Stock Analysis on Net

Palo Alto Networks Inc. (NASDAQ:PANW)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

수익률

Palo Alto Networks Inc., 월별 수익률

Microsoft Excel
Palo Alto Networks Inc. (PANW) Standard & Poor’s 500 (S&P 500)
t 날짜 PANW,t1 피제수PANW,t1 RPANW,t2 S&P 500,t RS&P 500,t3
2017. 8. 31. $44.23 2,471.65
1. 2017. 9. 30. $48.03 8.59% 2,519.36 1.93%
2. 2017. 10. 31. $49.07 2.17% 2,575.26 2.22%
3. 2017. 11. 30. $48.58 -1.00% 2,647.58 2.81%
. . . . . . .
. . . . . . .
. . . . . . .
70. 2023. 6. 30. $255.51 19.74% 4,376.86 4.71%
71. 2023. 7. 31. $249.96 -2.17% 4,588.96 4.85%
평균의 (R): 3.02% 1.00%
표준 편차: 10.61% 5.07%
Palo Alto Networks Inc. (PANW) Standard & Poor’s 500 (S&P 500)
t 날짜 PANW,t1 피제수PANW,t1 RPANW,t2 S&P 500,t RS&P 500,t3
2017. 8. 31. $44.23 2,471.65
1. 2017. 9. 30. $48.03 8.59% 2,519.36 1.93%
2. 2017. 10. 31. $49.07 2.17% 2,575.26 2.22%
3. 2017. 11. 30. $48.58 -1.00% 2,647.58 2.81%
4. 2017. 12. 31. $48.31 -0.56% 2,673.61 0.98%
5. 2018. 1. 31. $52.62 8.92% 2,823.81 5.62%
6. 2018. 2. 28. $57.79 9.83% 2,713.83 -3.89%
7. 2018. 3. 31. $60.51 4.71% 2,640.87 -2.69%
8. 2018. 4. 30. $64.17 6.05% 2,648.05 0.27%
9. 2018. 5. 31. $69.36 8.09% 2,705.27 2.16%
10. 2018. 6. 30. $68.49 -1.25% 2,718.37 0.48%
11. 2018. 7. 31. $66.09 -3.50% 2,816.29 3.60%
12. 2018. 8. 31. $77.05 16.58% 2,901.52 3.03%
13. 2018. 9. 30. $75.09 -2.54% 2,913.98 0.43%
14. 2018. 10. 31. $61.01 -18.75% 2,711.74 -6.94%
15. 2018. 11. 30. $57.65 -5.51% 2,760.17 1.79%
16. 2018. 12. 31. $62.78 8.90% 2,506.85 -9.18%
17. 2019. 1. 31. $71.61 14.06% 2,704.10 7.87%
18. 2019. 2. 28. $82.09 14.63% 2,784.49 2.97%
19. 2019. 3. 31. $80.96 -1.38% 2,834.40 1.79%
20. 2019. 4. 30. $82.94 2.45% 2,945.83 3.93%
21. 2019. 5. 31. $66.71 -19.57% 2,752.06 -6.58%
22. 2019. 6. 30. $67.92 1.81% 2,941.76 6.89%
23. 2019. 7. 31. $75.51 11.17% 2,980.38 1.31%
24. 2019. 8. 31. $67.87 -10.12% 2,926.46 -1.81%
25. 2019. 9. 30. $67.94 0.10% 2,976.74 1.72%
26. 2019. 10. 31. $75.80 11.57% 3,037.56 2.04%
27. 2019. 11. 30. $75.74 -0.08% 3,140.98 3.40%
28. 2019. 12. 31. $77.08 1.77% 3,230.78 2.86%
29. 2020. 1. 31. $78.26 1.53% 3,225.52 -0.16%
30. 2020. 2. 29. $61.54 -21.36% 2,954.22 -8.41%
31. 2020. 3. 31. $54.65 -11.20% 2,584.59 -12.51%
32. 2020. 4. 30. $65.50 19.85% 2,912.43 12.68%
33. 2020. 5. 31. $78.42 19.73% 3,044.31 4.53%
34. 2020. 6. 30. $76.56 -2.37% 3,100.29 1.84%
35. 2020. 7. 31. $85.31 11.43% 3,271.12 5.51%
36. 2020. 8. 31. $85.80 0.57% 3,500.31 7.01%
37. 2020. 9. 30. $81.58 -4.92% 3,363.00 -3.92%
38. 2020. 10. 31. $73.73 -9.62% 3,269.96 -2.77%
39. 2020. 11. 30. $97.97 32.88% 3,621.63 10.75%
40. 2020. 12. 31. $118.46 20.91% 3,756.07 3.71%
41. 2021. 1. 31. $116.92 -1.30% 3,714.24 -1.11%
42. 2021. 2. 28. $119.44 2.16% 3,811.15 2.61%
43. 2021. 3. 31. $107.35 -10.12% 3,972.89 4.24%
44. 2021. 4. 30. $117.80 9.73% 4,181.17 5.24%
45. 2021. 5. 31. $121.08 2.78% 4,204.11 0.55%
46. 2021. 6. 30. $123.68 2.15% 4,297.50 2.22%
47. 2021. 7. 31. $133.02 7.55% 4,395.26 2.27%
48. 2021. 8. 31. $153.68 15.53% 4,522.68 2.90%
49. 2021. 9. 30. $159.67 3.90% 4,307.54 -4.76%
50. 2021. 10. 31. $169.70 6.28% 4,605.38 6.91%
51. 2021. 11. 30. $182.31 7.43% 4,567.00 -0.83%
52. 2021. 12. 31. $185.59 1.80% 4,766.18 4.36%
53. 2022. 1. 31. $172.47 -7.07% 4,515.55 -5.26%
54. 2022. 2. 28. $198.08 14.85% 4,373.94 -3.14%
55. 2022. 3. 31. $207.50 4.76% 4,530.41 3.58%
56. 2022. 4. 30. $187.09 -9.84% 4,131.93 -8.80%
57. 2022. 5. 31. $167.59 -10.42% 4,132.15 0.01%
58. 2022. 6. 30. $164.65 -1.75% 3,785.38 -8.39%
59. 2022. 7. 31. $166.37 1.04% 4,130.29 9.11%
60. 2022. 8. 31. $185.60 11.56% 3,955.00 -4.24%
61. 2022. 9. 30. $163.79 -11.75% 3,585.62 -9.34%
62. 2022. 10. 31. $171.59 4.76% 3,871.98 7.99%
63. 2022. 11. 30. $169.90 -0.98% 4,080.11 5.38%
64. 2022. 12. 31. $139.54 -17.87% 3,839.50 -5.90%
65. 2023. 1. 31. $158.64 13.69% 4,076.60 6.18%
66. 2023. 2. 28. $188.37 18.74% 3,970.15 -2.61%
67. 2023. 3. 31. $199.74 6.04% 4,109.31 3.51%
68. 2023. 4. 30. $182.46 -8.65% 4,169.48 1.46%
69. 2023. 5. 31. $213.39 16.95% 4,179.83 0.25%
70. 2023. 6. 30. $255.51 19.74% 4,376.86 4.71%
71. 2023. 7. 31. $249.96 -2.17% 4,588.96 4.85%
평균의 (R): 3.02% 1.00%
표준 편차: 10.61% 5.07%

모두 표시

1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.

2 기간 t 동안 PANW의 보통주에 대한 수익률.

3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.


분산과 공분산

Palo Alto Networks Inc., 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RPANW,t RS&P 500,t (RPANW,tRPANW)2 (RS&P 500,tRS&P 500)2 (RPANW,tRPANW)×(RS&P 500,tRS&P 500)
1. 2017. 9. 30. 8.59% 1.93% 31.09 0.86 5.17
2. 2017. 10. 31. 2.17% 2.22% 0.72 1.48 -1.03
3. 2017. 11. 30. -1.00% 2.81% 16.11 3.26 -7.24
. . . . . . .
. . . . . . .
. . . . . . .
70. 2023. 6. 30. 19.74% 4.71% 279.67 13.77 62.05
71. 2023. 7. 31. -2.17% 4.85% 26.91 14.77 -19.93
합계 (Σ): 7,876.48 1,800.45 2,018.78
t 날짜 RPANW,t RS&P 500,t (RPANW,tRPANW)2 (RS&P 500,tRS&P 500)2 (RPANW,tRPANW)×(RS&P 500,tRS&P 500)
1. 2017. 9. 30. 8.59% 1.93% 31.09 0.86 5.17
2. 2017. 10. 31. 2.17% 2.22% 0.72 1.48 -1.03
3. 2017. 11. 30. -1.00% 2.81% 16.11 3.26 -7.24
4. 2017. 12. 31. -0.56% 0.98% 12.75 0.00 0.07
5. 2018. 1. 31. 8.92% 5.62% 34.88 21.29 27.26
6. 2018. 2. 28. 9.83% -3.89% 46.37 23.99 -33.35
7. 2018. 3. 31. 4.71% -2.69% 2.86 13.63 -6.24
8. 2018. 4. 30. 6.05% 0.27% 9.20 0.53 -2.22
9. 2018. 5. 31. 8.09% 2.16% 25.73 1.34 5.87
10. 2018. 6. 30. -1.25% 0.48% 18.23 0.27 2.22
11. 2018. 7. 31. -3.50% 3.60% 42.50 6.75 -16.94
12. 2018. 8. 31. 16.58% 3.03% 184.10 4.09 27.45
13. 2018. 9. 30. -2.54% 0.43% 30.90 0.33 3.19
14. 2018. 10. 31. -18.75% -6.94% 473.76 63.10 172.90
15. 2018. 11. 30. -5.51% 1.79% 72.63 0.61 -6.67
16. 2018. 12. 31. 8.90% -9.18% 34.61 103.65 -59.90
17. 2019. 1. 31. 14.06% 7.87% 122.10 47.13 75.86
18. 2019. 2. 28. 14.63% 2.97% 135.01 3.88 22.89
19. 2019. 3. 31. -1.38% 1.79% 19.29 0.62 -3.47
20. 2019. 4. 30. 2.45% 3.93% 0.32 8.57 -1.67
21. 2019. 5. 31. -19.57% -6.58% 510.02 57.47 171.21
22. 2019. 6. 30. 1.81% 6.89% 1.44 34.69 -7.08
23. 2019. 7. 31. 11.17% 1.31% 66.58 0.10 2.53
24. 2019. 8. 31. -10.12% -1.81% 172.48 7.91 36.94
25. 2019. 9. 30. 0.10% 1.72% 8.48 0.51 -2.08
26. 2019. 10. 31. 11.57% 2.04% 73.17 1.08 8.90
27. 2019. 11. 30. -0.08% 3.40% 9.58 5.77 -7.43
28. 2019. 12. 31. 1.77% 2.86% 1.55 3.44 -2.31
29. 2020. 1. 31. 1.53% -0.16% 2.20 1.36 1.73
30. 2020. 2. 29. -21.36% -8.41% 594.38 88.63 229.52
31. 2020. 3. 31. -11.20% -12.51% 201.96 182.66 192.07
32. 2020. 4. 30. 19.85% 12.68% 283.53 136.45 196.69
33. 2020. 5. 31. 19.73% 4.53% 279.22 12.42 58.90
34. 2020. 6. 30. -2.37% 1.84% 29.02 0.70 -4.50
35. 2020. 7. 31. 11.43% 5.51% 70.79 20.31 37.92
36. 2020. 8. 31. 0.57% 7.01% 5.96 36.04 -14.65
37. 2020. 9. 30. -4.92% -3.92% 62.94 24.27 39.08
38. 2020. 10. 31. -9.62% -2.77% 159.71 14.21 47.64
39. 2020. 11. 30. 32.88% 10.75% 891.71 95.09 291.19
40. 2020. 12. 31. 20.91% 3.71% 320.39 7.34 48.49
41. 2021. 1. 31. -1.30% -1.11% 18.62 4.48 9.14
42. 2021. 2. 28. 2.16% 2.61% 0.74 2.58 -1.38
43. 2021. 3. 31. -10.12% 4.24% 172.59 10.50 -42.57
44. 2021. 4. 30. 9.73% 5.24% 45.15 17.97 28.48
45. 2021. 5. 31. 2.78% 0.55% 0.05 0.21 0.10
46. 2021. 6. 30. 2.15% 2.22% 0.75 1.48 -1.06
47. 2021. 7. 31. 7.55% 2.27% 20.58 1.62 5.77
48. 2021. 8. 31. 15.53% 2.90% 156.66 3.59 23.73
49. 2021. 9. 30. 3.90% -4.76% 0.78 33.18 -5.08
50. 2021. 10. 31. 6.28% 6.91% 10.67 34.94 19.31
51. 2021. 11. 30. 7.43% -0.83% 19.50 3.37 -8.11
52. 2021. 12. 31. 1.80% 4.36% 1.48 11.28 -4.08
53. 2022. 1. 31. -7.07% -5.26% 101.70 39.21 63.15
54. 2022. 2. 28. 14.85% -3.14% 140.04 17.13 -48.98
55. 2022. 3. 31. 4.76% 3.58% 3.03 6.63 4.48
56. 2022. 4. 30. -9.84% -8.80% 165.16 96.02 125.93
57. 2022. 5. 31. -10.42% 0.01% 180.58 1.00 13.41
58. 2022. 6. 30. -1.75% -8.39% 22.75 88.27 44.81
59. 2022. 7. 31. 1.04% 9.11% 3.88 65.75 -15.98
60. 2022. 8. 31. 11.56% -4.24% 72.99 27.53 -44.83
61. 2022. 9. 30. -11.75% -9.34% 218.04 106.97 152.73
62. 2022. 10. 31. 4.76% 7.99% 3.05 48.76 12.20
63. 2022. 11. 30. -0.98% 5.38% 16.00 19.11 -17.49
64. 2022. 12. 31. -17.87% -5.90% 436.17 47.62 144.11
65. 2023. 1. 31. 13.69% 6.18% 113.90 26.75 55.20
66. 2023. 2. 28. 18.74% -2.61% 247.28 13.06 -56.84
67. 2023. 3. 31. 6.04% 3.51% 9.12 6.26 7.56
68. 2023. 4. 30. -8.65% 1.46% 136.11 0.21 -5.38
69. 2023. 5. 31. 16.95% 0.25% 194.22 0.57 -10.52
70. 2023. 6. 30. 19.74% 4.71% 279.67 13.77 62.05
71. 2023. 7. 31. -2.17% 4.85% 26.91 14.77 -19.93
합계 (Σ): 7,876.48 1,800.45 2,018.78

모두 표시

분산PANW = Σ(RPANW,tRPANW)2 ÷ (71 – 1)
= 7,876.48 ÷ (71 – 1)
= 112.52

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,800.45 ÷ (71 – 1)
= 25.72

공분산PANW, S&P 500 = Σ(RPANW,tRPANW)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 2,018.78 ÷ (71 – 1)
= 28.84


체계적인 위험 추정 (β)

Microsoft Excel
분산PANW 112.52
분산S&P 500 25.72
공분산PANW, S&P 500 28.84
상관 계수PANW, S&P 5001 0.54
βPANW2 1.12
αPANW3 1.89%

계산

1 상관 계수PANW, S&P 500
= 공분산PANW, S&P 500 ÷ (표준 편차PANW × 표준 편차S&P 500)
= 28.84 ÷ (10.61% × 5.07%)
= 0.54

2 βPANW
= 공분산PANW, S&P 500 ÷ 분산S&P 500
= 28.84 ÷ 25.72
= 1.12

3 αPANW
= 평균의PANW – βPANW × 평균의S&P 500
= 3.02%1.12 × 1.00%
= 1.89%


예상 수익률

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.74%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 13.50%
보통주 Palo Alto Networks 의 체계적인 리스크 βPANW 1.12
 
Palo Alto Networks 보통주에 대한 예상 수익률3 E(RPANW) 14.56%

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(RPANW) = RF + βPANW [E(RM) – RF]
= 4.74% + 1.12 [13.50%4.74%]
= 14.56%