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 |
| 2020. 1. 31. | $13.96 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $12.07 | -13.54% | 2,954.22 | -8.41% | |
| 2. | 2020. 3. 31. | $12.66 | 4.89% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $13.71 | 8.29% | 2,912.43 | 12.68% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | $101.46 | 5.02% | 6,032.38 | 5.73% | |
| 59. | 2024. 12. 31. | $110.53 | 8.94% | 5,881.63 | -2.50% | |
| 평균의 (R): | 4.15% | 1.16% | ||||
| 표준 편차: | 11.09% | 5.28% | ||||
| 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 |
| 2020. 1. 31. | $13.96 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $12.07 | -13.54% | 2,954.22 | -8.41% | |
| 2. | 2020. 3. 31. | $12.66 | 4.89% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $13.71 | 8.29% | 2,912.43 | 12.68% | |
| 4. | 2020. 5. 31. | $14.59 | 6.42% | 3,044.31 | 4.53% | |
| 5. | 2020. 6. 30. | $13.13 | -10.01% | 3,100.29 | 1.84% | |
| 6. | 2020. 7. 31. | $16.24 | 23.69% | 3,271.12 | 5.51% | |
| 7. | 2020. 8. 31. | $13.97 | -13.98% | 3,500.31 | 7.01% | |
| 8. | 2020. 9. 30. | $12.93 | -7.44% | 3,363.00 | -3.92% | |
| 9. | 2020. 10. 31. | $13.06 | 1.01% | 3,269.96 | -2.77% | |
| 10. | 2020. 11. 30. | $16.92 | 29.56% | 3,621.63 | 10.75% | |
| 11. | 2020. 12. 31. | $18.16 | 7.33% | 3,756.07 | 3.71% | |
| 12. | 2021. 1. 31. | $19.22 | 5.84% | 3,714.24 | -1.11% | |
| 13. | 2021. 2. 28. | $17.49 | -9.00% | 3,811.15 | 2.61% | |
| 14. | 2021. 3. 31. | $18.87 | 7.89% | 3,972.89 | 4.24% | |
| 15. | 2021. 4. 30. | $19.70 | 4.40% | 4,181.17 | 5.24% | |
| 16. | 2021. 5. 31. | $21.21 | 7.66% | 4,204.11 | 0.55% | |
| 17. | 2021. 6. 30. | $22.65 | 6.79% | 4,297.50 | 2.22% | |
| 18. | 2021. 7. 31. | $23.78 | 4.99% | 4,395.26 | 2.27% | |
| 19. | 2021. 8. 31. | $23.10 | -2.86% | 4,522.68 | 2.90% | |
| 20. | 2021. 9. 30. | $21.48 | -7.01% | 4,307.54 | -4.76% | |
| 21. | 2021. 10. 31. | $25.61 | 19.23% | 4,605.38 | 6.91% | |
| 22. | 2021. 11. 30. | $31.02 | 21.12% | 4,567.00 | -0.83% | |
| 23. | 2021. 12. 31. | $35.94 | 15.86% | 4,766.18 | 4.36% | |
| 24. | 2022. 1. 31. | $31.08 | -13.52% | 4,515.55 | -5.26% | |
| 25. | 2022. 2. 28. | $30.68 | -1.29% | 4,373.94 | -3.14% | |
| 26. | 2022. 3. 31. | $34.75 | 13.27% | 4,530.41 | 3.58% | |
| 27. | 2022. 4. 30. | $28.89 | -16.86% | 4,131.93 | -8.80% | |
| 28. | 2022. 5. 31. | $25.57 | -11.49% | 4,132.15 | 0.01% | |
| 29. | 2022. 6. 30. | $23.44 | -8.33% | 3,785.38 | -8.39% | |
| 30. | 2022. 7. 31. | $29.16 | 24.40% | 4,130.29 | 9.11% | |
| 31. | 2022. 8. 31. | $29.97 | 2.78% | 3,955.00 | -4.24% | |
| 32. | 2022. 9. 30. | $28.22 | -5.84% | 3,585.62 | -9.34% | |
| 33. | 2022. 10. 31. | $30.22 | 7.09% | 3,871.98 | 7.99% | |
| 34. | 2022. 11. 30. | $34.83 | 15.25% | 4,080.11 | 5.38% | |
| 35. | 2022. 12. 31. | $30.34 | -12.89% | 3,839.50 | -5.90% | |
| 36. | 2023. 1. 31. | $31.51 | 3.86% | 4,076.60 | 6.18% | |
| 37. | 2023. 2. 28. | $34.68 | 10.06% | 3,970.15 | -2.61% | |
| 38. | 2023. 3. 31. | $41.97 | 21.02% | 4,109.31 | 3.51% | |
| 39. | 2023. 4. 30. | $40.04 | -4.60% | 4,169.48 | 1.46% | |
| 40. | 2023. 5. 31. | $41.59 | 3.87% | 4,179.83 | 0.25% | |
| 41. | 2023. 6. 30. | $40.52 | -2.57% | 4,376.86 | 4.71% | |
| 42. | 2023. 7. 31. | $38.77 | -4.32% | 4,588.96 | 4.85% | |
| 43. | 2023. 8. 31. | $48.81 | 25.90% | 4,507.66 | -1.77% | |
| 44. | 2023. 9. 30. | $45.98 | -5.80% | 4,288.05 | -4.87% | |
| 45. | 2023. 10. 31. | $50.09 | 8.94% | 4,193.80 | -2.20% | |
| 46. | 2023. 11. 30. | $54.93 | 9.66% | 4,567.80 | 8.92% | |
| 47. | 2023. 12. 31. | $58.88 | 7.19% | 4,769.83 | 4.42% | |
| 48. | 2024. 1. 31. | $64.67 | 9.83% | 4,845.65 | 1.59% | |
| 49. | 2024. 2. 29. | $69.39 | 7.30% | 5,096.27 | 5.17% | |
| 50. | 2024. 3. 31. | $72.50 | 4.48% | 5,254.35 | 3.10% | |
| 51. | 2024. 4. 30. | $64.14 | -11.53% | 5,035.69 | -4.16% | |
| 52. | 2024. 5. 31. | $74.41 | 16.01% | 5,277.51 | 4.80% | |
| 53. | 2024. 6. 30. | $87.62 | 17.75% | 5,460.48 | 3.47% | |
| 54. | 2024. 7. 31. | $86.64 | -1.12% | 5,522.30 | 1.13% | |
| 55. | 2024. 8. 31. | $88.35 | 1.97% | 5,648.40 | 2.28% | |
| 56. | 2024. 9. 30. | $95.96 | 8.61% | 5,762.48 | 2.02% | |
| 57. | 2024. 10. 31. | $96.61 | 0.68% | 5,705.45 | -0.99% | |
| 58. | 2024. 11. 30. | $101.46 | 5.02% | 6,032.38 | 5.73% | |
| 59. | 2024. 12. 31. | $110.53 | 8.94% | 5,881.63 | -2.50% | |
| 평균의 (R): | 4.15% | 1.16% | ||||
| 표준 편차: | 11.09% | 5.28% | ||||
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. | 2020. 2. 29. | -13.54% | -8.41% | 312.89 | 91.63 | 169.32 |
| 2. | 2020. 3. 31. | 4.89% | -12.51% | 0.55 | 186.96 | -10.09 |
| 3. | 2020. 4. 30. | 8.29% | 12.68% | 17.17 | 132.78 | 47.75 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | 5.02% | 5.73% | 0.76 | 20.87 | 3.98 |
| 59. | 2024. 12. 31. | 8.94% | -2.50% | 22.94 | 13.40 | -17.53 |
| 합계 (Σ): | 7,133.44 | 1,618.62 | 1,768.78 | |||
| 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. | 2020. 2. 29. | -13.54% | -8.41% | 312.89 | 91.63 | 169.32 |
| 2. | 2020. 3. 31. | 4.89% | -12.51% | 0.55 | 186.96 | -10.09 |
| 3. | 2020. 4. 30. | 8.29% | 12.68% | 17.17 | 132.78 | 47.75 |
| 4. | 2020. 5. 31. | 6.42% | 4.53% | 5.15 | 11.34 | 7.64 |
| 5. | 2020. 6. 30. | -10.01% | 1.84% | 200.41 | 0.46 | -9.59 |
| 6. | 2020. 7. 31. | 23.69% | 5.51% | 381.67 | 18.91 | 84.96 |
| 7. | 2020. 8. 31. | -13.98% | 7.01% | 328.61 | 34.17 | -105.96 |
| 8. | 2020. 9. 30. | -7.44% | -3.92% | 134.43 | 25.85 | 58.95 |
| 9. | 2020. 10. 31. | 1.01% | -2.77% | 9.89 | 15.43 | 12.35 |
| 10. | 2020. 11. 30. | 29.56% | 10.75% | 645.47 | 92.03 | 243.73 |
| 11. | 2020. 12. 31. | 7.33% | 3.71% | 10.10 | 6.51 | 8.11 |
| 12. | 2021. 1. 31. | 5.84% | -1.11% | 2.85 | 5.18 | -3.84 |
| 13. | 2021. 2. 28. | -9.00% | 2.61% | 172.95 | 2.10 | -19.04 |
| 14. | 2021. 3. 31. | 7.89% | 4.24% | 13.99 | 9.50 | 11.53 |
| 15. | 2021. 4. 30. | 4.40% | 5.24% | 0.06 | 16.66 | 1.01 |
| 16. | 2021. 5. 31. | 7.66% | 0.55% | 12.36 | 0.38 | -2.15 |
| 17. | 2021. 6. 30. | 6.79% | 2.22% | 6.97 | 1.12 | 2.80 |
| 18. | 2021. 7. 31. | 4.99% | 2.27% | 0.70 | 1.24 | 0.93 |
| 19. | 2021. 8. 31. | -2.86% | 2.90% | 49.13 | 3.02 | -12.18 |
| 20. | 2021. 9. 30. | -7.01% | -4.76% | 124.61 | 35.02 | 66.06 |
| 21. | 2021. 10. 31. | 19.23% | 6.91% | 227.33 | 33.10 | 86.74 |
| 22. | 2021. 11. 30. | 21.12% | -0.83% | 288.14 | 3.98 | -33.86 |
| 23. | 2021. 12. 31. | 15.86% | 4.36% | 137.14 | 10.24 | 37.47 |
| 24. | 2022. 1. 31. | -13.52% | -5.26% | 312.31 | 41.21 | 113.45 |
| 25. | 2022. 2. 28. | -1.29% | -3.14% | 29.56 | 18.47 | 23.36 |
| 26. | 2022. 3. 31. | 13.27% | 3.58% | 83.10 | 5.84 | 22.02 |
| 27. | 2022. 4. 30. | -16.86% | -8.80% | 441.55 | 99.14 | 209.23 |
| 28. | 2022. 5. 31. | -11.49% | 0.01% | 244.66 | 1.34 | 18.08 |
| 29. | 2022. 6. 30. | -8.33% | -8.39% | 155.75 | 91.26 | 119.22 |
| 30. | 2022. 7. 31. | 24.40% | 9.11% | 410.18 | 63.21 | 161.02 |
| 31. | 2022. 8. 31. | 2.78% | -4.24% | 1.88 | 29.22 | 7.42 |
| 32. | 2022. 9. 30. | -5.84% | -9.34% | 99.78 | 110.27 | 104.89 |
| 33. | 2022. 10. 31. | 7.09% | 7.99% | 8.63 | 46.58 | 20.05 |
| 34. | 2022. 11. 30. | 15.25% | 5.38% | 123.32 | 17.76 | 46.80 |
| 35. | 2022. 12. 31. | -12.89% | -5.90% | 290.40 | 49.82 | 120.28 |
| 36. | 2023. 1. 31. | 3.86% | 6.18% | 0.09 | 25.14 | -1.47 |
| 37. | 2023. 2. 28. | 10.06% | -2.61% | 34.93 | 14.23 | -22.30 |
| 38. | 2023. 3. 31. | 21.02% | 3.51% | 284.63 | 5.49 | 39.54 |
| 39. | 2023. 4. 30. | -4.60% | 1.46% | 76.53 | 0.09 | -2.65 |
| 40. | 2023. 5. 31. | 3.87% | 0.25% | 0.08 | 0.83 | 0.25 |
| 41. | 2023. 6. 30. | -2.57% | 4.71% | 45.19 | 12.62 | -23.88 |
| 42. | 2023. 7. 31. | -4.32% | 4.85% | 71.72 | 13.58 | -31.20 |
| 43. | 2023. 8. 31. | 25.90% | -1.77% | 472.91 | 8.60 | -63.78 |
| 44. | 2023. 9. 30. | -5.80% | -4.87% | 98.96 | 36.40 | 60.02 |
| 45. | 2023. 10. 31. | 8.94% | -2.20% | 22.93 | 11.28 | -16.09 |
| 46. | 2023. 11. 30. | 9.66% | 8.92% | 30.39 | 60.17 | 42.76 |
| 47. | 2023. 12. 31. | 7.19% | 4.42% | 9.25 | 10.64 | 9.92 |
| 48. | 2024. 1. 31. | 9.83% | 1.59% | 32.30 | 0.18 | 2.43 |
| 49. | 2024. 2. 29. | 7.30% | 5.17% | 9.91 | 16.09 | 12.63 |
| 50. | 2024. 3. 31. | 4.48% | 3.10% | 0.11 | 3.77 | 0.64 |
| 51. | 2024. 4. 30. | -11.53% | -4.16% | 245.89 | 28.33 | 83.47 |
| 52. | 2024. 5. 31. | 16.01% | 4.80% | 140.71 | 13.26 | 43.19 |
| 53. | 2024. 6. 30. | 17.75% | 3.47% | 185.04 | 5.32 | 31.36 |
| 54. | 2024. 7. 31. | -1.12% | 1.13% | 27.76 | 0.00 | 0.15 |
| 55. | 2024. 8. 31. | 1.97% | 2.28% | 4.74 | 1.26 | -2.44 |
| 56. | 2024. 9. 30. | 8.61% | 2.02% | 19.92 | 0.74 | 3.83 |
| 57. | 2024. 10. 31. | 0.68% | -0.99% | 12.06 | 4.63 | 7.47 |
| 58. | 2024. 11. 30. | 5.02% | 5.73% | 0.76 | 20.87 | 3.98 |
| 59. | 2024. 12. 31. | 8.94% | -2.50% | 22.94 | 13.40 | -17.53 |
| 합계 (Σ): | 7,133.44 | 1,618.62 | 1,768.78 | |||
모두 보기
분산ANET = Σ(RANET,t–RANET)2 ÷ (59 – 1)
= 7,133.44 ÷ (59 – 1)
= 122.99
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91
공분산ANET, S&P 500 = Σ(RANET,t–RANET)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,768.78 ÷ (59 – 1)
= 30.50
체계적인 위험 추정 (β)
| 분산ANET | 122.99 |
| 분산S&P 500 | 27.91 |
| 공분산ANET, S&P 500 | 30.50 |
| 상관 계수ANET, S&P 5001 | 0.52 |
| βANET2 | 1.09 |
| αANET3 | 2.88% |
계산
1 상관 계수ANET, S&P 500
= 공분산ANET, S&P 500 ÷ (표준 편차ANET × 표준 편차S&P 500)
= 30.50 ÷ (11.09% × 5.28%)
= 0.52
2 βANET
= 공분산ANET, S&P 500 ÷ 분산S&P 500
= 30.50 ÷ 27.91
= 1.09
3 αANET
= 평균의ANET – βANET × 평균의S&P 500
= 4.15% – 1.09 × 1.16%
= 2.88%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.81% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.72% |
| 보통주의 체계적 위험Arista | βANET | 1.09 |
| Arista 보통주의 예상 수익률3 | E(RANET) | 15.64% |
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]
= 4.81% + 1.09 [14.72% – 4.81%]
= 15.64%