자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Trade Desk의 보통주와 같은 위험 자산에 대한 예상 또는 요구 수익률을 나타냅니다.
수익률
Trade Desk Inc., 월별 수익률
| Trade Desk Inc. (TTD) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값TTD,t1 | 피제수TTD,t1 | RTTD,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2021. 1. 31. | $76.60 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $80.54 | 5.14% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $65.17 | -19.08% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $72.93 | 11.91% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | $39.56 | -21.32% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $37.96 | -4.04% | 6,845.50 | -0.05% | |
| 평균의 (R): | 0.24% | 1.14% | ||||
| 표준 편차: | 16.92% | 4.37% | ||||
| Trade Desk Inc. (TTD) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값TTD,t1 | 피제수TTD,t1 | RTTD,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2021. 1. 31. | $76.60 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $80.54 | 5.14% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $65.17 | -19.08% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $72.93 | 11.91% | 4,181.17 | 5.24% | |
| 4. | 2021. 5. 31. | $58.81 | -19.36% | 4,204.11 | 0.55% | |
| 5. | 2021. 6. 30. | $77.36 | 31.54% | 4,297.50 | 2.22% | |
| 6. | 2021. 7. 31. | $81.91 | 5.88% | 4,395.26 | 2.27% | |
| 7. | 2021. 8. 31. | $80.05 | -2.27% | 4,522.68 | 2.90% | |
| 8. | 2021. 9. 30. | $70.30 | -12.18% | 4,307.54 | -4.76% | |
| 9. | 2021. 10. 31. | $74.91 | 6.56% | 4,605.38 | 6.91% | |
| 10. | 2021. 11. 30. | $103.42 | 38.06% | 4,567.00 | -0.83% | |
| 11. | 2021. 12. 31. | $91.64 | -11.39% | 4,766.18 | 4.36% | |
| 12. | 2022. 1. 31. | $69.54 | -24.12% | 4,515.55 | -5.26% | |
| 13. | 2022. 2. 28. | $85.32 | 22.69% | 4,373.94 | -3.14% | |
| 14. | 2022. 3. 31. | $69.25 | -18.83% | 4,530.41 | 3.58% | |
| 15. | 2022. 4. 30. | $58.92 | -14.92% | 4,131.93 | -8.80% | |
| 16. | 2022. 5. 31. | $52.05 | -11.66% | 4,132.15 | 0.01% | |
| 17. | 2022. 6. 30. | $41.89 | -19.52% | 3,785.38 | -8.39% | |
| 18. | 2022. 7. 31. | $45.00 | 7.42% | 4,130.29 | 9.11% | |
| 19. | 2022. 8. 31. | $62.70 | 39.33% | 3,955.00 | -4.24% | |
| 20. | 2022. 9. 30. | $59.75 | -4.70% | 3,585.62 | -9.34% | |
| 21. | 2022. 10. 31. | $53.24 | -10.90% | 3,871.98 | 7.99% | |
| 22. | 2022. 11. 30. | $52.14 | -2.07% | 4,080.11 | 5.38% | |
| 23. | 2022. 12. 31. | $44.83 | -14.02% | 3,839.50 | -5.90% | |
| 24. | 2023. 1. 31. | $50.70 | 13.09% | 4,076.60 | 6.18% | |
| 25. | 2023. 2. 28. | $55.96 | 10.37% | 3,970.15 | -2.61% | |
| 26. | 2023. 3. 31. | $60.91 | 8.85% | 4,109.31 | 3.51% | |
| 27. | 2023. 4. 30. | $64.34 | 5.63% | 4,169.48 | 1.46% | |
| 28. | 2023. 5. 31. | $70.08 | 8.92% | 4,179.83 | 0.25% | |
| 29. | 2023. 6. 30. | $77.22 | 10.19% | 4,376.86 | 4.71% | |
| 30. | 2023. 7. 31. | $91.26 | 18.18% | 4,588.96 | 4.85% | |
| 31. | 2023. 8. 31. | $80.03 | -12.31% | 4,507.66 | -1.77% | |
| 32. | 2023. 9. 30. | $78.15 | -2.35% | 4,288.05 | -4.87% | |
| 33. | 2023. 10. 31. | $70.96 | -9.20% | 4,193.80 | -2.20% | |
| 34. | 2023. 11. 30. | $70.46 | -0.70% | 4,567.80 | 8.92% | |
| 35. | 2023. 12. 31. | $71.96 | 2.13% | 4,769.83 | 4.42% | |
| 36. | 2024. 1. 31. | $68.43 | -4.91% | 4,845.65 | 1.59% | |
| 37. | 2024. 2. 29. | $85.43 | 24.84% | 5,096.27 | 5.17% | |
| 38. | 2024. 3. 31. | $87.42 | 2.33% | 5,254.35 | 3.10% | |
| 39. | 2024. 4. 30. | $82.85 | -5.23% | 5,035.69 | -4.16% | |
| 40. | 2024. 5. 31. | $92.78 | 11.99% | 5,277.51 | 4.80% | |
| 41. | 2024. 6. 30. | $97.67 | 5.27% | 5,460.48 | 3.47% | |
| 42. | 2024. 7. 31. | $89.88 | -7.98% | 5,522.30 | 1.13% | |
| 43. | 2024. 8. 31. | $104.53 | 16.30% | 5,648.40 | 2.28% | |
| 44. | 2024. 9. 30. | $109.65 | 4.90% | 5,762.48 | 2.02% | |
| 45. | 2024. 10. 31. | $120.21 | 9.63% | 5,705.45 | -0.99% | |
| 46. | 2024. 11. 30. | $128.55 | 6.94% | 6,032.38 | 5.73% | |
| 47. | 2024. 12. 31. | $117.53 | -8.57% | 5,881.63 | -2.50% | |
| 48. | 2025. 1. 31. | $118.68 | 0.98% | 6,040.53 | 2.70% | |
| 49. | 2025. 2. 28. | $70.32 | -40.75% | 5,954.50 | -1.42% | |
| 50. | 2025. 3. 31. | $54.72 | -22.18% | 5,611.85 | -5.75% | |
| 51. | 2025. 4. 30. | $53.63 | -1.99% | 5,569.06 | -0.76% | |
| 52. | 2025. 5. 31. | $75.22 | 40.26% | 5,911.69 | 6.15% | |
| 53. | 2025. 6. 30. | $71.99 | -4.29% | 6,204.95 | 4.96% | |
| 54. | 2025. 7. 31. | $86.96 | 20.79% | 6,339.39 | 2.17% | |
| 55. | 2025. 8. 31. | $54.66 | -37.14% | 6,460.26 | 1.91% | |
| 56. | 2025. 9. 30. | $49.01 | -10.34% | 6,688.46 | 3.53% | |
| 57. | 2025. 10. 31. | $50.28 | 2.59% | 6,840.20 | 2.27% | |
| 58. | 2025. 11. 30. | $39.56 | -21.32% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $37.96 | -4.04% | 6,845.50 | -0.05% | |
| 평균의 (R): | 0.24% | 1.14% | ||||
| 표준 편차: | 16.92% | 4.37% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 TTD의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Trade Desk Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RTTD,t | RS&P 500,t | (RTTD,t–RTTD)2 | (RS&P 500,t–RS&P 500)2 | (RTTD,t–RTTD)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 2. 28. | 5.14% | 2.61% | 24.01 | 2.17 | 7.22 |
| 2. | 2021. 3. 31. | -19.08% | 4.24% | 373.56 | 9.66 | -60.07 |
| 3. | 2021. 4. 30. | 11.91% | 5.24% | 136.03 | 16.86 | 47.89 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | -21.32% | 0.13% | 465.03 | 1.01 | 21.70 |
| 59. | 2025. 12. 31. | -4.04% | -0.05% | 18.39 | 1.41 | 5.10 |
| 합계 (Σ): | 16,598.49 | 1,108.23 | 1,239.54 | |||
| t | 날짜 | RTTD,t | RS&P 500,t | (RTTD,t–RTTD)2 | (RS&P 500,t–RS&P 500)2 | (RTTD,t–RTTD)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 2. 28. | 5.14% | 2.61% | 24.01 | 2.17 | 7.22 |
| 2. | 2021. 3. 31. | -19.08% | 4.24% | 373.56 | 9.66 | -60.07 |
| 3. | 2021. 4. 30. | 11.91% | 5.24% | 136.03 | 16.86 | 47.89 |
| 4. | 2021. 5. 31. | -19.36% | 0.55% | 384.36 | 0.35 | 11.52 |
| 5. | 2021. 6. 30. | 31.54% | 2.22% | 979.58 | 1.18 | 33.97 |
| 6. | 2021. 7. 31. | 5.88% | 2.27% | 31.78 | 1.30 | 6.42 |
| 7. | 2021. 8. 31. | -2.27% | 2.90% | 6.32 | 3.11 | -4.43 |
| 8. | 2021. 9. 30. | -12.18% | -4.76% | 154.35 | 34.73 | 73.21 |
| 9. | 2021. 10. 31. | 6.56% | 6.91% | 39.86 | 33.39 | 36.48 |
| 10. | 2021. 11. 30. | 38.06% | -0.83% | 1,429.97 | 3.88 | -74.48 |
| 11. | 2021. 12. 31. | -11.39% | 4.36% | 135.36 | 10.40 | -37.52 |
| 12. | 2022. 1. 31. | -24.12% | -5.26% | 593.42 | 40.89 | 155.77 |
| 13. | 2022. 2. 28. | 22.69% | -3.14% | 503.91 | 18.25 | -95.90 |
| 14. | 2022. 3. 31. | -18.83% | 3.58% | 364.01 | 5.96 | -46.58 |
| 15. | 2022. 4. 30. | -14.92% | -8.80% | 229.86 | 98.64 | 150.58 |
| 16. | 2022. 5. 31. | -11.66% | 0.01% | 141.70 | 1.28 | 13.46 |
| 17. | 2022. 6. 30. | -19.52% | -8.39% | 390.61 | 90.79 | 188.31 |
| 18. | 2022. 7. 31. | 7.42% | 9.11% | 51.55 | 63.61 | 57.27 |
| 19. | 2022. 8. 31. | 39.33% | -4.24% | 1,527.97 | 28.95 | -210.31 |
| 20. | 2022. 9. 30. | -4.70% | -9.34% | 24.49 | 109.74 | 51.84 |
| 21. | 2022. 10. 31. | -10.90% | 7.99% | 124.09 | 46.93 | -76.31 |
| 22. | 2022. 11. 30. | -2.07% | 5.38% | 5.34 | 17.97 | -9.79 |
| 23. | 2022. 12. 31. | -14.02% | -5.90% | 203.46 | 49.47 | 100.32 |
| 24. | 2023. 1. 31. | 13.09% | 6.18% | 165.12 | 25.39 | 64.75 |
| 25. | 2023. 2. 28. | 10.37% | -2.61% | 102.63 | 14.04 | -37.96 |
| 26. | 2023. 3. 31. | 8.85% | 3.51% | 73.99 | 5.61 | 20.38 |
| 27. | 2023. 4. 30. | 5.63% | 1.46% | 29.02 | 0.11 | 1.77 |
| 28. | 2023. 5. 31. | 8.92% | 0.25% | 75.30 | 0.79 | -7.70 |
| 29. | 2023. 6. 30. | 10.19% | 4.71% | 98.89 | 12.80 | 35.58 |
| 30. | 2023. 7. 31. | 18.18% | 4.85% | 321.76 | 13.76 | 66.55 |
| 31. | 2023. 8. 31. | -12.31% | -1.77% | 157.49 | 8.46 | 36.49 |
| 32. | 2023. 9. 30. | -2.35% | -4.87% | 6.72 | 36.10 | 15.58 |
| 33. | 2023. 10. 31. | -9.20% | -2.20% | 89.19 | 11.12 | 31.49 |
| 34. | 2023. 11. 30. | -0.70% | 8.92% | 0.90 | 60.56 | -7.38 |
| 35. | 2023. 12. 31. | 2.13% | 4.42% | 3.55 | 10.80 | 6.20 |
| 36. | 2024. 1. 31. | -4.91% | 1.59% | 26.52 | 0.21 | -2.34 |
| 37. | 2024. 2. 29. | 24.84% | 5.17% | 605.10 | 16.29 | 99.28 |
| 38. | 2024. 3. 31. | 2.33% | 3.10% | 4.35 | 3.86 | 4.10 |
| 39. | 2024. 4. 30. | -5.23% | -4.16% | 29.94 | 28.06 | 28.99 |
| 40. | 2024. 5. 31. | 11.99% | 4.80% | 137.86 | 13.44 | 43.04 |
| 41. | 2024. 6. 30. | 5.27% | 3.47% | 25.27 | 5.43 | 11.72 |
| 42. | 2024. 7. 31. | -7.98% | 1.13% | 67.57 | 0.00 | 0.03 |
| 43. | 2024. 8. 31. | 16.30% | 2.28% | 257.78 | 1.32 | 18.42 |
| 44. | 2024. 9. 30. | 4.90% | 2.02% | 21.66 | 0.78 | 4.11 |
| 45. | 2024. 10. 31. | 9.63% | -0.99% | 88.11 | 4.52 | -19.95 |
| 46. | 2024. 11. 30. | 6.94% | 5.73% | 44.81 | 21.10 | 30.75 |
| 47. | 2024. 12. 31. | -8.57% | -2.50% | 77.73 | 13.21 | 32.05 |
| 48. | 2025. 1. 31. | 0.98% | 2.70% | 0.54 | 2.45 | 1.15 |
| 49. | 2025. 2. 28. | -40.75% | -1.42% | 1,680.37 | 6.56 | 104.95 |
| 50. | 2025. 3. 31. | -22.18% | -5.75% | 503.03 | 47.48 | 154.54 |
| 51. | 2025. 4. 30. | -1.99% | -0.76% | 5.00 | 3.60 | 4.25 |
| 52. | 2025. 5. 31. | 40.26% | 6.15% | 1,601.06 | 25.16 | 200.72 |
| 53. | 2025. 6. 30. | -4.29% | 4.96% | 20.59 | 14.63 | -17.36 |
| 54. | 2025. 7. 31. | 20.79% | 2.17% | 422.32 | 1.06 | 21.18 |
| 55. | 2025. 8. 31. | -37.14% | 1.91% | 1,397.83 | 0.59 | -28.81 |
| 56. | 2025. 9. 30. | -10.34% | 3.53% | 111.95 | 5.74 | -25.35 |
| 57. | 2025. 10. 31. | 2.59% | 2.27% | 5.51 | 1.28 | 2.66 |
| 58. | 2025. 11. 30. | -21.32% | 0.13% | 465.03 | 1.01 | 21.70 |
| 59. | 2025. 12. 31. | -4.04% | -0.05% | 18.39 | 1.41 | 5.10 |
| 합계 (Σ): | 16,598.49 | 1,108.23 | 1,239.54 | |||
모두 보기
분산TTD = Σ(RTTD,t–RTTD)2 ÷ (59 – 1)
= 16,598.49 ÷ (59 – 1)
= 286.18
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
공분산TTD, S&P 500 = Σ(RTTD,t–RTTD)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,239.54 ÷ (59 – 1)
= 21.37
체계적인 위험 추정 (β)
| 분산TTD | 286.18 |
| 분산S&P 500 | 19.11 |
| 공분산TTD, S&P 500 | 21.37 |
| 상관 계수TTD, S&P 5001 | 0.29 |
| βTTD2 | 1.12 |
| αTTD3 | -1.03% |
계산
1 상관 계수TTD, S&P 500
= 공분산TTD, S&P 500 ÷ (표준 편차TTD × 표준 편차S&P 500)
= 21.37 ÷ (16.92% × 4.37%)
= 0.29
2 βTTD
= 공분산TTD, S&P 500 ÷ 분산S&P 500
= 21.37 ÷ 19.11
= 1.12
3 αTTD
= 평균의TTD – βTTD × 평균의S&P 500
= 0.24% – 1.12 × 1.14%
= -1.03%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.54% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.37% |
| 보통주 Trade Desk 의 체계적 위험 | βTTD | 1.12 |
| Trade Desk 보통주의 예상 수익률3 | E(RTTD) | 18.89% |
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(RTTD) = RF + βTTD [E(RM) – RF]
= 4.54% + 1.12 [17.37% – 4.54%]
= 18.89%