Stock Analysis on Net

Newmont Corp. (NYSE:NEM)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

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


수익률

Newmont Corp., 월별 수익률

Microsoft Excel
Newmont Corp. (NEM) Standard & Poor’s 500 (S&P 500)
t 날짜 NEM,t1 피제수NEM,t1 RNEM,t2 S&P 500,t RS&P 500,t3
2018. 1. 31. $40.51 2,823.81
1. 2018. 2. 28. $38.20 -5.70% 2,713.83 -3.89%
2. 2018. 3. 31. $39.07 $0.14 2.64% 2,640.87 -2.69%
3. 2018. 4. 30. $39.29 0.56% 2,648.05 0.27%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2022. 11. 30. $47.47 12.17% 4,080.11 5.38%
59. 2022. 12. 31. $47.20 $0.55 0.59% 3,839.50 -5.90%
평균의 (R): 0.93% 0.67%
표준 편차: 9.26% 5.40%
Newmont Corp. (NEM) Standard & Poor’s 500 (S&P 500)
t 날짜 NEM,t1 피제수NEM,t1 RNEM,t2 S&P 500,t RS&P 500,t3
2018. 1. 31. $40.51 2,823.81
1. 2018. 2. 28. $38.20 -5.70% 2,713.83 -3.89%
2. 2018. 3. 31. $39.07 $0.14 2.64% 2,640.87 -2.69%
3. 2018. 4. 30. $39.29 0.56% 2,648.05 0.27%
4. 2018. 5. 31. $38.93 -0.92% 2,705.27 2.16%
5. 2018. 6. 30. $37.71 $0.14 -2.77% 2,718.37 0.48%
6. 2018. 7. 31. $36.68 -2.73% 2,816.29 3.60%
7. 2018. 8. 31. $31.03 -15.40% 2,901.52 3.03%
8. 2018. 9. 30. $30.20 $0.14 -2.22% 2,913.98 0.43%
9. 2018. 10. 31. $30.92 2.38% 2,711.74 -6.94%
10. 2018. 11. 30. $32.34 4.59% 2,760.17 1.79%
11. 2018. 12. 31. $34.65 $0.14 7.58% 2,506.85 -9.18%
12. 2019. 1. 31. $34.11 -1.56% 2,704.10 7.87%
13. 2019. 2. 28. $34.12 0.03% 2,784.49 2.97%
14. 2019. 3. 31. $35.77 $0.14 5.25% 2,834.40 1.79%
15. 2019. 4. 30. $31.06 $0.88 -10.71% 2,945.83 3.93%
16. 2019. 5. 31. $33.09 6.54% 2,752.06 -6.58%
17. 2019. 6. 30. $38.47 $0.14 16.68% 2,941.76 6.89%
18. 2019. 7. 31. $36.52 -5.07% 2,980.38 1.31%
19. 2019. 8. 31. $39.89 9.23% 2,926.46 -1.81%
20. 2019. 9. 30. $37.92 $0.14 -4.59% 2,976.74 1.72%
21. 2019. 10. 31. $39.73 4.77% 3,037.56 2.04%
22. 2019. 11. 30. $38.40 -3.35% 3,140.98 3.40%
23. 2019. 12. 31. $43.45 $0.14 13.52% 3,230.78 2.86%
24. 2020. 1. 31. $45.06 3.71% 3,225.52 -0.16%
25. 2020. 2. 29. $44.63 -0.95% 2,954.22 -8.41%
26. 2020. 3. 31. $45.28 $0.14 1.77% 2,584.59 -12.51%
27. 2020. 4. 30. $59.48 31.36% 2,912.43 12.68%
28. 2020. 5. 31. $58.47 -1.70% 3,044.31 4.53%
29. 2020. 6. 30. $61.74 $0.25 6.02% 3,100.29 1.84%
30. 2020. 7. 31. $69.20 12.08% 3,271.12 5.51%
31. 2020. 8. 31. $67.28 -2.77% 3,500.31 7.01%
32. 2020. 9. 30. $63.45 $0.25 -5.32% 3,363.00 -3.92%
33. 2020. 10. 31. $62.84 -0.96% 3,269.96 -2.77%
34. 2020. 11. 30. $58.82 -6.40% 3,621.63 10.75%
35. 2020. 12. 31. $59.89 $0.40 2.50% 3,756.07 3.71%
36. 2021. 1. 31. $59.60 -0.48% 3,714.24 -1.11%
37. 2021. 2. 28. $54.38 -8.76% 3,811.15 2.61%
38. 2021. 3. 31. $60.27 $0.55 11.84% 3,972.89 4.24%
39. 2021. 4. 30. $62.41 3.55% 4,181.17 5.24%
40. 2021. 5. 31. $73.48 17.74% 4,204.11 0.55%
41. 2021. 6. 30. $63.38 $0.55 -13.00% 4,297.50 2.22%
42. 2021. 7. 31. $62.82 -0.88% 4,395.26 2.27%
43. 2021. 8. 31. $57.99 -7.69% 4,522.68 2.90%
44. 2021. 9. 30. $54.30 $0.55 -5.41% 4,307.54 -4.76%
45. 2021. 10. 31. $54.00 -0.55% 4,605.38 6.91%
46. 2021. 11. 30. $54.92 1.70% 4,567.00 -0.83%
47. 2021. 12. 31. $62.02 $0.55 13.93% 4,766.18 4.36%
48. 2022. 1. 31. $61.17 -1.37% 4,515.55 -5.26%
49. 2022. 2. 28. $66.20 8.22% 4,373.94 -3.14%
50. 2022. 3. 31. $79.45 $0.55 20.85% 4,530.41 3.58%
51. 2022. 4. 30. $72.85 -8.31% 4,131.93 -8.80%
52. 2022. 5. 31. $67.85 -6.86% 4,132.15 0.01%
53. 2022. 6. 30. $59.67 $0.55 -11.25% 3,785.38 -8.39%
54. 2022. 7. 31. $45.28 -24.12% 4,130.29 9.11%
55. 2022. 8. 31. $41.36 -8.66% 3,955.00 -4.24%
56. 2022. 9. 30. $42.03 $0.55 2.95% 3,585.62 -9.34%
57. 2022. 10. 31. $42.32 0.69% 3,871.98 7.99%
58. 2022. 11. 30. $47.47 12.17% 4,080.11 5.38%
59. 2022. 12. 31. $47.20 $0.55 0.59% 3,839.50 -5.90%
평균의 (R): 0.93% 0.67%
표준 편차: 9.26% 5.40%

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

Microsoft Excel
t 날짜 RNEM,t RS&P 500,t (RNEM,tRNEM)2 (RS&P 500,tRS&P 500)2 (RNEM,tRNEM)×(RS&P 500,tRS&P 500)
1. 2018. 2. 28. -5.70% -3.89% 44.01 20.81 30.26
2. 2018. 3. 31. 2.64% -2.69% 2.93 11.26 -5.74
3. 2018. 4. 30. 0.56% 0.27% 0.14 0.16 0.15
. . . . . . .
. . . . . . .
. . . . . . .
58. 2022. 11. 30. 12.17% 5.38% 126.28 22.17 52.91
59. 2022. 12. 31. 0.59% -5.90% 0.12 43.08 2.24
합계 (Σ): 4,976.16 1,691.48 435.18
t 날짜 RNEM,t RS&P 500,t (RNEM,tRNEM)2 (RS&P 500,tRS&P 500)2 (RNEM,tRNEM)×(RS&P 500,tRS&P 500)
1. 2018. 2. 28. -5.70% -3.89% 44.01 20.81 30.26
2. 2018. 3. 31. 2.64% -2.69% 2.93 11.26 -5.74
3. 2018. 4. 30. 0.56% 0.27% 0.14 0.16 0.15
4. 2018. 5. 31. -0.92% 2.16% 3.42 2.23 -2.76
5. 2018. 6. 30. -2.77% 0.48% 13.73 0.03 0.68
6. 2018. 7. 31. -2.73% 3.60% 13.42 8.62 -10.75
7. 2018. 8. 31. -15.40% 3.03% 266.84 5.57 -38.55
8. 2018. 9. 30. -2.22% 0.43% 9.96 0.06 0.75
9. 2018. 10. 31. 2.38% -6.94% 2.11 57.87 -11.05
10. 2018. 11. 30. 4.59% 1.79% 13.40 1.25 4.10
11. 2018. 12. 31. 7.58% -9.18% 44.14 96.91 -65.41
12. 2019. 1. 31. -1.56% 7.87% 6.20 51.87 -17.93
13. 2019. 2. 28. 0.03% 2.97% 0.81 5.32 -2.08
14. 2019. 3. 31. 5.25% 1.79% 18.61 1.27 4.86
15. 2019. 4. 30. -10.71% 3.93% 135.47 10.66 -38.00
16. 2019. 5. 31. 6.54% -6.58% 31.40 52.48 -40.60
17. 2019. 6. 30. 16.68% 6.89% 248.06 38.77 98.07
18. 2019. 7. 31. -5.07% 1.31% 36.01 0.42 -3.88
19. 2019. 8. 31. 9.23% -1.81% 68.82 6.13 -20.54
20. 2019. 9. 30. -4.59% 1.72% 30.46 1.11 -5.80
21. 2019. 10. 31. 4.77% 2.04% 14.76 1.89 5.29
22. 2019. 11. 30. -3.35% 3.40% 18.31 7.50 -11.72
23. 2019. 12. 31. 13.52% 2.86% 158.35 4.81 27.59
24. 2020. 1. 31. 3.71% -0.16% 7.69 0.69 -2.30
25. 2020. 2. 29. -0.95% -8.41% 3.56 82.40 17.12
26. 2020. 3. 31. 1.77% -12.51% 0.70 173.67 -11.05
27. 2020. 4. 30. 31.36% 12.68% 925.90 144.43 365.68
28. 2020. 5. 31. -1.70% 4.53% 6.92 14.91 -10.16
29. 2020. 6. 30. 6.02% 1.84% 25.89 1.37 5.96
30. 2020. 7. 31. 12.08% 5.51% 124.35 23.46 54.01
31. 2020. 8. 31. -2.77% 7.01% 13.74 40.19 -23.50
32. 2020. 9. 30. -5.32% -3.92% 39.10 21.06 28.70
33. 2020. 10. 31. -0.96% -2.77% 3.58 11.79 6.50
34. 2020. 11. 30. -6.40% 10.75% 53.71 101.77 -73.93
35. 2020. 12. 31. 2.50% 3.71% 2.46 9.28 4.77
36. 2021. 1. 31. -0.48% -1.11% 2.00 3.17 2.52
37. 2021. 2. 28. -8.76% 2.61% 93.90 3.77 -18.82
38. 2021. 3. 31. 11.84% 4.24% 119.05 12.80 39.03
39. 2021. 4. 30. 3.55% 5.24% 6.86 20.94 11.98
40. 2021. 5. 31. 17.74% 0.55% 282.43 0.01 -1.98
41. 2021. 6. 30. -13.00% 2.22% 194.00 2.42 -21.66
42. 2021. 7. 31. -0.88% 2.27% 3.30 2.59 -2.92
43. 2021. 8. 31. -7.69% 2.90% 74.31 4.98 -19.24
44. 2021. 9. 30. -5.41% -4.76% 40.28 29.42 34.42
45. 2021. 10. 31. -0.55% 6.91% 2.20 39.03 -9.27
46. 2021. 11. 30. 1.70% -0.83% 0.60 2.25 -1.16
47. 2021. 12. 31. 13.93% 4.36% 168.94 13.65 48.02
48. 2022. 1. 31. -1.37% -5.26% 5.30 35.11 13.64
49. 2022. 2. 28. 8.22% -3.14% 53.16 14.46 -27.73
50. 2022. 3. 31. 20.85% 3.58% 396.57 8.47 57.96
51. 2022. 4. 30. -8.31% -8.80% 85.36 89.54 87.42
52. 2022. 5. 31. -6.86% 0.01% 60.76 0.44 5.16
53. 2022. 6. 30. -11.25% -8.39% 148.28 82.06 110.31
54. 2022. 7. 31. -24.12% 9.11% 627.39 71.32 -211.53
55. 2022. 8. 31. -8.66% -4.24% 91.95 24.11 47.09
56. 2022. 9. 30. 2.95% -9.34% 4.07 100.12 -20.19
57. 2022. 10. 31. 0.69% 7.99% 0.06 53.58 -1.77
58. 2022. 11. 30. 12.17% 5.38% 126.28 22.17 52.91
59. 2022. 12. 31. 0.59% -5.90% 0.12 43.08 2.24
합계 (Σ): 4,976.16 1,691.48 435.18

모두 표시

분산NEM = Σ(RNEM,tRNEM)2 ÷ (59 – 1)
= 4,976.16 ÷ (59 – 1)
= 85.80

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16

공분산NEM, S&P 500 = Σ(RNEM,tRNEM)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 435.18 ÷ (59 – 1)
= 7.50


체계적인 위험 추정 (β)

Microsoft Excel
분산NEM 85.80
분산S&P 500 29.16
공분산NEM, S&P 500 7.50
상관 계수NEM, S&P 5001 0.15
βNEM2 0.26
αNEM3 0.76%

계산

1 상관 계수NEM, S&P 500
= 공분산NEM, S&P 500 ÷ (표준 편차NEM × 표준 편차S&P 500)
= 7.50 ÷ (9.26% × 5.40%)
= 0.15

2 βNEM
= 공분산NEM, S&P 500 ÷ 분산S&P 500
= 7.50 ÷ 29.16
= 0.26

3 αNEM
= 평균의NEM – βNEM × 평균의S&P 500
= 0.93%0.26 × 0.67%
= 0.76%


예상 수익률

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.48%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 12.81%
보통주의 체계적 위험Newmont βNEM 0.26
 
Newmont 보통주에 대한 예상 수익률3 E(RNEM) 6.62%

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]
= 4.48% + 0.26 [12.81%4.48%]
= 6.62%