자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 RTX의 보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
RTX Corp., 월별 수익률
| RTX Corp. (RTX) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값RTX,t1 | 피제수RTX,t1 | RRTX,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2021. 1. 31. | $66.73 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $71.99 | $0.475 | 8.59% | 3,811.15 | 2.61% |
| 2. | 2021. 3. 31. | $77.27 | 7.33% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $83.24 | 7.73% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | $174.91 | $0.68 | -1.63% | 6,849.09 | 0.13% |
| 59. | 2025. 12. 31. | $183.40 | 4.85% | 6,845.50 | -0.05% | |
| 평균의 (R): | 2.13% | 1.14% | ||||
| 표준 편차: | 6.53% | 4.37% | ||||
| RTX Corp. (RTX) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값RTX,t1 | 피제수RTX,t1 | RRTX,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2021. 1. 31. | $66.73 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $71.99 | $0.475 | 8.59% | 3,811.15 | 2.61% |
| 2. | 2021. 3. 31. | $77.27 | 7.33% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $83.24 | 7.73% | 4,181.17 | 5.24% | |
| 4. | 2021. 5. 31. | $88.71 | $0.51 | 7.18% | 4,204.11 | 0.55% |
| 5. | 2021. 6. 30. | $85.31 | -3.83% | 4,297.50 | 2.22% | |
| 6. | 2021. 7. 31. | $86.95 | 1.92% | 4,395.26 | 2.27% | |
| 7. | 2021. 8. 31. | $84.76 | $0.51 | -1.93% | 4,522.68 | 2.90% |
| 8. | 2021. 9. 30. | $85.96 | 1.42% | 4,307.54 | -4.76% | |
| 9. | 2021. 10. 31. | $88.86 | 3.37% | 4,605.38 | 6.91% | |
| 10. | 2021. 11. 30. | $80.92 | $0.51 | -8.36% | 4,567.00 | -0.83% |
| 11. | 2021. 12. 31. | $86.06 | 6.35% | 4,766.18 | 4.36% | |
| 12. | 2022. 1. 31. | $90.19 | 4.80% | 4,515.55 | -5.26% | |
| 13. | 2022. 2. 28. | $102.70 | $0.51 | 14.44% | 4,373.94 | -3.14% |
| 14. | 2022. 3. 31. | $99.07 | -3.53% | 4,530.41 | 3.58% | |
| 15. | 2022. 4. 30. | $94.91 | -4.20% | 4,131.93 | -8.80% | |
| 16. | 2022. 5. 31. | $95.12 | $0.55 | 0.80% | 4,132.15 | 0.01% |
| 17. | 2022. 6. 30. | $96.11 | 1.04% | 3,785.38 | -8.39% | |
| 18. | 2022. 7. 31. | $93.21 | -3.02% | 4,130.29 | 9.11% | |
| 19. | 2022. 8. 31. | $89.75 | $0.55 | -3.12% | 3,955.00 | -4.24% |
| 20. | 2022. 9. 30. | $81.86 | -8.79% | 3,585.62 | -9.34% | |
| 21. | 2022. 10. 31. | $94.82 | 15.83% | 3,871.98 | 7.99% | |
| 22. | 2022. 11. 30. | $98.72 | $0.55 | 4.69% | 4,080.11 | 5.38% |
| 23. | 2022. 12. 31. | $100.92 | 2.23% | 3,839.50 | -5.90% | |
| 24. | 2023. 1. 31. | $99.85 | -1.06% | 4,076.60 | 6.18% | |
| 25. | 2023. 2. 28. | $98.09 | $0.55 | -1.21% | 3,970.15 | -2.61% |
| 26. | 2023. 3. 31. | $97.93 | -0.16% | 4,109.31 | 3.51% | |
| 27. | 2023. 4. 30. | $99.90 | 2.01% | 4,169.48 | 1.46% | |
| 28. | 2023. 5. 31. | $92.14 | $0.59 | -7.18% | 4,179.83 | 0.25% |
| 29. | 2023. 6. 30. | $97.96 | 6.32% | 4,376.86 | 4.71% | |
| 30. | 2023. 7. 31. | $87.93 | -10.24% | 4,588.96 | 4.85% | |
| 31. | 2023. 8. 31. | $86.04 | $0.59 | -1.48% | 4,507.66 | -1.77% |
| 32. | 2023. 9. 30. | $71.97 | -16.35% | 4,288.05 | -4.87% | |
| 33. | 2023. 10. 31. | $81.39 | 13.09% | 4,193.80 | -2.20% | |
| 34. | 2023. 11. 30. | $81.48 | $0.59 | 0.84% | 4,567.80 | 8.92% |
| 35. | 2023. 12. 31. | $84.14 | 3.26% | 4,769.83 | 4.42% | |
| 36. | 2024. 1. 31. | $91.12 | 8.30% | 4,845.65 | 1.59% | |
| 37. | 2024. 2. 29. | $89.67 | $0.59 | -0.94% | 5,096.27 | 5.17% |
| 38. | 2024. 3. 31. | $97.53 | 8.77% | 5,254.35 | 3.10% | |
| 39. | 2024. 4. 30. | $101.52 | 4.09% | 5,035.69 | -4.16% | |
| 40. | 2024. 5. 31. | $107.81 | $0.63 | 6.82% | 5,277.51 | 4.80% |
| 41. | 2024. 6. 30. | $100.39 | -6.88% | 5,460.48 | 3.47% | |
| 42. | 2024. 7. 31. | $117.49 | 17.03% | 5,522.30 | 1.13% | |
| 43. | 2024. 8. 31. | $123.34 | $0.63 | 5.52% | 5,648.40 | 2.28% |
| 44. | 2024. 9. 30. | $121.16 | -1.77% | 5,762.48 | 2.02% | |
| 45. | 2024. 10. 31. | $120.99 | -0.14% | 5,705.45 | -0.99% | |
| 46. | 2024. 11. 30. | $121.83 | $0.63 | 1.21% | 6,032.38 | 5.73% |
| 47. | 2024. 12. 31. | $115.72 | -5.02% | 5,881.63 | -2.50% | |
| 48. | 2025. 1. 31. | $128.95 | 11.43% | 6,040.53 | 2.70% | |
| 49. | 2025. 2. 28. | $132.99 | $0.63 | 3.62% | 5,954.50 | -1.42% |
| 50. | 2025. 3. 31. | $132.46 | -0.40% | 5,611.85 | -5.75% | |
| 51. | 2025. 4. 30. | $126.13 | -4.78% | 5,569.06 | -0.76% | |
| 52. | 2025. 5. 31. | $136.48 | $0.68 | 8.74% | 5,911.69 | 6.15% |
| 53. | 2025. 6. 30. | $146.02 | 6.99% | 6,204.95 | 4.96% | |
| 54. | 2025. 7. 31. | $157.57 | 7.91% | 6,339.39 | 2.17% | |
| 55. | 2025. 8. 31. | $158.60 | $0.68 | 1.09% | 6,460.26 | 1.91% |
| 56. | 2025. 9. 30. | $167.33 | 5.50% | 6,688.46 | 3.53% | |
| 57. | 2025. 10. 31. | $178.50 | 6.68% | 6,840.20 | 2.27% | |
| 58. | 2025. 11. 30. | $174.91 | $0.68 | -1.63% | 6,849.09 | 0.13% |
| 59. | 2025. 12. 31. | $183.40 | 4.85% | 6,845.50 | -0.05% | |
| 평균의 (R): | 2.13% | 1.14% | ||||
| 표준 편차: | 6.53% | 4.37% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 RTX의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
RTX Corp., 수익률의 분산 및 공분산 계산
| t | 날짜 | RRTX,t | RS&P 500,t | (RRTX,t–RRTX)2 | (RS&P 500,t–RS&P 500)2 | (RRTX,t–RRTX)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 2. 28. | 8.59% | 2.61% | 41.77 | 2.17 | 9.52 |
| 2. | 2021. 3. 31. | 7.33% | 4.24% | 27.07 | 9.66 | 16.17 |
| 3. | 2021. 4. 30. | 7.73% | 5.24% | 31.30 | 16.86 | 22.97 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | -1.63% | 0.13% | 14.15 | 1.01 | 3.79 |
| 59. | 2025. 12. 31. | 4.85% | -0.05% | 7.41 | 1.41 | -3.24 |
| 합계 (Σ): | 2,473.28 | 1,108.23 | 449.60 | |||
| t | 날짜 | RRTX,t | RS&P 500,t | (RRTX,t–RRTX)2 | (RS&P 500,t–RS&P 500)2 | (RRTX,t–RRTX)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 2. 28. | 8.59% | 2.61% | 41.77 | 2.17 | 9.52 |
| 2. | 2021. 3. 31. | 7.33% | 4.24% | 27.07 | 9.66 | 16.17 |
| 3. | 2021. 4. 30. | 7.73% | 5.24% | 31.30 | 16.86 | 22.97 |
| 4. | 2021. 5. 31. | 7.18% | 0.55% | 25.53 | 0.35 | -2.97 |
| 5. | 2021. 6. 30. | -3.83% | 2.22% | 35.57 | 1.18 | -6.47 |
| 6. | 2021. 7. 31. | 1.92% | 2.27% | 0.04 | 1.30 | -0.24 |
| 7. | 2021. 8. 31. | -1.93% | 2.90% | 16.51 | 3.11 | -7.16 |
| 8. | 2021. 9. 30. | 1.42% | -4.76% | 0.51 | 34.73 | 4.22 |
| 9. | 2021. 10. 31. | 3.37% | 6.91% | 1.54 | 33.39 | 7.18 |
| 10. | 2021. 11. 30. | -8.36% | -0.83% | 110.11 | 3.88 | 20.67 |
| 11. | 2021. 12. 31. | 6.35% | 4.36% | 17.81 | 10.40 | 13.61 |
| 12. | 2022. 1. 31. | 4.80% | -5.26% | 7.11 | 40.89 | -17.06 |
| 13. | 2022. 2. 28. | 14.44% | -3.14% | 151.40 | 18.25 | -52.57 |
| 14. | 2022. 3. 31. | -3.53% | 3.58% | 32.11 | 5.96 | -13.83 |
| 15. | 2022. 4. 30. | -4.20% | -8.80% | 40.08 | 98.64 | 62.88 |
| 16. | 2022. 5. 31. | 0.80% | 0.01% | 1.77 | 1.28 | 1.51 |
| 17. | 2022. 6. 30. | 1.04% | -8.39% | 1.19 | 90.79 | 10.39 |
| 18. | 2022. 7. 31. | -3.02% | 9.11% | 26.51 | 63.61 | -41.07 |
| 19. | 2022. 8. 31. | -3.12% | -4.24% | 27.60 | 28.95 | 28.27 |
| 20. | 2022. 9. 30. | -8.79% | -9.34% | 119.31 | 109.74 | 114.42 |
| 21. | 2022. 10. 31. | 15.83% | 7.99% | 187.70 | 46.93 | 93.85 |
| 22. | 2022. 11. 30. | 4.69% | 5.38% | 6.56 | 17.97 | 10.86 |
| 23. | 2022. 12. 31. | 2.23% | -5.90% | 0.01 | 49.47 | -0.68 |
| 24. | 2023. 1. 31. | -1.06% | 6.18% | 10.19 | 25.39 | -16.08 |
| 25. | 2023. 2. 28. | -1.21% | -2.61% | 11.18 | 14.04 | 12.53 |
| 26. | 2023. 3. 31. | -0.16% | 3.51% | 5.27 | 5.61 | -5.44 |
| 27. | 2023. 4. 30. | 2.01% | 1.46% | 0.01 | 0.11 | -0.04 |
| 28. | 2023. 5. 31. | -7.18% | 0.25% | 86.66 | 0.79 | 8.27 |
| 29. | 2023. 6. 30. | 6.32% | 4.71% | 17.51 | 12.80 | 14.97 |
| 30. | 2023. 7. 31. | -10.24% | 4.85% | 153.03 | 13.76 | -45.89 |
| 31. | 2023. 8. 31. | -1.48% | -1.77% | 13.03 | 8.46 | 10.50 |
| 32. | 2023. 9. 30. | -16.35% | -4.87% | 341.68 | 36.10 | 111.06 |
| 33. | 2023. 10. 31. | 13.09% | -2.20% | 120.06 | 11.12 | -36.53 |
| 34. | 2023. 11. 30. | 0.84% | 8.92% | 1.68 | 60.56 | -10.09 |
| 35. | 2023. 12. 31. | 3.26% | 4.42% | 1.28 | 10.80 | 3.72 |
| 36. | 2024. 1. 31. | 8.30% | 1.59% | 37.99 | 0.21 | 2.80 |
| 37. | 2024. 2. 29. | -0.94% | 5.17% | 9.46 | 16.29 | -12.41 |
| 38. | 2024. 3. 31. | 8.77% | 3.10% | 44.01 | 3.86 | 13.04 |
| 39. | 2024. 4. 30. | 4.09% | -4.16% | 3.84 | 28.06 | -10.38 |
| 40. | 2024. 5. 31. | 6.82% | 4.80% | 21.95 | 13.44 | 17.17 |
| 41. | 2024. 6. 30. | -6.88% | 3.47% | 81.26 | 5.43 | -21.01 |
| 42. | 2024. 7. 31. | 17.03% | 1.13% | 222.07 | 0.00 | -0.06 |
| 43. | 2024. 8. 31. | 5.52% | 2.28% | 11.45 | 1.32 | 3.88 |
| 44. | 2024. 9. 30. | -1.77% | 2.02% | 15.20 | 0.78 | -3.45 |
| 45. | 2024. 10. 31. | -0.14% | -0.99% | 5.16 | 4.52 | 4.83 |
| 46. | 2024. 11. 30. | 1.21% | 5.73% | 0.84 | 21.10 | -4.21 |
| 47. | 2024. 12. 31. | -5.02% | -2.50% | 51.08 | 13.21 | 25.98 |
| 48. | 2025. 1. 31. | 11.43% | 2.70% | 86.51 | 2.45 | 14.56 |
| 49. | 2025. 2. 28. | 3.62% | -1.42% | 2.22 | 6.56 | -3.81 |
| 50. | 2025. 3. 31. | -0.40% | -5.75% | 6.40 | 47.48 | 17.43 |
| 51. | 2025. 4. 30. | -4.78% | -0.76% | 47.76 | 3.60 | 13.12 |
| 52. | 2025. 5. 31. | 8.74% | 6.15% | 43.73 | 25.16 | 33.17 |
| 53. | 2025. 6. 30. | 6.99% | 4.96% | 23.60 | 14.63 | 18.58 |
| 54. | 2025. 7. 31. | 7.91% | 2.17% | 33.39 | 1.06 | 5.95 |
| 55. | 2025. 8. 31. | 1.09% | 1.91% | 1.10 | 0.59 | -0.81 |
| 56. | 2025. 9. 30. | 5.50% | 3.53% | 11.38 | 5.74 | 8.08 |
| 57. | 2025. 10. 31. | 6.68% | 2.27% | 20.65 | 1.28 | 5.15 |
| 58. | 2025. 11. 30. | -1.63% | 0.13% | 14.15 | 1.01 | 3.79 |
| 59. | 2025. 12. 31. | 4.85% | -0.05% | 7.41 | 1.41 | -3.24 |
| 합계 (Σ): | 2,473.28 | 1,108.23 | 449.60 | |||
모두 보기
분산RTX = Σ(RRTX,t–RRTX)2 ÷ (59 – 1)
= 2,473.28 ÷ (59 – 1)
= 42.64
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
공분산RTX, S&P 500 = Σ(RRTX,t–RRTX)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 449.60 ÷ (59 – 1)
= 7.75
체계적인 위험 추정 (β)
| 분산RTX | 42.64 |
| 분산S&P 500 | 19.11 |
| 공분산RTX, S&P 500 | 7.75 |
| 상관 계수RTX, S&P 5001 | 0.27 |
| βRTX2 | 0.41 |
| αRTX3 | 1.67% |
계산
1 상관 계수RTX, S&P 500
= 공분산RTX, S&P 500 ÷ (표준 편차RTX × 표준 편차S&P 500)
= 7.75 ÷ (6.53% × 4.37%)
= 0.27
2 βRTX
= 공분산RTX, S&P 500 ÷ 분산S&P 500
= 7.75 ÷ 19.11
= 0.41
3 αRTX
= 평균의RTX – βRTX × 평균의S&P 500
= 2.13% – 0.41 × 1.14%
= 1.67%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.79% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.38% |
| 보통주의 체계적 위험RTX | βRTX | 0.41 |
| RTX 보통주에 대한 예상 수익률3 | E(RRTX) | 9.90% |
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(RRTX) = RF + βRTX [E(RM) – RF]
= 4.79% + 0.41 [17.38% – 4.79%]
= 9.90%