자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다 Fortinet.
수익률
Fortinet Inc., 월별 수익률
| Fortinet Inc. (FTNT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값FTNT,t1 | 피제수FTNT,t1 | RFTNT,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 1. 31. | $9.21 | 2,823.81 | ||||
| 1. | 2018. 2. 28. | $10.09 | 9.55% | 2,713.83 | -3.89% | |
| 2. | 2018. 3. 31. | $10.72 | 6.24% | 2,640.87 | -2.69% | |
| 3. | 2018. 4. 30. | $11.07 | 3.26% | 2,648.05 | 0.27% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022. 11. 30. | $53.16 | -7.00% | 4,080.11 | 5.38% | |
| 59. | 2022. 12. 31. | $48.89 | -8.03% | 3,839.50 | -5.90% | |
| 평균의 (R): | 3.50% | 0.67% | ||||
| 표준 편차: | 11.47% | 5.40% | ||||
| Fortinet Inc. (FTNT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값FTNT,t1 | 피제수FTNT,t1 | RFTNT,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 1. 31. | $9.21 | 2,823.81 | ||||
| 1. | 2018. 2. 28. | $10.09 | 9.55% | 2,713.83 | -3.89% | |
| 2. | 2018. 3. 31. | $10.72 | 6.24% | 2,640.87 | -2.69% | |
| 3. | 2018. 4. 30. | $11.07 | 3.26% | 2,648.05 | 0.27% | |
| 4. | 2018. 5. 31. | $12.24 | 10.57% | 2,705.27 | 2.16% | |
| 5. | 2018. 6. 30. | $12.49 | 2.04% | 2,718.37 | 0.48% | |
| 6. | 2018. 7. 31. | $12.58 | 0.72% | 2,816.29 | 3.60% | |
| 7. | 2018. 8. 31. | $16.75 | 33.15% | 2,901.52 | 3.03% | |
| 8. | 2018. 9. 30. | $18.45 | 10.15% | 2,913.98 | 0.43% | |
| 9. | 2018. 10. 31. | $16.44 | -10.89% | 2,711.74 | -6.94% | |
| 10. | 2018. 11. 30. | $14.77 | -10.16% | 2,760.17 | 1.79% | |
| 11. | 2018. 12. 31. | $14.09 | -4.60% | 2,506.85 | -9.18% | |
| 12. | 2019. 1. 31. | $15.31 | 8.66% | 2,704.10 | 7.87% | |
| 13. | 2019. 2. 28. | $17.36 | 13.39% | 2,784.49 | 2.97% | |
| 14. | 2019. 3. 31. | $16.79 | -3.28% | 2,834.40 | 1.79% | |
| 15. | 2019. 4. 30. | $18.68 | 11.26% | 2,945.83 | 3.93% | |
| 16. | 2019. 5. 31. | $14.50 | -22.38% | 2,752.06 | -6.58% | |
| 17. | 2019. 6. 30. | $15.37 | 6.00% | 2,941.76 | 6.89% | |
| 18. | 2019. 7. 31. | $16.06 | 4.49% | 2,980.38 | 1.31% | |
| 19. | 2019. 8. 31. | $15.84 | -1.37% | 2,926.46 | -1.81% | |
| 20. | 2019. 9. 30. | $15.35 | -3.09% | 2,976.74 | 1.72% | |
| 21. | 2019. 10. 31. | $16.31 | 6.25% | 3,037.56 | 2.04% | |
| 22. | 2019. 11. 30. | $21.02 | 28.88% | 3,140.98 | 3.40% | |
| 23. | 2019. 12. 31. | $21.35 | 1.57% | 3,230.78 | 2.86% | |
| 24. | 2020. 1. 31. | $23.07 | 8.06% | 3,225.52 | -0.16% | |
| 25. | 2020. 2. 29. | $20.41 | -11.53% | 2,954.22 | -8.41% | |
| 26. | 2020. 3. 31. | $20.23 | -0.88% | 2,584.59 | -12.51% | |
| 27. | 2020. 4. 30. | $21.55 | 6.52% | 2,912.43 | 12.68% | |
| 28. | 2020. 5. 31. | $27.84 | 29.19% | 3,044.31 | 4.53% | |
| 29. | 2020. 6. 30. | $27.45 | -1.40% | 3,100.29 | 1.84% | |
| 30. | 2020. 7. 31. | $27.66 | 0.77% | 3,271.12 | 5.51% | |
| 31. | 2020. 8. 31. | $26.40 | -4.56% | 3,500.31 | 7.01% | |
| 32. | 2020. 9. 30. | $23.56 | -10.76% | 3,363.00 | -3.92% | |
| 33. | 2020. 10. 31. | $22.07 | -6.32% | 3,269.96 | -2.77% | |
| 34. | 2020. 11. 30. | $24.65 | 11.69% | 3,621.63 | 10.75% | |
| 35. | 2020. 12. 31. | $29.71 | 20.53% | 3,756.07 | 3.71% | |
| 36. | 2021. 1. 31. | $28.95 | -2.56% | 3,714.24 | -1.11% | |
| 37. | 2021. 2. 28. | $33.77 | 16.65% | 3,811.15 | 2.61% | |
| 38. | 2021. 3. 31. | $36.88 | 9.21% | 3,972.89 | 4.24% | |
| 39. | 2021. 4. 30. | $40.85 | 10.76% | 4,181.17 | 5.24% | |
| 40. | 2021. 5. 31. | $43.71 | 7.00% | 4,204.11 | 0.55% | |
| 41. | 2021. 6. 30. | $47.64 | 8.99% | 4,297.50 | 2.22% | |
| 42. | 2021. 7. 31. | $54.45 | 14.29% | 4,395.26 | 2.27% | |
| 43. | 2021. 8. 31. | $63.03 | 15.76% | 4,522.68 | 2.90% | |
| 44. | 2021. 9. 30. | $58.41 | -7.33% | 4,307.54 | -4.76% | |
| 45. | 2021. 10. 31. | $67.27 | 15.17% | 4,605.38 | 6.91% | |
| 46. | 2021. 11. 30. | $66.42 | -1.26% | 4,567.00 | -0.83% | |
| 47. | 2021. 12. 31. | $71.88 | 8.22% | 4,766.18 | 4.36% | |
| 48. | 2022. 1. 31. | $59.45 | -17.29% | 4,515.55 | -5.26% | |
| 49. | 2022. 2. 28. | $68.90 | 15.90% | 4,373.94 | -3.14% | |
| 50. | 2022. 3. 31. | $68.35 | -0.80% | 4,530.41 | 3.58% | |
| 51. | 2022. 4. 30. | $57.80 | -15.44% | 4,131.93 | -8.80% | |
| 52. | 2022. 5. 31. | $58.83 | 1.78% | 4,132.15 | 0.01% | |
| 53. | 2022. 6. 30. | $56.58 | -3.82% | 3,785.38 | -8.39% | |
| 54. | 2022. 7. 31. | $59.65 | 5.43% | 4,130.29 | 9.11% | |
| 55. | 2022. 8. 31. | $48.69 | -18.37% | 3,955.00 | -4.24% | |
| 56. | 2022. 9. 30. | $49.13 | 0.90% | 3,585.62 | -9.34% | |
| 57. | 2022. 10. 31. | $57.16 | 16.34% | 3,871.98 | 7.99% | |
| 58. | 2022. 11. 30. | $53.16 | -7.00% | 4,080.11 | 5.38% | |
| 59. | 2022. 12. 31. | $48.89 | -8.03% | 3,839.50 | -5.90% | |
| 평균의 (R): | 3.50% | 0.67% | ||||
| 표준 편차: | 11.47% | 5.40% | ||||
모두 표시
1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.
2 기간 t 동안 FTNT의 보통주에 대한 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.
분산과 공분산
Fortinet Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RFTNT,t | RS&P 500,t | (RFTNT,t–RFTNT)2 | (RS&P 500,t–RS&P 500)2 | (RFTNT,t–RFTNT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 2. 28. | 9.55% | -3.89% | 36.72 | 20.81 | -27.64 |
| 2. | 2018. 3. 31. | 6.24% | -2.69% | 7.56 | 11.26 | -9.22 |
| 3. | 2018. 4. 30. | 3.26% | 0.27% | 0.05 | 0.16 | 0.09 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022. 11. 30. | -7.00% | 5.38% | 110.10 | 22.17 | -49.41 |
| 59. | 2022. 12. 31. | -8.03% | -5.90% | 132.88 | 43.08 | 75.66 |
| 합계 (Σ): | 7,624.03 | 1,691.48 | 1,932.55 | |||
| t | 날짜 | RFTNT,t | RS&P 500,t | (RFTNT,t–RFTNT)2 | (RS&P 500,t–RS&P 500)2 | (RFTNT,t–RFTNT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 2. 28. | 9.55% | -3.89% | 36.72 | 20.81 | -27.64 |
| 2. | 2018. 3. 31. | 6.24% | -2.69% | 7.56 | 11.26 | -9.22 |
| 3. | 2018. 4. 30. | 3.26% | 0.27% | 0.05 | 0.16 | 0.09 |
| 4. | 2018. 5. 31. | 10.57% | 2.16% | 50.04 | 2.23 | 10.57 |
| 5. | 2018. 6. 30. | 2.04% | 0.48% | 2.11 | 0.03 | 0.26 |
| 6. | 2018. 7. 31. | 0.72% | 3.60% | 7.70 | 8.62 | -8.14 |
| 7. | 2018. 8. 31. | 33.15% | 3.03% | 879.28 | 5.57 | 69.97 |
| 8. | 2018. 9. 30. | 10.15% | 0.43% | 44.28 | 0.06 | -1.58 |
| 9. | 2018. 10. 31. | -10.89% | -6.94% | 207.06 | 57.87 | 109.46 |
| 10. | 2018. 11. 30. | -10.16% | 1.79% | 186.41 | 1.25 | -15.28 |
| 11. | 2018. 12. 31. | -4.60% | -9.18% | 65.59 | 96.91 | 79.73 |
| 12. | 2019. 1. 31. | 8.66% | 7.87% | 26.66 | 51.87 | 37.19 |
| 13. | 2019. 2. 28. | 13.39% | 2.97% | 97.91 | 5.32 | 22.82 |
| 14. | 2019. 3. 31. | -3.28% | 1.79% | 45.95 | 1.27 | -7.63 |
| 15. | 2019. 4. 30. | 11.26% | 3.93% | 60.24 | 10.66 | 25.34 |
| 16. | 2019. 5. 31. | -22.38% | -6.58% | 669.36 | 52.48 | 187.43 |
| 17. | 2019. 6. 30. | 6.00% | 6.89% | 6.27 | 38.77 | 15.60 |
| 18. | 2019. 7. 31. | 4.49% | 1.31% | 0.99 | 0.42 | 0.64 |
| 19. | 2019. 8. 31. | -1.37% | -1.81% | 23.67 | 6.13 | 12.04 |
| 20. | 2019. 9. 30. | -3.09% | 1.72% | 43.41 | 1.11 | -6.93 |
| 21. | 2019. 10. 31. | 6.25% | 2.04% | 7.61 | 1.89 | 3.80 |
| 22. | 2019. 11. 30. | 28.88% | 3.40% | 644.29 | 7.50 | 69.50 |
| 23. | 2019. 12. 31. | 1.57% | 2.86% | 3.71 | 4.81 | -4.22 |
| 24. | 2020. 1. 31. | 8.06% | -0.16% | 20.80 | 0.69 | -3.78 |
| 25. | 2020. 2. 29. | -11.53% | -8.41% | 225.76 | 82.40 | 136.39 |
| 26. | 2020. 3. 31. | -0.88% | -12.51% | 19.16 | 173.67 | 57.68 |
| 27. | 2020. 4. 30. | 6.52% | 12.68% | 9.18 | 144.43 | 36.41 |
| 28. | 2020. 5. 31. | 29.19% | 4.53% | 660.12 | 14.91 | 99.21 |
| 29. | 2020. 6. 30. | -1.40% | 1.84% | 23.97 | 1.37 | -5.74 |
| 30. | 2020. 7. 31. | 0.77% | 5.51% | 7.45 | 23.46 | -13.22 |
| 31. | 2020. 8. 31. | -4.56% | 7.01% | 64.81 | 40.19 | -51.04 |
| 32. | 2020. 9. 30. | -10.76% | -3.92% | 203.14 | 21.06 | 65.41 |
| 33. | 2020. 10. 31. | -6.32% | -2.77% | 96.42 | 11.79 | 33.71 |
| 34. | 2020. 11. 30. | 11.69% | 10.75% | 67.16 | 101.77 | 82.67 |
| 35. | 2020. 12. 31. | 20.53% | 3.71% | 290.10 | 9.28 | 51.87 |
| 36. | 2021. 1. 31. | -2.56% | -1.11% | 36.64 | 3.17 | 10.78 |
| 37. | 2021. 2. 28. | 16.65% | 2.61% | 173.03 | 3.77 | 25.55 |
| 38. | 2021. 3. 31. | 9.21% | 4.24% | 32.65 | 12.80 | 20.44 |
| 39. | 2021. 4. 30. | 10.76% | 5.24% | 52.85 | 20.94 | 33.26 |
| 40. | 2021. 5. 31. | 7.00% | 0.55% | 12.29 | 0.01 | -0.41 |
| 41. | 2021. 6. 30. | 8.99% | 2.22% | 30.21 | 2.42 | 8.54 |
| 42. | 2021. 7. 31. | 14.29% | 2.27% | 116.63 | 2.59 | 17.37 |
| 43. | 2021. 8. 31. | 15.76% | 2.90% | 150.37 | 4.98 | 27.37 |
| 44. | 2021. 9. 30. | -7.33% | -4.76% | 117.18 | 29.42 | 58.71 |
| 45. | 2021. 10. 31. | 15.17% | 6.91% | 136.27 | 39.03 | 72.93 |
| 46. | 2021. 11. 30. | -1.26% | -0.83% | 22.65 | 2.25 | 7.14 |
| 47. | 2021. 12. 31. | 8.22% | 4.36% | 22.33 | 13.65 | 17.46 |
| 48. | 2022. 1. 31. | -17.29% | -5.26% | 432.13 | 35.11 | 123.17 |
| 49. | 2022. 2. 28. | 15.90% | -3.14% | 153.77 | 14.46 | -47.16 |
| 50. | 2022. 3. 31. | -0.80% | 3.58% | 18.43 | 8.47 | -12.50 |
| 51. | 2022. 4. 30. | -15.44% | -8.80% | 358.36 | 89.54 | 179.13 |
| 52. | 2022. 5. 31. | 1.78% | 0.01% | 2.93 | 0.44 | 1.13 |
| 53. | 2022. 6. 30. | -3.82% | -8.39% | 53.58 | 82.06 | 66.31 |
| 54. | 2022. 7. 31. | 5.43% | 9.11% | 3.73 | 71.32 | 16.31 |
| 55. | 2022. 8. 31. | -18.37% | -4.24% | 478.25 | 24.11 | 107.39 |
| 56. | 2022. 9. 30. | 0.90% | -9.34% | 6.72 | 100.12 | 25.93 |
| 57. | 2022. 10. 31. | 16.34% | 7.99% | 165.10 | 53.58 | 94.05 |
| 58. | 2022. 11. 30. | -7.00% | 5.38% | 110.10 | 22.17 | -49.41 |
| 59. | 2022. 12. 31. | -8.03% | -5.90% | 132.88 | 43.08 | 75.66 |
| 합계 (Σ): | 7,624.03 | 1,691.48 | 1,932.55 | |||
모두 표시
분산FTNT = Σ(RFTNT,t–RFTNT)2 ÷ (59 – 1)
= 7,624.03 ÷ (59 – 1)
= 131.45
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16
공분산FTNT, S&P 500 = Σ(RFTNT,t–RFTNT)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,932.55 ÷ (59 – 1)
= 33.32
체계적인 위험 추정 (β)
| 분산FTNT | 131.45 |
| 분산S&P 500 | 29.16 |
| 공분산FTNT, S&P 500 | 33.32 |
| 상관 계수FTNT, S&P 5001 | 0.54 |
| βFTNT2 | 1.14 |
| αFTNT3 | 2.73% |
계산
1 상관 계수FTNT, S&P 500
= 공분산FTNT, S&P 500 ÷ (표준 편차FTNT × 표준 편차S&P 500)
= 33.32 ÷ (11.47% × 5.40%)
= 0.54
2 βFTNT
= 공분산FTNT, S&P 500 ÷ 분산S&P 500
= 33.32 ÷ 29.16
= 1.14
3 αFTNT
= 평균의FTNT – βFTNT × 평균의S&P 500
= 3.50% – 1.14 × 0.67%
= 2.73%
예상 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.62% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.69% |
| 보통주 Fortinet 의 체계적인 리스크 | βFTNT | 1.14 |
| Fortinet 보통주에 대한 예상 수익률3 | E(RFTNT) | 14.98% |
1 10년 이내에 만기가 되지 않거나 콜 가능하지 않은 모든 미결제 고정 쿠폰 미국 재무부 채권에 대한 입찰 수익률의 가중 평균(무위험 수익률 프록시).
2 자세히 보기 »
3 E(RFTNT) = RF + βFTNT [E(RM) – RF]
= 4.62% + 1.14 [13.69% – 4.62%]
= 14.98%