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 |
| 2018. 2. 28. | $89.59 | 2,713.83 | ||||
| 1. | 2018. 3. 31. | $87.75 | -2.05% | 2,640.87 | -2.69% | |
| 2. | 2018. 4. 30. | $82.43 | $0.41 | -5.60% | 2,648.05 | 0.27% |
| 3. | 2018. 5. 31. | $95.01 | 15.26% | 2,705.27 | 2.16% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023. 12. 31. | $222.55 | 11.93% | 4,769.83 | 4.42% | |
| 71. | 2024. 1. 31. | $212.84 | $1.10 | -3.87% | 4,845.65 | 1.59% |
| 평균의 (R): | 1.72% | 0.95% | ||||
| 표준 편차: | 8.31% | 5.18% | ||||
| 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 |
| 2018. 2. 28. | $89.59 | 2,713.83 | ||||
| 1. | 2018. 3. 31. | $87.75 | -2.05% | 2,640.87 | -2.69% | |
| 2. | 2018. 4. 30. | $82.43 | $0.41 | -5.60% | 2,648.05 | 0.27% |
| 3. | 2018. 5. 31. | $95.01 | 15.26% | 2,705.27 | 2.16% | |
| 4. | 2018. 6. 30. | $95.57 | 0.59% | 2,718.37 | 0.48% | |
| 5. | 2018. 7. 31. | $99.34 | $0.48 | 4.45% | 2,816.29 | 3.60% |
| 6. | 2018. 8. 31. | $108.75 | 9.47% | 2,901.52 | 3.03% | |
| 7. | 2018. 9. 30. | $114.82 | 5.58% | 2,913.98 | 0.43% | |
| 8. | 2018. 10. 31. | $95.22 | $0.48 | -16.65% | 2,711.74 | -6.94% |
| 9. | 2018. 11. 30. | $94.37 | -0.89% | 2,760.17 | 1.79% | |
| 10. | 2018. 12. 31. | $92.36 | -2.13% | 2,506.85 | -9.18% | |
| 11. | 2019. 1. 31. | $96.16 | $0.48 | 4.63% | 2,704.10 | 7.87% |
| 12. | 2019. 2. 28. | $105.09 | 9.29% | 2,784.49 | 2.97% | |
| 13. | 2019. 3. 31. | $109.47 | 4.17% | 2,834.40 | 1.79% | |
| 14. | 2019. 4. 30. | $113.14 | $0.48 | 3.79% | 2,945.83 | 3.93% |
| 15. | 2019. 5. 31. | $93.28 | -17.55% | 2,752.06 | -6.58% | |
| 16. | 2019. 6. 30. | $100.91 | 8.18% | 2,941.76 | 6.89% | |
| 17. | 2019. 7. 31. | $101.40 | $0.55 | 1.03% | 2,980.38 | 1.31% |
| 18. | 2019. 8. 31. | $112.20 | 10.65% | 2,926.46 | -1.81% | |
| 19. | 2019. 9. 30. | $109.96 | -2.00% | 2,976.74 | 1.72% | |
| 20. | 2019. 10. 31. | $111.61 | $0.55 | 2.00% | 3,037.56 | 2.04% |
| 21. | 2019. 11. 30. | $117.31 | 5.11% | 3,140.98 | 3.40% | |
| 22. | 2019. 12. 31. | $119.76 | 2.09% | 3,230.78 | 2.86% | |
| 23. | 2020. 1. 31. | $116.24 | $0.55 | -2.48% | 3,225.52 | -0.16% |
| 24. | 2020. 2. 29. | $106.57 | -8.32% | 2,954.22 | -8.41% | |
| 25. | 2020. 3. 31. | $86.05 | -19.25% | 2,584.59 | -12.51% | |
| 26. | 2020. 4. 30. | $104.75 | $0.55 | 22.37% | 2,912.43 | 12.68% |
| 27. | 2020. 5. 31. | $130.35 | 24.44% | 3,044.31 | 4.53% | |
| 28. | 2020. 6. 30. | $135.12 | 3.66% | 3,100.29 | 1.84% | |
| 29. | 2020. 7. 31. | $148.91 | $0.55 | 10.61% | 3,271.12 | 5.51% |
| 30. | 2020. 8. 31. | $164.69 | 10.60% | 3,500.31 | 7.01% | |
| 31. | 2020. 9. 30. | $165.86 | 0.71% | 3,363.00 | -3.92% | |
| 32. | 2020. 10. 31. | $158.10 | $0.60 | -4.32% | 3,269.96 | -2.77% |
| 33. | 2020. 11. 30. | $155.82 | -1.44% | 3,621.63 | 10.75% | |
| 34. | 2020. 12. 31. | $160.51 | 3.01% | 3,756.07 | 3.71% | |
| 35. | 2021. 1. 31. | $166.85 | $0.60 | 4.32% | 3,714.24 | -1.11% |
| 36. | 2021. 2. 28. | $159.75 | -4.26% | 3,811.15 | 2.61% | |
| 37. | 2021. 3. 31. | $190.18 | 19.05% | 3,972.89 | 4.24% | |
| 38. | 2021. 4. 30. | $196.25 | $0.60 | 3.51% | 4,181.17 | 5.24% |
| 39. | 2021. 5. 31. | $194.83 | -0.72% | 4,204.11 | 0.55% | |
| 40. | 2021. 6. 30. | $193.97 | -0.44% | 4,297.50 | 2.22% | |
| 41. | 2021. 7. 31. | $192.69 | $0.80 | -0.25% | 4,395.26 | 2.27% |
| 42. | 2021. 8. 31. | $203.89 | 5.81% | 4,522.68 | 2.90% | |
| 43. | 2021. 9. 30. | $202.86 | -0.51% | 4,307.54 | -4.76% | |
| 44. | 2021. 10. 31. | $233.82 | $0.80 | 15.66% | 4,605.38 | 6.91% |
| 45. | 2021. 11. 30. | $244.59 | 4.61% | 4,567.00 | -0.83% | |
| 46. | 2021. 12. 31. | $258.48 | 5.68% | 4,766.18 | 4.36% | |
| 47. | 2022. 1. 31. | $237.35 | $0.80 | -7.87% | 4,515.55 | -5.26% |
| 48. | 2022. 2. 28. | $221.06 | -6.86% | 4,373.94 | -3.14% | |
| 49. | 2022. 3. 31. | $202.19 | -8.54% | 4,530.41 | 3.58% | |
| 50. | 2022. 4. 30. | $197.73 | $0.80 | -1.81% | 4,131.93 | -8.80% |
| 51. | 2022. 5. 31. | $195.30 | -1.23% | 4,132.15 | 0.01% | |
| 52. | 2022. 6. 30. | $174.67 | -10.56% | 3,785.38 | -8.39% | |
| 53. | 2022. 7. 31. | $191.53 | $1.05 | 10.25% | 4,130.29 | 9.11% |
| 54. | 2022. 8. 31. | $194.14 | 1.36% | 3,955.00 | -4.24% | |
| 55. | 2022. 9. 30. | $187.81 | -3.26% | 3,585.62 | -9.34% | |
| 56. | 2022. 10. 31. | $194.95 | $1.05 | 4.36% | 3,871.98 | 7.99% |
| 57. | 2022. 11. 30. | $212.55 | 9.03% | 4,080.11 | 5.38% | |
| 58. | 2022. 12. 31. | $199.24 | -6.26% | 3,839.50 | -5.90% | |
| 59. | 2023. 1. 31. | $208.25 | $1.05 | 5.05% | 4,076.60 | 6.18% |
| 60. | 2023. 2. 28. | $205.75 | -1.20% | 3,970.15 | -2.61% | |
| 61. | 2023. 3. 31. | $199.97 | -2.81% | 4,109.31 | 3.51% | |
| 62. | 2023. 4. 30. | $207.83 | $1.05 | 4.46% | 4,169.48 | 1.46% |
| 63. | 2023. 5. 31. | $201.13 | -3.22% | 4,179.83 | 0.25% | |
| 64. | 2023. 6. 30. | $225.70 | 12.22% | 4,376.86 | 4.71% | |
| 65. | 2023. 7. 31. | $234.27 | $1.10 | 4.28% | 4,588.96 | 4.85% |
| 66. | 2023. 8. 31. | $230.48 | -1.62% | 4,507.66 | -1.77% | |
| 67. | 2023. 9. 30. | $207.84 | -9.82% | 4,288.05 | -4.87% | |
| 68. | 2023. 10. 31. | $190.57 | $1.10 | -7.78% | 4,193.80 | -2.20% |
| 69. | 2023. 11. 30. | $198.83 | 4.33% | 4,567.80 | 8.92% | |
| 70. | 2023. 12. 31. | $222.55 | 11.93% | 4,769.83 | 4.42% | |
| 71. | 2024. 1. 31. | $212.84 | $1.10 | -3.87% | 4,845.65 | 1.59% |
| 평균의 (R): | 1.72% | 0.95% | ||||
| 표준 편차: | 8.31% | 5.18% | ||||
모두 표시
1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.
2 기간 t 동안 LOW의 보통주에 대한 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 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. | 2018. 3. 31. | -2.05% | -2.69% | 14.23 | 13.26 | 13.74 |
| 2. | 2018. 4. 30. | -5.60% | 0.27% | 53.50 | 0.46 | 4.98 |
| 3. | 2018. 5. 31. | 15.26% | 2.16% | 183.41 | 1.46 | 16.36 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023. 12. 31. | 11.93% | 4.42% | 104.27 | 12.04 | 35.43 |
| 71. | 2024. 1. 31. | -3.87% | 1.59% | 31.22 | 0.41 | -3.56 |
| 합계 (Σ): | 4,831.49 | 1,876.53 | 2,082.69 | |||
| 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. | 2018. 3. 31. | -2.05% | -2.69% | 14.23 | 13.26 | 13.74 |
| 2. | 2018. 4. 30. | -5.60% | 0.27% | 53.50 | 0.46 | 4.98 |
| 3. | 2018. 5. 31. | 15.26% | 2.16% | 183.41 | 1.46 | 16.36 |
| 4. | 2018. 6. 30. | 0.59% | 0.48% | 1.28 | 0.22 | 0.53 |
| 5. | 2018. 7. 31. | 4.45% | 3.60% | 7.44 | 7.02 | 7.23 |
| 6. | 2018. 8. 31. | 9.47% | 3.03% | 60.12 | 4.30 | 16.08 |
| 7. | 2018. 9. 30. | 5.58% | 0.43% | 14.92 | 0.27 | -2.02 |
| 8. | 2018. 10. 31. | -16.65% | -6.94% | 337.49 | 62.30 | 145.01 |
| 9. | 2018. 11. 30. | -0.89% | 1.79% | 6.82 | 0.69 | -2.18 |
| 10. | 2018. 12. 31. | -2.13% | -9.18% | 14.81 | 102.63 | 38.99 |
| 11. | 2019. 1. 31. | 4.63% | 7.87% | 8.50 | 47.82 | 20.16 |
| 12. | 2019. 2. 28. | 9.29% | 2.97% | 57.27 | 4.08 | 15.29 |
| 13. | 2019. 3. 31. | 4.17% | 1.79% | 6.00 | 0.70 | 2.06 |
| 14. | 2019. 4. 30. | 3.79% | 3.93% | 4.29 | 8.87 | 6.17 |
| 15. | 2019. 5. 31. | -17.55% | -6.58% | 371.41 | 56.71 | 145.13 |
| 16. | 2019. 6. 30. | 8.18% | 6.89% | 41.74 | 35.28 | 38.38 |
| 17. | 2019. 7. 31. | 1.03% | 1.31% | 0.47 | 0.13 | -0.25 |
| 18. | 2019. 8. 31. | 10.65% | -1.81% | 79.79 | 7.63 | -24.67 |
| 19. | 2019. 9. 30. | -2.00% | 1.72% | 13.80 | 0.59 | -2.84 |
| 20. | 2019. 10. 31. | 2.00% | 2.04% | 0.08 | 1.19 | 0.31 |
| 21. | 2019. 11. 30. | 5.11% | 3.40% | 11.48 | 6.01 | 8.31 |
| 22. | 2019. 12. 31. | 2.09% | 2.86% | 0.14 | 3.63 | 0.70 |
| 23. | 2020. 1. 31. | -2.48% | -0.16% | 17.63 | 1.24 | 4.68 |
| 24. | 2020. 2. 29. | -8.32% | -8.41% | 100.75 | 87.68 | 93.99 |
| 25. | 2020. 3. 31. | -19.25% | -12.51% | 439.89 | 181.30 | 282.41 |
| 26. | 2020. 4. 30. | 22.37% | 12.68% | 426.51 | 137.63 | 242.28 |
| 27. | 2020. 5. 31. | 24.44% | 4.53% | 516.22 | 12.78 | 81.23 |
| 28. | 2020. 6. 30. | 3.66% | 1.84% | 3.77 | 0.78 | 1.72 |
| 29. | 2020. 7. 31. | 10.61% | 5.51% | 79.11 | 20.77 | 40.53 |
| 30. | 2020. 8. 31. | 10.60% | 7.01% | 78.83 | 36.65 | 53.75 |
| 31. | 2020. 9. 30. | 0.71% | -3.92% | 1.02 | 23.77 | 4.92 |
| 32. | 2020. 10. 31. | -4.32% | -2.77% | 36.43 | 13.83 | 22.45 |
| 33. | 2020. 11. 30. | -1.44% | 10.75% | 9.99 | 96.07 | -30.98 |
| 34. | 2020. 12. 31. | 3.01% | 3.71% | 1.67 | 7.61 | 3.56 |
| 35. | 2021. 1. 31. | 4.32% | -1.11% | 6.79 | 4.27 | -5.38 |
| 36. | 2021. 2. 28. | -4.26% | 2.61% | 35.69 | 2.74 | -9.89 |
| 37. | 2021. 3. 31. | 19.05% | 4.24% | 300.32 | 10.83 | 57.03 |
| 38. | 2021. 4. 30. | 3.51% | 5.24% | 3.20 | 18.40 | 7.67 |
| 39. | 2021. 5. 31. | -0.72% | 0.55% | 5.96 | 0.16 | 0.99 |
| 40. | 2021. 6. 30. | -0.44% | 2.22% | 4.67 | 1.61 | -2.74 |
| 41. | 2021. 7. 31. | -0.25% | 2.27% | 3.87 | 1.75 | -2.60 |
| 42. | 2021. 8. 31. | 5.81% | 2.90% | 16.76 | 3.79 | 7.97 |
| 43. | 2021. 9. 30. | -0.51% | -4.76% | 4.95 | 32.60 | 12.70 |
| 44. | 2021. 10. 31. | 15.66% | 6.91% | 194.25 | 35.54 | 83.09 |
| 45. | 2021. 11. 30. | 4.61% | -0.83% | 8.34 | 3.19 | -5.16 |
| 46. | 2021. 12. 31. | 5.68% | 4.36% | 15.68 | 11.62 | 13.50 |
| 47. | 2022. 1. 31. | -7.87% | -5.26% | 91.85 | 38.58 | 59.53 |
| 48. | 2022. 2. 28. | -6.86% | -3.14% | 73.65 | 16.72 | 35.09 |
| 49. | 2022. 3. 31. | -8.54% | 3.58% | 105.16 | 6.89 | -26.91 |
| 50. | 2022. 4. 30. | -1.81% | -8.80% | 12.45 | 95.04 | 34.40 |
| 51. | 2022. 5. 31. | -1.23% | 0.01% | 8.69 | 0.90 | 2.79 |
| 52. | 2022. 6. 30. | -10.56% | -8.39% | 150.84 | 87.33 | 114.77 |
| 53. | 2022. 7. 31. | 10.25% | 9.11% | 72.85 | 66.56 | 69.63 |
| 54. | 2022. 8. 31. | 1.36% | -4.24% | 0.13 | 27.01 | 1.85 |
| 55. | 2022. 9. 30. | -3.26% | -9.34% | 24.79 | 105.94 | 51.25 |
| 56. | 2022. 10. 31. | 4.36% | 7.99% | 6.98 | 49.47 | 18.58 |
| 57. | 2022. 11. 30. | 9.03% | 5.38% | 53.43 | 19.56 | 32.32 |
| 58. | 2022. 12. 31. | -6.26% | -5.90% | 63.69 | 46.92 | 54.67 |
| 59. | 2023. 1. 31. | 5.05% | 6.18% | 11.09 | 27.27 | 17.39 |
| 60. | 2023. 2. 28. | -1.20% | -2.61% | 8.52 | 12.70 | 10.40 |
| 61. | 2023. 3. 31. | -2.81% | 3.51% | 20.50 | 6.51 | -11.56 |
| 62. | 2023. 4. 30. | 4.46% | 1.46% | 7.49 | 0.26 | 1.40 |
| 63. | 2023. 5. 31. | -3.22% | 0.25% | 24.43 | 0.50 | 3.48 |
| 64. | 2023. 6. 30. | 12.22% | 4.71% | 110.19 | 14.14 | 39.48 |
| 65. | 2023. 7. 31. | 4.28% | 4.85% | 6.58 | 15.16 | 9.99 |
| 66. | 2023. 8. 31. | -1.62% | -1.77% | 11.13 | 7.42 | 9.09 |
| 67. | 2023. 9. 30. | -9.82% | -4.87% | 133.21 | 33.93 | 67.23 |
| 68. | 2023. 10. 31. | -7.78% | -2.20% | 90.22 | 9.93 | 29.93 |
| 69. | 2023. 11. 30. | 4.33% | 8.92% | 6.84 | 63.44 | 20.83 |
| 70. | 2023. 12. 31. | 11.93% | 4.42% | 104.27 | 12.04 | 35.43 |
| 71. | 2024. 1. 31. | -3.87% | 1.59% | 31.22 | 0.41 | -3.56 |
| 합계 (Σ): | 4,831.49 | 1,876.53 | 2,082.69 | |||
모두 표시
분산LOW = Σ(RLOW,t–RLOW)2 ÷ (71 – 1)
= 4,831.49 ÷ (71 – 1)
= 69.02
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,876.53 ÷ (71 – 1)
= 26.81
공분산LOW, S&P 500 = Σ(RLOW,t–RLOW)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,082.69 ÷ (71 – 1)
= 29.75
체계적인 위험 추정 (β)
| 분산LOW | 69.02 |
| 분산S&P 500 | 26.81 |
| 공분산LOW, S&P 500 | 29.75 |
| 상관 계수LOW, S&P 5001 | 0.69 |
| βLOW2 | 1.11 |
| αLOW3 | 0.66% |
계산
1 상관 계수LOW, S&P 500
= 공분산LOW, S&P 500 ÷ (표준 편차LOW × 표준 편차S&P 500)
= 29.75 ÷ (8.31% × 5.18%)
= 0.69
2 βLOW
= 공분산LOW, S&P 500 ÷ 분산S&P 500
= 29.75 ÷ 26.81
= 1.11
3 αLOW
= 평균의LOW – βLOW × 평균의S&P 500
= 1.72% – 1.11 × 0.95%
= 0.66%
예상 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.79% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.48% |
| 보통주의 체계적 위험Lowe’s | βLOW | 1.11 |
| Lowe’s 보통주에 대한 기대 수익률3 | E(RLOW) | 14.43% |
1 10년 이내에 만기가 되지 않거나 콜 가능하지 않은 모든 미결제 고정 쿠폰 미국 재무부 채권에 대한 입찰 수익률의 가중 평균(무위험 수익률 프록시).
2 자세히 보기 »
3 E(RLOW) = RF + βLOW [E(RM) – RF]
= 4.79% + 1.11 [13.48% – 4.79%]
= 14.43%