자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Salesforce보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Salesforce Inc., 월별 수익률
| Salesforce Inc. (CRM) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값CRM,t1 | 피제수CRM,t1 | RCRM,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 2. 29. | $170.40 | 2,954.22 | ||||
| 1. | 2020. 3. 31. | $143.98 | -15.50% | 2,584.59 | -12.51% | |
| 2. | 2020. 4. 30. | $161.95 | 12.48% | 2,912.43 | 12.68% | |
| 3. | 2020. 5. 31. | $174.79 | 7.93% | 3,044.31 | 4.53% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 12. 31. | $264.91 | $0.416 | 15.09% | 6,845.50 | -0.05% |
| 71. | 2026. 1. 31. | $212.29 | -19.86% | 6,939.03 | 1.37% | |
| 평균의 (R): | 0.89% | 1.33% | ||||
| 표준 편차: | 10.97% | 4.83% | ||||
| Salesforce Inc. (CRM) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값CRM,t1 | 피제수CRM,t1 | RCRM,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 2. 29. | $170.40 | 2,954.22 | ||||
| 1. | 2020. 3. 31. | $143.98 | -15.50% | 2,584.59 | -12.51% | |
| 2. | 2020. 4. 30. | $161.95 | 12.48% | 2,912.43 | 12.68% | |
| 3. | 2020. 5. 31. | $174.79 | 7.93% | 3,044.31 | 4.53% | |
| 4. | 2020. 6. 30. | $187.33 | 7.17% | 3,100.29 | 1.84% | |
| 5. | 2020. 7. 31. | $194.85 | 4.01% | 3,271.12 | 5.51% | |
| 6. | 2020. 8. 31. | $272.65 | 39.93% | 3,500.31 | 7.01% | |
| 7. | 2020. 9. 30. | $251.32 | -7.82% | 3,363.00 | -3.92% | |
| 8. | 2020. 10. 31. | $232.27 | -7.58% | 3,269.96 | -2.77% | |
| 9. | 2020. 11. 30. | $245.80 | 5.83% | 3,621.63 | 10.75% | |
| 10. | 2020. 12. 31. | $222.53 | -9.47% | 3,756.07 | 3.71% | |
| 11. | 2021. 1. 31. | $225.56 | 1.36% | 3,714.24 | -1.11% | |
| 12. | 2021. 2. 28. | $216.50 | -4.02% | 3,811.15 | 2.61% | |
| 13. | 2021. 3. 31. | $211.87 | -2.14% | 3,972.89 | 4.24% | |
| 14. | 2021. 4. 30. | $230.32 | 8.71% | 4,181.17 | 5.24% | |
| 15. | 2021. 5. 31. | $238.10 | 3.38% | 4,204.11 | 0.55% | |
| 16. | 2021. 6. 30. | $244.27 | 2.59% | 4,297.50 | 2.22% | |
| 17. | 2021. 7. 31. | $241.93 | -0.96% | 4,395.26 | 2.27% | |
| 18. | 2021. 8. 31. | $265.27 | 9.65% | 4,522.68 | 2.90% | |
| 19. | 2021. 9. 30. | $271.22 | 2.24% | 4,307.54 | -4.76% | |
| 20. | 2021. 10. 31. | $299.69 | 10.50% | 4,605.38 | 6.91% | |
| 21. | 2021. 11. 30. | $284.96 | -4.92% | 4,567.00 | -0.83% | |
| 22. | 2021. 12. 31. | $254.13 | -10.82% | 4,766.18 | 4.36% | |
| 23. | 2022. 1. 31. | $232.63 | -8.46% | 4,515.55 | -5.26% | |
| 24. | 2022. 2. 28. | $210.53 | -9.50% | 4,373.94 | -3.14% | |
| 25. | 2022. 3. 31. | $212.32 | 0.85% | 4,530.41 | 3.58% | |
| 26. | 2022. 4. 30. | $175.94 | -17.13% | 4,131.93 | -8.80% | |
| 27. | 2022. 5. 31. | $160.24 | -8.92% | 4,132.15 | 0.01% | |
| 28. | 2022. 6. 30. | $165.04 | 3.00% | 3,785.38 | -8.39% | |
| 29. | 2022. 7. 31. | $184.02 | 11.50% | 4,130.29 | 9.11% | |
| 30. | 2022. 8. 31. | $156.12 | -15.16% | 3,955.00 | -4.24% | |
| 31. | 2022. 9. 30. | $143.84 | -7.87% | 3,585.62 | -9.34% | |
| 32. | 2022. 10. 31. | $162.59 | 13.04% | 3,871.98 | 7.99% | |
| 33. | 2022. 11. 30. | $160.25 | -1.44% | 4,080.11 | 5.38% | |
| 34. | 2022. 12. 31. | $132.59 | -17.26% | 3,839.50 | -5.90% | |
| 35. | 2023. 1. 31. | $167.97 | 26.68% | 4,076.60 | 6.18% | |
| 36. | 2023. 2. 28. | $163.61 | -2.60% | 3,970.15 | -2.61% | |
| 37. | 2023. 3. 31. | $199.78 | 22.11% | 4,109.31 | 3.51% | |
| 38. | 2023. 4. 30. | $198.37 | -0.71% | 4,169.48 | 1.46% | |
| 39. | 2023. 5. 31. | $223.38 | 12.61% | 4,179.83 | 0.25% | |
| 40. | 2023. 6. 30. | $211.26 | -5.43% | 4,376.86 | 4.71% | |
| 41. | 2023. 7. 31. | $225.01 | 6.51% | 4,588.96 | 4.85% | |
| 42. | 2023. 8. 31. | $221.46 | -1.58% | 4,507.66 | -1.77% | |
| 43. | 2023. 9. 30. | $202.78 | -8.43% | 4,288.05 | -4.87% | |
| 44. | 2023. 10. 31. | $200.83 | -0.96% | 4,193.80 | -2.20% | |
| 45. | 2023. 11. 30. | $251.90 | 25.43% | 4,567.80 | 8.92% | |
| 46. | 2023. 12. 31. | $263.14 | 4.46% | 4,769.83 | 4.42% | |
| 47. | 2024. 1. 31. | $281.09 | 6.82% | 4,845.65 | 1.59% | |
| 48. | 2024. 2. 29. | $308.82 | 9.87% | 5,096.27 | 5.17% | |
| 49. | 2024. 3. 31. | $301.18 | $0.40 | -2.34% | 5,254.35 | 3.10% |
| 50. | 2024. 4. 30. | $268.94 | -10.70% | 5,035.69 | -4.16% | |
| 51. | 2024. 5. 31. | $234.44 | -12.83% | 5,277.51 | 4.80% | |
| 52. | 2024. 6. 30. | $257.10 | 9.67% | 5,460.48 | 3.47% | |
| 53. | 2024. 7. 31. | $258.80 | $0.40 | 0.82% | 5,522.30 | 1.13% |
| 54. | 2024. 8. 31. | $252.90 | -2.28% | 5,648.40 | 2.28% | |
| 55. | 2024. 9. 30. | $273.71 | $0.40 | 8.39% | 5,762.48 | 2.02% |
| 56. | 2024. 10. 31. | $291.37 | 6.45% | 5,705.45 | -0.99% | |
| 57. | 2024. 11. 30. | $329.99 | 13.25% | 6,032.38 | 5.73% | |
| 58. | 2024. 12. 31. | $334.33 | $0.40 | 1.44% | 5,881.63 | -2.50% |
| 59. | 2025. 1. 31. | $341.70 | 2.20% | 6,040.53 | 2.70% | |
| 60. | 2025. 2. 28. | $297.85 | -12.83% | 5,954.50 | -1.42% | |
| 61. | 2025. 3. 31. | $268.36 | -9.90% | 5,611.85 | -5.75% | |
| 62. | 2025. 4. 30. | $268.71 | $0.416 | 0.29% | 5,569.06 | -0.76% |
| 63. | 2025. 5. 31. | $265.37 | -1.24% | 5,911.69 | 6.15% | |
| 64. | 2025. 6. 30. | $272.69 | $0.416 | 2.92% | 6,204.95 | 4.96% |
| 65. | 2025. 7. 31. | $258.33 | -5.27% | 6,339.39 | 2.17% | |
| 66. | 2025. 8. 31. | $256.25 | -0.81% | 6,460.26 | 1.91% | |
| 67. | 2025. 9. 30. | $237.00 | $0.416 | -7.35% | 6,688.46 | 3.53% |
| 68. | 2025. 10. 31. | $260.41 | 9.88% | 6,840.20 | 2.27% | |
| 69. | 2025. 11. 30. | $230.54 | -11.47% | 6,849.09 | 0.13% | |
| 70. | 2025. 12. 31. | $264.91 | $0.416 | 15.09% | 6,845.50 | -0.05% |
| 71. | 2026. 1. 31. | $212.29 | -19.86% | 6,939.03 | 1.37% | |
| 평균의 (R): | 0.89% | 1.33% | ||||
| 표준 편차: | 10.97% | 4.83% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 t 기간 동안 CRM의 보통주 수익률
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Salesforce Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RCRM,t | RS&P 500,t | (RCRM,t–RCRM)2 | (RS&P 500,t–RS&P 500)2 | (RCRM,t–RCRM)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020. 3. 31. | -15.50% | -12.51% | 268.92 | 191.48 | 226.92 |
| 2. | 2020. 4. 30. | 12.48% | 12.68% | 134.26 | 129.02 | 131.61 |
| 3. | 2020. 5. 31. | 7.93% | 4.53% | 49.48 | 10.26 | 22.53 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 12. 31. | 15.09% | -0.05% | 201.50 | 1.90 | -19.56 |
| 71. | 2026. 1. 31. | -19.86% | 1.37% | 430.87 | 0.00 | -0.84 |
| 합계 (Σ): | 8,420.78 | 1,636.00 | 2,159.89 | |||
| t | 날짜 | RCRM,t | RS&P 500,t | (RCRM,t–RCRM)2 | (RS&P 500,t–RS&P 500)2 | (RCRM,t–RCRM)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020. 3. 31. | -15.50% | -12.51% | 268.92 | 191.48 | 226.92 |
| 2. | 2020. 4. 30. | 12.48% | 12.68% | 134.26 | 129.02 | 131.61 |
| 3. | 2020. 5. 31. | 7.93% | 4.53% | 49.48 | 10.26 | 22.53 |
| 4. | 2020. 6. 30. | 7.17% | 1.84% | 39.44 | 0.26 | 3.22 |
| 5. | 2020. 7. 31. | 4.01% | 5.51% | 9.74 | 17.51 | 13.06 |
| 6. | 2020. 8. 31. | 39.93% | 7.01% | 1,523.67 | 32.27 | 221.75 |
| 7. | 2020. 9. 30. | -7.82% | -3.92% | 75.99 | 27.55 | 45.75 |
| 8. | 2020. 10. 31. | -7.58% | -2.77% | 71.81 | 16.75 | 34.68 |
| 9. | 2020. 11. 30. | 5.83% | 10.75% | 24.32 | 88.91 | 46.50 |
| 10. | 2020. 12. 31. | -9.47% | 3.71% | 107.35 | 5.70 | -24.73 |
| 11. | 2021. 1. 31. | 1.36% | -1.11% | 0.22 | 5.95 | -1.14 |
| 12. | 2021. 2. 28. | -4.02% | 2.61% | 24.11 | 1.65 | -6.30 |
| 13. | 2021. 3. 31. | -2.14% | 4.24% | 9.20 | 8.52 | -8.85 |
| 14. | 2021. 4. 30. | 8.71% | 5.24% | 61.06 | 15.34 | 30.61 |
| 15. | 2021. 5. 31. | 3.38% | 0.55% | 6.17 | 0.60 | -1.93 |
| 16. | 2021. 6. 30. | 2.59% | 2.22% | 2.88 | 0.80 | 1.52 |
| 17. | 2021. 7. 31. | -0.96% | 2.27% | 3.43 | 0.90 | -1.76 |
| 18. | 2021. 8. 31. | 9.65% | 2.90% | 76.62 | 2.48 | 13.77 |
| 19. | 2021. 9. 30. | 2.24% | -4.76% | 1.82 | 37.00 | -8.21 |
| 20. | 2021. 10. 31. | 10.50% | 6.91% | 92.22 | 31.23 | 53.67 |
| 21. | 2021. 11. 30. | -4.92% | -0.83% | 33.74 | 4.66 | 12.54 |
| 22. | 2021. 12. 31. | -10.82% | 4.36% | 137.19 | 9.22 | -35.56 |
| 23. | 2022. 1. 31. | -8.46% | -5.26% | 87.50 | 43.35 | 61.59 |
| 24. | 2022. 2. 28. | -9.50% | -3.14% | 108.04 | 19.91 | 46.37 |
| 25. | 2022. 3. 31. | 0.85% | 3.58% | 0.00 | 5.07 | -0.10 |
| 26. | 2022. 4. 30. | -17.13% | -8.80% | 325.03 | 102.44 | 182.47 |
| 27. | 2022. 5. 31. | -8.92% | 0.01% | 96.38 | 1.74 | 12.96 |
| 28. | 2022. 6. 30. | 3.00% | -8.39% | 4.42 | 94.43 | -20.42 |
| 29. | 2022. 7. 31. | 11.50% | 9.11% | 112.49 | 60.62 | 82.58 |
| 30. | 2022. 8. 31. | -15.16% | -4.24% | 257.77 | 31.02 | 89.42 |
| 31. | 2022. 9. 30. | -7.87% | -9.34% | 76.73 | 113.75 | 93.42 |
| 32. | 2022. 10. 31. | 13.04% | 7.99% | 147.41 | 44.37 | 80.87 |
| 33. | 2022. 11. 30. | -1.44% | 5.38% | 5.44 | 16.40 | -9.45 |
| 34. | 2022. 12. 31. | -17.26% | -5.90% | 329.59 | 52.17 | 131.13 |
| 35. | 2023. 1. 31. | 26.68% | 6.18% | 665.11 | 23.52 | 125.07 |
| 36. | 2023. 2. 28. | -2.60% | -2.61% | 12.18 | 15.50 | 13.74 |
| 37. | 2023. 3. 31. | 22.11% | 3.51% | 450.01 | 4.75 | 46.24 |
| 38. | 2023. 4. 30. | -0.71% | 1.46% | 2.56 | 0.02 | -0.22 |
| 39. | 2023. 5. 31. | 12.61% | 0.25% | 137.21 | 1.16 | -12.62 |
| 40. | 2023. 6. 30. | -5.43% | 4.71% | 39.94 | 11.48 | -21.41 |
| 41. | 2023. 7. 31. | 6.51% | 4.85% | 31.52 | 12.39 | 19.77 |
| 42. | 2023. 8. 31. | -1.58% | -1.77% | 6.11 | 9.59 | 7.66 |
| 43. | 2023. 9. 30. | -8.43% | -4.87% | 87.03 | 38.41 | 57.82 |
| 44. | 2023. 10. 31. | -0.96% | -2.20% | 3.44 | 12.42 | 6.54 |
| 45. | 2023. 11. 30. | 25.43% | 8.92% | 601.99 | 57.64 | 186.28 |
| 46. | 2023. 12. 31. | 4.46% | 4.42% | 12.73 | 9.59 | 11.05 |
| 47. | 2024. 1. 31. | 6.82% | 1.59% | 35.14 | 0.07 | 1.56 |
| 48. | 2024. 2. 29. | 9.87% | 5.17% | 80.48 | 14.80 | 34.51 |
| 49. | 2024. 3. 31. | -2.34% | 3.10% | 10.49 | 3.16 | -5.75 |
| 50. | 2024. 4. 30. | -10.70% | -4.16% | 134.53 | 30.11 | 63.64 |
| 51. | 2024. 5. 31. | -12.83% | 4.80% | 188.30 | 12.09 | -47.71 |
| 52. | 2024. 6. 30. | 9.67% | 3.47% | 76.94 | 4.59 | 18.78 |
| 53. | 2024. 7. 31. | 0.82% | 1.13% | 0.01 | 0.04 | 0.01 |
| 54. | 2024. 8. 31. | -2.28% | 2.28% | 10.07 | 0.92 | -3.04 |
| 55. | 2024. 9. 30. | 8.39% | 2.02% | 56.14 | 0.48 | 5.20 |
| 56. | 2024. 10. 31. | 6.45% | -0.99% | 30.89 | 5.36 | -12.87 |
| 57. | 2024. 11. 30. | 13.25% | 5.73% | 152.79 | 19.40 | 54.44 |
| 58. | 2024. 12. 31. | 1.44% | -2.50% | 0.29 | 14.63 | -2.07 |
| 59. | 2025. 1. 31. | 2.20% | 2.70% | 1.72 | 1.89 | 1.80 |
| 60. | 2025. 2. 28. | -12.83% | -1.42% | 188.43 | 7.56 | 37.75 |
| 61. | 2025. 3. 31. | -9.90% | -5.75% | 116.53 | 50.13 | 76.43 |
| 62. | 2025. 4. 30. | 0.29% | -0.76% | 0.37 | 4.36 | 1.27 |
| 63. | 2025. 5. 31. | -1.24% | 6.15% | 4.57 | 23.30 | -10.31 |
| 64. | 2025. 6. 30. | 2.92% | 4.96% | 4.09 | 13.21 | 7.35 |
| 65. | 2025. 7. 31. | -5.27% | 2.17% | 37.95 | 0.71 | -5.18 |
| 66. | 2025. 8. 31. | -0.81% | 1.91% | 2.89 | 0.34 | -0.99 |
| 67. | 2025. 9. 30. | -7.35% | 3.53% | 67.96 | 4.87 | -18.19 |
| 68. | 2025. 10. 31. | 9.88% | 2.27% | 80.71 | 0.89 | 8.47 |
| 69. | 2025. 11. 30. | -11.47% | 0.13% | 152.88 | 1.43 | 14.78 |
| 70. | 2025. 12. 31. | 15.09% | -0.05% | 201.50 | 1.90 | -19.56 |
| 71. | 2026. 1. 31. | -19.86% | 1.37% | 430.87 | 0.00 | -0.84 |
| 합계 (Σ): | 8,420.78 | 1,636.00 | 2,159.89 | |||
모두 보기
분산CRM = Σ(RCRM,t–RCRM)2 ÷ (71 – 1)
= 8,420.78 ÷ (71 – 1)
= 120.30
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,636.00 ÷ (71 – 1)
= 23.37
공분산CRM, S&P 500 = Σ(RCRM,t–RCRM)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,159.89 ÷ (71 – 1)
= 30.86
체계적인 위험 추정 (β)
| 분산CRM | 120.30 |
| 분산S&P 500 | 23.37 |
| 공분산CRM, S&P 500 | 30.86 |
| 상관 계수CRM, S&P 5001 | 0.58 |
| βCRM2 | 1.32 |
| αCRM3 | -0.86% |
계산
1 상관 계수CRM, S&P 500
= 공분산CRM, S&P 500 ÷ (표준 편차CRM × 표준 편차S&P 500)
= 30.86 ÷ (10.97% × 4.83%)
= 0.58
2 βCRM
= 공분산CRM, S&P 500 ÷ 분산S&P 500
= 30.86 ÷ 23.37
= 1.32
3 αCRM
= 평균의CRM – βCRM × 평균의S&P 500
= 0.89% – 1.32 × 1.33%
= -0.86%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.54% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.37% |
| 보통주의 체계적 위험Salesforce | βCRM | 1.32 |
| Salesforce 보통주에 대한 예상 수익률3 | E(RCRM) | 21.47% |
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(RCRM) = RF + βCRM [E(RM) – RF]
= 4.54% + 1.32 [17.37% – 4.54%]
= 21.47%