자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 FedEx보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
FedEx Corp., 월별 수익률
| FedEx Corp. (FDX) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값FDX,t1 | 피제수FDX,t1 | RFDX,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 6. 30. | $164.19 | 2,941.76 | ||||
| 1. | 2019. 7. 31. | $170.53 | 3.86% | 2,980.38 | 1.31% | |
| 2. | 2019. 8. 31. | $158.61 | -6.99% | 2,926.46 | -1.81% | |
| 3. | 2019. 9. 30. | $145.57 | $0.65 | -7.81% | 2,976.74 | 1.72% |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 4. 30. | $210.33 | -13.72% | 5,569.06 | -0.76% | |
| 71. | 2025. 5. 31. | $218.10 | 3.69% | 5,911.69 | 6.15% | |
| 평균의 (R): | 1.03% | 1.11% | ||||
| 표준 편차: | 9.96% | 4.96% | ||||
| FedEx Corp. (FDX) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값FDX,t1 | 피제수FDX,t1 | RFDX,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 6. 30. | $164.19 | 2,941.76 | ||||
| 1. | 2019. 7. 31. | $170.53 | 3.86% | 2,980.38 | 1.31% | |
| 2. | 2019. 8. 31. | $158.61 | -6.99% | 2,926.46 | -1.81% | |
| 3. | 2019. 9. 30. | $145.57 | $0.65 | -7.81% | 2,976.74 | 1.72% |
| 4. | 2019. 10. 31. | $152.66 | 4.87% | 3,037.56 | 2.04% | |
| 5. | 2019. 11. 30. | $160.05 | 4.84% | 3,140.98 | 3.40% | |
| 6. | 2019. 12. 31. | $151.21 | $0.65 | -5.12% | 3,230.78 | 2.86% |
| 7. | 2020. 1. 31. | $144.64 | -4.34% | 3,225.52 | -0.16% | |
| 8. | 2020. 2. 29. | $141.17 | -2.40% | 2,954.22 | -8.41% | |
| 9. | 2020. 3. 31. | $121.26 | $0.65 | -13.64% | 2,584.59 | -12.51% |
| 10. | 2020. 4. 30. | $126.77 | 4.54% | 2,912.43 | 12.68% | |
| 11. | 2020. 5. 31. | $130.56 | 2.99% | 3,044.31 | 4.53% | |
| 12. | 2020. 6. 30. | $140.22 | $0.65 | 7.90% | 3,100.29 | 1.84% |
| 13. | 2020. 7. 31. | $168.40 | 20.10% | 3,271.12 | 5.51% | |
| 14. | 2020. 8. 31. | $219.84 | 30.55% | 3,500.31 | 7.01% | |
| 15. | 2020. 9. 30. | $251.52 | $0.65 | 14.71% | 3,363.00 | -3.92% |
| 16. | 2020. 10. 31. | $259.47 | 3.16% | 3,269.96 | -2.77% | |
| 17. | 2020. 11. 30. | $286.58 | 10.45% | 3,621.63 | 10.75% | |
| 18. | 2020. 12. 31. | $259.62 | $0.65 | -9.18% | 3,756.07 | 3.71% |
| 19. | 2021. 1. 31. | $235.34 | -9.35% | 3,714.24 | -1.11% | |
| 20. | 2021. 2. 28. | $254.50 | 8.14% | 3,811.15 | 2.61% | |
| 21. | 2021. 3. 31. | $284.04 | $0.65 | 11.86% | 3,972.89 | 4.24% |
| 22. | 2021. 4. 30. | $290.31 | 2.21% | 4,181.17 | 5.24% | |
| 23. | 2021. 5. 31. | $314.81 | 8.44% | 4,204.11 | 0.55% | |
| 24. | 2021. 6. 30. | $298.33 | $0.75 | -5.00% | 4,297.50 | 2.22% |
| 25. | 2021. 7. 31. | $279.95 | -6.16% | 4,395.26 | 2.27% | |
| 26. | 2021. 8. 31. | $265.69 | -5.09% | 4,522.68 | 2.90% | |
| 27. | 2021. 9. 30. | $219.29 | $0.75 | -17.18% | 4,307.54 | -4.76% |
| 28. | 2021. 10. 31. | $235.53 | 7.41% | 4,605.38 | 6.91% | |
| 29. | 2021. 11. 30. | $230.37 | -2.19% | 4,567.00 | -0.83% | |
| 30. | 2021. 12. 31. | $258.64 | $0.75 | 12.60% | 4,766.18 | 4.36% |
| 31. | 2022. 1. 31. | $245.86 | -4.94% | 4,515.55 | -5.26% | |
| 32. | 2022. 2. 28. | $222.27 | -9.59% | 4,373.94 | -3.14% | |
| 33. | 2022. 3. 31. | $231.39 | $0.75 | 4.44% | 4,530.41 | 3.58% |
| 34. | 2022. 4. 30. | $198.74 | -14.11% | 4,131.93 | -8.80% | |
| 35. | 2022. 5. 31. | $224.58 | 13.00% | 4,132.15 | 0.01% | |
| 36. | 2022. 6. 30. | $226.71 | $1.15 | 1.46% | 3,785.38 | -8.39% |
| 37. | 2022. 7. 31. | $233.09 | 2.81% | 4,130.29 | 9.11% | |
| 38. | 2022. 8. 31. | $210.81 | -9.56% | 3,955.00 | -4.24% | |
| 39. | 2022. 9. 30. | $148.47 | $1.15 | -29.03% | 3,585.62 | -9.34% |
| 40. | 2022. 10. 31. | $160.28 | 7.95% | 3,871.98 | 7.99% | |
| 41. | 2022. 11. 30. | $182.22 | 13.69% | 4,080.11 | 5.38% | |
| 42. | 2022. 12. 31. | $173.20 | $1.15 | -4.32% | 3,839.50 | -5.90% |
| 43. | 2023. 1. 31. | $193.86 | 11.93% | 4,076.60 | 6.18% | |
| 44. | 2023. 2. 28. | $203.22 | 4.83% | 3,970.15 | -2.61% | |
| 45. | 2023. 3. 31. | $228.49 | $1.15 | 13.00% | 4,109.31 | 3.51% |
| 46. | 2023. 4. 30. | $227.78 | -0.31% | 4,169.48 | 1.46% | |
| 47. | 2023. 5. 31. | $217.98 | -4.30% | 4,179.83 | 0.25% | |
| 48. | 2023. 6. 30. | $247.90 | $1.26 | 14.30% | 4,376.86 | 4.71% |
| 49. | 2023. 7. 31. | $269.95 | 8.89% | 4,588.96 | 4.85% | |
| 50. | 2023. 8. 31. | $261.02 | -3.31% | 4,507.66 | -1.77% | |
| 51. | 2023. 9. 30. | $264.92 | $1.26 | 1.98% | 4,288.05 | -4.87% |
| 52. | 2023. 10. 31. | $240.10 | -9.37% | 4,193.80 | -2.20% | |
| 53. | 2023. 11. 30. | $258.83 | 7.80% | 4,567.80 | 8.92% | |
| 54. | 2023. 12. 31. | $252.97 | $1.26 | -1.78% | 4,769.83 | 4.42% |
| 55. | 2024. 1. 31. | $241.29 | -4.62% | 4,845.65 | 1.59% | |
| 56. | 2024. 2. 29. | $248.97 | 3.18% | 5,096.27 | 5.17% | |
| 57. | 2024. 3. 31. | $289.74 | $1.26 | 16.88% | 5,254.35 | 3.10% |
| 58. | 2024. 4. 30. | $261.78 | -9.65% | 5,035.69 | -4.16% | |
| 59. | 2024. 5. 31. | $253.96 | -2.99% | 5,277.51 | 4.80% | |
| 60. | 2024. 6. 30. | $299.84 | $1.38 | 18.61% | 5,460.48 | 3.47% |
| 61. | 2024. 7. 31. | $302.25 | 0.80% | 5,522.30 | 1.13% | |
| 62. | 2024. 8. 31. | $298.77 | -1.15% | 5,648.40 | 2.28% | |
| 63. | 2024. 9. 30. | $273.68 | $1.38 | -7.94% | 5,762.48 | 2.02% |
| 64. | 2024. 10. 31. | $273.85 | 0.06% | 5,705.45 | -0.99% | |
| 65. | 2024. 11. 30. | $302.67 | 10.52% | 6,032.38 | 5.73% | |
| 66. | 2024. 12. 31. | $281.33 | $1.38 | -6.59% | 5,881.63 | -2.50% |
| 67. | 2025. 1. 31. | $264.87 | -5.85% | 6,040.53 | 2.70% | |
| 68. | 2025. 2. 28. | $262.90 | -0.74% | 5,954.50 | -1.42% | |
| 69. | 2025. 3. 31. | $243.78 | $1.38 | -6.75% | 5,611.85 | -5.75% |
| 70. | 2025. 4. 30. | $210.33 | -13.72% | 5,569.06 | -0.76% | |
| 71. | 2025. 5. 31. | $218.10 | 3.69% | 5,911.69 | 6.15% | |
| 평균의 (R): | 1.03% | 1.11% | ||||
| 표준 편차: | 9.96% | 4.96% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 t 기간 동안 FDX의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
FedEx Corp., 수익률의 분산 및 공분산 계산
| t | 날짜 | RFDX,t | RS&P 500,t | (RFDX,t–RFDX)2 | (RS&P 500,t–RS&P 500)2 | (RFDX,t–RFDX)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 7. 31. | 3.86% | 1.31% | 8.00 | 0.04 | 0.57 |
| 2. | 2019. 8. 31. | -6.99% | -1.81% | 64.38 | 8.52 | 23.42 |
| 3. | 2019. 9. 30. | -7.81% | 1.72% | 78.24 | 0.37 | -5.38 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 4. 30. | -13.72% | -0.76% | 217.71 | 3.51 | 27.63 |
| 71. | 2025. 5. 31. | 3.69% | 6.15% | 7.08 | 25.43 | 13.42 |
| 합계 (Σ): | 6,942.04 | 1,723.53 | 2,042.56 | |||
| t | 날짜 | RFDX,t | RS&P 500,t | (RFDX,t–RFDX)2 | (RS&P 500,t–RS&P 500)2 | (RFDX,t–RFDX)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 7. 31. | 3.86% | 1.31% | 8.00 | 0.04 | 0.57 |
| 2. | 2019. 8. 31. | -6.99% | -1.81% | 64.38 | 8.52 | 23.42 |
| 3. | 2019. 9. 30. | -7.81% | 1.72% | 78.24 | 0.37 | -5.38 |
| 4. | 2019. 10. 31. | 4.87% | 2.04% | 14.72 | 0.87 | 3.58 |
| 5. | 2019. 11. 30. | 4.84% | 3.40% | 14.49 | 5.27 | 8.74 |
| 6. | 2019. 12. 31. | -5.12% | 2.86% | 37.83 | 3.06 | -10.76 |
| 7. | 2020. 1. 31. | -4.34% | -0.16% | 28.93 | 1.62 | 6.84 |
| 8. | 2020. 2. 29. | -2.40% | -8.41% | 11.78 | 90.65 | 32.68 |
| 9. | 2020. 3. 31. | -13.64% | -12.51% | 215.41 | 185.55 | 199.92 |
| 10. | 2020. 4. 30. | 4.54% | 12.68% | 12.32 | 133.97 | 40.63 |
| 11. | 2020. 5. 31. | 2.99% | 4.53% | 3.83 | 11.69 | 6.69 |
| 12. | 2020. 6. 30. | 7.90% | 1.84% | 47.10 | 0.53 | 5.00 |
| 13. | 2020. 7. 31. | 20.10% | 5.51% | 363.41 | 19.36 | 83.89 |
| 14. | 2020. 8. 31. | 30.55% | 7.01% | 871.00 | 34.77 | 174.03 |
| 15. | 2020. 9. 30. | 14.71% | -3.92% | 186.94 | 25.33 | -68.81 |
| 16. | 2020. 10. 31. | 3.16% | -2.77% | 4.52 | 15.03 | -8.25 |
| 17. | 2020. 11. 30. | 10.45% | 10.75% | 88.63 | 93.02 | 90.80 |
| 18. | 2020. 12. 31. | -9.18% | 3.71% | 104.33 | 6.77 | -26.58 |
| 19. | 2021. 1. 31. | -9.35% | -1.11% | 107.86 | 4.94 | 23.09 |
| 20. | 2021. 2. 28. | 8.14% | 2.61% | 50.52 | 2.25 | 10.66 |
| 21. | 2021. 3. 31. | 11.86% | 4.24% | 117.26 | 9.82 | 33.94 |
| 22. | 2021. 4. 30. | 2.21% | 5.24% | 1.38 | 17.08 | 4.85 |
| 23. | 2021. 5. 31. | 8.44% | 0.55% | 54.84 | 0.31 | -4.16 |
| 24. | 2021. 6. 30. | -5.00% | 2.22% | 36.36 | 1.24 | -6.70 |
| 25. | 2021. 7. 31. | -6.16% | 2.27% | 51.76 | 1.36 | -8.38 |
| 26. | 2021. 8. 31. | -5.09% | 2.90% | 37.54 | 3.20 | -10.96 |
| 27. | 2021. 9. 30. | -17.18% | -4.76% | 331.80 | 34.42 | 106.86 |
| 28. | 2021. 10. 31. | 7.41% | 6.91% | 40.60 | 33.69 | 36.99 |
| 29. | 2021. 11. 30. | -2.19% | -0.83% | 10.40 | 3.78 | 6.27 |
| 30. | 2021. 12. 31. | 12.60% | 4.36% | 133.71 | 10.57 | 37.60 |
| 31. | 2022. 1. 31. | -4.94% | -5.26% | 35.70 | 40.55 | 38.05 |
| 32. | 2022. 2. 28. | -9.59% | -3.14% | 112.97 | 18.03 | 45.13 |
| 33. | 2022. 3. 31. | 4.44% | 3.58% | 11.61 | 6.09 | 8.41 |
| 34. | 2022. 4. 30. | -14.11% | -8.80% | 229.34 | 98.12 | 150.01 |
| 35. | 2022. 5. 31. | 13.00% | 0.01% | 143.24 | 1.22 | -13.22 |
| 36. | 2022. 6. 30. | 1.46% | -8.39% | 0.18 | 90.28 | -4.06 |
| 37. | 2022. 7. 31. | 2.81% | 9.11% | 3.17 | 64.03 | 14.25 |
| 38. | 2022. 8. 31. | -9.56% | -4.24% | 112.19 | 28.66 | 56.71 |
| 39. | 2022. 9. 30. | -29.03% | -9.34% | 903.59 | 109.19 | 314.10 |
| 40. | 2022. 10. 31. | 7.95% | 7.99% | 47.90 | 47.29 | 47.59 |
| 41. | 2022. 11. 30. | 13.69% | 5.38% | 160.15 | 18.19 | 53.98 |
| 42. | 2022. 12. 31. | -4.32% | -5.90% | 28.65 | 49.10 | 37.51 |
| 43. | 2023. 1. 31. | 11.93% | 6.18% | 118.70 | 25.66 | 55.19 |
| 44. | 2023. 2. 28. | 4.83% | -2.61% | 14.40 | 13.85 | -14.12 |
| 45. | 2023. 3. 31. | 13.00% | 3.51% | 143.21 | 5.74 | 28.67 |
| 46. | 2023. 4. 30. | -0.31% | 1.46% | 1.81 | 0.13 | -0.48 |
| 47. | 2023. 5. 31. | -4.30% | 0.25% | 28.47 | 0.74 | 4.60 |
| 48. | 2023. 6. 30. | 14.30% | 4.71% | 176.10 | 12.99 | 47.83 |
| 49. | 2023. 7. 31. | 8.89% | 4.85% | 61.80 | 13.96 | 29.37 |
| 50. | 2023. 8. 31. | -3.31% | -1.77% | 18.85 | 8.30 | 12.51 |
| 51. | 2023. 9. 30. | 1.98% | -4.87% | 0.89 | 35.78 | -5.64 |
| 52. | 2023. 10. 31. | -9.37% | -2.20% | 108.21 | 10.94 | 34.41 |
| 53. | 2023. 11. 30. | 7.80% | 8.92% | 45.80 | 60.97 | 52.84 |
| 54. | 2023. 12. 31. | -1.78% | 4.42% | 7.90 | 10.98 | -9.31 |
| 55. | 2024. 1. 31. | -4.62% | 1.59% | 31.93 | 0.23 | -2.71 |
| 56. | 2024. 2. 29. | 3.18% | 5.17% | 4.62 | 16.50 | 8.73 |
| 57. | 2024. 3. 31. | 16.88% | 3.10% | 251.16 | 3.97 | 31.57 |
| 58. | 2024. 4. 30. | -9.65% | -4.16% | 114.14 | 27.79 | 56.32 |
| 59. | 2024. 5. 31. | -2.99% | 4.80% | 16.17 | 13.63 | -14.85 |
| 60. | 2024. 6. 30. | 18.61% | 3.47% | 308.90 | 5.56 | 41.43 |
| 61. | 2024. 7. 31. | 0.80% | 1.13% | 0.05 | 0.00 | -0.01 |
| 62. | 2024. 8. 31. | -1.15% | 2.28% | 4.77 | 1.38 | -2.56 |
| 63. | 2024. 9. 30. | -7.94% | 2.02% | 80.45 | 0.83 | -8.16 |
| 64. | 2024. 10. 31. | 0.06% | -0.99% | 0.94 | 4.41 | 2.04 |
| 65. | 2024. 11. 30. | 10.52% | 5.73% | 90.07 | 21.35 | 43.85 |
| 66. | 2024. 12. 31. | -6.59% | -2.50% | 58.19 | 13.02 | 27.53 |
| 67. | 2025. 1. 31. | -5.85% | 2.70% | 47.39 | 2.53 | -10.96 |
| 68. | 2025. 2. 28. | -0.74% | -1.42% | 3.16 | 6.42 | 4.50 |
| 69. | 2025. 3. 31. | -6.75% | -5.75% | 60.55 | 47.12 | 53.41 |
| 70. | 2025. 4. 30. | -13.72% | -0.76% | 217.71 | 3.51 | 27.63 |
| 71. | 2025. 5. 31. | 3.69% | 6.15% | 7.08 | 25.43 | 13.42 |
| 합계 (Σ): | 6,942.04 | 1,723.53 | 2,042.56 | |||
모두 보기
분산FDX = Σ(RFDX,t–RFDX)2 ÷ (71 – 1)
= 6,942.04 ÷ (71 – 1)
= 99.17
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,723.53 ÷ (71 – 1)
= 24.62
공분산FDX, S&P 500 = Σ(RFDX,t–RFDX)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,042.56 ÷ (71 – 1)
= 29.18
체계적인 위험 추정 (β)
| 분산FDX | 99.17 |
| 분산S&P 500 | 24.62 |
| 공분산FDX, S&P 500 | 29.18 |
| 상관 계수FDX, S&P 5001 | 0.59 |
| βFDX2 | 1.19 |
| αFDX3 | -0.28% |
계산
1 상관 계수FDX, S&P 500
= 공분산FDX, S&P 500 ÷ (표준 편차FDX × 표준 편차S&P 500)
= 29.18 ÷ (9.96% × 4.96%)
= 0.59
2 βFDX
= 공분산FDX, S&P 500 ÷ 분산S&P 500
= 29.18 ÷ 24.62
= 1.19
3 αFDX
= 평균의FDX – βFDX × 평균의S&P 500
= 1.03% – 1.19 × 1.11%
= -0.28%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.60% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 15.13% |
| 보통주의 체계적 위험FedEx | βFDX | 1.19 |
| FedEx 보통주에 대한 예상 수익률3 | E(RFDX) | 17.08% |
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(RFDX) = RF + βFDX [E(RM) – RF]
= 4.60% + 1.19 [15.13% – 4.60%]
= 17.08%