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
분산과 공분산
체계적인 위험 추정 (β)
기대 수익률

수익률

CrowdStrike Holdings Inc., 월별 수익률

		CrowdStrike Holdings Inc. (CRWD)			Standard & Poor’s 500 (S&P 500)
t	날짜	값_CRWD,t¹	피제수_CRWD,t¹	R_CRWD,t²	값_{S&P 500,t}	R_{S&P 500,t}³
	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	값_CRWD,t¹	피제수_CRWD,t¹	R_CRWD,t²	값_{S&P 500,t}	R_{S&P 500,t}³
	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

CrowdStrike Holdings Inc., 수익률의 분산 및 공분산 계산

t	날짜	R_CRWD,t	R_{S&P 500,t}	(R_CRWD,t–R_CRWD)²	(R_{S&P 500,t}–R_{S&P 500})²	(R_CRWD,t–R_CRWD)×(R_{S&P 500,t}–R_{S&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	R_CRWD,t	R_{S&P 500,t}	(R_CRWD,t–R_CRWD)²	(R_{S&P 500,t}–R_{S&P 500})²	(R_CRWD,t–R_CRWD)×(R_{S&P 500,t}–R_{S&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

분산_CRWD = Σ(R_CRWD,t–R_CRWD)² ÷ (55 – 1)
= 13,311.36 ÷ (55 – 1)
= 246.51

분산_{S&P 500} = Σ(R_{S&P 500,t}–R_{S&P 500})² ÷ (55 – 1)
= 1,529.90 ÷ (55 – 1)
= 28.33

공분산_{CRWD, S&P 500} = Σ(R_CRWD,t–R_CRWD)×(R_{S&P 500,t}–R_{S&P 500}) ÷ (55 – 1)
= 1,650.95 ÷ (55 – 1)
= 30.57

체계적인 위험 추정 (β)

분산_CRWD	246.51
분산_{S&P 500}	28.33
공분산_{CRWD, S&P 500}	30.57
상관 계수_{CRWD, S&P 500}¹	0.37
β_CRWD²	1.08
α_CRWD³	2.73%

계산

¹ 상관 계수_{CRWD, S&P 500}
= 공분산_{CRWD, S&P 500} ÷ (표준 편차_CRWD × 표준 편차_{S&P 500})
= 30.57 ÷ (15.70% × 5.32%)
= 0.37

² β_CRWD
= 공분산_{CRWD, S&P 500} ÷ 분산_{S&P 500}
= 30.57 ÷ 28.33
= 1.08

³ α_CRWD
= 평균의_CRWD – β_CRWD × 평균의_{S&P 500}
= 3.86% – 1.08 × 1.05%
= 2.73%

기대 수익률

가정
LT Treasury Composite의 수익률¹	R_F	4.55%
시장 포트폴리오에 대한 예상 수익률²	E(R_M)	13.83%
보통주의 체계적 위험CrowdStrike	β_CRWD	1.08

CrowdStrike 보통주의 예상 수익률³	E(R_CRWD)	14.56%

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(R_CRWD) = R_F + β_CRWD [E(R_M) – R_F]
= 4.55% + 1.08 [13.83% – 4.55%]
= 14.56%

CrowdStrike Holdings Inc. (NASDAQ:CRWD)

자본 자산 가격 책정 모델 (CAPM)

수익률

분산과 공분산

체계적인 위험 추정 (β)

기대 수익률