자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Sherwin-Williams보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Sherwin-Williams Co., 월별 수익률
| Sherwin-Williams Co. (SHW) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값SHW,t1 | 피제수SHW,t1 | RSHW,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 1. 31. | $185.66 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $172.25 | $0.4467 | -6.98% | 2,954.22 | -8.41% |
| 2. | 2020. 3. 31. | $153.17 | -11.08% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $178.79 | 16.73% | 2,912.43 | 12.68% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | $397.40 | $0.715 | 10.97% | 6,032.38 | 5.73% |
| 59. | 2024. 12. 31. | $339.93 | -14.46% | 5,881.63 | -2.50% | |
| 평균의 (R): | 1.49% | 1.16% | ||||
| 표준 편차: | 8.85% | 5.28% | ||||
| Sherwin-Williams Co. (SHW) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값SHW,t1 | 피제수SHW,t1 | RSHW,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 1. 31. | $185.66 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $172.25 | $0.4467 | -6.98% | 2,954.22 | -8.41% |
| 2. | 2020. 3. 31. | $153.17 | -11.08% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $178.79 | 16.73% | 2,912.43 | 12.68% | |
| 4. | 2020. 5. 31. | $197.95 | $0.4467 | 10.97% | 3,044.31 | 4.53% |
| 5. | 2020. 6. 30. | $192.62 | -2.69% | 3,100.29 | 1.84% | |
| 6. | 2020. 7. 31. | $215.97 | 12.12% | 3,271.12 | 5.51% | |
| 7. | 2020. 8. 31. | $223.68 | $0.4467 | 3.78% | 3,500.31 | 7.01% |
| 8. | 2020. 9. 30. | $232.25 | 3.83% | 3,363.00 | -3.92% | |
| 9. | 2020. 10. 31. | $229.33 | -1.26% | 3,269.96 | -2.77% | |
| 10. | 2020. 11. 30. | $249.21 | $0.4467 | 8.86% | 3,621.63 | 10.75% |
| 11. | 2020. 12. 31. | $244.97 | -1.70% | 3,756.07 | 3.71% | |
| 12. | 2021. 1. 31. | $230.60 | -5.87% | 3,714.24 | -1.11% | |
| 13. | 2021. 2. 28. | $226.78 | $0.55 | -1.42% | 3,811.15 | 2.61% |
| 14. | 2021. 3. 31. | $246.00 | 8.48% | 3,972.89 | 4.24% | |
| 15. | 2021. 4. 30. | $273.87 | 11.33% | 4,181.17 | 5.24% | |
| 16. | 2021. 5. 31. | $283.53 | $0.55 | 3.73% | 4,204.11 | 0.55% |
| 17. | 2021. 6. 30. | $272.45 | -3.91% | 4,297.50 | 2.22% | |
| 18. | 2021. 7. 31. | $291.03 | 6.82% | 4,395.26 | 2.27% | |
| 19. | 2021. 8. 31. | $303.67 | $0.55 | 4.53% | 4,522.68 | 2.90% |
| 20. | 2021. 9. 30. | $279.73 | -7.88% | 4,307.54 | -4.76% | |
| 21. | 2021. 10. 31. | $316.61 | 13.18% | 4,605.38 | 6.91% | |
| 22. | 2021. 11. 30. | $331.24 | $0.55 | 4.79% | 4,567.00 | -0.83% |
| 23. | 2021. 12. 31. | $352.16 | 6.32% | 4,766.18 | 4.36% | |
| 24. | 2022. 1. 31. | $286.51 | -18.64% | 4,515.55 | -5.26% | |
| 25. | 2022. 2. 28. | $263.13 | $0.60 | -7.95% | 4,373.94 | -3.14% |
| 26. | 2022. 3. 31. | $249.62 | -5.13% | 4,530.41 | 3.58% | |
| 27. | 2022. 4. 30. | $274.96 | 10.15% | 4,131.93 | -8.80% | |
| 28. | 2022. 5. 31. | $268.04 | $0.60 | -2.30% | 4,132.15 | 0.01% |
| 29. | 2022. 6. 30. | $223.91 | -16.46% | 3,785.38 | -8.39% | |
| 30. | 2022. 7. 31. | $241.94 | 8.05% | 4,130.29 | 9.11% | |
| 31. | 2022. 8. 31. | $232.10 | $0.60 | -3.82% | 3,955.00 | -4.24% |
| 32. | 2022. 9. 30. | $204.75 | -11.78% | 3,585.62 | -9.34% | |
| 33. | 2022. 10. 31. | $225.03 | 9.90% | 3,871.98 | 7.99% | |
| 34. | 2022. 11. 30. | $249.18 | $0.60 | 11.00% | 4,080.11 | 5.38% |
| 35. | 2022. 12. 31. | $237.33 | -4.76% | 3,839.50 | -5.90% | |
| 36. | 2023. 1. 31. | $236.59 | -0.31% | 4,076.60 | 6.18% | |
| 37. | 2023. 2. 28. | $221.35 | $0.605 | -6.19% | 3,970.15 | -2.61% |
| 38. | 2023. 3. 31. | $224.77 | 1.55% | 4,109.31 | 3.51% | |
| 39. | 2023. 4. 30. | $237.54 | 5.68% | 4,169.48 | 1.46% | |
| 40. | 2023. 5. 31. | $227.78 | $0.605 | -3.85% | 4,179.83 | 0.25% |
| 41. | 2023. 6. 30. | $265.52 | 16.57% | 4,376.86 | 4.71% | |
| 42. | 2023. 7. 31. | $276.50 | 4.14% | 4,588.96 | 4.85% | |
| 43. | 2023. 8. 31. | $271.72 | $0.605 | -1.51% | 4,507.66 | -1.77% |
| 44. | 2023. 9. 30. | $255.05 | -6.13% | 4,288.05 | -4.87% | |
| 45. | 2023. 10. 31. | $238.21 | -6.60% | 4,193.80 | -2.20% | |
| 46. | 2023. 11. 30. | $278.80 | $0.605 | 17.29% | 4,567.80 | 8.92% |
| 47. | 2023. 12. 31. | $311.90 | 11.87% | 4,769.83 | 4.42% | |
| 48. | 2024. 1. 31. | $304.38 | -2.41% | 4,845.65 | 1.59% | |
| 49. | 2024. 2. 29. | $332.03 | $0.715 | 9.32% | 5,096.27 | 5.17% |
| 50. | 2024. 3. 31. | $347.33 | 4.61% | 5,254.35 | 3.10% | |
| 51. | 2024. 4. 30. | $299.61 | -13.74% | 5,035.69 | -4.16% | |
| 52. | 2024. 5. 31. | $303.80 | $0.715 | 1.64% | 5,277.51 | 4.80% |
| 53. | 2024. 6. 30. | $298.43 | -1.77% | 5,460.48 | 3.47% | |
| 54. | 2024. 7. 31. | $350.80 | 17.55% | 5,522.30 | 1.13% | |
| 55. | 2024. 8. 31. | $369.37 | $0.715 | 5.50% | 5,648.40 | 2.28% |
| 56. | 2024. 9. 30. | $381.67 | 3.33% | 5,762.48 | 2.02% | |
| 57. | 2024. 10. 31. | $358.77 | -6.00% | 5,705.45 | -0.99% | |
| 58. | 2024. 11. 30. | $397.40 | $0.715 | 10.97% | 6,032.38 | 5.73% |
| 59. | 2024. 12. 31. | $339.93 | -14.46% | 5,881.63 | -2.50% | |
| 평균의 (R): | 1.49% | 1.16% | ||||
| 표준 편차: | 8.85% | 5.28% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 t기간 동안 SHW의 보통주 수익률
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Sherwin-Williams Co., 수익률의 분산 및 공분산 계산
| t | 날짜 | RSHW,t | RS&P 500,t | (RSHW,t–RSHW)2 | (RS&P 500,t–RS&P 500)2 | (RSHW,t–RSHW)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020. 2. 29. | -6.98% | -8.41% | 71.79 | 91.63 | 81.11 |
| 2. | 2020. 3. 31. | -11.08% | -12.51% | 157.95 | 186.96 | 171.84 |
| 3. | 2020. 4. 30. | 16.73% | 12.68% | 232.12 | 132.78 | 175.56 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | 10.97% | 5.73% | 89.79 | 20.87 | 43.29 |
| 59. | 2024. 12. 31. | -14.46% | -2.50% | 254.48 | 13.40 | 58.39 |
| 합계 (Σ): | 4,540.81 | 1,618.62 | 1,955.13 | |||
| t | 날짜 | RSHW,t | RS&P 500,t | (RSHW,t–RSHW)2 | (RS&P 500,t–RS&P 500)2 | (RSHW,t–RSHW)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020. 2. 29. | -6.98% | -8.41% | 71.79 | 91.63 | 81.11 |
| 2. | 2020. 3. 31. | -11.08% | -12.51% | 157.95 | 186.96 | 171.84 |
| 3. | 2020. 4. 30. | 16.73% | 12.68% | 232.12 | 132.78 | 175.56 |
| 4. | 2020. 5. 31. | 10.97% | 4.53% | 89.78 | 11.34 | 31.90 |
| 5. | 2020. 6. 30. | -2.69% | 1.84% | 17.50 | 0.46 | -2.83 |
| 6. | 2020. 7. 31. | 12.12% | 5.51% | 113.03 | 18.91 | 46.23 |
| 7. | 2020. 8. 31. | 3.78% | 7.01% | 5.23 | 34.17 | 13.36 |
| 8. | 2020. 9. 30. | 3.83% | -3.92% | 5.48 | 25.85 | -11.90 |
| 9. | 2020. 10. 31. | -1.26% | -2.77% | 7.55 | 15.43 | 10.79 |
| 10. | 2020. 11. 30. | 8.86% | 10.75% | 54.36 | 92.03 | 70.73 |
| 11. | 2020. 12. 31. | -1.70% | 3.71% | 10.19 | 6.51 | -8.14 |
| 12. | 2021. 1. 31. | -5.87% | -1.11% | 54.12 | 5.18 | 16.74 |
| 13. | 2021. 2. 28. | -1.42% | 2.61% | 8.46 | 2.10 | -4.21 |
| 14. | 2021. 3. 31. | 8.48% | 4.24% | 48.78 | 9.50 | 21.53 |
| 15. | 2021. 4. 30. | 11.33% | 5.24% | 96.79 | 16.66 | 40.15 |
| 16. | 2021. 5. 31. | 3.73% | 0.55% | 5.00 | 0.38 | -1.37 |
| 17. | 2021. 6. 30. | -3.91% | 2.22% | 29.15 | 1.12 | -5.72 |
| 18. | 2021. 7. 31. | 6.82% | 2.27% | 28.40 | 1.24 | 5.93 |
| 19. | 2021. 8. 31. | 4.53% | 2.90% | 9.25 | 3.02 | 5.29 |
| 20. | 2021. 9. 30. | -7.88% | -4.76% | 87.88 | 35.02 | 55.48 |
| 21. | 2021. 10. 31. | 13.18% | 6.91% | 136.73 | 33.10 | 67.27 |
| 22. | 2021. 11. 30. | 4.79% | -0.83% | 10.91 | 3.98 | -6.59 |
| 23. | 2021. 12. 31. | 6.32% | 4.36% | 23.28 | 10.24 | 15.44 |
| 24. | 2022. 1. 31. | -18.64% | -5.26% | 405.34 | 41.21 | 129.25 |
| 25. | 2022. 2. 28. | -7.95% | -3.14% | 89.15 | 18.47 | 40.57 |
| 26. | 2022. 3. 31. | -5.13% | 3.58% | 43.89 | 5.84 | -16.01 |
| 27. | 2022. 4. 30. | 10.15% | -8.80% | 75.00 | 99.14 | -86.23 |
| 28. | 2022. 5. 31. | -2.30% | 0.01% | 14.36 | 1.34 | 4.38 |
| 29. | 2022. 6. 30. | -16.46% | -8.39% | 322.38 | 91.26 | 171.53 |
| 30. | 2022. 7. 31. | 8.05% | 9.11% | 43.05 | 63.21 | 52.17 |
| 31. | 2022. 8. 31. | -3.82% | -4.24% | 28.20 | 29.22 | 28.70 |
| 32. | 2022. 9. 30. | -11.78% | -9.34% | 176.22 | 110.27 | 139.39 |
| 33. | 2022. 10. 31. | 9.90% | 7.99% | 70.79 | 46.58 | 57.43 |
| 34. | 2022. 11. 30. | 11.00% | 5.38% | 90.40 | 17.76 | 40.07 |
| 35. | 2022. 12. 31. | -4.76% | -5.90% | 39.02 | 49.82 | 44.09 |
| 36. | 2023. 1. 31. | -0.31% | 6.18% | 3.25 | 25.14 | -9.04 |
| 37. | 2023. 2. 28. | -6.19% | -2.61% | 58.93 | 14.23 | 28.96 |
| 38. | 2023. 3. 31. | 1.55% | 3.51% | 0.00 | 5.49 | 0.13 |
| 39. | 2023. 4. 30. | 5.68% | 1.46% | 17.56 | 0.09 | 1.27 |
| 40. | 2023. 5. 31. | -3.85% | 0.25% | 28.57 | 0.83 | 4.88 |
| 41. | 2023. 6. 30. | 16.57% | 4.71% | 227.34 | 12.62 | 53.56 |
| 42. | 2023. 7. 31. | 4.14% | 4.85% | 6.99 | 13.58 | 9.74 |
| 43. | 2023. 8. 31. | -1.51% | -1.77% | 9.01 | 8.60 | 8.80 |
| 44. | 2023. 9. 30. | -6.13% | -4.87% | 58.15 | 36.40 | 46.01 |
| 45. | 2023. 10. 31. | -6.60% | -2.20% | 65.51 | 11.28 | 27.19 |
| 46. | 2023. 11. 30. | 17.29% | 8.92% | 249.72 | 60.17 | 122.58 |
| 47. | 2023. 12. 31. | 11.87% | 4.42% | 107.77 | 10.64 | 33.86 |
| 48. | 2024. 1. 31. | -2.41% | 1.59% | 15.23 | 0.18 | -1.67 |
| 49. | 2024. 2. 29. | 9.32% | 5.17% | 61.28 | 16.09 | 31.40 |
| 50. | 2024. 3. 31. | 4.61% | 3.10% | 9.72 | 3.77 | 6.05 |
| 51. | 2024. 4. 30. | -13.74% | -4.16% | 231.95 | 28.33 | 81.07 |
| 52. | 2024. 5. 31. | 1.64% | 4.80% | 0.02 | 13.26 | 0.53 |
| 53. | 2024. 6. 30. | -1.77% | 3.47% | 10.62 | 5.32 | -7.51 |
| 54. | 2024. 7. 31. | 17.55% | 1.13% | 257.85 | 0.00 | -0.47 |
| 55. | 2024. 8. 31. | 5.50% | 2.28% | 16.05 | 1.26 | 4.50 |
| 56. | 2024. 9. 30. | 3.33% | 2.02% | 3.38 | 0.74 | 1.58 |
| 57. | 2024. 10. 31. | -6.00% | -0.99% | 56.11 | 4.63 | 16.11 |
| 58. | 2024. 11. 30. | 10.97% | 5.73% | 89.79 | 20.87 | 43.29 |
| 59. | 2024. 12. 31. | -14.46% | -2.50% | 254.48 | 13.40 | 58.39 |
| 합계 (Σ): | 4,540.81 | 1,618.62 | 1,955.13 | |||
모두 보기
분산SHW = Σ(RSHW,t–RSHW)2 ÷ (59 – 1)
= 4,540.81 ÷ (59 – 1)
= 78.29
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91
공분산SHW, S&P 500 = Σ(RSHW,t–RSHW)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,955.13 ÷ (59 – 1)
= 33.71
체계적인 위험 추정 (β)
| 분산SHW | 78.29 |
| 분산S&P 500 | 27.91 |
| 공분산SHW, S&P 500 | 33.71 |
| 상관 계수SHW, S&P 5001 | 0.72 |
| βSHW2 | 1.21 |
| αSHW3 | 0.09% |
계산
1 상관 계수SHW, S&P 500
= 공분산SHW, S&P 500 ÷ (표준 편차SHW × 표준 편차S&P 500)
= 33.71 ÷ (8.85% × 5.28%)
= 0.72
2 βSHW
= 공분산SHW, S&P 500 ÷ 분산S&P 500
= 33.71 ÷ 27.91
= 1.21
3 αSHW
= 평균의SHW – βSHW × 평균의S&P 500
= 1.49% – 1.21 × 1.16%
= 0.09%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.91% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.84% |
| 보통주의 체계적 위험Sherwin-Williams | βSHW | 1.21 |
| Sherwin-Williams 보통주의 예상 수익률3 | E(RSHW) | 16.90% |
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(RSHW) = RF + βSHW [E(RM) – RF]
= 4.91% + 1.21 [14.84% – 4.91%]
= 16.90%