자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 CrowdStrike의 보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
CrowdStrike Holdings Inc., 월별 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% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 66. | 2024. 12. 31. | $342.16 | -1.10% | 5,881.63 | -2.50% | |
| 67. | 2025. 1. 31. | $398.07 | 16.34% | 6,040.53 | 2.70% | |
| 평균의 (R): | 3.90% | 1.20% | ||||
| 표준 편차: | 15.75% | 4.99% | ||||
| 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% | |
| 56. | 2024. 2. 29. | $324.15 | 10.82% | 5,096.27 | 5.17% | |
| 57. | 2024. 3. 31. | $320.59 | -1.10% | 5,254.35 | 3.10% | |
| 58. | 2024. 4. 30. | $292.54 | -8.75% | 5,035.69 | -4.16% | |
| 59. | 2024. 5. 31. | $313.67 | 7.22% | 5,277.51 | 4.80% | |
| 60. | 2024. 6. 30. | $383.19 | 22.16% | 5,460.48 | 3.47% | |
| 61. | 2024. 7. 31. | $231.96 | -39.47% | 5,522.30 | 1.13% | |
| 62. | 2024. 8. 31. | $277.28 | 19.54% | 5,648.40 | 2.28% | |
| 63. | 2024. 9. 30. | $280.47 | 1.15% | 5,762.48 | 2.02% | |
| 64. | 2024. 10. 31. | $296.87 | 5.85% | 5,705.45 | -0.99% | |
| 65. | 2024. 11. 30. | $345.97 | 16.54% | 6,032.38 | 5.73% | |
| 66. | 2024. 12. 31. | $342.16 | -1.10% | 5,881.63 | -2.50% | |
| 67. | 2025. 1. 31. | $398.07 | 16.34% | 6,040.53 | 2.70% | |
| 평균의 (R): | 3.90% | 1.20% | ||||
| 표준 편차: | 15.75% | 4.99% | ||||
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
CrowdStrike Holdings Inc., 수익률의 분산 및 공분산 계산
| 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% | 703.55 | 0.01 | 2.92 |
| 2. | 2019. 8. 31. | -8.75% | -1.81% | 160.03 | 9.07 | 38.10 |
| 3. | 2019. 9. 30. | -28.26% | 1.72% | 1,034.58 | 0.27 | -16.58 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 66. | 2024. 12. 31. | -1.10% | -2.50% | 25.06 | 13.70 | 18.53 |
| 67. | 2025. 1. 31. | 16.34% | 2.70% | 154.65 | 2.25 | 18.64 |
| 합계 (Σ): | 16,364.95 | 1,640.48 | 1,898.25 | |||
| 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% | 703.55 | 0.01 | 2.92 |
| 2. | 2019. 8. 31. | -8.75% | -1.81% | 160.03 | 9.07 | 38.10 |
| 3. | 2019. 9. 30. | -28.26% | 1.72% | 1,034.58 | 0.27 | -16.58 |
| 4. | 2019. 10. 31. | -14.41% | 2.04% | 335.27 | 0.71 | -15.39 |
| 5. | 2019. 11. 30. | 16.21% | 3.40% | 151.40 | 4.85 | 27.09 |
| 6. | 2019. 12. 31. | -14.02% | 2.86% | 321.19 | 2.74 | -29.68 |
| 7. | 2020. 1. 31. | 22.50% | -0.16% | 345.73 | 1.86 | -25.39 |
| 8. | 2020. 2. 29. | -2.37% | -8.41% | 39.41 | 92.42 | 60.36 |
| 9. | 2020. 3. 31. | -6.64% | -12.51% | 111.18 | 188.09 | 144.61 |
| 10. | 2020. 4. 30. | 21.52% | 12.68% | 310.16 | 131.83 | 202.21 |
| 11. | 2020. 5. 31. | 29.78% | 4.53% | 669.60 | 11.06 | 86.05 |
| 12. | 2020. 6. 30. | 14.21% | 1.84% | 106.25 | 0.40 | 6.56 |
| 13. | 2020. 7. 31. | 12.87% | 5.51% | 80.43 | 18.55 | 38.63 |
| 14. | 2020. 8. 31. | 11.07% | 7.01% | 51.33 | 33.68 | 41.58 |
| 15. | 2020. 9. 30. | 9.22% | -3.92% | 28.23 | 26.27 | -27.24 |
| 16. | 2020. 10. 31. | -9.82% | -2.77% | 188.27 | 15.76 | 54.46 |
| 17. | 2020. 11. 30. | 23.77% | 10.75% | 394.74 | 91.24 | 189.78 |
| 18. | 2020. 12. 31. | 38.19% | 3.71% | 1,175.60 | 6.30 | 86.04 |
| 19. | 2021. 1. 31. | 1.88% | -1.11% | 4.10 | 5.37 | 4.69 |
| 20. | 2021. 2. 28. | 0.09% | 2.61% | 14.53 | 1.98 | -5.36 |
| 21. | 2021. 3. 31. | -15.50% | 4.24% | 376.72 | 9.25 | -59.03 |
| 22. | 2021. 4. 30. | 14.25% | 5.24% | 106.94 | 16.32 | 41.78 |
| 23. | 2021. 5. 31. | 6.54% | 0.55% | 6.95 | 0.43 | -1.72 |
| 24. | 2021. 6. 30. | 13.13% | 2.22% | 85.04 | 1.04 | 9.39 |
| 25. | 2021. 7. 31. | 0.92% | 2.27% | 8.94 | 1.15 | -3.20 |
| 26. | 2021. 8. 31. | 10.80% | 2.90% | 47.55 | 2.88 | 11.70 |
| 27. | 2021. 9. 30. | -12.53% | -4.76% | 270.22 | 35.52 | 97.97 |
| 28. | 2021. 10. 31. | 14.66% | 6.91% | 115.58 | 32.62 | 61.41 |
| 29. | 2021. 11. 30. | -22.95% | -0.83% | 720.92 | 4.15 | 54.67 |
| 30. | 2021. 12. 31. | -5.71% | 4.36% | 92.36 | 9.98 | -30.36 |
| 31. | 2022. 1. 31. | -11.78% | -5.26% | 245.86 | 41.75 | 101.31 |
| 32. | 2022. 2. 28. | 8.07% | -3.14% | 17.32 | 18.82 | -18.05 |
| 33. | 2022. 3. 31. | 16.33% | 3.58% | 154.29 | 5.64 | 29.50 |
| 34. | 2022. 4. 30. | -12.47% | -8.80% | 268.17 | 99.97 | 163.73 |
| 35. | 2022. 5. 31. | -19.51% | 0.01% | 548.05 | 1.43 | 28.03 |
| 36. | 2022. 6. 30. | 5.36% | -8.39% | 2.11 | 92.06 | -13.93 |
| 37. | 2022. 7. 31. | 8.92% | 9.11% | 25.18 | 62.55 | 39.69 |
| 38. | 2022. 8. 31. | -0.54% | -4.24% | 19.75 | 29.67 | 24.20 |
| 39. | 2022. 9. 30. | -9.75% | -9.34% | 186.38 | 111.14 | 143.92 |
| 40. | 2022. 10. 31. | -2.19% | 7.99% | 37.15 | 46.02 | -41.35 |
| 41. | 2022. 11. 30. | -27.02% | 5.38% | 956.09 | 17.41 | -129.02 |
| 42. | 2022. 12. 31. | -10.51% | -5.90% | 207.66 | 50.41 | 102.31 |
| 43. | 2023. 1. 31. | 0.58% | 6.18% | 11.06 | 24.73 | -16.53 |
| 44. | 2023. 2. 28. | 13.97% | -2.61% | 101.23 | 14.55 | -38.37 |
| 45. | 2023. 3. 31. | 13.73% | 3.51% | 96.53 | 5.30 | 22.62 |
| 46. | 2023. 4. 30. | -12.54% | 1.46% | 270.37 | 0.07 | -4.30 |
| 47. | 2023. 5. 31. | 33.39% | 0.25% | 869.16 | 0.91 | -28.14 |
| 48. | 2023. 6. 30. | -8.28% | 4.71% | 148.48 | 12.33 | -42.78 |
| 49. | 2023. 7. 31. | 10.07% | 4.85% | 38.01 | 13.27 | 22.46 |
| 50. | 2023. 8. 31. | 0.85% | -1.77% | 9.35 | 8.85 | 9.09 |
| 51. | 2023. 9. 30. | 2.67% | -4.87% | 1.53 | 36.90 | 7.51 |
| 52. | 2023. 10. 31. | 5.61% | -2.20% | 2.91 | 11.56 | -5.80 |
| 53. | 2023. 11. 30. | 34.07% | 8.92% | 909.77 | 59.52 | 232.71 |
| 54. | 2023. 12. 31. | 7.73% | 4.42% | 14.67 | 10.37 | 12.33 |
| 55. | 2024. 1. 31. | 14.56% | 1.59% | 113.58 | 0.15 | 4.12 |
| 56. | 2024. 2. 29. | 10.82% | 5.17% | 47.83 | 15.76 | 27.45 |
| 57. | 2024. 3. 31. | -1.10% | 3.10% | 25.03 | 3.61 | -9.50 |
| 58. | 2024. 4. 30. | -8.75% | -4.16% | 160.12 | 28.77 | 67.88 |
| 59. | 2024. 5. 31. | 7.22% | 4.80% | 11.01 | 12.96 | 11.94 |
| 60. | 2024. 6. 30. | 22.16% | 3.47% | 333.39 | 5.13 | 41.34 |
| 61. | 2024. 7. 31. | -39.47% | 1.13% | 1,881.01 | 0.00 | 3.06 |
| 62. | 2024. 8. 31. | 19.54% | 2.28% | 244.40 | 1.17 | 16.90 |
| 63. | 2024. 9. 30. | 1.15% | 2.02% | 7.58 | 0.67 | -2.25 |
| 64. | 2024. 10. 31. | 5.85% | -0.99% | 3.77 | 4.81 | -4.26 |
| 65. | 2024. 11. 30. | 16.54% | 5.73% | 159.64 | 20.50 | 57.20 |
| 66. | 2024. 12. 31. | -1.10% | -2.50% | 25.06 | 13.70 | 18.53 |
| 67. | 2025. 1. 31. | 16.34% | 2.70% | 154.65 | 2.25 | 18.64 |
| 합계 (Σ): | 16,364.95 | 1,640.48 | 1,898.25 | |||
모두 보기
분산CRWD = Σ(RCRWD,t–RCRWD)2 ÷ (67 – 1)
= 16,364.95 ÷ (67 – 1)
= 247.95
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (67 – 1)
= 1,640.48 ÷ (67 – 1)
= 24.86
공분산CRWD, S&P 500 = Σ(RCRWD,t–RCRWD)×(RS&P 500,t–RS&P 500) ÷ (67 – 1)
= 1,898.25 ÷ (67 – 1)
= 28.76
체계적인 위험 추정 (β)
| 분산CRWD | 247.95 |
| 분산S&P 500 | 24.86 |
| 공분산CRWD, S&P 500 | 28.76 |
| 상관 계수CRWD, S&P 5001 | 0.37 |
| βCRWD2 | 1.16 |
| αCRWD3 | 2.51% |
계산
1 상관 계수CRWD, S&P 500
= 공분산CRWD, S&P 500 ÷ (표준 편차CRWD × 표준 편차S&P 500)
= 28.76 ÷ (15.75% × 4.99%)
= 0.37
2 βCRWD
= 공분산CRWD, S&P 500 ÷ 분산S&P 500
= 28.76 ÷ 24.86
= 1.16
3 αCRWD
= 평균의CRWD – βCRWD × 평균의S&P 500
= 3.90% – 1.16 × 1.20%
= 2.51%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.91% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.85% |
| 보통주의 체계적 위험CrowdStrike | βCRWD | 1.16 |
| CrowdStrike 보통주의 예상 수익률3 | E(RCRWD) | 16.41% |
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]
= 4.91% + 1.16 [14.85% – 4.91%]
= 16.41%