% | 16.65 | 0.12 | 1.42 |
| 50. | 2021. 6. 30. | 14.50% | 2.22% | 126.18 | 1.76 | 14.89 |
| 51. | 2021. 7. 31. | 6.97% | 2.27% | 13.75 | 1.90 | 5.11 |
| 52. | 2021. 8. 31. | 1.85% | 2.90% | 2.00 | 4.01 | -2.83 |
| 53. | 2021. 9. 30. | -13.92% | -4.76% | 295.31 | 31.95 | 97.14 |
| 54. | 2021. 10. 31. | 9.75% | 6.91% | 42.03 | 36.23 | 39.02 |
| 55. | 2021. 11. 30. | 2.55% | -0.83% | 0.51 | 2.99 | 1.23 |
| 56. | 2021. 12. 31. | -9.64% | 4.36% | 166.58 | 12.01 | -44.73 |
| 57. | 2022. 1. 31. | -12.58% | -5.26% | 251.02 | 37.87 | 97.50 |
| 58. | 2022. 2. 28. | -9.86% | -3.14% | 172.37 | 16.25 | 52.93 |
| 59. | 2022. 3. 31. | -5.15% | 3.58% | 70.83 | 7.19 | -22.57 |
| 60. | 2022. 4. 30. | -2.93% | -8.80% | 38.36 | 93.92 | 60.02 |
| 61. | 2022. 5. 31. | 1.06% | 0.01% | 4.87 | 0.79 | 1.96 |
| 62. | 2022. 6. 30. | -4.92% | -8.39% | 66.96 | 86.26 | 76.00 |
| 63. | 2022. 7. 31. | 22.66% | 9.11% | 376.16 | 67.50 | 159.35 |
| 64. | 2022. 8. 31. | 2.67% | -4.24% | 0.35 | 26.42 | 3.06 |
| 65. | 2022. 9. 30. | -2.79% | -9.34% | 36.61 | 104.76 | 61.93 |
| 66. | 2022. 10. 31. | 11.94% | 7.99% | 75.24 | 50.28 | 61.51 |
| 67. | 2022. 11. 30. | 13.99% | 5.38% | 115.01 | 20.07 | 48.04 |
| 68. | 2022. 12. 31. | 0.07% | -5.90% | 10.20 | 46.14 | 21.70 |
| 69. | 2023. 1. 31. | 7.09% | 6.18% | 14.67 | 27.87 | 20.22 |
| 70. | 2023. 2. 28. | -2.60% | -2.61% | 34.43 | 12.30 | 20.58 |
| 71. | 2023. 3. 31. | 7.97% | 3.51% | 22.18 | 6.81 | 12.29 |
| 합계 (Σ): | 5,438.60 | 1,772.37 | 1,590.05 | |||
모두 보기
분산DECK = Σ(RDECK,t–RDECK)2 ÷ (71 – 1)
= 5,438.60 ÷ (71 – 1)
= 77.69
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,772.37 ÷ (71 – 1)
= 25.32
공분산DECK, S&P 500 = Σ(RDECK,t–RDECK)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,590.05 ÷ (71 – 1)
= 22.72
체계적인 위험 추정 (β)
| 분산DECK | 77.69 |
| 분산S&P 500 | 25.32 |
| 공분산DECK, S&P 500 | 22.72 |
| 상관 계수DECK, S&P 5001 | 0.51 |
| βDECK2 | 0.90 |
| αDECK3 | 2.46% |
계산
1 상관 계수DECK, S&P 500
= 공분산DECK, S&P 500 ÷ (표준 편차DECK × 표준 편차S&P 500)
= 22.72 ÷ (8.81% × 5.03%)
= 0.51
2 βDECK
= 공분산DECK, S&P 500 ÷ 분산S&P 500
= 22.72 ÷ 25.32
= 0.90
3 αDECK
= 평균의DECK – βDECK × 평균의S&P 500
= 3.26% – 0.90 × 0.90%
= 2.46%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.67% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.79% |
| 보통주의 체계적 위험Deckers | βDECK | 0.90 |
| Deckers 보통주의 예상 수익률3 | E(RDECK) | 12.85% |
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(RDECK) = RF + βDECK [E(RM) – RF]
= 4.67% + 0.90 [13.79% – 4.67%]
= 12.85%