자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Palo Alto Networks의 보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Palo Alto Networks Inc., 월별 수익률
| Palo Alto Networks Inc. (PANW) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값PANW,t1 | 피제수PANW,t1 | RPANW,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 8. 31. | $33.94 | 2,926.46 | ||||
| 1. | 2019. 9. 30. | $33.97 | 0.09% | 2,976.74 | 1.72% | |
| 2. | 2019. 10. 31. | $37.90 | 11.57% | 3,037.56 | 2.04% | |
| 3. | 2019. 11. 30. | $37.87 | -0.08% | 3,140.98 | 3.40% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 6. 30. | $204.64 | 6.35% | 6,204.95 | 4.96% | |
| 71. | 2025. 7. 31. | $173.60 | -15.17% | 6,339.39 | 2.17% | |
| 평균의 (R): | 2.85% | 1.22% | ||||
| 표준 편차: | 10.46% | 4.97% | ||||
| Palo Alto Networks Inc. (PANW) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값PANW,t1 | 피제수PANW,t1 | RPANW,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 8. 31. | $33.94 | 2,926.46 | ||||
| 1. | 2019. 9. 30. | $33.97 | 0.09% | 2,976.74 | 1.72% | |
| 2. | 2019. 10. 31. | $37.90 | 11.57% | 3,037.56 | 2.04% | |
| 3. | 2019. 11. 30. | $37.87 | -0.08% | 3,140.98 | 3.40% | |
| 4. | 2019. 12. 31. | $38.54 | 1.77% | 3,230.78 | 2.86% | |
| 5. | 2020. 1. 31. | $39.13 | 1.53% | 3,225.52 | -0.16% | |
| 6. | 2020. 2. 29. | $30.77 | -21.36% | 2,954.22 | -8.41% | |
| 7. | 2020. 3. 31. | $27.33 | -11.18% | 2,584.59 | -12.51% | |
| 8. | 2020. 4. 30. | $32.75 | 19.83% | 2,912.43 | 12.68% | |
| 9. | 2020. 5. 31. | $39.21 | 19.73% | 3,044.31 | 4.53% | |
| 10. | 2020. 6. 30. | $38.28 | -2.37% | 3,100.29 | 1.84% | |
| 11. | 2020. 7. 31. | $42.66 | 11.44% | 3,271.12 | 5.51% | |
| 12. | 2020. 8. 31. | $42.90 | 0.56% | 3,500.31 | 7.01% | |
| 13. | 2020. 9. 30. | $40.79 | -4.92% | 3,363.00 | -3.92% | |
| 14. | 2020. 10. 31. | $36.87 | -9.61% | 3,269.96 | -2.77% | |
| 15. | 2020. 11. 30. | $48.99 | 32.87% | 3,621.63 | 10.75% | |
| 16. | 2020. 12. 31. | $59.23 | 20.90% | 3,756.07 | 3.71% | |
| 17. | 2021. 1. 31. | $58.46 | -1.30% | 3,714.24 | -1.11% | |
| 18. | 2021. 2. 28. | $59.72 | 2.16% | 3,811.15 | 2.61% | |
| 19. | 2021. 3. 31. | $53.68 | -10.11% | 3,972.89 | 4.24% | |
| 20. | 2021. 4. 30. | $58.90 | 9.72% | 4,181.17 | 5.24% | |
| 21. | 2021. 5. 31. | $60.54 | 2.78% | 4,204.11 | 0.55% | |
| 22. | 2021. 6. 30. | $61.84 | 2.15% | 4,297.50 | 2.22% | |
| 23. | 2021. 7. 31. | $66.51 | 7.55% | 4,395.26 | 2.27% | |
| 24. | 2021. 8. 31. | $76.84 | 15.53% | 4,522.68 | 2.90% | |
| 25. | 2021. 9. 30. | $79.84 | 3.90% | 4,307.54 | -4.76% | |
| 26. | 2021. 10. 31. | $84.85 | 6.28% | 4,605.38 | 6.91% | |
| 27. | 2021. 11. 30. | $91.16 | 7.44% | 4,567.00 | -0.83% | |
| 28. | 2021. 12. 31. | $92.80 | 1.80% | 4,766.18 | 4.36% | |
| 29. | 2022. 1. 31. | $86.24 | -7.07% | 4,515.55 | -5.26% | |
| 30. | 2022. 2. 28. | $99.04 | 14.84% | 4,373.94 | -3.14% | |
| 31. | 2022. 3. 31. | $103.75 | 4.76% | 4,530.41 | 3.58% | |
| 32. | 2022. 4. 30. | $93.55 | -9.83% | 4,131.93 | -8.80% | |
| 33. | 2022. 5. 31. | $83.80 | -10.42% | 4,132.15 | 0.01% | |
| 34. | 2022. 6. 30. | $82.33 | -1.75% | 3,785.38 | -8.39% | |
| 35. | 2022. 7. 31. | $83.19 | 1.04% | 4,130.29 | 9.11% | |
| 36. | 2022. 8. 31. | $92.80 | 11.55% | 3,955.00 | -4.24% | |
| 37. | 2022. 9. 30. | $81.90 | -11.75% | 3,585.62 | -9.34% | |
| 38. | 2022. 10. 31. | $85.80 | 4.76% | 3,871.98 | 7.99% | |
| 39. | 2022. 11. 30. | $84.95 | -0.99% | 4,080.11 | 5.38% | |
| 40. | 2022. 12. 31. | $69.77 | -17.87% | 3,839.50 | -5.90% | |
| 41. | 2023. 1. 31. | $79.32 | 13.69% | 4,076.60 | 6.18% | |
| 42. | 2023. 2. 28. | $94.19 | 18.75% | 3,970.15 | -2.61% | |
| 43. | 2023. 3. 31. | $99.87 | 6.03% | 4,109.31 | 3.51% | |
| 44. | 2023. 4. 30. | $91.23 | -8.65% | 4,169.48 | 1.46% | |
| 45. | 2023. 5. 31. | $106.70 | 16.96% | 4,179.83 | 0.25% | |
| 46. | 2023. 6. 30. | $127.76 | 19.74% | 4,376.86 | 4.71% | |
| 47. | 2023. 7. 31. | $124.98 | -2.18% | 4,588.96 | 4.85% | |
| 48. | 2023. 8. 31. | $121.65 | -2.66% | 4,507.66 | -1.77% | |
| 49. | 2023. 9. 30. | $117.22 | -3.64% | 4,288.05 | -4.87% | |
| 50. | 2023. 10. 31. | $121.51 | 3.66% | 4,193.80 | -2.20% | |
| 51. | 2023. 11. 30. | $147.55 | 21.43% | 4,567.80 | 8.92% | |
| 52. | 2023. 12. 31. | $147.44 | -0.07% | 4,769.83 | 4.42% | |
| 53. | 2024. 1. 31. | $169.26 | 14.80% | 4,845.65 | 1.59% | |
| 54. | 2024. 2. 29. | $155.28 | -8.26% | 5,096.27 | 5.17% | |
| 55. | 2024. 3. 31. | $142.07 | -8.51% | 5,254.35 | 3.10% | |
| 56. | 2024. 4. 30. | $145.45 | 2.38% | 5,035.69 | -4.16% | |
| 57. | 2024. 5. 31. | $147.46 | 1.38% | 5,277.51 | 4.80% | |
| 58. | 2024. 6. 30. | $169.51 | 14.95% | 5,460.48 | 3.47% | |
| 59. | 2024. 7. 31. | $162.37 | -4.21% | 5,522.30 | 1.13% | |
| 60. | 2024. 8. 31. | $181.36 | 11.70% | 5,648.40 | 2.28% | |
| 61. | 2024. 9. 30. | $170.90 | -5.77% | 5,762.48 | 2.02% | |
| 62. | 2024. 10. 31. | $180.17 | 5.42% | 5,705.45 | -0.99% | |
| 63. | 2024. 11. 30. | $193.91 | 7.63% | 6,032.38 | 5.73% | |
| 64. | 2024. 12. 31. | $181.96 | -6.16% | 5,881.63 | -2.50% | |
| 65. | 2025. 1. 31. | $184.42 | 1.35% | 6,040.53 | 2.70% | |
| 66. | 2025. 2. 28. | $190.43 | 3.26% | 5,954.50 | -1.42% | |
| 67. | 2025. 3. 31. | $170.64 | -10.39% | 5,611.85 | -5.75% | |
| 68. | 2025. 4. 30. | $186.93 | 9.55% | 5,569.06 | -0.76% | |
| 69. | 2025. 5. 31. | $192.42 | 2.94% | 5,911.69 | 6.15% | |
| 70. | 2025. 6. 30. | $204.64 | 6.35% | 6,204.95 | 4.96% | |
| 71. | 2025. 7. 31. | $173.60 | -15.17% | 6,339.39 | 2.17% | |
| 평균의 (R): | 2.85% | 1.22% | ||||
| 표준 편차: | 10.46% | 4.97% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 t기간 동안 PANW의 보통주 수익률
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Palo Alto Networks Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RPANW,t | RS&P 500,t | (RPANW,t–RPANW)2 | (RS&P 500,t–RS&P 500)2 | (RPANW,t–RPANW)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 9. 30. | 0.09% | 1.72% | 7.62 | 0.25 | -1.38 |
| 2. | 2019. 10. 31. | 11.57% | 2.04% | 76.05 | 0.68 | 7.20 |
| 3. | 2019. 11. 30. | -0.08% | 3.40% | 8.57 | 4.79 | -6.40 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 6. 30. | 6.35% | 4.96% | 12.27 | 14.01 | 13.11 |
| 71. | 2025. 7. 31. | -15.17% | 2.17% | 324.58 | 0.90 | -17.11 |
| 합계 (Σ): | 7,661.40 | 1,730.09 | 1,880.64 | |||
| t | 날짜 | RPANW,t | RS&P 500,t | (RPANW,t–RPANW)2 | (RS&P 500,t–RS&P 500)2 | (RPANW,t–RPANW)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 9. 30. | 0.09% | 1.72% | 7.62 | 0.25 | -1.38 |
| 2. | 2019. 10. 31. | 11.57% | 2.04% | 76.05 | 0.68 | 7.20 |
| 3. | 2019. 11. 30. | -0.08% | 3.40% | 8.57 | 4.79 | -6.40 |
| 4. | 2019. 12. 31. | 1.77% | 2.86% | 1.16 | 2.70 | -1.77 |
| 5. | 2020. 1. 31. | 1.53% | -0.16% | 1.74 | 1.90 | 1.82 |
| 6. | 2020. 2. 29. | -21.36% | -8.41% | 586.26 | 92.70 | 233.13 |
| 7. | 2020. 3. 31. | -11.18% | -12.51% | 196.78 | 188.49 | 192.59 |
| 8. | 2020. 4. 30. | 19.83% | 12.68% | 288.44 | 131.50 | 194.76 |
| 9. | 2020. 5. 31. | 19.73% | 4.53% | 284.84 | 10.96 | 55.88 |
| 10. | 2020. 6. 30. | -2.37% | 1.84% | 27.25 | 0.39 | -3.25 |
| 11. | 2020. 7. 31. | 11.44% | 5.51% | 73.86 | 18.43 | 36.89 |
| 12. | 2020. 8. 31. | 0.56% | 7.01% | 5.22 | 33.52 | -13.23 |
| 13. | 2020. 9. 30. | -4.92% | -3.92% | 60.32 | 26.42 | 39.92 |
| 14. | 2020. 10. 31. | -9.61% | -2.77% | 155.21 | 15.87 | 49.63 |
| 15. | 2020. 11. 30. | 32.87% | 10.75% | 901.45 | 90.96 | 286.35 |
| 16. | 2020. 12. 31. | 20.90% | 3.71% | 325.95 | 6.22 | 45.04 |
| 17. | 2021. 1. 31. | -1.30% | -1.11% | 17.21 | 5.43 | 9.67 |
| 18. | 2021. 2. 28. | 2.16% | 2.61% | 0.48 | 1.94 | -0.96 |
| 19. | 2021. 3. 31. | -10.11% | 4.24% | 168.01 | 9.16 | -39.23 |
| 20. | 2021. 4. 30. | 9.72% | 5.24% | 47.28 | 16.20 | 27.68 |
| 21. | 2021. 5. 31. | 2.78% | 0.55% | 0.00 | 0.45 | 0.04 |
| 22. | 2021. 6. 30. | 2.15% | 2.22% | 0.49 | 1.01 | -0.70 |
| 23. | 2021. 7. 31. | 7.55% | 2.27% | 22.12 | 1.12 | 4.97 |
| 24. | 2021. 8. 31. | 15.53% | 2.90% | 160.87 | 2.83 | 21.33 |
| 25. | 2021. 9. 30. | 3.90% | -4.76% | 1.12 | 35.69 | -6.31 |
| 26. | 2021. 10. 31. | 6.28% | 6.91% | 11.74 | 32.46 | 19.52 |
| 27. | 2021. 11. 30. | 7.44% | -0.83% | 21.05 | 4.20 | -9.41 |
| 28. | 2021. 12. 31. | 1.80% | 4.36% | 1.10 | 9.89 | -3.30 |
| 29. | 2022. 1. 31. | -7.07% | -5.26% | 98.35 | 41.93 | 64.22 |
| 30. | 2022. 2. 28. | 14.84% | -3.14% | 143.86 | 18.95 | -52.21 |
| 31. | 2022. 3. 31. | 4.76% | 3.58% | 3.64 | 5.57 | 4.50 |
| 32. | 2022. 4. 30. | -9.83% | -8.80% | 160.77 | 100.26 | 126.96 |
| 33. | 2022. 5. 31. | -10.42% | 0.01% | 176.10 | 1.47 | 16.08 |
| 34. | 2022. 6. 30. | -1.75% | -8.39% | 21.18 | 92.34 | 44.22 |
| 35. | 2022. 7. 31. | 1.04% | 9.11% | 3.25 | 62.32 | -14.24 |
| 36. | 2022. 8. 31. | 11.55% | -4.24% | 75.76 | 29.82 | -47.53 |
| 37. | 2022. 9. 30. | -11.75% | -9.34% | 212.98 | 111.44 | 154.06 |
| 38. | 2022. 10. 31. | 4.76% | 7.99% | 3.66 | 45.82 | 12.95 |
| 39. | 2022. 11. 30. | -0.99% | 5.38% | 14.74 | 17.29 | -15.96 |
| 40. | 2022. 12. 31. | -17.87% | -5.90% | 429.21 | 50.61 | 147.39 |
| 41. | 2023. 1. 31. | 13.69% | 6.18% | 117.50 | 24.58 | 53.74 |
| 42. | 2023. 2. 28. | 18.75% | -2.61% | 252.77 | 14.66 | -60.87 |
| 43. | 2023. 3. 31. | 6.03% | 3.51% | 10.13 | 5.23 | 7.28 |
| 44. | 2023. 4. 30. | -8.65% | 1.46% | 132.24 | 0.06 | -2.84 |
| 45. | 2023. 5. 31. | 16.96% | 0.25% | 199.06 | 0.94 | -13.67 |
| 46. | 2023. 6. 30. | 19.74% | 4.71% | 285.25 | 12.23 | 59.06 |
| 47. | 2023. 7. 31. | -2.18% | 4.85% | 25.24 | 13.17 | -18.23 |
| 48. | 2023. 8. 31. | -2.66% | -1.77% | 30.39 | 8.93 | 16.48 |
| 49. | 2023. 9. 30. | -3.64% | -4.87% | 42.12 | 37.08 | 39.52 |
| 50. | 2023. 10. 31. | 3.66% | -2.20% | 0.66 | 11.66 | -2.77 |
| 51. | 2023. 11. 30. | 21.43% | 8.92% | 345.30 | 59.30 | 143.10 |
| 52. | 2023. 12. 31. | -0.07% | 4.42% | 8.54 | 10.28 | -9.37 |
| 53. | 2024. 1. 31. | 14.80% | 1.59% | 142.83 | 0.14 | 4.45 |
| 54. | 2024. 2. 29. | -8.26% | 5.17% | 123.38 | 15.64 | -43.93 |
| 55. | 2024. 3. 31. | -8.51% | 3.10% | 128.94 | 3.55 | -21.40 |
| 56. | 2024. 4. 30. | 2.38% | -4.16% | 0.22 | 28.93 | 2.52 |
| 57. | 2024. 5. 31. | 1.38% | 4.80% | 2.15 | 12.85 | -5.26 |
| 58. | 2024. 6. 30. | 14.95% | 3.47% | 146.53 | 5.06 | 27.23 |
| 59. | 2024. 7. 31. | -4.21% | 1.13% | 49.85 | 0.01 | 0.60 |
| 60. | 2024. 8. 31. | 11.70% | 2.28% | 78.28 | 1.14 | 9.43 |
| 61. | 2024. 9. 30. | -5.77% | 2.02% | 74.23 | 0.64 | -6.91 |
| 62. | 2024. 10. 31. | 5.42% | -0.99% | 6.64 | 4.87 | -5.69 |
| 63. | 2024. 11. 30. | 7.63% | 5.73% | 22.83 | 20.37 | 21.56 |
| 64. | 2024. 12. 31. | -6.16% | -2.50% | 81.19 | 13.81 | 33.49 |
| 65. | 2025. 1. 31. | 1.35% | 2.70% | 2.24 | 2.20 | -2.22 |
| 66. | 2025. 2. 28. | 3.26% | -1.42% | 0.17 | 6.98 | -1.08 |
| 67. | 2025. 3. 31. | -10.39% | -5.75% | 175.31 | 48.60 | 92.31 |
| 68. | 2025. 4. 30. | 9.55% | -0.76% | 44.87 | 3.92 | -13.26 |
| 69. | 2025. 5. 31. | 2.94% | 6.15% | 0.01 | 24.36 | 0.44 |
| 70. | 2025. 6. 30. | 6.35% | 4.96% | 12.27 | 14.01 | 13.11 |
| 71. | 2025. 7. 31. | -15.17% | 2.17% | 324.58 | 0.90 | -17.11 |
| 합계 (Σ): | 7,661.40 | 1,730.09 | 1,880.64 | |||
모두 보기
분산PANW = Σ(RPANW,t–RPANW)2 ÷ (71 – 1)
= 7,661.40 ÷ (71 – 1)
= 109.45
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,730.09 ÷ (71 – 1)
= 24.72
공분산PANW, S&P 500 = Σ(RPANW,t–RPANW)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,880.64 ÷ (71 – 1)
= 26.87
체계적인 위험 추정 (β)
| 분산PANW | 109.45 |
| 분산S&P 500 | 24.72 |
| 공분산PANW, S&P 500 | 26.87 |
| 상관 계수PANW, S&P 5001 | 0.52 |
| βPANW2 | 1.09 |
| αPANW3 | 1.53% |
계산
1 상관 계수PANW, S&P 500
= 공분산PANW, S&P 500 ÷ (표준 편차PANW × 표준 편차S&P 500)
= 26.87 ÷ (10.46% × 4.97%)
= 0.52
2 βPANW
= 공분산PANW, S&P 500 ÷ 분산S&P 500
= 26.87 ÷ 24.72
= 1.09
3 αPANW
= 평균의PANW – βPANW × 평균의S&P 500
= 2.85% – 1.09 × 1.22%
= 1.53%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.71% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.85% |
| 보통주의 체계적 위험Palo Alto Networks | βPANW | 1.09 |
| Palo Alto Networks 보통주의 예상 수익률3 | E(RPANW) | 15.74% |
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(RPANW) = RF + βPANW [E(RM) – RF]
= 4.71% + 1.09 [14.85% – 4.71%]
= 15.74%