자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Eaton보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Eaton Corp. plc, 월별 수익률
| Eaton Corp. plc (ETN) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ETN,t1 | 피제수ETN,t1 | RETN,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2021. 1. 31. | $117.70 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $130.19 | 10.61% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $138.28 | $0.76 | 6.80% | 3,972.89 | 4.24% |
| 3. | 2021. 4. 30. | $142.93 | 3.36% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | $345.89 | $1.04 | -9.08% | 6,849.09 | 0.13% |
| 59. | 2025. 12. 31. | $318.51 | -7.92% | 6,845.50 | -0.05% | |
| 평균의 (R): | 2.13% | 1.14% | ||||
| 표준 편차: | 7.66% | 4.37% | ||||
| Eaton Corp. plc (ETN) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ETN,t1 | 피제수ETN,t1 | RETN,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2021. 1. 31. | $117.70 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $130.19 | 10.61% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $138.28 | $0.76 | 6.80% | 3,972.89 | 4.24% |
| 3. | 2021. 4. 30. | $142.93 | 3.36% | 4,181.17 | 5.24% | |
| 4. | 2021. 5. 31. | $145.25 | $0.76 | 2.15% | 4,204.11 | 0.55% |
| 5. | 2021. 6. 30. | $148.18 | 2.02% | 4,297.50 | 2.22% | |
| 6. | 2021. 7. 31. | $158.05 | 6.66% | 4,395.26 | 2.27% | |
| 7. | 2021. 8. 31. | $168.36 | $0.76 | 7.00% | 4,522.68 | 2.90% |
| 8. | 2021. 9. 30. | $149.31 | -11.32% | 4,307.54 | -4.76% | |
| 9. | 2021. 10. 31. | $164.76 | 10.35% | 4,605.38 | 6.91% | |
| 10. | 2021. 11. 30. | $162.06 | $0.76 | -1.18% | 4,567.00 | -0.83% |
| 11. | 2021. 12. 31. | $172.82 | 6.64% | 4,766.18 | 4.36% | |
| 12. | 2022. 1. 31. | $158.43 | -8.33% | 4,515.55 | -5.26% | |
| 13. | 2022. 2. 28. | $154.29 | -2.61% | 4,373.94 | -3.14% | |
| 14. | 2022. 3. 31. | $151.76 | $0.81 | -1.11% | 4,530.41 | 3.58% |
| 15. | 2022. 4. 30. | $145.02 | -4.44% | 4,131.93 | -8.80% | |
| 16. | 2022. 5. 31. | $138.60 | $0.81 | -3.87% | 4,132.15 | 0.01% |
| 17. | 2022. 6. 30. | $125.99 | -9.10% | 3,785.38 | -8.39% | |
| 18. | 2022. 7. 31. | $148.39 | 17.78% | 4,130.29 | 9.11% | |
| 19. | 2022. 8. 31. | $136.64 | $0.81 | -7.37% | 3,955.00 | -4.24% |
| 20. | 2022. 9. 30. | $133.36 | -2.40% | 3,585.62 | -9.34% | |
| 21. | 2022. 10. 31. | $150.07 | 12.53% | 3,871.98 | 7.99% | |
| 22. | 2022. 11. 30. | $163.45 | $0.81 | 9.46% | 4,080.11 | 5.38% |
| 23. | 2022. 12. 31. | $156.95 | -3.98% | 3,839.50 | -5.90% | |
| 24. | 2023. 1. 31. | $162.21 | 3.35% | 4,076.60 | 6.18% | |
| 25. | 2023. 2. 28. | $174.93 | 7.84% | 3,970.15 | -2.61% | |
| 26. | 2023. 3. 31. | $171.34 | $0.86 | -1.56% | 4,109.31 | 3.51% |
| 27. | 2023. 4. 30. | $167.12 | -2.46% | 4,169.48 | 1.46% | |
| 28. | 2023. 5. 31. | $175.90 | $0.86 | 5.77% | 4,179.83 | 0.25% |
| 29. | 2023. 6. 30. | $201.10 | 14.33% | 4,376.86 | 4.71% | |
| 30. | 2023. 7. 31. | $205.32 | 2.10% | 4,588.96 | 4.85% | |
| 31. | 2023. 8. 31. | $230.37 | $0.86 | 12.62% | 4,507.66 | -1.77% |
| 32. | 2023. 9. 30. | $213.28 | -7.42% | 4,288.05 | -4.87% | |
| 33. | 2023. 10. 31. | $207.91 | -2.52% | 4,193.80 | -2.20% | |
| 34. | 2023. 11. 30. | $227.69 | $0.86 | 9.93% | 4,567.80 | 8.92% |
| 35. | 2023. 12. 31. | $240.82 | 5.77% | 4,769.83 | 4.42% | |
| 36. | 2024. 1. 31. | $246.08 | 2.18% | 4,845.65 | 1.59% | |
| 37. | 2024. 2. 29. | $289.00 | 17.44% | 5,096.27 | 5.17% | |
| 38. | 2024. 3. 31. | $312.68 | $0.94 | 8.52% | 5,254.35 | 3.10% |
| 39. | 2024. 4. 30. | $318.26 | 1.78% | 5,035.69 | -4.16% | |
| 40. | 2024. 5. 31. | $332.85 | $0.94 | 4.88% | 5,277.51 | 4.80% |
| 41. | 2024. 6. 30. | $313.55 | -5.80% | 5,460.48 | 3.47% | |
| 42. | 2024. 7. 31. | $304.79 | -2.79% | 5,522.30 | 1.13% | |
| 43. | 2024. 8. 31. | $306.93 | $0.94 | 1.01% | 5,648.40 | 2.28% |
| 44. | 2024. 9. 30. | $331.44 | 7.99% | 5,762.48 | 2.02% | |
| 45. | 2024. 10. 31. | $331.58 | 0.04% | 5,705.45 | -0.99% | |
| 46. | 2024. 11. 30. | $375.42 | $0.94 | 13.51% | 6,032.38 | 5.73% |
| 47. | 2024. 12. 31. | $331.87 | -11.60% | 5,881.63 | -2.50% | |
| 48. | 2025. 1. 31. | $326.44 | -1.64% | 6,040.53 | 2.70% | |
| 49. | 2025. 2. 28. | $293.32 | -10.15% | 5,954.50 | -1.42% | |
| 50. | 2025. 3. 31. | $271.83 | $1.04 | -6.97% | 5,611.85 | -5.75% |
| 51. | 2025. 4. 30. | $294.37 | 8.29% | 5,569.06 | -0.76% | |
| 52. | 2025. 5. 31. | $320.20 | $1.04 | 9.13% | 5,911.69 | 6.15% |
| 53. | 2025. 6. 30. | $356.99 | 11.49% | 6,204.95 | 4.96% | |
| 54. | 2025. 7. 31. | $384.72 | 7.77% | 6,339.39 | 2.17% | |
| 55. | 2025. 8. 31. | $349.14 | $1.04 | -8.98% | 6,460.26 | 1.91% |
| 56. | 2025. 9. 30. | $374.25 | 7.19% | 6,688.46 | 3.53% | |
| 57. | 2025. 10. 31. | $381.56 | 1.95% | 6,840.20 | 2.27% | |
| 58. | 2025. 11. 30. | $345.89 | $1.04 | -9.08% | 6,849.09 | 0.13% |
| 59. | 2025. 12. 31. | $318.51 | -7.92% | 6,845.50 | -0.05% | |
| 평균의 (R): | 2.13% | 1.14% | ||||
| 표준 편차: | 7.66% | 4.37% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 ETN의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Eaton Corp. plc, 수익률의 분산 및 공분산 계산
| t | 날짜 | RETN,t | RS&P 500,t | (RETN,t–RETN)2 | (RS&P 500,t–RS&P 500)2 | (RETN,t–RETN)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 2. 28. | 10.61% | 2.61% | 71.94 | 2.17 | 12.49 |
| 2. | 2021. 3. 31. | 6.80% | 4.24% | 21.79 | 9.66 | 14.51 |
| 3. | 2021. 4. 30. | 3.36% | 5.24% | 1.52 | 16.86 | 5.06 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | -9.08% | 0.13% | 125.57 | 1.01 | 11.27 |
| 59. | 2025. 12. 31. | -7.92% | -0.05% | 100.91 | 1.41 | 11.94 |
| 합계 (Σ): | 3,406.65 | 1,108.23 | 1,308.29 | |||
| t | 날짜 | RETN,t | RS&P 500,t | (RETN,t–RETN)2 | (RS&P 500,t–RS&P 500)2 | (RETN,t–RETN)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 2. 28. | 10.61% | 2.61% | 71.94 | 2.17 | 12.49 |
| 2. | 2021. 3. 31. | 6.80% | 4.24% | 21.79 | 9.66 | 14.51 |
| 3. | 2021. 4. 30. | 3.36% | 5.24% | 1.52 | 16.86 | 5.06 |
| 4. | 2021. 5. 31. | 2.15% | 0.55% | 0.00 | 0.35 | -0.01 |
| 5. | 2021. 6. 30. | 2.02% | 2.22% | 0.01 | 1.18 | -0.12 |
| 6. | 2021. 7. 31. | 6.66% | 2.27% | 20.53 | 1.30 | 5.16 |
| 7. | 2021. 8. 31. | 7.00% | 2.90% | 23.76 | 3.11 | 8.59 |
| 8. | 2021. 9. 30. | -11.32% | -4.76% | 180.76 | 34.73 | 79.23 |
| 9. | 2021. 10. 31. | 10.35% | 6.91% | 67.53 | 33.39 | 47.48 |
| 10. | 2021. 11. 30. | -1.18% | -0.83% | 10.94 | 3.88 | 6.51 |
| 11. | 2021. 12. 31. | 6.64% | 4.36% | 20.34 | 10.40 | 14.54 |
| 12. | 2022. 1. 31. | -8.33% | -5.26% | 109.33 | 40.89 | 66.86 |
| 13. | 2022. 2. 28. | -2.61% | -3.14% | 22.49 | 18.25 | 20.26 |
| 14. | 2022. 3. 31. | -1.11% | 3.58% | 10.53 | 5.96 | -7.92 |
| 15. | 2022. 4. 30. | -4.44% | -8.80% | 43.18 | 98.64 | 65.26 |
| 16. | 2022. 5. 31. | -3.87% | 0.01% | 35.98 | 1.28 | 6.78 |
| 17. | 2022. 6. 30. | -9.10% | -8.39% | 126.07 | 90.79 | 106.98 |
| 18. | 2022. 7. 31. | 17.78% | 9.11% | 244.91 | 63.61 | 124.81 |
| 19. | 2022. 8. 31. | -7.37% | -4.24% | 90.29 | 28.95 | 51.12 |
| 20. | 2022. 9. 30. | -2.40% | -9.34% | 20.52 | 109.74 | 47.46 |
| 21. | 2022. 10. 31. | 12.53% | 7.99% | 108.17 | 46.93 | 71.24 |
| 22. | 2022. 11. 30. | 9.46% | 5.38% | 53.67 | 17.97 | 31.06 |
| 23. | 2022. 12. 31. | -3.98% | -5.90% | 37.29 | 49.47 | 42.95 |
| 24. | 2023. 1. 31. | 3.35% | 6.18% | 1.49 | 25.39 | 6.16 |
| 25. | 2023. 2. 28. | 7.84% | -2.61% | 32.63 | 14.04 | -21.40 |
| 26. | 2023. 3. 31. | -1.56% | 3.51% | 13.62 | 5.61 | -8.74 |
| 27. | 2023. 4. 30. | -2.46% | 1.46% | 21.09 | 0.11 | -1.51 |
| 28. | 2023. 5. 31. | 5.77% | 0.25% | 13.24 | 0.79 | -3.23 |
| 29. | 2023. 6. 30. | 14.33% | 4.71% | 148.76 | 12.80 | 43.64 |
| 30. | 2023. 7. 31. | 2.10% | 4.85% | 0.00 | 13.76 | -0.12 |
| 31. | 2023. 8. 31. | 12.62% | -1.77% | 110.03 | 8.46 | -30.50 |
| 32. | 2023. 9. 30. | -7.42% | -4.87% | 91.17 | 36.10 | 57.37 |
| 33. | 2023. 10. 31. | -2.52% | -2.20% | 21.60 | 11.12 | 15.50 |
| 34. | 2023. 11. 30. | 9.93% | 8.92% | 60.80 | 60.56 | 60.68 |
| 35. | 2023. 12. 31. | 5.77% | 4.42% | 13.23 | 10.80 | 11.95 |
| 36. | 2024. 1. 31. | 2.18% | 1.59% | 0.00 | 0.21 | 0.02 |
| 37. | 2024. 2. 29. | 17.44% | 5.17% | 234.45 | 16.29 | 61.80 |
| 38. | 2024. 3. 31. | 8.52% | 3.10% | 40.82 | 3.86 | 12.56 |
| 39. | 2024. 4. 30. | 1.78% | -4.16% | 0.12 | 28.06 | 1.83 |
| 40. | 2024. 5. 31. | 4.88% | 4.80% | 7.56 | 13.44 | 10.08 |
| 41. | 2024. 6. 30. | -5.80% | 3.47% | 62.86 | 5.43 | -18.48 |
| 42. | 2024. 7. 31. | -2.79% | 1.13% | 24.24 | 0.00 | 0.02 |
| 43. | 2024. 8. 31. | 1.01% | 2.28% | 1.25 | 1.32 | -1.28 |
| 44. | 2024. 9. 30. | 7.99% | 2.02% | 34.29 | 0.78 | 5.17 |
| 45. | 2024. 10. 31. | 0.04% | -0.99% | 4.36 | 4.52 | 4.44 |
| 46. | 2024. 11. 30. | 13.51% | 5.73% | 129.40 | 21.10 | 52.26 |
| 47. | 2024. 12. 31. | -11.60% | -2.50% | 188.52 | 13.21 | 49.91 |
| 48. | 2025. 1. 31. | -1.64% | 2.70% | 14.18 | 2.45 | -5.90 |
| 49. | 2025. 2. 28. | -10.15% | -1.42% | 150.69 | 6.56 | 31.43 |
| 50. | 2025. 3. 31. | -6.97% | -5.75% | 82.84 | 47.48 | 62.72 |
| 51. | 2025. 4. 30. | 8.29% | -0.76% | 37.97 | 3.60 | -11.70 |
| 52. | 2025. 5. 31. | 9.13% | 6.15% | 48.98 | 25.16 | 35.10 |
| 53. | 2025. 6. 30. | 11.49% | 4.96% | 87.61 | 14.63 | 35.80 |
| 54. | 2025. 7. 31. | 7.77% | 2.17% | 31.79 | 1.06 | 5.81 |
| 55. | 2025. 8. 31. | -8.98% | 1.91% | 123.38 | 0.59 | -8.56 |
| 56. | 2025. 9. 30. | 7.19% | 3.53% | 25.63 | 5.74 | 12.13 |
| 57. | 2025. 10. 31. | 1.95% | 2.27% | 0.03 | 1.28 | -0.20 |
| 58. | 2025. 11. 30. | -9.08% | 0.13% | 125.57 | 1.01 | 11.27 |
| 59. | 2025. 12. 31. | -7.92% | -0.05% | 100.91 | 1.41 | 11.94 |
| 합계 (Σ): | 3,406.65 | 1,108.23 | 1,308.29 | |||
모두 보기
분산ETN = Σ(RETN,t–RETN)2 ÷ (59 – 1)
= 3,406.65 ÷ (59 – 1)
= 58.74
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
공분산ETN, S&P 500 = Σ(RETN,t–RETN)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,308.29 ÷ (59 – 1)
= 22.56
체계적인 위험 추정 (β)
| 분산ETN | 58.74 |
| 분산S&P 500 | 19.11 |
| 공분산ETN, S&P 500 | 22.56 |
| 상관 계수ETN, S&P 5001 | 0.67 |
| βETN2 | 1.18 |
| αETN3 | 0.79% |
계산
1 상관 계수ETN, S&P 500
= 공분산ETN, S&P 500 ÷ (표준 편차ETN × 표준 편차S&P 500)
= 22.56 ÷ (7.66% × 4.37%)
= 0.67
2 βETN
= 공분산ETN, S&P 500 ÷ 분산S&P 500
= 22.56 ÷ 19.11
= 1.18
3 αETN
= 평균의ETN – βETN × 평균의S&P 500
= 2.13% – 1.18 × 1.14%
= 0.79%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.94% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.36% |
| 보통주의 체계적 위험Eaton | βETN | 1.18 |
| Eaton 보통주에 대한 예상 수익률3 | E(RETN) | 19.60% |
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(RETN) = RF + βETN [E(RM) – RF]
= 4.94% + 1.18 [17.36% – 4.94%]
= 19.60%