자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Medtronic보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Medtronic PLC, 월별 수익률
| Medtronic PLC (MDT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값MDT,t1 | 피제수MDT,t1 | RMDT,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 5. 31. | $92.58 | 2,752.06 | ||||
| 1. | 2019. 6. 30. | $97.39 | 5.20% | 2,941.76 | 6.89% | |
| 2. | 2019. 7. 31. | $101.94 | $0.54 | 5.23% | 2,980.38 | 1.31% |
| 3. | 2019. 8. 31. | $107.89 | 5.84% | 2,926.46 | -1.81% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 3. 31. | $89.86 | $0.70 | -1.59% | 5,611.85 | -5.75% |
| 71. | 2025. 4. 30. | $84.76 | -5.68% | 5,569.06 | -0.76% | |
| 평균의 (R): | 0.31% | 1.12% | ||||
| 표준 편차: | 6.45% | 4.97% | ||||
| Medtronic PLC (MDT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값MDT,t1 | 피제수MDT,t1 | RMDT,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 5. 31. | $92.58 | 2,752.06 | ||||
| 1. | 2019. 6. 30. | $97.39 | 5.20% | 2,941.76 | 6.89% | |
| 2. | 2019. 7. 31. | $101.94 | $0.54 | 5.23% | 2,980.38 | 1.31% |
| 3. | 2019. 8. 31. | $107.89 | 5.84% | 2,926.46 | -1.81% | |
| 4. | 2019. 9. 30. | $108.62 | $0.54 | 1.18% | 2,976.74 | 1.72% |
| 5. | 2019. 10. 31. | $108.90 | 0.26% | 3,037.56 | 2.04% | |
| 6. | 2019. 11. 30. | $111.39 | 2.29% | 3,140.98 | 3.40% | |
| 7. | 2019. 12. 31. | $113.45 | $0.54 | 2.33% | 3,230.78 | 2.86% |
| 8. | 2020. 1. 31. | $115.44 | 1.75% | 3,225.52 | -0.16% | |
| 9. | 2020. 2. 29. | $100.67 | -12.79% | 2,954.22 | -8.41% | |
| 10. | 2020. 3. 31. | $90.18 | $0.54 | -9.88% | 2,584.59 | -12.51% |
| 11. | 2020. 4. 30. | $97.63 | 8.26% | 2,912.43 | 12.68% | |
| 12. | 2020. 5. 31. | $98.58 | 0.97% | 3,044.31 | 4.53% | |
| 13. | 2020. 6. 30. | $91.70 | $0.58 | -6.39% | 3,100.29 | 1.84% |
| 14. | 2020. 7. 31. | $96.48 | 5.21% | 3,271.12 | 5.51% | |
| 15. | 2020. 8. 31. | $107.47 | 11.39% | 3,500.31 | 7.01% | |
| 16. | 2020. 9. 30. | $103.92 | $0.58 | -2.76% | 3,363.00 | -3.92% |
| 17. | 2020. 10. 31. | $100.57 | -3.22% | 3,269.96 | -2.77% | |
| 18. | 2020. 11. 30. | $113.70 | 13.06% | 3,621.63 | 10.75% | |
| 19. | 2020. 12. 31. | $117.14 | $0.58 | 3.54% | 3,756.07 | 3.71% |
| 20. | 2021. 1. 31. | $111.33 | -4.96% | 3,714.24 | -1.11% | |
| 21. | 2021. 2. 28. | $116.97 | 5.07% | 3,811.15 | 2.61% | |
| 22. | 2021. 3. 31. | $118.13 | $0.58 | 1.49% | 3,972.89 | 4.24% |
| 23. | 2021. 4. 30. | $130.92 | 10.83% | 4,181.17 | 5.24% | |
| 24. | 2021. 5. 31. | $126.59 | -3.31% | 4,204.11 | 0.55% | |
| 25. | 2021. 6. 30. | $124.13 | $0.63 | -1.45% | 4,297.50 | 2.22% |
| 26. | 2021. 7. 31. | $131.31 | 5.78% | 4,395.26 | 2.27% | |
| 27. | 2021. 8. 31. | $133.48 | 1.65% | 4,522.68 | 2.90% | |
| 28. | 2021. 9. 30. | $125.35 | $0.63 | -5.62% | 4,307.54 | -4.76% |
| 29. | 2021. 10. 31. | $119.86 | -4.38% | 4,605.38 | 6.91% | |
| 30. | 2021. 11. 30. | $106.70 | -10.98% | 4,567.00 | -0.83% | |
| 31. | 2021. 12. 31. | $103.45 | $0.63 | -2.46% | 4,766.18 | 4.36% |
| 32. | 2022. 1. 31. | $103.49 | 0.04% | 4,515.55 | -5.26% | |
| 33. | 2022. 2. 28. | $104.99 | 1.45% | 4,373.94 | -3.14% | |
| 34. | 2022. 3. 31. | $110.95 | $0.63 | 6.28% | 4,530.41 | 3.58% |
| 35. | 2022. 4. 30. | $104.36 | -5.94% | 4,131.93 | -8.80% | |
| 36. | 2022. 5. 31. | $100.15 | -4.03% | 4,132.15 | 0.01% | |
| 37. | 2022. 6. 30. | $89.75 | $0.68 | -9.71% | 3,785.38 | -8.39% |
| 38. | 2022. 7. 31. | $92.52 | 3.09% | 4,130.29 | 9.11% | |
| 39. | 2022. 8. 31. | $87.92 | -4.97% | 3,955.00 | -4.24% | |
| 40. | 2022. 9. 30. | $80.75 | $0.68 | -7.38% | 3,585.62 | -9.34% |
| 41. | 2022. 10. 31. | $87.34 | 8.16% | 3,871.98 | 7.99% | |
| 42. | 2022. 11. 30. | $79.04 | -9.50% | 4,080.11 | 5.38% | |
| 43. | 2022. 12. 31. | $77.72 | $0.68 | -0.81% | 3,839.50 | -5.90% |
| 44. | 2023. 1. 31. | $83.69 | 7.68% | 4,076.60 | 6.18% | |
| 45. | 2023. 2. 28. | $82.80 | -1.06% | 3,970.15 | -2.61% | |
| 46. | 2023. 3. 31. | $80.62 | $0.68 | -1.81% | 4,109.31 | 3.51% |
| 47. | 2023. 4. 30. | $90.95 | 12.81% | 4,169.48 | 1.46% | |
| 48. | 2023. 5. 31. | $82.76 | -9.00% | 4,179.83 | 0.25% | |
| 49. | 2023. 6. 30. | $88.10 | $0.69 | 7.29% | 4,376.86 | 4.71% |
| 50. | 2023. 7. 31. | $87.76 | -0.39% | 4,588.96 | 4.85% | |
| 51. | 2023. 8. 31. | $81.50 | -7.13% | 4,507.66 | -1.77% | |
| 52. | 2023. 9. 30. | $78.36 | $0.69 | -3.01% | 4,288.05 | -4.87% |
| 53. | 2023. 10. 31. | $70.56 | -9.95% | 4,193.80 | -2.20% | |
| 54. | 2023. 11. 30. | $79.27 | 12.34% | 4,567.80 | 8.92% | |
| 55. | 2023. 12. 31. | $82.38 | $0.69 | 4.79% | 4,769.83 | 4.42% |
| 56. | 2024. 1. 31. | $87.54 | 6.26% | 4,845.65 | 1.59% | |
| 57. | 2024. 2. 29. | $83.36 | -4.77% | 5,096.27 | 5.17% | |
| 58. | 2024. 3. 31. | $87.15 | $0.69 | 5.37% | 5,254.35 | 3.10% |
| 59. | 2024. 4. 30. | $80.24 | -7.93% | 5,035.69 | -4.16% | |
| 60. | 2024. 5. 31. | $81.37 | 1.41% | 5,277.51 | 4.80% | |
| 61. | 2024. 6. 30. | $78.71 | $0.70 | -2.41% | 5,460.48 | 3.47% |
| 62. | 2024. 7. 31. | $80.32 | 2.05% | 5,522.30 | 1.13% | |
| 63. | 2024. 8. 31. | $88.58 | 10.28% | 5,648.40 | 2.28% | |
| 64. | 2024. 9. 30. | $90.03 | $0.70 | 2.43% | 5,762.48 | 2.02% |
| 65. | 2024. 10. 31. | $89.25 | -0.87% | 5,705.45 | -0.99% | |
| 66. | 2024. 11. 30. | $86.54 | -3.04% | 6,032.38 | 5.73% | |
| 67. | 2024. 12. 31. | $79.88 | $0.70 | -6.89% | 5,881.63 | -2.50% |
| 68. | 2025. 1. 31. | $90.82 | 13.70% | 6,040.53 | 2.70% | |
| 69. | 2025. 2. 28. | $92.02 | 1.32% | 5,954.50 | -1.42% | |
| 70. | 2025. 3. 31. | $89.86 | $0.70 | -1.59% | 5,611.85 | -5.75% |
| 71. | 2025. 4. 30. | $84.76 | -5.68% | 5,569.06 | -0.76% | |
| 평균의 (R): | 0.31% | 1.12% | ||||
| 표준 편차: | 6.45% | 4.97% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 MDT의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Medtronic PLC, 수익률의 분산 및 공분산 계산
| t | 날짜 | RMDT,t | RS&P 500,t | (RMDT,t–RMDT)2 | (RS&P 500,t–RS&P 500)2 | (RMDT,t–RMDT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 6. 30. | 5.20% | 6.89% | 23.87 | 33.33 | 28.20 |
| 2. | 2019. 7. 31. | 5.23% | 1.31% | 24.17 | 0.04 | 0.95 |
| 3. | 2019. 8. 31. | 5.84% | -1.81% | 30.55 | 8.58 | -16.19 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 3. 31. | -1.59% | -5.75% | 3.60 | 47.26 | 13.04 |
| 71. | 2025. 4. 30. | -5.68% | -0.76% | 35.82 | 3.54 | 11.27 |
| 합계 (Σ): | 2,911.02 | 1,731.54 | 1,399.38 | |||
| t | 날짜 | RMDT,t | RS&P 500,t | (RMDT,t–RMDT)2 | (RS&P 500,t–RS&P 500)2 | (RMDT,t–RMDT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 6. 30. | 5.20% | 6.89% | 23.87 | 33.33 | 28.20 |
| 2. | 2019. 7. 31. | 5.23% | 1.31% | 24.17 | 0.04 | 0.95 |
| 3. | 2019. 8. 31. | 5.84% | -1.81% | 30.55 | 8.58 | -16.19 |
| 4. | 2019. 9. 30. | 1.18% | 1.72% | 0.75 | 0.36 | 0.52 |
| 5. | 2019. 10. 31. | 0.26% | 2.04% | 0.00 | 0.85 | -0.05 |
| 6. | 2019. 11. 30. | 2.29% | 3.40% | 3.91 | 5.22 | 4.52 |
| 7. | 2019. 12. 31. | 2.33% | 2.86% | 4.10 | 3.02 | 3.52 |
| 8. | 2020. 1. 31. | 1.75% | -0.16% | 2.09 | 1.65 | -1.85 |
| 9. | 2020. 2. 29. | -12.79% | -8.41% | 171.72 | 90.84 | 124.90 |
| 10. | 2020. 3. 31. | -9.88% | -12.51% | 103.91 | 185.84 | 138.96 |
| 11. | 2020. 4. 30. | 8.26% | 12.68% | 63.23 | 133.73 | 91.95 |
| 12. | 2020. 5. 31. | 0.97% | 4.53% | 0.44 | 11.61 | 2.26 |
| 13. | 2020. 6. 30. | -6.39% | 1.84% | 44.90 | 0.52 | -4.82 |
| 14. | 2020. 7. 31. | 5.21% | 5.51% | 24.04 | 19.27 | 21.52 |
| 15. | 2020. 8. 31. | 11.39% | 7.01% | 122.79 | 34.65 | 65.23 |
| 16. | 2020. 9. 30. | -2.76% | -3.92% | 9.45 | 25.43 | 15.50 |
| 17. | 2020. 10. 31. | -3.22% | -2.77% | 12.48 | 15.11 | 13.73 |
| 18. | 2020. 11. 30. | 13.06% | 10.75% | 162.46 | 92.82 | 122.80 |
| 19. | 2020. 12. 31. | 3.54% | 3.71% | 10.41 | 6.72 | 8.36 |
| 20. | 2021. 1. 31. | -4.96% | -1.11% | 27.77 | 4.99 | 11.77 |
| 21. | 2021. 2. 28. | 5.07% | 2.61% | 22.62 | 2.22 | 7.08 |
| 22. | 2021. 3. 31. | 1.49% | 4.24% | 1.39 | 9.76 | 3.68 |
| 23. | 2021. 4. 30. | 10.83% | 5.24% | 110.61 | 16.99 | 43.36 |
| 24. | 2021. 5. 31. | -3.31% | 0.55% | 13.08 | 0.33 | 2.07 |
| 25. | 2021. 6. 30. | -1.45% | 2.22% | 3.08 | 1.21 | -1.93 |
| 26. | 2021. 7. 31. | 5.78% | 2.27% | 29.97 | 1.33 | 6.32 |
| 27. | 2021. 8. 31. | 1.65% | 2.90% | 1.80 | 3.16 | 2.39 |
| 28. | 2021. 9. 30. | -5.62% | -4.76% | 35.15 | 34.54 | 34.84 |
| 29. | 2021. 10. 31. | -4.38% | 6.91% | 21.99 | 33.57 | -27.17 |
| 30. | 2021. 11. 30. | -10.98% | -0.83% | 127.45 | 3.82 | 22.05 |
| 31. | 2021. 12. 31. | -2.46% | 4.36% | 7.65 | 10.50 | -8.96 |
| 32. | 2022. 1. 31. | 0.04% | -5.26% | 0.07 | 40.69 | 1.73 |
| 33. | 2022. 2. 28. | 1.45% | -3.14% | 1.30 | 18.12 | -4.85 |
| 34. | 2022. 3. 31. | 6.28% | 3.58% | 35.61 | 6.04 | 14.66 |
| 35. | 2022. 4. 30. | -5.94% | -8.80% | 39.05 | 98.32 | 61.97 |
| 36. | 2022. 5. 31. | -4.03% | 0.01% | 18.87 | 1.24 | 4.84 |
| 37. | 2022. 6. 30. | -9.71% | -8.39% | 100.30 | 90.48 | 95.27 |
| 38. | 2022. 7. 31. | 3.09% | 9.11% | 7.71 | 63.86 | 22.19 |
| 39. | 2022. 8. 31. | -4.97% | -4.24% | 27.90 | 28.77 | 28.33 |
| 40. | 2022. 9. 30. | -7.38% | -9.34% | 59.16 | 109.41 | 80.45 |
| 41. | 2022. 10. 31. | 8.16% | 7.99% | 61.64 | 47.14 | 53.91 |
| 42. | 2022. 11. 30. | -9.50% | 5.38% | 96.29 | 18.11 | -41.75 |
| 43. | 2022. 12. 31. | -0.81% | -5.90% | 1.25 | 49.24 | 7.86 |
| 44. | 2023. 1. 31. | 7.68% | 6.18% | 54.34 | 25.55 | 37.26 |
| 45. | 2023. 2. 28. | -1.06% | -2.61% | 1.89 | 13.92 | 5.12 |
| 46. | 2023. 3. 31. | -1.81% | 3.51% | 4.50 | 5.69 | -5.06 |
| 47. | 2023. 4. 30. | 12.81% | 1.46% | 156.34 | 0.12 | 4.30 |
| 48. | 2023. 5. 31. | -9.00% | 0.25% | 86.76 | 0.76 | 8.12 |
| 49. | 2023. 6. 30. | 7.29% | 4.71% | 48.67 | 12.91 | 25.07 |
| 50. | 2023. 7. 31. | -0.39% | 4.85% | 0.48 | 13.88 | -2.59 |
| 51. | 2023. 8. 31. | -7.13% | -1.77% | 55.40 | 8.36 | 21.52 |
| 52. | 2023. 9. 30. | -3.01% | -4.87% | 11.00 | 35.91 | 19.87 |
| 53. | 2023. 10. 31. | -9.95% | -2.20% | 105.35 | 11.01 | 34.06 |
| 54. | 2023. 11. 30. | 12.34% | 8.92% | 144.83 | 60.80 | 93.84 |
| 55. | 2023. 12. 31. | 4.79% | 4.42% | 20.11 | 10.91 | 14.81 |
| 56. | 2024. 1. 31. | 6.26% | 1.59% | 35.45 | 0.22 | 2.79 |
| 57. | 2024. 2. 29. | -4.77% | 5.17% | 25.85 | 16.42 | -20.60 |
| 58. | 2024. 3. 31. | 5.37% | 3.10% | 25.65 | 3.93 | 10.04 |
| 59. | 2024. 4. 30. | -7.93% | -4.16% | 67.87 | 27.90 | 43.51 |
| 60. | 2024. 5. 31. | 1.41% | 4.80% | 1.21 | 13.56 | 4.04 |
| 61. | 2024. 6. 30. | -2.41% | 3.47% | 7.39 | 5.51 | -6.38 |
| 62. | 2024. 7. 31. | 2.05% | 1.13% | 3.01 | 0.00 | 0.02 |
| 63. | 2024. 8. 31. | 10.28% | 2.28% | 99.48 | 1.35 | 11.60 |
| 64. | 2024. 9. 30. | 2.43% | 2.02% | 4.48 | 0.81 | 1.90 |
| 65. | 2024. 10. 31. | -0.87% | -0.99% | 1.38 | 4.45 | 2.48 |
| 66. | 2024. 11. 30. | -3.04% | 5.73% | 11.20 | 21.25 | -15.43 |
| 67. | 2024. 12. 31. | -6.89% | -2.50% | 51.79 | 13.10 | 26.05 |
| 68. | 2025. 1. 31. | 13.70% | 2.70% | 179.18 | 2.50 | 21.17 |
| 69. | 2025. 2. 28. | 1.32% | -1.42% | 1.02 | 6.47 | -2.57 |
| 70. | 2025. 3. 31. | -1.59% | -5.75% | 3.60 | 47.26 | 13.04 |
| 71. | 2025. 4. 30. | -5.68% | -0.76% | 35.82 | 3.54 | 11.27 |
| 합계 (Σ): | 2,911.02 | 1,731.54 | 1,399.38 | |||
모두 보기
분산MDT = Σ(RMDT,t–RMDT)2 ÷ (71 – 1)
= 2,911.02 ÷ (71 – 1)
= 41.59
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,731.54 ÷ (71 – 1)
= 24.74
공분산MDT, S&P 500 = Σ(RMDT,t–RMDT)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,399.38 ÷ (71 – 1)
= 19.99
체계적인 위험 추정 (β)
| 분산MDT | 41.59 |
| 분산S&P 500 | 24.74 |
| 공분산MDT, S&P 500 | 19.99 |
| 상관 계수MDT, S&P 5001 | 0.62 |
| βMDT2 | 0.81 |
| αMDT3 | -0.60% |
계산
1 상관 계수MDT, S&P 500
= 공분산MDT, S&P 500 ÷ (표준 편차MDT × 표준 편차S&P 500)
= 19.99 ÷ (6.45% × 4.97%)
= 0.62
2 βMDT
= 공분산MDT, S&P 500 ÷ 분산S&P 500
= 19.99 ÷ 24.74
= 0.81
3 αMDT
= 평균의MDT – βMDT × 평균의S&P 500
= 0.31% – 0.81 × 1.12%
= -0.60%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.88% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.88% |
| 보통주의 체계적 위험Medtronic | βMDT | 0.81 |
| Medtronic 보통주에 대한 예상 수익률3 | E(RMDT) | 12.96% |
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(RMDT) = RF + βMDT [E(RM) – RF]
= 4.88% + 0.81 [14.88% – 4.88%]
= 12.96%