자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 e.l.f. Beauty의 보통주와 같은 위험 자산에 대한 기대 또는 필요한 수익률을 나타냅니다.
수익률
e.l.f. Beauty, Inc., 월별 수익률
| e.l.f. Beauty, Inc. (ELF) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ELF,t1 | 피제수ELF,t1 | RELF,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 4. 30. | $12.79 | 2,945.83 | ||||
| 1. | 2019. 5. 31. | $10.19 | -20.33% | 2,752.06 | -6.58% | |
| 2. | 2019. 6. 30. | $14.10 | 38.37% | 2,941.76 | 6.89% | |
| 3. | 2019. 7. 31. | $16.59 | 17.66% | 2,980.38 | 1.31% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 2. 29. | $208.53 | 30.72% | 5,096.27 | 5.17% | |
| 59. | 2024. 3. 31. | $196.03 | -5.99% | 5,254.35 | 3.10% | |
| 평균의 (R): | 5.78% | 1.13% | ||||
| 표준 편차: | 14.61% | 5.32% | ||||
| e.l.f. Beauty, Inc. (ELF) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ELF,t1 | 피제수ELF,t1 | RELF,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 4. 30. | $12.79 | 2,945.83 | ||||
| 1. | 2019. 5. 31. | $10.19 | -20.33% | 2,752.06 | -6.58% | |
| 2. | 2019. 6. 30. | $14.10 | 38.37% | 2,941.76 | 6.89% | |
| 3. | 2019. 7. 31. | $16.59 | 17.66% | 2,980.38 | 1.31% | |
| 4. | 2019. 8. 31. | $16.32 | -1.63% | 2,926.46 | -1.81% | |
| 5. | 2019. 9. 30. | $17.51 | 7.29% | 2,976.74 | 1.72% | |
| 6. | 2019. 10. 31. | $16.80 | -4.05% | 3,037.56 | 2.04% | |
| 7. | 2019. 11. 30. | $16.57 | -1.37% | 3,140.98 | 3.40% | |
| 8. | 2019. 12. 31. | $16.13 | -2.66% | 3,230.78 | 2.86% | |
| 9. | 2020. 1. 31. | $15.68 | -2.79% | 3,225.52 | -0.16% | |
| 10. | 2020. 2. 29. | $15.96 | 1.79% | 2,954.22 | -8.41% | |
| 11. | 2020. 3. 31. | $9.84 | -38.35% | 2,584.59 | -12.51% | |
| 12. | 2020. 4. 30. | $13.07 | 32.83% | 2,912.43 | 12.68% | |
| 13. | 2020. 5. 31. | $17.14 | 31.14% | 3,044.31 | 4.53% | |
| 14. | 2020. 6. 30. | $19.07 | 11.26% | 3,100.29 | 1.84% | |
| 15. | 2020. 7. 31. | $17.86 | -6.35% | 3,271.12 | 5.51% | |
| 16. | 2020. 8. 31. | $19.53 | 9.35% | 3,500.31 | 7.01% | |
| 17. | 2020. 9. 30. | $18.37 | -5.94% | 3,363.00 | -3.92% | |
| 18. | 2020. 10. 31. | $20.27 | 10.34% | 3,269.96 | -2.77% | |
| 19. | 2020. 11. 30. | $21.74 | 7.25% | 3,621.63 | 10.75% | |
| 20. | 2020. 12. 31. | $25.19 | 15.87% | 3,756.07 | 3.71% | |
| 21. | 2021. 1. 31. | $21.76 | -13.62% | 3,714.24 | -1.11% | |
| 22. | 2021. 2. 28. | $25.65 | 17.88% | 3,811.15 | 2.61% | |
| 23. | 2021. 3. 31. | $26.83 | 4.60% | 3,972.89 | 4.24% | |
| 24. | 2021. 4. 30. | $30.25 | 12.75% | 4,181.17 | 5.24% | |
| 25. | 2021. 5. 31. | $28.00 | -7.44% | 4,204.11 | 0.55% | |
| 26. | 2021. 6. 30. | $27.14 | -3.07% | 4,297.50 | 2.22% | |
| 27. | 2021. 7. 31. | $27.61 | 1.73% | 4,395.26 | 2.27% | |
| 28. | 2021. 8. 31. | $30.95 | 12.10% | 4,522.68 | 2.90% | |
| 29. | 2021. 9. 30. | $29.05 | -6.14% | 4,307.54 | -4.76% | |
| 30. | 2021. 10. 31. | $32.31 | 11.22% | 4,605.38 | 6.91% | |
| 31. | 2021. 11. 30. | $30.12 | -6.78% | 4,567.00 | -0.83% | |
| 32. | 2021. 12. 31. | $33.21 | 10.26% | 4,766.18 | 4.36% | |
| 33. | 2022. 1. 31. | $29.56 | -10.99% | 4,515.55 | -5.26% | |
| 34. | 2022. 2. 28. | $26.43 | -10.59% | 4,373.94 | -3.14% | |
| 35. | 2022. 3. 31. | $25.83 | -2.27% | 4,530.41 | 3.58% | |
| 36. | 2022. 4. 30. | $24.33 | -5.81% | 4,131.93 | -8.80% | |
| 37. | 2022. 5. 31. | $26.62 | 9.41% | 4,132.15 | 0.01% | |
| 38. | 2022. 6. 30. | $30.68 | 15.25% | 3,785.38 | -8.39% | |
| 39. | 2022. 7. 31. | $33.53 | 9.29% | 4,130.29 | 9.11% | |
| 40. | 2022. 8. 31. | $38.13 | 13.72% | 3,955.00 | -4.24% | |
| 41. | 2022. 9. 30. | $37.62 | -1.34% | 3,585.62 | -9.34% | |
| 42. | 2022. 10. 31. | $43.26 | 14.99% | 3,871.98 | 7.99% | |
| 43. | 2022. 11. 30. | $54.96 | 27.05% | 4,080.11 | 5.38% | |
| 44. | 2022. 12. 31. | $55.30 | 0.62% | 3,839.50 | -5.90% | |
| 45. | 2023. 1. 31. | $57.55 | 4.07% | 4,076.60 | 6.18% | |
| 46. | 2023. 2. 28. | $74.75 | 29.89% | 3,970.15 | -2.61% | |
| 47. | 2023. 3. 31. | $82.35 | 10.17% | 4,109.31 | 3.51% | |
| 48. | 2023. 4. 30. | $92.76 | 12.64% | 4,169.48 | 1.46% | |
| 49. | 2023. 5. 31. | $104.02 | 12.14% | 4,179.83 | 0.25% | |
| 50. | 2023. 6. 30. | $114.23 | 9.82% | 4,376.86 | 4.71% | |
| 51. | 2023. 7. 31. | $116.72 | 2.18% | 4,588.96 | 4.85% | |
| 52. | 2023. 8. 31. | $138.71 | 18.84% | 4,507.66 | -1.77% | |
| 53. | 2023. 9. 30. | $109.83 | -20.82% | 4,288.05 | -4.87% | |
| 54. | 2023. 10. 31. | $92.63 | -15.66% | 4,193.80 | -2.20% | |
| 55. | 2023. 11. 30. | $118.09 | 27.49% | 4,567.80 | 8.92% | |
| 56. | 2023. 12. 31. | $144.34 | 22.23% | 4,769.83 | 4.42% | |
| 57. | 2024. 1. 31. | $159.53 | 10.52% | 4,845.65 | 1.59% | |
| 58. | 2024. 2. 29. | $208.53 | 30.72% | 5,096.27 | 5.17% | |
| 59. | 2024. 3. 31. | $196.03 | -5.99% | 5,254.35 | 3.10% | |
| 평균의 (R): | 5.78% | 1.13% | ||||
| 표준 편차: | 14.61% | 5.32% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 ELF의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
e.l.f. Beauty, Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RELF,t | RS&P 500,t | (RELF,t–RELF)2 | (RS&P 500,t–RS&P 500)2 | (RELF,t–RELF)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 5. 31. | -20.33% | -6.58% | 681.40 | 59.34 | 201.09 |
| 2. | 2019. 6. 30. | 38.37% | 6.89% | 1,062.49 | 33.26 | 187.99 |
| 3. | 2019. 7. 31. | 17.66% | 1.31% | 141.24 | 0.04 | 2.22 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 2. 29. | 30.72% | 5.17% | 622.01 | 16.37 | 100.92 |
| 59. | 2024. 3. 31. | -5.99% | 3.10% | 138.52 | 3.91 | -23.26 |
| 합계 (Σ): | 12,378.79 | 1,643.09 | 2,542.04 | |||
| t | 날짜 | RELF,t | RS&P 500,t | (RELF,t–RELF)2 | (RS&P 500,t–RS&P 500)2 | (RELF,t–RELF)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 5. 31. | -20.33% | -6.58% | 681.40 | 59.34 | 201.09 |
| 2. | 2019. 6. 30. | 38.37% | 6.89% | 1,062.49 | 33.26 | 187.99 |
| 3. | 2019. 7. 31. | 17.66% | 1.31% | 141.24 | 0.04 | 2.22 |
| 4. | 2019. 8. 31. | -1.63% | -1.81% | 54.80 | 8.61 | 21.73 |
| 5. | 2019. 9. 30. | 7.29% | 1.72% | 2.30 | 0.35 | 0.90 |
| 6. | 2019. 10. 31. | -4.05% | 2.04% | 96.63 | 0.84 | -9.02 |
| 7. | 2019. 11. 30. | -1.37% | 3.40% | 51.04 | 5.19 | -16.28 |
| 8. | 2019. 12. 31. | -2.66% | 2.86% | 71.07 | 3.00 | -14.61 |
| 9. | 2020. 1. 31. | -2.79% | -0.16% | 73.36 | 1.66 | 11.04 |
| 10. | 2020. 2. 29. | 1.79% | -8.41% | 15.92 | 90.95 | 38.05 |
| 11. | 2020. 3. 31. | -38.35% | -12.51% | 1,946.67 | 185.98 | 601.70 |
| 12. | 2020. 4. 30. | 32.83% | 12.68% | 731.70 | 133.61 | 312.67 |
| 13. | 2020. 5. 31. | 31.14% | 4.53% | 643.38 | 11.58 | 86.31 |
| 14. | 2020. 6. 30. | 11.26% | 1.84% | 30.09 | 0.51 | 3.91 |
| 15. | 2020. 7. 31. | -6.35% | 5.51% | 146.90 | 19.22 | -53.14 |
| 16. | 2020. 8. 31. | 9.35% | 7.01% | 12.78 | 34.58 | 21.03 |
| 17. | 2020. 9. 30. | -5.94% | -3.92% | 137.24 | 25.49 | 59.14 |
| 18. | 2020. 10. 31. | 10.34% | -2.77% | 20.86 | 15.15 | -17.78 |
| 19. | 2020. 11. 30. | 7.25% | 10.75% | 2.18 | 92.72 | 14.22 |
| 20. | 2020. 12. 31. | 15.87% | 3.71% | 101.89 | 6.69 | 26.11 |
| 21. | 2021. 1. 31. | -13.62% | -1.11% | 376.04 | 5.01 | 43.42 |
| 22. | 2021. 2. 28. | 17.88% | 2.61% | 146.45 | 2.20 | 17.95 |
| 23. | 2021. 3. 31. | 4.60% | 4.24% | 1.38 | 9.72 | -3.66 |
| 24. | 2021. 4. 30. | 12.75% | 5.24% | 48.61 | 16.95 | 28.70 |
| 25. | 2021. 5. 31. | -7.44% | 0.55% | 174.59 | 0.33 | 7.62 |
| 26. | 2021. 6. 30. | -3.07% | 2.22% | 78.26 | 1.20 | -9.69 |
| 27. | 2021. 7. 31. | 1.73% | 2.27% | 16.35 | 1.32 | -4.65 |
| 28. | 2021. 8. 31. | 12.10% | 2.90% | 39.97 | 3.14 | 11.21 |
| 29. | 2021. 9. 30. | -6.14% | -4.76% | 141.95 | 34.60 | 70.09 |
| 30. | 2021. 10. 31. | 11.22% | 6.91% | 29.67 | 33.51 | 31.53 |
| 31. | 2021. 11. 30. | -6.78% | -0.83% | 157.58 | 3.84 | 24.59 |
| 32. | 2021. 12. 31. | 10.26% | 4.36% | 20.10 | 10.47 | 14.51 |
| 33. | 2022. 1. 31. | -10.99% | -5.26% | 281.09 | 40.76 | 107.04 |
| 34. | 2022. 2. 28. | -10.59% | -3.14% | 267.77 | 18.16 | 69.74 |
| 35. | 2022. 3. 31. | -2.27% | 3.58% | 64.73 | 6.01 | -19.72 |
| 36. | 2022. 4. 30. | -5.81% | -8.80% | 134.15 | 98.43 | 114.91 |
| 37. | 2022. 5. 31. | 9.41% | 0.01% | 13.23 | 1.26 | -4.07 |
| 38. | 2022. 6. 30. | 15.25% | -8.39% | 89.80 | 90.59 | -90.19 |
| 39. | 2022. 7. 31. | 9.29% | 9.11% | 12.35 | 63.78 | 28.07 |
| 40. | 2022. 8. 31. | 13.72% | -4.24% | 63.11 | 28.83 | -42.66 |
| 41. | 2022. 9. 30. | -1.34% | -9.34% | 50.59 | 109.52 | 74.44 |
| 42. | 2022. 10. 31. | 14.99% | 7.99% | 84.95 | 47.07 | 63.23 |
| 43. | 2022. 11. 30. | 27.05% | 5.38% | 452.44 | 18.06 | 90.39 |
| 44. | 2022. 12. 31. | 0.62% | -5.90% | 26.59 | 49.32 | 36.21 |
| 45. | 2023. 1. 31. | 4.07% | 6.18% | 2.91 | 25.50 | -8.62 |
| 46. | 2023. 2. 28. | 29.89% | -2.61% | 581.38 | 13.96 | -90.10 |
| 47. | 2023. 3. 31. | 10.17% | 3.51% | 19.29 | 5.66 | 10.45 |
| 48. | 2023. 4. 30. | 12.64% | 1.46% | 47.14 | 0.11 | 2.32 |
| 49. | 2023. 5. 31. | 12.14% | 0.25% | 40.50 | 0.77 | -5.58 |
| 50. | 2023. 6. 30. | 9.82% | 4.71% | 16.32 | 12.88 | 14.50 |
| 51. | 2023. 7. 31. | 2.18% | 4.85% | 12.93 | 13.84 | -13.38 |
| 52. | 2023. 8. 31. | 18.84% | -1.77% | 170.69 | 8.39 | -37.85 |
| 53. | 2023. 9. 30. | -20.82% | -4.87% | 707.33 | 35.97 | 159.51 |
| 54. | 2023. 10. 31. | -15.66% | -2.20% | 459.49 | 11.05 | 71.24 |
| 55. | 2023. 11. 30. | 27.49% | 8.92% | 471.35 | 60.72 | 169.18 |
| 56. | 2023. 12. 31. | 22.23% | 4.42% | 270.72 | 10.87 | 54.25 |
| 57. | 2024. 1. 31. | 10.52% | 1.59% | 22.55 | 0.22 | 2.20 |
| 58. | 2024. 2. 29. | 30.72% | 5.17% | 622.01 | 16.37 | 100.92 |
| 59. | 2024. 3. 31. | -5.99% | 3.10% | 138.52 | 3.91 | -23.26 |
| 합계 (Σ): | 12,378.79 | 1,643.09 | 2,542.04 | |||
모두 보기
분산ELF = Σ(RELF,t–RELF)2 ÷ (59 – 1)
= 12,378.79 ÷ (59 – 1)
= 213.43
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,643.09 ÷ (59 – 1)
= 28.33
공분산ELF, S&P 500 = Σ(RELF,t–RELF)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 2,542.04 ÷ (59 – 1)
= 43.83
체계적인 위험 추정 (β)
| 분산ELF | 213.43 |
| 분산S&P 500 | 28.33 |
| 공분산ELF, S&P 500 | 43.83 |
| 상관 계수ELF, S&P 5001 | 0.56 |
| βELF2 | 1.55 |
| αELF3 | 4.03% |
계산
1 상관 계수ELF, S&P 500
= 공분산ELF, S&P 500 ÷ (표준 편차ELF × 표준 편차S&P 500)
= 43.83 ÷ (14.61% × 5.32%)
= 0.56
2 βELF
= 공분산ELF, S&P 500 ÷ 분산S&P 500
= 43.83 ÷ 28.33
= 1.55
3 αELF
= 평균의ELF – βELF × 평균의S&P 500
= 5.78% – 1.55 × 1.13%
= 4.03%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.98% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.84% |
| 보통주의 체계적 위험e.l.f. Beauty | βELF | 1.55 |
| e.l.f.의 예상 수익률 뷰티 보통주3 | E(RELF) | 20.24% |
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(RELF) = RF + βELF [E(RM) – RF]
= 4.98% + 1.55 [14.84% – 4.98%]
= 20.24%