자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Lowe’s보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Lowe’s Cos. Inc., 월별 수익률
| Lowe’s Cos. Inc. (LOW) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값LOW,t1 | 피제수LOW,t1 | RLOW,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 2. 29. | $106.57 | 2,954.22 | ||||
| 1. | 2020. 3. 31. | $86.05 | -19.25% | 2,584.59 | -12.51% | |
| 2. | 2020. 4. 30. | $104.75 | $0.55 | 22.37% | 2,912.43 | 12.68% |
| 3. | 2020. 5. 31. | $130.35 | 24.44% | 3,044.31 | 4.53% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 12. 31. | $241.16 | -0.54% | 6,845.50 | -0.05% | |
| 71. | 2026. 1. 31. | $267.06 | $1.20 | 11.24% | 6,939.03 | 1.37% |
| 평균의 (R): | 1.77% | 1.33% | ||||
| 표준 편차: | 8.06% | 4.83% | ||||
| Lowe’s Cos. Inc. (LOW) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값LOW,t1 | 피제수LOW,t1 | RLOW,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 2. 29. | $106.57 | 2,954.22 | ||||
| 1. | 2020. 3. 31. | $86.05 | -19.25% | 2,584.59 | -12.51% | |
| 2. | 2020. 4. 30. | $104.75 | $0.55 | 22.37% | 2,912.43 | 12.68% |
| 3. | 2020. 5. 31. | $130.35 | 24.44% | 3,044.31 | 4.53% | |
| 4. | 2020. 6. 30. | $135.12 | 3.66% | 3,100.29 | 1.84% | |
| 5. | 2020. 7. 31. | $148.91 | $0.55 | 10.61% | 3,271.12 | 5.51% |
| 6. | 2020. 8. 31. | $164.69 | 10.60% | 3,500.31 | 7.01% | |
| 7. | 2020. 9. 30. | $165.86 | 0.71% | 3,363.00 | -3.92% | |
| 8. | 2020. 10. 31. | $158.10 | $0.60 | -4.32% | 3,269.96 | -2.77% |
| 9. | 2020. 11. 30. | $155.82 | -1.44% | 3,621.63 | 10.75% | |
| 10. | 2020. 12. 31. | $160.51 | 3.01% | 3,756.07 | 3.71% | |
| 11. | 2021. 1. 31. | $166.85 | $0.60 | 4.32% | 3,714.24 | -1.11% |
| 12. | 2021. 2. 28. | $159.75 | -4.26% | 3,811.15 | 2.61% | |
| 13. | 2021. 3. 31. | $190.18 | 19.05% | 3,972.89 | 4.24% | |
| 14. | 2021. 4. 30. | $196.25 | $0.60 | 3.51% | 4,181.17 | 5.24% |
| 15. | 2021. 5. 31. | $194.83 | -0.72% | 4,204.11 | 0.55% | |
| 16. | 2021. 6. 30. | $193.97 | -0.44% | 4,297.50 | 2.22% | |
| 17. | 2021. 7. 31. | $192.69 | $0.80 | -0.25% | 4,395.26 | 2.27% |
| 18. | 2021. 8. 31. | $203.89 | 5.81% | 4,522.68 | 2.90% | |
| 19. | 2021. 9. 30. | $202.86 | -0.51% | 4,307.54 | -4.76% | |
| 20. | 2021. 10. 31. | $233.82 | $0.80 | 15.66% | 4,605.38 | 6.91% |
| 21. | 2021. 11. 30. | $244.59 | 4.61% | 4,567.00 | -0.83% | |
| 22. | 2021. 12. 31. | $258.48 | 5.68% | 4,766.18 | 4.36% | |
| 23. | 2022. 1. 31. | $237.35 | $0.80 | -7.87% | 4,515.55 | -5.26% |
| 24. | 2022. 2. 28. | $221.06 | -6.86% | 4,373.94 | -3.14% | |
| 25. | 2022. 3. 31. | $202.19 | -8.54% | 4,530.41 | 3.58% | |
| 26. | 2022. 4. 30. | $197.73 | $0.80 | -1.81% | 4,131.93 | -8.80% |
| 27. | 2022. 5. 31. | $195.30 | -1.23% | 4,132.15 | 0.01% | |
| 28. | 2022. 6. 30. | $174.67 | -10.56% | 3,785.38 | -8.39% | |
| 29. | 2022. 7. 31. | $191.53 | $1.05 | 10.25% | 4,130.29 | 9.11% |
| 30. | 2022. 8. 31. | $194.14 | 1.36% | 3,955.00 | -4.24% | |
| 31. | 2022. 9. 30. | $187.81 | -3.26% | 3,585.62 | -9.34% | |
| 32. | 2022. 10. 31. | $194.95 | $1.05 | 4.36% | 3,871.98 | 7.99% |
| 33. | 2022. 11. 30. | $212.55 | 9.03% | 4,080.11 | 5.38% | |
| 34. | 2022. 12. 31. | $199.24 | -6.26% | 3,839.50 | -5.90% | |
| 35. | 2023. 1. 31. | $208.25 | $1.05 | 5.05% | 4,076.60 | 6.18% |
| 36. | 2023. 2. 28. | $205.75 | -1.20% | 3,970.15 | -2.61% | |
| 37. | 2023. 3. 31. | $199.97 | -2.81% | 4,109.31 | 3.51% | |
| 38. | 2023. 4. 30. | $207.83 | $1.05 | 4.46% | 4,169.48 | 1.46% |
| 39. | 2023. 5. 31. | $201.13 | -3.22% | 4,179.83 | 0.25% | |
| 40. | 2023. 6. 30. | $225.70 | 12.22% | 4,376.86 | 4.71% | |
| 41. | 2023. 7. 31. | $234.27 | $1.10 | 4.28% | 4,588.96 | 4.85% |
| 42. | 2023. 8. 31. | $230.48 | -1.62% | 4,507.66 | -1.77% | |
| 43. | 2023. 9. 30. | $207.84 | -9.82% | 4,288.05 | -4.87% | |
| 44. | 2023. 10. 31. | $190.57 | $1.10 | -7.78% | 4,193.80 | -2.20% |
| 45. | 2023. 11. 30. | $198.83 | 4.33% | 4,567.80 | 8.92% | |
| 46. | 2023. 12. 31. | $222.55 | 11.93% | 4,769.83 | 4.42% | |
| 47. | 2024. 1. 31. | $212.84 | $1.10 | -3.87% | 4,845.65 | 1.59% |
| 48. | 2024. 2. 29. | $240.67 | 13.08% | 5,096.27 | 5.17% | |
| 49. | 2024. 3. 31. | $254.73 | 5.84% | 5,254.35 | 3.10% | |
| 50. | 2024. 4. 30. | $227.99 | $1.10 | -10.07% | 5,035.69 | -4.16% |
| 51. | 2024. 5. 31. | $221.29 | -2.94% | 5,277.51 | 4.80% | |
| 52. | 2024. 6. 30. | $220.46 | -0.38% | 5,460.48 | 3.47% | |
| 53. | 2024. 7. 31. | $245.51 | $1.15 | 11.88% | 5,522.30 | 1.13% |
| 54. | 2024. 8. 31. | $248.50 | 1.22% | 5,648.40 | 2.28% | |
| 55. | 2024. 9. 30. | $270.85 | 8.99% | 5,762.48 | 2.02% | |
| 56. | 2024. 10. 31. | $261.83 | $1.15 | -2.91% | 5,705.45 | -0.99% |
| 57. | 2024. 11. 30. | $272.43 | 4.05% | 6,032.38 | 5.73% | |
| 58. | 2024. 12. 31. | $246.80 | -9.41% | 5,881.63 | -2.50% | |
| 59. | 2025. 1. 31. | $260.04 | $1.15 | 5.83% | 6,040.53 | 2.70% |
| 60. | 2025. 2. 28. | $248.64 | -4.38% | 5,954.50 | -1.42% | |
| 61. | 2025. 3. 31. | $233.23 | -6.20% | 5,611.85 | -5.75% | |
| 62. | 2025. 4. 30. | $223.56 | $1.15 | -3.65% | 5,569.06 | -0.76% |
| 63. | 2025. 5. 31. | $225.73 | 0.97% | 5,911.69 | 6.15% | |
| 64. | 2025. 6. 30. | $221.87 | -1.71% | 6,204.95 | 4.96% | |
| 65. | 2025. 7. 31. | $223.57 | $1.20 | 1.31% | 6,339.39 | 2.17% |
| 66. | 2025. 8. 31. | $258.06 | 15.43% | 6,460.26 | 1.91% | |
| 67. | 2025. 9. 30. | $251.31 | -2.62% | 6,688.46 | 3.53% | |
| 68. | 2025. 10. 31. | $238.13 | $1.20 | -4.77% | 6,840.20 | 2.27% |
| 69. | 2025. 11. 30. | $242.48 | 1.83% | 6,849.09 | 0.13% | |
| 70. | 2025. 12. 31. | $241.16 | -0.54% | 6,845.50 | -0.05% | |
| 71. | 2026. 1. 31. | $267.06 | $1.20 | 11.24% | 6,939.03 | 1.37% |
| 평균의 (R): | 1.77% | 1.33% | ||||
| 표준 편차: | 8.06% | 4.83% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 LOW의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Lowe’s Cos. Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RLOW,t | RS&P 500,t | (RLOW,t–RLOW)2 | (RS&P 500,t–RS&P 500)2 | (RLOW,t–RLOW)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020. 3. 31. | -19.25% | -12.51% | 441.95 | 191.48 | 290.90 |
| 2. | 2020. 4. 30. | 22.37% | 12.68% | 424.49 | 129.02 | 234.03 |
| 3. | 2020. 5. 31. | 24.44% | 4.53% | 514.00 | 10.26 | 72.61 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 12. 31. | -0.54% | -0.05% | 5.35 | 1.90 | 3.19 |
| 71. | 2026. 1. 31. | 11.24% | 1.37% | 89.68 | 0.00 | 0.39 |
| 합계 (Σ): | 4,544.66 | 1,636.00 | 1,761.92 | |||
| t | 날짜 | RLOW,t | RS&P 500,t | (RLOW,t–RLOW)2 | (RS&P 500,t–RS&P 500)2 | (RLOW,t–RLOW)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020. 3. 31. | -19.25% | -12.51% | 441.95 | 191.48 | 290.90 |
| 2. | 2020. 4. 30. | 22.37% | 12.68% | 424.49 | 129.02 | 234.03 |
| 3. | 2020. 5. 31. | 24.44% | 4.53% | 514.00 | 10.26 | 72.61 |
| 4. | 2020. 6. 30. | 3.66% | 1.84% | 3.58 | 0.26 | 0.97 |
| 5. | 2020. 7. 31. | 10.61% | 5.51% | 78.24 | 17.51 | 37.01 |
| 6. | 2020. 8. 31. | 10.60% | 7.01% | 77.96 | 32.27 | 50.16 |
| 7. | 2020. 9. 30. | 0.71% | -3.92% | 1.12 | 27.55 | 5.55 |
| 8. | 2020. 10. 31. | -4.32% | -2.77% | 37.02 | 16.75 | 24.90 |
| 9. | 2020. 11. 30. | -1.44% | 10.75% | 10.30 | 88.91 | -30.26 |
| 10. | 2020. 12. 31. | 3.01% | 3.71% | 1.54 | 5.70 | 2.96 |
| 11. | 2021. 1. 31. | 4.32% | -1.11% | 6.53 | 5.95 | -6.23 |
| 12. | 2021. 2. 28. | -4.26% | 2.61% | 36.28 | 1.65 | -7.73 |
| 13. | 2021. 3. 31. | 19.05% | 4.24% | 298.63 | 8.52 | 50.43 |
| 14. | 2021. 4. 30. | 3.51% | 5.24% | 3.03 | 15.34 | 6.81 |
| 15. | 2021. 5. 31. | -0.72% | 0.55% | 6.21 | 0.60 | 1.94 |
| 16. | 2021. 6. 30. | -0.44% | 2.22% | 4.88 | 0.80 | -1.98 |
| 17. | 2021. 7. 31. | -0.25% | 2.27% | 4.06 | 0.90 | -1.91 |
| 18. | 2021. 8. 31. | 5.81% | 2.90% | 16.36 | 2.48 | 6.36 |
| 19. | 2021. 9. 30. | -0.51% | -4.76% | 5.17 | 37.00 | 13.82 |
| 20. | 2021. 10. 31. | 15.66% | 6.91% | 192.89 | 31.23 | 77.62 |
| 21. | 2021. 11. 30. | 4.61% | -0.83% | 8.06 | 4.66 | -6.13 |
| 22. | 2021. 12. 31. | 5.68% | 4.36% | 15.30 | 9.22 | 11.87 |
| 23. | 2022. 1. 31. | -7.87% | -5.26% | 92.79 | 43.35 | 63.42 |
| 24. | 2022. 2. 28. | -6.86% | -3.14% | 74.49 | 19.91 | 38.51 |
| 25. | 2022. 3. 31. | -8.54% | 3.58% | 106.17 | 5.07 | -23.20 |
| 26. | 2022. 4. 30. | -1.81% | -8.80% | 12.80 | 102.44 | 36.21 |
| 27. | 2022. 5. 31. | -1.23% | 0.01% | 8.98 | 1.74 | 3.96 |
| 28. | 2022. 6. 30. | -10.56% | -8.39% | 152.05 | 94.43 | 119.83 |
| 29. | 2022. 7. 31. | 10.25% | 9.11% | 72.01 | 60.62 | 66.07 |
| 30. | 2022. 8. 31. | 1.36% | -4.24% | 0.16 | 31.02 | 2.26 |
| 31. | 2022. 9. 30. | -3.26% | -9.34% | 25.28 | 113.75 | 53.63 |
| 32. | 2022. 10. 31. | 4.36% | 7.99% | 6.72 | 44.37 | 17.27 |
| 33. | 2022. 11. 30. | 9.03% | 5.38% | 52.71 | 16.40 | 29.40 |
| 34. | 2022. 12. 31. | -6.26% | -5.90% | 64.48 | 52.17 | 58.00 |
| 35. | 2023. 1. 31. | 5.05% | 6.18% | 10.77 | 23.52 | 15.91 |
| 36. | 2023. 2. 28. | -1.20% | -2.61% | 8.81 | 15.50 | 11.69 |
| 37. | 2023. 3. 31. | -2.81% | 3.51% | 20.95 | 4.75 | -9.98 |
| 38. | 2023. 4. 30. | 4.46% | 1.46% | 7.23 | 0.02 | 0.37 |
| 39. | 2023. 5. 31. | -3.22% | 0.25% | 24.91 | 1.16 | 5.38 |
| 40. | 2023. 6. 30. | 12.22% | 4.71% | 109.17 | 11.48 | 35.40 |
| 41. | 2023. 7. 31. | 4.28% | 4.85% | 6.33 | 12.39 | 8.86 |
| 42. | 2023. 8. 31. | -1.62% | -1.77% | 11.46 | 9.59 | 10.49 |
| 43. | 2023. 9. 30. | -9.82% | -4.87% | 134.34 | 38.41 | 71.83 |
| 44. | 2023. 10. 31. | -7.78% | -2.20% | 91.16 | 12.42 | 33.64 |
| 45. | 2023. 11. 30. | 4.33% | 8.92% | 6.59 | 57.64 | 19.49 |
| 46. | 2023. 12. 31. | 11.93% | 4.42% | 103.27 | 9.59 | 31.48 |
| 47. | 2024. 1. 31. | -3.87% | 1.59% | 31.77 | 0.07 | -1.49 |
| 48. | 2024. 2. 29. | 13.08% | 5.17% | 127.87 | 14.80 | 43.50 |
| 49. | 2024. 3. 31. | 5.84% | 3.10% | 16.60 | 3.16 | 7.24 |
| 50. | 2024. 4. 30. | -10.07% | -4.16% | 140.03 | 30.11 | 64.93 |
| 51. | 2024. 5. 31. | -2.94% | 4.80% | 22.15 | 12.09 | -16.36 |
| 52. | 2024. 6. 30. | -0.38% | 3.47% | 4.59 | 4.59 | -4.59 |
| 53. | 2024. 7. 31. | 11.88% | 1.13% | 102.35 | 0.04 | -1.96 |
| 54. | 2024. 8. 31. | 1.22% | 2.28% | 0.30 | 0.92 | -0.53 |
| 55. | 2024. 9. 30. | 8.99% | 2.02% | 52.22 | 0.48 | 5.02 |
| 56. | 2024. 10. 31. | -2.91% | -0.99% | 21.84 | 5.36 | 10.82 |
| 57. | 2024. 11. 30. | 4.05% | 5.73% | 5.20 | 19.40 | 10.05 |
| 58. | 2024. 12. 31. | -9.41% | -2.50% | 124.89 | 14.63 | 42.74 |
| 59. | 2025. 1. 31. | 5.83% | 2.70% | 16.51 | 1.89 | 5.59 |
| 60. | 2025. 2. 28. | -4.38% | -1.42% | 37.84 | 7.56 | 16.92 |
| 61. | 2025. 3. 31. | -6.20% | -5.75% | 63.45 | 50.13 | 56.40 |
| 62. | 2025. 4. 30. | -3.65% | -0.76% | 29.38 | 4.36 | 11.32 |
| 63. | 2025. 5. 31. | 0.97% | 6.15% | 0.64 | 23.30 | -3.85 |
| 64. | 2025. 6. 30. | -1.71% | 4.96% | 12.09 | 13.21 | -12.64 |
| 65. | 2025. 7. 31. | 1.31% | 2.17% | 0.21 | 0.71 | -0.39 |
| 66. | 2025. 8. 31. | 15.43% | 1.91% | 186.58 | 0.34 | 7.94 |
| 67. | 2025. 9. 30. | -2.62% | 3.53% | 19.21 | 4.87 | -9.67 |
| 68. | 2025. 10. 31. | -4.77% | 2.27% | 42.70 | 0.89 | -6.16 |
| 69. | 2025. 11. 30. | 1.83% | 0.13% | 0.00 | 1.43 | -0.07 |
| 70. | 2025. 12. 31. | -0.54% | -0.05% | 5.35 | 1.90 | 3.19 |
| 71. | 2026. 1. 31. | 11.24% | 1.37% | 89.68 | 0.00 | 0.39 |
| 합계 (Σ): | 4,544.66 | 1,636.00 | 1,761.92 | |||
모두 보기
분산LOW = Σ(RLOW,t–RLOW)2 ÷ (71 – 1)
= 4,544.66 ÷ (71 – 1)
= 64.92
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,636.00 ÷ (71 – 1)
= 23.37
공분산LOW, S&P 500 = Σ(RLOW,t–RLOW)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,761.92 ÷ (71 – 1)
= 25.17
체계적인 위험 추정 (β)
| 분산LOW | 64.92 |
| 분산S&P 500 | 23.37 |
| 공분산LOW, S&P 500 | 25.17 |
| 상관 계수LOW, S&P 5001 | 0.65 |
| βLOW2 | 1.08 |
| αLOW3 | 0.34% |
계산
1 상관 계수LOW, S&P 500
= 공분산LOW, S&P 500 ÷ (표준 편차LOW × 표준 편차S&P 500)
= 25.17 ÷ (8.06% × 4.83%)
= 0.65
2 βLOW
= 공분산LOW, S&P 500 ÷ 분산S&P 500
= 25.17 ÷ 23.37
= 1.08
3 αLOW
= 평균의LOW – βLOW × 평균의S&P 500
= 1.77% – 1.08 × 1.33%
= 0.34%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.54% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.37% |
| 보통주의 체계적 위험Lowe’s | βLOW | 1.08 |
| Lowe’s 보통주에 대한 기대 수익률3 | E(RLOW) | 18.35% |
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(RLOW) = RF + βLOW [E(RM) – RF]
= 4.54% + 1.08 [17.37% – 4.54%]
= 18.35%