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 |
| 2020. 2. 29. | $217.84 | 2,954.22 | ||||
| 1. | 2020. 3. 31. | $186.71 | $1.50 | -13.60% | 2,584.59 | -12.51% |
| 2. | 2020. 4. 30. | $219.83 | 17.74% | 2,912.43 | 12.68% | |
| 3. | 2020. 5. 31. | $248.48 | 13.03% | 3,044.31 | 4.53% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 12. 31. | $344.10 | $2.30 | -2.95% | 6,845.50 | -0.05% |
| 71. | 2026. 1. 31. | $374.59 | 8.86% | 6,939.03 | 1.37% | |
| 평균의 (R): | 1.23% | 1.33% | ||||
| 표준 편차: | 7.22% | 4.83% | ||||
| 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 |
| 2020. 2. 29. | $217.84 | 2,954.22 | ||||
| 1. | 2020. 3. 31. | $186.71 | $1.50 | -13.60% | 2,584.59 | -12.51% |
| 2. | 2020. 4. 30. | $219.83 | 17.74% | 2,912.43 | 12.68% | |
| 3. | 2020. 5. 31. | $248.48 | 13.03% | 3,044.31 | 4.53% | |
| 4. | 2020. 6. 30. | $250.51 | $1.50 | 1.42% | 3,100.29 | 1.84% |
| 5. | 2020. 7. 31. | $265.49 | 5.98% | 3,271.12 | 5.51% | |
| 6. | 2020. 8. 31. | $285.04 | 7.36% | 3,500.31 | 7.01% | |
| 7. | 2020. 9. 30. | $277.71 | $1.50 | -2.05% | 3,363.00 | -3.92% |
| 8. | 2020. 10. 31. | $266.71 | -3.96% | 3,269.96 | -2.77% | |
| 9. | 2020. 11. 30. | $277.41 | 4.01% | 3,621.63 | 10.75% | |
| 10. | 2020. 12. 31. | $265.62 | $1.50 | -3.71% | 3,756.07 | 3.71% |
| 11. | 2021. 1. 31. | $270.82 | 1.96% | 3,714.24 | -1.11% | |
| 12. | 2021. 2. 28. | $258.34 | -4.61% | 3,811.15 | 2.61% | |
| 13. | 2021. 3. 31. | $305.25 | $1.65 | 18.80% | 3,972.89 | 4.24% |
| 14. | 2021. 4. 30. | $323.67 | 6.03% | 4,181.17 | 5.24% | |
| 15. | 2021. 5. 31. | $318.91 | -1.47% | 4,204.11 | 0.55% | |
| 16. | 2021. 6. 30. | $318.89 | $1.65 | 0.51% | 4,297.50 | 2.22% |
| 17. | 2021. 7. 31. | $328.19 | 2.92% | 4,395.26 | 2.27% | |
| 18. | 2021. 8. 31. | $326.18 | -0.61% | 4,522.68 | 2.90% | |
| 19. | 2021. 9. 30. | $328.26 | $1.65 | 1.14% | 4,307.54 | -4.76% |
| 20. | 2021. 10. 31. | $371.74 | 13.25% | 4,605.38 | 6.91% | |
| 21. | 2021. 11. 30. | $400.61 | 7.77% | 4,567.00 | -0.83% | |
| 22. | 2021. 12. 31. | $415.01 | $1.65 | 4.01% | 4,766.18 | 4.36% |
| 23. | 2022. 1. 31. | $366.98 | -11.57% | 4,515.55 | -5.26% | |
| 24. | 2022. 2. 28. | $315.83 | -13.94% | 4,373.94 | -3.14% | |
| 25. | 2022. 3. 31. | $299.33 | $1.90 | -4.62% | 4,530.41 | 3.58% |
| 26. | 2022. 4. 30. | $300.40 | 0.36% | 4,131.93 | -8.80% | |
| 27. | 2022. 5. 31. | $302.75 | 0.78% | 4,132.15 | 0.01% | |
| 28. | 2022. 6. 30. | $274.27 | $1.90 | -8.78% | 3,785.38 | -8.39% |
| 29. | 2022. 7. 31. | $300.94 | 9.72% | 4,130.29 | 9.11% | |
| 30. | 2022. 8. 31. | $288.42 | $1.90 | -3.53% | 3,955.00 | -4.24% |
| 31. | 2022. 9. 30. | $275.94 | -4.33% | 3,585.62 | -9.34% | |
| 32. | 2022. 10. 31. | $296.13 | 7.32% | 3,871.98 | 7.99% | |
| 33. | 2022. 11. 30. | $323.99 | $1.90 | 10.05% | 4,080.11 | 5.38% |
| 34. | 2022. 12. 31. | $315.86 | -2.51% | 3,839.50 | -5.90% | |
| 35. | 2023. 1. 31. | $324.17 | 2.63% | 4,076.60 | 6.18% | |
| 36. | 2023. 2. 28. | $296.54 | -8.52% | 3,970.15 | -2.61% | |
| 37. | 2023. 3. 31. | $295.12 | $2.09 | 0.23% | 4,109.31 | 3.51% |
| 38. | 2023. 4. 30. | $300.54 | 1.84% | 4,169.48 | 1.46% | |
| 39. | 2023. 5. 31. | $283.45 | $2.09 | -4.99% | 4,179.83 | 0.25% |
| 40. | 2023. 6. 30. | $310.64 | 9.59% | 4,376.86 | 4.71% | |
| 41. | 2023. 7. 31. | $333.84 | 7.47% | 4,588.96 | 4.85% | |
| 42. | 2023. 8. 31. | $330.30 | $2.09 | -0.43% | 4,507.66 | -1.77% |
| 43. | 2023. 9. 30. | $302.16 | -8.52% | 4,288.05 | -4.87% | |
| 44. | 2023. 10. 31. | $284.69 | -5.78% | 4,193.80 | -2.20% | |
| 45. | 2023. 11. 30. | $313.49 | $2.09 | 10.85% | 4,567.80 | 8.92% |
| 46. | 2023. 12. 31. | $346.55 | 10.55% | 4,769.83 | 4.42% | |
| 47. | 2024. 1. 31. | $352.96 | 1.85% | 4,845.65 | 1.59% | |
| 48. | 2024. 2. 29. | $380.61 | 7.83% | 5,096.27 | 5.17% | |
| 49. | 2024. 3. 31. | $383.60 | $2.25 | 1.38% | 5,254.35 | 3.10% |
| 50. | 2024. 4. 30. | $334.22 | -12.87% | 5,035.69 | -4.16% | |
| 51. | 2024. 5. 31. | $334.87 | $2.25 | 0.87% | 5,277.51 | 4.80% |
| 52. | 2024. 6. 30. | $344.24 | 2.80% | 5,460.48 | 3.47% | |
| 53. | 2024. 7. 31. | $368.16 | 6.95% | 5,522.30 | 1.13% | |
| 54. | 2024. 8. 31. | $368.50 | $2.25 | 0.70% | 5,648.40 | 2.28% |
| 55. | 2024. 9. 30. | $405.20 | 9.96% | 5,762.48 | 2.02% | |
| 56. | 2024. 10. 31. | $393.75 | -2.83% | 5,705.45 | -0.99% | |
| 57. | 2024. 11. 30. | $429.13 | $2.25 | 9.56% | 6,032.38 | 5.73% |
| 58. | 2024. 12. 31. | $388.99 | -9.35% | 5,881.63 | -2.50% | |
| 59. | 2025. 1. 31. | $411.98 | 5.91% | 6,040.53 | 2.70% | |
| 60. | 2025. 2. 28. | $396.60 | -3.73% | 5,954.50 | -1.42% | |
| 61. | 2025. 3. 31. | $366.49 | $2.30 | -7.01% | 5,611.85 | -5.75% |
| 62. | 2025. 4. 30. | $360.49 | -1.64% | 5,569.06 | -0.76% | |
| 63. | 2025. 5. 31. | $368.29 | 2.16% | 5,911.69 | 6.15% | |
| 64. | 2025. 6. 30. | $366.64 | $2.30 | 0.18% | 6,204.95 | 4.96% |
| 65. | 2025. 7. 31. | $367.51 | 0.24% | 6,339.39 | 2.17% | |
| 66. | 2025. 8. 31. | $406.77 | 10.68% | 6,460.26 | 1.91% | |
| 67. | 2025. 9. 30. | $405.19 | $2.30 | 0.18% | 6,688.46 | 3.53% |
| 68. | 2025. 10. 31. | $379.59 | -6.32% | 6,840.20 | 2.27% | |
| 69. | 2025. 11. 30. | $356.92 | -5.97% | 6,849.09 | 0.13% | |
| 70. | 2025. 12. 31. | $344.10 | $2.30 | -2.95% | 6,845.50 | -0.05% |
| 71. | 2026. 1. 31. | $374.59 | 8.86% | 6,939.03 | 1.37% | |
| 평균의 (R): | 1.23% | 1.33% | ||||
| 표준 편차: | 7.22% | 4.83% | ||||
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. | 2020. 3. 31. | -13.60% | -12.51% | 219.93 | 191.48 | 205.21 |
| 2. | 2020. 4. 30. | 17.74% | 12.68% | 272.60 | 129.02 | 187.54 |
| 3. | 2020. 5. 31. | 13.03% | 4.53% | 139.35 | 10.26 | 37.81 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 12. 31. | -2.95% | -0.05% | 17.44 | 1.90 | 5.75 |
| 71. | 2026. 1. 31. | 8.86% | 1.37% | 58.26 | 0.00 | 0.31 |
| 합계 (Σ): | 3,646.36 | 1,636.00 | 1,745.44 | |||
| 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. | 2020. 3. 31. | -13.60% | -12.51% | 219.93 | 191.48 | 205.21 |
| 2. | 2020. 4. 30. | 17.74% | 12.68% | 272.60 | 129.02 | 187.54 |
| 3. | 2020. 5. 31. | 13.03% | 4.53% | 139.35 | 10.26 | 37.81 |
| 4. | 2020. 6. 30. | 1.42% | 1.84% | 0.04 | 0.26 | 0.10 |
| 5. | 2020. 7. 31. | 5.98% | 5.51% | 22.58 | 17.51 | 19.88 |
| 6. | 2020. 8. 31. | 7.36% | 7.01% | 37.65 | 32.27 | 34.86 |
| 7. | 2020. 9. 30. | -2.05% | -3.92% | 10.72 | 27.55 | 17.18 |
| 8. | 2020. 10. 31. | -3.96% | -2.77% | 26.93 | 16.75 | 21.23 |
| 9. | 2020. 11. 30. | 4.01% | 10.75% | 7.75 | 88.91 | 26.25 |
| 10. | 2020. 12. 31. | -3.71% | 3.71% | 24.38 | 5.70 | -11.78 |
| 11. | 2021. 1. 31. | 1.96% | -1.11% | 0.53 | 5.95 | -1.78 |
| 12. | 2021. 2. 28. | -4.61% | 2.61% | 34.06 | 1.65 | -7.49 |
| 13. | 2021. 3. 31. | 18.80% | 4.24% | 308.66 | 8.52 | 51.27 |
| 14. | 2021. 4. 30. | 6.03% | 5.24% | 23.10 | 15.34 | 18.83 |
| 15. | 2021. 5. 31. | -1.47% | 0.55% | 7.28 | 0.60 | 2.10 |
| 16. | 2021. 6. 30. | 0.51% | 2.22% | 0.51 | 0.80 | -0.64 |
| 17. | 2021. 7. 31. | 2.92% | 2.27% | 2.85 | 0.90 | 1.60 |
| 18. | 2021. 8. 31. | -0.61% | 2.90% | 3.39 | 2.48 | -2.90 |
| 19. | 2021. 9. 30. | 1.14% | -4.76% | 0.01 | 37.00 | 0.51 |
| 20. | 2021. 10. 31. | 13.25% | 6.91% | 144.42 | 31.23 | 67.16 |
| 21. | 2021. 11. 30. | 7.77% | -0.83% | 42.75 | 4.66 | -14.12 |
| 22. | 2021. 12. 31. | 4.01% | 4.36% | 7.72 | 9.22 | 8.43 |
| 23. | 2022. 1. 31. | -11.57% | -5.26% | 163.88 | 43.35 | 84.29 |
| 24. | 2022. 2. 28. | -13.94% | -3.14% | 230.01 | 19.91 | 67.67 |
| 25. | 2022. 3. 31. | -4.62% | 3.58% | 34.23 | 5.07 | -13.17 |
| 26. | 2022. 4. 30. | 0.36% | -8.80% | 0.76 | 102.44 | 8.81 |
| 27. | 2022. 5. 31. | 0.78% | 0.01% | 0.20 | 1.74 | 0.59 |
| 28. | 2022. 6. 30. | -8.78% | -8.39% | 100.15 | 94.43 | 97.25 |
| 29. | 2022. 7. 31. | 9.72% | 9.11% | 72.18 | 60.62 | 66.15 |
| 30. | 2022. 8. 31. | -3.53% | -4.24% | 22.63 | 31.02 | 26.50 |
| 31. | 2022. 9. 30. | -4.33% | -9.34% | 30.86 | 113.75 | 59.25 |
| 32. | 2022. 10. 31. | 7.32% | 7.99% | 37.07 | 44.37 | 40.55 |
| 33. | 2022. 11. 30. | 10.05% | 5.38% | 77.82 | 16.40 | 35.72 |
| 34. | 2022. 12. 31. | -2.51% | -5.90% | 13.97 | 52.17 | 26.99 |
| 35. | 2023. 1. 31. | 2.63% | 6.18% | 1.97 | 23.52 | 6.80 |
| 36. | 2023. 2. 28. | -8.52% | -2.61% | 95.09 | 15.50 | 38.39 |
| 37. | 2023. 3. 31. | 0.23% | 3.51% | 1.00 | 4.75 | -2.18 |
| 38. | 2023. 4. 30. | 1.84% | 1.46% | 0.37 | 0.02 | 0.08 |
| 39. | 2023. 5. 31. | -4.99% | 0.25% | 38.68 | 1.16 | 6.70 |
| 40. | 2023. 6. 30. | 9.59% | 4.71% | 69.96 | 11.48 | 28.34 |
| 41. | 2023. 7. 31. | 7.47% | 4.85% | 38.94 | 12.39 | 21.97 |
| 42. | 2023. 8. 31. | -0.43% | -1.77% | 2.76 | 9.59 | 5.15 |
| 43. | 2023. 9. 30. | -8.52% | -4.87% | 95.02 | 38.41 | 60.41 |
| 44. | 2023. 10. 31. | -5.78% | -2.20% | 49.14 | 12.42 | 24.70 |
| 45. | 2023. 11. 30. | 10.85% | 8.92% | 92.59 | 57.64 | 73.06 |
| 46. | 2023. 12. 31. | 10.55% | 4.42% | 86.82 | 9.59 | 28.86 |
| 47. | 2024. 1. 31. | 1.85% | 1.59% | 0.39 | 0.07 | 0.16 |
| 48. | 2024. 2. 29. | 7.83% | 5.17% | 43.63 | 14.80 | 25.41 |
| 49. | 2024. 3. 31. | 1.38% | 3.10% | 0.02 | 3.16 | 0.26 |
| 50. | 2024. 4. 30. | -12.87% | -4.16% | 198.84 | 30.11 | 77.37 |
| 51. | 2024. 5. 31. | 0.87% | 4.80% | 0.13 | 12.09 | -1.25 |
| 52. | 2024. 6. 30. | 2.80% | 3.47% | 2.46 | 4.59 | 3.36 |
| 53. | 2024. 7. 31. | 6.95% | 1.13% | 32.72 | 0.04 | -1.11 |
| 54. | 2024. 8. 31. | 0.70% | 2.28% | 0.28 | 0.92 | -0.50 |
| 55. | 2024. 9. 30. | 9.96% | 2.02% | 76.23 | 0.48 | 6.06 |
| 56. | 2024. 10. 31. | -2.83% | -0.99% | 16.43 | 5.36 | 9.39 |
| 57. | 2024. 11. 30. | 9.56% | 5.73% | 69.37 | 19.40 | 36.68 |
| 58. | 2024. 12. 31. | -9.35% | -2.50% | 111.98 | 14.63 | 40.47 |
| 59. | 2025. 1. 31. | 5.91% | 2.70% | 21.92 | 1.89 | 6.44 |
| 60. | 2025. 2. 28. | -3.73% | -1.42% | 24.61 | 7.56 | 13.64 |
| 61. | 2025. 3. 31. | -7.01% | -5.75% | 67.90 | 50.13 | 58.34 |
| 62. | 2025. 4. 30. | -1.64% | -0.76% | 8.21 | 4.36 | 5.98 |
| 63. | 2025. 5. 31. | 2.16% | 6.15% | 0.88 | 23.30 | 4.52 |
| 64. | 2025. 6. 30. | 0.18% | 4.96% | 1.11 | 13.21 | -3.82 |
| 65. | 2025. 7. 31. | 0.24% | 2.17% | 0.98 | 0.71 | -0.83 |
| 66. | 2025. 8. 31. | 10.68% | 1.91% | 89.39 | 0.34 | 5.49 |
| 67. | 2025. 9. 30. | 0.18% | 3.53% | 1.10 | 4.87 | -2.32 |
| 68. | 2025. 10. 31. | -6.32% | 2.27% | 56.94 | 0.89 | -7.12 |
| 69. | 2025. 11. 30. | -5.97% | 0.13% | 51.85 | 1.43 | 8.61 |
| 70. | 2025. 12. 31. | -2.95% | -0.05% | 17.44 | 1.90 | 5.75 |
| 71. | 2026. 1. 31. | 8.86% | 1.37% | 58.26 | 0.00 | 0.31 |
| 합계 (Σ): | 3,646.36 | 1,636.00 | 1,745.44 | |||
모두 보기
분산HD = Σ(RHD,t–RHD)2 ÷ (71 – 1)
= 3,646.36 ÷ (71 – 1)
= 52.09
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,636.00 ÷ (71 – 1)
= 23.37
공분산HD, S&P 500 = Σ(RHD,t–RHD)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,745.44 ÷ (71 – 1)
= 24.93
체계적인 위험 추정 (β)
| 분산HD | 52.09 |
| 분산S&P 500 | 23.37 |
| 공분산HD, S&P 500 | 24.93 |
| 상관 계수HD, S&P 5001 | 0.71 |
| βHD2 | 1.07 |
| αHD3 | -0.19% |
계산
1 상관 계수HD, S&P 500
= 공분산HD, S&P 500 ÷ (표준 편차HD × 표준 편차S&P 500)
= 24.93 ÷ (7.22% × 4.83%)
= 0.71
2 βHD
= 공분산HD, S&P 500 ÷ 분산S&P 500
= 24.93 ÷ 23.37
= 1.07
3 αHD
= 평균의HD – βHD × 평균의S&P 500
= 1.23% – 1.07 × 1.33%
= -0.19%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.88% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.51% |
| 보통주의 체계적 위험Home Depot | βHD | 1.07 |
| Home Depot 보통주 예상 수익률3 | E(RHD) | 18.36% |
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]
= 4.88% + 1.07 [17.51% – 4.88%]
= 18.36%