자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Arista보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Arista Networks Inc., 월별 수익률
| Arista Networks Inc. (ANET) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ANET,t1 | 피제수ANET,t1 | RANET,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 1. 31. | $53.70 | 2,704.10 | ||||
| 1. | 2019. 2. 28. | $71.31 | 32.79% | 2,784.49 | 2.97% | |
| 2. | 2019. 3. 31. | $78.61 | 10.24% | 2,834.40 | 1.79% | |
| 3. | 2019. 4. 30. | $78.07 | -0.69% | 2,945.83 | 3.93% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023. 11. 30. | $219.71 | 9.65% | 4,567.80 | 8.92% | |
| 59. | 2023. 12. 31. | $235.51 | 7.19% | 4,769.83 | 4.42% | |
| 평균의 (R): | 3.28% | 1.11% | ||||
| 표준 편차: | 12.47% | 5.31% | ||||
| Arista Networks Inc. (ANET) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ANET,t1 | 피제수ANET,t1 | RANET,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 1. 31. | $53.70 | 2,704.10 | ||||
| 1. | 2019. 2. 28. | $71.31 | 32.79% | 2,784.49 | 2.97% | |
| 2. | 2019. 3. 31. | $78.61 | 10.24% | 2,834.40 | 1.79% | |
| 3. | 2019. 4. 30. | $78.07 | -0.69% | 2,945.83 | 3.93% | |
| 4. | 2019. 5. 31. | $61.15 | -21.67% | 2,752.06 | -6.58% | |
| 5. | 2019. 6. 30. | $64.90 | 6.13% | 2,941.76 | 6.89% | |
| 6. | 2019. 7. 31. | $68.36 | 5.33% | 2,980.38 | 1.31% | |
| 7. | 2019. 8. 31. | $56.65 | -17.13% | 2,926.46 | -1.81% | |
| 8. | 2019. 9. 30. | $59.73 | 5.44% | 2,976.74 | 1.72% | |
| 9. | 2019. 10. 31. | $61.14 | 2.36% | 3,037.56 | 2.04% | |
| 10. | 2019. 11. 30. | $48.78 | -20.22% | 3,140.98 | 3.40% | |
| 11. | 2019. 12. 31. | $50.85 | 4.24% | 3,230.78 | 2.86% | |
| 12. | 2020. 1. 31. | $55.83 | 9.79% | 3,225.52 | -0.16% | |
| 13. | 2020. 2. 29. | $48.28 | -13.52% | 2,954.22 | -8.41% | |
| 14. | 2020. 3. 31. | $50.64 | 4.89% | 2,584.59 | -12.51% | |
| 15. | 2020. 4. 30. | $54.83 | 8.27% | 2,912.43 | 12.68% | |
| 16. | 2020. 5. 31. | $58.37 | 6.46% | 3,044.31 | 4.53% | |
| 17. | 2020. 6. 30. | $52.51 | -10.04% | 3,100.29 | 1.84% | |
| 18. | 2020. 7. 31. | $64.94 | 23.67% | 3,271.12 | 5.51% | |
| 19. | 2020. 8. 31. | $55.86 | -13.98% | 3,500.31 | 7.01% | |
| 20. | 2020. 9. 30. | $51.73 | -7.39% | 3,363.00 | -3.92% | |
| 21. | 2020. 10. 31. | $52.22 | 0.95% | 3,269.96 | -2.77% | |
| 22. | 2020. 11. 30. | $67.68 | 29.61% | 3,621.63 | 10.75% | |
| 23. | 2020. 12. 31. | $72.64 | 7.33% | 3,756.07 | 3.71% | |
| 24. | 2021. 1. 31. | $76.89 | 5.85% | 3,714.24 | -1.11% | |
| 25. | 2021. 2. 28. | $69.96 | -9.01% | 3,811.15 | 2.61% | |
| 26. | 2021. 3. 31. | $75.47 | 7.88% | 3,972.89 | 4.24% | |
| 27. | 2021. 4. 30. | $78.79 | 4.40% | 4,181.17 | 5.24% | |
| 28. | 2021. 5. 31. | $84.85 | 7.69% | 4,204.11 | 0.55% | |
| 29. | 2021. 6. 30. | $90.58 | 6.75% | 4,297.50 | 2.22% | |
| 30. | 2021. 7. 31. | $95.10 | 4.99% | 4,395.26 | 2.27% | |
| 31. | 2021. 8. 31. | $92.38 | -2.86% | 4,522.68 | 2.90% | |
| 32. | 2021. 9. 30. | $85.91 | -7.00% | 4,307.54 | -4.76% | |
| 33. | 2021. 10. 31. | $102.42 | 19.22% | 4,605.38 | 6.91% | |
| 34. | 2021. 11. 30. | $124.06 | 21.13% | 4,567.00 | -0.83% | |
| 35. | 2021. 12. 31. | $143.75 | 15.87% | 4,766.18 | 4.36% | |
| 36. | 2022. 1. 31. | $124.31 | -13.52% | 4,515.55 | -5.26% | |
| 37. | 2022. 2. 28. | $122.73 | -1.27% | 4,373.94 | -3.14% | |
| 38. | 2022. 3. 31. | $138.98 | 13.24% | 4,530.41 | 3.58% | |
| 39. | 2022. 4. 30. | $115.57 | -16.84% | 4,131.93 | -8.80% | |
| 40. | 2022. 5. 31. | $102.28 | -11.50% | 4,132.15 | 0.01% | |
| 41. | 2022. 6. 30. | $93.74 | -8.35% | 3,785.38 | -8.39% | |
| 42. | 2022. 7. 31. | $116.63 | 24.42% | 4,130.29 | 9.11% | |
| 43. | 2022. 8. 31. | $119.88 | 2.79% | 3,955.00 | -4.24% | |
| 44. | 2022. 9. 30. | $112.89 | -5.83% | 3,585.62 | -9.34% | |
| 45. | 2022. 10. 31. | $120.86 | 7.06% | 3,871.98 | 7.99% | |
| 46. | 2022. 11. 30. | $139.30 | 15.26% | 4,080.11 | 5.38% | |
| 47. | 2022. 12. 31. | $121.35 | -12.89% | 3,839.50 | -5.90% | |
| 48. | 2023. 1. 31. | $126.02 | 3.85% | 4,076.60 | 6.18% | |
| 49. | 2023. 2. 28. | $138.70 | 10.06% | 3,970.15 | -2.61% | |
| 50. | 2023. 3. 31. | $167.86 | 21.02% | 4,109.31 | 3.51% | |
| 51. | 2023. 4. 30. | $160.16 | -4.59% | 4,169.48 | 1.46% | |
| 52. | 2023. 5. 31. | $166.34 | 3.86% | 4,179.83 | 0.25% | |
| 53. | 2023. 6. 30. | $162.06 | -2.57% | 4,376.86 | 4.71% | |
| 54. | 2023. 7. 31. | $155.09 | -4.30% | 4,588.96 | 4.85% | |
| 55. | 2023. 8. 31. | $195.23 | 25.88% | 4,507.66 | -1.77% | |
| 56. | 2023. 9. 30. | $183.93 | -5.79% | 4,288.05 | -4.87% | |
| 57. | 2023. 10. 31. | $200.37 | 8.94% | 4,193.80 | -2.20% | |
| 58. | 2023. 11. 30. | $219.71 | 9.65% | 4,567.80 | 8.92% | |
| 59. | 2023. 12. 31. | $235.51 | 7.19% | 4,769.83 | 4.42% | |
| 평균의 (R): | 3.28% | 1.11% | ||||
| 표준 편차: | 12.47% | 5.31% | ||||
모두 표시
1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.
2 기간 t 동안 ANET의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.
분산과 공분산
Arista Networks Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RANET,t | RS&P 500,t | (RANET,t–RANET)2 | (RS&P 500,t–RS&P 500)2 | (RANET,t–RANET)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 2. 28. | 32.79% | 2.97% | 871.03 | 3.49 | 55.10 |
| 2. | 2019. 3. 31. | 10.24% | 1.79% | 48.40 | 0.47 | 4.78 |
| 3. | 2019. 4. 30. | -0.69% | 3.93% | 15.74 | 7.98 | -11.21 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023. 11. 30. | 9.65% | 8.92% | 40.60 | 61.03 | 49.78 |
| 59. | 2023. 12. 31. | 7.19% | 4.42% | 15.30 | 11.00 | 12.97 |
| 합계 (Σ): | 9,022.94 | 1,634.30 | 1,850.30 | |||
| t | 날짜 | RANET,t | RS&P 500,t | (RANET,t–RANET)2 | (RS&P 500,t–RS&P 500)2 | (RANET,t–RANET)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 2. 28. | 32.79% | 2.97% | 871.03 | 3.49 | 55.10 |
| 2. | 2019. 3. 31. | 10.24% | 1.79% | 48.40 | 0.47 | 4.78 |
| 3. | 2019. 4. 30. | -0.69% | 3.93% | 15.74 | 7.98 | -11.21 |
| 4. | 2019. 5. 31. | -21.67% | -6.58% | 622.65 | 59.04 | 191.73 |
| 5. | 2019. 6. 30. | 6.13% | 6.89% | 8.14 | 33.49 | 16.51 |
| 6. | 2019. 7. 31. | 5.33% | 1.31% | 4.21 | 0.04 | 0.42 |
| 7. | 2019. 8. 31. | -17.13% | -1.81% | 416.57 | 8.50 | 59.50 |
| 8. | 2019. 9. 30. | 5.44% | 1.72% | 4.65 | 0.37 | 1.32 |
| 9. | 2019. 10. 31. | 2.36% | 2.04% | 0.85 | 0.88 | -0.86 |
| 10. | 2019. 11. 30. | -20.22% | 3.40% | 552.06 | 5.28 | -54.01 |
| 11. | 2019. 12. 31. | 4.24% | 2.86% | 0.93 | 3.07 | 1.69 |
| 12. | 2020. 1. 31. | 9.79% | -0.16% | 42.43 | 1.61 | -8.26 |
| 13. | 2020. 2. 29. | -13.52% | -8.41% | 282.35 | 90.57 | 159.91 |
| 14. | 2020. 3. 31. | 4.89% | -12.51% | 2.59 | 185.44 | -21.90 |
| 15. | 2020. 4. 30. | 8.27% | 12.68% | 24.94 | 134.06 | 57.82 |
| 16. | 2020. 5. 31. | 6.46% | 4.53% | 10.09 | 11.71 | 10.87 |
| 17. | 2020. 6. 30. | -10.04% | 1.84% | 177.41 | 0.54 | -9.76 |
| 18. | 2020. 7. 31. | 23.67% | 5.51% | 415.82 | 19.40 | 89.81 |
| 19. | 2020. 8. 31. | -13.98% | 7.01% | 297.98 | 34.82 | -101.86 |
| 20. | 2020. 9. 30. | -7.39% | -3.92% | 113.92 | 25.29 | 53.67 |
| 21. | 2020. 10. 31. | 0.95% | -2.77% | 5.44 | 15.00 | 9.03 |
| 22. | 2020. 11. 30. | 29.61% | 10.75% | 693.03 | 93.10 | 254.01 |
| 23. | 2020. 12. 31. | 7.33% | 3.71% | 16.39 | 6.79 | 10.55 |
| 24. | 2021. 1. 31. | 5.85% | -1.11% | 6.61 | 4.93 | -5.71 |
| 25. | 2021. 2. 28. | -9.01% | 2.61% | 151.12 | 2.26 | -18.48 |
| 26. | 2021. 3. 31. | 7.88% | 4.24% | 21.12 | 9.85 | 14.42 |
| 27. | 2021. 4. 30. | 4.40% | 5.24% | 1.25 | 17.11 | 4.63 |
| 28. | 2021. 5. 31. | 7.69% | 0.55% | 19.46 | 0.31 | -2.46 |
| 29. | 2021. 6. 30. | 6.75% | 2.22% | 12.06 | 1.24 | 3.87 |
| 30. | 2021. 7. 31. | 4.99% | 2.27% | 2.92 | 1.37 | 2.00 |
| 31. | 2021. 8. 31. | -2.86% | 2.90% | 37.70 | 3.22 | -11.01 |
| 32. | 2021. 9. 30. | -7.00% | -4.76% | 105.76 | 34.37 | 60.29 |
| 33. | 2021. 10. 31. | 19.22% | 6.91% | 254.01 | 33.74 | 92.57 |
| 34. | 2021. 11. 30. | 21.13% | -0.83% | 318.57 | 3.76 | -34.61 |
| 35. | 2021. 12. 31. | 15.87% | 4.36% | 158.54 | 10.60 | 40.99 |
| 36. | 2022. 1. 31. | -13.52% | -5.26% | 282.36 | 40.51 | 106.94 |
| 37. | 2022. 2. 28. | -1.27% | -3.14% | 20.71 | 17.99 | 19.31 |
| 38. | 2022. 3. 31. | 13.24% | 3.58% | 99.21 | 6.11 | 24.62 |
| 39. | 2022. 4. 30. | -16.84% | -8.80% | 404.98 | 98.04 | 199.26 |
| 40. | 2022. 5. 31. | -11.50% | 0.01% | 218.44 | 1.21 | 16.27 |
| 41. | 2022. 6. 30. | -8.35% | -8.39% | 135.25 | 90.21 | 110.46 |
| 42. | 2022. 7. 31. | 24.42% | 9.11% | 446.84 | 64.09 | 169.23 |
| 43. | 2022. 8. 31. | 2.79% | -4.24% | 0.24 | 28.62 | 2.64 |
| 44. | 2022. 9. 30. | -5.83% | -9.34% | 83.01 | 109.11 | 95.17 |
| 45. | 2022. 10. 31. | 7.06% | 7.99% | 14.29 | 47.34 | 26.01 |
| 46. | 2022. 11. 30. | 15.26% | 5.38% | 143.45 | 18.23 | 51.14 |
| 47. | 2022. 12. 31. | -12.89% | -5.90% | 261.34 | 49.04 | 113.21 |
| 48. | 2023. 1. 31. | 3.85% | 6.18% | 0.32 | 25.70 | 2.88 |
| 49. | 2023. 2. 28. | 10.06% | -2.61% | 45.99 | 13.82 | -25.21 |
| 50. | 2023. 3. 31. | 21.02% | 3.51% | 314.84 | 5.76 | 42.57 |
| 51. | 2023. 4. 30. | -4.59% | 1.46% | 61.89 | 0.13 | -2.82 |
| 52. | 2023. 5. 31. | 3.86% | 0.25% | 0.33 | 0.74 | -0.50 |
| 53. | 2023. 6. 30. | -2.57% | 4.71% | 34.26 | 13.02 | -21.12 |
| 54. | 2023. 7. 31. | -4.30% | 4.85% | 57.47 | 13.99 | -28.35 |
| 55. | 2023. 8. 31. | 25.88% | -1.77% | 510.84 | 8.28 | -65.04 |
| 56. | 2023. 9. 30. | -5.79% | -4.87% | 82.23 | 35.73 | 54.21 |
| 57. | 2023. 10. 31. | 8.94% | -2.20% | 32.01 | 10.92 | -18.69 |
| 58. | 2023. 11. 30. | 9.65% | 8.92% | 40.60 | 61.03 | 49.78 |
| 59. | 2023. 12. 31. | 7.19% | 4.42% | 15.30 | 11.00 | 12.97 |
| 합계 (Σ): | 9,022.94 | 1,634.30 | 1,850.30 | |||
모두 표시
분산ANET = Σ(RANET,t–RANET)2 ÷ (59 – 1)
= 9,022.94 ÷ (59 – 1)
= 155.57
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18
공분산ANET, S&P 500 = Σ(RANET,t–RANET)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,850.30 ÷ (59 – 1)
= 31.90
체계적인 위험 추정 (β)
| 분산ANET | 155.57 |
| 분산S&P 500 | 28.18 |
| 공분산ANET, S&P 500 | 31.90 |
| 상관 계수ANET, S&P 5001 | 0.48 |
| βANET2 | 1.13 |
| αANET3 | 2.03% |
계산
1 상관 계수ANET, S&P 500
= 공분산ANET, S&P 500 ÷ (표준 편차ANET × 표준 편차S&P 500)
= 31.90 ÷ (12.47% × 5.31%)
= 0.48
2 βANET
= 공분산ANET, S&P 500 ÷ 분산S&P 500
= 31.90 ÷ 28.18
= 1.13
3 αANET
= 평균의ANET – βANET × 평균의S&P 500
= 3.28% – 1.13 × 1.11%
= 2.03%
예상 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.90% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.54% |
| 보통주의 체계적 위험Arista | βANET | 1.13 |
| Arista 보통주의 예상 수익률3 | E(RANET) | 14.69% |
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(RANET) = RF + βANET [E(RM) – RF]
= 4.90% + 1.13 [13.54% – 4.90%]
= 14.69%