자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Home Depot보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Home Depot Inc., 월별 수익률
| Home Depot Inc. (HD) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값HD,t1 | 피제수HD,t1 | RHD,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 2. 28. | $185.14 | 2,784.49 | ||||
| 1. | 2019. 3. 31. | $191.89 | $1.36 | 4.38% | 2,834.40 | 1.79% |
| 2. | 2019. 4. 30. | $203.70 | 6.15% | 2,945.83 | 3.93% | |
| 3. | 2019. 5. 31. | $189.85 | -6.80% | 2,752.06 | -6.58% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 12. 31. | $388.99 | -9.35% | 5,881.63 | -2.50% | |
| 71. | 2025. 1. 31. | $411.98 | 5.91% | 6,040.53 | 2.70% | |
| 평균의 (R): | 1.59% | 1.22% | ||||
| 표준 편차: | 7.14% | 4.99% | ||||
| Home Depot Inc. (HD) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값HD,t1 | 피제수HD,t1 | RHD,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 2. 28. | $185.14 | 2,784.49 | ||||
| 1. | 2019. 3. 31. | $191.89 | $1.36 | 4.38% | 2,834.40 | 1.79% |
| 2. | 2019. 4. 30. | $203.70 | 6.15% | 2,945.83 | 3.93% | |
| 3. | 2019. 5. 31. | $189.85 | -6.80% | 2,752.06 | -6.58% | |
| 4. | 2019. 6. 30. | $207.97 | $1.36 | 10.26% | 2,941.76 | 6.89% |
| 5. | 2019. 7. 31. | $213.69 | 2.75% | 2,980.38 | 1.31% | |
| 6. | 2019. 8. 31. | $227.91 | 6.65% | 2,926.46 | -1.81% | |
| 7. | 2019. 9. 30. | $232.02 | $1.36 | 2.40% | 2,976.74 | 1.72% |
| 8. | 2019. 10. 31. | $234.58 | 1.10% | 3,037.56 | 2.04% | |
| 9. | 2019. 11. 30. | $220.51 | -6.00% | 3,140.98 | 3.40% | |
| 10. | 2019. 12. 31. | $218.38 | $1.36 | -0.35% | 3,230.78 | 2.86% |
| 11. | 2020. 1. 31. | $228.10 | 4.45% | 3,225.52 | -0.16% | |
| 12. | 2020. 2. 29. | $217.84 | -4.50% | 2,954.22 | -8.41% | |
| 13. | 2020. 3. 31. | $186.71 | $1.50 | -13.60% | 2,584.59 | -12.51% |
| 14. | 2020. 4. 30. | $219.83 | 17.74% | 2,912.43 | 12.68% | |
| 15. | 2020. 5. 31. | $248.48 | 13.03% | 3,044.31 | 4.53% | |
| 16. | 2020. 6. 30. | $250.51 | $1.50 | 1.42% | 3,100.29 | 1.84% |
| 17. | 2020. 7. 31. | $265.49 | 5.98% | 3,271.12 | 5.51% | |
| 18. | 2020. 8. 31. | $285.04 | 7.36% | 3,500.31 | 7.01% | |
| 19. | 2020. 9. 30. | $277.71 | $1.50 | -2.05% | 3,363.00 | -3.92% |
| 20. | 2020. 10. 31. | $266.71 | -3.96% | 3,269.96 | -2.77% | |
| 21. | 2020. 11. 30. | $277.41 | 4.01% | 3,621.63 | 10.75% | |
| 22. | 2020. 12. 31. | $265.62 | $1.50 | -3.71% | 3,756.07 | 3.71% |
| 23. | 2021. 1. 31. | $270.82 | 1.96% | 3,714.24 | -1.11% | |
| 24. | 2021. 2. 28. | $258.34 | -4.61% | 3,811.15 | 2.61% | |
| 25. | 2021. 3. 31. | $305.25 | $1.65 | 18.80% | 3,972.89 | 4.24% |
| 26. | 2021. 4. 30. | $323.67 | 6.03% | 4,181.17 | 5.24% | |
| 27. | 2021. 5. 31. | $318.91 | -1.47% | 4,204.11 | 0.55% | |
| 28. | 2021. 6. 30. | $318.89 | $1.65 | 0.51% | 4,297.50 | 2.22% |
| 29. | 2021. 7. 31. | $328.19 | 2.92% | 4,395.26 | 2.27% | |
| 30. | 2021. 8. 31. | $326.18 | -0.61% | 4,522.68 | 2.90% | |
| 31. | 2021. 9. 30. | $328.26 | $1.65 | 1.14% | 4,307.54 | -4.76% |
| 32. | 2021. 10. 31. | $371.74 | 13.25% | 4,605.38 | 6.91% | |
| 33. | 2021. 11. 30. | $400.61 | 7.77% | 4,567.00 | -0.83% | |
| 34. | 2021. 12. 31. | $415.01 | $1.65 | 4.01% | 4,766.18 | 4.36% |
| 35. | 2022. 1. 31. | $366.98 | -11.57% | 4,515.55 | -5.26% | |
| 36. | 2022. 2. 28. | $315.83 | -13.94% | 4,373.94 | -3.14% | |
| 37. | 2022. 3. 31. | $299.33 | $1.90 | -4.62% | 4,530.41 | 3.58% |
| 38. | 2022. 4. 30. | $300.40 | 0.36% | 4,131.93 | -8.80% | |
| 39. | 2022. 5. 31. | $302.75 | 0.78% | 4,132.15 | 0.01% | |
| 40. | 2022. 6. 30. | $274.27 | $1.90 | -8.78% | 3,785.38 | -8.39% |
| 41. | 2022. 7. 31. | $300.94 | 9.72% | 4,130.29 | 9.11% | |
| 42. | 2022. 8. 31. | $288.42 | $1.90 | -3.53% | 3,955.00 | -4.24% |
| 43. | 2022. 9. 30. | $275.94 | -4.33% | 3,585.62 | -9.34% | |
| 44. | 2022. 10. 31. | $296.13 | 7.32% | 3,871.98 | 7.99% | |
| 45. | 2022. 11. 30. | $323.99 | $1.90 | 10.05% | 4,080.11 | 5.38% |
| 46. | 2022. 12. 31. | $315.86 | -2.51% | 3,839.50 | -5.90% | |
| 47. | 2023. 1. 31. | $324.17 | 2.63% | 4,076.60 | 6.18% | |
| 48. | 2023. 2. 28. | $296.54 | -8.52% | 3,970.15 | -2.61% | |
| 49. | 2023. 3. 31. | $295.12 | $2.09 | 0.23% | 4,109.31 | 3.51% |
| 50. | 2023. 4. 30. | $300.54 | 1.84% | 4,169.48 | 1.46% | |
| 51. | 2023. 5. 31. | $283.45 | $2.09 | -4.99% | 4,179.83 | 0.25% |
| 52. | 2023. 6. 30. | $310.64 | 9.59% | 4,376.86 | 4.71% | |
| 53. | 2023. 7. 31. | $333.84 | 7.47% | 4,588.96 | 4.85% | |
| 54. | 2023. 8. 31. | $330.30 | $2.09 | -0.43% | 4,507.66 | -1.77% |
| 55. | 2023. 9. 30. | $302.16 | -8.52% | 4,288.05 | -4.87% | |
| 56. | 2023. 10. 31. | $284.69 | -5.78% | 4,193.80 | -2.20% | |
| 57. | 2023. 11. 30. | $313.49 | $2.09 | 10.85% | 4,567.80 | 8.92% |
| 58. | 2023. 12. 31. | $346.55 | 10.55% | 4,769.83 | 4.42% | |
| 59. | 2024. 1. 31. | $352.96 | 1.85% | 4,845.65 | 1.59% | |
| 60. | 2024. 2. 29. | $380.61 | 7.83% | 5,096.27 | 5.17% | |
| 61. | 2024. 3. 31. | $383.60 | $2.25 | 1.38% | 5,254.35 | 3.10% |
| 62. | 2024. 4. 30. | $334.22 | -12.87% | 5,035.69 | -4.16% | |
| 63. | 2024. 5. 31. | $334.87 | $2.25 | 0.87% | 5,277.51 | 4.80% |
| 64. | 2024. 6. 30. | $344.24 | 2.80% | 5,460.48 | 3.47% | |
| 65. | 2024. 7. 31. | $368.16 | 6.95% | 5,522.30 | 1.13% | |
| 66. | 2024. 8. 31. | $368.50 | $2.25 | 0.70% | 5,648.40 | 2.28% |
| 67. | 2024. 9. 30. | $405.20 | 9.96% | 5,762.48 | 2.02% | |
| 68. | 2024. 10. 31. | $393.75 | -2.83% | 5,705.45 | -0.99% | |
| 69. | 2024. 11. 30. | $429.13 | $2.25 | 9.56% | 6,032.38 | 5.73% |
| 70. | 2024. 12. 31. | $388.99 | -9.35% | 5,881.63 | -2.50% | |
| 71. | 2025. 1. 31. | $411.98 | 5.91% | 6,040.53 | 2.70% | |
| 평균의 (R): | 1.59% | 1.22% | ||||
| 표준 편차: | 7.14% | 4.99% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 HD의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Home Depot Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RHD,t | RS&P 500,t | (RHD,t–RHD)2 | (RS&P 500,t–RS&P 500)2 | (RHD,t–RHD)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 3. 31. | 4.38% | 1.79% | 7.78 | 0.33 | 1.60 |
| 2. | 2019. 4. 30. | 6.15% | 3.93% | 20.82 | 7.35 | 12.37 |
| 3. | 2019. 5. 31. | -6.80% | -6.58% | 70.41 | 60.81 | 65.43 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 12. 31. | -9.35% | -2.50% | 119.81 | 13.83 | 40.71 |
| 71. | 2025. 1. 31. | 5.91% | 2.70% | 18.65 | 2.20 | 6.40 |
| 합계 (Σ): | 3,569.56 | 1,741.16 | 1,804.50 | |||
| t | 날짜 | RHD,t | RS&P 500,t | (RHD,t–RHD)2 | (RS&P 500,t–RS&P 500)2 | (RHD,t–RHD)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 3. 31. | 4.38% | 1.79% | 7.78 | 0.33 | 1.60 |
| 2. | 2019. 4. 30. | 6.15% | 3.93% | 20.82 | 7.35 | 12.37 |
| 3. | 2019. 5. 31. | -6.80% | -6.58% | 70.41 | 60.81 | 65.43 |
| 4. | 2019. 6. 30. | 10.26% | 6.89% | 75.15 | 32.18 | 49.18 |
| 5. | 2019. 7. 31. | 2.75% | 1.31% | 1.34 | 0.01 | 0.11 |
| 6. | 2019. 8. 31. | 6.65% | -1.81% | 25.63 | 9.18 | -15.34 |
| 7. | 2019. 9. 30. | 2.40% | 1.72% | 0.65 | 0.25 | 0.40 |
| 8. | 2019. 10. 31. | 1.10% | 2.04% | 0.24 | 0.68 | -0.40 |
| 9. | 2019. 11. 30. | -6.00% | 3.40% | 57.61 | 4.77 | -16.58 |
| 10. | 2019. 12. 31. | -0.35% | 2.86% | 3.77 | 2.69 | -3.18 |
| 11. | 2020. 1. 31. | 4.45% | -0.16% | 8.17 | 1.91 | -3.95 |
| 12. | 2020. 2. 29. | -4.50% | -8.41% | 37.09 | 92.76 | 58.65 |
| 13. | 2020. 3. 31. | -13.60% | -12.51% | 230.85 | 188.57 | 208.64 |
| 14. | 2020. 4. 30. | 17.74% | 12.68% | 260.72 | 131.43 | 185.11 |
| 15. | 2020. 5. 31. | 13.03% | 4.53% | 130.89 | 10.94 | 37.85 |
| 16. | 2020. 6. 30. | 1.42% | 1.84% | 0.03 | 0.38 | -0.11 |
| 17. | 2020. 7. 31. | 5.98% | 5.51% | 19.25 | 18.41 | 18.82 |
| 18. | 2020. 8. 31. | 7.36% | 7.01% | 33.31 | 33.48 | 33.40 |
| 19. | 2020. 9. 30. | -2.05% | -3.92% | 13.23 | 26.45 | 18.71 |
| 20. | 2020. 10. 31. | -3.96% | -2.77% | 30.84 | 15.89 | 22.14 |
| 21. | 2020. 11. 30. | 4.01% | 10.75% | 5.86 | 90.91 | 23.07 |
| 22. | 2020. 12. 31. | -3.71% | 3.71% | 28.10 | 6.21 | -13.21 |
| 23. | 2021. 1. 31. | 1.96% | -1.11% | 0.13 | 5.45 | -0.85 |
| 24. | 2021. 2. 28. | -4.61% | 2.61% | 38.44 | 1.93 | -8.61 |
| 25. | 2021. 3. 31. | 18.80% | 4.24% | 296.01 | 9.14 | 52.03 |
| 26. | 2021. 4. 30. | 6.03% | 5.24% | 19.73 | 16.18 | 17.87 |
| 27. | 2021. 5. 31. | -1.47% | 0.55% | 9.38 | 0.45 | 2.06 |
| 28. | 2021. 6. 30. | 0.51% | 2.22% | 1.17 | 1.00 | -1.08 |
| 29. | 2021. 7. 31. | 2.92% | 2.27% | 1.75 | 1.11 | 1.40 |
| 30. | 2021. 8. 31. | -0.61% | 2.90% | 4.86 | 2.82 | -3.70 |
| 31. | 2021. 9. 30. | 1.14% | -4.76% | 0.20 | 35.72 | 2.68 |
| 32. | 2021. 10. 31. | 13.25% | 6.91% | 135.81 | 32.43 | 66.36 |
| 33. | 2021. 11. 30. | 7.77% | -0.83% | 38.12 | 4.22 | -12.68 |
| 34. | 2021. 12. 31. | 4.01% | 4.36% | 5.83 | 9.87 | 7.58 |
| 35. | 2022. 1. 31. | -11.57% | -5.26% | 173.32 | 41.97 | 85.29 |
| 36. | 2022. 2. 28. | -13.94% | -3.14% | 241.18 | 18.98 | 67.65 |
| 37. | 2022. 3. 31. | -4.62% | 3.58% | 38.62 | 5.56 | -14.65 |
| 38. | 2022. 4. 30. | 0.36% | -8.80% | 1.52 | 100.31 | 12.36 |
| 39. | 2022. 5. 31. | 0.78% | 0.01% | 0.66 | 1.48 | 0.98 |
| 40. | 2022. 6. 30. | -8.78% | -8.39% | 107.57 | 92.39 | 99.69 |
| 41. | 2022. 7. 31. | 9.72% | 9.11% | 66.13 | 62.28 | 64.17 |
| 42. | 2022. 8. 31. | -3.53% | -4.24% | 26.22 | 29.86 | 27.98 |
| 43. | 2022. 9. 30. | -4.33% | -9.34% | 35.03 | 111.50 | 62.50 |
| 44. | 2022. 10. 31. | 7.32% | 7.99% | 32.77 | 45.78 | 38.74 |
| 45. | 2022. 11. 30. | 10.05% | 5.38% | 71.53 | 17.27 | 35.14 |
| 46. | 2022. 12. 31. | -2.51% | -5.90% | 16.82 | 50.65 | 29.19 |
| 47. | 2023. 1. 31. | 2.63% | 6.18% | 1.08 | 24.55 | 5.15 |
| 48. | 2023. 2. 28. | -8.52% | -2.61% | 102.32 | 14.68 | 38.75 |
| 49. | 2023. 3. 31. | 0.23% | 3.51% | 1.87 | 5.22 | -3.12 |
| 50. | 2023. 4. 30. | 1.84% | 1.46% | 0.06 | 0.06 | 0.06 |
| 51. | 2023. 5. 31. | -4.99% | 0.25% | 43.34 | 0.94 | 6.40 |
| 52. | 2023. 6. 30. | 9.59% | 4.71% | 64.01 | 12.21 | 27.95 |
| 53. | 2023. 7. 31. | 7.47% | 4.85% | 34.53 | 13.15 | 21.31 |
| 54. | 2023. 8. 31. | -0.43% | -1.77% | 4.11 | 8.95 | 6.06 |
| 55. | 2023. 9. 30. | -8.52% | -4.87% | 102.24 | 37.11 | 61.60 |
| 56. | 2023. 10. 31. | -5.78% | -2.20% | 54.37 | 11.68 | 25.20 |
| 57. | 2023. 11. 30. | 10.85% | 8.92% | 85.72 | 59.26 | 71.27 |
| 58. | 2023. 12. 31. | 10.55% | 4.42% | 80.17 | 10.26 | 28.68 |
| 59. | 2024. 1. 31. | 1.85% | 1.59% | 0.07 | 0.14 | 0.10 |
| 60. | 2024. 2. 29. | 7.83% | 5.17% | 38.96 | 15.62 | 24.67 |
| 61. | 2024. 3. 31. | 1.38% | 3.10% | 0.05 | 3.54 | -0.41 |
| 62. | 2024. 4. 30. | -12.87% | -4.16% | 209.23 | 28.96 | 77.84 |
| 63. | 2024. 5. 31. | 0.87% | 4.80% | 0.52 | 12.83 | -2.59 |
| 64. | 2024. 6. 30. | 2.80% | 3.47% | 1.45 | 5.05 | 2.71 |
| 65. | 2024. 7. 31. | 6.95% | 1.13% | 28.69 | 0.01 | -0.47 |
| 66. | 2024. 8. 31. | 0.70% | 2.28% | 0.79 | 1.13 | -0.94 |
| 67. | 2024. 9. 30. | 9.96% | 2.02% | 70.01 | 0.64 | 6.69 |
| 68. | 2024. 10. 31. | -2.83% | -0.99% | 19.52 | 4.88 | 9.76 |
| 69. | 2024. 11. 30. | 9.56% | 5.73% | 63.44 | 20.34 | 35.92 |
| 70. | 2024. 12. 31. | -9.35% | -2.50% | 119.81 | 13.83 | 40.71 |
| 71. | 2025. 1. 31. | 5.91% | 2.70% | 18.65 | 2.20 | 6.40 |
| 합계 (Σ): | 3,569.56 | 1,741.16 | 1,804.50 | |||
모두 보기
분산HD = Σ(RHD,t–RHD)2 ÷ (71 – 1)
= 3,569.56 ÷ (71 – 1)
= 50.99
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,741.16 ÷ (71 – 1)
= 24.87
공분산HD, S&P 500 = Σ(RHD,t–RHD)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,804.50 ÷ (71 – 1)
= 25.78
체계적인 위험 추정 (β)
| 분산HD | 50.99 |
| 분산S&P 500 | 24.87 |
| 공분산HD, S&P 500 | 25.78 |
| 상관 계수HD, S&P 5001 | 0.72 |
| βHD2 | 1.04 |
| αHD3 | 0.33% |
계산
1 상관 계수HD, S&P 500
= 공분산HD, S&P 500 ÷ (표준 편차HD × 표준 편차S&P 500)
= 25.78 ÷ (7.14% × 4.99%)
= 0.72
2 βHD
= 공분산HD, S&P 500 ÷ 분산S&P 500
= 25.78 ÷ 24.87
= 1.04
3 αHD
= 평균의HD – βHD × 평균의S&P 500
= 1.59% – 1.04 × 1.22%
= 0.33%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.91% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.84% |
| 보통주의 체계적 위험Home Depot | βHD | 1.04 |
| Home Depot 보통주 예상 수익률3 | E(RHD) | 15.20% |
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(RHD) = RF + βHD [E(RM) – RF]
= 4.91% + 1.04 [14.84% – 4.91%]
= 15.20%