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 |
| 2020. 2. 29. | $59.64 | 2,954.22 | ||||
| 1. | 2020. 3. 31. | $55.68 | -6.64% | 2,584.59 | -12.51% | |
| 2. | 2020. 4. 30. | $67.66 | 21.52% | 2,912.43 | 12.68% | |
| 3. | 2020. 5. 31. | $87.81 | 29.78% | 3,044.31 | 4.53% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 12. 31. | $468.76 | -7.93% | 6,845.50 | -0.05% | |
| 71. | 2026. 1. 31. | $441.41 | -5.83% | 6,939.03 | 1.37% | |
| 평균의 (R): | 3.90% | 1.33% | ||||
| 표준 편차: | 14.50% | 4.83% | ||||
| 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 |
| 2020. 2. 29. | $59.64 | 2,954.22 | ||||
| 1. | 2020. 3. 31. | $55.68 | -6.64% | 2,584.59 | -12.51% | |
| 2. | 2020. 4. 30. | $67.66 | 21.52% | 2,912.43 | 12.68% | |
| 3. | 2020. 5. 31. | $87.81 | 29.78% | 3,044.31 | 4.53% | |
| 4. | 2020. 6. 30. | $100.29 | 14.21% | 3,100.29 | 1.84% | |
| 5. | 2020. 7. 31. | $113.20 | 12.87% | 3,271.12 | 5.51% | |
| 6. | 2020. 8. 31. | $125.73 | 11.07% | 3,500.31 | 7.01% | |
| 7. | 2020. 9. 30. | $137.32 | 9.22% | 3,363.00 | -3.92% | |
| 8. | 2020. 10. 31. | $123.84 | -9.82% | 3,269.96 | -2.77% | |
| 9. | 2020. 11. 30. | $153.28 | 23.77% | 3,621.63 | 10.75% | |
| 10. | 2020. 12. 31. | $211.82 | 38.19% | 3,756.07 | 3.71% | |
| 11. | 2021. 1. 31. | $215.80 | 1.88% | 3,714.24 | -1.11% | |
| 12. | 2021. 2. 28. | $216.00 | 0.09% | 3,811.15 | 2.61% | |
| 13. | 2021. 3. 31. | $182.51 | -15.50% | 3,972.89 | 4.24% | |
| 14. | 2021. 4. 30. | $208.51 | 14.25% | 4,181.17 | 5.24% | |
| 15. | 2021. 5. 31. | $222.15 | 6.54% | 4,204.11 | 0.55% | |
| 16. | 2021. 6. 30. | $251.31 | 13.13% | 4,297.50 | 2.22% | |
| 17. | 2021. 7. 31. | $253.61 | 0.92% | 4,395.26 | 2.27% | |
| 18. | 2021. 8. 31. | $281.00 | 10.80% | 4,522.68 | 2.90% | |
| 19. | 2021. 9. 30. | $245.78 | -12.53% | 4,307.54 | -4.76% | |
| 20. | 2021. 10. 31. | $281.80 | 14.66% | 4,605.38 | 6.91% | |
| 21. | 2021. 11. 30. | $217.14 | -22.95% | 4,567.00 | -0.83% | |
| 22. | 2021. 12. 31. | $204.75 | -5.71% | 4,766.18 | 4.36% | |
| 23. | 2022. 1. 31. | $180.64 | -11.78% | 4,515.55 | -5.26% | |
| 24. | 2022. 2. 28. | $195.21 | 8.07% | 4,373.94 | -3.14% | |
| 25. | 2022. 3. 31. | $227.08 | 16.33% | 4,530.41 | 3.58% | |
| 26. | 2022. 4. 30. | $198.76 | -12.47% | 4,131.93 | -8.80% | |
| 27. | 2022. 5. 31. | $159.99 | -19.51% | 4,132.15 | 0.01% | |
| 28. | 2022. 6. 30. | $168.56 | 5.36% | 3,785.38 | -8.39% | |
| 29. | 2022. 7. 31. | $183.60 | 8.92% | 4,130.29 | 9.11% | |
| 30. | 2022. 8. 31. | $182.61 | -0.54% | 3,955.00 | -4.24% | |
| 31. | 2022. 9. 30. | $164.81 | -9.75% | 3,585.62 | -9.34% | |
| 32. | 2022. 10. 31. | $161.20 | -2.19% | 3,871.98 | 7.99% | |
| 33. | 2022. 11. 30. | $117.65 | -27.02% | 4,080.11 | 5.38% | |
| 34. | 2022. 12. 31. | $105.29 | -10.51% | 3,839.50 | -5.90% | |
| 35. | 2023. 1. 31. | $105.90 | 0.58% | 4,076.60 | 6.18% | |
| 36. | 2023. 2. 28. | $120.69 | 13.97% | 3,970.15 | -2.61% | |
| 37. | 2023. 3. 31. | $137.26 | 13.73% | 4,109.31 | 3.51% | |
| 38. | 2023. 4. 30. | $120.05 | -12.54% | 4,169.48 | 1.46% | |
| 39. | 2023. 5. 31. | $160.13 | 33.39% | 4,179.83 | 0.25% | |
| 40. | 2023. 6. 30. | $146.87 | -8.28% | 4,376.86 | 4.71% | |
| 41. | 2023. 7. 31. | $161.66 | 10.07% | 4,588.96 | 4.85% | |
| 42. | 2023. 8. 31. | $163.03 | 0.85% | 4,507.66 | -1.77% | |
| 43. | 2023. 9. 30. | $167.38 | 2.67% | 4,288.05 | -4.87% | |
| 44. | 2023. 10. 31. | $176.77 | 5.61% | 4,193.80 | -2.20% | |
| 45. | 2023. 11. 30. | $236.99 | 34.07% | 4,567.80 | 8.92% | |
| 46. | 2023. 12. 31. | $255.32 | 7.73% | 4,769.83 | 4.42% | |
| 47. | 2024. 1. 31. | $292.50 | 14.56% | 4,845.65 | 1.59% | |
| 48. | 2024. 2. 29. | $324.15 | 10.82% | 5,096.27 | 5.17% | |
| 49. | 2024. 3. 31. | $320.59 | -1.10% | 5,254.35 | 3.10% | |
| 50. | 2024. 4. 30. | $292.54 | -8.75% | 5,035.69 | -4.16% | |
| 51. | 2024. 5. 31. | $313.67 | 7.22% | 5,277.51 | 4.80% | |
| 52. | 2024. 6. 30. | $383.19 | 22.16% | 5,460.48 | 3.47% | |
| 53. | 2024. 7. 31. | $231.96 | -39.47% | 5,522.30 | 1.13% | |
| 54. | 2024. 8. 31. | $277.28 | 19.54% | 5,648.40 | 2.28% | |
| 55. | 2024. 9. 30. | $280.47 | 1.15% | 5,762.48 | 2.02% | |
| 56. | 2024. 10. 31. | $296.87 | 5.85% | 5,705.45 | -0.99% | |
| 57. | 2024. 11. 30. | $345.97 | 16.54% | 6,032.38 | 5.73% | |
| 58. | 2024. 12. 31. | $342.16 | -1.10% | 5,881.63 | -2.50% | |
| 59. | 2025. 1. 31. | $398.07 | 16.34% | 6,040.53 | 2.70% | |
| 60. | 2025. 2. 28. | $389.66 | -2.11% | 5,954.50 | -1.42% | |
| 61. | 2025. 3. 31. | $352.58 | -9.52% | 5,611.85 | -5.75% | |
| 62. | 2025. 4. 30. | $428.87 | 21.64% | 5,569.06 | -0.76% | |
| 63. | 2025. 5. 31. | $471.37 | 9.91% | 5,911.69 | 6.15% | |
| 64. | 2025. 6. 30. | $509.31 | 8.05% | 6,204.95 | 4.96% | |
| 65. | 2025. 7. 31. | $454.57 | -10.75% | 6,339.39 | 2.17% | |
| 66. | 2025. 8. 31. | $423.70 | -6.79% | 6,460.26 | 1.91% | |
| 67. | 2025. 9. 30. | $490.38 | 15.74% | 6,688.46 | 3.53% | |
| 68. | 2025. 10. 31. | $543.01 | 10.73% | 6,840.20 | 2.27% | |
| 69. | 2025. 11. 30. | $509.16 | -6.23% | 6,849.09 | 0.13% | |
| 70. | 2025. 12. 31. | $468.76 | -7.93% | 6,845.50 | -0.05% | |
| 71. | 2026. 1. 31. | $441.41 | -5.83% | 6,939.03 | 1.37% | |
| 평균의 (R): | 3.90% | 1.33% | ||||
| 표준 편차: | 14.50% | 4.83% | ||||
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. | 2020. 3. 31. | -6.64% | -12.51% | 111.17 | 191.48 | 145.90 |
| 2. | 2020. 4. 30. | 21.52% | 12.68% | 310.18 | 129.02 | 200.05 |
| 3. | 2020. 5. 31. | 29.78% | 4.53% | 669.65 | 10.26 | 82.87 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 12. 31. | -7.93% | -0.05% | 140.15 | 1.90 | 16.31 |
| 71. | 2026. 1. 31. | -5.83% | 1.37% | 94.83 | 0.00 | -0.40 |
| 합계 (Σ): | 14,711.32 | 1,636.00 | 2,013.78 | |||
| 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. | 2020. 3. 31. | -6.64% | -12.51% | 111.17 | 191.48 | 145.90 |
| 2. | 2020. 4. 30. | 21.52% | 12.68% | 310.18 | 129.02 | 200.05 |
| 3. | 2020. 5. 31. | 29.78% | 4.53% | 669.65 | 10.26 | 82.87 |
| 4. | 2020. 6. 30. | 14.21% | 1.84% | 106.27 | 0.26 | 5.29 |
| 5. | 2020. 7. 31. | 12.87% | 5.51% | 80.44 | 17.51 | 37.53 |
| 6. | 2020. 8. 31. | 11.07% | 7.01% | 51.34 | 32.27 | 40.70 |
| 7. | 2020. 9. 30. | 9.22% | -3.92% | 28.24 | 27.55 | -27.89 |
| 8. | 2020. 10. 31. | -9.82% | -2.77% | 188.25 | 16.75 | 56.15 |
| 9. | 2020. 11. 30. | 23.77% | 10.75% | 394.77 | 88.91 | 187.34 |
| 10. | 2020. 12. 31. | 38.19% | 3.71% | 1,175.65 | 5.70 | 81.83 |
| 11. | 2021. 1. 31. | 1.88% | -1.11% | 4.10 | 5.95 | 4.94 |
| 12. | 2021. 2. 28. | 0.09% | 2.61% | 14.52 | 1.65 | -4.89 |
| 13. | 2021. 3. 31. | -15.50% | 4.24% | 376.69 | 8.52 | -56.64 |
| 14. | 2021. 4. 30. | 14.25% | 5.24% | 106.96 | 15.34 | 40.51 |
| 15. | 2021. 5. 31. | 6.54% | 0.55% | 6.96 | 0.60 | -2.05 |
| 16. | 2021. 6. 30. | 13.13% | 2.22% | 85.05 | 0.80 | 8.26 |
| 17. | 2021. 7. 31. | 0.92% | 2.27% | 8.93 | 0.90 | -2.84 |
| 18. | 2021. 8. 31. | 10.80% | 2.90% | 47.56 | 2.48 | 10.85 |
| 19. | 2021. 9. 30. | -12.53% | -4.76% | 270.19 | 37.00 | 99.98 |
| 20. | 2021. 10. 31. | 14.66% | 6.91% | 115.60 | 31.23 | 60.09 |
| 21. | 2021. 11. 30. | -22.95% | -0.83% | 720.87 | 4.66 | 57.97 |
| 22. | 2021. 12. 31. | -5.71% | 4.36% | 92.35 | 9.22 | -29.17 |
| 23. | 2022. 1. 31. | -11.78% | -5.26% | 245.83 | 43.35 | 103.23 |
| 24. | 2022. 2. 28. | 8.07% | -3.14% | 17.32 | 19.91 | -18.57 |
| 25. | 2022. 3. 31. | 16.33% | 3.58% | 154.31 | 5.07 | 27.97 |
| 26. | 2022. 4. 30. | -12.47% | -8.80% | 268.14 | 102.44 | 165.74 |
| 27. | 2022. 5. 31. | -19.51% | 0.01% | 548.01 | 1.74 | 30.91 |
| 28. | 2022. 6. 30. | 5.36% | -8.39% | 2.11 | 94.43 | -14.12 |
| 29. | 2022. 7. 31. | 8.92% | 9.11% | 25.19 | 60.62 | 39.08 |
| 30. | 2022. 8. 31. | -0.54% | -4.24% | 19.74 | 31.02 | 24.75 |
| 31. | 2022. 9. 30. | -9.75% | -9.34% | 186.36 | 113.75 | 145.59 |
| 32. | 2022. 10. 31. | -2.19% | 7.99% | 37.14 | 44.37 | -40.59 |
| 33. | 2022. 11. 30. | -27.02% | 5.38% | 956.04 | 16.40 | -125.22 |
| 34. | 2022. 12. 31. | -10.51% | -5.90% | 207.63 | 52.17 | 104.08 |
| 35. | 2023. 1. 31. | 0.58% | 6.18% | 11.05 | 23.52 | -16.12 |
| 36. | 2023. 2. 28. | 13.97% | -2.61% | 101.25 | 15.50 | -39.61 |
| 37. | 2023. 3. 31. | 13.73% | 3.51% | 96.54 | 4.75 | 21.42 |
| 38. | 2023. 4. 30. | -12.54% | 1.46% | 270.34 | 0.02 | -2.28 |
| 39. | 2023. 5. 31. | 33.39% | 0.25% | 869.21 | 1.16 | -31.76 |
| 40. | 2023. 6. 30. | -8.28% | 4.71% | 148.46 | 11.48 | -41.28 |
| 41. | 2023. 7. 31. | 10.07% | 4.85% | 38.02 | 12.39 | 21.71 |
| 42. | 2023. 8. 31. | 0.85% | -1.77% | 9.34 | 9.59 | 9.47 |
| 43. | 2023. 9. 30. | 2.67% | -4.87% | 1.53 | 38.41 | 7.66 |
| 44. | 2023. 10. 31. | 5.61% | -2.20% | 2.91 | 12.42 | -6.01 |
| 45. | 2023. 11. 30. | 34.07% | 8.92% | 909.81 | 57.64 | 229.01 |
| 46. | 2023. 12. 31. | 7.73% | 4.42% | 14.67 | 9.59 | 11.87 |
| 47. | 2024. 1. 31. | 14.56% | 1.59% | 113.60 | 0.07 | 2.81 |
| 48. | 2024. 2. 29. | 10.82% | 5.17% | 47.84 | 14.80 | 26.61 |
| 49. | 2024. 3. 31. | -1.10% | 3.10% | 25.02 | 3.16 | -8.88 |
| 50. | 2024. 4. 30. | -8.75% | -4.16% | 160.10 | 30.11 | 69.43 |
| 51. | 2024. 5. 31. | 7.22% | 4.80% | 11.02 | 12.09 | 11.54 |
| 52. | 2024. 6. 30. | 22.16% | 3.47% | 333.42 | 4.59 | 39.10 |
| 53. | 2024. 7. 31. | -39.47% | 1.13% | 1,880.94 | 0.04 | 8.39 |
| 54. | 2024. 8. 31. | 19.54% | 2.28% | 244.43 | 0.92 | 14.98 |
| 55. | 2024. 9. 30. | 1.15% | 2.02% | 7.58 | 0.48 | -1.91 |
| 56. | 2024. 10. 31. | 5.85% | -0.99% | 3.78 | 5.36 | -4.50 |
| 57. | 2024. 11. 30. | 16.54% | 5.73% | 159.66 | 19.40 | 55.65 |
| 58. | 2024. 12. 31. | -1.10% | -2.50% | 25.05 | 14.63 | 19.14 |
| 59. | 2025. 1. 31. | 16.34% | 2.70% | 154.67 | 1.89 | 17.11 |
| 60. | 2025. 2. 28. | -2.11% | -1.42% | 36.20 | 7.56 | 16.54 |
| 61. | 2025. 3. 31. | -9.52% | -5.75% | 180.09 | 50.13 | 95.01 |
| 62. | 2025. 4. 30. | 21.64% | -0.76% | 314.49 | 4.36 | -37.03 |
| 63. | 2025. 5. 31. | 9.91% | 6.15% | 36.07 | 23.30 | 28.99 |
| 64. | 2025. 6. 30. | 8.05% | 4.96% | 17.18 | 13.21 | 15.07 |
| 65. | 2025. 7. 31. | -10.75% | 2.17% | 214.67 | 0.71 | -12.32 |
| 66. | 2025. 8. 31. | -6.79% | 1.91% | 114.38 | 0.34 | -6.21 |
| 67. | 2025. 9. 30. | 15.74% | 3.53% | 140.04 | 4.87 | 26.11 |
| 68. | 2025. 10. 31. | 10.73% | 2.27% | 46.63 | 0.89 | 6.44 |
| 69. | 2025. 11. 30. | -6.23% | 0.13% | 102.77 | 1.43 | 12.12 |
| 70. | 2025. 12. 31. | -7.93% | -0.05% | 140.15 | 1.90 | 16.31 |
| 71. | 2026. 1. 31. | -5.83% | 1.37% | 94.83 | 0.00 | -0.40 |
| 합계 (Σ): | 14,711.32 | 1,636.00 | 2,013.78 | |||
모두 보기
분산CRWD = Σ(RCRWD,t–RCRWD)2 ÷ (71 – 1)
= 14,711.32 ÷ (71 – 1)
= 210.16
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,636.00 ÷ (71 – 1)
= 23.37
공분산CRWD, S&P 500 = Σ(RCRWD,t–RCRWD)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,013.78 ÷ (71 – 1)
= 28.77
체계적인 위험 추정 (β)
| 분산CRWD | 210.16 |
| 분산S&P 500 | 23.37 |
| 공분산CRWD, S&P 500 | 28.77 |
| 상관 계수CRWD, S&P 5001 | 0.41 |
| βCRWD2 | 1.23 |
| αCRWD3 | 2.27% |
계산
1 상관 계수CRWD, S&P 500
= 공분산CRWD, S&P 500 ÷ (표준 편차CRWD × 표준 편차S&P 500)
= 28.77 ÷ (14.50% × 4.83%)
= 0.41
2 βCRWD
= 공분산CRWD, S&P 500 ÷ 분산S&P 500
= 28.77 ÷ 23.37
= 1.23
3 αCRWD
= 평균의CRWD – βCRWD × 평균의S&P 500
= 3.90% – 1.23 × 1.33%
= 2.27%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.94% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.36% |
| 보통주의 체계적 위험CrowdStrike | βCRWD | 1.23 |
| CrowdStrike 보통주의 예상 수익률3 | E(RCRWD) | 20.23% |
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]
= 4.94% + 1.23 [17.36% – 4.94%]
= 20.23%