資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 AMD普通株式などのリスク資産の期待収益率または必要な収益率を示します。
収益率
Advanced Micro Devices Inc.、月間収益率
| Advanced Micro Devices Inc. (AMD) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格AMD,t1 | 配当AMD,t1 | RAMD,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2020/01/31 | $47.00 | 3,225.52 | ||||
| 1. | 2020/02/29 | $45.48 | -3.23% | 2,954.22 | -8.41% | |
| 2. | 2020/03/31 | $45.48 | 0.00% | 2,584.59 | -12.51% | |
| 3. | 2020/04/30 | $52.39 | 15.19% | 2,912.43 | 12.68% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024/11/30 | $137.18 | -4.78% | 6,032.38 | 5.73% | |
| 59. | 2024/12/31 | $120.79 | -11.95% | 5,881.63 | -2.50% | |
| 平均 (R): | 2.72% | 1.16% | ||||
| 標準偏差： | 15.47% | 5.28% | ||||
| Advanced Micro Devices Inc. (AMD) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格AMD,t1 | 配当AMD,t1 | RAMD,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2020/01/31 | $47.00 | 3,225.52 | ||||
| 1. | 2020/02/29 | $45.48 | -3.23% | 2,954.22 | -8.41% | |
| 2. | 2020/03/31 | $45.48 | 0.00% | 2,584.59 | -12.51% | |
| 3. | 2020/04/30 | $52.39 | 15.19% | 2,912.43 | 12.68% | |
| 4. | 2020/05/31 | $53.80 | 2.69% | 3,044.31 | 4.53% | |
| 5. | 2020/06/30 | $52.61 | -2.21% | 3,100.29 | 1.84% | |
| 6. | 2020/07/31 | $77.43 | 47.18% | 3,271.12 | 5.51% | |
| 7. | 2020/08/31 | $90.82 | 17.29% | 3,500.31 | 7.01% | |
| 8. | 2020/09/30 | $81.99 | -9.72% | 3,363.00 | -3.92% | |
| 9. | 2020/10/31 | $75.29 | -8.17% | 3,269.96 | -2.77% | |
| 10. | 2020/11/30 | $92.66 | 23.07% | 3,621.63 | 10.75% | |
| 11. | 2020/12/31 | $91.71 | -1.03% | 3,756.07 | 3.71% | |
| 12. | 2021/01/31 | $85.64 | -6.62% | 3,714.24 | -1.11% | |
| 13. | 2021/02/28 | $84.51 | -1.32% | 3,811.15 | 2.61% | |
| 14. | 2021/03/31 | $78.50 | -7.11% | 3,972.89 | 4.24% | |
| 15. | 2021/04/30 | $81.62 | 3.97% | 4,181.17 | 5.24% | |
| 16. | 2021/05/31 | $80.08 | -1.89% | 4,204.11 | 0.55% | |
| 17. | 2021/06/30 | $93.93 | 17.30% | 4,297.50 | 2.22% | |
| 18. | 2021/07/31 | $106.19 | 13.05% | 4,395.26 | 2.27% | |
| 19. | 2021/08/31 | $110.72 | 4.27% | 4,522.68 | 2.90% | |
| 20. | 2021/09/30 | $102.90 | -7.06% | 4,307.54 | -4.76% | |
| 21. | 2021/10/31 | $120.23 | 16.84% | 4,605.38 | 6.91% | |
| 22. | 2021/11/30 | $158.37 | 31.72% | 4,567.00 | -0.83% | |
| 23. | 2021/12/31 | $143.90 | -9.14% | 4,766.18 | 4.36% | |
| 24. | 2022/01/31 | $114.25 | -20.60% | 4,515.55 | -5.26% | |
| 25. | 2022/02/28 | $123.34 | 7.96% | 4,373.94 | -3.14% | |
| 26. | 2022/03/31 | $109.34 | -11.35% | 4,530.41 | 3.58% | |
| 27. | 2022/04/30 | $85.52 | -21.79% | 4,131.93 | -8.80% | |
| 28. | 2022/05/31 | $101.86 | 19.11% | 4,132.15 | 0.01% | |
| 29. | 2022/06/30 | $76.47 | -24.93% | 3,785.38 | -8.39% | |
| 30. | 2022/07/31 | $94.47 | 23.54% | 4,130.29 | 9.11% | |
| 31. | 2022/08/31 | $84.87 | -10.16% | 3,955.00 | -4.24% | |
| 32. | 2022/09/30 | $63.36 | -25.34% | 3,585.62 | -9.34% | |
| 33. | 2022/10/31 | $60.06 | -5.21% | 3,871.98 | 7.99% | |
| 34. | 2022/11/30 | $77.63 | 29.25% | 4,080.11 | 5.38% | |
| 35. | 2022/12/31 | $64.77 | -16.57% | 3,839.50 | -5.90% | |
| 36. | 2023/01/31 | $75.15 | 16.03% | 4,076.60 | 6.18% | |
| 37. | 2023/02/28 | $78.58 | 4.56% | 3,970.15 | -2.61% | |
| 38. | 2023/03/31 | $98.01 | 24.73% | 4,109.31 | 3.51% | |
| 39. | 2023/04/30 | $89.37 | -8.82% | 4,169.48 | 1.46% | |
| 40. | 2023/05/31 | $118.21 | 32.27% | 4,179.83 | 0.25% | |
| 41. | 2023/06/30 | $113.91 | -3.64% | 4,376.86 | 4.71% | |
| 42. | 2023/07/31 | $114.40 | 0.43% | 4,588.96 | 4.85% | |
| 43. | 2023/08/31 | $105.72 | -7.59% | 4,507.66 | -1.77% | |
| 44. | 2023/09/30 | $102.82 | -2.74% | 4,288.05 | -4.87% | |
| 45. | 2023/10/31 | $98.50 | -4.20% | 4,193.80 | -2.20% | |
| 46. | 2023/11/30 | $121.16 | 23.01% | 4,567.80 | 8.92% | |
| 47. | 2023/12/31 | $147.41 | 21.67% | 4,769.83 | 4.42% | |
| 48. | 2024/01/31 | $167.69 | 13.76% | 4,845.65 | 1.59% | |
| 49. | 2024/02/29 | $192.53 | 14.81% | 5,096.27 | 5.17% | |
| 50. | 2024/03/31 | $180.49 | -6.25% | 5,254.35 | 3.10% | |
| 51. | 2024/04/30 | $158.38 | -12.25% | 5,035.69 | -4.16% | |
| 52. | 2024/05/31 | $166.90 | 5.38% | 5,277.51 | 4.80% | |
| 53. | 2024/06/30 | $162.21 | -2.81% | 5,460.48 | 3.47% | |
| 54. | 2024/07/31 | $144.48 | -10.93% | 5,522.30 | 1.13% | |
| 55. | 2024/08/31 | $148.56 | 2.82% | 5,648.40 | 2.28% | |
| 56. | 2024/09/30 | $164.08 | 10.45% | 5,762.48 | 2.02% | |
| 57. | 2024/10/31 | $144.07 | -12.20% | 5,705.45 | -0.99% | |
| 58. | 2024/11/30 | $137.18 | -4.78% | 6,032.38 | 5.73% | |
| 59. | 2024/12/31 | $120.79 | -11.95% | 5,881.63 | -2.50% | |
| 平均 (R): | 2.72% | 1.16% | ||||
| 標準偏差： | 15.47% | 5.28% | ||||
すべて表示
1 普通株式1株当たり米ドルのデータで、分割と株式配当を調整したものです。
2 期間 tにおけるAMDの普通株式の収益率。
3 期間 tにおけるS&P 500(市場ポートフォリオの代理)の収益率。
分散と共分散
Advanced Micro Devices Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RAMD,t | RS&P 500,t | (RAMD,t–RAMD)2 | (RS&P 500,t–RS&P 500)2 | (RAMD,t–RAMD)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020/02/29 | -3.23% | -8.41% | 35.50 | 91.63 | 57.04 |
| 2. | 2020/03/31 | 0.00% | -12.51% | 7.42 | 186.96 | 37.25 |
| 3. | 2020/04/30 | 15.19% | 12.68% | 155.48 | 132.78 | 143.68 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024/11/30 | -4.78% | 5.73% | 56.35 | 20.87 | -34.30 |
| 59. | 2024/12/31 | -11.95% | -2.50% | 215.27 | 13.40 | 53.70 |
| トータル (Σ): | 13,884.66 | 1,618.62 | 2,703.32 | |||
| t | 日付 | RAMD,t | RS&P 500,t | (RAMD,t–RAMD)2 | (RS&P 500,t–RS&P 500)2 | (RAMD,t–RAMD)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020/02/29 | -3.23% | -8.41% | 35.50 | 91.63 | 57.04 |
| 2. | 2020/03/31 | 0.00% | -12.51% | 7.42 | 186.96 | 37.25 |
| 3. | 2020/04/30 | 15.19% | 12.68% | 155.48 | 132.78 | 143.68 |
| 4. | 2020/05/31 | 2.69% | 4.53% | 0.00 | 11.34 | -0.11 |
| 5. | 2020/06/30 | -2.21% | 1.84% | 24.37 | 0.46 | -3.34 |
| 6. | 2020/07/31 | 47.18% | 5.51% | 1,976.07 | 18.91 | 193.32 |
| 7. | 2020/08/31 | 17.29% | 7.01% | 212.25 | 34.17 | 85.16 |
| 8. | 2020/09/30 | -9.72% | -3.92% | 154.93 | 25.85 | 63.28 |
| 9. | 2020/10/31 | -8.17% | -2.77% | 118.73 | 15.43 | 42.80 |
| 10. | 2020/11/30 | 23.07% | 10.75% | 413.98 | 92.03 | 195.19 |
| 11. | 2020/12/31 | -1.03% | 3.71% | 14.06 | 6.51 | -9.56 |
| 12. | 2021/01/31 | -6.62% | -1.11% | 87.29 | 5.18 | 21.25 |
| 13. | 2021/02/28 | -1.32% | 2.61% | 16.35 | 2.10 | -5.86 |
| 14. | 2021/03/31 | -7.11% | 4.24% | 96.75 | 9.50 | -30.32 |
| 15. | 2021/04/30 | 3.97% | 5.24% | 1.56 | 16.66 | 5.10 |
| 16. | 2021/05/31 | -1.89% | 0.55% | 21.26 | 0.38 | 2.82 |
| 17. | 2021/06/30 | 17.30% | 2.22% | 212.31 | 1.12 | 15.45 |
| 18. | 2021/07/31 | 13.05% | 2.27% | 106.67 | 1.24 | 11.50 |
| 19. | 2021/08/31 | 4.27% | 2.90% | 2.38 | 3.02 | 2.68 |
| 20. | 2021/09/30 | -7.06% | -4.76% | 95.79 | 35.02 | 57.92 |
| 21. | 2021/10/31 | 16.84% | 6.91% | 199.30 | 33.10 | 81.22 |
| 22. | 2021/11/30 | 31.72% | -0.83% | 840.89 | 3.98 | -57.84 |
| 23. | 2021/12/31 | -9.14% | 4.36% | 140.69 | 10.24 | -37.96 |
| 24. | 2022/01/31 | -20.60% | -5.26% | 544.24 | 41.21 | 149.77 |
| 25. | 2022/02/28 | 7.96% | -3.14% | 27.37 | 18.47 | -22.48 |
| 26. | 2022/03/31 | -11.35% | 3.58% | 198.11 | 5.84 | -34.01 |
| 27. | 2022/04/30 | -21.79% | -8.80% | 600.72 | 99.14 | 244.04 |
| 28. | 2022/05/31 | 19.11% | 0.01% | 268.38 | 1.34 | -18.94 |
| 29. | 2022/06/30 | -24.93% | -8.39% | 764.56 | 91.26 | 264.16 |
| 30. | 2022/07/31 | 23.54% | 9.11% | 433.23 | 63.21 | 165.48 |
| 31. | 2022/08/31 | -10.16% | -4.24% | 166.06 | 29.22 | 69.65 |
| 32. | 2022/09/30 | -25.34% | -9.34% | 787.87 | 110.27 | 294.75 |
| 33. | 2022/10/31 | -5.21% | 7.99% | 62.93 | 46.58 | -54.14 |
| 34. | 2022/11/30 | 29.25% | 5.38% | 703.82 | 17.76 | 111.80 |
| 35. | 2022/12/31 | -16.57% | -5.90% | 372.11 | 49.82 | 136.16 |
| 36. | 2023/01/31 | 16.03% | 6.18% | 176.93 | 25.14 | 66.69 |
| 37. | 2023/02/28 | 4.56% | -2.61% | 3.38 | 14.23 | -6.94 |
| 38. | 2023/03/31 | 24.73% | 3.51% | 484.09 | 5.49 | 51.57 |
| 39. | 2023/04/30 | -8.82% | 1.46% | 133.17 | 0.09 | -3.50 |
| 40. | 2023/05/31 | 32.27% | 0.25% | 872.96 | 0.83 | -26.98 |
| 41. | 2023/06/30 | -3.64% | 4.71% | 40.47 | 12.62 | -22.60 |
| 42. | 2023/07/31 | 0.43% | 4.85% | 5.26 | 13.58 | -8.45 |
| 43. | 2023/08/31 | -7.59% | -1.77% | 106.33 | 8.60 | 30.24 |
| 44. | 2023/09/30 | -2.74% | -4.87% | 29.89 | 36.40 | 32.99 |
| 45. | 2023/10/31 | -4.20% | -2.20% | 47.97 | 11.28 | 23.27 |
| 46. | 2023/11/30 | 23.01% | 8.92% | 411.31 | 60.17 | 157.31 |
| 47. | 2023/12/31 | 21.67% | 4.42% | 358.77 | 10.64 | 61.78 |
| 48. | 2024/01/31 | 13.76% | 1.59% | 121.73 | 0.18 | 4.73 |
| 49. | 2024/02/29 | 14.81% | 5.17% | 146.14 | 16.09 | 48.49 |
| 50. | 2024/03/31 | -6.25% | 3.10% | 80.60 | 3.77 | -17.42 |
| 51. | 2024/04/30 | -12.25% | -4.16% | 224.23 | 28.33 | 79.71 |
| 52. | 2024/05/31 | 5.38% | 4.80% | 7.05 | 13.26 | 9.67 |
| 53. | 2024/06/30 | -2.81% | 3.47% | 30.63 | 5.32 | -12.76 |
| 54. | 2024/07/31 | -10.93% | 1.13% | 186.45 | 0.00 | 0.40 |
| 55. | 2024/08/31 | 2.82% | 2.28% | 0.01 | 1.26 | 0.11 |
| 56. | 2024/09/30 | 10.45% | 2.02% | 59.64 | 0.74 | 6.63 |
| 57. | 2024/10/31 | -12.20% | -0.99% | 222.60 | 4.63 | 32.09 |
| 58. | 2024/11/30 | -4.78% | 5.73% | 56.35 | 20.87 | -34.30 |
| 59. | 2024/12/31 | -11.95% | -2.50% | 215.27 | 13.40 | 53.70 |
| トータル (Σ): | 13,884.66 | 1,618.62 | 2,703.32 | |||
すべて表示
分散AMD = Σ(RAMD,t–RAMD)2 ÷ (59 – 1)
= 13,884.66 ÷ (59 – 1)
= 239.39
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91
共 分散AMD, S&P 500 = Σ(RAMD,t–RAMD)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 2,703.32 ÷ (59 – 1)
= 46.61
システマティックなリスク推定 (β)
| 分散AMD | 239.39 |
| 分散S&P 500 | 27.91 |
| 共 分散AMD, S&P 500 | 46.61 |
| 相関係数AMD, S&P 5001 | 0.57 |
| βAMD2 | 1.67 |
| αAMD3 | 0.78% |
計算
1 相関係数AMD, S&P 500
= 共 分散AMD, S&P 500 ÷ (標準偏差AMD × 標準偏差S&P 500)
= 46.61 ÷ (15.47% × 5.28%)
= 0.57
2 βAMD
= 共 分散AMD, S&P 500 ÷ 分散S&P 500
= 46.61 ÷ 27.91
= 1.67
3 αAMD
= 平均AMD – βAMD × 平均S&P 500
= 2.72% – 1.67 × 1.16%
= 0.78%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.85% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.71% |
| 普通株式 AMD システマティックリスク | βAMD | 1.67 |
| AMD普通株式の期待収益率3 | E(RAMD) | 21.32% |
1 10年以内に期限が到来しない、または償還不能となるすべての発行済み固定利回り米国債の入札利回りの加重平均(リスクフリー・リターン・プロキシ)。
2 詳しく見る »
3 E(RAMD) = RF + βAMD [E(RM) – RF]
= 4.85% + 1.67 [14.71% – 4.85%]
= 21.32%