자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 GE Aerospace의 보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
GE Aerospace, 월별 수익률
| GE Aerospace (GE) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값GE,t1 | 피제수GE,t1 | RGE,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2021. 1. 31. | $85.44 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $100.32 | 17.42% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $105.04 | $0.08 | 4.78% | 3,972.89 | 4.24% |
| 3. | 2021. 4. 30. | $104.96 | -0.08% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | $298.45 | -3.40% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $308.03 | $0.36 | 3.33% | 6,845.50 | -0.05% |
| 평균의 (R): | 2.62% | 1.14% | ||||
| 표준 편차: | 8.96% | 4.37% | ||||
| GE Aerospace (GE) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값GE,t1 | 피제수GE,t1 | RGE,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2021. 1. 31. | $85.44 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $100.32 | 17.42% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $105.04 | $0.08 | 4.78% | 3,972.89 | 4.24% |
| 3. | 2021. 4. 30. | $104.96 | -0.08% | 4,181.17 | 5.24% | |
| 4. | 2021. 5. 31. | $112.48 | 7.16% | 4,204.11 | 0.55% | |
| 5. | 2021. 6. 30. | $107.68 | $0.08 | -4.20% | 4,297.50 | 2.22% |
| 6. | 2021. 7. 31. | $103.60 | -3.79% | 4,395.26 | 2.27% | |
| 7. | 2021. 8. 31. | $105.41 | 1.75% | 4,522.68 | 2.90% | |
| 8. | 2021. 9. 30. | $103.03 | $0.08 | -2.18% | 4,307.54 | -4.76% |
| 9. | 2021. 10. 31. | $104.87 | 1.79% | 4,605.38 | 6.91% | |
| 10. | 2021. 11. 30. | $94.99 | -9.42% | 4,567.00 | -0.83% | |
| 11. | 2021. 12. 31. | $94.47 | $0.08 | -0.46% | 4,766.18 | 4.36% |
| 12. | 2022. 1. 31. | $94.48 | 0.01% | 4,515.55 | -5.26% | |
| 13. | 2022. 2. 28. | $95.51 | 1.09% | 4,373.94 | -3.14% | |
| 14. | 2022. 3. 31. | $91.50 | $0.08 | -4.11% | 4,530.41 | 3.58% |
| 15. | 2022. 4. 30. | $74.55 | -18.52% | 4,131.93 | -8.80% | |
| 16. | 2022. 5. 31. | $78.29 | 5.02% | 4,132.15 | 0.01% | |
| 17. | 2022. 6. 30. | $63.67 | $0.08 | -18.57% | 3,785.38 | -8.39% |
| 18. | 2022. 7. 31. | $73.91 | 16.08% | 4,130.29 | 9.11% | |
| 19. | 2022. 8. 31. | $73.44 | -0.64% | 3,955.00 | -4.24% | |
| 20. | 2022. 9. 30. | $61.91 | $0.08 | -15.59% | 3,585.62 | -9.34% |
| 21. | 2022. 10. 31. | $77.81 | 25.68% | 3,871.98 | 7.99% | |
| 22. | 2022. 11. 30. | $85.97 | 10.49% | 4,080.11 | 5.38% | |
| 23. | 2022. 12. 31. | $83.79 | $0.08 | -2.44% | 3,839.50 | -5.90% |
| 24. | 2023. 1. 31. | $80.48 | -3.95% | 4,076.60 | 6.18% | |
| 25. | 2023. 2. 28. | $84.71 | 5.26% | 3,970.15 | -2.61% | |
| 26. | 2023. 3. 31. | $95.60 | $0.08 | 12.95% | 4,109.31 | 3.51% |
| 27. | 2023. 4. 30. | $98.97 | 3.53% | 4,169.48 | 1.46% | |
| 28. | 2023. 5. 31. | $101.53 | 2.59% | 4,179.83 | 0.25% | |
| 29. | 2023. 6. 30. | $109.85 | 8.19% | 4,376.86 | 4.71% | |
| 30. | 2023. 7. 31. | $114.24 | $0.08 | 4.07% | 4,588.96 | 4.85% |
| 31. | 2023. 8. 31. | $114.46 | 0.19% | 4,507.66 | -1.77% | |
| 32. | 2023. 9. 30. | $110.55 | $0.08 | -3.35% | 4,288.05 | -4.87% |
| 33. | 2023. 10. 31. | $108.63 | -1.74% | 4,193.80 | -2.20% | |
| 34. | 2023. 11. 30. | $121.80 | 12.12% | 4,567.80 | 8.92% | |
| 35. | 2023. 12. 31. | $127.63 | $0.08 | 4.85% | 4,769.83 | 4.42% |
| 36. | 2024. 1. 31. | $132.42 | 3.75% | 4,845.65 | 1.59% | |
| 37. | 2024. 2. 29. | $156.89 | 18.48% | 5,096.27 | 5.17% | |
| 38. | 2024. 3. 31. | $175.53 | 11.88% | 5,254.35 | 3.10% | |
| 39. | 2024. 4. 30. | $161.82 | $0.28 | -7.65% | 5,035.69 | -4.16% |
| 40. | 2024. 5. 31. | $165.14 | 2.05% | 5,277.51 | 4.80% | |
| 41. | 2024. 6. 30. | $158.97 | -3.74% | 5,460.48 | 3.47% | |
| 42. | 2024. 7. 31. | $170.20 | $0.28 | 7.24% | 5,522.30 | 1.13% |
| 43. | 2024. 8. 31. | $174.62 | 2.60% | 5,648.40 | 2.28% | |
| 44. | 2024. 9. 30. | $188.58 | $0.28 | 8.15% | 5,762.48 | 2.02% |
| 45. | 2024. 10. 31. | $171.78 | -8.91% | 5,705.45 | -0.99% | |
| 46. | 2024. 11. 30. | $182.16 | 6.04% | 6,032.38 | 5.73% | |
| 47. | 2024. 12. 31. | $166.79 | $0.28 | -8.28% | 5,881.63 | -2.50% |
| 48. | 2025. 1. 31. | $203.57 | 22.05% | 6,040.53 | 2.70% | |
| 49. | 2025. 2. 28. | $206.98 | 1.68% | 5,954.50 | -1.42% | |
| 50. | 2025. 3. 31. | $200.15 | $0.36 | -3.13% | 5,611.85 | -5.75% |
| 51. | 2025. 4. 30. | $201.54 | 0.69% | 5,569.06 | -0.76% | |
| 52. | 2025. 5. 31. | $245.91 | 22.02% | 5,911.69 | 6.15% | |
| 53. | 2025. 6. 30. | $257.39 | 4.67% | 6,204.95 | 4.96% | |
| 54. | 2025. 7. 31. | $271.08 | $0.36 | 5.46% | 6,339.39 | 2.17% |
| 55. | 2025. 8. 31. | $275.20 | 1.52% | 6,460.26 | 1.91% | |
| 56. | 2025. 9. 30. | $300.82 | $0.36 | 9.44% | 6,688.46 | 3.53% |
| 57. | 2025. 10. 31. | $308.95 | 2.70% | 6,840.20 | 2.27% | |
| 58. | 2025. 11. 30. | $298.45 | -3.40% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $308.03 | $0.36 | 3.33% | 6,845.50 | -0.05% |
| 평균의 (R): | 2.62% | 1.14% | ||||
| 표준 편차: | 8.96% | 4.37% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 t기간 동안 GE의 보통주 수익률
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
GE Aerospace, 수익률의 분산 및 공분산 계산
| t | 날짜 | RGE,t | RS&P 500,t | (RGE,t–RGE)2 | (RS&P 500,t–RS&P 500)2 | (RGE,t–RGE)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 2. 28. | 17.42% | 2.61% | 218.89 | 2.17 | 21.79 |
| 2. | 2021. 3. 31. | 4.78% | 4.24% | 4.68 | 9.66 | 6.72 |
| 3. | 2021. 4. 30. | -0.08% | 5.24% | 7.27 | 16.86 | -11.07 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | -3.40% | 0.13% | 36.23 | 1.01 | 6.06 |
| 59. | 2025. 12. 31. | 3.33% | -0.05% | 0.50 | 1.41 | -0.84 |
| 합계 (Σ): | 4,652.39 | 1,108.23 | 1,550.14 | |||
| t | 날짜 | RGE,t | RS&P 500,t | (RGE,t–RGE)2 | (RS&P 500,t–RS&P 500)2 | (RGE,t–RGE)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 2. 28. | 17.42% | 2.61% | 218.89 | 2.17 | 21.79 |
| 2. | 2021. 3. 31. | 4.78% | 4.24% | 4.68 | 9.66 | 6.72 |
| 3. | 2021. 4. 30. | -0.08% | 5.24% | 7.27 | 16.86 | -11.07 |
| 4. | 2021. 5. 31. | 7.16% | 0.55% | 20.65 | 0.35 | -2.67 |
| 5. | 2021. 6. 30. | -4.20% | 2.22% | 46.47 | 1.18 | -7.40 |
| 6. | 2021. 7. 31. | -3.79% | 2.27% | 41.09 | 1.30 | -7.30 |
| 7. | 2021. 8. 31. | 1.75% | 2.90% | 0.76 | 3.11 | -1.54 |
| 8. | 2021. 9. 30. | -2.18% | -4.76% | 23.07 | 34.73 | 28.30 |
| 9. | 2021. 10. 31. | 1.79% | 6.91% | 0.70 | 33.39 | -4.82 |
| 10. | 2021. 11. 30. | -9.42% | -0.83% | 145.01 | 3.88 | 23.72 |
| 11. | 2021. 12. 31. | -0.46% | 4.36% | 9.51 | 10.40 | -9.95 |
| 12. | 2022. 1. 31. | 0.01% | -5.26% | 6.81 | 40.89 | 16.69 |
| 13. | 2022. 2. 28. | 1.09% | -3.14% | 2.34 | 18.25 | 6.54 |
| 14. | 2022. 3. 31. | -4.11% | 3.58% | 45.37 | 5.96 | -16.44 |
| 15. | 2022. 4. 30. | -18.52% | -8.80% | 447.13 | 98.64 | 210.01 |
| 16. | 2022. 5. 31. | 5.02% | 0.01% | 5.74 | 1.28 | -2.71 |
| 17. | 2022. 6. 30. | -18.57% | -8.39% | 449.13 | 90.79 | 201.93 |
| 18. | 2022. 7. 31. | 16.08% | 9.11% | 181.23 | 63.61 | 107.37 |
| 19. | 2022. 8. 31. | -0.64% | -4.24% | 10.61 | 28.95 | 17.52 |
| 20. | 2022. 9. 30. | -15.59% | -9.34% | 331.67 | 109.74 | 190.78 |
| 21. | 2022. 10. 31. | 25.68% | 7.99% | 531.84 | 46.93 | 157.98 |
| 22. | 2022. 11. 30. | 10.49% | 5.38% | 61.88 | 17.97 | 33.35 |
| 23. | 2022. 12. 31. | -2.44% | -5.90% | 25.64 | 49.47 | 35.61 |
| 24. | 2023. 1. 31. | -3.95% | 6.18% | 43.18 | 25.39 | -33.11 |
| 25. | 2023. 2. 28. | 5.26% | -2.61% | 6.94 | 14.04 | -9.87 |
| 26. | 2023. 3. 31. | 12.95% | 3.51% | 106.69 | 5.61 | 24.47 |
| 27. | 2023. 4. 30. | 3.53% | 1.46% | 0.82 | 0.11 | 0.30 |
| 28. | 2023. 5. 31. | 2.59% | 0.25% | 0.00 | 0.79 | 0.03 |
| 29. | 2023. 6. 30. | 8.19% | 4.71% | 31.07 | 12.80 | 19.94 |
| 30. | 2023. 7. 31. | 4.07% | 4.85% | 2.10 | 13.76 | 5.37 |
| 31. | 2023. 8. 31. | 0.19% | -1.77% | 5.90 | 8.46 | 7.06 |
| 32. | 2023. 9. 30. | -3.35% | -4.87% | 35.60 | 36.10 | 35.85 |
| 33. | 2023. 10. 31. | -1.74% | -2.20% | 18.99 | 11.12 | 14.53 |
| 34. | 2023. 11. 30. | 12.12% | 8.92% | 90.31 | 60.56 | 73.95 |
| 35. | 2023. 12. 31. | 4.85% | 4.42% | 4.98 | 10.80 | 7.33 |
| 36. | 2024. 1. 31. | 3.75% | 1.59% | 1.28 | 0.21 | 0.51 |
| 37. | 2024. 2. 29. | 18.48% | 5.17% | 251.48 | 16.29 | 64.00 |
| 38. | 2024. 3. 31. | 11.88% | 3.10% | 85.75 | 3.86 | 18.20 |
| 39. | 2024. 4. 30. | -7.65% | -4.16% | 105.51 | 28.06 | 54.42 |
| 40. | 2024. 5. 31. | 2.05% | 4.80% | 0.32 | 13.44 | -2.09 |
| 41. | 2024. 6. 30. | -3.74% | 3.47% | 40.41 | 5.43 | -14.82 |
| 42. | 2024. 7. 31. | 7.24% | 1.13% | 21.34 | 0.00 | -0.02 |
| 43. | 2024. 8. 31. | 2.60% | 2.28% | 0.00 | 1.32 | -0.03 |
| 44. | 2024. 9. 30. | 8.15% | 2.02% | 30.63 | 0.78 | 4.89 |
| 45. | 2024. 10. 31. | -8.91% | -0.99% | 132.93 | 4.52 | 24.51 |
| 46. | 2024. 11. 30. | 6.04% | 5.73% | 11.71 | 21.10 | 15.72 |
| 47. | 2024. 12. 31. | -8.28% | -2.50% | 118.91 | 13.21 | 39.64 |
| 48. | 2025. 1. 31. | 22.05% | 2.70% | 377.56 | 2.45 | 30.42 |
| 49. | 2025. 2. 28. | 1.68% | -1.42% | 0.89 | 6.56 | 2.42 |
| 50. | 2025. 3. 31. | -3.13% | -5.75% | 33.02 | 47.48 | 39.60 |
| 51. | 2025. 4. 30. | 0.69% | -0.76% | 3.71 | 3.60 | 3.66 |
| 52. | 2025. 5. 31. | 22.02% | 6.15% | 376.15 | 25.16 | 97.29 |
| 53. | 2025. 6. 30. | 4.67% | 4.96% | 4.19 | 14.63 | 7.83 |
| 54. | 2025. 7. 31. | 5.46% | 2.17% | 8.05 | 1.06 | 2.92 |
| 55. | 2025. 8. 31. | 1.52% | 1.91% | 1.21 | 0.59 | -0.85 |
| 56. | 2025. 9. 30. | 9.44% | 3.53% | 46.51 | 5.74 | 16.34 |
| 57. | 2025. 10. 31. | 2.70% | 2.27% | 0.01 | 1.28 | 0.09 |
| 58. | 2025. 11. 30. | -3.40% | 0.13% | 36.23 | 1.01 | 6.06 |
| 59. | 2025. 12. 31. | 3.33% | -0.05% | 0.50 | 1.41 | -0.84 |
| 합계 (Σ): | 4,652.39 | 1,108.23 | 1,550.14 | |||
모두 보기
분산GE = Σ(RGE,t–RGE)2 ÷ (59 – 1)
= 4,652.39 ÷ (59 – 1)
= 80.21
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
공분산GE, S&P 500 = Σ(RGE,t–RGE)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,550.14 ÷ (59 – 1)
= 26.73
체계적인 위험 추정 (β)
| 분산GE | 80.21 |
| 분산S&P 500 | 19.11 |
| 공분산GE, S&P 500 | 26.73 |
| 상관 계수GE, S&P 5001 | 0.68 |
| βGE2 | 1.40 |
| αGE3 | 1.03% |
계산
1 상관 계수GE, S&P 500
= 공분산GE, S&P 500 ÷ (표준 편차GE × 표준 편차S&P 500)
= 26.73 ÷ (8.96% × 4.37%)
= 0.68
2 βGE
= 공분산GE, S&P 500 ÷ 분산S&P 500
= 26.73 ÷ 19.11
= 1.40
3 αGE
= 평균의GE – βGE × 평균의S&P 500
= 2.62% – 1.40 × 1.14%
= 1.03%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.79% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.38% |
| 보통주의 체계적 위험GE Aerospace | βGE | 1.40 |
| GE Aerospace 보통주의 예상 수익률3 | E(RGE) | 22.40% |
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(RGE) = RF + βGE [E(RM) – RF]
= 4.79% + 1.40 [17.38% – 4.79%]
= 22.40%