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 |
| 2020. 1. 31. | $99.60 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $87.04 | -12.61% | 2,954.22 | -8.41% | |
| 2. | 2020. 3. 31. | $63.52 | $0.08 | -26.93% | 2,584.59 | -12.51% |
| 3. | 2020. 4. 30. | $54.40 | -14.36% | 2,912.43 | 12.68% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | $182.16 | 6.04% | 6,032.38 | 5.73% | |
| 59. | 2024. 12. 31. | $166.79 | $0.28 | -8.28% | 5,881.63 | -2.50% |
| 평균의 (R): | 1.48% | 1.16% | ||||
| 표준 편차: | 10.85% | 5.28% | ||||
| 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 |
| 2020. 1. 31. | $99.60 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $87.04 | -12.61% | 2,954.22 | -8.41% | |
| 2. | 2020. 3. 31. | $63.52 | $0.08 | -26.93% | 2,584.59 | -12.51% |
| 3. | 2020. 4. 30. | $54.40 | -14.36% | 2,912.43 | 12.68% | |
| 4. | 2020. 5. 31. | $52.56 | -3.38% | 3,044.31 | 4.53% | |
| 5. | 2020. 6. 30. | $54.64 | $0.08 | 4.11% | 3,100.29 | 1.84% |
| 6. | 2020. 7. 31. | $48.56 | -11.13% | 3,271.12 | 5.51% | |
| 7. | 2020. 8. 31. | $50.72 | 4.45% | 3,500.31 | 7.01% | |
| 8. | 2020. 9. 30. | $49.84 | $0.08 | -1.58% | 3,363.00 | -3.92% |
| 9. | 2020. 10. 31. | $59.36 | 19.10% | 3,269.96 | -2.77% | |
| 10. | 2020. 11. 30. | $81.44 | 37.20% | 3,621.63 | 10.75% | |
| 11. | 2020. 12. 31. | $86.40 | $0.08 | 6.19% | 3,756.07 | 3.71% |
| 12. | 2021. 1. 31. | $85.44 | -1.11% | 3,714.24 | -1.11% | |
| 13. | 2021. 2. 28. | $100.32 | 17.42% | 3,811.15 | 2.61% | |
| 14. | 2021. 3. 31. | $105.04 | $0.08 | 4.78% | 3,972.89 | 4.24% |
| 15. | 2021. 4. 30. | $104.96 | -0.08% | 4,181.17 | 5.24% | |
| 16. | 2021. 5. 31. | $112.48 | 7.16% | 4,204.11 | 0.55% | |
| 17. | 2021. 6. 30. | $107.68 | $0.08 | -4.20% | 4,297.50 | 2.22% |
| 18. | 2021. 7. 31. | $103.60 | -3.79% | 4,395.26 | 2.27% | |
| 19. | 2021. 8. 31. | $105.41 | 1.75% | 4,522.68 | 2.90% | |
| 20. | 2021. 9. 30. | $103.03 | $0.08 | -2.18% | 4,307.54 | -4.76% |
| 21. | 2021. 10. 31. | $104.87 | 1.79% | 4,605.38 | 6.91% | |
| 22. | 2021. 11. 30. | $94.99 | -9.42% | 4,567.00 | -0.83% | |
| 23. | 2021. 12. 31. | $94.47 | $0.08 | -0.46% | 4,766.18 | 4.36% |
| 24. | 2022. 1. 31. | $94.48 | 0.01% | 4,515.55 | -5.26% | |
| 25. | 2022. 2. 28. | $95.51 | 1.09% | 4,373.94 | -3.14% | |
| 26. | 2022. 3. 31. | $91.50 | $0.08 | -4.11% | 4,530.41 | 3.58% |
| 27. | 2022. 4. 30. | $74.55 | -18.52% | 4,131.93 | -8.80% | |
| 28. | 2022. 5. 31. | $78.29 | 5.02% | 4,132.15 | 0.01% | |
| 29. | 2022. 6. 30. | $63.67 | $0.08 | -18.57% | 3,785.38 | -8.39% |
| 30. | 2022. 7. 31. | $73.91 | 16.08% | 4,130.29 | 9.11% | |
| 31. | 2022. 8. 31. | $73.44 | -0.64% | 3,955.00 | -4.24% | |
| 32. | 2022. 9. 30. | $61.91 | $0.08 | -15.59% | 3,585.62 | -9.34% |
| 33. | 2022. 10. 31. | $77.81 | 25.68% | 3,871.98 | 7.99% | |
| 34. | 2022. 11. 30. | $85.97 | 10.49% | 4,080.11 | 5.38% | |
| 35. | 2022. 12. 31. | $83.79 | $0.08 | -2.44% | 3,839.50 | -5.90% |
| 36. | 2023. 1. 31. | $80.48 | -3.95% | 4,076.60 | 6.18% | |
| 37. | 2023. 2. 28. | $84.71 | 5.26% | 3,970.15 | -2.61% | |
| 38. | 2023. 3. 31. | $95.60 | $0.08 | 12.95% | 4,109.31 | 3.51% |
| 39. | 2023. 4. 30. | $98.97 | 3.53% | 4,169.48 | 1.46% | |
| 40. | 2023. 5. 31. | $101.53 | 2.59% | 4,179.83 | 0.25% | |
| 41. | 2023. 6. 30. | $109.85 | 8.19% | 4,376.86 | 4.71% | |
| 42. | 2023. 7. 31. | $114.24 | $0.08 | 4.07% | 4,588.96 | 4.85% |
| 43. | 2023. 8. 31. | $114.46 | 0.19% | 4,507.66 | -1.77% | |
| 44. | 2023. 9. 30. | $110.55 | $0.08 | -3.35% | 4,288.05 | -4.87% |
| 45. | 2023. 10. 31. | $108.63 | -1.74% | 4,193.80 | -2.20% | |
| 46. | 2023. 11. 30. | $121.80 | 12.12% | 4,567.80 | 8.92% | |
| 47. | 2023. 12. 31. | $127.63 | $0.08 | 4.85% | 4,769.83 | 4.42% |
| 48. | 2024. 1. 31. | $132.42 | 3.75% | 4,845.65 | 1.59% | |
| 49. | 2024. 2. 29. | $156.89 | 18.48% | 5,096.27 | 5.17% | |
| 50. | 2024. 3. 31. | $175.53 | 11.88% | 5,254.35 | 3.10% | |
| 51. | 2024. 4. 30. | $161.82 | $0.28 | -7.65% | 5,035.69 | -4.16% |
| 52. | 2024. 5. 31. | $165.14 | 2.05% | 5,277.51 | 4.80% | |
| 53. | 2024. 6. 30. | $158.97 | -3.74% | 5,460.48 | 3.47% | |
| 54. | 2024. 7. 31. | $170.20 | $0.28 | 7.24% | 5,522.30 | 1.13% |
| 55. | 2024. 8. 31. | $174.62 | 2.60% | 5,648.40 | 2.28% | |
| 56. | 2024. 9. 30. | $188.58 | $0.28 | 8.15% | 5,762.48 | 2.02% |
| 57. | 2024. 10. 31. | $171.78 | -8.91% | 5,705.45 | -0.99% | |
| 58. | 2024. 11. 30. | $182.16 | 6.04% | 6,032.38 | 5.73% | |
| 59. | 2024. 12. 31. | $166.79 | $0.28 | -8.28% | 5,881.63 | -2.50% |
| 평균의 (R): | 1.48% | 1.16% | ||||
| 표준 편차: | 10.85% | 5.28% | ||||
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. | 2020. 2. 29. | -12.61% | -8.41% | 198.65 | 91.63 | 134.91 |
| 2. | 2020. 3. 31. | -26.93% | -12.51% | 807.35 | 186.96 | 388.51 |
| 3. | 2020. 4. 30. | -14.36% | 12.68% | 250.95 | 132.78 | -182.54 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | 6.04% | 5.73% | 20.78 | 20.87 | 20.83 |
| 59. | 2024. 12. 31. | -8.28% | -2.50% | 95.41 | 13.40 | 35.75 |
| 합계 (Σ): | 6,823.57 | 1,618.62 | 1,937.89 | |||
| 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. | 2020. 2. 29. | -12.61% | -8.41% | 198.65 | 91.63 | 134.91 |
| 2. | 2020. 3. 31. | -26.93% | -12.51% | 807.35 | 186.96 | 388.51 |
| 3. | 2020. 4. 30. | -14.36% | 12.68% | 250.95 | 132.78 | -182.54 |
| 4. | 2020. 5. 31. | -3.38% | 4.53% | 23.68 | 11.34 | -16.38 |
| 5. | 2020. 6. 30. | 4.11% | 1.84% | 6.89 | 0.46 | 1.78 |
| 6. | 2020. 7. 31. | -11.13% | 5.51% | 159.04 | 18.91 | -54.84 |
| 7. | 2020. 8. 31. | 4.45% | 7.01% | 8.79 | 34.17 | 17.33 |
| 8. | 2020. 9. 30. | -1.58% | -3.92% | 9.37 | 25.85 | 15.56 |
| 9. | 2020. 10. 31. | 19.10% | -2.77% | 310.37 | 15.43 | -69.20 |
| 10. | 2020. 11. 30. | 37.20% | 10.75% | 1,275.42 | 92.03 | 342.61 |
| 11. | 2020. 12. 31. | 6.19% | 3.71% | 22.14 | 6.51 | 12.00 |
| 12. | 2021. 1. 31. | -1.11% | -1.11% | 6.73 | 5.18 | 5.90 |
| 13. | 2021. 2. 28. | 17.42% | 2.61% | 253.83 | 2.10 | 23.07 |
| 14. | 2021. 3. 31. | 4.78% | 4.24% | 10.90 | 9.50 | 10.18 |
| 15. | 2021. 4. 30. | -0.08% | 5.24% | 2.43 | 16.66 | -6.37 |
| 16. | 2021. 5. 31. | 7.16% | 0.55% | 32.27 | 0.38 | -3.48 |
| 17. | 2021. 6. 30. | -4.20% | 2.22% | 32.26 | 1.12 | -6.02 |
| 18. | 2021. 7. 31. | -3.79% | 2.27% | 27.80 | 1.24 | -5.87 |
| 19. | 2021. 8. 31. | 1.75% | 2.90% | 0.07 | 3.02 | 0.46 |
| 20. | 2021. 9. 30. | -2.18% | -4.76% | 13.44 | 35.02 | 21.69 |
| 21. | 2021. 10. 31. | 1.79% | 6.91% | 0.09 | 33.10 | 1.74 |
| 22. | 2021. 11. 30. | -9.42% | -0.83% | 118.92 | 3.98 | 21.75 |
| 23. | 2021. 12. 31. | -0.46% | 4.36% | 3.79 | 10.24 | -6.23 |
| 24. | 2022. 1. 31. | 0.01% | -5.26% | 2.17 | 41.21 | 9.46 |
| 25. | 2022. 2. 28. | 1.09% | -3.14% | 0.15 | 18.47 | 1.69 |
| 26. | 2022. 3. 31. | -4.11% | 3.58% | 31.34 | 5.84 | -13.53 |
| 27. | 2022. 4. 30. | -18.52% | -8.80% | 400.34 | 99.14 | 199.22 |
| 28. | 2022. 5. 31. | 5.02% | 0.01% | 12.48 | 1.34 | -4.08 |
| 29. | 2022. 6. 30. | -18.57% | -8.39% | 402.23 | 91.26 | 191.60 |
| 30. | 2022. 7. 31. | 16.08% | 9.11% | 213.13 | 63.21 | 116.07 |
| 31. | 2022. 8. 31. | -0.64% | -4.24% | 4.49 | 29.22 | 11.46 |
| 32. | 2022. 9. 30. | -15.59% | -9.34% | 291.55 | 110.27 | 179.30 |
| 33. | 2022. 10. 31. | 25.68% | 7.99% | 585.57 | 46.58 | 165.16 |
| 34. | 2022. 11. 30. | 10.49% | 5.38% | 81.06 | 17.76 | 37.94 |
| 35. | 2022. 12. 31. | -2.44% | -5.90% | 15.42 | 49.82 | 27.71 |
| 36. | 2023. 1. 31. | -3.95% | 6.18% | 29.53 | 25.14 | -27.25 |
| 37. | 2023. 2. 28. | 5.26% | -2.61% | 14.23 | 14.23 | -14.23 |
| 38. | 2023. 3. 31. | 12.95% | 3.51% | 131.48 | 5.49 | 26.88 |
| 39. | 2023. 4. 30. | 3.53% | 1.46% | 4.17 | 0.09 | 0.62 |
| 40. | 2023. 5. 31. | 2.59% | 0.25% | 1.22 | 0.83 | -1.01 |
| 41. | 2023. 6. 30. | 8.19% | 4.71% | 45.04 | 12.62 | 23.84 |
| 42. | 2023. 7. 31. | 4.07% | 4.85% | 6.68 | 13.58 | 9.53 |
| 43. | 2023. 8. 31. | 0.19% | -1.77% | 1.67 | 8.60 | 3.79 |
| 44. | 2023. 9. 30. | -3.35% | -4.87% | 23.33 | 36.40 | 29.14 |
| 45. | 2023. 10. 31. | -1.74% | -2.20% | 10.37 | 11.28 | 10.82 |
| 46. | 2023. 11. 30. | 12.12% | 8.92% | 113.21 | 60.17 | 82.53 |
| 47. | 2023. 12. 31. | 4.85% | 4.42% | 11.35 | 10.64 | 10.99 |
| 48. | 2024. 1. 31. | 3.75% | 1.59% | 5.15 | 0.18 | 0.97 |
| 49. | 2024. 2. 29. | 18.48% | 5.17% | 288.84 | 16.09 | 68.16 |
| 50. | 2024. 3. 31. | 11.88% | 3.10% | 108.10 | 3.77 | 20.18 |
| 51. | 2024. 4. 30. | -7.65% | -4.16% | 83.45 | 28.33 | 48.62 |
| 52. | 2024. 5. 31. | 2.05% | 4.80% | 0.32 | 13.26 | 2.07 |
| 53. | 2024. 6. 30. | -3.74% | 3.47% | 27.25 | 5.32 | -12.04 |
| 54. | 2024. 7. 31. | 7.24% | 1.13% | 33.14 | 0.00 | -0.17 |
| 55. | 2024. 8. 31. | 2.60% | 2.28% | 1.24 | 1.26 | 1.25 |
| 56. | 2024. 9. 30. | 8.15% | 2.02% | 44.50 | 0.74 | 5.73 |
| 57. | 2024. 10. 31. | -8.91% | -0.99% | 108.00 | 4.63 | 22.35 |
| 58. | 2024. 11. 30. | 6.04% | 5.73% | 20.78 | 20.87 | 20.83 |
| 59. | 2024. 12. 31. | -8.28% | -2.50% | 95.41 | 13.40 | 35.75 |
| 합계 (Σ): | 6,823.57 | 1,618.62 | 1,937.89 | |||
모두 보기
분산GE = Σ(RGE,t–RGE)2 ÷ (59 – 1)
= 6,823.57 ÷ (59 – 1)
= 117.65
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91
공분산GE, S&P 500 = Σ(RGE,t–RGE)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,937.89 ÷ (59 – 1)
= 33.41
체계적인 위험 추정 (β)
| 분산GE | 117.65 |
| 분산S&P 500 | 27.91 |
| 공분산GE, S&P 500 | 33.41 |
| 상관 계수GE, S&P 5001 | 0.58 |
| βGE2 | 1.20 |
| αGE3 | 0.09% |
계산
1 상관 계수GE, S&P 500
= 공분산GE, S&P 500 ÷ (표준 편차GE × 표준 편차S&P 500)
= 33.41 ÷ (10.85% × 5.28%)
= 0.58
2 βGE
= 공분산GE, S&P 500 ÷ 분산S&P 500
= 33.41 ÷ 27.91
= 1.20
3 αGE
= 평균의GE – βGE × 평균의S&P 500
= 1.48% – 1.20 × 1.16%
= 0.09%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.77% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.92% |
| 보통주의 체계적 위험GE Aerospace | βGE | 1.20 |
| GE Aerospace 보통주의 예상 수익률3 | E(RGE) | 16.92% |
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]
= 4.77% + 1.20 [14.92% – 4.77%]
= 16.92%