자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Target보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Target Corp., 월별 수익률
| Target Corp. (TGT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값TGT,t1 | 피제수TGT,t1 | RTGT,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 2. 29. | $103.00 | 2,954.22 | ||||
| 1. | 2020. 3. 31. | $92.97 | -9.74% | 2,584.59 | -12.51% | |
| 2. | 2020. 4. 30. | $109.74 | 18.04% | 2,912.43 | 12.68% | |
| 3. | 2020. 5. 31. | $122.33 | $0.66 | 12.07% | 3,044.31 | 4.53% |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 12. 31. | $97.75 | 7.87% | 6,845.50 | -0.05% | |
| 71. | 2026. 1. 31. | $105.47 | 7.90% | 6,939.03 | 1.37% | |
| 평균의 (R): | 0.70% | 1.33% | ||||
| 표준 편차: | 9.44% | 4.83% | ||||
| Target Corp. (TGT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값TGT,t1 | 피제수TGT,t1 | RTGT,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 2. 29. | $103.00 | 2,954.22 | ||||
| 1. | 2020. 3. 31. | $92.97 | -9.74% | 2,584.59 | -12.51% | |
| 2. | 2020. 4. 30. | $109.74 | 18.04% | 2,912.43 | 12.68% | |
| 3. | 2020. 5. 31. | $122.33 | $0.66 | 12.07% | 3,044.31 | 4.53% |
| 4. | 2020. 6. 30. | $119.93 | -1.96% | 3,100.29 | 1.84% | |
| 5. | 2020. 7. 31. | $125.88 | 4.96% | 3,271.12 | 5.51% | |
| 6. | 2020. 8. 31. | $151.21 | $0.68 | 20.66% | 3,500.31 | 7.01% |
| 7. | 2020. 9. 30. | $157.42 | 4.11% | 3,363.00 | -3.92% | |
| 8. | 2020. 10. 31. | $152.22 | -3.30% | 3,269.96 | -2.77% | |
| 9. | 2020. 11. 30. | $179.53 | $0.68 | 18.39% | 3,621.63 | 10.75% |
| 10. | 2020. 12. 31. | $176.53 | -1.67% | 3,756.07 | 3.71% | |
| 11. | 2021. 1. 31. | $181.17 | 2.63% | 3,714.24 | -1.11% | |
| 12. | 2021. 2. 28. | $183.44 | $0.68 | 1.63% | 3,811.15 | 2.61% |
| 13. | 2021. 3. 31. | $198.07 | 7.98% | 3,972.89 | 4.24% | |
| 14. | 2021. 4. 30. | $207.26 | 4.64% | 4,181.17 | 5.24% | |
| 15. | 2021. 5. 31. | $226.92 | $0.68 | 9.81% | 4,204.11 | 0.55% |
| 16. | 2021. 6. 30. | $241.74 | 6.53% | 4,297.50 | 2.22% | |
| 17. | 2021. 7. 31. | $261.05 | 7.99% | 4,395.26 | 2.27% | |
| 18. | 2021. 8. 31. | $246.98 | $0.90 | -5.05% | 4,522.68 | 2.90% |
| 19. | 2021. 9. 30. | $228.77 | -7.37% | 4,307.54 | -4.76% | |
| 20. | 2021. 10. 31. | $259.62 | 13.49% | 4,605.38 | 6.91% | |
| 21. | 2021. 11. 30. | $243.84 | $0.90 | -5.73% | 4,567.00 | -0.83% |
| 22. | 2021. 12. 31. | $231.44 | -5.09% | 4,766.18 | 4.36% | |
| 23. | 2022. 1. 31. | $220.43 | -4.76% | 4,515.55 | -5.26% | |
| 24. | 2022. 2. 28. | $199.77 | $0.90 | -8.96% | 4,373.94 | -3.14% |
| 25. | 2022. 3. 31. | $212.22 | 6.23% | 4,530.41 | 3.58% | |
| 26. | 2022. 4. 30. | $228.65 | 7.74% | 4,131.93 | -8.80% | |
| 27. | 2022. 5. 31. | $161.88 | $0.90 | -28.81% | 4,132.15 | 0.01% |
| 28. | 2022. 6. 30. | $141.23 | -12.76% | 3,785.38 | -8.39% | |
| 29. | 2022. 7. 31. | $163.38 | 15.68% | 4,130.29 | 9.11% | |
| 30. | 2022. 8. 31. | $160.34 | $1.08 | -1.20% | 3,955.00 | -4.24% |
| 31. | 2022. 9. 30. | $148.39 | -7.45% | 3,585.62 | -9.34% | |
| 32. | 2022. 10. 31. | $164.25 | 10.69% | 3,871.98 | 7.99% | |
| 33. | 2022. 11. 30. | $167.07 | $1.08 | 2.37% | 4,080.11 | 5.38% |
| 34. | 2022. 12. 31. | $149.04 | -10.79% | 3,839.50 | -5.90% | |
| 35. | 2023. 1. 31. | $172.14 | 15.50% | 4,076.60 | 6.18% | |
| 36. | 2023. 2. 28. | $168.50 | $1.08 | -1.49% | 3,970.15 | -2.61% |
| 37. | 2023. 3. 31. | $165.63 | -1.70% | 4,109.31 | 3.51% | |
| 38. | 2023. 4. 30. | $157.75 | -4.76% | 4,169.48 | 1.46% | |
| 39. | 2023. 5. 31. | $130.93 | $1.08 | -16.32% | 4,179.83 | 0.25% |
| 40. | 2023. 6. 30. | $131.90 | 0.74% | 4,376.86 | 4.71% | |
| 41. | 2023. 7. 31. | $136.47 | 3.46% | 4,588.96 | 4.85% | |
| 42. | 2023. 8. 31. | $126.55 | $1.10 | -6.46% | 4,507.66 | -1.77% |
| 43. | 2023. 9. 30. | $110.57 | -12.63% | 4,288.05 | -4.87% | |
| 44. | 2023. 10. 31. | $110.79 | 0.20% | 4,193.80 | -2.20% | |
| 45. | 2023. 11. 30. | $133.81 | $1.10 | 21.77% | 4,567.80 | 8.92% |
| 46. | 2023. 12. 31. | $142.42 | 6.43% | 4,769.83 | 4.42% | |
| 47. | 2024. 1. 31. | $139.08 | -2.35% | 4,845.65 | 1.59% | |
| 48. | 2024. 2. 29. | $152.92 | $1.10 | 10.74% | 5,096.27 | 5.17% |
| 49. | 2024. 3. 31. | $177.21 | 15.88% | 5,254.35 | 3.10% | |
| 50. | 2024. 4. 30. | $160.98 | -9.16% | 5,035.69 | -4.16% | |
| 51. | 2024. 5. 31. | $156.16 | $1.10 | -2.31% | 5,277.51 | 4.80% |
| 52. | 2024. 6. 30. | $148.04 | -5.20% | 5,460.48 | 3.47% | |
| 53. | 2024. 7. 31. | $150.41 | 1.60% | 5,522.30 | 1.13% | |
| 54. | 2024. 8. 31. | $153.62 | $1.12 | 2.88% | 5,648.40 | 2.28% |
| 55. | 2024. 9. 30. | $155.86 | 1.46% | 5,762.48 | 2.02% | |
| 56. | 2024. 10. 31. | $150.04 | -3.73% | 5,705.45 | -0.99% | |
| 57. | 2024. 11. 30. | $132.31 | $1.12 | -11.07% | 6,032.38 | 5.73% |
| 58. | 2024. 12. 31. | $135.18 | 2.17% | 5,881.63 | -2.50% | |
| 59. | 2025. 1. 31. | $137.91 | 2.02% | 6,040.53 | 2.70% | |
| 60. | 2025. 2. 28. | $124.24 | $1.12 | -9.10% | 5,954.50 | -1.42% |
| 61. | 2025. 3. 31. | $104.36 | -16.00% | 5,611.85 | -5.75% | |
| 62. | 2025. 4. 30. | $96.70 | -7.34% | 5,569.06 | -0.76% | |
| 63. | 2025. 5. 31. | $94.01 | $1.12 | -1.62% | 5,911.69 | 6.15% |
| 64. | 2025. 6. 30. | $98.65 | 4.94% | 6,204.95 | 4.96% | |
| 65. | 2025. 7. 31. | $100.50 | 1.88% | 6,339.39 | 2.17% | |
| 66. | 2025. 8. 31. | $95.98 | $1.14 | -3.36% | 6,460.26 | 1.91% |
| 67. | 2025. 9. 30. | $89.70 | -6.54% | 6,688.46 | 3.53% | |
| 68. | 2025. 10. 31. | $92.72 | 3.37% | 6,840.20 | 2.27% | |
| 69. | 2025. 11. 30. | $90.62 | $1.14 | -1.04% | 6,849.09 | 0.13% |
| 70. | 2025. 12. 31. | $97.75 | 7.87% | 6,845.50 | -0.05% | |
| 71. | 2026. 1. 31. | $105.47 | 7.90% | 6,939.03 | 1.37% | |
| 평균의 (R): | 0.70% | 1.33% | ||||
| 표준 편차: | 9.44% | 4.83% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 TGT의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Target Corp., 수익률의 분산 및 공분산 계산
| t | 날짜 | RTGT,t | RS&P 500,t | (RTGT,t–RTGT)2 | (RS&P 500,t–RS&P 500)2 | (RTGT,t–RTGT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020. 3. 31. | -9.74% | -12.51% | 108.93 | 191.48 | 144.42 |
| 2. | 2020. 4. 30. | 18.04% | 12.68% | 300.65 | 129.02 | 196.95 |
| 3. | 2020. 5. 31. | 12.07% | 4.53% | 129.39 | 10.26 | 36.43 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 12. 31. | 7.87% | -0.05% | 51.40 | 1.90 | -9.88 |
| 71. | 2026. 1. 31. | 7.90% | 1.37% | 51.82 | 0.00 | 0.29 |
| 합계 (Σ): | 6,232.09 | 1,636.00 | 1,957.35 | |||
| t | 날짜 | RTGT,t | RS&P 500,t | (RTGT,t–RTGT)2 | (RS&P 500,t–RS&P 500)2 | (RTGT,t–RTGT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020. 3. 31. | -9.74% | -12.51% | 108.93 | 191.48 | 144.42 |
| 2. | 2020. 4. 30. | 18.04% | 12.68% | 300.65 | 129.02 | 196.95 |
| 3. | 2020. 5. 31. | 12.07% | 4.53% | 129.39 | 10.26 | 36.43 |
| 4. | 2020. 6. 30. | -1.96% | 1.84% | 7.08 | 0.26 | -1.37 |
| 5. | 2020. 7. 31. | 4.96% | 5.51% | 18.17 | 17.51 | 17.84 |
| 6. | 2020. 8. 31. | 20.66% | 7.01% | 398.54 | 32.27 | 113.41 |
| 7. | 2020. 9. 30. | 4.11% | -3.92% | 11.61 | 27.55 | -17.89 |
| 8. | 2020. 10. 31. | -3.30% | -2.77% | 16.02 | 16.75 | 16.38 |
| 9. | 2020. 11. 30. | 18.39% | 10.75% | 312.90 | 88.91 | 166.79 |
| 10. | 2020. 12. 31. | -1.67% | 3.71% | 5.62 | 5.70 | -5.66 |
| 11. | 2021. 1. 31. | 2.63% | -1.11% | 3.72 | 5.95 | -4.71 |
| 12. | 2021. 2. 28. | 1.63% | 2.61% | 0.86 | 1.65 | 1.19 |
| 13. | 2021. 3. 31. | 7.98% | 4.24% | 52.95 | 8.52 | 21.23 |
| 14. | 2021. 4. 30. | 4.64% | 5.24% | 15.53 | 15.34 | 15.44 |
| 15. | 2021. 5. 31. | 9.81% | 0.55% | 83.08 | 0.60 | -7.08 |
| 16. | 2021. 6. 30. | 6.53% | 2.22% | 34.01 | 0.80 | 5.22 |
| 17. | 2021. 7. 31. | 7.99% | 2.27% | 53.13 | 0.90 | 6.92 |
| 18. | 2021. 8. 31. | -5.05% | 2.90% | 32.99 | 2.48 | -9.04 |
| 19. | 2021. 9. 30. | -7.37% | -4.76% | 65.16 | 37.00 | 49.10 |
| 20. | 2021. 10. 31. | 13.49% | 6.91% | 163.49 | 31.23 | 71.46 |
| 21. | 2021. 11. 30. | -5.73% | -0.83% | 41.35 | 4.66 | 13.88 |
| 22. | 2021. 12. 31. | -5.09% | 4.36% | 33.46 | 9.22 | -17.56 |
| 23. | 2022. 1. 31. | -4.76% | -5.26% | 29.77 | 43.35 | 35.92 |
| 24. | 2022. 2. 28. | -8.96% | -3.14% | 93.38 | 19.91 | 43.11 |
| 25. | 2022. 3. 31. | 6.23% | 3.58% | 30.62 | 5.07 | 12.46 |
| 26. | 2022. 4. 30. | 7.74% | -8.80% | 49.60 | 102.44 | -71.28 |
| 27. | 2022. 5. 31. | -28.81% | 0.01% | 870.67 | 1.74 | 38.96 |
| 28. | 2022. 6. 30. | -12.76% | -8.39% | 181.05 | 94.43 | 130.75 |
| 29. | 2022. 7. 31. | 15.68% | 9.11% | 224.54 | 60.62 | 116.67 |
| 30. | 2022. 8. 31. | -1.20% | -4.24% | 3.60 | 31.02 | 10.57 |
| 31. | 2022. 9. 30. | -7.45% | -9.34% | 66.45 | 113.75 | 86.94 |
| 32. | 2022. 10. 31. | 10.69% | 7.99% | 99.78 | 44.37 | 66.53 |
| 33. | 2022. 11. 30. | 2.37% | 5.38% | 2.81 | 16.40 | 6.79 |
| 34. | 2022. 12. 31. | -10.79% | -5.90% | 132.04 | 52.17 | 83.00 |
| 35. | 2023. 1. 31. | 15.50% | 6.18% | 219.05 | 23.52 | 71.78 |
| 36. | 2023. 2. 28. | -1.49% | -2.61% | 4.78 | 15.50 | 8.61 |
| 37. | 2023. 3. 31. | -1.70% | 3.51% | 5.77 | 4.75 | -5.24 |
| 38. | 2023. 4. 30. | -4.76% | 1.46% | 29.77 | 0.02 | -0.76 |
| 39. | 2023. 5. 31. | -16.32% | 0.25% | 289.54 | 1.16 | 18.33 |
| 40. | 2023. 6. 30. | 0.74% | 4.71% | 0.00 | 11.48 | 0.14 |
| 41. | 2023. 7. 31. | 3.46% | 4.85% | 7.65 | 12.39 | 9.74 |
| 42. | 2023. 8. 31. | -6.46% | -1.77% | 51.29 | 9.59 | 22.18 |
| 43. | 2023. 9. 30. | -12.63% | -4.87% | 177.59 | 38.41 | 82.59 |
| 44. | 2023. 10. 31. | 0.20% | -2.20% | 0.25 | 12.42 | 1.76 |
| 45. | 2023. 11. 30. | 21.77% | 8.92% | 444.03 | 57.64 | 159.99 |
| 46. | 2023. 12. 31. | 6.43% | 4.42% | 32.90 | 9.59 | 17.76 |
| 47. | 2024. 1. 31. | -2.35% | 1.59% | 9.27 | 0.07 | -0.80 |
| 48. | 2024. 2. 29. | 10.74% | 5.17% | 100.86 | 14.80 | 38.63 |
| 49. | 2024. 3. 31. | 15.88% | 3.10% | 230.59 | 3.16 | 26.97 |
| 50. | 2024. 4. 30. | -9.16% | -4.16% | 97.17 | 30.11 | 54.09 |
| 51. | 2024. 5. 31. | -2.31% | 4.80% | 9.06 | 12.09 | -10.46 |
| 52. | 2024. 6. 30. | -5.20% | 3.47% | 34.80 | 4.59 | -12.63 |
| 53. | 2024. 7. 31. | 1.60% | 1.13% | 0.81 | 0.04 | -0.17 |
| 54. | 2024. 8. 31. | 2.88% | 2.28% | 4.75 | 0.92 | 2.09 |
| 55. | 2024. 9. 30. | 1.46% | 2.02% | 0.58 | 0.48 | 0.53 |
| 56. | 2024. 10. 31. | -3.73% | -0.99% | 19.65 | 5.36 | 10.26 |
| 57. | 2024. 11. 30. | -11.07% | 5.73% | 138.52 | 19.40 | -51.84 |
| 58. | 2024. 12. 31. | 2.17% | -2.50% | 2.16 | 14.63 | -5.62 |
| 59. | 2025. 1. 31. | 2.02% | 2.70% | 1.74 | 1.89 | 1.82 |
| 60. | 2025. 2. 28. | -9.10% | -1.42% | 96.02 | 7.56 | 26.95 |
| 61. | 2025. 3. 31. | -16.00% | -5.75% | 278.90 | 50.13 | 118.24 |
| 62. | 2025. 4. 30. | -7.34% | -0.76% | 64.62 | 4.36 | 16.79 |
| 63. | 2025. 5. 31. | -1.62% | 6.15% | 5.39 | 23.30 | -11.21 |
| 64. | 2025. 6. 30. | 4.94% | 4.96% | 17.95 | 13.21 | 15.40 |
| 65. | 2025. 7. 31. | 1.88% | 2.17% | 1.38 | 0.71 | 0.99 |
| 66. | 2025. 8. 31. | -3.36% | 1.91% | 16.50 | 0.34 | -2.36 |
| 67. | 2025. 9. 30. | -6.54% | 3.53% | 52.45 | 4.87 | -15.98 |
| 68. | 2025. 10. 31. | 3.37% | 2.27% | 7.12 | 0.89 | 2.52 |
| 69. | 2025. 11. 30. | -1.04% | 0.13% | 3.01 | 1.43 | 2.07 |
| 70. | 2025. 12. 31. | 7.87% | -0.05% | 51.40 | 1.90 | -9.88 |
| 71. | 2026. 1. 31. | 7.90% | 1.37% | 51.82 | 0.00 | 0.29 |
| 합계 (Σ): | 6,232.09 | 1,636.00 | 1,957.35 | |||
모두 보기
분산TGT = Σ(RTGT,t–RTGT)2 ÷ (71 – 1)
= 6,232.09 ÷ (71 – 1)
= 89.03
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,636.00 ÷ (71 – 1)
= 23.37
공분산TGT, S&P 500 = Σ(RTGT,t–RTGT)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,957.35 ÷ (71 – 1)
= 27.96
체계적인 위험 추정 (β)
| 분산TGT | 89.03 |
| 분산S&P 500 | 23.37 |
| 공분산TGT, S&P 500 | 27.96 |
| 상관 계수TGT, S&P 5001 | 0.61 |
| βTGT2 | 1.20 |
| αTGT3 | -0.89% |
계산
1 상관 계수TGT, S&P 500
= 공분산TGT, S&P 500 ÷ (표준 편차TGT × 표준 편차S&P 500)
= 27.96 ÷ (9.44% × 4.83%)
= 0.61
2 βTGT
= 공분산TGT, S&P 500 ÷ 분산S&P 500
= 27.96 ÷ 23.37
= 1.20
3 αTGT
= 평균의TGT – βTGT × 평균의S&P 500
= 0.70% – 1.20 × 1.33%
= -0.89%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.94% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.36% |
| 보통주의 체계적 위험Target | βTGT | 1.20 |
| Target 보통주에 대한 예상 수익률3 | E(RTGT) | 19.80% |
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(RTGT) = RF + βTGT [E(RM) – RF]
= 4.94% + 1.20 [17.36% – 4.94%]
= 19.80%