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
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 PANW,t1 피제수PANW,t1 RPANW,t2 S&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

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. 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,tRPANW)2 (RS&P 500,tRS&P 500)2 (RPANW,tRPANW)×(RS&P 500,tRS&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,tRPANW)2 ÷ (71 – 1)
= 8,460.93 ÷ (71 – 1)
= 120.87

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,918.93 ÷ (71 – 1)
= 27.41

공분산PANW, S&P 500 = Σ(RPANW,tRPANW)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 2,167.48 ÷ (71 – 1)
= 30.96


체계적인 위험 추정 (β)

Microsoft Excel
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

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.64%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 14.89%
보통주의 체계적 위험Palo Alto Networks βPANW 1.13
 
Palo Alto Networks 보통주의 예상 수익률3 E(RPANW) 16.22%

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]
= 4.64% + 1.13 [14.89%4.64%]
= 16.22%