CrowdStrike Holdings Inc. (NASDAQ:CRWD)

Capital Asset Pricing Model (CAPM)

Capital asset pricing model (CAPM) indicates what should be the expected or required rate of return on risky assets like CrowdStrike Holdings Inc. common stock.

Rates of Return
Variance and Covariance
Systematic Risk (β) Estimation
Expected Rate of Return

Rates of Return

CrowdStrike Holdings Inc., monthly rates of return

		CrowdStrike Holdings Inc. (CRWD)			Standard & Poor’s 500 (S&P 500)
t	Date	Price_CRWD,t¹	Dividend_CRWD,t¹	R_CRWD,t²	Price_{S&P 500,t}	R_{S&P 500,t}³
	Jun 30, 2019	$68.29			2,941.76
1.	Jul 31, 2019	$89.07		30.43%	2,980.38	1.31%
2.	Aug 31, 2019	$81.28		-8.75%	2,926.46	-1.81%
3.	Sep 30, 2019	$58.31		-28.26%	2,976.74	1.72%
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54.	Dec 31, 2023	$255.32		7.73%	4,769.83	4.42%
55.	Jan 31, 2024	$292.50		14.56%	4,845.65	1.59%
Average (R):				3.86%		1.05%
Standard deviation:				15.70%		5.32%

		CrowdStrike Holdings Inc. (CRWD)			Standard & Poor’s 500 (S&P 500)
t	Date	Price_CRWD,t¹	Dividend_CRWD,t¹	R_CRWD,t²	Price_{S&P 500,t}	R_{S&P 500,t}³
	Jun 30, 2019	$68.29			2,941.76
1.	Jul 31, 2019	$89.07		30.43%	2,980.38	1.31%
2.	Aug 31, 2019	$81.28		-8.75%	2,926.46	-1.81%
3.	Sep 30, 2019	$58.31		-28.26%	2,976.74	1.72%
4.	Oct 31, 2019	$49.91		-14.41%	3,037.56	2.04%
5.	Nov 30, 2019	$58.00		16.21%	3,140.98	3.40%
6.	Dec 31, 2019	$49.87		-14.02%	3,230.78	2.86%
7.	Jan 31, 2020	$61.09		22.50%	3,225.52	-0.16%
8.	Feb 29, 2020	$59.64		-2.37%	2,954.22	-8.41%
9.	Mar 31, 2020	$55.68		-6.64%	2,584.59	-12.51%
10.	Apr 30, 2020	$67.66		21.52%	2,912.43	12.68%
11.	May 31, 2020	$87.81		29.78%	3,044.31	4.53%
12.	Jun 30, 2020	$100.29		14.21%	3,100.29	1.84%
13.	Jul 31, 2020	$113.20		12.87%	3,271.12	5.51%
14.	Aug 31, 2020	$125.73		11.07%	3,500.31	7.01%
15.	Sep 30, 2020	$137.32		9.22%	3,363.00	-3.92%
16.	Oct 31, 2020	$123.84		-9.82%	3,269.96	-2.77%
17.	Nov 30, 2020	$153.28		23.77%	3,621.63	10.75%
18.	Dec 31, 2020	$211.82		38.19%	3,756.07	3.71%
19.	Jan 31, 2021	$215.80		1.88%	3,714.24	-1.11%
20.	Feb 28, 2021	$216.00		0.09%	3,811.15	2.61%
21.	Mar 31, 2021	$182.51		-15.50%	3,972.89	4.24%
22.	Apr 30, 2021	$208.51		14.25%	4,181.17	5.24%
23.	May 31, 2021	$222.15		6.54%	4,204.11	0.55%
24.	Jun 30, 2021	$251.31		13.13%	4,297.50	2.22%
25.	Jul 31, 2021	$253.61		0.92%	4,395.26	2.27%
26.	Aug 31, 2021	$281.00		10.80%	4,522.68	2.90%
27.	Sep 30, 2021	$245.78		-12.53%	4,307.54	-4.76%
28.	Oct 31, 2021	$281.80		14.66%	4,605.38	6.91%
29.	Nov 30, 2021	$217.14		-22.95%	4,567.00	-0.83%
30.	Dec 31, 2021	$204.75		-5.71%	4,766.18	4.36%
31.	Jan 31, 2022	$180.64		-11.78%	4,515.55	-5.26%
32.	Feb 28, 2022	$195.21		8.07%	4,373.94	-3.14%
33.	Mar 31, 2022	$227.08		16.33%	4,530.41	3.58%
34.	Apr 30, 2022	$198.76		-12.47%	4,131.93	-8.80%
35.	May 31, 2022	$159.99		-19.51%	4,132.15	0.01%
36.	Jun 30, 2022	$168.56		5.36%	3,785.38	-8.39%
37.	Jul 31, 2022	$183.60		8.92%	4,130.29	9.11%
38.	Aug 31, 2022	$182.61		-0.54%	3,955.00	-4.24%
39.	Sep 30, 2022	$164.81		-9.75%	3,585.62	-9.34%
40.	Oct 31, 2022	$161.20		-2.19%	3,871.98	7.99%
41.	Nov 30, 2022	$117.65		-27.02%	4,080.11	5.38%
42.	Dec 31, 2022	$105.29		-10.51%	3,839.50	-5.90%
43.	Jan 31, 2023	$105.90		0.58%	4,076.60	6.18%
44.	Feb 28, 2023	$120.69		13.97%	3,970.15	-2.61%
45.	Mar 31, 2023	$137.26		13.73%	4,109.31	3.51%
46.	Apr 30, 2023	$120.05		-12.54%	4,169.48	1.46%
47.	May 31, 2023	$160.13		33.39%	4,179.83	0.25%
48.	Jun 30, 2023	$146.87		-8.28%	4,376.86	4.71%
49.	Jul 31, 2023	$161.66		10.07%	4,588.96	4.85%
50.	Aug 31, 2023	$163.03		0.85%	4,507.66	-1.77%
51.	Sep 30, 2023	$167.38		2.67%	4,288.05	-4.87%
52.	Oct 31, 2023	$176.77		5.61%	4,193.80	-2.20%
53.	Nov 30, 2023	$236.99		34.07%	4,567.80	8.92%
54.	Dec 31, 2023	$255.32		7.73%	4,769.83	4.42%
55.	Jan 31, 2024	$292.50		14.56%	4,845.65	1.59%
Average (R):				3.86%		1.05%
Standard deviation:				15.70%		5.32%

Show all

¹ Data in US$ per share of common stock, adjusted for splits and stock dividends.

² Rate of return on common stock of CRWD during period t

³ Rate of return on S&P 500 (the market portfolio proxy) during period t

Variance and Covariance

CrowdStrike Holdings Inc., calculation of variance and covariance of returns

t	Date	R_CRWD,t	R_{S&P 500,t}	(R_CRWD,t–R_CRWD)²	(R_{S&P 500,t}–R_{S&P 500})²	(R_CRWD,t–R_CRWD)×(R_{S&P 500,t}–R_{S&P 500})
1.	Jul 31, 2019	30.43%	1.31%	705.82	0.07	6.95
2.	Aug 31, 2019	-8.75%	-1.81%	158.95	8.18	36.06
3.	Sep 30, 2019	-28.26%	1.72%	1,031.83	0.44	-21.42
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54.	Dec 31, 2023	7.73%	4.42%	15.00	11.37	13.06
55.	Jan 31, 2024	14.56%	1.59%	114.50	0.29	5.76
Total (Σ):				13,311.36	1,529.90	1,650.95

t	Date	R_CRWD,t	R_{S&P 500,t}	(R_CRWD,t–R_CRWD)²	(R_{S&P 500,t}–R_{S&P 500})²	(R_CRWD,t–R_CRWD)×(R_{S&P 500,t}–R_{S&P 500})
1.	Jul 31, 2019	30.43%	1.31%	705.82	0.07	6.95
2.	Aug 31, 2019	-8.75%	-1.81%	158.95	8.18	36.06
3.	Sep 30, 2019	-28.26%	1.72%	1,031.83	0.44	-21.42
4.	Oct 31, 2019	-14.41%	2.04%	333.70	0.98	-18.12
5.	Nov 30, 2019	16.21%	3.40%	152.46	5.54	29.06
6.	Dec 31, 2019	-14.02%	2.86%	319.66	3.27	-32.32
7.	Jan 31, 2020	22.50%	-0.16%	347.33	1.47	-22.63
8.	Feb 29, 2020	-2.37%	-8.41%	38.88	89.54	59.00
9.	Mar 31, 2020	-6.64%	-12.51%	110.28	183.96	142.44
10.	Apr 30, 2020	21.52%	12.68%	311.66	135.33	205.37
11.	May 31, 2020	29.78%	4.53%	671.82	12.09	90.12
12.	Jun 30, 2020	14.21%	1.84%	107.14	0.62	8.15
13.	Jul 31, 2020	12.87%	5.51%	81.20	19.88	40.18
14.	Aug 31, 2020	11.07%	7.01%	51.94	35.46	42.92
15.	Sep 30, 2020	9.22%	-3.92%	28.69	24.74	-26.64
16.	Oct 31, 2020	-9.82%	-2.77%	187.09	14.58	52.22
17.	Nov 30, 2020	23.77%	10.75%	396.44	94.15	193.20
18.	Dec 31, 2020	38.19%	3.71%	1,178.53	7.08	91.35
19.	Jan 31, 2021	1.88%	-1.11%	3.93	4.69	4.29
20.	Feb 28, 2021	0.09%	2.61%	14.21	2.43	-5.87
21.	Mar 31, 2021	-15.50%	4.24%	375.06	10.19	-61.83
22.	Apr 30, 2021	14.25%	5.24%	107.83	17.57	43.52
23.	May 31, 2021	6.54%	0.55%	7.18	0.25	-1.35
24.	Jun 30, 2021	13.13%	2.22%	85.83	1.37	10.84
25.	Jul 31, 2021	0.92%	2.27%	8.68	1.50	-3.61
26.	Aug 31, 2021	10.80%	2.90%	48.14	3.41	12.82
27.	Sep 30, 2021	-12.53%	-4.76%	268.82	33.74	95.23
28.	Oct 31, 2021	14.66%	6.91%	116.50	34.38	63.28
29.	Nov 30, 2021	-22.95%	-0.83%	718.62	3.55	50.52
30.	Dec 31, 2021	-5.71%	4.36%	91.54	10.96	-31.67
31.	Jan 31, 2022	-11.78%	-5.26%	244.52	39.81	98.67
32.	Feb 28, 2022	8.07%	-3.14%	17.67	17.53	-17.60
33.	Mar 31, 2022	16.33%	3.58%	155.36	6.38	31.48
34.	Apr 30, 2022	-12.47%	-8.80%	266.77	96.96	160.83
35.	May 31, 2022	-19.51%	0.01%	546.05	1.09	24.44
36.	Jun 30, 2022	5.36%	-8.39%	2.23	89.18	-14.12
37.	Jul 31, 2022	8.92%	9.11%	25.61	64.97	40.79
38.	Aug 31, 2022	-0.54%	-4.24%	19.37	28.04	23.30
39.	Sep 30, 2022	-9.75%	-9.34%	185.21	107.97	141.41
40.	Oct 31, 2022	-2.19%	7.99%	36.63	48.09	-41.97
41.	Nov 30, 2022	-27.02%	5.38%	953.44	18.70	-133.51
42.	Dec 31, 2022	-10.51%	-5.90%	206.43	48.28	99.83
43.	Jan 31, 2023	0.58%	6.18%	10.77	26.25	-16.82
44.	Feb 28, 2023	13.97%	-2.61%	102.10	13.41	-37.01
45.	Mar 31, 2023	13.73%	3.51%	97.37	6.02	24.21
46.	Apr 30, 2023	-12.54%	1.46%	268.96	0.17	-6.77
47.	May 31, 2023	33.39%	0.25%	871.69	0.64	-23.71
48.	Jun 30, 2023	-8.28%	4.71%	147.44	13.41	-44.47
49.	Jul 31, 2023	10.07%	4.85%	38.54	14.40	23.56
50.	Aug 31, 2023	0.85%	-1.77%	9.09	7.97	8.51
51.	Sep 30, 2023	2.67%	-4.87%	1.42	35.08	7.07
52.	Oct 31, 2023	5.61%	-2.20%	3.06	10.56	-5.68
53.	Nov 30, 2023	34.07%	8.92%	912.35	61.88	237.61
54.	Dec 31, 2023	7.73%	4.42%	15.00	11.37	13.06
55.	Jan 31, 2024	14.56%	1.59%	114.50	0.29	5.76
Total (Σ):				13,311.36	1,529.90	1,650.95

Show all

Variance_CRWD = Σ(R_CRWD,t–R_CRWD)² ÷ (55 – 1)
= 13,311.36 ÷ (55 – 1)
= 246.51

Variance_{S&P 500} = Σ(R_{S&P 500,t}–R_{S&P 500})² ÷ (55 – 1)
= 1,529.90 ÷ (55 – 1)
= 28.33

Covariance_{CRWD, S&P 500} = Σ(R_CRWD,t–R_CRWD)×(R_{S&P 500,t}–R_{S&P 500}) ÷ (55 – 1)
= 1,650.95 ÷ (55 – 1)
= 30.57

Systematic Risk (β) Estimation

Variance_CRWD	246.51
Variance_{S&P 500}	28.33
Covariance_{CRWD, S&P 500}	30.57
Correlation coefficient_{CRWD, S&P 500}¹	0.37
β_CRWD²	1.08
α_CRWD³	2.73%

Calculations

¹ Correlation coefficient_{CRWD, S&P 500}
= Covariance_{CRWD, S&P 500} ÷ (Standard deviation_CRWD × Standard deviation_{S&P 500})
= 30.57 ÷ (15.70% × 5.32%)
= 0.37

² β_CRWD
= Covariance_{CRWD, S&P 500} ÷ Variance_{S&P 500}
= 30.57 ÷ 28.33
= 1.08

³ α_CRWD
= Average_CRWD – β_CRWD × Average_{S&P 500}
= 3.86% – 1.08 × 1.05%
= 2.73%

Expected Rate of Return

Assumptions
Rate of return on LT Treasury Composite¹	R_F	4.07%
Expected rate of return on market portfolio²	E(R_M)	13.86%
Systematic risk (β) of CrowdStrike Holdings Inc. common stock	β_CRWD	1.08

Expected rate of return on CrowdStrike Holdings Inc. common stock³	E(R_CRWD)	14.64%

¹ Unweighted average of bid yields on all outstanding fixed-coupon U.S. Treasury bonds neither due or callable in less than 10 years (risk-free rate of return proxy).

² See details »

³ E(R_CRWD) = R_F + β_CRWD [E(R_M) – R_F]
= 4.07% + 1.08 [13.86% – 4.07%]
= 14.64%