리스크 분해

주식의 분산을 체계적(β 주도) 및 비체계적(주식 특유) 구성요소로 나눕니다. CAPM 하에서는 체계적 위험만 프리미엄을 받습니다.

Split a stock's total variance σ²_i into systematic (β·σ_m, can't diversify away) and idiosyncratic (σ_ε, fully diversifiable in a portfolio). Country focus sets σ_m for S&P 500.

Asset inputs

Asset σ_i (annual)

Asset β_i (vs market)

Market σ_m (S&P 500)

15.0%

Quick presets

Variance decomposition

Systematic 45%

Idiosyncratic 55%

Systematic (β-driven, undiversifiable)Idiosyncratic (stock-specific, diversifiable)

Total variance σ²_i

784 bp²

σ_i = 28.0%

Systematic β²σ²_m

352 bp²

= 44.8% of total

Idiosyncratic σ²_ε

432 bp²

= 55.2% of total

Diversifiable σ_ε

20.8%

goes to 0 in a fully-diversified book

CAPM rewards only systematic risk. The idiosyncratic piece carries no expected premium — a well-diversified investor diversifies it away. Concentrated portfolios (a few high-σ_ε names) leave compensation on the table for risk that can be eliminated for free.

Every stock's risk has two parts. Systematic risk comes from macro and market moves - it can't be diversified away. Idiosyncratic risk is company-specific - earnings misses, scandals, product launches - and disappears in a portfolio of 30+ stocks. Only systematic risk earns a premium.

모든 랩은 표준 교과서 수학에 근거합니다 (Bodie / Kane / Marcus, Fabozzi, Tandelilin). Read the full methodology in the How It Works panel above.