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 |
| 2019. 2. 28. | $105.09 | 2,784.49 | ||||
| 1. | 2019. 3. 31. | $109.47 | 4.17% | 2,834.40 | 1.79% | |
| 2. | 2019. 4. 30. | $113.14 | $0.48 | 3.79% | 2,945.83 | 3.93% |
| 3. | 2019. 5. 31. | $93.28 | -17.55% | 2,752.06 | -6.58% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 12. 31. | $246.80 | -9.41% | 5,881.63 | -2.50% | |
| 71. | 2025. 1. 31. | $260.04 | $1.15 | 5.83% | 6,040.53 | 2.70% |
| 평균의 (R): | 1.76% | 1.22% | ||||
| 표준 편차: | 8.20% | 4.99% | ||||
| 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 |
| 2019. 2. 28. | $105.09 | 2,784.49 | ||||
| 1. | 2019. 3. 31. | $109.47 | 4.17% | 2,834.40 | 1.79% | |
| 2. | 2019. 4. 30. | $113.14 | $0.48 | 3.79% | 2,945.83 | 3.93% |
| 3. | 2019. 5. 31. | $93.28 | -17.55% | 2,752.06 | -6.58% | |
| 4. | 2019. 6. 30. | $100.91 | 8.18% | 2,941.76 | 6.89% | |
| 5. | 2019. 7. 31. | $101.40 | $0.55 | 1.03% | 2,980.38 | 1.31% |
| 6. | 2019. 8. 31. | $112.20 | 10.65% | 2,926.46 | -1.81% | |
| 7. | 2019. 9. 30. | $109.96 | -2.00% | 2,976.74 | 1.72% | |
| 8. | 2019. 10. 31. | $111.61 | $0.55 | 2.00% | 3,037.56 | 2.04% |
| 9. | 2019. 11. 30. | $117.31 | 5.11% | 3,140.98 | 3.40% | |
| 10. | 2019. 12. 31. | $119.76 | 2.09% | 3,230.78 | 2.86% | |
| 11. | 2020. 1. 31. | $116.24 | $0.55 | -2.48% | 3,225.52 | -0.16% |
| 12. | 2020. 2. 29. | $106.57 | -8.32% | 2,954.22 | -8.41% | |
| 13. | 2020. 3. 31. | $86.05 | -19.25% | 2,584.59 | -12.51% | |
| 14. | 2020. 4. 30. | $104.75 | $0.55 | 22.37% | 2,912.43 | 12.68% |
| 15. | 2020. 5. 31. | $130.35 | 24.44% | 3,044.31 | 4.53% | |
| 16. | 2020. 6. 30. | $135.12 | 3.66% | 3,100.29 | 1.84% | |
| 17. | 2020. 7. 31. | $148.91 | $0.55 | 10.61% | 3,271.12 | 5.51% |
| 18. | 2020. 8. 31. | $164.69 | 10.60% | 3,500.31 | 7.01% | |
| 19. | 2020. 9. 30. | $165.86 | 0.71% | 3,363.00 | -3.92% | |
| 20. | 2020. 10. 31. | $158.10 | $0.60 | -4.32% | 3,269.96 | -2.77% |
| 21. | 2020. 11. 30. | $155.82 | -1.44% | 3,621.63 | 10.75% | |
| 22. | 2020. 12. 31. | $160.51 | 3.01% | 3,756.07 | 3.71% | |
| 23. | 2021. 1. 31. | $166.85 | $0.60 | 4.32% | 3,714.24 | -1.11% |
| 24. | 2021. 2. 28. | $159.75 | -4.26% | 3,811.15 | 2.61% | |
| 25. | 2021. 3. 31. | $190.18 | 19.05% | 3,972.89 | 4.24% | |
| 26. | 2021. 4. 30. | $196.25 | $0.60 | 3.51% | 4,181.17 | 5.24% |
| 27. | 2021. 5. 31. | $194.83 | -0.72% | 4,204.11 | 0.55% | |
| 28. | 2021. 6. 30. | $193.97 | -0.44% | 4,297.50 | 2.22% | |
| 29. | 2021. 7. 31. | $192.69 | $0.80 | -0.25% | 4,395.26 | 2.27% |
| 30. | 2021. 8. 31. | $203.89 | 5.81% | 4,522.68 | 2.90% | |
| 31. | 2021. 9. 30. | $202.86 | -0.51% | 4,307.54 | -4.76% | |
| 32. | 2021. 10. 31. | $233.82 | $0.80 | 15.66% | 4,605.38 | 6.91% |
| 33. | 2021. 11. 30. | $244.59 | 4.61% | 4,567.00 | -0.83% | |
| 34. | 2021. 12. 31. | $258.48 | 5.68% | 4,766.18 | 4.36% | |
| 35. | 2022. 1. 31. | $237.35 | $0.80 | -7.87% | 4,515.55 | -5.26% |
| 36. | 2022. 2. 28. | $221.06 | -6.86% | 4,373.94 | -3.14% | |
| 37. | 2022. 3. 31. | $202.19 | -8.54% | 4,530.41 | 3.58% | |
| 38. | 2022. 4. 30. | $197.73 | $0.80 | -1.81% | 4,131.93 | -8.80% |
| 39. | 2022. 5. 31. | $195.30 | -1.23% | 4,132.15 | 0.01% | |
| 40. | 2022. 6. 30. | $174.67 | -10.56% | 3,785.38 | -8.39% | |
| 41. | 2022. 7. 31. | $191.53 | $1.05 | 10.25% | 4,130.29 | 9.11% |
| 42. | 2022. 8. 31. | $194.14 | 1.36% | 3,955.00 | -4.24% | |
| 43. | 2022. 9. 30. | $187.81 | -3.26% | 3,585.62 | -9.34% | |
| 44. | 2022. 10. 31. | $194.95 | $1.05 | 4.36% | 3,871.98 | 7.99% |
| 45. | 2022. 11. 30. | $212.55 | 9.03% | 4,080.11 | 5.38% | |
| 46. | 2022. 12. 31. | $199.24 | -6.26% | 3,839.50 | -5.90% | |
| 47. | 2023. 1. 31. | $208.25 | $1.05 | 5.05% | 4,076.60 | 6.18% |
| 48. | 2023. 2. 28. | $205.75 | -1.20% | 3,970.15 | -2.61% | |
| 49. | 2023. 3. 31. | $199.97 | -2.81% | 4,109.31 | 3.51% | |
| 50. | 2023. 4. 30. | $207.83 | $1.05 | 4.46% | 4,169.48 | 1.46% |
| 51. | 2023. 5. 31. | $201.13 | -3.22% | 4,179.83 | 0.25% | |
| 52. | 2023. 6. 30. | $225.70 | 12.22% | 4,376.86 | 4.71% | |
| 53. | 2023. 7. 31. | $234.27 | $1.10 | 4.28% | 4,588.96 | 4.85% |
| 54. | 2023. 8. 31. | $230.48 | -1.62% | 4,507.66 | -1.77% | |
| 55. | 2023. 9. 30. | $207.84 | -9.82% | 4,288.05 | -4.87% | |
| 56. | 2023. 10. 31. | $190.57 | $1.10 | -7.78% | 4,193.80 | -2.20% |
| 57. | 2023. 11. 30. | $198.83 | 4.33% | 4,567.80 | 8.92% | |
| 58. | 2023. 12. 31. | $222.55 | 11.93% | 4,769.83 | 4.42% | |
| 59. | 2024. 1. 31. | $212.84 | $1.10 | -3.87% | 4,845.65 | 1.59% |
| 60. | 2024. 2. 29. | $240.67 | 13.08% | 5,096.27 | 5.17% | |
| 61. | 2024. 3. 31. | $254.73 | 5.84% | 5,254.35 | 3.10% | |
| 62. | 2024. 4. 30. | $227.99 | $1.10 | -10.07% | 5,035.69 | -4.16% |
| 63. | 2024. 5. 31. | $221.29 | -2.94% | 5,277.51 | 4.80% | |
| 64. | 2024. 6. 30. | $220.46 | -0.38% | 5,460.48 | 3.47% | |
| 65. | 2024. 7. 31. | $245.51 | $1.15 | 11.88% | 5,522.30 | 1.13% |
| 66. | 2024. 8. 31. | $248.50 | 1.22% | 5,648.40 | 2.28% | |
| 67. | 2024. 9. 30. | $270.85 | 8.99% | 5,762.48 | 2.02% | |
| 68. | 2024. 10. 31. | $261.83 | $1.15 | -2.91% | 5,705.45 | -0.99% |
| 69. | 2024. 11. 30. | $272.43 | 4.05% | 6,032.38 | 5.73% | |
| 70. | 2024. 12. 31. | $246.80 | -9.41% | 5,881.63 | -2.50% | |
| 71. | 2025. 1. 31. | $260.04 | $1.15 | 5.83% | 6,040.53 | 2.70% |
| 평균의 (R): | 1.76% | 1.22% | ||||
| 표준 편차: | 8.20% | 4.99% | ||||
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. | 2019. 3. 31. | 4.17% | 1.79% | 5.78 | 0.33 | 1.38 |
| 2. | 2019. 4. 30. | 3.79% | 3.93% | 4.11 | 7.35 | 5.49 |
| 3. | 2019. 5. 31. | -17.55% | -6.58% | 373.18 | 60.81 | 150.64 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 12. 31. | -9.41% | -2.50% | 124.82 | 13.83 | 41.55 |
| 71. | 2025. 1. 31. | 5.83% | 2.70% | 16.53 | 2.20 | 6.02 |
| 합계 (Σ): | 4,706.52 | 1,741.16 | 1,976.15 | |||
| 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. | 2019. 3. 31. | 4.17% | 1.79% | 5.78 | 0.33 | 1.38 |
| 2. | 2019. 4. 30. | 3.79% | 3.93% | 4.11 | 7.35 | 5.49 |
| 3. | 2019. 5. 31. | -17.55% | -6.58% | 373.18 | 60.81 | 150.64 |
| 4. | 2019. 6. 30. | 8.18% | 6.89% | 41.16 | 32.18 | 36.39 |
| 5. | 2019. 7. 31. | 1.03% | 1.31% | 0.54 | 0.01 | -0.07 |
| 6. | 2019. 8. 31. | 10.65% | -1.81% | 78.97 | 9.18 | -26.92 |
| 7. | 2019. 9. 30. | -2.00% | 1.72% | 14.14 | 0.25 | -1.87 |
| 8. | 2019. 10. 31. | 2.00% | 2.04% | 0.06 | 0.68 | 0.19 |
| 9. | 2019. 11. 30. | 5.11% | 3.40% | 11.17 | 4.77 | 7.30 |
| 10. | 2019. 12. 31. | 2.09% | 2.86% | 0.11 | 2.69 | 0.53 |
| 11. | 2020. 1. 31. | -2.48% | -0.16% | 18.01 | 1.91 | 5.87 |
| 12. | 2020. 2. 29. | -8.32% | -8.41% | 101.68 | 92.76 | 97.11 |
| 13. | 2020. 3. 31. | -19.25% | -12.51% | 441.81 | 188.57 | 288.64 |
| 14. | 2020. 4. 30. | 22.37% | 12.68% | 424.62 | 131.43 | 236.24 |
| 15. | 2020. 5. 31. | 24.44% | 4.53% | 514.14 | 10.94 | 75.01 |
| 16. | 2020. 6. 30. | 3.66% | 1.84% | 3.59 | 0.38 | 1.17 |
| 17. | 2020. 7. 31. | 10.61% | 5.51% | 78.29 | 18.41 | 37.96 |
| 18. | 2020. 8. 31. | 10.60% | 7.01% | 78.01 | 33.48 | 51.11 |
| 19. | 2020. 9. 30. | 0.71% | -3.92% | 1.11 | 26.45 | 5.42 |
| 20. | 2020. 10. 31. | -4.32% | -2.77% | 36.98 | 15.89 | 24.24 |
| 21. | 2020. 11. 30. | -1.44% | 10.75% | 10.28 | 90.91 | -30.57 |
| 22. | 2020. 12. 31. | 3.01% | 3.71% | 1.55 | 6.21 | 3.10 |
| 23. | 2021. 1. 31. | 4.32% | -1.11% | 6.55 | 5.45 | -5.97 |
| 24. | 2021. 2. 28. | -4.26% | 2.61% | 36.24 | 1.93 | -8.36 |
| 25. | 2021. 3. 31. | 19.05% | 4.24% | 298.74 | 9.14 | 52.26 |
| 26. | 2021. 4. 30. | 3.51% | 5.24% | 3.04 | 16.18 | 7.01 |
| 27. | 2021. 5. 31. | -0.72% | 0.55% | 6.19 | 0.45 | 1.67 |
| 28. | 2021. 6. 30. | -0.44% | 2.22% | 4.87 | 1.00 | -2.21 |
| 29. | 2021. 7. 31. | -0.25% | 2.27% | 4.05 | 1.11 | -2.12 |
| 30. | 2021. 8. 31. | 5.81% | 2.90% | 16.39 | 2.82 | 6.80 |
| 31. | 2021. 9. 30. | -0.51% | -4.76% | 5.15 | 35.72 | 13.57 |
| 32. | 2021. 10. 31. | 15.66% | 6.91% | 192.98 | 32.43 | 79.10 |
| 33. | 2021. 11. 30. | 4.61% | -0.83% | 8.08 | 4.22 | -5.84 |
| 34. | 2021. 12. 31. | 5.68% | 4.36% | 15.32 | 9.87 | 12.30 |
| 35. | 2022. 1. 31. | -7.87% | -5.26% | 92.73 | 41.97 | 62.39 |
| 36. | 2022. 2. 28. | -6.86% | -3.14% | 74.44 | 18.98 | 37.58 |
| 37. | 2022. 3. 31. | -8.54% | 3.58% | 106.10 | 5.56 | -24.28 |
| 38. | 2022. 4. 30. | -1.81% | -8.80% | 12.78 | 100.31 | 35.80 |
| 39. | 2022. 5. 31. | -1.23% | 0.01% | 8.96 | 1.48 | 3.64 |
| 40. | 2022. 6. 30. | -10.56% | -8.39% | 151.97 | 92.39 | 118.49 |
| 41. | 2022. 7. 31. | 10.25% | 9.11% | 72.07 | 62.28 | 66.99 |
| 42. | 2022. 8. 31. | 1.36% | -4.24% | 0.16 | 29.86 | 2.20 |
| 43. | 2022. 9. 30. | -3.26% | -9.34% | 25.25 | 111.50 | 53.06 |
| 44. | 2022. 10. 31. | 4.36% | 7.99% | 6.74 | 45.78 | 17.57 |
| 45. | 2022. 11. 30. | 9.03% | 5.38% | 52.76 | 17.27 | 30.18 |
| 46. | 2022. 12. 31. | -6.26% | -5.90% | 64.42 | 50.65 | 57.13 |
| 47. | 2023. 1. 31. | 5.05% | 6.18% | 10.79 | 24.55 | 16.28 |
| 48. | 2023. 2. 28. | -1.20% | -2.61% | 8.79 | 14.68 | 11.36 |
| 49. | 2023. 3. 31. | -2.81% | 3.51% | 20.92 | 5.22 | -10.45 |
| 50. | 2023. 4. 30. | 4.46% | 1.46% | 7.24 | 0.06 | 0.66 |
| 51. | 2023. 5. 31. | -3.22% | 0.25% | 24.88 | 0.94 | 4.85 |
| 52. | 2023. 6. 30. | 12.22% | 4.71% | 109.23 | 12.21 | 36.52 |
| 53. | 2023. 7. 31. | 4.28% | 4.85% | 6.35 | 13.15 | 9.14 |
| 54. | 2023. 8. 31. | -1.62% | -1.77% | 11.44 | 8.95 | 10.12 |
| 55. | 2023. 9. 30. | -9.82% | -4.87% | 134.27 | 37.11 | 70.59 |
| 56. | 2023. 10. 31. | -7.78% | -2.20% | 91.10 | 11.68 | 32.62 |
| 57. | 2023. 11. 30. | 4.33% | 8.92% | 6.60 | 59.26 | 19.78 |
| 58. | 2023. 12. 31. | 11.93% | 4.42% | 103.33 | 10.26 | 32.56 |
| 59. | 2024. 1. 31. | -3.87% | 1.59% | 31.73 | 0.14 | -2.08 |
| 60. | 2024. 2. 29. | 13.08% | 5.17% | 127.94 | 15.62 | 44.70 |
| 61. | 2024. 3. 31. | 5.84% | 3.10% | 16.63 | 3.54 | 7.67 |
| 62. | 2024. 4. 30. | -10.07% | -4.16% | 139.95 | 28.96 | 63.66 |
| 63. | 2024. 5. 31. | -2.94% | 4.80% | 22.12 | 12.83 | -16.85 |
| 64. | 2024. 6. 30. | -0.38% | 3.47% | 4.58 | 5.05 | -4.81 |
| 65. | 2024. 7. 31. | 11.88% | 1.13% | 102.41 | 0.01 | -0.89 |
| 66. | 2024. 8. 31. | 1.22% | 2.28% | 0.30 | 1.13 | -0.58 |
| 67. | 2024. 9. 30. | 8.99% | 2.02% | 52.27 | 0.64 | 5.78 |
| 68. | 2024. 10. 31. | -2.91% | -0.99% | 21.81 | 4.88 | 10.32 |
| 69. | 2024. 11. 30. | 4.05% | 5.73% | 5.22 | 20.34 | 10.30 |
| 70. | 2024. 12. 31. | -9.41% | -2.50% | 124.82 | 13.83 | 41.55 |
| 71. | 2025. 1. 31. | 5.83% | 2.70% | 16.53 | 2.20 | 6.02 |
| 합계 (Σ): | 4,706.52 | 1,741.16 | 1,976.15 | |||
모두 보기
분산LOW = Σ(RLOW,t–RLOW)2 ÷ (71 – 1)
= 4,706.52 ÷ (71 – 1)
= 67.24
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,741.16 ÷ (71 – 1)
= 24.87
공분산LOW, S&P 500 = Σ(RLOW,t–RLOW)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,976.15 ÷ (71 – 1)
= 28.23
체계적인 위험 추정 (β)
| 분산LOW | 67.24 |
| 분산S&P 500 | 24.87 |
| 공분산LOW, S&P 500 | 28.23 |
| 상관 계수LOW, S&P 5001 | 0.69 |
| βLOW2 | 1.13 |
| αLOW3 | 0.38% |
계산
1 상관 계수LOW, S&P 500
= 공분산LOW, S&P 500 ÷ (표준 편차LOW × 표준 편차S&P 500)
= 28.23 ÷ (8.20% × 4.99%)
= 0.69
2 βLOW
= 공분산LOW, S&P 500 ÷ 분산S&P 500
= 28.23 ÷ 24.87
= 1.13
3 αLOW
= 평균의LOW – βLOW × 평균의S&P 500
= 1.76% – 1.13 × 1.22%
= 0.38%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.62% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.87% |
| 보통주의 체계적 위험Lowe’s | βLOW | 1.13 |
| Lowe’s 보통주에 대한 기대 수익률3 | E(RLOW) | 16.25% |
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]
= 4.62% + 1.13 [14.87% – 4.62%]
= 16.25%