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 |
| 2021. 1. 31. | $19.22 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $17.49 | -9.00% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $18.87 | 7.89% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $19.70 | 4.40% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | $130.68 | -17.13% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $131.03 | 0.27% | 6,845.50 | -0.05% | |
| 평균의 (R): | 3.90% | 1.14% | ||||
| 표준 편차: | 11.04% | 4.37% | ||||
| 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 |
| 2021. 1. 31. | $19.22 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $17.49 | -9.00% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $18.87 | 7.89% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $19.70 | 4.40% | 4,181.17 | 5.24% | |
| 4. | 2021. 5. 31. | $21.21 | 7.66% | 4,204.11 | 0.55% | |
| 5. | 2021. 6. 30. | $22.65 | 6.79% | 4,297.50 | 2.22% | |
| 6. | 2021. 7. 31. | $23.78 | 4.99% | 4,395.26 | 2.27% | |
| 7. | 2021. 8. 31. | $23.10 | -2.86% | 4,522.68 | 2.90% | |
| 8. | 2021. 9. 30. | $21.48 | -7.01% | 4,307.54 | -4.76% | |
| 9. | 2021. 10. 31. | $25.61 | 19.23% | 4,605.38 | 6.91% | |
| 10. | 2021. 11. 30. | $31.02 | 21.12% | 4,567.00 | -0.83% | |
| 11. | 2021. 12. 31. | $35.94 | 15.86% | 4,766.18 | 4.36% | |
| 12. | 2022. 1. 31. | $31.08 | -13.52% | 4,515.55 | -5.26% | |
| 13. | 2022. 2. 28. | $30.68 | -1.29% | 4,373.94 | -3.14% | |
| 14. | 2022. 3. 31. | $34.75 | 13.27% | 4,530.41 | 3.58% | |
| 15. | 2022. 4. 30. | $28.89 | -16.86% | 4,131.93 | -8.80% | |
| 16. | 2022. 5. 31. | $25.57 | -11.49% | 4,132.15 | 0.01% | |
| 17. | 2022. 6. 30. | $23.44 | -8.33% | 3,785.38 | -8.39% | |
| 18. | 2022. 7. 31. | $29.16 | 24.40% | 4,130.29 | 9.11% | |
| 19. | 2022. 8. 31. | $29.97 | 2.78% | 3,955.00 | -4.24% | |
| 20. | 2022. 9. 30. | $28.22 | -5.84% | 3,585.62 | -9.34% | |
| 21. | 2022. 10. 31. | $30.22 | 7.09% | 3,871.98 | 7.99% | |
| 22. | 2022. 11. 30. | $34.83 | 15.25% | 4,080.11 | 5.38% | |
| 23. | 2022. 12. 31. | $30.34 | -12.89% | 3,839.50 | -5.90% | |
| 24. | 2023. 1. 31. | $31.51 | 3.86% | 4,076.60 | 6.18% | |
| 25. | 2023. 2. 28. | $34.68 | 10.06% | 3,970.15 | -2.61% | |
| 26. | 2023. 3. 31. | $41.97 | 21.02% | 4,109.31 | 3.51% | |
| 27. | 2023. 4. 30. | $40.04 | -4.60% | 4,169.48 | 1.46% | |
| 28. | 2023. 5. 31. | $41.59 | 3.87% | 4,179.83 | 0.25% | |
| 29. | 2023. 6. 30. | $40.52 | -2.57% | 4,376.86 | 4.71% | |
| 30. | 2023. 7. 31. | $38.77 | -4.32% | 4,588.96 | 4.85% | |
| 31. | 2023. 8. 31. | $48.81 | 25.90% | 4,507.66 | -1.77% | |
| 32. | 2023. 9. 30. | $45.98 | -5.80% | 4,288.05 | -4.87% | |
| 33. | 2023. 10. 31. | $50.09 | 8.94% | 4,193.80 | -2.20% | |
| 34. | 2023. 11. 30. | $54.93 | 9.66% | 4,567.80 | 8.92% | |
| 35. | 2023. 12. 31. | $58.88 | 7.19% | 4,769.83 | 4.42% | |
| 36. | 2024. 1. 31. | $64.67 | 9.83% | 4,845.65 | 1.59% | |
| 37. | 2024. 2. 29. | $69.39 | 7.30% | 5,096.27 | 5.17% | |
| 38. | 2024. 3. 31. | $72.50 | 4.48% | 5,254.35 | 3.10% | |
| 39. | 2024. 4. 30. | $64.14 | -11.53% | 5,035.69 | -4.16% | |
| 40. | 2024. 5. 31. | $74.41 | 16.01% | 5,277.51 | 4.80% | |
| 41. | 2024. 6. 30. | $87.62 | 17.75% | 5,460.48 | 3.47% | |
| 42. | 2024. 7. 31. | $86.64 | -1.12% | 5,522.30 | 1.13% | |
| 43. | 2024. 8. 31. | $88.35 | 1.97% | 5,648.40 | 2.28% | |
| 44. | 2024. 9. 30. | $95.96 | 8.61% | 5,762.48 | 2.02% | |
| 45. | 2024. 10. 31. | $96.61 | 0.68% | 5,705.45 | -0.99% | |
| 46. | 2024. 11. 30. | $101.46 | 5.02% | 6,032.38 | 5.73% | |
| 47. | 2024. 12. 31. | $110.53 | 8.94% | 5,881.63 | -2.50% | |
| 48. | 2025. 1. 31. | $115.23 | 4.25% | 6,040.53 | 2.70% | |
| 49. | 2025. 2. 28. | $93.05 | -19.25% | 5,954.50 | -1.42% | |
| 50. | 2025. 3. 31. | $77.48 | -16.73% | 5,611.85 | -5.75% | |
| 51. | 2025. 4. 30. | $82.27 | 6.18% | 5,569.06 | -0.76% | |
| 52. | 2025. 5. 31. | $86.64 | 5.31% | 5,911.69 | 6.15% | |
| 53. | 2025. 6. 30. | $102.31 | 18.09% | 6,204.95 | 4.96% | |
| 54. | 2025. 7. 31. | $123.22 | 20.44% | 6,339.39 | 2.17% | |
| 55. | 2025. 8. 31. | $136.55 | 10.82% | 6,460.26 | 1.91% | |
| 56. | 2025. 9. 30. | $145.71 | 6.71% | 6,688.46 | 3.53% | |
| 57. | 2025. 10. 31. | $157.69 | 8.22% | 6,840.20 | 2.27% | |
| 58. | 2025. 11. 30. | $130.68 | -17.13% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $131.03 | 0.27% | 6,845.50 | -0.05% | |
| 평균의 (R): | 3.90% | 1.14% | ||||
| 표준 편차: | 11.04% | 4.37% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 ANET의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 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. | 2021. 2. 28. | -9.00% | 2.61% | 166.38 | 2.17 | -19.00 |
| 2. | 2021. 3. 31. | 7.89% | 4.24% | 15.94 | 9.66 | 12.41 |
| 3. | 2021. 4. 30. | 4.40% | 5.24% | 0.25 | 16.86 | 2.06 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | -17.13% | 0.13% | 442.11 | 1.01 | 21.16 |
| 59. | 2025. 12. 31. | 0.27% | -0.05% | 13.18 | 1.41 | 4.31 |
| 합계 (Σ): | 7,064.53 | 1,108.23 | 1,583.57 | |||
| 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. | 2021. 2. 28. | -9.00% | 2.61% | 166.38 | 2.17 | -19.00 |
| 2. | 2021. 3. 31. | 7.89% | 4.24% | 15.94 | 9.66 | 12.41 |
| 3. | 2021. 4. 30. | 4.40% | 5.24% | 0.25 | 16.86 | 2.06 |
| 4. | 2021. 5. 31. | 7.66% | 0.55% | 14.19 | 0.35 | -2.21 |
| 5. | 2021. 6. 30. | 6.79% | 2.22% | 8.36 | 1.18 | 3.14 |
| 6. | 2021. 7. 31. | 4.99% | 2.27% | 1.19 | 1.30 | 1.24 |
| 7. | 2021. 8. 31. | -2.86% | 2.90% | 45.66 | 3.11 | -11.91 |
| 8. | 2021. 9. 30. | -7.01% | -4.76% | 119.05 | 34.73 | 64.30 |
| 9. | 2021. 10. 31. | 19.23% | 6.91% | 234.99 | 33.39 | 88.58 |
| 10. | 2021. 11. 30. | 21.12% | -0.83% | 296.76 | 3.88 | -33.93 |
| 11. | 2021. 12. 31. | 15.86% | 4.36% | 143.11 | 10.40 | 38.58 |
| 12. | 2022. 1. 31. | -13.52% | -5.26% | 303.47 | 40.89 | 111.40 |
| 13. | 2022. 2. 28. | -1.29% | -3.14% | 26.88 | 18.25 | 22.15 |
| 14. | 2022. 3. 31. | 13.27% | 3.58% | 87.76 | 5.96 | 22.87 |
| 15. | 2022. 4. 30. | -16.86% | -8.80% | 431.03 | 98.64 | 206.20 |
| 16. | 2022. 5. 31. | -11.49% | 0.01% | 236.84 | 1.28 | 17.40 |
| 17. | 2022. 6. 30. | -8.33% | -8.39% | 149.52 | 90.79 | 116.51 |
| 18. | 2022. 7. 31. | 24.40% | 9.11% | 420.45 | 63.61 | 163.54 |
| 19. | 2022. 8. 31. | 2.78% | -4.24% | 1.25 | 28.95 | 6.03 |
| 20. | 2022. 9. 30. | -5.84% | -9.34% | 94.81 | 109.74 | 102.00 |
| 21. | 2022. 10. 31. | 7.09% | 7.99% | 10.17 | 46.93 | 21.85 |
| 22. | 2022. 11. 30. | 15.25% | 5.38% | 128.98 | 17.97 | 48.14 |
| 23. | 2022. 12. 31. | -12.89% | -5.90% | 281.87 | 49.47 | 118.08 |
| 24. | 2023. 1. 31. | 3.86% | 6.18% | 0.00 | 25.39 | -0.21 |
| 25. | 2023. 2. 28. | 10.06% | -2.61% | 37.98 | 14.04 | -23.09 |
| 26. | 2023. 3. 31. | 21.02% | 3.51% | 293.19 | 5.61 | 40.56 |
| 27. | 2023. 4. 30. | -4.60% | 1.46% | 72.19 | 0.11 | -2.79 |
| 28. | 2023. 5. 31. | 3.87% | 0.25% | 0.00 | 0.79 | 0.02 |
| 29. | 2023. 6. 30. | -2.57% | 4.71% | 41.87 | 12.80 | -23.15 |
| 30. | 2023. 7. 31. | -4.32% | 4.85% | 67.51 | 13.76 | -30.48 |
| 31. | 2023. 8. 31. | 25.90% | -1.77% | 483.93 | 8.46 | -63.97 |
| 32. | 2023. 9. 30. | -5.80% | -4.87% | 94.01 | 36.10 | 58.25 |
| 33. | 2023. 10. 31. | 8.94% | -2.20% | 25.41 | 11.12 | -16.81 |
| 34. | 2023. 11. 30. | 9.66% | 8.92% | 33.23 | 60.56 | 44.86 |
| 35. | 2023. 12. 31. | 7.19% | 4.42% | 10.84 | 10.80 | 10.82 |
| 36. | 2024. 1. 31. | 9.83% | 1.59% | 35.23 | 0.21 | 2.69 |
| 37. | 2024. 2. 29. | 7.30% | 5.17% | 11.57 | 16.29 | 13.73 |
| 38. | 2024. 3. 31. | 4.48% | 3.10% | 0.34 | 3.86 | 1.15 |
| 39. | 2024. 4. 30. | -11.53% | -4.16% | 238.05 | 28.06 | 81.74 |
| 40. | 2024. 5. 31. | 16.01% | 4.80% | 146.75 | 13.44 | 44.41 |
| 41. | 2024. 6. 30. | 17.75% | 3.47% | 191.96 | 5.43 | 32.29 |
| 42. | 2024. 7. 31. | -1.12% | 1.13% | 25.16 | 0.00 | 0.02 |
| 43. | 2024. 8. 31. | 1.97% | 2.28% | 3.70 | 1.32 | -2.21 |
| 44. | 2024. 9. 30. | 8.61% | 2.02% | 22.24 | 0.78 | 4.17 |
| 45. | 2024. 10. 31. | 0.68% | -0.99% | 10.37 | 4.52 | 6.85 |
| 46. | 2024. 11. 30. | 5.02% | 5.73% | 1.26 | 21.10 | 5.16 |
| 47. | 2024. 12. 31. | 8.94% | -2.50% | 25.42 | 13.21 | -18.33 |
| 48. | 2025. 1. 31. | 4.25% | 2.70% | 0.13 | 2.45 | 0.55 |
| 49. | 2025. 2. 28. | -19.25% | -1.42% | 535.75 | 6.56 | 59.26 |
| 50. | 2025. 3. 31. | -16.73% | -5.75% | 425.63 | 47.48 | 142.16 |
| 51. | 2025. 4. 30. | 6.18% | -0.76% | 5.22 | 3.60 | -4.34 |
| 52. | 2025. 5. 31. | 5.31% | 6.15% | 2.00 | 25.16 | 7.09 |
| 53. | 2025. 6. 30. | 18.09% | 4.96% | 201.31 | 14.63 | 54.26 |
| 54. | 2025. 7. 31. | 20.44% | 2.17% | 273.57 | 1.06 | 17.04 |
| 55. | 2025. 8. 31. | 10.82% | 1.91% | 47.89 | 0.59 | 5.33 |
| 56. | 2025. 9. 30. | 6.71% | 3.53% | 7.90 | 5.74 | 6.73 |
| 57. | 2025. 10. 31. | 8.22% | 2.27% | 18.70 | 1.28 | 4.90 |
| 58. | 2025. 11. 30. | -17.13% | 0.13% | 442.11 | 1.01 | 21.16 |
| 59. | 2025. 12. 31. | 0.27% | -0.05% | 13.18 | 1.41 | 4.31 |
| 합계 (Σ): | 7,064.53 | 1,108.23 | 1,583.57 | |||
모두 보기
분산ANET = Σ(RANET,t–RANET)2 ÷ (59 – 1)
= 7,064.53 ÷ (59 – 1)
= 121.80
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
공분산ANET, S&P 500 = Σ(RANET,t–RANET)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,583.57 ÷ (59 – 1)
= 27.30
체계적인 위험 추정 (β)
| 분산ANET | 121.80 |
| 분산S&P 500 | 19.11 |
| 공분산ANET, S&P 500 | 27.30 |
| 상관 계수ANET, S&P 5001 | 0.57 |
| βANET2 | 1.43 |
| αANET3 | 2.27% |
계산
1 상관 계수ANET, S&P 500
= 공분산ANET, S&P 500 ÷ (표준 편차ANET × 표준 편차S&P 500)
= 27.30 ÷ (11.04% × 4.37%)
= 0.57
2 βANET
= 공분산ANET, S&P 500 ÷ 분산S&P 500
= 27.30 ÷ 19.11
= 1.43
3 αANET
= 평균의ANET – βANET × 평균의S&P 500
= 3.90% – 1.43 × 1.14%
= 2.27%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.84% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.37% |
| 보통주의 체계적 위험Arista | βANET | 1.43 |
| Arista 보통주의 예상 수익률3 | E(RANET) | 22.74% |
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(RANET) = RF + βANET [E(RM) – RF]
= 4.84% + 1.43 [17.37% – 4.84%]
= 22.74%