자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Hubbell의 보통주와 같은 위험 자산에 대한 기대 또는 필요한 수익률을 나타냅니다.
수익률
Hubbell Inc., 월별 수익률
| Hubbell Inc. (HUBB) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값HUBB,t1 | 피제수HUBB,t1 | RHUBB,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 1. 31. | $135.95 | 2,823.81 | ||||
| 1. | 2018. 2. 28. | $131.05 | $0.77 | -3.04% | 2,713.83 | -3.89% |
| 2. | 2018. 3. 31. | $121.78 | -7.07% | 2,640.87 | -2.69% | |
| 3. | 2018. 4. 30. | $103.86 | -14.72% | 2,648.05 | 0.27% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022. 11. 30. | $254.06 | $1.12 | 7.45% | 4,080.11 | 5.38% |
| 59. | 2022. 12. 31. | $234.68 | -7.63% | 3,839.50 | -5.90% | |
| 평균의 (R): | 1.49% | 0.67% | ||||
| 표준 편차: | 8.41% | 5.40% | ||||
| Hubbell Inc. (HUBB) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값HUBB,t1 | 피제수HUBB,t1 | RHUBB,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 1. 31. | $135.95 | 2,823.81 | ||||
| 1. | 2018. 2. 28. | $131.05 | $0.77 | -3.04% | 2,713.83 | -3.89% |
| 2. | 2018. 3. 31. | $121.78 | -7.07% | 2,640.87 | -2.69% | |
| 3. | 2018. 4. 30. | $103.86 | -14.72% | 2,648.05 | 0.27% | |
| 4. | 2018. 5. 31. | $107.69 | $0.77 | 4.43% | 2,705.27 | 2.16% |
| 5. | 2018. 6. 30. | $105.74 | -1.81% | 2,718.37 | 0.48% | |
| 6. | 2018. 7. 31. | $123.25 | 16.56% | 2,816.29 | 3.60% | |
| 7. | 2018. 8. 31. | $126.36 | $0.77 | 3.15% | 2,901.52 | 3.03% |
| 8. | 2018. 9. 30. | $133.57 | 5.71% | 2,913.98 | 0.43% | |
| 9. | 2018. 10. 31. | $101.70 | -23.86% | 2,711.74 | -6.94% | |
| 10. | 2018. 11. 30. | $110.16 | $0.84 | 9.14% | 2,760.17 | 1.79% |
| 11. | 2018. 12. 31. | $99.34 | -9.82% | 2,506.85 | -9.18% | |
| 12. | 2019. 1. 31. | $109.33 | 10.06% | 2,704.10 | 7.87% | |
| 13. | 2019. 2. 28. | $118.05 | $0.84 | 8.74% | 2,784.49 | 2.97% |
| 14. | 2019. 3. 31. | $117.98 | -0.06% | 2,834.40 | 1.79% | |
| 15. | 2019. 4. 30. | $127.60 | 8.15% | 2,945.83 | 3.93% | |
| 16. | 2019. 5. 31. | $114.54 | $0.84 | -9.58% | 2,752.06 | -6.58% |
| 17. | 2019. 6. 30. | $130.40 | 13.85% | 2,941.76 | 6.89% | |
| 18. | 2019. 7. 31. | $129.88 | -0.40% | 2,980.38 | 1.31% | |
| 19. | 2019. 8. 31. | $131.14 | $0.84 | 1.62% | 2,926.46 | -1.81% |
| 20. | 2019. 9. 30. | $131.40 | 0.20% | 2,976.74 | 1.72% | |
| 21. | 2019. 10. 31. | $141.70 | 7.84% | 3,037.56 | 2.04% | |
| 22. | 2019. 11. 30. | $147.02 | $0.91 | 4.40% | 3,140.98 | 3.40% |
| 23. | 2019. 12. 31. | $147.82 | 0.54% | 3,230.78 | 2.86% | |
| 24. | 2020. 1. 31. | $143.23 | -3.11% | 3,225.52 | -0.16% | |
| 25. | 2020. 2. 29. | $133.24 | $0.91 | -6.34% | 2,954.22 | -8.41% |
| 26. | 2020. 3. 31. | $114.74 | -13.88% | 2,584.59 | -12.51% | |
| 27. | 2020. 4. 30. | $124.43 | 8.45% | 2,912.43 | 12.68% | |
| 28. | 2020. 5. 31. | $122.42 | $0.91 | -0.88% | 3,044.31 | 4.53% |
| 29. | 2020. 6. 30. | $125.36 | 2.40% | 3,100.29 | 1.84% | |
| 30. | 2020. 7. 31. | $134.97 | 7.67% | 3,271.12 | 5.51% | |
| 31. | 2020. 8. 31. | $144.92 | $0.91 | 8.05% | 3,500.31 | 7.01% |
| 32. | 2020. 9. 30. | $136.84 | -5.58% | 3,363.00 | -3.92% | |
| 33. | 2020. 10. 31. | $145.51 | 6.34% | 3,269.96 | -2.77% | |
| 34. | 2020. 11. 30. | $161.59 | $0.98 | 11.72% | 3,621.63 | 10.75% |
| 35. | 2020. 12. 31. | $156.79 | -2.97% | 3,756.07 | 3.71% | |
| 36. | 2021. 1. 31. | $155.60 | -0.76% | 3,714.24 | -1.11% | |
| 37. | 2021. 2. 28. | $177.51 | $0.98 | 14.71% | 3,811.15 | 2.61% |
| 38. | 2021. 3. 31. | $186.89 | 5.28% | 3,972.89 | 4.24% | |
| 39. | 2021. 4. 30. | $192.01 | 2.74% | 4,181.17 | 5.24% | |
| 40. | 2021. 5. 31. | $190.64 | $0.98 | -0.20% | 4,204.11 | 0.55% |
| 41. | 2021. 6. 30. | $186.84 | -1.99% | 4,297.50 | 2.22% | |
| 42. | 2021. 7. 31. | $200.46 | 7.29% | 4,395.26 | 2.27% | |
| 43. | 2021. 8. 31. | $206.11 | $0.98 | 3.31% | 4,522.68 | 2.90% |
| 44. | 2021. 9. 30. | $180.67 | -12.34% | 4,307.54 | -4.76% | |
| 45. | 2021. 10. 31. | $199.37 | 10.35% | 4,605.38 | 6.91% | |
| 46. | 2021. 11. 30. | $195.70 | $1.05 | -1.31% | 4,567.00 | -0.83% |
| 47. | 2021. 12. 31. | $208.27 | 6.42% | 4,766.18 | 4.36% | |
| 48. | 2022. 1. 31. | $187.29 | -10.07% | 4,515.55 | -5.26% | |
| 49. | 2022. 2. 28. | $178.25 | $1.05 | -4.27% | 4,373.94 | -3.14% |
| 50. | 2022. 3. 31. | $183.77 | 3.10% | 4,530.41 | 3.58% | |
| 51. | 2022. 4. 30. | $195.36 | 6.31% | 4,131.93 | -8.80% | |
| 52. | 2022. 5. 31. | $189.86 | $1.05 | -2.28% | 4,132.15 | 0.01% |
| 53. | 2022. 6. 30. | $178.58 | -5.94% | 3,785.38 | -8.39% | |
| 54. | 2022. 7. 31. | $219.02 | 22.65% | 4,130.29 | 9.11% | |
| 55. | 2022. 8. 31. | $206.30 | $1.05 | -5.33% | 3,955.00 | -4.24% |
| 56. | 2022. 9. 30. | $223.00 | 8.10% | 3,585.62 | -9.34% | |
| 57. | 2022. 10. 31. | $237.48 | 6.49% | 3,871.98 | 7.99% | |
| 58. | 2022. 11. 30. | $254.06 | $1.12 | 7.45% | 4,080.11 | 5.38% |
| 59. | 2022. 12. 31. | $234.68 | -7.63% | 3,839.50 | -5.90% | |
| 평균의 (R): | 1.49% | 0.67% | ||||
| 표준 편차: | 8.41% | 5.40% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 t기간 동안 HUBB의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Hubbell Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RHUBB,t | RS&P 500,t | (RHUBB,t–RHUBB)2 | (RS&P 500,t–RS&P 500)2 | (RHUBB,t–RHUBB)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 2. 28. | -3.04% | -3.89% | 20.51 | 20.81 | 20.66 |
| 2. | 2018. 3. 31. | -7.07% | -2.69% | 73.35 | 11.26 | 28.73 |
| 3. | 2018. 4. 30. | -14.72% | 0.27% | 262.63 | 0.16 | 6.40 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022. 11. 30. | 7.45% | 5.38% | 35.55 | 22.17 | 28.08 |
| 59. | 2022. 12. 31. | -7.63% | -5.90% | 83.15 | 43.08 | 59.85 |
| 합계 (Σ): | 4,101.70 | 1,691.48 | 1,817.75 | |||
| t | 날짜 | RHUBB,t | RS&P 500,t | (RHUBB,t–RHUBB)2 | (RS&P 500,t–RS&P 500)2 | (RHUBB,t–RHUBB)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 2. 28. | -3.04% | -3.89% | 20.51 | 20.81 | 20.66 |
| 2. | 2018. 3. 31. | -7.07% | -2.69% | 73.35 | 11.26 | 28.73 |
| 3. | 2018. 4. 30. | -14.72% | 0.27% | 262.63 | 0.16 | 6.40 |
| 4. | 2018. 5. 31. | 4.43% | 2.16% | 8.63 | 2.23 | 4.39 |
| 5. | 2018. 6. 30. | -1.81% | 0.48% | 10.90 | 0.03 | 0.60 |
| 6. | 2018. 7. 31. | 16.56% | 3.60% | 227.07 | 8.62 | 44.23 |
| 7. | 2018. 8. 31. | 3.15% | 3.03% | 2.75 | 5.57 | 3.91 |
| 8. | 2018. 9. 30. | 5.71% | 0.43% | 17.77 | 0.06 | -1.00 |
| 9. | 2018. 10. 31. | -23.86% | -6.94% | 642.67 | 57.87 | 192.84 |
| 10. | 2018. 11. 30. | 9.14% | 1.79% | 58.58 | 1.25 | 8.57 |
| 11. | 2018. 12. 31. | -9.82% | -9.18% | 127.98 | 96.91 | 111.37 |
| 12. | 2019. 1. 31. | 10.06% | 7.87% | 73.37 | 51.87 | 61.69 |
| 13. | 2019. 2. 28. | 8.74% | 2.97% | 52.61 | 5.32 | 16.73 |
| 14. | 2019. 3. 31. | -0.06% | 1.79% | 2.40 | 1.27 | -1.75 |
| 15. | 2019. 4. 30. | 8.15% | 3.93% | 44.40 | 10.66 | 21.75 |
| 16. | 2019. 5. 31. | -9.58% | -6.58% | 122.49 | 52.48 | 80.18 |
| 17. | 2019. 6. 30. | 13.85% | 6.89% | 152.67 | 38.77 | 76.93 |
| 18. | 2019. 7. 31. | -0.40% | 1.31% | 3.57 | 0.42 | -1.22 |
| 19. | 2019. 8. 31. | 1.62% | -1.81% | 0.02 | 6.13 | -0.31 |
| 20. | 2019. 9. 30. | 0.20% | 1.72% | 1.67 | 1.11 | -1.36 |
| 21. | 2019. 10. 31. | 7.84% | 2.04% | 40.30 | 1.89 | 8.74 |
| 22. | 2019. 11. 30. | 4.40% | 3.40% | 8.44 | 7.50 | 7.96 |
| 23. | 2019. 12. 31. | 0.54% | 2.86% | 0.90 | 4.81 | -2.08 |
| 24. | 2020. 1. 31. | -3.11% | -0.16% | 21.12 | 0.69 | 3.81 |
| 25. | 2020. 2. 29. | -6.34% | -8.41% | 61.31 | 82.40 | 71.08 |
| 26. | 2020. 3. 31. | -13.88% | -12.51% | 236.41 | 173.67 | 202.63 |
| 27. | 2020. 4. 30. | 8.45% | 12.68% | 48.36 | 144.43 | 83.58 |
| 28. | 2020. 5. 31. | -0.88% | 4.53% | 5.64 | 14.91 | -9.17 |
| 29. | 2020. 6. 30. | 2.40% | 1.84% | 0.83 | 1.37 | 1.07 |
| 30. | 2020. 7. 31. | 7.67% | 5.51% | 38.13 | 23.46 | 29.91 |
| 31. | 2020. 8. 31. | 8.05% | 7.01% | 42.97 | 40.19 | 41.56 |
| 32. | 2020. 9. 30. | -5.58% | -3.92% | 49.93 | 21.06 | 32.43 |
| 33. | 2020. 10. 31. | 6.34% | -2.77% | 23.47 | 11.79 | -16.63 |
| 34. | 2020. 11. 30. | 11.72% | 10.75% | 104.72 | 101.77 | 103.23 |
| 35. | 2020. 12. 31. | -2.97% | 3.71% | 19.90 | 9.28 | -13.59 |
| 36. | 2021. 1. 31. | -0.76% | -1.11% | 5.06 | 3.17 | 4.01 |
| 37. | 2021. 2. 28. | 14.71% | 2.61% | 174.77 | 3.77 | 25.68 |
| 38. | 2021. 3. 31. | 5.28% | 4.24% | 14.39 | 12.80 | 13.57 |
| 39. | 2021. 4. 30. | 2.74% | 5.24% | 1.56 | 20.94 | 5.71 |
| 40. | 2021. 5. 31. | -0.20% | 0.55% | 2.87 | 0.01 | 0.20 |
| 41. | 2021. 6. 30. | -1.99% | 2.22% | 12.14 | 2.42 | -5.42 |
| 42. | 2021. 7. 31. | 7.29% | 2.27% | 33.63 | 2.59 | 9.33 |
| 43. | 2021. 8. 31. | 3.31% | 2.90% | 3.30 | 4.98 | 4.06 |
| 44. | 2021. 9. 30. | -12.34% | -4.76% | 191.37 | 29.42 | 75.03 |
| 45. | 2021. 10. 31. | 10.35% | 6.91% | 78.49 | 39.03 | 55.35 |
| 46. | 2021. 11. 30. | -1.31% | -0.83% | 7.87 | 2.25 | 4.21 |
| 47. | 2021. 12. 31. | 6.42% | 4.36% | 24.33 | 13.65 | 18.22 |
| 48. | 2022. 1. 31. | -10.07% | -5.26% | 133.73 | 35.11 | 68.52 |
| 49. | 2022. 2. 28. | -4.27% | -3.14% | 33.14 | 14.46 | 21.89 |
| 50. | 2022. 3. 31. | 3.10% | 3.58% | 2.58 | 8.47 | 4.67 |
| 51. | 2022. 4. 30. | 6.31% | -8.80% | 23.19 | 89.54 | -45.57 |
| 52. | 2022. 5. 31. | -2.28% | 0.01% | 14.20 | 0.44 | 2.49 |
| 53. | 2022. 6. 30. | -5.94% | -8.39% | 55.23 | 82.06 | 67.32 |
| 54. | 2022. 7. 31. | 22.65% | 9.11% | 447.51 | 71.32 | 178.65 |
| 55. | 2022. 8. 31. | -5.33% | -4.24% | 46.50 | 24.11 | 33.49 |
| 56. | 2022. 9. 30. | 8.10% | -9.34% | 43.62 | 100.12 | -66.08 |
| 57. | 2022. 10. 31. | 6.49% | 7.99% | 25.02 | 53.58 | 36.62 |
| 58. | 2022. 11. 30. | 7.45% | 5.38% | 35.55 | 22.17 | 28.08 |
| 59. | 2022. 12. 31. | -7.63% | -5.90% | 83.15 | 43.08 | 59.85 |
| 합계 (Σ): | 4,101.70 | 1,691.48 | 1,817.75 | |||
모두 보기
분산HUBB = Σ(RHUBB,t–RHUBB)2 ÷ (59 – 1)
= 4,101.70 ÷ (59 – 1)
= 70.72
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16
공분산HUBB, S&P 500 = Σ(RHUBB,t–RHUBB)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,817.75 ÷ (59 – 1)
= 31.34
체계적인 위험 추정 (β)
| 분산HUBB | 70.72 |
| 분산S&P 500 | 29.16 |
| 공분산HUBB, S&P 500 | 31.34 |
| 상관 계수HUBB, S&P 5001 | 0.69 |
| βHUBB2 | 1.07 |
| αHUBB3 | 0.77% |
계산
1 상관 계수HUBB, S&P 500
= 공분산HUBB, S&P 500 ÷ (표준 편차HUBB × 표준 편차S&P 500)
= 31.34 ÷ (8.41% × 5.40%)
= 0.69
2 βHUBB
= 공분산HUBB, S&P 500 ÷ 분산S&P 500
= 31.34 ÷ 29.16
= 1.07
3 αHUBB
= 평균의HUBB – βHUBB × 평균의S&P 500
= 1.49% – 1.07 × 0.67%
= 0.77%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.49% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.94% |
| 보통주의 체계적 위험Hubbell | βHUBB | 1.07 |
| Hubbell 보통주의 예상 수익률3 | E(RHUBB) | 15.72% |
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(RHUBB) = RF + βHUBB [E(RM) – RF]
= 4.49% + 1.07 [14.94% – 4.49%]
= 15.72%