資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 AppLovinの普通株式などのリスク資産の期待または必要な収益率を示します。
収益率
AppLovin Corp.、月間収益率
| AppLovin Corp. (APP) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格APP,t1 | 配当APP,t1 | RAPP,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2021/04/30 | $58.01 | 4,181.17 | ||||
| 1. | 2021/05/31 | $74.31 | 28.10% | 4,204.11 | 0.55% | |
| 2. | 2021/06/30 | $75.17 | 1.16% | 4,297.50 | 2.22% | |
| 3. | 2021/07/31 | $61.47 | -18.23% | 4,395.26 | 2.27% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 43. | 2024/11/30 | $336.75 | 98.80% | 6,032.38 | 5.73% | |
| 44. | 2024/12/31 | $323.83 | -3.84% | 5,881.63 | -2.50% | |
| 平均 (R): | 6.50% | 0.89% | ||||
| 標準偏差： | 24.56% | 4.74% | ||||
| AppLovin Corp. (APP) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格APP,t1 | 配当APP,t1 | RAPP,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2021/04/30 | $58.01 | 4,181.17 | ||||
| 1. | 2021/05/31 | $74.31 | 28.10% | 4,204.11 | 0.55% | |
| 2. | 2021/06/30 | $75.17 | 1.16% | 4,297.50 | 2.22% | |
| 3. | 2021/07/31 | $61.47 | -18.23% | 4,395.26 | 2.27% | |
| 4. | 2021/08/31 | $70.40 | 14.53% | 4,522.68 | 2.90% | |
| 5. | 2021/09/30 | $72.37 | 2.80% | 4,307.54 | -4.76% | |
| 6. | 2021/10/31 | $98.25 | 35.76% | 4,605.38 | 6.91% | |
| 7. | 2021/11/30 | $91.11 | -7.27% | 4,567.00 | -0.83% | |
| 8. | 2021/12/31 | $94.26 | 3.46% | 4,766.18 | 4.36% | |
| 9. | 2022/01/31 | $64.42 | -31.66% | 4,515.55 | -5.26% | |
| 10. | 2022/02/28 | $58.08 | -9.84% | 4,373.94 | -3.14% | |
| 11. | 2022/03/31 | $55.07 | -5.18% | 4,530.41 | 3.58% | |
| 12. | 2022/04/30 | $38.15 | -30.72% | 4,131.93 | -8.80% | |
| 13. | 2022/05/31 | $38.11 | -0.10% | 4,132.15 | 0.01% | |
| 14. | 2022/06/30 | $34.44 | -9.63% | 3,785.38 | -8.39% | |
| 15. | 2022/07/31 | $35.54 | 3.19% | 4,130.29 | 9.11% | |
| 16. | 2022/08/31 | $24.63 | -30.70% | 3,955.00 | -4.24% | |
| 17. | 2022/09/30 | $19.49 | -20.87% | 3,585.62 | -9.34% | |
| 18. | 2022/10/31 | $16.96 | -12.98% | 3,871.98 | 7.99% | |
| 19. | 2022/11/30 | $14.41 | -15.04% | 4,080.11 | 5.38% | |
| 20. | 2022/12/31 | $10.53 | -26.93% | 3,839.50 | -5.90% | |
| 21. | 2023/01/31 | $12.70 | 20.61% | 4,076.60 | 6.18% | |
| 22. | 2023/02/28 | $13.50 | 6.30% | 3,970.15 | -2.61% | |
| 23. | 2023/03/31 | $15.75 | 16.67% | 4,109.31 | 3.51% | |
| 24. | 2023/04/30 | $17.00 | 7.94% | 4,169.48 | 1.46% | |
| 25. | 2023/05/31 | $25.01 | 47.12% | 4,179.83 | 0.25% | |
| 26. | 2023/06/30 | $25.73 | 2.88% | 4,376.86 | 4.71% | |
| 27. | 2023/07/31 | $31.40 | 22.04% | 4,588.96 | 4.85% | |
| 28. | 2023/08/31 | $43.22 | 37.64% | 4,507.66 | -1.77% | |
| 29. | 2023/09/30 | $39.96 | -7.54% | 4,288.05 | -4.87% | |
| 30. | 2023/10/31 | $36.44 | -8.81% | 4,193.80 | -2.20% | |
| 31. | 2023/11/30 | $37.48 | 2.85% | 4,567.80 | 8.92% | |
| 32. | 2023/12/31 | $39.85 | 6.32% | 4,769.83 | 4.42% | |
| 33. | 2024/01/31 | $41.13 | 3.21% | 4,845.65 | 1.59% | |
| 34. | 2024/02/29 | $59.72 | 45.20% | 5,096.27 | 5.17% | |
| 35. | 2024/03/31 | $69.22 | 15.91% | 5,254.35 | 3.10% | |
| 36. | 2024/04/30 | $70.57 | 1.95% | 5,035.69 | -4.16% | |
| 37. | 2024/05/31 | $81.48 | 15.46% | 5,277.51 | 4.80% | |
| 38. | 2024/06/30 | $83.22 | 2.14% | 5,460.48 | 3.47% | |
| 39. | 2024/07/31 | $77.10 | -7.35% | 5,522.30 | 1.13% | |
| 40. | 2024/08/31 | $92.87 | 20.45% | 5,648.40 | 2.28% | |
| 41. | 2024/09/30 | $130.55 | 40.57% | 5,762.48 | 2.02% | |
| 42. | 2024/10/31 | $169.39 | 29.75% | 5,705.45 | -0.99% | |
| 43. | 2024/11/30 | $336.75 | 98.80% | 6,032.38 | 5.73% | |
| 44. | 2024/12/31 | $323.83 | -3.84% | 5,881.63 | -2.50% | |
| 平均 (R): | 6.50% | 0.89% | ||||
| 標準偏差： | 24.56% | 4.74% | ||||
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APP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
AppLovin Corp.、分散の計算、および戻り値の共分散
| t | 日付 | RAPP,t | RS&P 500,t | (RAPP,t–RAPP)2 | (RS&P 500,t–RS&P 500)2 | (RAPP,t–RAPP)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021/05/31 | 28.10% | 0.55% | 466.39 | 0.12 | -7.35 |
| 2. | 2021/06/30 | 1.16% | 2.22% | 28.57 | 1.78 | -7.12 |
| 3. | 2021/07/31 | -18.23% | 2.27% | 611.47 | 1.92 | -34.27 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 43. | 2024/11/30 | 98.80% | 5.73% | 8,519.10 | 23.44 | 446.84 |
| 44. | 2024/12/31 | -3.84% | -2.50% | 106.90 | 11.48 | 35.03 |
| トータル (Σ): | 25,947.80 | 965.86 | 2,261.95 | |||
| t | 日付 | RAPP,t | RS&P 500,t | (RAPP,t–RAPP)2 | (RS&P 500,t–RS&P 500)2 | (RAPP,t–RAPP)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021/05/31 | 28.10% | 0.55% | 466.39 | 0.12 | -7.35 |
| 2. | 2021/06/30 | 1.16% | 2.22% | 28.57 | 1.78 | -7.12 |
| 3. | 2021/07/31 | -18.23% | 2.27% | 611.47 | 1.92 | -34.27 |
| 4. | 2021/08/31 | 14.53% | 2.90% | 64.40 | 4.04 | 16.13 |
| 5. | 2021/09/30 | 2.80% | -4.76% | 13.72 | 31.88 | 20.91 |
| 6. | 2021/10/31 | 35.76% | 6.91% | 856.03 | 36.31 | 176.29 |
| 7. | 2021/11/30 | -7.27% | -0.83% | 189.61 | 2.97 | 23.72 |
| 8. | 2021/12/31 | 3.46% | 4.36% | 9.27 | 12.06 | -10.57 |
| 9. | 2022/01/31 | -31.66% | -5.26% | 1,456.17 | 37.79 | 234.58 |
| 10. | 2022/02/28 | -9.84% | -3.14% | 267.14 | 16.20 | 65.78 |
| 11. | 2022/03/31 | -5.18% | 3.58% | 136.54 | 7.23 | -31.41 |
| 12. | 2022/04/30 | -30.72% | -8.80% | 1,385.86 | 93.79 | 360.53 |
| 13. | 2022/05/31 | -0.10% | 0.01% | 43.66 | 0.78 | 5.84 |
| 14. | 2022/06/30 | -9.63% | -8.39% | 260.26 | 86.13 | 149.73 |
| 15. | 2022/07/31 | 3.19% | 9.11% | 10.95 | 67.61 | -27.21 |
| 16. | 2022/08/31 | -30.70% | -4.24% | 1,383.87 | 26.35 | 190.95 |
| 17. | 2022/09/30 | -20.87% | -9.34% | 749.20 | 104.62 | 279.97 |
| 18. | 2022/10/31 | -12.98% | 7.99% | 379.61 | 50.37 | -138.28 |
| 19. | 2022/11/30 | -15.04% | 5.38% | 463.89 | 20.13 | -96.63 |
| 20. | 2022/12/31 | -26.93% | -5.90% | 1,117.46 | 46.05 | 226.85 |
| 21. | 2023/01/31 | 20.61% | 6.18% | 198.96 | 27.95 | 74.57 |
| 22. | 2023/02/28 | 6.30% | -2.61% | 0.04 | 12.25 | 0.71 |
| 23. | 2023/03/31 | 16.67% | 3.51% | 103.31 | 6.84 | 26.59 |
| 24. | 2023/04/30 | 7.94% | 1.46% | 2.06 | 0.33 | 0.82 |
| 25. | 2023/05/31 | 47.12% | 0.25% | 1,649.58 | 0.41 | -26.02 |
| 26. | 2023/06/30 | 2.88% | 4.71% | 13.13 | 14.63 | -13.86 |
| 27. | 2023/07/31 | 22.04% | 4.85% | 241.30 | 15.66 | 61.47 |
| 28. | 2023/08/31 | 37.64% | -1.77% | 969.74 | 7.08 | -82.85 |
| 29. | 2023/09/30 | -7.54% | -4.87% | 197.27 | 33.19 | 80.91 |
| 30. | 2023/10/31 | -8.81% | -2.20% | 234.44 | 9.53 | 47.26 |
| 31. | 2023/11/30 | 2.85% | 8.92% | 13.31 | 64.47 | -29.30 |
| 32. | 2023/12/31 | 6.32% | 4.42% | 0.03 | 12.49 | -0.63 |
| 33. | 2024/01/31 | 3.21% | 1.59% | 10.83 | 0.49 | -2.31 |
| 34. | 2024/02/29 | 45.20% | 5.17% | 1,497.34 | 18.35 | 165.74 |
| 35. | 2024/03/31 | 15.91% | 3.10% | 88.45 | 4.90 | 20.81 |
| 36. | 2024/04/30 | 1.95% | -4.16% | 20.72 | 25.51 | 22.99 |
| 37. | 2024/05/31 | 15.46% | 4.80% | 80.23 | 15.31 | 35.05 |
| 38. | 2024/06/30 | 2.14% | 3.47% | 19.07 | 6.65 | -11.26 |
| 39. | 2024/07/31 | -7.35% | 1.13% | 192.01 | 0.06 | -3.37 |
| 40. | 2024/08/31 | 20.45% | 2.28% | 194.64 | 1.94 | 19.46 |
| 41. | 2024/09/30 | 40.57% | 2.02% | 1,160.78 | 1.28 | 38.53 |
| 42. | 2024/10/31 | 29.75% | -0.99% | 540.49 | 3.53 | -43.67 |
| 43. | 2024/11/30 | 98.80% | 5.73% | 8,519.10 | 23.44 | 446.84 |
| 44. | 2024/12/31 | -3.84% | -2.50% | 106.90 | 11.48 | 35.03 |
| トータル (Σ): | 25,947.80 | 965.86 | 2,261.95 | |||
すべて表示
分散APP = Σ(RAPP,t–RAPP)2 ÷ (44 – 1)
= 25,947.80 ÷ (44 – 1)
= 603.44
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (44 – 1)
= 965.86 ÷ (44 – 1)
= 22.46
共 分散APP, S&P 500 = Σ(RAPP,t–RAPP)×(RS&P 500,t–RS&P 500) ÷ (44 – 1)
= 2,261.95 ÷ (44 – 1)
= 52.60
システマティックなリスク推定 (β)
| 分散APP | 603.44 |
| 分散S&P 500 | 22.46 |
| 共 分散APP, S&P 500 | 52.60 |
| 相関係数APP, S&P 5001 | 0.45 |
| βAPP2 | 2.34 |
| αAPP3 | 4.42% |
計算
1 相関係数APP, S&P 500
= 共 分散APP, S&P 500 ÷ (標準偏差APP × 標準偏差S&P 500)
= 52.60 ÷ (24.56% × 4.74%)
= 0.45
2 βAPP
= 共 分散APP, S&P 500 ÷ 分散S&P 500
= 52.60 ÷ 22.46
= 2.34
3 αAPP
= 平均APP – βAPP × 平均S&P 500
= 6.50% – 2.34 × 0.89%
= 4.42%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.67% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.89% |
| 普通株式 AppLovin のシステマティックリスク | βAPP | 2.34 |
| AppLovin普通株式の期待収益率3 | E(RAPP) | 28.59% |
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(RAPP) = RF + βAPP [E(RM) – RF]
= 4.67% + 2.34 [14.89% – 4.67%]
= 28.59%