Stock Analysis on Net

TJX Cos. Inc. (NYSE:TJX)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

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


수익률

TJX Cos. Inc., 월별 수익률

Microsoft Excel
TJX Cos. Inc. (TJX) Standard & Poor’s 500 (S&P 500)
t 날짜 TJX,t1 피제수TJX,t1 RTJX,t2 S&P 500,t RS&P 500,t3
2017. 2. 28. $39.23 2,363.64
1. 2017. 3. 31. $39.54 0.79% 2,362.72 -0.04%
2. 2017. 4. 30. $39.32 -0.56% 2,384.20 0.91%
3. 2017. 5. 31. $37.61 $0.15625 -3.95% 2,411.80 1.16%
. . . . . . .
. . . . . . .
. . . . . . .
70. 2022. 12. 31. $79.60 -0.56% 3,839.50 -5.90%
71. 2023. 1. 31. $81.86 2.84% 4,076.60 6.18%
평균의 (R): 1.39% 0.90%
표준 편차: 6.91% 5.01%
TJX Cos. Inc. (TJX) Standard & Poor’s 500 (S&P 500)
t 날짜 TJX,t1 피제수TJX,t1 RTJX,t2 S&P 500,t RS&P 500,t3
2017. 2. 28. $39.23 2,363.64
1. 2017. 3. 31. $39.54 0.79% 2,362.72 -0.04%
2. 2017. 4. 30. $39.32 -0.56% 2,384.20 0.91%
3. 2017. 5. 31. $37.61 $0.15625 -3.95% 2,411.80 1.16%
4. 2017. 6. 30. $36.09 -4.04% 2,423.41 0.48%
5. 2017. 7. 31. $35.16 -2.58% 2,470.30 1.93%
6. 2017. 8. 31. $36.15 $0.15625 3.26% 2,471.65 0.05%
7. 2017. 9. 30. $36.87 1.99% 2,519.36 1.93%
8. 2017. 10. 31. $34.90 -5.34% 2,575.26 2.22%
9. 2017. 11. 30. $37.78 $0.15625 8.70% 2,647.58 2.81%
10. 2017. 12. 31. $38.23 1.19% 2,673.61 0.98%
11. 2018. 1. 31. $40.16 5.05% 2,823.81 5.62%
12. 2018. 2. 28. $41.34 $0.15625 3.33% 2,713.83 -3.89%
13. 2018. 3. 31. $40.78 -1.35% 2,640.87 -2.69%
14. 2018. 4. 30. $42.42 4.02% 2,648.05 0.27%
15. 2018. 5. 31. $45.16 $0.195 6.92% 2,705.27 2.16%
16. 2018. 6. 30. $47.59 5.38% 2,718.37 0.48%
17. 2018. 7. 31. $48.63 2.19% 2,816.29 3.60%
18. 2018. 8. 31. $54.99 $0.195 13.48% 2,901.52 3.03%
19. 2018. 9. 30. $56.01 1.85% 2,913.98 0.43%
20. 2018. 10. 31. $54.94 -1.91% 2,711.74 -6.94%
21. 2018. 11. 30. $48.85 $0.195 -10.73% 2,760.17 1.79%
22. 2018. 12. 31. $44.74 -8.41% 2,506.85 -9.18%
23. 2019. 1. 31. $49.73 11.15% 2,704.10 7.87%
24. 2019. 2. 28. $51.29 $0.195 3.53% 2,784.49 2.97%
25. 2019. 3. 31. $53.21 3.74% 2,834.40 1.79%
26. 2019. 4. 30. $54.88 3.14% 2,945.83 3.93%
27. 2019. 5. 31. $50.29 $0.23 -7.94% 2,752.06 -6.58%
28. 2019. 6. 30. $52.88 5.15% 2,941.76 6.89%
29. 2019. 7. 31. $54.56 3.18% 2,980.38 1.31%
30. 2019. 8. 31. $54.97 $0.23 1.17% 2,926.46 -1.81%
31. 2019. 9. 30. $55.74 1.40% 2,976.74 1.72%
32. 2019. 10. 31. $57.65 3.43% 3,037.56 2.04%
33. 2019. 11. 30. $61.13 $0.23 6.44% 3,140.98 3.40%
34. 2019. 12. 31. $61.06 -0.11% 3,230.78 2.86%
35. 2020. 1. 31. $59.04 -3.31% 3,225.52 -0.16%
36. 2020. 2. 29. $59.80 $0.23 1.68% 2,954.22 -8.41%
37. 2020. 3. 31. $47.81 -20.05% 2,584.59 -12.51%
38. 2020. 4. 30. $49.05 2.59% 2,912.43 12.68%
39. 2020. 5. 31. $52.76 7.56% 3,044.31 4.53%
40. 2020. 6. 30. $50.56 -4.17% 3,100.29 1.84%
41. 2020. 7. 31. $51.99 2.83% 3,271.12 5.51%
42. 2020. 8. 31. $54.79 5.39% 3,500.31 7.01%
43. 2020. 9. 30. $55.65 1.57% 3,363.00 -3.92%
44. 2020. 10. 31. $50.80 -8.72% 3,269.96 -2.77%
45. 2020. 11. 30. $63.51 25.02% 3,621.63 10.75%
46. 2020. 12. 31. $68.29 7.53% 3,756.07 3.71%
47. 2021. 1. 31. $64.04 -6.22% 3,714.24 -1.11%
48. 2021. 2. 28. $65.99 $0.26 3.45% 3,811.15 2.61%
49. 2021. 3. 31. $66.15 0.24% 3,972.89 4.24%
50. 2021. 4. 30. $71.00 7.33% 4,181.17 5.24%
51. 2021. 5. 31. $67.54 $0.26 -4.51% 4,204.11 0.55%
52. 2021. 6. 30. $67.42 -0.18% 4,297.50 2.22%
53. 2021. 7. 31. $68.81 2.06% 4,395.26 2.27%
54. 2021. 8. 31. $72.72 $0.26 6.06% 4,522.68 2.90%
55. 2021. 9. 30. $65.98 -9.27% 4,307.54 -4.76%
56. 2021. 10. 31. $65.49 -0.74% 4,605.38 6.91%
57. 2021. 11. 30. $69.40 $0.26 6.37% 4,567.00 -0.83%
58. 2021. 12. 31. $75.92 9.39% 4,766.18 4.36%
59. 2022. 1. 31. $71.97 -5.20% 4,515.55 -5.26%
60. 2022. 2. 28. $66.10 $0.26 -7.79% 4,373.94 -3.14%
61. 2022. 3. 31. $60.58 -8.35% 4,530.41 3.58%
62. 2022. 4. 30. $61.28 1.16% 4,131.93 -8.80%
63. 2022. 5. 31. $63.57 $0.295 4.22% 4,132.15 0.01%
64. 2022. 6. 30. $55.85 -12.14% 3,785.38 -8.39%
65. 2022. 7. 31. $61.16 9.51% 4,130.29 9.11%
66. 2022. 8. 31. $62.35 $0.295 2.43% 3,955.00 -4.24%
67. 2022. 9. 30. $62.12 -0.37% 3,585.62 -9.34%
68. 2022. 10. 31. $72.10 16.07% 3,871.98 7.99%
69. 2022. 11. 30. $80.05 $0.295 11.44% 4,080.11 5.38%
70. 2022. 12. 31. $79.60 -0.56% 3,839.50 -5.90%
71. 2023. 1. 31. $81.86 2.84% 4,076.60 6.18%
평균의 (R): 1.39% 0.90%
표준 편차: 6.91% 5.01%

모두 표시

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

2 기간 t 동안 TJX의 보통주에 대한 수익률.

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


분산과 공분산

TJX Cos. Inc., 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RTJX,t RS&P 500,t (RTJX,tRTJX)2 (RS&P 500,tRS&P 500)2 (RTJX,tRTJX)×(RS&P 500,tRS&P 500)
1. 2017. 3. 31. 0.79% -0.04% 0.36 0.87 0.56
2. 2017. 4. 30. -0.56% 0.91% 3.79 0.00 -0.03
3. 2017. 5. 31. -3.95% 1.16% 28.53 0.07 -1.40
. . . . . . .
. . . . . . .
. . . . . . .
70. 2022. 12. 31. -0.56% -5.90% 3.81 46.14 13.26
71. 2023. 1. 31. 2.84% 6.18% 2.10 27.88 7.65
합계 (Σ): 3,344.49 1,754.14 1,532.53
t 날짜 RTJX,t RS&P 500,t (RTJX,tRTJX)2 (RS&P 500,tRS&P 500)2 (RTJX,tRTJX)×(RS&P 500,tRS&P 500)
1. 2017. 3. 31. 0.79% -0.04% 0.36 0.87 0.56
2. 2017. 4. 30. -0.56% 0.91% 3.79 0.00 -0.03
3. 2017. 5. 31. -3.95% 1.16% 28.53 0.07 -1.40
4. 2017. 6. 30. -4.04% 0.48% 29.50 0.17 2.25
5. 2017. 7. 31. -2.58% 1.93% 15.73 1.08 -4.12
6. 2017. 8. 31. 3.26% 0.05% 3.50 0.71 -1.57
7. 2017. 9. 30. 1.99% 1.93% 0.36 1.07 0.62
8. 2017. 10. 31. -5.34% 2.22% 45.33 1.75 -8.91
9. 2017. 11. 30. 8.70% 2.81% 53.44 3.66 13.98
10. 2017. 12. 31. 1.19% 0.98% 0.04 0.01 -0.02
11. 2018. 1. 31. 5.05% 5.62% 13.39 22.30 17.28
12. 2018. 2. 28. 3.33% -3.89% 3.75 22.94 -9.28
13. 2018. 3. 31. -1.35% -2.69% 7.53 12.84 9.84
14. 2018. 4. 30. 4.02% 0.27% 6.93 0.39 -1.64
15. 2018. 5. 31. 6.92% 2.16% 30.57 1.60 7.00
16. 2018. 6. 30. 5.38% 0.48% 15.93 0.17 -1.64
17. 2018. 7. 31. 2.19% 3.60% 0.63 7.33 2.15
18. 2018. 8. 31. 13.48% 3.03% 146.16 4.54 25.76
19. 2018. 9. 30. 1.85% 0.43% 0.22 0.22 -0.22
20. 2018. 10. 31. -1.91% -6.94% 10.89 61.40 25.86
21. 2018. 11. 30. -10.73% 1.79% 146.89 0.79 -10.79
22. 2018. 12. 31. -8.41% -9.18% 96.11 101.46 98.75
23. 2019. 1. 31. 11.15% 7.87% 95.33 48.63 68.08
24. 2019. 2. 28. 3.53% 2.97% 4.58 4.32 4.44
25. 2019. 3. 31. 3.74% 1.79% 5.54 0.80 2.11
26. 2019. 4. 30. 3.14% 3.93% 3.06 9.22 5.31
27. 2019. 5. 31. -7.94% -6.58% 87.13 55.85 69.76
28. 2019. 6. 30. 5.15% 6.89% 14.14 35.97 22.55
29. 2019. 7. 31. 3.18% 1.31% 3.19 0.17 0.75
30. 2019. 8. 31. 1.17% -1.81% 0.05 7.31 0.59
31. 2019. 9. 30. 1.40% 1.72% 0.00 0.68 0.01
32. 2019. 10. 31. 3.43% 2.04% 4.15 1.32 2.34
33. 2019. 11. 30. 6.44% 3.40% 25.46 6.30 12.66
34. 2019. 12. 31. -0.11% 2.86% 2.26 3.86 -2.95
35. 2020. 1. 31. -3.31% -0.16% 22.07 1.12 4.97
36. 2020. 2. 29. 1.68% -8.41% 0.08 86.61 -2.67
37. 2020. 3. 31. -20.05% -12.51% 459.67 179.75 287.45
38. 2020. 4. 30. 2.59% 12.68% 1.45 138.98 14.19
39. 2020. 5. 31. 7.56% 4.53% 38.12 13.20 22.43
40. 2020. 6. 30. -4.17% 1.84% 30.91 0.89 -5.25
41. 2020. 7. 31. 2.83% 5.51% 2.07 21.30 6.64
42. 2020. 8. 31. 5.39% 7.01% 15.97 37.35 24.42
43. 2020. 9. 30. 1.57% -3.92% 0.03 23.21 -0.87
44. 2020. 10. 31. -8.72% -2.77% 102.11 13.41 37.00
45. 2020. 11. 30. 25.02% 10.75% 558.37 97.21 232.97
46. 2020. 12. 31. 7.53% 3.71% 37.66 7.93 17.29
47. 2021. 1. 31. -6.22% -1.11% 57.96 4.04 15.29
48. 2021. 2. 28. 3.45% 2.61% 4.25 2.94 3.53
49. 2021. 3. 31. 0.24% 4.24% 1.32 11.21 -3.84
50. 2021. 4. 30. 7.33% 5.24% 35.31 18.90 25.83
51. 2021. 5. 31. -4.51% 0.55% 34.77 0.12 2.04
52. 2021. 6. 30. -0.18% 2.22% 2.46 1.76 -2.08
53. 2021. 7. 31. 2.06% 2.27% 0.45 1.90 0.93
54. 2021. 8. 31. 6.06% 2.90% 21.81 4.02 9.36
55. 2021. 9. 30. -9.27% -4.76% 113.60 31.95 60.24
56. 2021. 10. 31. -0.74% 6.91% 4.55 36.23 -12.84
57. 2021. 11. 30. 6.37% -0.83% 24.78 2.99 -8.60
58. 2021. 12. 31. 9.39% 4.36% 64.08 12.01 27.75
59. 2022. 1. 31. -5.20% -5.26% 43.46 37.87 40.57
60. 2022. 2. 28. -7.79% -3.14% 84.36 16.25 37.03
61. 2022. 3. 31. -8.35% 3.58% 94.88 7.19 -26.13
62. 2022. 4. 30. 1.16% -8.80% 0.05 93.91 2.27
63. 2022. 5. 31. 4.22% 0.01% 8.00 0.79 -2.52
64. 2022. 6. 30. -12.14% -8.39% 183.17 86.25 125.69
65. 2022. 7. 31. 9.51% 9.11% 65.90 67.51 66.70
66. 2022. 8. 31. 2.43% -4.24% 1.08 26.41 -5.34
67. 2022. 9. 30. -0.37% -9.34% 3.09 104.75 18.00
68. 2022. 10. 31. 16.07% 7.99% 215.38 50.28 104.07
69. 2022. 11. 30. 11.44% 5.38% 100.92 20.07 45.00
70. 2022. 12. 31. -0.56% -5.90% 3.81 46.14 13.26
71. 2023. 1. 31. 2.84% 6.18% 2.10 27.88 7.65
합계 (Σ): 3,344.49 1,754.14 1,532.53

모두 표시

분산TJX = Σ(RTJX,tRTJX)2 ÷ (71 – 1)
= 3,344.49 ÷ (71 – 1)
= 47.78

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,754.14 ÷ (71 – 1)
= 25.06

공분산TJX, S&P 500 = Σ(RTJX,tRTJX)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 1,532.53 ÷ (71 – 1)
= 21.89


체계적인 위험 추정 (β)

Microsoft Excel
분산TJX 47.78
분산S&P 500 25.06
공분산TJX, S&P 500 21.89
상관 계수TJX, S&P 5001 0.63
βTJX2 0.87
αTJX3 0.61%

계산

1 상관 계수TJX, S&P 500
= 공분산TJX, S&P 500 ÷ (표준 편차TJX × 표준 편차S&P 500)
= 21.89 ÷ (6.91% × 5.01%)
= 0.63

2 βTJX
= 공분산TJX, S&P 500 ÷ 분산S&P 500
= 21.89 ÷ 25.06
= 0.87

3 αTJX
= 평균의TJX – βTJX × 평균의S&P 500
= 1.39%0.87 × 0.90%
= 0.61%


예상 수익률

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.48%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 12.81%
보통주의 체계적 위험TJX βTJX 0.87
 
TJX 보통주에 대한 예상 수익률3 E(RTJX) 11.75%

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(RTJX) = RF + βTJX [E(RM) – RF]
= 4.48% + 0.87 [12.81%4.48%]
= 11.75%