Stock Analysis on Net

RTX Corp. (NYSE:RTX)

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 RTX.


수익률

RTX Corp., 월별 수익률

Microsoft Excel
RTX Corp. (RTX) Standard & Poor’s 500 (S&P 500)
t 날짜 RTX,t1 피제수RTX,t1 RRTX,t2 S&P 500,t RS&P 500,t3
2019. 1. 31. $118.07 2,704.10
1. 2019. 2. 28. $125.67 $0.735 7.06% 2,784.49 2.97%
2. 2019. 3. 31. $128.89 2.56% 2,834.40 1.79%
3. 2019. 4. 30. $142.61 10.64% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023. 11. 30. $81.48 $0.59 0.84% 4,567.80 8.92%
59. 2023. 12. 31. $84.14 3.26% 4,769.83 4.42%
평균의 (R): 0.57% 1.11%
표준 편차: 8.83% 5.31%
RTX Corp. (RTX) Standard & Poor’s 500 (S&P 500)
t 날짜 RTX,t1 피제수RTX,t1 RRTX,t2 S&P 500,t RS&P 500,t3
2019. 1. 31. $118.07 2,704.10
1. 2019. 2. 28. $125.67 $0.735 7.06% 2,784.49 2.97%
2. 2019. 3. 31. $128.89 2.56% 2,834.40 1.79%
3. 2019. 4. 30. $142.61 10.64% 2,945.83 3.93%
4. 2019. 5. 31. $126.30 $0.735 -10.92% 2,752.06 -6.58%
5. 2019. 6. 30. $130.20 3.09% 2,941.76 6.89%
6. 2019. 7. 31. $133.60 2.61% 2,980.38 1.31%
7. 2019. 8. 31. $130.24 $0.735 -1.96% 2,926.46 -1.81%
8. 2019. 9. 30. $136.52 4.82% 2,976.74 1.72%
9. 2019. 10. 31. $143.58 5.17% 3,037.56 2.04%
10. 2019. 11. 30. $148.34 $0.735 3.83% 3,140.98 3.40%
11. 2019. 12. 31. $149.76 0.96% 3,230.78 2.86%
12. 2020. 1. 31. $150.20 0.29% 3,225.52 -0.16%
13. 2020. 2. 29. $130.59 $0.735 -12.57% 2,954.22 -8.41%
14. 2020. 3. 31. $94.33 $35.50 -0.58% 2,584.59 -12.51%
15. 2020. 4. 30. $64.81 -31.29% 2,912.43 12.68%
16. 2020. 5. 31. $64.52 $0.475 0.29% 3,044.31 4.53%
17. 2020. 6. 30. $61.62 -4.49% 3,100.29 1.84%
18. 2020. 7. 31. $56.68 -8.02% 3,271.12 5.51%
19. 2020. 8. 31. $61.00 $0.475 8.46% 3,500.31 7.01%
20. 2020. 9. 30. $57.54 -5.67% 3,363.00 -3.92%
21. 2020. 10. 31. $54.32 -5.60% 3,269.96 -2.77%
22. 2020. 11. 30. $71.72 $0.475 32.91% 3,621.63 10.75%
23. 2020. 12. 31. $71.51 -0.29% 3,756.07 3.71%
24. 2021. 1. 31. $66.73 -6.68% 3,714.24 -1.11%
25. 2021. 2. 28. $71.99 $0.475 8.59% 3,811.15 2.61%
26. 2021. 3. 31. $77.27 7.33% 3,972.89 4.24%
27. 2021. 4. 30. $83.24 7.73% 4,181.17 5.24%
28. 2021. 5. 31. $88.71 $0.51 7.18% 4,204.11 0.55%
29. 2021. 6. 30. $85.31 -3.83% 4,297.50 2.22%
30. 2021. 7. 31. $86.95 1.92% 4,395.26 2.27%
31. 2021. 8. 31. $84.76 $0.51 -1.93% 4,522.68 2.90%
32. 2021. 9. 30. $85.96 1.42% 4,307.54 -4.76%
33. 2021. 10. 31. $88.86 3.37% 4,605.38 6.91%
34. 2021. 11. 30. $80.92 $0.51 -8.36% 4,567.00 -0.83%
35. 2021. 12. 31. $86.06 6.35% 4,766.18 4.36%
36. 2022. 1. 31. $90.19 4.80% 4,515.55 -5.26%
37. 2022. 2. 28. $102.70 $0.51 14.44% 4,373.94 -3.14%
38. 2022. 3. 31. $99.07 -3.53% 4,530.41 3.58%
39. 2022. 4. 30. $94.91 -4.20% 4,131.93 -8.80%
40. 2022. 5. 31. $95.12 $0.55 0.80% 4,132.15 0.01%
41. 2022. 6. 30. $96.11 1.04% 3,785.38 -8.39%
42. 2022. 7. 31. $93.21 -3.02% 4,130.29 9.11%
43. 2022. 8. 31. $89.75 $0.55 -3.12% 3,955.00 -4.24%
44. 2022. 9. 30. $81.86 -8.79% 3,585.62 -9.34%
45. 2022. 10. 31. $94.82 15.83% 3,871.98 7.99%
46. 2022. 11. 30. $98.72 $0.55 4.69% 4,080.11 5.38%
47. 2022. 12. 31. $100.92 2.23% 3,839.50 -5.90%
48. 2023. 1. 31. $99.85 -1.06% 4,076.60 6.18%
49. 2023. 2. 28. $98.09 $0.55 -1.21% 3,970.15 -2.61%
50. 2023. 3. 31. $97.93 -0.16% 4,109.31 3.51%
51. 2023. 4. 30. $99.90 2.01% 4,169.48 1.46%
52. 2023. 5. 31. $92.14 $0.59 -7.18% 4,179.83 0.25%
53. 2023. 6. 30. $97.96 6.32% 4,376.86 4.71%
54. 2023. 7. 31. $87.93 -10.24% 4,588.96 4.85%
55. 2023. 8. 31. $86.04 $0.59 -1.48% 4,507.66 -1.77%
56. 2023. 9. 30. $71.97 -16.35% 4,288.05 -4.87%
57. 2023. 10. 31. $81.39 13.09% 4,193.80 -2.20%
58. 2023. 11. 30. $81.48 $0.59 0.84% 4,567.80 8.92%
59. 2023. 12. 31. $84.14 3.26% 4,769.83 4.42%
평균의 (R): 0.57% 1.11%
표준 편차: 8.83% 5.31%

모두 표시

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

2 기간 t 동안 RTX의 보통주에 대한 수익률.

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


분산과 공분산

RTX Corp., 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RRTX,t RS&P 500,t (RRTX,tRRTX)2 (RS&P 500,tRS&P 500)2 (RRTX,tRRTX)×(RS&P 500,tRS&P 500)
1. 2019. 2. 28. 7.06% 2.97% 42.17 3.49 12.12
2. 2019. 3. 31. 2.56% 1.79% 3.99 0.47 1.37
3. 2019. 4. 30. 10.64% 3.93% 101.59 7.98 28.48
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023. 11. 30. 0.84% 8.92% 0.07 61.03 2.11
59. 2023. 12. 31. 3.26% 4.42% 7.28 11.00 8.95
합계 (Σ): 4,517.76 1,634.30 631.07
t 날짜 RRTX,t RS&P 500,t (RRTX,tRRTX)2 (RS&P 500,tRS&P 500)2 (RRTX,tRRTX)×(RS&P 500,tRS&P 500)
1. 2019. 2. 28. 7.06% 2.97% 42.17 3.49 12.12
2. 2019. 3. 31. 2.56% 1.79% 3.99 0.47 1.37
3. 2019. 4. 30. 10.64% 3.93% 101.59 7.98 28.48
4. 2019. 5. 31. -10.92% -6.58% 131.95 59.04 88.26
5. 2019. 6. 30. 3.09% 6.89% 6.36 33.49 14.60
6. 2019. 7. 31. 2.61% 1.31% 4.18 0.04 0.42
7. 2019. 8. 31. -1.96% -1.81% 6.40 8.50 7.38
8. 2019. 9. 30. 4.82% 1.72% 18.11 0.37 2.61
9. 2019. 10. 31. 5.17% 2.04% 21.21 0.88 4.32
10. 2019. 11. 30. 3.83% 3.40% 10.64 5.28 7.50
11. 2019. 12. 31. 0.96% 2.86% 0.15 3.07 0.69
12. 2020. 1. 31. 0.29% -0.16% 0.07 1.61 0.35
13. 2020. 2. 29. -12.57% -8.41% 172.46 90.57 124.98
14. 2020. 3. 31. -0.58% -12.51% 1.32 185.44 15.63
15. 2020. 4. 30. -31.29% 12.68% 1,015.07 134.06 -368.89
16. 2020. 5. 31. 0.29% 4.53% 0.08 11.71 -0.96
17. 2020. 6. 30. -4.49% 1.84% 25.61 0.54 -3.71
18. 2020. 7. 31. -8.02% 5.51% 73.66 19.40 -37.80
19. 2020. 8. 31. 8.46% 7.01% 62.32 34.82 46.58
20. 2020. 9. 30. -5.67% -3.92% 38.91 25.29 31.37
21. 2020. 10. 31. -5.60% -2.77% 37.97 15.00 23.86
22. 2020. 11. 30. 32.91% 10.75% 1,045.95 93.10 312.05
23. 2020. 12. 31. -0.29% 3.71% 0.74 6.79 -2.24
24. 2021. 1. 31. -6.68% -1.11% 52.56 4.93 16.09
25. 2021. 2. 28. 8.59% 2.61% 64.46 2.26 12.07
26. 2021. 3. 31. 7.33% 4.24% 45.81 9.85 21.24
27. 2021. 4. 30. 7.73% 5.24% 51.27 17.11 29.62
28. 2021. 5. 31. 7.18% 0.55% 43.80 0.31 -3.69
29. 2021. 6. 30. -3.83% 2.22% 19.35 1.24 -4.91
30. 2021. 7. 31. 1.92% 2.27% 1.84 1.37 1.59
31. 2021. 8. 31. -1.93% 2.90% 6.24 3.22 -4.48
32. 2021. 9. 30. 1.42% -4.76% 0.72 34.37 -4.98
33. 2021. 10. 31. 3.37% 6.91% 7.88 33.74 16.31
34. 2021. 11. 30. -8.36% -0.83% 79.70 3.76 17.31
35. 2021. 12. 31. 6.35% 4.36% 33.48 10.60 18.84
36. 2022. 1. 31. 4.80% -5.26% 17.92 40.51 -26.94
37. 2022. 2. 28. 14.44% -3.14% 192.39 17.99 -58.84
38. 2022. 3. 31. -3.53% 3.58% 16.81 6.11 -10.13
39. 2022. 4. 30. -4.20% -8.80% 22.70 98.04 47.18
40. 2022. 5. 31. 0.80% 0.01% 0.06 1.21 -0.26
41. 2022. 6. 30. 1.04% -8.39% 0.23 90.21 -4.51
42. 2022. 7. 31. -3.02% 9.11% 12.84 64.09 -28.69
43. 2022. 8. 31. -3.12% -4.24% 13.60 28.62 19.73
44. 2022. 9. 30. -8.79% -9.34% 87.55 109.11 97.74
45. 2022. 10. 31. 15.83% 7.99% 233.06 47.34 105.04
46. 2022. 11. 30. 4.69% 5.38% 17.03 18.23 17.62
47. 2022. 12. 31. 2.23% -5.90% 2.76 49.04 -11.64
48. 2023. 1. 31. -1.06% 6.18% 2.64 25.70 -8.24
49. 2023. 2. 28. -1.21% -2.61% 3.16 13.82 6.61
50. 2023. 3. 31. -0.16% 3.51% 0.53 5.76 -1.75
51. 2023. 4. 30. 2.01% 1.46% 2.09 0.13 0.52
52. 2023. 5. 31. -7.18% 0.25% 59.95 0.74 6.64
53. 2023. 6. 30. 6.32% 4.71% 33.07 13.02 20.75
54. 2023. 7. 31. -10.24% 4.85% 116.74 13.99 -40.41
55. 2023. 8. 31. -1.48% -1.77% 4.18 8.28 5.88
56. 2023. 9. 30. -16.35% -4.87% 286.24 35.73 101.14
57. 2023. 10. 31. 13.09% -2.20% 156.83 10.92 -41.37
58. 2023. 11. 30. 0.84% 8.92% 0.07 61.03 2.11
59. 2023. 12. 31. 3.26% 4.42% 7.28 11.00 8.95
합계 (Σ): 4,517.76 1,634.30 631.07

모두 표시

분산RTX = Σ(RRTX,tRRTX)2 ÷ (59 – 1)
= 4,517.76 ÷ (59 – 1)
= 77.89

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

공분산RTX, S&P 500 = Σ(RRTX,tRRTX)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 631.07 ÷ (59 – 1)
= 10.88


체계적인 위험 추정 (β)

Microsoft Excel
분산RTX 77.89
분산S&P 500 28.18
공분산RTX, S&P 500 10.88
상관 계수RTX, S&P 5001 0.23
βRTX2 0.39
αRTX3 0.14%

계산

1 상관 계수RTX, S&P 500
= 공분산RTX, S&P 500 ÷ (표준 편차RTX × 표준 편차S&P 500)
= 10.88 ÷ (8.83% × 5.31%)
= 0.23

2 βRTX
= 공분산RTX, S&P 500 ÷ 분산S&P 500
= 10.88 ÷ 28.18
= 0.39

3 αRTX
= 평균의RTX – βRTX × 평균의S&P 500
= 0.57%0.39 × 1.11%
= 0.14%


예상 수익률

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.57%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 12.80%
보통주 RTX 의 체계적인 리스크 βRTX 0.39
 
RTX 보통주에 대한 예상 수익률3 E(RRTX) 7.75%

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(RRTX) = RF + βRTX [E(RM) – RF]
= 4.57% + 0.39 [12.80%4.57%]
= 7.75%