자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Walmart보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Walmart Inc., 월별 수익률
| Walmart Inc. (WMT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값WMT,t1 | 피제수WMT,t1 | RWMT,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 2. 28. | $33.00 | 2,784.49 | ||||
| 1. | 2019. 3. 31. | $32.51 | $0.176667 | -0.95% | 2,834.40 | 1.79% |
| 2. | 2019. 4. 30. | $34.28 | 5.44% | 2,945.83 | 3.93% | |
| 3. | 2019. 5. 31. | $33.81 | $0.176667 | -0.86% | 2,752.06 | -6.58% |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 12. 31. | $90.35 | $0.2075 | -2.10% | 5,881.63 | -2.50% |
| 71. | 2025. 1. 31. | $98.16 | 8.64% | 6,040.53 | 2.70% | |
| 평균의 (R): | 1.82% | 1.22% | ||||
| 표준 편차: | 5.37% | 4.99% | ||||
| Walmart Inc. (WMT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값WMT,t1 | 피제수WMT,t1 | RWMT,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 2. 28. | $33.00 | 2,784.49 | ||||
| 1. | 2019. 3. 31. | $32.51 | $0.176667 | -0.95% | 2,834.40 | 1.79% |
| 2. | 2019. 4. 30. | $34.28 | 5.44% | 2,945.83 | 3.93% | |
| 3. | 2019. 5. 31. | $33.81 | $0.176667 | -0.86% | 2,752.06 | -6.58% |
| 4. | 2019. 6. 30. | $36.83 | 8.93% | 2,941.76 | 6.89% | |
| 5. | 2019. 7. 31. | $36.79 | -0.11% | 2,980.38 | 1.31% | |
| 6. | 2019. 8. 31. | $38.09 | $0.176667 | 4.01% | 2,926.46 | -1.81% |
| 7. | 2019. 9. 30. | $39.56 | 3.86% | 2,976.74 | 1.72% | |
| 8. | 2019. 10. 31. | $39.09 | -1.19% | 3,037.56 | 2.04% | |
| 9. | 2019. 11. 30. | $39.70 | 1.56% | 3,140.98 | 3.40% | |
| 10. | 2019. 12. 31. | $39.61 | $0.176667 | 0.22% | 3,230.78 | 2.86% |
| 11. | 2020. 1. 31. | $38.16 | -3.66% | 3,225.52 | -0.16% | |
| 12. | 2020. 2. 29. | $35.89 | -5.95% | 2,954.22 | -8.41% | |
| 13. | 2020. 3. 31. | $37.87 | $0.18 | 6.02% | 2,584.59 | -12.51% |
| 14. | 2020. 4. 30. | $40.52 | 7.00% | 2,912.43 | 12.68% | |
| 15. | 2020. 5. 31. | $41.35 | $0.18 | 2.49% | 3,044.31 | 4.53% |
| 16. | 2020. 6. 30. | $39.93 | -3.43% | 3,100.29 | 1.84% | |
| 17. | 2020. 7. 31. | $43.13 | 8.01% | 3,271.12 | 5.51% | |
| 18. | 2020. 8. 31. | $46.28 | $0.18 | 7.72% | 3,500.31 | 7.01% |
| 19. | 2020. 9. 30. | $46.64 | 0.78% | 3,363.00 | -3.92% | |
| 20. | 2020. 10. 31. | $46.25 | -0.84% | 3,269.96 | -2.77% | |
| 21. | 2020. 11. 30. | $50.93 | 10.12% | 3,621.63 | 10.75% | |
| 22. | 2020. 12. 31. | $48.05 | $0.18 | -5.30% | 3,756.07 | 3.71% |
| 23. | 2021. 1. 31. | $46.83 | -2.54% | 3,714.24 | -1.11% | |
| 24. | 2021. 2. 28. | $43.31 | -7.52% | 3,811.15 | 2.61% | |
| 25. | 2021. 3. 31. | $45.28 | $0.183333 | 4.97% | 3,972.89 | 4.24% |
| 26. | 2021. 4. 30. | $46.64 | 3.00% | 4,181.17 | 5.24% | |
| 27. | 2021. 5. 31. | $47.34 | $0.183333 | 1.89% | 4,204.11 | 0.55% |
| 28. | 2021. 6. 30. | $47.01 | -0.70% | 4,297.50 | 2.22% | |
| 29. | 2021. 7. 31. | $47.52 | 1.08% | 4,395.26 | 2.27% | |
| 30. | 2021. 8. 31. | $49.37 | $0.183333 | 4.28% | 4,522.68 | 2.90% |
| 31. | 2021. 9. 30. | $46.46 | -5.89% | 4,307.54 | -4.76% | |
| 32. | 2021. 10. 31. | $49.81 | 7.21% | 4,605.38 | 6.91% | |
| 33. | 2021. 11. 30. | $46.88 | -5.88% | 4,567.00 | -0.83% | |
| 34. | 2021. 12. 31. | $48.23 | $0.183333 | 3.27% | 4,766.18 | 4.36% |
| 35. | 2022. 1. 31. | $46.60 | -3.38% | 4,515.55 | -5.26% | |
| 36. | 2022. 2. 28. | $45.05 | -3.33% | 4,373.94 | -3.14% | |
| 37. | 2022. 3. 31. | $49.64 | $0.186667 | 10.60% | 4,530.41 | 3.58% |
| 38. | 2022. 4. 30. | $51.00 | 2.74% | 4,131.93 | -8.80% | |
| 39. | 2022. 5. 31. | $42.88 | $0.186667 | -15.56% | 4,132.15 | 0.01% |
| 40. | 2022. 6. 30. | $40.53 | -5.48% | 3,785.38 | -8.39% | |
| 41. | 2022. 7. 31. | $44.02 | 8.61% | 4,130.29 | 9.11% | |
| 42. | 2022. 8. 31. | $44.18 | $0.186667 | 0.79% | 3,955.00 | -4.24% |
| 43. | 2022. 9. 30. | $43.23 | -2.15% | 3,585.62 | -9.34% | |
| 44. | 2022. 10. 31. | $47.44 | 9.74% | 3,871.98 | 7.99% | |
| 45. | 2022. 11. 30. | $50.81 | 7.10% | 4,080.11 | 5.38% | |
| 46. | 2022. 12. 31. | $47.26 | $0.186667 | -6.62% | 3,839.50 | -5.90% |
| 47. | 2023. 1. 31. | $47.96 | 1.48% | 4,076.60 | 6.18% | |
| 48. | 2023. 2. 28. | $47.38 | -1.21% | 3,970.15 | -2.61% | |
| 49. | 2023. 3. 31. | $49.15 | $0.19 | 4.14% | 4,109.31 | 3.51% |
| 50. | 2023. 4. 30. | $50.32 | 2.38% | 4,169.48 | 1.46% | |
| 51. | 2023. 5. 31. | $48.96 | $0.19 | -2.33% | 4,179.83 | 0.25% |
| 52. | 2023. 6. 30. | $52.39 | 7.01% | 4,376.86 | 4.71% | |
| 53. | 2023. 7. 31. | $53.29 | 1.72% | 4,588.96 | 4.85% | |
| 54. | 2023. 8. 31. | $54.20 | $0.19 | 2.06% | 4,507.66 | -1.77% |
| 55. | 2023. 9. 30. | $53.31 | -1.64% | 4,288.05 | -4.87% | |
| 56. | 2023. 10. 31. | $54.47 | 2.18% | 4,193.80 | -2.20% | |
| 57. | 2023. 11. 30. | $51.90 | -4.72% | 4,567.80 | 8.92% | |
| 58. | 2023. 12. 31. | $52.55 | $0.19 | 1.62% | 4,769.83 | 4.42% |
| 59. | 2024. 1. 31. | $55.08 | 4.81% | 4,845.65 | 1.59% | |
| 60. | 2024. 2. 29. | $58.61 | 6.41% | 5,096.27 | 5.17% | |
| 61. | 2024. 3. 31. | $60.17 | $0.2075 | 3.02% | 5,254.35 | 3.10% |
| 62. | 2024. 4. 30. | $59.35 | -1.36% | 5,035.69 | -4.16% | |
| 63. | 2024. 5. 31. | $65.76 | $0.2075 | 11.15% | 5,277.51 | 4.80% |
| 64. | 2024. 6. 30. | $67.71 | 2.97% | 5,460.48 | 3.47% | |
| 65. | 2024. 7. 31. | $68.64 | 1.37% | 5,522.30 | 1.13% | |
| 66. | 2024. 8. 31. | $77.23 | $0.2075 | 12.82% | 5,648.40 | 2.28% |
| 67. | 2024. 9. 30. | $80.75 | 4.56% | 5,762.48 | 2.02% | |
| 68. | 2024. 10. 31. | $81.95 | 1.49% | 5,705.45 | -0.99% | |
| 69. | 2024. 11. 30. | $92.50 | 12.87% | 6,032.38 | 5.73% | |
| 70. | 2024. 12. 31. | $90.35 | $0.2075 | -2.10% | 5,881.63 | -2.50% |
| 71. | 2025. 1. 31. | $98.16 | 8.64% | 6,040.53 | 2.70% | |
| 평균의 (R): | 1.82% | 1.22% | ||||
| 표준 편차: | 5.37% | 4.99% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 WMT의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Walmart Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RWMT,t | RS&P 500,t | (RWMT,t–RWMT)2 | (RS&P 500,t–RS&P 500)2 | (RWMT,t–RWMT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 3. 31. | -0.95% | 1.79% | 7.69 | 0.33 | -1.59 |
| 2. | 2019. 4. 30. | 5.44% | 3.93% | 13.11 | 7.35 | 9.82 |
| 3. | 2019. 5. 31. | -0.86% | -6.58% | 7.18 | 60.81 | 20.89 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 12. 31. | -2.10% | -2.50% | 15.39 | 13.83 | 14.59 |
| 71. | 2025. 1. 31. | 8.64% | 2.70% | 46.52 | 2.20 | 10.11 |
| 합계 (Σ): | 2,015.48 | 1,741.16 | 953.31 | |||
| t | 날짜 | RWMT,t | RS&P 500,t | (RWMT,t–RWMT)2 | (RS&P 500,t–RS&P 500)2 | (RWMT,t–RWMT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 3. 31. | -0.95% | 1.79% | 7.69 | 0.33 | -1.59 |
| 2. | 2019. 4. 30. | 5.44% | 3.93% | 13.11 | 7.35 | 9.82 |
| 3. | 2019. 5. 31. | -0.86% | -6.58% | 7.18 | 60.81 | 20.89 |
| 4. | 2019. 6. 30. | 8.93% | 6.89% | 50.53 | 32.18 | 40.33 |
| 5. | 2019. 7. 31. | -0.11% | 1.31% | 3.73 | 0.01 | -0.18 |
| 6. | 2019. 8. 31. | 4.01% | -1.81% | 4.80 | 9.18 | -6.63 |
| 7. | 2019. 9. 30. | 3.86% | 1.72% | 4.14 | 0.25 | 1.01 |
| 8. | 2019. 10. 31. | -1.19% | 2.04% | 9.07 | 0.68 | -2.48 |
| 9. | 2019. 11. 30. | 1.56% | 3.40% | 0.07 | 4.77 | -0.57 |
| 10. | 2019. 12. 31. | 0.22% | 2.86% | 2.58 | 2.69 | -2.63 |
| 11. | 2020. 1. 31. | -3.66% | -0.16% | 30.08 | 1.91 | 7.58 |
| 12. | 2020. 2. 29. | -5.95% | -8.41% | 60.41 | 92.76 | 74.85 |
| 13. | 2020. 3. 31. | 6.02% | -12.51% | 17.60 | 188.57 | -57.60 |
| 14. | 2020. 4. 30. | 7.00% | 12.68% | 26.77 | 131.43 | 59.32 |
| 15. | 2020. 5. 31. | 2.49% | 4.53% | 0.45 | 10.94 | 2.21 |
| 16. | 2020. 6. 30. | -3.43% | 1.84% | 27.64 | 0.38 | -3.25 |
| 17. | 2020. 7. 31. | 8.01% | 5.51% | 38.32 | 18.41 | 26.56 |
| 18. | 2020. 8. 31. | 7.72% | 7.01% | 34.78 | 33.48 | 34.12 |
| 19. | 2020. 9. 30. | 0.78% | -3.92% | 1.09 | 26.45 | 5.38 |
| 20. | 2020. 10. 31. | -0.84% | -2.77% | 7.07 | 15.89 | 10.60 |
| 21. | 2020. 11. 30. | 10.12% | 10.75% | 68.81 | 90.91 | 79.09 |
| 22. | 2020. 12. 31. | -5.30% | 3.71% | 50.76 | 6.21 | -17.76 |
| 23. | 2021. 1. 31. | -2.54% | -1.11% | 19.03 | 5.45 | 10.18 |
| 24. | 2021. 2. 28. | -7.52% | 2.61% | 87.24 | 1.93 | -12.97 |
| 25. | 2021. 3. 31. | 4.97% | 4.24% | 9.91 | 9.14 | 9.52 |
| 26. | 2021. 4. 30. | 3.00% | 5.24% | 1.39 | 16.18 | 4.75 |
| 27. | 2021. 5. 31. | 1.89% | 0.55% | 0.00 | 0.45 | -0.05 |
| 28. | 2021. 6. 30. | -0.70% | 2.22% | 6.35 | 1.00 | -2.52 |
| 29. | 2021. 7. 31. | 1.08% | 2.27% | 0.55 | 1.11 | -0.78 |
| 30. | 2021. 8. 31. | 4.28% | 2.90% | 6.03 | 2.82 | 4.12 |
| 31. | 2021. 9. 30. | -5.89% | -4.76% | 59.56 | 35.72 | 46.13 |
| 32. | 2021. 10. 31. | 7.21% | 6.91% | 29.02 | 32.43 | 30.68 |
| 33. | 2021. 11. 30. | -5.88% | -0.83% | 59.38 | 4.22 | 15.82 |
| 34. | 2021. 12. 31. | 3.27% | 4.36% | 2.09 | 9.87 | 4.55 |
| 35. | 2022. 1. 31. | -3.38% | -5.26% | 27.07 | 41.97 | 33.71 |
| 36. | 2022. 2. 28. | -3.33% | -3.14% | 26.52 | 18.98 | 22.43 |
| 37. | 2022. 3. 31. | 10.60% | 3.58% | 77.08 | 5.56 | 20.70 |
| 38. | 2022. 4. 30. | 2.74% | -8.80% | 0.84 | 100.31 | -9.18 |
| 39. | 2022. 5. 31. | -15.56% | 0.01% | 302.03 | 1.48 | 21.11 |
| 40. | 2022. 6. 30. | -5.48% | -8.39% | 53.35 | 92.39 | 70.21 |
| 41. | 2022. 7. 31. | 8.61% | 9.11% | 46.07 | 62.28 | 53.56 |
| 42. | 2022. 8. 31. | 0.79% | -4.24% | 1.07 | 29.86 | 5.66 |
| 43. | 2022. 9. 30. | -2.15% | -9.34% | 15.79 | 111.50 | 41.96 |
| 44. | 2022. 10. 31. | 9.74% | 7.99% | 62.65 | 45.78 | 53.56 |
| 45. | 2022. 11. 30. | 7.10% | 5.38% | 27.88 | 17.27 | 21.94 |
| 46. | 2022. 12. 31. | -6.62% | -5.90% | 71.28 | 50.65 | 60.09 |
| 47. | 2023. 1. 31. | 1.48% | 6.18% | 0.12 | 24.55 | -1.70 |
| 48. | 2023. 2. 28. | -1.21% | -2.61% | 9.20 | 14.68 | 11.62 |
| 49. | 2023. 3. 31. | 4.14% | 3.51% | 5.35 | 5.22 | 5.29 |
| 50. | 2023. 4. 30. | 2.38% | 1.46% | 0.31 | 0.06 | 0.14 |
| 51. | 2023. 5. 31. | -2.33% | 0.25% | 17.21 | 0.94 | 4.03 |
| 52. | 2023. 6. 30. | 7.01% | 4.71% | 26.85 | 12.21 | 18.11 |
| 53. | 2023. 7. 31. | 1.72% | 4.85% | 0.01 | 13.15 | -0.38 |
| 54. | 2023. 8. 31. | 2.06% | -1.77% | 0.06 | 8.95 | -0.72 |
| 55. | 2023. 9. 30. | -1.64% | -4.87% | 12.01 | 37.11 | 21.11 |
| 56. | 2023. 10. 31. | 2.18% | -2.20% | 0.12 | 11.68 | -1.20 |
| 57. | 2023. 11. 30. | -4.72% | 8.92% | 42.79 | 59.26 | -50.36 |
| 58. | 2023. 12. 31. | 1.62% | 4.42% | 0.04 | 10.26 | -0.66 |
| 59. | 2024. 1. 31. | 4.81% | 1.59% | 8.95 | 0.14 | 1.11 |
| 60. | 2024. 2. 29. | 6.41% | 5.17% | 21.02 | 15.62 | 18.12 |
| 61. | 2024. 3. 31. | 3.02% | 3.10% | 1.42 | 3.54 | 2.24 |
| 62. | 2024. 4. 30. | -1.36% | -4.16% | 10.15 | 28.96 | 17.15 |
| 63. | 2024. 5. 31. | 11.15% | 4.80% | 86.98 | 12.83 | 33.41 |
| 64. | 2024. 6. 30. | 2.97% | 3.47% | 1.30 | 5.05 | 2.57 |
| 65. | 2024. 7. 31. | 1.37% | 1.13% | 0.20 | 0.01 | 0.04 |
| 66. | 2024. 8. 31. | 12.82% | 2.28% | 120.85 | 1.13 | 11.69 |
| 67. | 2024. 9. 30. | 4.56% | 2.02% | 7.48 | 0.64 | 2.19 |
| 68. | 2024. 10. 31. | 1.49% | -0.99% | 0.11 | 4.88 | 0.75 |
| 69. | 2024. 11. 30. | 12.87% | 5.73% | 122.11 | 20.34 | 49.84 |
| 70. | 2024. 12. 31. | -2.10% | -2.50% | 15.39 | 13.83 | 14.59 |
| 71. | 2025. 1. 31. | 8.64% | 2.70% | 46.52 | 2.20 | 10.11 |
| 합계 (Σ): | 2,015.48 | 1,741.16 | 953.31 | |||
모두 보기
분산WMT = Σ(RWMT,t–RWMT)2 ÷ (71 – 1)
= 2,015.48 ÷ (71 – 1)
= 28.79
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,741.16 ÷ (71 – 1)
= 24.87
공분산WMT, S&P 500 = Σ(RWMT,t–RWMT)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 953.31 ÷ (71 – 1)
= 13.62
체계적인 위험 추정 (β)
| 분산WMT | 28.79 |
| 분산S&P 500 | 24.87 |
| 공분산WMT, S&P 500 | 13.62 |
| 상관 계수WMT, S&P 5001 | 0.51 |
| βWMT2 | 0.55 |
| αWMT3 | 1.16% |
계산
1 상관 계수WMT, S&P 500
= 공분산WMT, S&P 500 ÷ (표준 편차WMT × 표준 편차S&P 500)
= 13.62 ÷ (5.37% × 4.99%)
= 0.51
2 βWMT
= 공분산WMT, S&P 500 ÷ 분산S&P 500
= 13.62 ÷ 24.87
= 0.55
3 αWMT
= 평균의WMT – βWMT × 평균의S&P 500
= 1.82% – 0.55 × 1.22%
= 1.16%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.76% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 15.13% |
| 보통주의 체계적 위험Walmart | βWMT | 0.55 |
| Walmart 보통주의 예상 수익률3 | E(RWMT) | 10.44% |
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(RWMT) = RF + βWMT [E(RM) – RF]
= 4.76% + 0.55 [15.13% – 4.76%]
= 10.44%