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 |
| 2018. 8. 31. | $38.53 | 2,901.52 | ||||
| 1. | 2018. 9. 30. | $37.55 | -2.54% | 2,913.98 | 0.43% | |
| 2. | 2018. 10. 31. | $30.51 | -18.75% | 2,711.74 | -6.94% | |
| 3. | 2018. 11. 30. | $28.83 | -5.51% | 2,760.17 | 1.79% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 6. 30. | $169.51 | 14.95% | 5,460.48 | 3.47% | |
| 71. | 2024. 7. 31. | $162.37 | -4.21% | 5,522.30 | 1.13% | |
| 평균의 (R): | 2.63% | 1.05% | ||||
| 표준 편차: | 10.99% | 5.24% | ||||
| 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 |
| 2018. 8. 31. | $38.53 | 2,901.52 | ||||
| 1. | 2018. 9. 30. | $37.55 | -2.54% | 2,913.98 | 0.43% | |
| 2. | 2018. 10. 31. | $30.51 | -18.75% | 2,711.74 | -6.94% | |
| 3. | 2018. 11. 30. | $28.83 | -5.51% | 2,760.17 | 1.79% | |
| 4. | 2018. 12. 31. | $31.39 | 8.88% | 2,506.85 | -9.18% | |
| 5. | 2019. 1. 31. | $35.81 | 14.08% | 2,704.10 | 7.87% | |
| 6. | 2019. 2. 28. | $41.05 | 14.63% | 2,784.49 | 2.97% | |
| 7. | 2019. 3. 31. | $40.48 | -1.39% | 2,834.40 | 1.79% | |
| 8. | 2019. 4. 30. | $41.47 | 2.45% | 2,945.83 | 3.93% | |
| 9. | 2019. 5. 31. | $33.36 | -19.56% | 2,752.06 | -6.58% | |
| 10. | 2019. 6. 30. | $33.96 | 1.80% | 2,941.76 | 6.89% | |
| 11. | 2019. 7. 31. | $37.76 | 11.19% | 2,980.38 | 1.31% | |
| 12. | 2019. 8. 31. | $33.94 | -10.12% | 2,926.46 | -1.81% | |
| 13. | 2019. 9. 30. | $33.97 | 0.09% | 2,976.74 | 1.72% | |
| 14. | 2019. 10. 31. | $37.90 | 11.57% | 3,037.56 | 2.04% | |
| 15. | 2019. 11. 30. | $37.87 | -0.08% | 3,140.98 | 3.40% | |
| 16. | 2019. 12. 31. | $38.54 | 1.77% | 3,230.78 | 2.86% | |
| 17. | 2020. 1. 31. | $39.13 | 1.53% | 3,225.52 | -0.16% | |
| 18. | 2020. 2. 29. | $30.77 | -21.36% | 2,954.22 | -8.41% | |
| 19. | 2020. 3. 31. | $27.33 | -11.18% | 2,584.59 | -12.51% | |
| 20. | 2020. 4. 30. | $32.75 | 19.83% | 2,912.43 | 12.68% | |
| 21. | 2020. 5. 31. | $39.21 | 19.73% | 3,044.31 | 4.53% | |
| 22. | 2020. 6. 30. | $38.28 | -2.37% | 3,100.29 | 1.84% | |
| 23. | 2020. 7. 31. | $42.66 | 11.44% | 3,271.12 | 5.51% | |
| 24. | 2020. 8. 31. | $42.90 | 0.56% | 3,500.31 | 7.01% | |
| 25. | 2020. 9. 30. | $40.79 | -4.92% | 3,363.00 | -3.92% | |
| 26. | 2020. 10. 31. | $36.87 | -9.61% | 3,269.96 | -2.77% | |
| 27. | 2020. 11. 30. | $48.99 | 32.87% | 3,621.63 | 10.75% | |
| 28. | 2020. 12. 31. | $59.23 | 20.90% | 3,756.07 | 3.71% | |
| 29. | 2021. 1. 31. | $58.46 | -1.30% | 3,714.24 | -1.11% | |
| 30. | 2021. 2. 28. | $59.72 | 2.16% | 3,811.15 | 2.61% | |
| 31. | 2021. 3. 31. | $53.68 | -10.11% | 3,972.89 | 4.24% | |
| 32. | 2021. 4. 30. | $58.90 | 9.72% | 4,181.17 | 5.24% | |
| 33. | 2021. 5. 31. | $60.54 | 2.78% | 4,204.11 | 0.55% | |
| 34. | 2021. 6. 30. | $61.84 | 2.15% | 4,297.50 | 2.22% | |
| 35. | 2021. 7. 31. | $66.51 | 7.55% | 4,395.26 | 2.27% | |
| 36. | 2021. 8. 31. | $76.84 | 15.53% | 4,522.68 | 2.90% | |
| 37. | 2021. 9. 30. | $79.84 | 3.90% | 4,307.54 | -4.76% | |
| 38. | 2021. 10. 31. | $84.85 | 6.28% | 4,605.38 | 6.91% | |
| 39. | 2021. 11. 30. | $91.16 | 7.44% | 4,567.00 | -0.83% | |
| 40. | 2021. 12. 31. | $92.80 | 1.80% | 4,766.18 | 4.36% | |
| 41. | 2022. 1. 31. | $86.24 | -7.07% | 4,515.55 | -5.26% | |
| 42. | 2022. 2. 28. | $99.04 | 14.84% | 4,373.94 | -3.14% | |
| 43. | 2022. 3. 31. | $103.75 | 4.76% | 4,530.41 | 3.58% | |
| 44. | 2022. 4. 30. | $93.55 | -9.83% | 4,131.93 | -8.80% | |
| 45. | 2022. 5. 31. | $83.80 | -10.42% | 4,132.15 | 0.01% | |
| 46. | 2022. 6. 30. | $82.33 | -1.75% | 3,785.38 | -8.39% | |
| 47. | 2022. 7. 31. | $83.19 | 1.04% | 4,130.29 | 9.11% | |
| 48. | 2022. 8. 31. | $92.80 | 11.55% | 3,955.00 | -4.24% | |
| 49. | 2022. 9. 30. | $81.90 | -11.75% | 3,585.62 | -9.34% | |
| 50. | 2022. 10. 31. | $85.80 | 4.76% | 3,871.98 | 7.99% | |
| 51. | 2022. 11. 30. | $84.95 | -0.99% | 4,080.11 | 5.38% | |
| 52. | 2022. 12. 31. | $69.77 | -17.87% | 3,839.50 | -5.90% | |
| 53. | 2023. 1. 31. | $79.32 | 13.69% | 4,076.60 | 6.18% | |
| 54. | 2023. 2. 28. | $94.19 | 18.75% | 3,970.15 | -2.61% | |
| 55. | 2023. 3. 31. | $99.87 | 6.03% | 4,109.31 | 3.51% | |
| 56. | 2023. 4. 30. | $91.23 | -8.65% | 4,169.48 | 1.46% | |
| 57. | 2023. 5. 31. | $106.70 | 16.96% | 4,179.83 | 0.25% | |
| 58. | 2023. 6. 30. | $127.76 | 19.74% | 4,376.86 | 4.71% | |
| 59. | 2023. 7. 31. | $124.98 | -2.18% | 4,588.96 | 4.85% | |
| 60. | 2023. 8. 31. | $121.65 | -2.66% | 4,507.66 | -1.77% | |
| 61. | 2023. 9. 30. | $117.22 | -3.64% | 4,288.05 | -4.87% | |
| 62. | 2023. 10. 31. | $121.51 | 3.66% | 4,193.80 | -2.20% | |
| 63. | 2023. 11. 30. | $147.55 | 21.43% | 4,567.80 | 8.92% | |
| 64. | 2023. 12. 31. | $147.44 | -0.07% | 4,769.83 | 4.42% | |
| 65. | 2024. 1. 31. | $169.26 | 14.80% | 4,845.65 | 1.59% | |
| 66. | 2024. 2. 29. | $155.28 | -8.26% | 5,096.27 | 5.17% | |
| 67. | 2024. 3. 31. | $142.07 | -8.51% | 5,254.35 | 3.10% | |
| 68. | 2024. 4. 30. | $145.45 | 2.38% | 5,035.69 | -4.16% | |
| 69. | 2024. 5. 31. | $147.46 | 1.38% | 5,277.51 | 4.80% | |
| 70. | 2024. 6. 30. | $169.51 | 14.95% | 5,460.48 | 3.47% | |
| 71. | 2024. 7. 31. | $162.37 | -4.21% | 5,522.30 | 1.13% | |
| 평균의 (R): | 2.63% | 1.05% | ||||
| 표준 편차: | 10.99% | 5.24% | ||||
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. | 2018. 9. 30. | -2.54% | 0.43% | 26.76 | 0.38 | 3.19 |
| 2. | 2018. 10. 31. | -18.75% | -6.94% | 457.01 | 63.79 | 170.74 |
| 3. | 2018. 11. 30. | -5.51% | 1.79% | 66.19 | 0.55 | -6.01 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 6. 30. | 14.95% | 3.47% | 151.88 | 5.86 | 29.83 |
| 71. | 2024. 7. 31. | -4.21% | 1.13% | 46.81 | 0.01 | -0.58 |
| 합계 (Σ): | 8,460.93 | 1,918.93 | 2,167.48 | |||
| 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. | 2018. 9. 30. | -2.54% | 0.43% | 26.76 | 0.38 | 3.19 |
| 2. | 2018. 10. 31. | -18.75% | -6.94% | 457.01 | 63.79 | 170.74 |
| 3. | 2018. 11. 30. | -5.51% | 1.79% | 66.19 | 0.55 | -6.01 |
| 4. | 2018. 12. 31. | 8.88% | -9.18% | 39.07 | 104.54 | -63.91 |
| 5. | 2019. 1. 31. | 14.08% | 7.87% | 131.14 | 46.54 | 78.12 |
| 6. | 2019. 2. 28. | 14.63% | 2.97% | 144.08 | 3.71 | 23.12 |
| 7. | 2019. 3. 31. | -1.39% | 1.79% | 16.14 | 0.56 | -3.00 |
| 8. | 2019. 4. 30. | 2.45% | 3.93% | 0.03 | 8.32 | -0.53 |
| 9. | 2019. 5. 31. | -19.56% | -6.58% | 492.20 | 58.13 | 169.15 |
| 10. | 2019. 6. 30. | 1.80% | 6.89% | 0.69 | 34.18 | -4.86 |
| 11. | 2019. 7. 31. | 11.19% | 1.31% | 73.28 | 0.07 | 2.28 |
| 12. | 2019. 8. 31. | -10.12% | -1.81% | 162.46 | 8.16 | 36.40 |
| 13. | 2019. 9. 30. | 0.09% | 1.72% | 6.46 | 0.45 | -1.71 |
| 14. | 2019. 10. 31. | 11.57% | 2.04% | 79.92 | 0.99 | 8.91 |
| 15. | 2019. 11. 30. | -0.08% | 3.40% | 7.34 | 5.56 | -6.39 |
| 16. | 2019. 12. 31. | 1.77% | 2.86% | 0.74 | 3.28 | -1.56 |
| 17. | 2020. 1. 31. | 1.53% | -0.16% | 1.21 | 1.46 | 1.33 |
| 18. | 2020. 2. 29. | -21.36% | -8.41% | 575.71 | 89.45 | 226.93 |
| 19. | 2020. 3. 31. | -11.18% | -12.51% | 190.69 | 183.84 | 187.23 |
| 20. | 2020. 4. 30. | 19.83% | 12.68% | 295.92 | 135.44 | 200.20 |
| 21. | 2020. 5. 31. | 19.73% | 4.53% | 292.27 | 12.12 | 59.52 |
| 22. | 2020. 6. 30. | -2.37% | 1.84% | 25.01 | 0.63 | -3.96 |
| 23. | 2020. 7. 31. | 11.44% | 5.51% | 77.66 | 19.92 | 39.33 |
| 24. | 2020. 8. 31. | 0.56% | 7.01% | 4.27 | 35.52 | -12.32 |
| 25. | 2020. 9. 30. | -4.92% | -3.92% | 56.97 | 24.70 | 37.51 |
| 26. | 2020. 10. 31. | -9.61% | -2.77% | 149.81 | 14.54 | 46.67 |
| 27. | 2020. 11. 30. | 32.87% | 10.75% | 914.63 | 94.24 | 293.59 |
| 28. | 2020. 12. 31. | 20.90% | 3.71% | 333.90 | 7.10 | 48.71 |
| 29. | 2021. 1. 31. | -1.30% | -1.11% | 15.44 | 4.67 | 8.49 |
| 30. | 2021. 2. 28. | 2.16% | 2.61% | 0.22 | 2.44 | -0.74 |
| 31. | 2021. 3. 31. | -10.11% | 4.24% | 162.39 | 10.22 | -40.74 |
| 32. | 2021. 4. 30. | 9.72% | 5.24% | 50.34 | 17.61 | 29.77 |
| 33. | 2021. 5. 31. | 2.78% | 0.55% | 0.02 | 0.25 | -0.08 |
| 34. | 2021. 6. 30. | 2.15% | 2.22% | 0.23 | 1.38 | -0.57 |
| 35. | 2021. 7. 31. | 7.55% | 2.27% | 24.23 | 1.51 | 6.05 |
| 36. | 2021. 8. 31. | 15.53% | 2.90% | 166.47 | 3.43 | 23.90 |
| 37. | 2021. 9. 30. | 3.90% | -4.76% | 1.63 | 33.68 | -7.40 |
| 38. | 2021. 10. 31. | 6.28% | 6.91% | 13.29 | 34.43 | 21.39 |
| 39. | 2021. 11. 30. | 7.44% | -0.83% | 23.11 | 3.53 | -9.04 |
| 40. | 2021. 12. 31. | 1.80% | 4.36% | 0.69 | 10.99 | -2.75 |
| 41. | 2022. 1. 31. | -7.07% | -5.26% | 94.06 | 39.76 | 61.15 |
| 42. | 2022. 2. 28. | 14.84% | -3.14% | 149.16 | 17.50 | -51.08 |
| 43. | 2022. 3. 31. | 4.76% | 3.58% | 4.52 | 6.40 | 5.38 |
| 44. | 2022. 4. 30. | -9.83% | -8.80% | 155.27 | 96.87 | 122.64 |
| 45. | 2022. 5. 31. | -10.42% | 0.01% | 170.34 | 1.08 | 13.59 |
| 46. | 2022. 6. 30. | -1.75% | -8.39% | 19.22 | 89.09 | 41.37 |
| 47. | 2022. 7. 31. | 1.04% | 9.11% | 2.51 | 65.04 | -12.78 |
| 48. | 2022. 8. 31. | 11.55% | -4.24% | 79.61 | 27.99 | -47.21 |
| 49. | 2022. 9. 30. | -11.75% | -9.34% | 206.64 | 107.87 | 149.30 |
| 50. | 2022. 10. 31. | 4.76% | 7.99% | 4.55 | 48.16 | 14.80 |
| 51. | 2022. 11. 30. | -0.99% | 5.38% | 13.10 | 18.74 | -15.67 |
| 52. | 2022. 12. 31. | -17.87% | -5.90% | 420.20 | 48.22 | 142.34 |
| 53. | 2023. 1. 31. | 13.69% | 6.18% | 122.29 | 26.30 | 56.71 |
| 54. | 2023. 2. 28. | 18.75% | -2.61% | 259.77 | 13.38 | -58.96 |
| 55. | 2023. 3. 31. | 6.03% | 3.51% | 11.57 | 6.04 | 8.36 |
| 56. | 2023. 4. 30. | -8.65% | 1.46% | 127.25 | 0.17 | -4.71 |
| 57. | 2023. 5. 31. | 16.96% | 0.25% | 205.29 | 0.64 | -11.44 |
| 58. | 2023. 6. 30. | 19.74% | 4.71% | 292.69 | 13.45 | 62.74 |
| 59. | 2023. 7. 31. | -2.18% | 4.85% | 23.09 | 14.43 | -18.26 |
| 60. | 2023. 8. 31. | -2.66% | -1.77% | 28.02 | 7.94 | 14.92 |
| 61. | 2023. 9. 30. | -3.64% | -4.87% | 39.32 | 35.03 | 37.12 |
| 62. | 2023. 10. 31. | 3.66% | -2.20% | 1.06 | 10.53 | -3.34 |
| 63. | 2023. 11. 30. | 21.43% | 8.92% | 353.48 | 61.96 | 147.99 |
| 64. | 2023. 12. 31. | -0.07% | 4.42% | 7.31 | 11.40 | -9.13 |
| 65. | 2024. 1. 31. | 14.80% | 1.59% | 148.11 | 0.29 | 6.61 |
| 66. | 2024. 2. 29. | -8.26% | 5.17% | 118.57 | 17.02 | -44.92 |
| 67. | 2024. 3. 31. | -8.51% | 3.10% | 124.02 | 4.22 | -22.89 |
| 68. | 2024. 4. 30. | 2.38% | -4.16% | 0.06 | 27.13 | 1.30 |
| 69. | 2024. 5. 31. | 1.38% | 4.80% | 1.56 | 14.10 | -4.68 |
| 70. | 2024. 6. 30. | 14.95% | 3.47% | 151.88 | 5.86 | 29.83 |
| 71. | 2024. 7. 31. | -4.21% | 1.13% | 46.81 | 0.01 | -0.58 |
| 합계 (Σ): | 8,460.93 | 1,918.93 | 2,167.48 | |||
모두 보기
분산PANW = Σ(RPANW,t–RPANW)2 ÷ (71 – 1)
= 8,460.93 ÷ (71 – 1)
= 120.87
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,918.93 ÷ (71 – 1)
= 27.41
공분산PANW, S&P 500 = Σ(RPANW,t–RPANW)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,167.48 ÷ (71 – 1)
= 30.96
체계적인 위험 추정 (β)
| 분산PANW | 120.87 |
| 분산S&P 500 | 27.41 |
| 공분산PANW, S&P 500 | 30.96 |
| 상관 계수PANW, S&P 5001 | 0.54 |
| βPANW2 | 1.13 |
| αPANW3 | 1.45% |
계산
1 상관 계수PANW, S&P 500
= 공분산PANW, S&P 500 ÷ (표준 편차PANW × 표준 편차S&P 500)
= 30.96 ÷ (10.99% × 5.24%)
= 0.54
2 βPANW
= 공분산PANW, S&P 500 ÷ 분산S&P 500
= 30.96 ÷ 27.41
= 1.13
3 αPANW
= 평균의PANW – βPANW × 평균의S&P 500
= 2.63% – 1.13 × 1.05%
= 1.45%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.65% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.86% |
| 보통주의 체계적 위험Palo Alto Networks | βPANW | 1.13 |
| Palo Alto Networks 보통주의 예상 수익률3 | E(RPANW) | 16.19% |
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]
= 4.65% + 1.13 [14.86% – 4.65%]
= 16.19%