Stock Analysis on Net

Arista Networks Inc. (NYSE:ANET)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

자본 자산 가격 책정 모델(CAPM)은 Arista보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.


수익률

Arista Networks Inc., 월별 수익률

Microsoft Excel
Arista Networks Inc. (ANET) Standard & Poor’s 500 (S&P 500)
t 날짜 ANET,t1 피제수ANET,t1 RANET,t2 S&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 ANET,t1 피제수ANET,t1 RANET,t2 S&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

Microsoft Excel
t 날짜 RANET,t RS&P 500,t (RANET,tRANET)2 (RS&P 500,tRS&P 500)2 (RANET,tRANET)×(RS&P 500,tRS&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,tRANET)2 (RS&P 500,tRS&P 500)2 (RANET,tRANET)×(RS&P 500,tRS&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,tRANET)2 ÷ (59 – 1)
= 9,022.94 ÷ (59 – 1)
= 155.57

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18

공분산ANET, S&P 500 = Σ(RANET,tRANET)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,850.30 ÷ (59 – 1)
= 31.90


체계적인 위험 추정 (β)

Microsoft Excel
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

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.70%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 13.52%
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]
= 4.70% + 1.13 [13.52%4.70%]
= 14.69%