자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Datadog의 보통주와 같은 위험 자산에 대한 예상 또는 요구 수익률이 얼마여야 하는지를 나타냅니다.
수익률
Datadog Inc., 월별 수익률
| Datadog Inc. (DDOG) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값DDOG,t1 | 피제수DDOG,t1 | RDDOG,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2021. 1. 31. | $102.75 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $95.41 | -7.14% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $83.34 | -12.65% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $85.77 | 2.92% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | $160.01 | -1.72% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $135.99 | -15.01% | 6,845.50 | -0.05% | |
| 평균의 (R): | 1.30% | 1.14% | ||||
| 표준 편차: | 13.31% | 4.37% | ||||
| Datadog Inc. (DDOG) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값DDOG,t1 | 피제수DDOG,t1 | RDDOG,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2021. 1. 31. | $102.75 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $95.41 | -7.14% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $83.34 | -12.65% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $85.77 | 2.92% | 4,181.17 | 5.24% | |
| 4. | 2021. 5. 31. | $91.05 | 6.16% | 4,204.11 | 0.55% | |
| 5. | 2021. 6. 30. | $104.08 | 14.31% | 4,297.50 | 2.22% | |
| 6. | 2021. 7. 31. | $110.70 | 6.36% | 4,395.26 | 2.27% | |
| 7. | 2021. 8. 31. | $137.80 | 24.48% | 4,522.68 | 2.90% | |
| 8. | 2021. 9. 30. | $141.35 | 2.58% | 4,307.54 | -4.76% | |
| 9. | 2021. 10. 31. | $167.05 | 18.18% | 4,605.38 | 6.91% | |
| 10. | 2021. 11. 30. | $178.29 | 6.73% | 4,567.00 | -0.83% | |
| 11. | 2021. 12. 31. | $178.11 | -0.10% | 4,766.18 | 4.36% | |
| 12. | 2022. 1. 31. | $146.11 | -17.97% | 4,515.55 | -5.26% | |
| 13. | 2022. 2. 28. | $161.11 | 10.27% | 4,373.94 | -3.14% | |
| 14. | 2022. 3. 31. | $151.47 | -5.98% | 4,530.41 | 3.58% | |
| 15. | 2022. 4. 30. | $120.78 | -20.26% | 4,131.93 | -8.80% | |
| 16. | 2022. 5. 31. | $95.39 | -21.02% | 4,132.15 | 0.01% | |
| 17. | 2022. 6. 30. | $95.24 | -0.16% | 3,785.38 | -8.39% | |
| 18. | 2022. 7. 31. | $102.01 | 7.11% | 4,130.29 | 9.11% | |
| 19. | 2022. 8. 31. | $104.95 | 2.88% | 3,955.00 | -4.24% | |
| 20. | 2022. 9. 30. | $88.78 | -15.41% | 3,585.62 | -9.34% | |
| 21. | 2022. 10. 31. | $80.51 | -9.32% | 3,871.98 | 7.99% | |
| 22. | 2022. 11. 30. | $75.78 | -5.88% | 4,080.11 | 5.38% | |
| 23. | 2022. 12. 31. | $73.50 | -3.01% | 3,839.50 | -5.90% | |
| 24. | 2023. 1. 31. | $74.81 | 1.78% | 4,076.60 | 6.18% | |
| 25. | 2023. 2. 28. | $76.52 | 2.29% | 3,970.15 | -2.61% | |
| 26. | 2023. 3. 31. | $72.66 | -5.04% | 4,109.31 | 3.51% | |
| 27. | 2023. 4. 30. | $67.38 | -7.27% | 4,169.48 | 1.46% | |
| 28. | 2023. 5. 31. | $94.91 | 40.86% | 4,179.83 | 0.25% | |
| 29. | 2023. 6. 30. | $98.38 | 3.66% | 4,376.86 | 4.71% | |
| 30. | 2023. 7. 31. | $116.72 | 18.64% | 4,588.96 | 4.85% | |
| 31. | 2023. 8. 31. | $96.48 | -17.34% | 4,507.66 | -1.77% | |
| 32. | 2023. 9. 30. | $91.09 | -5.59% | 4,288.05 | -4.87% | |
| 33. | 2023. 10. 31. | $81.47 | -10.56% | 4,193.80 | -2.20% | |
| 34. | 2023. 11. 30. | $116.57 | 43.08% | 4,567.80 | 8.92% | |
| 35. | 2023. 12. 31. | $121.38 | 4.13% | 4,769.83 | 4.42% | |
| 36. | 2024. 1. 31. | $124.44 | 2.52% | 4,845.65 | 1.59% | |
| 37. | 2024. 2. 29. | $131.46 | 5.64% | 5,096.27 | 5.17% | |
| 38. | 2024. 3. 31. | $123.60 | -5.98% | 5,254.35 | 3.10% | |
| 39. | 2024. 4. 30. | $125.50 | 1.54% | 5,035.69 | -4.16% | |
| 40. | 2024. 5. 31. | $110.18 | -12.21% | 5,277.51 | 4.80% | |
| 41. | 2024. 6. 30. | $129.69 | 17.71% | 5,460.48 | 3.47% | |
| 42. | 2024. 7. 31. | $116.44 | -10.22% | 5,522.30 | 1.13% | |
| 43. | 2024. 8. 31. | $116.26 | -0.15% | 5,648.40 | 2.28% | |
| 44. | 2024. 9. 30. | $115.06 | -1.03% | 5,762.48 | 2.02% | |
| 45. | 2024. 10. 31. | $125.44 | 9.02% | 5,705.45 | -0.99% | |
| 46. | 2024. 11. 30. | $152.75 | 21.77% | 6,032.38 | 5.73% | |
| 47. | 2024. 12. 31. | $142.89 | -6.45% | 5,881.63 | -2.50% | |
| 48. | 2025. 1. 31. | $142.71 | -0.13% | 6,040.53 | 2.70% | |
| 49. | 2025. 2. 28. | $116.55 | -18.33% | 5,954.50 | -1.42% | |
| 50. | 2025. 3. 31. | $99.21 | -14.88% | 5,611.85 | -5.75% | |
| 51. | 2025. 4. 30. | $102.16 | 2.97% | 5,569.06 | -0.76% | |
| 52. | 2025. 5. 31. | $117.88 | 15.39% | 5,911.69 | 6.15% | |
| 53. | 2025. 6. 30. | $134.33 | 13.95% | 6,204.95 | 4.96% | |
| 54. | 2025. 7. 31. | $139.98 | 4.21% | 6,339.39 | 2.17% | |
| 55. | 2025. 8. 31. | $136.68 | -2.36% | 6,460.26 | 1.91% | |
| 56. | 2025. 9. 30. | $142.40 | 4.18% | 6,688.46 | 3.53% | |
| 57. | 2025. 10. 31. | $162.81 | 14.33% | 6,840.20 | 2.27% | |
| 58. | 2025. 11. 30. | $160.01 | -1.72% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $135.99 | -15.01% | 6,845.50 | -0.05% | |
| 평균의 (R): | 1.30% | 1.14% | ||||
| 표준 편차: | 13.31% | 4.37% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 DDOG의 보통주에 대한 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Datadog Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RDDOG,t | RS&P 500,t | (RDDOG,t–RDDOG)2 | (RS&P 500,t–RS&P 500)2 | (RDDOG,t–RDDOG)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 2. 28. | -7.14% | 2.61% | 71.23 | 2.17 | -12.43 |
| 2. | 2021. 3. 31. | -12.65% | 4.24% | 194.52 | 9.66 | -43.34 |
| 3. | 2021. 4. 30. | 2.92% | 5.24% | 2.62 | 16.86 | 6.65 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | -1.72% | 0.13% | 9.10 | 1.01 | 3.03 |
| 59. | 2025. 12. 31. | -15.01% | -0.05% | 265.95 | 1.41 | 19.38 |
| 합계 (Σ): | 10,275.56 | 1,108.23 | 1,445.09 | |||
| t | 날짜 | RDDOG,t | RS&P 500,t | (RDDOG,t–RDDOG)2 | (RS&P 500,t–RS&P 500)2 | (RDDOG,t–RDDOG)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 2. 28. | -7.14% | 2.61% | 71.23 | 2.17 | -12.43 |
| 2. | 2021. 3. 31. | -12.65% | 4.24% | 194.52 | 9.66 | -43.34 |
| 3. | 2021. 4. 30. | 2.92% | 5.24% | 2.62 | 16.86 | 6.65 |
| 4. | 2021. 5. 31. | 6.16% | 0.55% | 23.62 | 0.35 | -2.85 |
| 5. | 2021. 6. 30. | 14.31% | 2.22% | 169.38 | 1.18 | 14.12 |
| 6. | 2021. 7. 31. | 6.36% | 2.27% | 25.65 | 1.30 | 5.77 |
| 7. | 2021. 8. 31. | 24.48% | 2.90% | 537.51 | 3.11 | 40.87 |
| 8. | 2021. 9. 30. | 2.58% | -4.76% | 1.64 | 34.73 | -7.54 |
| 9. | 2021. 10. 31. | 18.18% | 6.91% | 285.12 | 33.39 | 97.57 |
| 10. | 2021. 11. 30. | 6.73% | -0.83% | 29.51 | 3.88 | -10.70 |
| 11. | 2021. 12. 31. | -0.10% | 4.36% | 1.95 | 10.40 | -4.51 |
| 12. | 2022. 1. 31. | -17.97% | -5.26% | 371.05 | 40.89 | 123.18 |
| 13. | 2022. 2. 28. | 10.27% | -3.14% | 80.46 | 18.25 | -38.32 |
| 14. | 2022. 3. 31. | -5.98% | 3.58% | 53.00 | 5.96 | -17.77 |
| 15. | 2022. 4. 30. | -20.26% | -8.80% | 464.74 | 98.64 | 214.11 |
| 16. | 2022. 5. 31. | -21.02% | 0.01% | 498.09 | 1.28 | 25.24 |
| 17. | 2022. 6. 30. | -0.16% | -8.39% | 2.11 | 90.79 | 13.85 |
| 18. | 2022. 7. 31. | 7.11% | 9.11% | 33.78 | 63.61 | 46.35 |
| 19. | 2022. 8. 31. | 2.88% | -4.24% | 2.51 | 28.95 | -8.53 |
| 20. | 2022. 9. 30. | -15.41% | -9.34% | 279.01 | 109.74 | 174.98 |
| 21. | 2022. 10. 31. | -9.32% | 7.99% | 112.60 | 46.93 | -72.69 |
| 22. | 2022. 11. 30. | -5.88% | 5.38% | 51.43 | 17.97 | -30.40 |
| 23. | 2022. 12. 31. | -3.01% | -5.90% | 18.53 | 49.47 | 30.28 |
| 24. | 2023. 1. 31. | 1.78% | 6.18% | 0.24 | 25.39 | 2.45 |
| 25. | 2023. 2. 28. | 2.29% | -2.61% | 0.98 | 14.04 | -3.71 |
| 26. | 2023. 3. 31. | -5.04% | 3.51% | 40.20 | 5.61 | -15.02 |
| 27. | 2023. 4. 30. | -7.27% | 1.46% | 73.33 | 0.11 | -2.81 |
| 28. | 2023. 5. 31. | 40.86% | 0.25% | 1,565.12 | 0.79 | -35.13 |
| 29. | 2023. 6. 30. | 3.66% | 4.71% | 5.57 | 12.80 | 8.44 |
| 30. | 2023. 7. 31. | 18.64% | 4.85% | 300.87 | 13.76 | 64.35 |
| 31. | 2023. 8. 31. | -17.34% | -1.77% | 347.34 | 8.46 | 54.19 |
| 32. | 2023. 9. 30. | -5.59% | -4.87% | 47.37 | 36.10 | 41.35 |
| 33. | 2023. 10. 31. | -10.56% | -2.20% | 140.59 | 11.12 | 39.53 |
| 34. | 2023. 11. 30. | 43.08% | 8.92% | 1,746.16 | 60.56 | 325.18 |
| 35. | 2023. 12. 31. | 4.13% | 4.42% | 8.01 | 10.80 | 9.30 |
| 36. | 2024. 1. 31. | 2.52% | 1.59% | 1.50 | 0.21 | 0.56 |
| 37. | 2024. 2. 29. | 5.64% | 5.17% | 18.88 | 16.29 | 17.54 |
| 38. | 2024. 3. 31. | -5.98% | 3.10% | 52.93 | 3.86 | -14.30 |
| 39. | 2024. 4. 30. | 1.54% | -4.16% | 0.06 | 28.06 | -1.28 |
| 40. | 2024. 5. 31. | -12.21% | 4.80% | 182.34 | 13.44 | -49.50 |
| 41. | 2024. 6. 30. | 17.71% | 3.47% | 269.32 | 5.43 | 38.25 |
| 42. | 2024. 7. 31. | -10.22% | 1.13% | 132.55 | 0.00 | 0.05 |
| 43. | 2024. 8. 31. | -0.15% | 2.28% | 2.11 | 1.32 | -1.66 |
| 44. | 2024. 9. 30. | -1.03% | 2.02% | 5.42 | 0.78 | -2.06 |
| 45. | 2024. 10. 31. | 9.02% | -0.99% | 59.68 | 4.52 | -16.42 |
| 46. | 2024. 11. 30. | 21.77% | 5.73% | 419.23 | 21.10 | 94.06 |
| 47. | 2024. 12. 31. | -6.45% | -2.50% | 60.08 | 13.21 | 28.18 |
| 48. | 2025. 1. 31. | -0.13% | 2.70% | 2.02 | 2.45 | -2.23 |
| 49. | 2025. 2. 28. | -18.33% | -1.42% | 385.23 | 6.56 | 50.25 |
| 50. | 2025. 3. 31. | -14.88% | -5.75% | 261.60 | 47.48 | 111.45 |
| 51. | 2025. 4. 30. | 2.97% | -0.76% | 2.81 | 3.60 | -3.18 |
| 52. | 2025. 5. 31. | 15.39% | 6.15% | 198.57 | 25.16 | 70.69 |
| 53. | 2025. 6. 30. | 13.95% | 4.96% | 160.24 | 14.63 | 48.41 |
| 54. | 2025. 7. 31. | 4.21% | 2.17% | 8.47 | 1.06 | 3.00 |
| 55. | 2025. 8. 31. | -2.36% | 1.91% | 13.35 | 0.59 | -2.82 |
| 56. | 2025. 9. 30. | 4.18% | 3.53% | 8.34 | 5.74 | 6.92 |
| 57. | 2025. 10. 31. | 14.33% | 2.27% | 169.95 | 1.28 | 14.76 |
| 58. | 2025. 11. 30. | -1.72% | 0.13% | 9.10 | 1.01 | 3.03 |
| 59. | 2025. 12. 31. | -15.01% | -0.05% | 265.95 | 1.41 | 19.38 |
| 합계 (Σ): | 10,275.56 | 1,108.23 | 1,445.09 | |||
모두 보기
분산DDOG = Σ(RDDOG,t–RDDOG)2 ÷ (59 – 1)
= 10,275.56 ÷ (59 – 1)
= 177.16
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
공분산DDOG, S&P 500 = Σ(RDDOG,t–RDDOG)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,445.09 ÷ (59 – 1)
= 24.92
체계적인 위험 추정 (β)
| 분산DDOG | 177.16 |
| 분산S&P 500 | 19.11 |
| 공분산DDOG, S&P 500 | 24.92 |
| 상관 계수DDOG, S&P 5001 | 0.43 |
| βDDOG2 | 1.30 |
| αDDOG3 | -0.19% |
계산
1 상관 계수DDOG, S&P 500
= 공분산DDOG, S&P 500 ÷ (표준 편차DDOG × 표준 편차S&P 500)
= 24.92 ÷ (13.31% × 4.37%)
= 0.43
2 βDDOG
= 공분산DDOG, S&P 500 ÷ 분산S&P 500
= 24.92 ÷ 19.11
= 1.30
3 αDDOG
= 평균의DDOG – βDDOG × 평균의S&P 500
= 1.30% – 1.30 × 1.14%
= -0.19%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.54% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.37% |
| 보통주 Datadog 대한 체계적 위험 | βDDOG | 1.30 |
| Datadog 보통주의 예상 수익률3 | E(RDDOG) | 21.27% |
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(RDDOG) = RF + βDDOG [E(RM) – RF]
= 4.54% + 1.30 [17.37% – 4.54%]
= 21.27%