Stock Analysis on Net

Align Technology Inc. (NASDAQ:ALGN)

이 회사는 아카이브로 이동되었습니다! 재무 데이터는 2023년 11월 3일 이후로 업데이트되지 않았습니다.

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

수익률

Align Technology Inc., 월별 수익률

Microsoft Excel
Align Technology Inc. (ALGN) Standard & Poor’s 500 (S&P 500)
t 날짜 ALGN,t1 피제수ALGN,t1 RALGN,t2 S&P 500,t RS&P 500,t3
2018. 1. 31. $262.00 2,823.81
1. 2018. 2. 28. $262.52 0.20% 2,713.83 -3.89%
2. 2018. 3. 31. $251.13 -4.34% 2,640.87 -2.69%
3. 2018. 4. 30. $249.85 -0.51% 2,648.05 0.27%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2022. 11. 30. $196.66 1.21% 4,080.11 5.38%
59. 2022. 12. 31. $210.90 7.24% 3,839.50 -5.90%
평균의 (R): 0.78% 0.67%
표준 편차: 14.90% 5.40%
Align Technology Inc. (ALGN) Standard & Poor’s 500 (S&P 500)
t 날짜 ALGN,t1 피제수ALGN,t1 RALGN,t2 S&P 500,t RS&P 500,t3
2018. 1. 31. $262.00 2,823.81
1. 2018. 2. 28. $262.52 0.20% 2,713.83 -3.89%
2. 2018. 3. 31. $251.13 -4.34% 2,640.87 -2.69%
3. 2018. 4. 30. $249.85 -0.51% 2,648.05 0.27%
4. 2018. 5. 31. $331.95 32.86% 2,705.27 2.16%
5. 2018. 6. 30. $342.14 3.07% 2,718.37 0.48%
6. 2018. 7. 31. $356.65 4.24% 2,816.29 3.60%
7. 2018. 8. 31. $386.49 8.37% 2,901.52 3.03%
8. 2018. 9. 30. $391.22 1.22% 2,913.98 0.43%
9. 2018. 10. 31. $221.20 -43.46% 2,711.74 -6.94%
10. 2018. 11. 30. $229.89 3.93% 2,760.17 1.79%
11. 2018. 12. 31. $209.43 -8.90% 2,506.85 -9.18%
12. 2019. 1. 31. $248.95 18.87% 2,704.10 7.87%
13. 2019. 2. 28. $258.97 4.02% 2,784.49 2.97%
14. 2019. 3. 31. $284.33 9.79% 2,834.40 1.79%
15. 2019. 4. 30. $324.68 14.19% 2,945.83 3.93%
16. 2019. 5. 31. $284.35 -12.42% 2,752.06 -6.58%
17. 2019. 6. 30. $273.70 -3.75% 2,941.76 6.89%
18. 2019. 7. 31. $209.08 -23.61% 2,980.38 1.31%
19. 2019. 8. 31. $183.11 -12.42% 2,926.46 -1.81%
20. 2019. 9. 30. $180.92 -1.20% 2,976.74 1.72%
21. 2019. 10. 31. $252.29 39.45% 3,037.56 2.04%
22. 2019. 11. 30. $277.34 9.93% 3,140.98 3.40%
23. 2019. 12. 31. $279.04 0.61% 3,230.78 2.86%
24. 2020. 1. 31. $257.10 -7.86% 3,225.52 -0.16%
25. 2020. 2. 29. $218.35 -15.07% 2,954.22 -8.41%
26. 2020. 3. 31. $173.95 -20.33% 2,584.59 -12.51%
27. 2020. 4. 30. $214.85 23.51% 2,912.43 12.68%
28. 2020. 5. 31. $245.62 14.32% 3,044.31 4.53%
29. 2020. 6. 30. $274.44 11.73% 3,100.29 1.84%
30. 2020. 7. 31. $293.82 7.06% 3,271.12 5.51%
31. 2020. 8. 31. $296.98 1.08% 3,500.31 7.01%
32. 2020. 9. 30. $327.36 10.23% 3,363.00 -3.92%
33. 2020. 10. 31. $426.08 30.16% 3,269.96 -2.77%
34. 2020. 11. 30. $481.29 12.96% 3,621.63 10.75%
35. 2020. 12. 31. $534.38 11.03% 3,756.07 3.71%
36. 2021. 1. 31. $525.38 -1.68% 3,714.24 -1.11%
37. 2021. 2. 28. $567.11 7.94% 3,811.15 2.61%
38. 2021. 3. 31. $541.53 -4.51% 3,972.89 4.24%
39. 2021. 4. 30. $595.53 9.97% 4,181.17 5.24%
40. 2021. 5. 31. $590.15 -0.90% 4,204.11 0.55%
41. 2021. 6. 30. $611.00 3.53% 4,297.50 2.22%
42. 2021. 7. 31. $695.80 13.88% 4,395.26 2.27%
43. 2021. 8. 31. $709.00 1.90% 4,522.68 2.90%
44. 2021. 9. 30. $665.43 -6.15% 4,307.54 -4.76%
45. 2021. 10. 31. $624.37 -6.17% 4,605.38 6.91%
46. 2021. 11. 30. $611.53 -2.06% 4,567.00 -0.83%
47. 2021. 12. 31. $657.18 7.46% 4,766.18 4.36%
48. 2022. 1. 31. $494.96 -24.68% 4,515.55 -5.26%
49. 2022. 2. 28. $511.46 3.33% 4,373.94 -3.14%
50. 2022. 3. 31. $436.00 -14.75% 4,530.41 3.58%
51. 2022. 4. 30. $289.91 -33.51% 4,131.93 -8.80%
52. 2022. 5. 31. $277.64 -4.23% 4,132.15 0.01%
53. 2022. 6. 30. $236.67 -14.76% 3,785.38 -8.39%
54. 2022. 7. 31. $280.97 18.72% 4,130.29 9.11%
55. 2022. 8. 31. $243.70 -13.26% 3,955.00 -4.24%
56. 2022. 9. 30. $207.11 -15.01% 3,585.62 -9.34%
57. 2022. 10. 31. $194.30 -6.19% 3,871.98 7.99%
58. 2022. 11. 30. $196.66 1.21% 4,080.11 5.38%
59. 2022. 12. 31. $210.90 7.24% 3,839.50 -5.90%
평균의 (R): 0.78% 0.67%
표준 편차: 14.90% 5.40%

모두 보기

1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.

2 기간 t 동안 ALGN의 보통주 수익률.

3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.


분산과 공분산

Align Technology Inc., 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RALGN,t RS&P 500,t (RALGN,tRALGN)2 (RS&P 500,tRS&P 500)2 (RALGN,tRALGN)×(RS&P 500,tRS&P 500)
1. 2018. 2. 28. 0.20% -3.89% 0.34 20.81 2.67
2. 2018. 3. 31. -4.34% -2.69% 26.25 11.26 17.19
3. 2018. 4. 30. -0.51% 0.27% 1.68 0.16 0.51
. . . . . . .
. . . . . . .
. . . . . . .
58. 2022. 11. 30. 1.21% 5.38% 0.18 22.17 2.02
59. 2022. 12. 31. 7.24% -5.90% 41.68 43.08 -42.38
합계 (Σ): 12,875.12 1,691.48 2,637.01
t 날짜 RALGN,t RS&P 500,t (RALGN,tRALGN)2 (RS&P 500,tRS&P 500)2 (RALGN,tRALGN)×(RS&P 500,tRS&P 500)
1. 2018. 2. 28. 0.20% -3.89% 0.34 20.81 2.67
2. 2018. 3. 31. -4.34% -2.69% 26.25 11.26 17.19
3. 2018. 4. 30. -0.51% 0.27% 1.68 0.16 0.51
4. 2018. 5. 31. 32.86% 2.16% 1,028.81 2.23 47.93
5. 2018. 6. 30. 3.07% 0.48% 5.22 0.03 -0.42
6. 2018. 7. 31. 4.24% 3.60% 11.95 8.62 10.15
7. 2018. 8. 31. 8.37% 3.03% 57.49 5.57 17.89
8. 2018. 9. 30. 1.22% 0.43% 0.19 0.06 -0.10
9. 2018. 10. 31. -43.46% -6.94% 1,957.49 57.87 336.56
10. 2018. 11. 30. 3.93% 1.79% 9.88 1.25 3.52
11. 2018. 12. 31. -8.90% -9.18% 93.79 96.91 95.34
12. 2019. 1. 31. 18.87% 7.87% 327.09 51.87 130.25
13. 2019. 2. 28. 4.02% 2.97% 10.50 5.32 7.47
14. 2019. 3. 31. 9.79% 1.79% 81.14 1.27 10.14
15. 2019. 4. 30. 14.19% 3.93% 179.74 10.66 43.77
16. 2019. 5. 31. -12.42% -6.58% 174.40 52.48 95.67
17. 2019. 6. 30. -3.75% 6.89% 20.52 38.77 -28.21
18. 2019. 7. 31. -23.61% 1.31% 595.09 0.42 -15.76
19. 2019. 8. 31. -12.42% -1.81% 174.39 6.13 32.69
20. 2019. 9. 30. -1.20% 1.72% 3.92 1.11 -2.08
21. 2019. 10. 31. 39.45% 2.04% 1,494.88 1.89 53.22
22. 2019. 11. 30. 9.93% 3.40% 83.62 7.50 25.04
23. 2019. 12. 31. 0.61% 2.86% 0.03 4.81 -0.38
24. 2020. 1. 31. -7.86% -0.16% 74.78 0.69 7.17
25. 2020. 2. 29. -15.07% -8.41% 251.43 82.40 143.94
26. 2020. 3. 31. -20.33% -12.51% 446.01 173.67 278.32
27. 2020. 4. 30. 23.51% 12.68% 516.56 144.43 273.14
28. 2020. 5. 31. 14.32% 4.53% 183.25 14.91 52.27
29. 2020. 6. 30. 11.73% 1.84% 119.88 1.37 12.83
30. 2020. 7. 31. 7.06% 5.51% 39.40 23.46 30.40
31. 2020. 8. 31. 1.08% 7.01% 0.08 40.19 1.84
32. 2020. 9. 30. 10.23% -3.92% 89.21 21.06 -43.35
33. 2020. 10. 31. 30.16% -2.77% 862.70 11.79 -100.84
34. 2020. 11. 30. 12.96% 10.75% 148.18 101.77 122.80
35. 2020. 12. 31. 11.03% 3.71% 104.98 9.28 31.20
36. 2021. 1. 31. -1.68% -1.11% 6.10 3.17 4.40
37. 2021. 2. 28. 7.94% 2.61% 51.24 3.77 13.90
38. 2021. 3. 31. -4.51% 4.24% 28.04 12.80 -18.94
39. 2021. 4. 30. 9.97% 5.24% 84.40 20.94 42.04
40. 2021. 5. 31. -0.90% 0.55% 2.85 0.01 0.20
41. 2021. 6. 30. 3.53% 2.22% 7.55 2.42 4.27
42. 2021. 7. 31. 13.88% 2.27% 171.46 2.59 21.06
43. 2021. 8. 31. 1.90% 2.90% 1.24 4.98 2.48
44. 2021. 9. 30. -6.15% -4.76% 48.02 29.42 37.58
45. 2021. 10. 31. -6.17% 6.91% 48.37 39.03 -43.45
46. 2021. 11. 30. -2.06% -0.83% 8.07 2.25 4.26
47. 2021. 12. 31. 7.46% 4.36% 44.63 13.65 24.68
48. 2022. 1. 31. -24.68% -5.26% 648.66 35.11 150.91
49. 2022. 2. 28. 3.33% -3.14% 6.50 14.46 -9.69
50. 2022. 3. 31. -14.75% 3.58% 241.44 8.47 -45.23
51. 2022. 4. 30. -33.51% -8.80% 1,175.91 89.54 324.48
52. 2022. 5. 31. -4.23% 0.01% 25.17 0.44 3.32
53. 2022. 6. 30. -14.76% -8.39% 241.53 82.06 140.78
54. 2022. 7. 31. 18.72% 9.11% 321.61 71.32 151.45
55. 2022. 8. 31. -13.26% -4.24% 197.39 24.11 68.99
56. 2022. 9. 30. -15.01% -9.34% 249.61 100.12 158.09
57. 2022. 10. 31. -6.19% 7.99% 48.58 53.58 -51.02
58. 2022. 11. 30. 1.21% 5.38% 0.18 22.17 2.02
59. 2022. 12. 31. 7.24% -5.90% 41.68 43.08 -42.38
합계 (Σ): 12,875.12 1,691.48 2,637.01

모두 보기

분산ALGN = Σ(RALGN,tRALGN)2 ÷ (59 – 1)
= 12,875.12 ÷ (59 – 1)
= 221.98

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16

공분산ALGN, S&P 500 = Σ(RALGN,tRALGN)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 2,637.01 ÷ (59 – 1)
= 45.47


체계적인 위험 추정 (β)

Microsoft Excel
분산ALGN 221.98
분산S&P 500 29.16
공분산ALGN, S&P 500 45.47
상관 계수ALGN, S&P 5001 0.57
βALGN2 1.56
αALGN3 -0.25%

계산

1 상관 계수ALGN, S&P 500
= 공분산ALGN, S&P 500 ÷ (표준 편차ALGN × 표준 편차S&P 500)
= 45.47 ÷ (14.90% × 5.40%)
= 0.57

2 βALGN
= 공분산ALGN, S&P 500 ÷ 분산S&P 500
= 45.47 ÷ 29.16
= 1.56

3 αALGN
= 평균의ALGN – βALGN × 평균의S&P 500
= 0.78%1.56 × 0.67%
= -0.25%


기대 수익률

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.81%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 14.72%
보통주의 체계적 위험Align βALGN 1.56
 
Align 보통주에 대한 예상 수익률3 E(RALGN) 20.26%

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(RALGN) = RF + βALGN [E(RM) – RF]
= 4.81% + 1.56 [14.72%4.81%]
= 20.26%