자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Newmont보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Newmont Corp., 월별 수익률
| Newmont Corp. (NEM) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값NEM,t1 | 피제수NEM,t1 | RNEM,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 1. 31. | $34.11 | 2,704.10 | ||||
| 1. | 2019. 2. 28. | $34.12 | 0.03% | 2,784.49 | 2.97% | |
| 2. | 2019. 3. 31. | $35.77 | $0.14 | 5.25% | 2,834.40 | 1.79% |
| 3. | 2019. 4. 30. | $31.06 | $0.88 | -10.71% | 2,945.83 | 3.93% |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023. 11. 30. | $40.19 | $0.40 | 8.33% | 4,567.80 | 8.92% |
| 59. | 2023. 12. 31. | $41.39 | 2.99% | 4,769.83 | 4.42% | |
| 평균의 (R): | 1.09% | 1.11% | ||||
| 표준 편차: | 9.83% | 5.31% | ||||
| Newmont Corp. (NEM) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값NEM,t1 | 피제수NEM,t1 | RNEM,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 1. 31. | $34.11 | 2,704.10 | ||||
| 1. | 2019. 2. 28. | $34.12 | 0.03% | 2,784.49 | 2.97% | |
| 2. | 2019. 3. 31. | $35.77 | $0.14 | 5.25% | 2,834.40 | 1.79% |
| 3. | 2019. 4. 30. | $31.06 | $0.88 | -10.71% | 2,945.83 | 3.93% |
| 4. | 2019. 5. 31. | $33.09 | 6.54% | 2,752.06 | -6.58% | |
| 5. | 2019. 6. 30. | $38.47 | $0.14 | 16.68% | 2,941.76 | 6.89% |
| 6. | 2019. 7. 31. | $36.52 | -5.07% | 2,980.38 | 1.31% | |
| 7. | 2019. 8. 31. | $39.89 | 9.23% | 2,926.46 | -1.81% | |
| 8. | 2019. 9. 30. | $37.92 | $0.14 | -4.59% | 2,976.74 | 1.72% |
| 9. | 2019. 10. 31. | $39.73 | 4.77% | 3,037.56 | 2.04% | |
| 10. | 2019. 11. 30. | $38.40 | -3.35% | 3,140.98 | 3.40% | |
| 11. | 2019. 12. 31. | $43.45 | $0.14 | 13.52% | 3,230.78 | 2.86% |
| 12. | 2020. 1. 31. | $45.06 | 3.71% | 3,225.52 | -0.16% | |
| 13. | 2020. 2. 29. | $44.63 | -0.95% | 2,954.22 | -8.41% | |
| 14. | 2020. 3. 31. | $45.28 | $0.14 | 1.77% | 2,584.59 | -12.51% |
| 15. | 2020. 4. 30. | $59.48 | 31.36% | 2,912.43 | 12.68% | |
| 16. | 2020. 5. 31. | $58.47 | -1.70% | 3,044.31 | 4.53% | |
| 17. | 2020. 6. 30. | $61.74 | $0.25 | 6.02% | 3,100.29 | 1.84% |
| 18. | 2020. 7. 31. | $69.20 | 12.08% | 3,271.12 | 5.51% | |
| 19. | 2020. 8. 31. | $67.28 | -2.77% | 3,500.31 | 7.01% | |
| 20. | 2020. 9. 30. | $63.45 | $0.25 | -5.32% | 3,363.00 | -3.92% |
| 21. | 2020. 10. 31. | $62.84 | -0.96% | 3,269.96 | -2.77% | |
| 22. | 2020. 11. 30. | $58.82 | -6.40% | 3,621.63 | 10.75% | |
| 23. | 2020. 12. 31. | $59.89 | $0.40 | 2.50% | 3,756.07 | 3.71% |
| 24. | 2021. 1. 31. | $59.60 | -0.48% | 3,714.24 | -1.11% | |
| 25. | 2021. 2. 28. | $54.38 | -8.76% | 3,811.15 | 2.61% | |
| 26. | 2021. 3. 31. | $60.27 | $0.55 | 11.84% | 3,972.89 | 4.24% |
| 27. | 2021. 4. 30. | $62.41 | 3.55% | 4,181.17 | 5.24% | |
| 28. | 2021. 5. 31. | $73.48 | 17.74% | 4,204.11 | 0.55% | |
| 29. | 2021. 6. 30. | $63.38 | $0.55 | -13.00% | 4,297.50 | 2.22% |
| 30. | 2021. 7. 31. | $62.82 | -0.88% | 4,395.26 | 2.27% | |
| 31. | 2021. 8. 31. | $57.99 | -7.69% | 4,522.68 | 2.90% | |
| 32. | 2021. 9. 30. | $54.30 | $0.55 | -5.41% | 4,307.54 | -4.76% |
| 33. | 2021. 10. 31. | $54.00 | -0.55% | 4,605.38 | 6.91% | |
| 34. | 2021. 11. 30. | $54.92 | 1.70% | 4,567.00 | -0.83% | |
| 35. | 2021. 12. 31. | $62.02 | $0.55 | 13.93% | 4,766.18 | 4.36% |
| 36. | 2022. 1. 31. | $61.17 | -1.37% | 4,515.55 | -5.26% | |
| 37. | 2022. 2. 28. | $66.20 | 8.22% | 4,373.94 | -3.14% | |
| 38. | 2022. 3. 31. | $79.45 | $0.55 | 20.85% | 4,530.41 | 3.58% |
| 39. | 2022. 4. 30. | $72.85 | -8.31% | 4,131.93 | -8.80% | |
| 40. | 2022. 5. 31. | $67.85 | -6.86% | 4,132.15 | 0.01% | |
| 41. | 2022. 6. 30. | $59.67 | $0.55 | -11.25% | 3,785.38 | -8.39% |
| 42. | 2022. 7. 31. | $45.28 | -24.12% | 4,130.29 | 9.11% | |
| 43. | 2022. 8. 31. | $41.36 | -8.66% | 3,955.00 | -4.24% | |
| 44. | 2022. 9. 30. | $42.03 | $0.55 | 2.95% | 3,585.62 | -9.34% |
| 45. | 2022. 10. 31. | $42.32 | 0.69% | 3,871.98 | 7.99% | |
| 46. | 2022. 11. 30. | $47.47 | 12.17% | 4,080.11 | 5.38% | |
| 47. | 2022. 12. 31. | $47.20 | $0.55 | 0.59% | 3,839.50 | -5.90% |
| 48. | 2023. 1. 31. | $52.93 | 12.14% | 4,076.60 | 6.18% | |
| 49. | 2023. 2. 28. | $43.61 | -17.61% | 3,970.15 | -2.61% | |
| 50. | 2023. 3. 31. | $49.02 | $0.40 | 13.32% | 4,109.31 | 3.51% |
| 51. | 2023. 4. 30. | $47.40 | -3.30% | 4,169.48 | 1.46% | |
| 52. | 2023. 5. 31. | $40.55 | $0.40 | -13.61% | 4,179.83 | 0.25% |
| 53. | 2023. 6. 30. | $42.66 | 5.20% | 4,376.86 | 4.71% | |
| 54. | 2023. 7. 31. | $42.92 | 0.61% | 4,588.96 | 4.85% | |
| 55. | 2023. 8. 31. | $39.42 | -8.15% | 4,507.66 | -1.77% | |
| 56. | 2023. 9. 30. | $36.95 | $0.40 | -5.25% | 4,288.05 | -4.87% |
| 57. | 2023. 10. 31. | $37.47 | 1.41% | 4,193.80 | -2.20% | |
| 58. | 2023. 11. 30. | $40.19 | $0.40 | 8.33% | 4,567.80 | 8.92% |
| 59. | 2023. 12. 31. | $41.39 | 2.99% | 4,769.83 | 4.42% | |
| 평균의 (R): | 1.09% | 1.11% | ||||
| 표준 편차: | 9.83% | 5.31% | ||||
모두 표시
1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.
2 기간 t 동안 NEM의 보통주에 대한 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.
분산과 공분산
Newmont Corp., 수익률의 분산 및 공분산 계산
| t | 날짜 | RNEM,t | RS&P 500,t | (RNEM,t–RNEM)2 | (RS&P 500,t–RS&P 500)2 | (RNEM,t–RNEM)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 2. 28. | 0.03% | 2.97% | 1.14 | 3.49 | -1.99 |
| 2. | 2019. 3. 31. | 5.25% | 1.79% | 17.23 | 0.47 | 2.85 |
| 3. | 2019. 4. 30. | -10.71% | 3.93% | 139.29 | 7.98 | -33.35 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023. 11. 30. | 8.33% | 8.92% | 52.30 | 61.03 | 56.50 |
| 59. | 2023. 12. 31. | 2.99% | 4.42% | 3.58 | 11.00 | 6.27 |
| 합계 (Σ): | 5,604.79 | 1,634.30 | 847.32 | |||
| t | 날짜 | RNEM,t | RS&P 500,t | (RNEM,t–RNEM)2 | (RS&P 500,t–RS&P 500)2 | (RNEM,t–RNEM)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 2. 28. | 0.03% | 2.97% | 1.14 | 3.49 | -1.99 |
| 2. | 2019. 3. 31. | 5.25% | 1.79% | 17.23 | 0.47 | 2.85 |
| 3. | 2019. 4. 30. | -10.71% | 3.93% | 139.29 | 7.98 | -33.35 |
| 4. | 2019. 5. 31. | 6.54% | -6.58% | 29.60 | 59.04 | -41.81 |
| 5. | 2019. 6. 30. | 16.68% | 6.89% | 242.95 | 33.49 | 90.20 |
| 6. | 2019. 7. 31. | -5.07% | 1.31% | 37.99 | 0.04 | -1.28 |
| 7. | 2019. 8. 31. | 9.23% | -1.81% | 66.15 | 8.50 | -23.71 |
| 8. | 2019. 9. 30. | -4.59% | 1.72% | 32.29 | 0.37 | -3.48 |
| 9. | 2019. 10. 31. | 4.77% | 2.04% | 13.53 | 0.88 | 3.45 |
| 10. | 2019. 11. 30. | -3.35% | 3.40% | 19.73 | 5.28 | -10.21 |
| 11. | 2019. 12. 31. | 13.52% | 2.86% | 154.28 | 3.07 | 21.78 |
| 12. | 2020. 1. 31. | 3.71% | -0.16% | 6.82 | 1.61 | -3.31 |
| 13. | 2020. 2. 29. | -0.95% | -8.41% | 4.20 | 90.57 | 19.50 |
| 14. | 2020. 3. 31. | 1.77% | -12.51% | 0.46 | 185.44 | -9.20 |
| 15. | 2020. 4. 30. | 31.36% | 12.68% | 916.01 | 134.06 | 350.43 |
| 16. | 2020. 5. 31. | -1.70% | 4.53% | 7.80 | 11.71 | -9.56 |
| 17. | 2020. 6. 30. | 6.02% | 1.84% | 24.26 | 0.54 | 3.61 |
| 18. | 2020. 7. 31. | 12.08% | 5.51% | 120.74 | 19.40 | 48.39 |
| 19. | 2020. 8. 31. | -2.77% | 7.01% | 14.97 | 34.82 | -22.83 |
| 20. | 2020. 9. 30. | -5.32% | -3.92% | 41.16 | 25.29 | 32.26 |
| 21. | 2020. 10. 31. | -0.96% | -2.77% | 4.23 | 15.00 | 7.96 |
| 22. | 2020. 11. 30. | -6.40% | 10.75% | 56.13 | 93.10 | -72.29 |
| 23. | 2020. 12. 31. | 2.50% | 3.71% | 1.97 | 6.79 | 3.66 |
| 24. | 2021. 1. 31. | -0.48% | -1.11% | 2.49 | 4.93 | 3.50 |
| 25. | 2021. 2. 28. | -8.76% | 2.61% | 97.08 | 2.26 | -14.81 |
| 26. | 2021. 3. 31. | 11.84% | 4.24% | 115.52 | 9.85 | 33.73 |
| 27. | 2021. 4. 30. | 3.55% | 5.24% | 6.03 | 17.11 | 10.16 |
| 28. | 2021. 5. 31. | 17.74% | 0.55% | 276.98 | 0.31 | -9.27 |
| 29. | 2021. 6. 30. | -13.00% | 2.22% | 198.57 | 1.24 | -15.72 |
| 30. | 2021. 7. 31. | -0.88% | 2.27% | 3.91 | 1.37 | -2.31 |
| 31. | 2021. 8. 31. | -7.69% | 2.90% | 77.15 | 3.22 | -15.75 |
| 32. | 2021. 9. 30. | -5.41% | -4.76% | 42.37 | 34.37 | 38.16 |
| 33. | 2021. 10. 31. | -0.55% | 6.91% | 2.71 | 33.74 | -9.57 |
| 34. | 2021. 11. 30. | 1.70% | -0.83% | 0.37 | 3.76 | -1.18 |
| 35. | 2021. 12. 31. | 13.93% | 4.36% | 164.73 | 10.60 | 41.78 |
| 36. | 2022. 1. 31. | -1.37% | -5.26% | 6.08 | 40.51 | 15.69 |
| 37. | 2022. 2. 28. | 8.22% | -3.14% | 50.81 | 17.99 | -30.24 |
| 38. | 2022. 3. 31. | 20.85% | 3.58% | 390.11 | 6.11 | 48.81 |
| 39. | 2022. 4. 30. | -8.31% | -8.80% | 88.40 | 98.04 | 93.09 |
| 40. | 2022. 5. 31. | -6.86% | 0.01% | 63.33 | 1.21 | 8.76 |
| 41. | 2022. 6. 30. | -11.25% | -8.39% | 152.28 | 90.21 | 117.21 |
| 42. | 2022. 7. 31. | -24.12% | 9.11% | 635.58 | 64.09 | -201.83 |
| 43. | 2022. 8. 31. | -8.66% | -4.24% | 95.10 | 28.62 | 52.17 |
| 44. | 2022. 9. 30. | 2.95% | -9.34% | 3.44 | 109.11 | -19.38 |
| 45. | 2022. 10. 31. | 0.69% | 7.99% | 0.16 | 47.34 | -2.79 |
| 46. | 2022. 11. 30. | 12.17% | 5.38% | 122.64 | 18.23 | 47.28 |
| 47. | 2022. 12. 31. | 0.59% | -5.90% | 0.25 | 49.04 | 3.54 |
| 48. | 2023. 1. 31. | 12.14% | 6.18% | 121.99 | 25.70 | 55.99 |
| 49. | 2023. 2. 28. | -17.61% | -2.61% | 349.80 | 13.82 | 69.52 |
| 50. | 2023. 3. 31. | 13.32% | 3.51% | 149.52 | 5.76 | 29.34 |
| 51. | 2023. 4. 30. | -3.30% | 1.46% | 19.36 | 0.13 | -1.58 |
| 52. | 2023. 5. 31. | -13.61% | 0.25% | 216.16 | 0.74 | 12.61 |
| 53. | 2023. 6. 30. | 5.20% | 4.71% | 16.88 | 13.02 | 14.82 |
| 54. | 2023. 7. 31. | 0.61% | 4.85% | 0.24 | 13.99 | -1.82 |
| 55. | 2023. 8. 31. | -8.15% | -1.77% | 85.55 | 8.28 | 26.62 |
| 56. | 2023. 9. 30. | -5.25% | -4.87% | 40.27 | 35.73 | 37.93 |
| 57. | 2023. 10. 31. | 1.41% | -2.20% | 0.10 | 10.92 | -1.03 |
| 58. | 2023. 11. 30. | 8.33% | 8.92% | 52.30 | 61.03 | 56.50 |
| 59. | 2023. 12. 31. | 2.99% | 4.42% | 3.58 | 11.00 | 6.27 |
| 합계 (Σ): | 5,604.79 | 1,634.30 | 847.32 | |||
모두 표시
분산NEM = Σ(RNEM,t–RNEM)2 ÷ (59 – 1)
= 5,604.79 ÷ (59 – 1)
= 96.63
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18
공분산NEM, S&P 500 = Σ(RNEM,t–RNEM)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 847.32 ÷ (59 – 1)
= 14.61
체계적인 위험 추정 (β)
| 분산NEM | 96.63 |
| 분산S&P 500 | 28.18 |
| 공분산NEM, S&P 500 | 14.61 |
| 상관 계수NEM, S&P 5001 | 0.28 |
| βNEM2 | 0.52 |
| αNEM3 | 0.52% |
계산
1 상관 계수NEM, S&P 500
= 공분산NEM, S&P 500 ÷ (표준 편차NEM × 표준 편차S&P 500)
= 14.61 ÷ (9.83% × 5.31%)
= 0.28
2 βNEM
= 공분산NEM, S&P 500 ÷ 분산S&P 500
= 14.61 ÷ 28.18
= 0.52
3 αNEM
= 평균의NEM – βNEM × 평균의S&P 500
= 1.09% – 0.52 × 1.11%
= 0.52%
예상 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.90% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.54% |
| 보통주의 체계적 위험Newmont | βNEM | 0.52 |
| Newmont 보통주에 대한 예상 수익률3 | E(RNEM) | 9.38% |
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(RNEM) = RF + βNEM [E(RM) – RF]
= 4.90% + 0.52 [13.54% – 4.90%]
= 9.38%