자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Palantir의 보통주와 같은 위험 자산에 대한 기대 또는 필요한 수익률을 나타냅니다.
수익률
Palantir Technologies Inc., 월별 수익률
| Palantir Technologies Inc. (PLTR) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값PLTR,t1 | 피제수PLTR,t1 | RPLTR,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2021. 1. 31. | $35.18 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $23.90 | -32.06% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $23.29 | -2.55% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $23.04 | -1.07% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | $168.45 | -15.97% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $177.75 | 5.52% | 6,845.50 | -0.05% | |
| 평균의 (R): | 4.77% | 1.14% | ||||
| 표준 편차: | 21.73% | 4.37% | ||||
| Palantir Technologies Inc. (PLTR) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값PLTR,t1 | 피제수PLTR,t1 | RPLTR,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2021. 1. 31. | $35.18 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $23.90 | -32.06% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $23.29 | -2.55% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $23.04 | -1.07% | 4,181.17 | 5.24% | |
| 4. | 2021. 5. 31. | $22.95 | -0.39% | 4,204.11 | 0.55% | |
| 5. | 2021. 6. 30. | $26.36 | 14.86% | 4,297.50 | 2.22% | |
| 6. | 2021. 7. 31. | $21.71 | -17.64% | 4,395.26 | 2.27% | |
| 7. | 2021. 8. 31. | $26.34 | 21.33% | 4,522.68 | 2.90% | |
| 8. | 2021. 9. 30. | $24.04 | -8.73% | 4,307.54 | -4.76% | |
| 9. | 2021. 10. 31. | $25.88 | 7.65% | 4,605.38 | 6.91% | |
| 10. | 2021. 11. 30. | $20.65 | -20.21% | 4,567.00 | -0.83% | |
| 11. | 2021. 12. 31. | $18.21 | -11.82% | 4,766.18 | 4.36% | |
| 12. | 2022. 1. 31. | $13.71 | -24.71% | 4,515.55 | -5.26% | |
| 13. | 2022. 2. 28. | $11.85 | -13.57% | 4,373.94 | -3.14% | |
| 14. | 2022. 3. 31. | $13.73 | 15.86% | 4,530.41 | 3.58% | |
| 15. | 2022. 4. 30. | $10.40 | -24.25% | 4,131.93 | -8.80% | |
| 16. | 2022. 5. 31. | $8.68 | -16.54% | 4,132.15 | 0.01% | |
| 17. | 2022. 6. 30. | $9.07 | 4.49% | 3,785.38 | -8.39% | |
| 18. | 2022. 7. 31. | $10.35 | 14.11% | 4,130.29 | 9.11% | |
| 19. | 2022. 8. 31. | $7.72 | -25.41% | 3,955.00 | -4.24% | |
| 20. | 2022. 9. 30. | $8.13 | 5.31% | 3,585.62 | -9.34% | |
| 21. | 2022. 10. 31. | $8.79 | 8.12% | 3,871.98 | 7.99% | |
| 22. | 2022. 11. 30. | $7.50 | -14.68% | 4,080.11 | 5.38% | |
| 23. | 2022. 12. 31. | $6.42 | -14.40% | 3,839.50 | -5.90% | |
| 24. | 2023. 1. 31. | $7.78 | 21.18% | 4,076.60 | 6.18% | |
| 25. | 2023. 2. 28. | $7.84 | 0.77% | 3,970.15 | -2.61% | |
| 26. | 2023. 3. 31. | $8.45 | 7.78% | 4,109.31 | 3.51% | |
| 27. | 2023. 4. 30. | $7.75 | -8.28% | 4,169.48 | 1.46% | |
| 28. | 2023. 5. 31. | $14.71 | 89.81% | 4,179.83 | 0.25% | |
| 29. | 2023. 6. 30. | $15.33 | 4.21% | 4,376.86 | 4.71% | |
| 30. | 2023. 7. 31. | $19.84 | 29.42% | 4,588.96 | 4.85% | |
| 31. | 2023. 8. 31. | $14.98 | -24.50% | 4,507.66 | -1.77% | |
| 32. | 2023. 9. 30. | $16.00 | 6.81% | 4,288.05 | -4.87% | |
| 33. | 2023. 10. 31. | $14.80 | -7.50% | 4,193.80 | -2.20% | |
| 34. | 2023. 11. 30. | $20.05 | 35.47% | 4,567.80 | 8.92% | |
| 35. | 2023. 12. 31. | $17.17 | -14.36% | 4,769.83 | 4.42% | |
| 36. | 2024. 1. 31. | $16.09 | -6.29% | 4,845.65 | 1.59% | |
| 37. | 2024. 2. 29. | $25.08 | 55.87% | 5,096.27 | 5.17% | |
| 38. | 2024. 3. 31. | $23.01 | -8.25% | 5,254.35 | 3.10% | |
| 39. | 2024. 4. 30. | $21.97 | -4.52% | 5,035.69 | -4.16% | |
| 40. | 2024. 5. 31. | $21.68 | -1.32% | 5,277.51 | 4.80% | |
| 41. | 2024. 6. 30. | $25.33 | 16.84% | 5,460.48 | 3.47% | |
| 42. | 2024. 7. 31. | $26.89 | 6.16% | 5,522.30 | 1.13% | |
| 43. | 2024. 8. 31. | $31.48 | 17.07% | 5,648.40 | 2.28% | |
| 44. | 2024. 9. 30. | $37.20 | 18.17% | 5,762.48 | 2.02% | |
| 45. | 2024. 10. 31. | $41.56 | 11.72% | 5,705.45 | -0.99% | |
| 46. | 2024. 11. 30. | $67.08 | 61.41% | 6,032.38 | 5.73% | |
| 47. | 2024. 12. 31. | $75.63 | 12.75% | 5,881.63 | -2.50% | |
| 48. | 2025. 1. 31. | $82.49 | 9.07% | 6,040.53 | 2.70% | |
| 49. | 2025. 2. 28. | $84.92 | 2.95% | 5,954.50 | -1.42% | |
| 50. | 2025. 3. 31. | $84.40 | -0.61% | 5,611.85 | -5.75% | |
| 51. | 2025. 4. 30. | $118.44 | 40.33% | 5,569.06 | -0.76% | |
| 52. | 2025. 5. 31. | $131.78 | 11.26% | 5,911.69 | 6.15% | |
| 53. | 2025. 6. 30. | $136.32 | 3.45% | 6,204.95 | 4.96% | |
| 54. | 2025. 7. 31. | $158.35 | 16.16% | 6,339.39 | 2.17% | |
| 55. | 2025. 8. 31. | $156.71 | -1.04% | 6,460.26 | 1.91% | |
| 56. | 2025. 9. 30. | $182.42 | 16.41% | 6,688.46 | 3.53% | |
| 57. | 2025. 10. 31. | $200.47 | 9.89% | 6,840.20 | 2.27% | |
| 58. | 2025. 11. 30. | $168.45 | -15.97% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $177.75 | 5.52% | 6,845.50 | -0.05% | |
| 평균의 (R): | 4.77% | 1.14% | ||||
| 표준 편차: | 21.73% | 4.37% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 PLTR의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Palantir Technologies Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RPLTR,t | RS&P 500,t | (RPLTR,t–RPLTR)2 | (RS&P 500,t–RS&P 500)2 | (RPLTR,t–RPLTR)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 2. 28. | -32.06% | 2.61% | 1,356.85 | 2.17 | -54.26 |
| 2. | 2021. 3. 31. | -2.55% | 4.24% | 53.64 | 9.66 | -22.76 |
| 3. | 2021. 4. 30. | -1.07% | 5.24% | 34.17 | 16.86 | -24.00 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | -15.97% | 0.13% | 430.32 | 1.01 | 20.87 |
| 59. | 2025. 12. 31. | 5.52% | -0.05% | 0.56 | 1.41 | -0.89 |
| 합계 (Σ): | 27,383.09 | 1,108.23 | 1,870.77 | |||
| t | 날짜 | RPLTR,t | RS&P 500,t | (RPLTR,t–RPLTR)2 | (RS&P 500,t–RS&P 500)2 | (RPLTR,t–RPLTR)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 2. 28. | -32.06% | 2.61% | 1,356.85 | 2.17 | -54.26 |
| 2. | 2021. 3. 31. | -2.55% | 4.24% | 53.64 | 9.66 | -22.76 |
| 3. | 2021. 4. 30. | -1.07% | 5.24% | 34.17 | 16.86 | -24.00 |
| 4. | 2021. 5. 31. | -0.39% | 0.55% | 26.65 | 0.35 | 3.03 |
| 5. | 2021. 6. 30. | 14.86% | 2.22% | 101.74 | 1.18 | 10.95 |
| 6. | 2021. 7. 31. | -17.64% | 2.27% | 502.30 | 1.30 | -25.52 |
| 7. | 2021. 8. 31. | 21.33% | 2.90% | 274.06 | 3.11 | 29.18 |
| 8. | 2021. 9. 30. | -8.73% | -4.76% | 182.35 | 34.73 | 79.58 |
| 9. | 2021. 10. 31. | 7.65% | 6.91% | 8.31 | 33.39 | 16.65 |
| 10. | 2021. 11. 30. | -20.21% | -0.83% | 624.02 | 3.88 | 49.20 |
| 11. | 2021. 12. 31. | -11.82% | 4.36% | 275.15 | 10.40 | -53.50 |
| 12. | 2022. 1. 31. | -24.71% | -5.26% | 869.27 | 40.89 | 188.54 |
| 13. | 2022. 2. 28. | -13.57% | -3.14% | 336.30 | 18.25 | 78.35 |
| 14. | 2022. 3. 31. | 15.86% | 3.58% | 123.06 | 5.96 | 27.08 |
| 15. | 2022. 4. 30. | -24.25% | -8.80% | 842.46 | 98.64 | 288.27 |
| 16. | 2022. 5. 31. | -16.54% | 0.01% | 454.12 | 1.28 | 24.10 |
| 17. | 2022. 6. 30. | 4.49% | -8.39% | 0.08 | 90.79 | 2.66 |
| 18. | 2022. 7. 31. | 14.11% | 9.11% | 87.25 | 63.61 | 74.50 |
| 19. | 2022. 8. 31. | -25.41% | -4.24% | 910.98 | 28.95 | 162.39 |
| 20. | 2022. 9. 30. | 5.31% | -9.34% | 0.29 | 109.74 | -5.65 |
| 21. | 2022. 10. 31. | 8.12% | 7.99% | 11.20 | 46.93 | 22.92 |
| 22. | 2022. 11. 30. | -14.68% | 5.38% | 378.21 | 17.97 | -82.44 |
| 23. | 2022. 12. 31. | -14.40% | -5.90% | 367.56 | 49.47 | 134.84 |
| 24. | 2023. 1. 31. | 21.18% | 6.18% | 269.36 | 25.39 | 82.70 |
| 25. | 2023. 2. 28. | 0.77% | -2.61% | 16.00 | 14.04 | 14.99 |
| 26. | 2023. 3. 31. | 7.78% | 3.51% | 9.05 | 5.61 | 7.13 |
| 27. | 2023. 4. 30. | -8.28% | 1.46% | 170.45 | 0.11 | -4.28 |
| 28. | 2023. 5. 31. | 89.81% | 0.25% | 7,230.90 | 0.79 | -75.50 |
| 29. | 2023. 6. 30. | 4.21% | 4.71% | 0.31 | 12.80 | -1.99 |
| 30. | 2023. 7. 31. | 29.42% | 4.85% | 607.51 | 13.76 | 91.44 |
| 31. | 2023. 8. 31. | -24.50% | -1.77% | 856.60 | 8.46 | 85.10 |
| 32. | 2023. 9. 30. | 6.81% | -4.87% | 4.15 | 36.10 | -12.24 |
| 33. | 2023. 10. 31. | -7.50% | -2.20% | 150.60 | 11.12 | 40.92 |
| 34. | 2023. 11. 30. | 35.47% | 8.92% | 942.57 | 60.56 | 238.91 |
| 35. | 2023. 12. 31. | -14.36% | 4.42% | 366.18 | 10.80 | -62.90 |
| 36. | 2024. 1. 31. | -6.29% | 1.59% | 122.36 | 0.21 | -5.02 |
| 37. | 2024. 2. 29. | 55.87% | 5.17% | 2,611.36 | 16.29 | 206.24 |
| 38. | 2024. 3. 31. | -8.25% | 3.10% | 169.66 | 3.86 | -25.60 |
| 39. | 2024. 4. 30. | -4.52% | -4.16% | 86.33 | 28.06 | 49.22 |
| 40. | 2024. 5. 31. | -1.32% | 4.80% | 37.11 | 13.44 | -22.33 |
| 41. | 2024. 6. 30. | 16.84% | 3.47% | 145.54 | 5.43 | 28.12 |
| 42. | 2024. 7. 31. | 6.16% | 1.13% | 1.92 | 0.00 | -0.01 |
| 43. | 2024. 8. 31. | 17.07% | 2.28% | 151.24 | 1.32 | 14.11 |
| 44. | 2024. 9. 30. | 18.17% | 2.02% | 179.52 | 0.78 | 11.84 |
| 45. | 2024. 10. 31. | 11.72% | -0.99% | 48.28 | 4.52 | -14.77 |
| 46. | 2024. 11. 30. | 61.41% | 5.73% | 3,207.35 | 21.10 | 260.17 |
| 47. | 2024. 12. 31. | 12.75% | -2.50% | 63.59 | 13.21 | -28.99 |
| 48. | 2025. 1. 31. | 9.07% | 2.70% | 18.48 | 2.45 | 6.73 |
| 49. | 2025. 2. 28. | 2.95% | -1.42% | 3.33 | 6.56 | 4.68 |
| 50. | 2025. 3. 31. | -0.61% | -5.75% | 28.99 | 47.48 | 37.10 |
| 51. | 2025. 4. 30. | 40.33% | -0.76% | 1,264.51 | 3.60 | -67.52 |
| 52. | 2025. 5. 31. | 11.26% | 6.15% | 42.14 | 25.16 | 32.56 |
| 53. | 2025. 6. 30. | 3.45% | 4.96% | 1.76 | 14.63 | -5.07 |
| 54. | 2025. 7. 31. | 16.16% | 2.17% | 129.70 | 1.06 | 11.74 |
| 55. | 2025. 8. 31. | -1.04% | 1.91% | 33.73 | 0.59 | -4.47 |
| 56. | 2025. 9. 30. | 16.41% | 3.53% | 135.36 | 5.74 | 27.88 |
| 57. | 2025. 10. 31. | 9.89% | 2.27% | 26.25 | 1.28 | 5.80 |
| 58. | 2025. 11. 30. | -15.97% | 0.13% | 430.32 | 1.01 | 20.87 |
| 59. | 2025. 12. 31. | 5.52% | -0.05% | 0.56 | 1.41 | -0.89 |
| 합계 (Σ): | 27,383.09 | 1,108.23 | 1,870.77 | |||
모두 보기
분산PLTR = Σ(RPLTR,t–RPLTR)2 ÷ (59 – 1)
= 27,383.09 ÷ (59 – 1)
= 472.12
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
공분산PLTR, S&P 500 = Σ(RPLTR,t–RPLTR)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,870.77 ÷ (59 – 1)
= 32.25
체계적인 위험 추정 (β)
| 분산PLTR | 472.12 |
| 분산S&P 500 | 19.11 |
| 공분산PLTR, S&P 500 | 32.25 |
| 상관 계수PLTR, S&P 5001 | 0.34 |
| βPLTR2 | 1.69 |
| αPLTR3 | 2.85% |
계산
1 상관 계수PLTR, S&P 500
= 공분산PLTR, S&P 500 ÷ (표준 편차PLTR × 표준 편차S&P 500)
= 32.25 ÷ (21.73% × 4.37%)
= 0.34
2 βPLTR
= 공분산PLTR, S&P 500 ÷ 분산S&P 500
= 32.25 ÷ 19.11
= 1.69
3 αPLTR
= 평균의PLTR – βPLTR × 평균의S&P 500
= 4.77% – 1.69 × 1.14%
= 2.85%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.94% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.36% |
| 보통주의 체계적 위험Palantir | βPLTR | 1.69 |
| Palantir 보통주에 대한 예상 수익률3 | E(RPLTR) | 25.91% |
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(RPLTR) = RF + βPLTR [E(RM) – RF]
= 4.94% + 1.69 [17.36% – 4.94%]
= 25.91%