자본 자산 가격 책정 모델(CAPM)은 CrowdStrike의 보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
CrowdStrike Holdings Inc. (CRWD) | Standard & Poor’s 500 (S&P 500) | |||||
---|---|---|---|---|---|---|
t | 날짜 | 값CRWD,t1 | 피제수CRWD,t1 | RCRWD,t2 | 값S&P 500,t | RS&P 500,t3 |
2019. 6. 30. | $68.29 | 2,941.76 | ||||
1. | 2019. 7. 31. | $89.07 | 30.43% | 2,980.38 | 1.31% | |
2. | 2019. 8. 31. | $81.28 | -8.75% | 2,926.46 | -1.81% | |
3. | 2019. 9. 30. | $58.31 | -28.26% | 2,976.74 | 1.72% | |
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
54. | 2023. 12. 31. | $255.32 | 7.73% | 4,769.83 | 4.42% | |
55. | 2024. 1. 31. | $292.50 | 14.56% | 4,845.65 | 1.59% | |
평균의 (R): | 3.86% | 1.05% | ||||
표준 편차: | 15.70% | 5.32% |
CrowdStrike Holdings Inc. (CRWD) | Standard & Poor’s 500 (S&P 500) | |||||
---|---|---|---|---|---|---|
t | 날짜 | 값CRWD,t1 | 피제수CRWD,t1 | RCRWD,t2 | 값S&P 500,t | RS&P 500,t3 |
2019. 6. 30. | $68.29 | 2,941.76 | ||||
1. | 2019. 7. 31. | $89.07 | 30.43% | 2,980.38 | 1.31% | |
2. | 2019. 8. 31. | $81.28 | -8.75% | 2,926.46 | -1.81% | |
3. | 2019. 9. 30. | $58.31 | -28.26% | 2,976.74 | 1.72% | |
4. | 2019. 10. 31. | $49.91 | -14.41% | 3,037.56 | 2.04% | |
5. | 2019. 11. 30. | $58.00 | 16.21% | 3,140.98 | 3.40% | |
6. | 2019. 12. 31. | $49.87 | -14.02% | 3,230.78 | 2.86% | |
7. | 2020. 1. 31. | $61.09 | 22.50% | 3,225.52 | -0.16% | |
8. | 2020. 2. 29. | $59.64 | -2.37% | 2,954.22 | -8.41% | |
9. | 2020. 3. 31. | $55.68 | -6.64% | 2,584.59 | -12.51% | |
10. | 2020. 4. 30. | $67.66 | 21.52% | 2,912.43 | 12.68% | |
11. | 2020. 5. 31. | $87.81 | 29.78% | 3,044.31 | 4.53% | |
12. | 2020. 6. 30. | $100.29 | 14.21% | 3,100.29 | 1.84% | |
13. | 2020. 7. 31. | $113.20 | 12.87% | 3,271.12 | 5.51% | |
14. | 2020. 8. 31. | $125.73 | 11.07% | 3,500.31 | 7.01% | |
15. | 2020. 9. 30. | $137.32 | 9.22% | 3,363.00 | -3.92% | |
16. | 2020. 10. 31. | $123.84 | -9.82% | 3,269.96 | -2.77% | |
17. | 2020. 11. 30. | $153.28 | 23.77% | 3,621.63 | 10.75% | |
18. | 2020. 12. 31. | $211.82 | 38.19% | 3,756.07 | 3.71% | |
19. | 2021. 1. 31. | $215.80 | 1.88% | 3,714.24 | -1.11% | |
20. | 2021. 2. 28. | $216.00 | 0.09% | 3,811.15 | 2.61% | |
21. | 2021. 3. 31. | $182.51 | -15.50% | 3,972.89 | 4.24% | |
22. | 2021. 4. 30. | $208.51 | 14.25% | 4,181.17 | 5.24% | |
23. | 2021. 5. 31. | $222.15 | 6.54% | 4,204.11 | 0.55% | |
24. | 2021. 6. 30. | $251.31 | 13.13% | 4,297.50 | 2.22% | |
25. | 2021. 7. 31. | $253.61 | 0.92% | 4,395.26 | 2.27% | |
26. | 2021. 8. 31. | $281.00 | 10.80% | 4,522.68 | 2.90% | |
27. | 2021. 9. 30. | $245.78 | -12.53% | 4,307.54 | -4.76% | |
28. | 2021. 10. 31. | $281.80 | 14.66% | 4,605.38 | 6.91% | |
29. | 2021. 11. 30. | $217.14 | -22.95% | 4,567.00 | -0.83% | |
30. | 2021. 12. 31. | $204.75 | -5.71% | 4,766.18 | 4.36% | |
31. | 2022. 1. 31. | $180.64 | -11.78% | 4,515.55 | -5.26% | |
32. | 2022. 2. 28. | $195.21 | 8.07% | 4,373.94 | -3.14% | |
33. | 2022. 3. 31. | $227.08 | 16.33% | 4,530.41 | 3.58% | |
34. | 2022. 4. 30. | $198.76 | -12.47% | 4,131.93 | -8.80% | |
35. | 2022. 5. 31. | $159.99 | -19.51% | 4,132.15 | 0.01% | |
36. | 2022. 6. 30. | $168.56 | 5.36% | 3,785.38 | -8.39% | |
37. | 2022. 7. 31. | $183.60 | 8.92% | 4,130.29 | 9.11% | |
38. | 2022. 8. 31. | $182.61 | -0.54% | 3,955.00 | -4.24% | |
39. | 2022. 9. 30. | $164.81 | -9.75% | 3,585.62 | -9.34% | |
40. | 2022. 10. 31. | $161.20 | -2.19% | 3,871.98 | 7.99% | |
41. | 2022. 11. 30. | $117.65 | -27.02% | 4,080.11 | 5.38% | |
42. | 2022. 12. 31. | $105.29 | -10.51% | 3,839.50 | -5.90% | |
43. | 2023. 1. 31. | $105.90 | 0.58% | 4,076.60 | 6.18% | |
44. | 2023. 2. 28. | $120.69 | 13.97% | 3,970.15 | -2.61% | |
45. | 2023. 3. 31. | $137.26 | 13.73% | 4,109.31 | 3.51% | |
46. | 2023. 4. 30. | $120.05 | -12.54% | 4,169.48 | 1.46% | |
47. | 2023. 5. 31. | $160.13 | 33.39% | 4,179.83 | 0.25% | |
48. | 2023. 6. 30. | $146.87 | -8.28% | 4,376.86 | 4.71% | |
49. | 2023. 7. 31. | $161.66 | 10.07% | 4,588.96 | 4.85% | |
50. | 2023. 8. 31. | $163.03 | 0.85% | 4,507.66 | -1.77% | |
51. | 2023. 9. 30. | $167.38 | 2.67% | 4,288.05 | -4.87% | |
52. | 2023. 10. 31. | $176.77 | 5.61% | 4,193.80 | -2.20% | |
53. | 2023. 11. 30. | $236.99 | 34.07% | 4,567.80 | 8.92% | |
54. | 2023. 12. 31. | $255.32 | 7.73% | 4,769.83 | 4.42% | |
55. | 2024. 1. 31. | $292.50 | 14.56% | 4,845.65 | 1.59% | |
평균의 (R): | 3.86% | 1.05% | ||||
표준 편차: | 15.70% | 5.32% |
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 CRWD의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
t | 날짜 | RCRWD,t | RS&P 500,t | (RCRWD,t–RCRWD)2 | (RS&P 500,t–RS&P 500)2 | (RCRWD,t–RCRWD)×(RS&P 500,t–RS&P 500) |
---|---|---|---|---|---|---|
1. | 2019. 7. 31. | 30.43% | 1.31% | 705.82 | 0.07 | 6.95 |
2. | 2019. 8. 31. | -8.75% | -1.81% | 158.95 | 8.18 | 36.06 |
3. | 2019. 9. 30. | -28.26% | 1.72% | 1,031.83 | 0.44 | -21.42 |
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54. | 2023. 12. 31. | 7.73% | 4.42% | 15.00 | 11.37 | 13.06 |
55. | 2024. 1. 31. | 14.56% | 1.59% | 114.50 | 0.29 | 5.76 |
합계 (Σ): | 13,311.36 | 1,529.90 | 1,650.95 |
t | 날짜 | RCRWD,t | RS&P 500,t | (RCRWD,t–RCRWD)2 | (RS&P 500,t–RS&P 500)2 | (RCRWD,t–RCRWD)×(RS&P 500,t–RS&P 500) |
---|---|---|---|---|---|---|
1. | 2019. 7. 31. | 30.43% | 1.31% | 705.82 | 0.07 | 6.95 |
2. | 2019. 8. 31. | -8.75% | -1.81% | 158.95 | 8.18 | 36.06 |
3. | 2019. 9. 30. | -28.26% | 1.72% | 1,031.83 | 0.44 | -21.42 |
4. | 2019. 10. 31. | -14.41% | 2.04% | 333.70 | 0.98 | -18.12 |
5. | 2019. 11. 30. | 16.21% | 3.40% | 152.46 | 5.54 | 29.06 |
6. | 2019. 12. 31. | -14.02% | 2.86% | 319.66 | 3.27 | -32.32 |
7. | 2020. 1. 31. | 22.50% | -0.16% | 347.33 | 1.47 | -22.63 |
8. | 2020. 2. 29. | -2.37% | -8.41% | 38.88 | 89.54 | 59.00 |
9. | 2020. 3. 31. | -6.64% | -12.51% | 110.28 | 183.96 | 142.44 |
10. | 2020. 4. 30. | 21.52% | 12.68% | 311.66 | 135.33 | 205.37 |
11. | 2020. 5. 31. | 29.78% | 4.53% | 671.82 | 12.09 | 90.12 |
12. | 2020. 6. 30. | 14.21% | 1.84% | 107.14 | 0.62 | 8.15 |
13. | 2020. 7. 31. | 12.87% | 5.51% | 81.20 | 19.88 | 40.18 |
14. | 2020. 8. 31. | 11.07% | 7.01% | 51.94 | 35.46 | 42.92 |
15. | 2020. 9. 30. | 9.22% | -3.92% | 28.69 | 24.74 | -26.64 |
16. | 2020. 10. 31. | -9.82% | -2.77% | 187.09 | 14.58 | 52.22 |
17. | 2020. 11. 30. | 23.77% | 10.75% | 396.44 | 94.15 | 193.20 |
18. | 2020. 12. 31. | 38.19% | 3.71% | 1,178.53 | 7.08 | 91.35 |
19. | 2021. 1. 31. | 1.88% | -1.11% | 3.93 | 4.69 | 4.29 |
20. | 2021. 2. 28. | 0.09% | 2.61% | 14.21 | 2.43 | -5.87 |
21. | 2021. 3. 31. | -15.50% | 4.24% | 375.06 | 10.19 | -61.83 |
22. | 2021. 4. 30. | 14.25% | 5.24% | 107.83 | 17.57 | 43.52 |
23. | 2021. 5. 31. | 6.54% | 0.55% | 7.18 | 0.25 | -1.35 |
24. | 2021. 6. 30. | 13.13% | 2.22% | 85.83 | 1.37 | 10.84 |
25. | 2021. 7. 31. | 0.92% | 2.27% | 8.68 | 1.50 | -3.61 |
26. | 2021. 8. 31. | 10.80% | 2.90% | 48.14 | 3.41 | 12.82 |
27. | 2021. 9. 30. | -12.53% | -4.76% | 268.82 | 33.74 | 95.23 |
28. | 2021. 10. 31. | 14.66% | 6.91% | 116.50 | 34.38 | 63.28 |
29. | 2021. 11. 30. | -22.95% | -0.83% | 718.62 | 3.55 | 50.52 |
30. | 2021. 12. 31. | -5.71% | 4.36% | 91.54 | 10.96 | -31.67 |
31. | 2022. 1. 31. | -11.78% | -5.26% | 244.52 | 39.81 | 98.67 |
32. | 2022. 2. 28. | 8.07% | -3.14% | 17.67 | 17.53 | -17.60 |
33. | 2022. 3. 31. | 16.33% | 3.58% | 155.36 | 6.38 | 31.48 |
34. | 2022. 4. 30. | -12.47% | -8.80% | 266.77 | 96.96 | 160.83 |
35. | 2022. 5. 31. | -19.51% | 0.01% | 546.05 | 1.09 | 24.44 |
36. | 2022. 6. 30. | 5.36% | -8.39% | 2.23 | 89.18 | -14.12 |
37. | 2022. 7. 31. | 8.92% | 9.11% | 25.61 | 64.97 | 40.79 |
38. | 2022. 8. 31. | -0.54% | -4.24% | 19.37 | 28.04 | 23.30 |
39. | 2022. 9. 30. | -9.75% | -9.34% | 185.21 | 107.97 | 141.41 |
40. | 2022. 10. 31. | -2.19% | 7.99% | 36.63 | 48.09 | -41.97 |
41. | 2022. 11. 30. | -27.02% | 5.38% | 953.44 | 18.70 | -133.51 |
42. | 2022. 12. 31. | -10.51% | -5.90% | 206.43 | 48.28 | 99.83 |
43. | 2023. 1. 31. | 0.58% | 6.18% | 10.77 | 26.25 | -16.82 |
44. | 2023. 2. 28. | 13.97% | -2.61% | 102.10 | 13.41 | -37.01 |
45. | 2023. 3. 31. | 13.73% | 3.51% | 97.37 | 6.02 | 24.21 |
46. | 2023. 4. 30. | -12.54% | 1.46% | 268.96 | 0.17 | -6.77 |
47. | 2023. 5. 31. | 33.39% | 0.25% | 871.69 | 0.64 | -23.71 |
48. | 2023. 6. 30. | -8.28% | 4.71% | 147.44 | 13.41 | -44.47 |
49. | 2023. 7. 31. | 10.07% | 4.85% | 38.54 | 14.40 | 23.56 |
50. | 2023. 8. 31. | 0.85% | -1.77% | 9.09 | 7.97 | 8.51 |
51. | 2023. 9. 30. | 2.67% | -4.87% | 1.42 | 35.08 | 7.07 |
52. | 2023. 10. 31. | 5.61% | -2.20% | 3.06 | 10.56 | -5.68 |
53. | 2023. 11. 30. | 34.07% | 8.92% | 912.35 | 61.88 | 237.61 |
54. | 2023. 12. 31. | 7.73% | 4.42% | 15.00 | 11.37 | 13.06 |
55. | 2024. 1. 31. | 14.56% | 1.59% | 114.50 | 0.29 | 5.76 |
합계 (Σ): | 13,311.36 | 1,529.90 | 1,650.95 |
모두 보기
분산CRWD = Σ(RCRWD,t–RCRWD)2 ÷ (55 – 1)
= 13,311.36 ÷ (55 – 1)
= 246.51
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (55 – 1)
= 1,529.90 ÷ (55 – 1)
= 28.33
공분산CRWD, S&P 500 = Σ(RCRWD,t–RCRWD)×(RS&P 500,t–RS&P 500) ÷ (55 – 1)
= 1,650.95 ÷ (55 – 1)
= 30.57
체계적인 위험 추정 (β)
분산CRWD | 246.51 |
분산S&P 500 | 28.33 |
공분산CRWD, S&P 500 | 30.57 |
상관 계수CRWD, S&P 5001 | 0.37 |
βCRWD2 | 1.08 |
αCRWD3 | 2.73% |
계산
1 상관 계수CRWD, S&P 500
= 공분산CRWD, S&P 500 ÷ (표준 편차CRWD × 표준 편차S&P 500)
= 30.57 ÷ (15.70% × 5.32%)
= 0.37
2 βCRWD
= 공분산CRWD, S&P 500 ÷ 분산S&P 500
= 30.57 ÷ 28.33
= 1.08
3 αCRWD
= 평균의CRWD – βCRWD × 평균의S&P 500
= 3.86% – 1.08 × 1.05%
= 2.73%
기대 수익률
가정 | ||
LT Treasury Composite의 수익률1 | RF | 4.07% |
시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.86% |
보통주의 체계적 위험CrowdStrike | βCRWD | 1.08 |
CrowdStrike 보통주의 예상 수익률3 | E(RCRWD) | 14.64% |
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(RCRWD) = RF + βCRWD [E(RM) – RF]
= 4.07% + 1.08 [13.86% – 4.07%]
= 14.64%