Stock Analysis on Net

Marathon Petroleum Corp. (NYSE:MPC)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

자본 자산 가격 책정 모델(CAPM)은 보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다 MPC.


수익률

Marathon Petroleum Corp., 월별 수익률

Microsoft Excel
Marathon Petroleum Corp. (MPC) Standard & Poor’s 500 (S&P 500)
t 날짜 MPC,t1 피제수MPC,t1 RMPC,t2 S&P 500,t RS&P 500,t3
2019. 1. 31. $66.26 2,704.10
1. 2019. 2. 28. $62.01 $0.53 -5.61% 2,784.49 2.97%
2. 2019. 3. 31. $59.85 -3.48% 2,834.40 1.79%
3. 2019. 4. 30. $60.87 1.70% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023. 11. 30. $149.19 $0.825 -0.82% 4,567.80 8.92%
59. 2023. 12. 31. $148.36 -0.56% 4,769.83 4.42%
평균의 (R): 2.70% 1.11%
표준 편차: 13.63% 5.31%
Marathon Petroleum Corp. (MPC) Standard & Poor’s 500 (S&P 500)
t 날짜 MPC,t1 피제수MPC,t1 RMPC,t2 S&P 500,t RS&P 500,t3
2019. 1. 31. $66.26 2,704.10
1. 2019. 2. 28. $62.01 $0.53 -5.61% 2,784.49 2.97%
2. 2019. 3. 31. $59.85 -3.48% 2,834.40 1.79%
3. 2019. 4. 30. $60.87 1.70% 2,945.83 3.93%
4. 2019. 5. 31. $45.99 $0.53 -23.57% 2,752.06 -6.58%
5. 2019. 6. 30. $55.88 21.50% 2,941.76 6.89%
6. 2019. 7. 31. $56.39 0.91% 2,980.38 1.31%
7. 2019. 8. 31. $49.21 $0.53 -11.79% 2,926.46 -1.81%
8. 2019. 9. 30. $60.75 23.45% 2,976.74 1.72%
9. 2019. 10. 31. $63.95 5.27% 3,037.56 2.04%
10. 2019. 11. 30. $60.64 $0.53 -4.35% 3,140.98 3.40%
11. 2019. 12. 31. $60.25 -0.64% 3,230.78 2.86%
12. 2020. 1. 31. $54.50 -9.54% 3,225.52 -0.16%
13. 2020. 2. 29. $47.42 $0.58 -11.93% 2,954.22 -8.41%
14. 2020. 3. 31. $23.62 -50.19% 2,584.59 -12.51%
15. 2020. 4. 30. $32.08 35.82% 2,912.43 12.68%
16. 2020. 5. 31. $35.14 $0.58 11.35% 3,044.31 4.53%
17. 2020. 6. 30. $37.38 6.37% 3,100.29 1.84%
18. 2020. 7. 31. $38.20 2.19% 3,271.12 5.51%
19. 2020. 8. 31. $35.46 $0.58 -5.65% 3,500.31 7.01%
20. 2020. 9. 30. $29.34 -17.26% 3,363.00 -3.92%
21. 2020. 10. 31. $29.50 0.55% 3,269.96 -2.77%
22. 2020. 11. 30. $38.88 $0.58 33.76% 3,621.63 10.75%
23. 2020. 12. 31. $41.36 6.38% 3,756.07 3.71%
24. 2021. 1. 31. $43.16 4.35% 3,714.24 -1.11%
25. 2021. 2. 28. $54.62 $0.58 27.90% 3,811.15 2.61%
26. 2021. 3. 31. $53.49 -2.07% 3,972.89 4.24%
27. 2021. 4. 30. $55.65 4.04% 4,181.17 5.24%
28. 2021. 5. 31. $61.80 $0.58 12.09% 4,204.11 0.55%
29. 2021. 6. 30. $60.42 -2.23% 4,297.50 2.22%
30. 2021. 7. 31. $55.22 -8.61% 4,395.26 2.27%
31. 2021. 8. 31. $59.27 $0.58 8.38% 4,522.68 2.90%
32. 2021. 9. 30. $61.81 4.29% 4,307.54 -4.76%
33. 2021. 10. 31. $65.93 6.67% 4,605.38 6.91%
34. 2021. 11. 30. $60.85 $0.58 -6.83% 4,567.00 -0.83%
35. 2021. 12. 31. $63.99 5.16% 4,766.18 4.36%
36. 2022. 1. 31. $71.75 12.13% 4,515.55 -5.26%
37. 2022. 2. 28. $77.87 $0.58 9.34% 4,373.94 -3.14%
38. 2022. 3. 31. $85.50 9.80% 4,530.41 3.58%
39. 2022. 4. 30. $87.26 2.06% 4,131.93 -8.80%
40. 2022. 5. 31. $101.79 $0.58 17.32% 4,132.15 0.01%
41. 2022. 6. 30. $82.21 -19.24% 3,785.38 -8.39%
42. 2022. 7. 31. $91.66 11.49% 4,130.29 9.11%
43. 2022. 8. 31. $100.75 $0.58 10.55% 3,955.00 -4.24%
44. 2022. 9. 30. $99.33 -1.41% 3,585.62 -9.34%
45. 2022. 10. 31. $113.62 14.39% 3,871.98 7.99%
46. 2022. 11. 30. $121.81 $0.75 7.87% 4,080.11 5.38%
47. 2022. 12. 31. $116.39 -4.45% 3,839.50 -5.90%
48. 2023. 1. 31. $128.52 10.42% 4,076.60 6.18%
49. 2023. 2. 28. $123.60 $0.75 -3.24% 3,970.15 -2.61%
50. 2023. 3. 31. $134.83 9.09% 4,109.31 3.51%
51. 2023. 4. 30. $122.00 -9.52% 4,169.48 1.46%
52. 2023. 5. 31. $104.91 $0.75 -13.39% 4,179.83 0.25%
53. 2023. 6. 30. $116.60 11.14% 4,376.86 4.71%
54. 2023. 7. 31. $133.02 14.08% 4,588.96 4.85%
55. 2023. 8. 31. $142.77 $0.75 7.89% 4,507.66 -1.77%
56. 2023. 9. 30. $151.34 6.00% 4,288.05 -4.87%
57. 2023. 10. 31. $151.25 -0.06% 4,193.80 -2.20%
58. 2023. 11. 30. $149.19 $0.825 -0.82% 4,567.80 8.92%
59. 2023. 12. 31. $148.36 -0.56% 4,769.83 4.42%
평균의 (R): 2.70% 1.11%
표준 편차: 13.63% 5.31%

모두 표시

1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.

2 기간 t 동안 MPC의 보통주에 대한 수익률.

3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.


분산과 공분산

Marathon Petroleum Corp., 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RMPC,t RS&P 500,t (RMPC,tRMPC)2 (RS&P 500,tRS&P 500)2 (RMPC,tRMPC)×(RS&P 500,tRS&P 500)
1. 2019. 2. 28. -5.61% 2.97% 69.11 3.49 -15.52
2. 2019. 3. 31. -3.48% 1.79% 38.22 0.47 -4.24
3. 2019. 4. 30. 1.70% 3.93% 0.99 7.98 -2.81
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023. 11. 30. -0.82% 8.92% 12.36 61.03 -27.47
59. 2023. 12. 31. -0.56% 4.42% 10.60 11.00 -10.80
합계 (Σ): 10,773.16 1,634.30 2,478.55
t 날짜 RMPC,t RS&P 500,t (RMPC,tRMPC)2 (RS&P 500,tRS&P 500)2 (RMPC,tRMPC)×(RS&P 500,tRS&P 500)
1. 2019. 2. 28. -5.61% 2.97% 69.11 3.49 -15.52
2. 2019. 3. 31. -3.48% 1.79% 38.22 0.47 -4.24
3. 2019. 4. 30. 1.70% 3.93% 0.99 7.98 -2.81
4. 2019. 5. 31. -23.57% -6.58% 690.33 59.04 201.88
5. 2019. 6. 30. 21.50% 6.89% 353.64 33.49 108.83
6. 2019. 7. 31. 0.91% 1.31% 3.19 0.04 -0.37
7. 2019. 8. 31. -11.79% -1.81% 210.02 8.50 42.24
8. 2019. 9. 30. 23.45% 1.72% 430.61 0.37 12.71
9. 2019. 10. 31. 5.27% 2.04% 6.60 0.88 2.41
10. 2019. 11. 30. -4.35% 3.40% 49.65 5.28 -16.20
11. 2019. 12. 31. -0.64% 2.86% 11.17 3.07 -5.86
12. 2020. 1. 31. -9.54% -0.16% 149.89 1.61 15.53
13. 2020. 2. 29. -11.93% -8.41% 213.92 90.57 139.19
14. 2020. 3. 31. -50.19% -12.51% 2,797.25 185.44 720.23
15. 2020. 4. 30. 35.82% 12.68% 1,096.79 134.06 383.46
16. 2020. 5. 31. 11.35% 4.53% 74.78 11.71 29.59
17. 2020. 6. 30. 6.37% 1.84% 13.51 0.54 2.69
18. 2020. 7. 31. 2.19% 5.51% 0.26 19.40 -2.23
19. 2020. 8. 31. -5.65% 7.01% 69.78 34.82 -49.29
20. 2020. 9. 30. -17.26% -3.92% 398.33 25.29 100.36
21. 2020. 10. 31. 0.55% -2.77% 4.64 15.00 8.34
22. 2020. 11. 30. 33.76% 10.75% 964.94 93.10 299.72
23. 2020. 12. 31. 6.38% 3.71% 13.54 6.79 9.59
24. 2021. 1. 31. 4.35% -1.11% 2.73 4.93 -3.67
25. 2021. 2. 28. 27.90% 2.61% 634.89 2.26 37.88
26. 2021. 3. 31. -2.07% 4.24% 22.73 9.85 -14.96
27. 2021. 4. 30. 4.04% 5.24% 1.79 17.11 5.54
28. 2021. 5. 31. 12.09% 0.55% 88.25 0.31 -5.23
29. 2021. 6. 30. -2.23% 2.22% 24.33 1.24 -5.50
30. 2021. 7. 31. -8.61% 2.27% 127.82 1.37 -13.22
31. 2021. 8. 31. 8.38% 2.90% 32.32 3.22 10.19
32. 2021. 9. 30. 4.29% -4.76% 2.52 34.37 -9.30
33. 2021. 10. 31. 6.67% 6.91% 15.73 33.74 23.04
34. 2021. 11. 30. -6.83% -0.83% 90.72 3.76 18.47
35. 2021. 12. 31. 5.16% 4.36% 6.06 10.60 8.01
36. 2022. 1. 31. 12.13% -5.26% 88.88 40.51 -60.00
37. 2022. 2. 28. 9.34% -3.14% 44.07 17.99 -28.16
38. 2022. 3. 31. 9.80% 3.58% 50.40 6.11 17.55
39. 2022. 4. 30. 2.06% -8.80% 0.41 98.04 6.34
40. 2022. 5. 31. 17.32% 0.01% 213.65 1.21 -16.09
41. 2022. 6. 30. -19.24% -8.39% 481.14 90.21 208.33
42. 2022. 7. 31. 11.49% 9.11% 77.36 64.09 70.42
43. 2022. 8. 31. 10.55% -4.24% 61.63 28.62 -42.00
44. 2022. 9. 30. -1.41% -9.34% 16.88 109.11 42.92
45. 2022. 10. 31. 14.39% 7.99% 136.59 47.34 80.41
46. 2022. 11. 30. 7.87% 5.38% 26.72 18.23 22.07
47. 2022. 12. 31. -4.45% -5.90% 51.11 49.04 50.06
48. 2023. 1. 31. 10.42% 6.18% 59.64 25.70 39.15
49. 2023. 2. 28. -3.24% -2.61% 35.33 13.82 22.09
50. 2023. 3. 31. 9.09% 3.51% 40.79 5.76 15.32
51. 2023. 4. 30. -9.52% 1.46% 149.21 0.13 -4.38
52. 2023. 5. 31. -13.39% 0.25% 258.98 0.74 13.80
53. 2023. 6. 30. 11.14% 4.71% 71.29 13.02 30.46
54. 2023. 7. 31. 14.08% 4.85% 129.57 13.99 42.57
55. 2023. 8. 31. 7.89% -1.77% 26.98 8.28 -14.95
56. 2023. 9. 30. 6.00% -4.87% 10.91 35.73 -19.75
57. 2023. 10. 31. -0.06% -2.20% 7.61 10.92 9.11
58. 2023. 11. 30. -0.82% 8.92% 12.36 61.03 -27.47
59. 2023. 12. 31. -0.56% 4.42% 10.60 11.00 -10.80
합계 (Σ): 10,773.16 1,634.30 2,478.55

모두 표시

분산MPC = Σ(RMPC,tRMPC)2 ÷ (59 – 1)
= 10,773.16 ÷ (59 – 1)
= 185.74

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18

공분산MPC, S&P 500 = Σ(RMPC,tRMPC)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 2,478.55 ÷ (59 – 1)
= 42.73


체계적인 위험 추정 (β)

Microsoft Excel
분산MPC 185.74
분산S&P 500 28.18
공분산MPC, S&P 500 42.73
상관 계수MPC, S&P 5001 0.59
βMPC2 1.52
αMPC3 1.02%

계산

1 상관 계수MPC, S&P 500
= 공분산MPC, S&P 500 ÷ (표준 편차MPC × 표준 편차S&P 500)
= 42.73 ÷ (13.63% × 5.31%)
= 0.59

2 βMPC
= 공분산MPC, S&P 500 ÷ 분산S&P 500
= 42.73 ÷ 28.18
= 1.52

3 αMPC
= 평균의MPC – βMPC × 평균의S&P 500
= 2.70%1.52 × 1.11%
= 1.02%


예상 수익률

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.64%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 13.68%
보통주 MPC 의 체계적인 리스크 βMPC 1.52
 
MPC 보통주에 대한 예상 수익률3 E(RMPC) 18.35%

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(RMPC) = RF + βMPC [E(RM) – RF]
= 4.64% + 1.52 [13.68%4.64%]
= 18.35%