資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、普通株式 Alignのようなリスク資産の予想または必要な収益率を示します。
収益率
Align Technology Inc.、月間収益率
| Align Technology Inc. (ALGN) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格ALGN,t1 | 配当ALGN,t1 | RALGN,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2018/01/31 | $262.00 | 2,823.81 | ||||
| 1. | 2018/02/28 | $262.52 | 0.20% | 2,713.83 | -3.89% | |
| 2. | 2018/03/31 | $251.13 | -4.34% | 2,640.87 | -2.69% | |
| 3. | 2018/04/30 | $249.85 | -0.51% | 2,648.05 | 0.27% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022/11/30 | $196.66 | 1.21% | 4,080.11 | 5.38% | |
| 59. | 2022/12/31 | $210.90 | 7.24% | 3,839.50 | -5.90% | |
| 平均 (R): | 0.78% | 0.67% | ||||
| 標準偏差： | 14.90% | 5.40% | ||||
| Align Technology Inc. (ALGN) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格ALGN,t1 | 配当ALGN,t1 | RALGN,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2018/01/31 | $262.00 | 2,823.81 | ||||
| 1. | 2018/02/28 | $262.52 | 0.20% | 2,713.83 | -3.89% | |
| 2. | 2018/03/31 | $251.13 | -4.34% | 2,640.87 | -2.69% | |
| 3. | 2018/04/30 | $249.85 | -0.51% | 2,648.05 | 0.27% | |
| 4. | 2018/05/31 | $331.95 | 32.86% | 2,705.27 | 2.16% | |
| 5. | 2018/06/30 | $342.14 | 3.07% | 2,718.37 | 0.48% | |
| 6. | 2018/07/31 | $356.65 | 4.24% | 2,816.29 | 3.60% | |
| 7. | 2018/08/31 | $386.49 | 8.37% | 2,901.52 | 3.03% | |
| 8. | 2018/09/30 | $391.22 | 1.22% | 2,913.98 | 0.43% | |
| 9. | 2018/10/31 | $221.20 | -43.46% | 2,711.74 | -6.94% | |
| 10. | 2018/11/30 | $229.89 | 3.93% | 2,760.17 | 1.79% | |
| 11. | 2018/12/31 | $209.43 | -8.90% | 2,506.85 | -9.18% | |
| 12. | 2019/01/31 | $248.95 | 18.87% | 2,704.10 | 7.87% | |
| 13. | 2019/02/28 | $258.97 | 4.02% | 2,784.49 | 2.97% | |
| 14. | 2019/03/31 | $284.33 | 9.79% | 2,834.40 | 1.79% | |
| 15. | 2019/04/30 | $324.68 | 14.19% | 2,945.83 | 3.93% | |
| 16. | 2019/05/31 | $284.35 | -12.42% | 2,752.06 | -6.58% | |
| 17. | 2019/06/30 | $273.70 | -3.75% | 2,941.76 | 6.89% | |
| 18. | 2019/07/31 | $209.08 | -23.61% | 2,980.38 | 1.31% | |
| 19. | 2019/08/31 | $183.11 | -12.42% | 2,926.46 | -1.81% | |
| 20. | 2019/09/30 | $180.92 | -1.20% | 2,976.74 | 1.72% | |
| 21. | 2019/10/31 | $252.29 | 39.45% | 3,037.56 | 2.04% | |
| 22. | 2019/11/30 | $277.34 | 9.93% | 3,140.98 | 3.40% | |
| 23. | 2019/12/31 | $279.04 | 0.61% | 3,230.78 | 2.86% | |
| 24. | 2020/01/31 | $257.10 | -7.86% | 3,225.52 | -0.16% | |
| 25. | 2020/02/29 | $218.35 | -15.07% | 2,954.22 | -8.41% | |
| 26. | 2020/03/31 | $173.95 | -20.33% | 2,584.59 | -12.51% | |
| 27. | 2020/04/30 | $214.85 | 23.51% | 2,912.43 | 12.68% | |
| 28. | 2020/05/31 | $245.62 | 14.32% | 3,044.31 | 4.53% | |
| 29. | 2020/06/30 | $274.44 | 11.73% | 3,100.29 | 1.84% | |
| 30. | 2020/07/31 | $293.82 | 7.06% | 3,271.12 | 5.51% | |
| 31. | 2020/08/31 | $296.98 | 1.08% | 3,500.31 | 7.01% | |
| 32. | 2020/09/30 | $327.36 | 10.23% | 3,363.00 | -3.92% | |
| 33. | 2020/10/31 | $426.08 | 30.16% | 3,269.96 | -2.77% | |
| 34. | 2020/11/30 | $481.29 | 12.96% | 3,621.63 | 10.75% | |
| 35. | 2020/12/31 | $534.38 | 11.03% | 3,756.07 | 3.71% | |
| 36. | 2021/01/31 | $525.38 | -1.68% | 3,714.24 | -1.11% | |
| 37. | 2021/02/28 | $567.11 | 7.94% | 3,811.15 | 2.61% | |
| 38. | 2021/03/31 | $541.53 | -4.51% | 3,972.89 | 4.24% | |
| 39. | 2021/04/30 | $595.53 | 9.97% | 4,181.17 | 5.24% | |
| 40. | 2021/05/31 | $590.15 | -0.90% | 4,204.11 | 0.55% | |
| 41. | 2021/06/30 | $611.00 | 3.53% | 4,297.50 | 2.22% | |
| 42. | 2021/07/31 | $695.80 | 13.88% | 4,395.26 | 2.27% | |
| 43. | 2021/08/31 | $709.00 | 1.90% | 4,522.68 | 2.90% | |
| 44. | 2021/09/30 | $665.43 | -6.15% | 4,307.54 | -4.76% | |
| 45. | 2021/10/31 | $624.37 | -6.17% | 4,605.38 | 6.91% | |
| 46. | 2021/11/30 | $611.53 | -2.06% | 4,567.00 | -0.83% | |
| 47. | 2021/12/31 | $657.18 | 7.46% | 4,766.18 | 4.36% | |
| 48. | 2022/01/31 | $494.96 | -24.68% | 4,515.55 | -5.26% | |
| 49. | 2022/02/28 | $511.46 | 3.33% | 4,373.94 | -3.14% | |
| 50. | 2022/03/31 | $436.00 | -14.75% | 4,530.41 | 3.58% | |
| 51. | 2022/04/30 | $289.91 | -33.51% | 4,131.93 | -8.80% | |
| 52. | 2022/05/31 | $277.64 | -4.23% | 4,132.15 | 0.01% | |
| 53. | 2022/06/30 | $236.67 | -14.76% | 3,785.38 | -8.39% | |
| 54. | 2022/07/31 | $280.97 | 18.72% | 4,130.29 | 9.11% | |
| 55. | 2022/08/31 | $243.70 | -13.26% | 3,955.00 | -4.24% | |
| 56. | 2022/09/30 | $207.11 | -15.01% | 3,585.62 | -9.34% | |
| 57. | 2022/10/31 | $194.30 | -6.19% | 3,871.98 | 7.99% | |
| 58. | 2022/11/30 | $196.66 | 1.21% | 4,080.11 | 5.38% | |
| 59. | 2022/12/31 | $210.90 | 7.24% | 3,839.50 | -5.90% | |
| 平均 (R): | 0.78% | 0.67% | ||||
| 標準偏差： | 14.90% | 5.40% | ||||
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ALGN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
Align Technology Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RALGN,t | RS&P 500,t | (RALGN,t–RALGN)2 | (RS&P 500,t–RS&P 500)2 | (RALGN,t–RALGN)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018/02/28 | 0.20% | -3.89% | 0.34 | 20.81 | 2.67 |
| 2. | 2018/03/31 | -4.34% | -2.69% | 26.25 | 11.26 | 17.19 |
| 3. | 2018/04/30 | -0.51% | 0.27% | 1.68 | 0.16 | 0.51 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022/11/30 | 1.21% | 5.38% | 0.18 | 22.17 | 2.02 |
| 59. | 2022/12/31 | 7.24% | -5.90% | 41.68 | 43.08 | -42.38 |
| トータル (Σ): | 12,875.12 | 1,691.48 | 2,637.01 | |||
| t | 日付 | RALGN,t | RS&P 500,t | (RALGN,t–RALGN)2 | (RS&P 500,t–RS&P 500)2 | (RALGN,t–RALGN)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018/02/28 | 0.20% | -3.89% | 0.34 | 20.81 | 2.67 |
| 2. | 2018/03/31 | -4.34% | -2.69% | 26.25 | 11.26 | 17.19 |
| 3. | 2018/04/30 | -0.51% | 0.27% | 1.68 | 0.16 | 0.51 |
| 4. | 2018/05/31 | 32.86% | 2.16% | 1,028.81 | 2.23 | 47.93 |
| 5. | 2018/06/30 | 3.07% | 0.48% | 5.22 | 0.03 | -0.42 |
| 6. | 2018/07/31 | 4.24% | 3.60% | 11.95 | 8.62 | 10.15 |
| 7. | 2018/08/31 | 8.37% | 3.03% | 57.49 | 5.57 | 17.89 |
| 8. | 2018/09/30 | 1.22% | 0.43% | 0.19 | 0.06 | -0.10 |
| 9. | 2018/10/31 | -43.46% | -6.94% | 1,957.49 | 57.87 | 336.56 |
| 10. | 2018/11/30 | 3.93% | 1.79% | 9.88 | 1.25 | 3.52 |
| 11. | 2018/12/31 | -8.90% | -9.18% | 93.79 | 96.91 | 95.34 |
| 12. | 2019/01/31 | 18.87% | 7.87% | 327.09 | 51.87 | 130.25 |
| 13. | 2019/02/28 | 4.02% | 2.97% | 10.50 | 5.32 | 7.47 |
| 14. | 2019/03/31 | 9.79% | 1.79% | 81.14 | 1.27 | 10.14 |
| 15. | 2019/04/30 | 14.19% | 3.93% | 179.74 | 10.66 | 43.77 |
| 16. | 2019/05/31 | -12.42% | -6.58% | 174.40 | 52.48 | 95.67 |
| 17. | 2019/06/30 | -3.75% | 6.89% | 20.52 | 38.77 | -28.21 |
| 18. | 2019/07/31 | -23.61% | 1.31% | 595.09 | 0.42 | -15.76 |
| 19. | 2019/08/31 | -12.42% | -1.81% | 174.39 | 6.13 | 32.69 |
| 20. | 2019/09/30 | -1.20% | 1.72% | 3.92 | 1.11 | -2.08 |
| 21. | 2019/10/31 | 39.45% | 2.04% | 1,494.88 | 1.89 | 53.22 |
| 22. | 2019/11/30 | 9.93% | 3.40% | 83.62 | 7.50 | 25.04 |
| 23. | 2019/12/31 | 0.61% | 2.86% | 0.03 | 4.81 | -0.38 |
| 24. | 2020/01/31 | -7.86% | -0.16% | 74.78 | 0.69 | 7.17 |
| 25. | 2020/02/29 | -15.07% | -8.41% | 251.43 | 82.40 | 143.94 |
| 26. | 2020/03/31 | -20.33% | -12.51% | 446.01 | 173.67 | 278.32 |
| 27. | 2020/04/30 | 23.51% | 12.68% | 516.56 | 144.43 | 273.14 |
| 28. | 2020/05/31 | 14.32% | 4.53% | 183.25 | 14.91 | 52.27 |
| 29. | 2020/06/30 | 11.73% | 1.84% | 119.88 | 1.37 | 12.83 |
| 30. | 2020/07/31 | 7.06% | 5.51% | 39.40 | 23.46 | 30.40 |
| 31. | 2020/08/31 | 1.08% | 7.01% | 0.08 | 40.19 | 1.84 |
| 32. | 2020/09/30 | 10.23% | -3.92% | 89.21 | 21.06 | -43.35 |
| 33. | 2020/10/31 | 30.16% | -2.77% | 862.70 | 11.79 | -100.84 |
| 34. | 2020/11/30 | 12.96% | 10.75% | 148.18 | 101.77 | 122.80 |
| 35. | 2020/12/31 | 11.03% | 3.71% | 104.98 | 9.28 | 31.20 |
| 36. | 2021/01/31 | -1.68% | -1.11% | 6.10 | 3.17 | 4.40 |
| 37. | 2021/02/28 | 7.94% | 2.61% | 51.24 | 3.77 | 13.90 |
| 38. | 2021/03/31 | -4.51% | 4.24% | 28.04 | 12.80 | -18.94 |
| 39. | 2021/04/30 | 9.97% | 5.24% | 84.40 | 20.94 | 42.04 |
| 40. | 2021/05/31 | -0.90% | 0.55% | 2.85 | 0.01 | 0.20 |
| 41. | 2021/06/30 | 3.53% | 2.22% | 7.55 | 2.42 | 4.27 |
| 42. | 2021/07/31 | 13.88% | 2.27% | 171.46 | 2.59 | 21.06 |
| 43. | 2021/08/31 | 1.90% | 2.90% | 1.24 | 4.98 | 2.48 |
| 44. | 2021/09/30 | -6.15% | -4.76% | 48.02 | 29.42 | 37.58 |
| 45. | 2021/10/31 | -6.17% | 6.91% | 48.37 | 39.03 | -43.45 |
| 46. | 2021/11/30 | -2.06% | -0.83% | 8.07 | 2.25 | 4.26 |
| 47. | 2021/12/31 | 7.46% | 4.36% | 44.63 | 13.65 | 24.68 |
| 48. | 2022/01/31 | -24.68% | -5.26% | 648.66 | 35.11 | 150.91 |
| 49. | 2022/02/28 | 3.33% | -3.14% | 6.50 | 14.46 | -9.69 |
| 50. | 2022/03/31 | -14.75% | 3.58% | 241.44 | 8.47 | -45.23 |
| 51. | 2022/04/30 | -33.51% | -8.80% | 1,175.91 | 89.54 | 324.48 |
| 52. | 2022/05/31 | -4.23% | 0.01% | 25.17 | 0.44 | 3.32 |
| 53. | 2022/06/30 | -14.76% | -8.39% | 241.53 | 82.06 | 140.78 |
| 54. | 2022/07/31 | 18.72% | 9.11% | 321.61 | 71.32 | 151.45 |
| 55. | 2022/08/31 | -13.26% | -4.24% | 197.39 | 24.11 | 68.99 |
| 56. | 2022/09/30 | -15.01% | -9.34% | 249.61 | 100.12 | 158.09 |
| 57. | 2022/10/31 | -6.19% | 7.99% | 48.58 | 53.58 | -51.02 |
| 58. | 2022/11/30 | 1.21% | 5.38% | 0.18 | 22.17 | 2.02 |
| 59. | 2022/12/31 | 7.24% | -5.90% | 41.68 | 43.08 | -42.38 |
| トータル (Σ): | 12,875.12 | 1,691.48 | 2,637.01 | |||
すべて表示
分散ALGN = Σ(RALGN,t–RALGN)2 ÷ (59 – 1)
= 12,875.12 ÷ (59 – 1)
= 221.98
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16
共 分散ALGN, S&P 500 = Σ(RALGN,t–RALGN)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 2,637.01 ÷ (59 – 1)
= 45.47
システマティックなリスク推定 (β)
| 分散ALGN | 221.98 |
| 分散S&P 500 | 29.16 |
| 共 分散ALGN, S&P 500 | 45.47 |
| 相関係数ALGN, S&P 5001 | 0.57 |
| βALGN2 | 1.56 |
| αALGN3 | -0.25% |
計算
1 相関係数ALGN, S&P 500
= 共 分散ALGN, S&P 500 ÷ (標準偏差ALGN × 標準偏差S&P 500)
= 45.47 ÷ (14.90% × 5.40%)
= 0.57
2 βALGN
= 共 分散ALGN, S&P 500 ÷ 分散S&P 500
= 45.47 ÷ 29.16
= 1.56
3 αALGN
= 平均ALGN – βALGN × 平均S&P 500
= 0.78% – 1.56 × 0.67%
= -0.25%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.95% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 17.36% |
| 普通株式のシステマティックリスクAlign | βALGN | 1.56 |
| Align普通株式の予想収益率3 | E(RALGN) | 24.30% |
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(RALGN) = RF + βALGN [E(RM) – RF]
= 4.95% + 1.56 [17.36% – 4.95%]
= 24.30%