Stock Analysis on Net

Devon Energy Corp. (NYSE:DVN)

이 회사는 아카이브로 이동되었습니다! 이 재무 데이터는 2023년 11월 8일부터 업데이트되지 않았습니다.

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

수익률

Devon Energy Corp., 월별 수익률

Microsoft Excel
Devon Energy Corp. (DVN) Standard & Poor’s 500 (S&P 500)
t 날짜 DVN,t1 피제수DVN,t1 RDVN,t2 S&P 500,t RS&P 500,t3
2018. 1. 31. $41.37 2,823.81
1. 2018. 2. 28. $30.67 -25.86% 2,713.83 -3.89%
2. 2018. 3. 31. $31.79 $0.06 3.85% 2,640.87 -2.69%
3. 2018. 4. 30. $36.33 14.28% 2,648.05 0.27%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2022. 11. 30. $68.52 -11.42% 4,080.11 5.38%
59. 2022. 12. 31. $61.51 $1.35 -8.26% 3,839.50 -5.90%
평균의 (R): 3.10% 0.67%
표준 편차: 20.44% 5.40%
Devon Energy Corp. (DVN) Standard & Poor’s 500 (S&P 500)
t 날짜 DVN,t1 피제수DVN,t1 RDVN,t2 S&P 500,t RS&P 500,t3
2018. 1. 31. $41.37 2,823.81
1. 2018. 2. 28. $30.67 -25.86% 2,713.83 -3.89%
2. 2018. 3. 31. $31.79 $0.06 3.85% 2,640.87 -2.69%
3. 2018. 4. 30. $36.33 14.28% 2,648.05 0.27%
4. 2018. 5. 31. $41.57 14.42% 2,705.27 2.16%
5. 2018. 6. 30. $43.96 $0.08 5.94% 2,718.37 0.48%
6. 2018. 7. 31. $45.01 2.39% 2,816.29 3.60%
7. 2018. 8. 31. $42.93 -4.62% 2,901.52 3.03%
8. 2018. 9. 30. $39.94 $0.08 -6.78% 2,913.98 0.43%
9. 2018. 10. 31. $32.40 -18.88% 2,711.74 -6.94%
10. 2018. 11. 30. $27.03 -16.57% 2,760.17 1.79%
11. 2018. 12. 31. $22.54 $0.08 -16.32% 2,506.85 -9.18%
12. 2019. 1. 31. $26.65 18.23% 2,704.10 7.87%
13. 2019. 2. 28. $29.51 10.73% 2,784.49 2.97%
14. 2019. 3. 31. $31.56 $0.08 7.22% 2,834.40 1.79%
15. 2019. 4. 30. $32.14 1.84% 2,945.83 3.93%
16. 2019. 5. 31. $25.16 -21.72% 2,752.06 -6.58%
17. 2019. 6. 30. $28.52 $0.09 13.71% 2,941.76 6.89%
18. 2019. 7. 31. $27.00 -5.33% 2,980.38 1.31%
19. 2019. 8. 31. $21.99 -18.56% 2,926.46 -1.81%
20. 2019. 9. 30. $24.06 $0.09 9.82% 2,976.74 1.72%
21. 2019. 10. 31. $20.28 -15.71% 3,037.56 2.04%
22. 2019. 11. 30. $21.89 7.94% 3,140.98 3.40%
23. 2019. 12. 31. $25.97 $0.09 19.05% 3,230.78 2.86%
24. 2020. 1. 31. $21.72 -16.37% 3,225.52 -0.16%
25. 2020. 2. 29. $16.24 -25.23% 2,954.22 -8.41%
26. 2020. 3. 31. $6.91 $0.09 -56.90% 2,584.59 -12.51%
27. 2020. 4. 30. $12.47 80.46% 2,912.43 12.68%
28. 2020. 5. 31. $10.81 -13.31% 3,044.31 4.53%
29. 2020. 6. 30. $11.34 $0.11 5.92% 3,100.29 1.84%
30. 2020. 7. 31. $10.49 -7.50% 3,271.12 5.51%
31. 2020. 8. 31. $10.87 $0.26 6.10% 3,500.31 7.01%
32. 2020. 9. 30. $9.46 $0.11 -11.96% 3,363.00 -3.92%
33. 2020. 10. 31. $8.93 -5.60% 3,269.96 -2.77%
34. 2020. 11. 30. $13.99 56.66% 3,621.63 10.75%
35. 2020. 12. 31. $15.81 $0.11 13.80% 3,756.07 3.71%
36. 2021. 1. 31. $16.46 4.11% 3,714.24 -1.11%
37. 2021. 2. 28. $21.54 30.86% 3,811.15 2.61%
38. 2021. 3. 31. $21.85 $0.30 2.83% 3,972.89 4.24%
39. 2021. 4. 30. $23.38 7.00% 4,181.17 5.24%
40. 2021. 5. 31. $26.56 13.60% 4,204.11 0.55%
41. 2021. 6. 30. $29.19 $0.34 11.18% 4,297.50 2.22%
42. 2021. 7. 31. $25.84 -11.48% 4,395.26 2.27%
43. 2021. 8. 31. $29.55 14.36% 4,522.68 2.90%
44. 2021. 9. 30. $35.51 $0.49 21.83% 4,307.54 -4.76%
45. 2021. 10. 31. $40.08 12.87% 4,605.38 6.91%
46. 2021. 11. 30. $42.06 4.94% 4,567.00 -0.83%
47. 2021. 12. 31. $44.05 $0.84 6.73% 4,766.18 4.36%
48. 2022. 1. 31. $50.57 14.80% 4,515.55 -5.26%
49. 2022. 2. 28. $59.55 17.76% 4,373.94 -3.14%
50. 2022. 3. 31. $59.13 $1.00 0.97% 4,530.41 3.58%
51. 2022. 4. 30. $58.17 -1.62% 4,131.93 -8.80%
52. 2022. 5. 31. $74.90 28.76% 4,132.15 0.01%
53. 2022. 6. 30. $55.11 $1.27 -24.73% 3,785.38 -8.39%
54. 2022. 7. 31. $62.85 14.04% 4,130.29 9.11%
55. 2022. 8. 31. $70.62 12.36% 3,955.00 -4.24%
56. 2022. 9. 30. $60.13 $1.55 -12.66% 3,585.62 -9.34%
57. 2022. 10. 31. $77.35 28.64% 3,871.98 7.99%
58. 2022. 11. 30. $68.52 -11.42% 4,080.11 5.38%
59. 2022. 12. 31. $61.51 $1.35 -8.26% 3,839.50 -5.90%
평균의 (R): 3.10% 0.67%
표준 편차: 20.44% 5.40%

모두 표시

1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.

2 기간 t 동안 DVN의 보통주에 대한 수익률.

3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.


분산과 공분산

Devon Energy Corp., 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RDVN,t RS&P 500,t (RDVN,tRDVN)2 (RS&P 500,tRS&P 500)2 (RDVN,tRDVN)×(RS&P 500,tRS&P 500)
1. 2018. 2. 28. -25.86% -3.89% 838.68 20.81 132.10
2. 2018. 3. 31. 3.85% -2.69% 0.56 11.26 -2.52
3. 2018. 4. 30. 14.28% 0.27% 125.11 0.16 -4.42
. . . . . . .
. . . . . . .
. . . . . . .
58. 2022. 11. 30. -11.42% 5.38% 210.58 22.17 -68.33
59. 2022. 12. 31. -8.26% -5.90% 128.96 43.08 74.54
합계 (Σ): 24,229.28 1,691.48 4,082.20
t 날짜 RDVN,t RS&P 500,t (RDVN,tRDVN)2 (RS&P 500,tRS&P 500)2 (RDVN,tRDVN)×(RS&P 500,tRS&P 500)
1. 2018. 2. 28. -25.86% -3.89% 838.68 20.81 132.10
2. 2018. 3. 31. 3.85% -2.69% 0.56 11.26 -2.52
3. 2018. 4. 30. 14.28% 0.27% 125.11 0.16 -4.42
4. 2018. 5. 31. 14.42% 2.16% 128.31 2.23 16.93
5. 2018. 6. 30. 5.94% 0.48% 8.10 0.03 -0.52
6. 2018. 7. 31. 2.39% 3.60% 0.50 8.62 -2.08
7. 2018. 8. 31. -4.62% 3.03% 59.55 5.57 -18.21
8. 2018. 9. 30. -6.78% 0.43% 97.50 0.06 2.34
9. 2018. 10. 31. -18.88% -6.94% 482.87 57.87 167.16
10. 2018. 11. 30. -16.57% 1.79% 386.91 1.25 -22.02
11. 2018. 12. 31. -16.32% -9.18% 376.79 96.91 191.09
12. 2019. 1. 31. 18.23% 7.87% 229.17 51.87 109.02
13. 2019. 2. 28. 10.73% 2.97% 58.31 5.32 17.61
14. 2019. 3. 31. 7.22% 1.79% 16.99 1.27 4.64
15. 2019. 4. 30. 1.84% 3.93% 1.58 10.66 -4.11
16. 2019. 5. 31. -21.72% -6.58% 615.70 52.48 179.76
17. 2019. 6. 30. 13.71% 6.89% 112.71 38.77 66.10
18. 2019. 7. 31. -5.33% 1.31% 70.99 0.42 -5.44
19. 2019. 8. 31. -18.56% -1.81% 468.78 6.13 53.60
20. 2019. 9. 30. 9.82% 1.72% 45.25 1.11 7.07
21. 2019. 10. 31. -15.71% 2.04% 353.69 1.89 -25.89
22. 2019. 11. 30. 7.94% 3.40% 23.45 7.50 13.26
23. 2019. 12. 31. 19.05% 2.86% 254.53 4.81 34.98
24. 2020. 1. 31. -16.37% -0.16% 378.73 0.69 16.14
25. 2020. 2. 29. -25.23% -8.41% 802.37 82.40 257.14
26. 2020. 3. 31. -56.90% -12.51% 3,599.09 173.67 790.61
27. 2020. 4. 30. 80.46% 12.68% 5,985.69 144.43 929.78
28. 2020. 5. 31. -13.31% 4.53% 269.22 14.91 -63.36
29. 2020. 6. 30. 5.92% 1.84% 7.98 1.37 3.31
30. 2020. 7. 31. -7.50% 5.51% 112.18 23.46 -51.30
31. 2020. 8. 31. 6.10% 7.01% 9.03 40.19 19.05
32. 2020. 9. 30. -11.96% -3.92% 226.66 21.06 69.10
33. 2020. 10. 31. -5.60% -2.77% 75.66 11.79 29.86
34. 2020. 11. 30. 56.66% 10.75% 2,869.43 101.77 540.38
35. 2020. 12. 31. 13.80% 3.71% 114.48 9.28 32.59
36. 2021. 1. 31. 4.11% -1.11% 1.03 3.17 -1.81
37. 2021. 2. 28. 30.86% 2.61% 771.00 3.77 53.94
38. 2021. 3. 31. 2.83% 4.24% 0.07 12.80 -0.94
39. 2021. 4. 30. 7.00% 5.24% 15.26 20.94 17.88
40. 2021. 5. 31. 13.60% 0.55% 110.37 0.01 -1.24
41. 2021. 6. 30. 11.18% 2.22% 65.39 2.42 12.57
42. 2021. 7. 31. -11.48% 2.27% 212.36 2.59 -23.43
43. 2021. 8. 31. 14.36% 2.90% 126.83 4.98 25.14
44. 2021. 9. 30. 21.83% -4.76% 350.87 29.42 -101.59
45. 2021. 10. 31. 12.87% 6.91% 95.53 39.03 61.06
46. 2021. 11. 30. 4.94% -0.83% 3.40 2.25 -2.77
47. 2021. 12. 31. 6.73% 4.36% 13.20 13.65 13.42
48. 2022. 1. 31. 14.80% -5.26% 137.02 35.11 -69.36
49. 2022. 2. 28. 17.76% -3.14% 214.97 14.46 -55.75
50. 2022. 3. 31. 0.97% 3.58% 4.50 8.47 -6.18
51. 2022. 4. 30. -1.62% -8.80% 22.27 89.54 44.66
52. 2022. 5. 31. 28.76% 0.01% 658.67 0.44 -16.97
53. 2022. 6. 30. -24.73% -8.39% 774.07 82.06 252.03
54. 2022. 7. 31. 14.04% 9.11% 119.88 71.32 92.46
55. 2022. 8. 31. 12.36% -4.24% 85.88 24.11 -45.51
56. 2022. 9. 30. -12.66% -9.34% 248.23 100.12 157.65
57. 2022. 10. 31. 28.64% 7.99% 652.40 53.58 186.96
58. 2022. 11. 30. -11.42% 5.38% 210.58 22.17 -68.33
59. 2022. 12. 31. -8.26% -5.90% 128.96 43.08 74.54
합계 (Σ): 24,229.28 1,691.48 4,082.20

모두 표시

분산DVN = Σ(RDVN,tRDVN)2 ÷ (59 – 1)
= 24,229.28 ÷ (59 – 1)
= 417.75

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16

공분산DVN, S&P 500 = Σ(RDVN,tRDVN)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 4,082.20 ÷ (59 – 1)
= 70.38


체계적인 위험 추정 (β)

Microsoft Excel
분산DVN 417.75
분산S&P 500 29.16
공분산DVN, S&P 500 70.38
상관 계수DVN, S&P 5001 0.64
βDVN2 2.41
αDVN3 1.49%

계산

1 상관 계수DVN, S&P 500
= 공분산DVN, S&P 500 ÷ (표준 편차DVN × 표준 편차S&P 500)
= 70.38 ÷ (20.44% × 5.40%)
= 0.64

2 βDVN
= 공분산DVN, S&P 500 ÷ 분산S&P 500
= 70.38 ÷ 29.16
= 2.41

3 αDVN
= 평균의DVN – βDVN × 평균의S&P 500
= 3.10%2.41 × 0.67%
= 1.49%


예상 수익률

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.81%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 13.50%
보통주 Devon 의 체계적인 리스크 βDVN 2.41
 
Devon 보통주에 대한 예상 수익률3 E(RDVN) 25.77%

1 10년 이내에 만기가 되지 않거나 콜 가능하지 않은 모든 미결제 고정 쿠폰 미국 재무부 채권에 대한 입찰 수익률의 가중 평균(무위험 수익률 프록시).

2 자세히 보기 »

3 E(RDVN) = RF + βDVN [E(RM) – RF]
= 4.81% + 2.41 [13.50%4.81%]
= 25.77%