資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Applied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
Applied Materials Inc.、月間収益率
| Applied Materials Inc. (AMAT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格AMAT,t1 | 配当AMAT,t1 | RAMAT,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2018/11/30 | $37.28 | 2,760.17 | ||||
| 1. | 2018/12/31 | $32.74 | -12.18% | 2,506.85 | -9.18% | |
| 2. | 2019/01/31 | $39.08 | 19.36% | 2,704.10 | 7.87% | |
| 3. | 2019/02/28 | $38.34 | $0.20 | -1.38% | 2,784.49 | 2.97% |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024/09/30 | $202.05 | 2.43% | 5,762.48 | 2.02% | |
| 71. | 2024/10/31 | $181.58 | -10.13% | 5,705.45 | -0.99% | |
| 平均 (R): | 2.93% | 1.16% | ||||
| 標準偏差： | 11.08% | 5.15% | ||||
| Applied Materials Inc. (AMAT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格AMAT,t1 | 配当AMAT,t1 | RAMAT,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2018/11/30 | $37.28 | 2,760.17 | ||||
| 1. | 2018/12/31 | $32.74 | -12.18% | 2,506.85 | -9.18% | |
| 2. | 2019/01/31 | $39.08 | 19.36% | 2,704.10 | 7.87% | |
| 3. | 2019/02/28 | $38.34 | $0.20 | -1.38% | 2,784.49 | 2.97% |
| 4. | 2019/03/31 | $39.66 | 3.44% | 2,834.40 | 1.79% | |
| 5. | 2019/04/30 | $44.07 | 11.12% | 2,945.83 | 3.93% | |
| 6. | 2019/05/31 | $38.69 | $0.21 | -11.73% | 2,752.06 | -6.58% |
| 7. | 2019/06/30 | $44.91 | 16.08% | 2,941.76 | 6.89% | |
| 8. | 2019/07/31 | $49.37 | 9.93% | 2,980.38 | 1.31% | |
| 9. | 2019/08/31 | $48.02 | $0.21 | -2.31% | 2,926.46 | -1.81% |
| 10. | 2019/09/30 | $49.90 | 3.92% | 2,976.74 | 1.72% | |
| 11. | 2019/10/31 | $54.26 | 8.74% | 3,037.56 | 2.04% | |
| 12. | 2019/11/30 | $57.90 | $0.21 | 7.10% | 3,140.98 | 3.40% |
| 13. | 2019/12/31 | $61.04 | 5.42% | 3,230.78 | 2.86% | |
| 14. | 2020/01/31 | $57.99 | -5.00% | 3,225.52 | -0.16% | |
| 15. | 2020/02/29 | $58.12 | $0.21 | 0.59% | 2,954.22 | -8.41% |
| 16. | 2020/03/31 | $45.82 | -21.16% | 2,584.59 | -12.51% | |
| 17. | 2020/04/30 | $49.68 | 8.42% | 2,912.43 | 12.68% | |
| 18. | 2020/05/31 | $56.18 | $0.22 | 13.53% | 3,044.31 | 4.53% |
| 19. | 2020/06/30 | $60.45 | 7.60% | 3,100.29 | 1.84% | |
| 20. | 2020/07/31 | $64.33 | 6.42% | 3,271.12 | 5.51% | |
| 21. | 2020/08/31 | $61.60 | $0.22 | -3.90% | 3,500.31 | 7.01% |
| 22. | 2020/09/30 | $59.45 | -3.49% | 3,363.00 | -3.92% | |
| 23. | 2020/10/31 | $59.23 | -0.37% | 3,269.96 | -2.77% | |
| 24. | 2020/11/30 | $82.48 | $0.22 | 39.63% | 3,621.63 | 10.75% |
| 25. | 2020/12/31 | $86.30 | 4.63% | 3,756.07 | 3.71% | |
| 26. | 2021/01/31 | $96.68 | 12.03% | 3,714.24 | -1.11% | |
| 27. | 2021/02/28 | $118.19 | $0.22 | 22.48% | 3,811.15 | 2.61% |
| 28. | 2021/03/31 | $133.60 | 13.04% | 3,972.89 | 4.24% | |
| 29. | 2021/04/30 | $132.71 | -0.67% | 4,181.17 | 5.24% | |
| 30. | 2021/05/31 | $138.13 | $0.24 | 4.26% | 4,204.11 | 0.55% |
| 31. | 2021/06/30 | $142.40 | 3.09% | 4,297.50 | 2.22% | |
| 32. | 2021/07/31 | $139.93 | -1.73% | 4,395.26 | 2.27% | |
| 33. | 2021/08/31 | $135.13 | $0.24 | -3.26% | 4,522.68 | 2.90% |
| 34. | 2021/09/30 | $128.73 | -4.74% | 4,307.54 | -4.76% | |
| 35. | 2021/10/31 | $136.65 | 6.15% | 4,605.38 | 6.91% | |
| 36. | 2021/11/30 | $147.19 | $0.24 | 7.89% | 4,567.00 | -0.83% |
| 37. | 2021/12/31 | $157.36 | 6.91% | 4,766.18 | 4.36% | |
| 38. | 2022/01/31 | $138.18 | -12.19% | 4,515.55 | -5.26% | |
| 39. | 2022/02/28 | $134.20 | $0.24 | -2.71% | 4,373.94 | -3.14% |
| 40. | 2022/03/31 | $131.80 | -1.79% | 4,530.41 | 3.58% | |
| 41. | 2022/04/30 | $110.35 | -16.27% | 4,131.93 | -8.80% | |
| 42. | 2022/05/31 | $117.29 | $0.26 | 6.52% | 4,132.15 | 0.01% |
| 43. | 2022/06/30 | $90.98 | -22.43% | 3,785.38 | -8.39% | |
| 44. | 2022/07/31 | $105.98 | 16.49% | 4,130.29 | 9.11% | |
| 45. | 2022/08/31 | $94.07 | $0.26 | -10.99% | 3,955.00 | -4.24% |
| 46. | 2022/09/30 | $81.93 | -12.91% | 3,585.62 | -9.34% | |
| 47. | 2022/10/31 | $88.29 | 7.76% | 3,871.98 | 7.99% | |
| 48. | 2022/11/30 | $109.60 | $0.26 | 24.43% | 4,080.11 | 5.38% |
| 49. | 2022/12/31 | $97.38 | -11.15% | 3,839.50 | -5.90% | |
| 50. | 2023/01/31 | $111.49 | 14.49% | 4,076.60 | 6.18% | |
| 51. | 2023/02/28 | $116.15 | $0.26 | 4.41% | 3,970.15 | -2.61% |
| 52. | 2023/03/31 | $122.83 | 5.75% | 4,109.31 | 3.51% | |
| 53. | 2023/04/30 | $113.03 | -7.98% | 4,169.48 | 1.46% | |
| 54. | 2023/05/31 | $133.30 | $0.32 | 18.22% | 4,179.83 | 0.25% |
| 55. | 2023/06/30 | $144.54 | 8.43% | 4,376.86 | 4.71% | |
| 56. | 2023/07/31 | $151.59 | 4.88% | 4,588.96 | 4.85% | |
| 57. | 2023/08/31 | $152.76 | $0.32 | 0.98% | 4,507.66 | -1.77% |
| 58. | 2023/09/30 | $138.45 | -9.37% | 4,288.05 | -4.87% | |
| 59. | 2023/10/31 | $132.35 | -4.41% | 4,193.80 | -2.20% | |
| 60. | 2023/11/30 | $149.78 | $0.32 | 13.41% | 4,567.80 | 8.92% |
| 61. | 2023/12/31 | $162.07 | 8.21% | 4,769.83 | 4.42% | |
| 62. | 2024/01/31 | $164.30 | 1.38% | 4,845.65 | 1.59% | |
| 63. | 2024/02/29 | $201.62 | $0.32 | 22.91% | 5,096.27 | 5.17% |
| 64. | 2024/03/31 | $206.23 | 2.29% | 5,254.35 | 3.10% | |
| 65. | 2024/04/30 | $198.65 | -3.68% | 5,035.69 | -4.16% | |
| 66. | 2024/05/31 | $215.08 | $0.40 | 8.47% | 5,277.51 | 4.80% |
| 67. | 2024/06/30 | $235.99 | 9.72% | 5,460.48 | 3.47% | |
| 68. | 2024/07/31 | $212.20 | -10.08% | 5,522.30 | 1.13% | |
| 69. | 2024/08/31 | $197.26 | $0.40 | -6.85% | 5,648.40 | 2.28% |
| 70. | 2024/09/30 | $202.05 | 2.43% | 5,762.48 | 2.02% | |
| 71. | 2024/10/31 | $181.58 | -10.13% | 5,705.45 | -0.99% | |
| 平均 (R): | 2.93% | 1.16% | ||||
| 標準偏差： | 11.08% | 5.15% | ||||
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AMAT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
Applied Materials Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RAMAT,t | RS&P 500,t | (RAMAT,t–RAMAT)2 | (RS&P 500,t–RS&P 500)2 | (RAMAT,t–RAMAT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018/12/31 | -12.18% | -9.18% | 228.28 | 106.87 | 156.19 |
| 2. | 2019/01/31 | 19.36% | 7.87% | 270.07 | 45.00 | 110.25 |
| 3. | 2019/02/28 | -1.38% | 2.97% | 18.60 | 3.29 | -7.82 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024/09/30 | 2.43% | 2.02% | 0.25 | 0.74 | -0.43 |
| 71. | 2024/10/31 | -10.13% | -0.99% | 170.62 | 4.62 | 28.08 |
| トータル (Σ): | 8,586.82 | 1,859.93 | 2,971.58 | |||
| t | 日付 | RAMAT,t | RS&P 500,t | (RAMAT,t–RAMAT)2 | (RS&P 500,t–RS&P 500)2 | (RAMAT,t–RAMAT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018/12/31 | -12.18% | -9.18% | 228.28 | 106.87 | 156.19 |
| 2. | 2019/01/31 | 19.36% | 7.87% | 270.07 | 45.00 | 110.25 |
| 3. | 2019/02/28 | -1.38% | 2.97% | 18.60 | 3.29 | -7.82 |
| 4. | 2019/03/31 | 3.44% | 1.79% | 0.26 | 0.40 | 0.32 |
| 5. | 2019/04/30 | 11.12% | 3.93% | 67.05 | 7.68 | 22.69 |
| 6. | 2019/05/31 | -11.73% | -6.58% | 214.98 | 59.87 | 113.45 |
| 7. | 2019/06/30 | 16.08% | 6.89% | 172.80 | 32.87 | 75.36 |
| 8. | 2019/07/31 | 9.93% | 1.31% | 49.00 | 0.02 | 1.07 |
| 9. | 2019/08/31 | -2.31% | -1.81% | 27.46 | 8.82 | 15.56 |
| 10. | 2019/09/30 | 3.92% | 1.72% | 0.97 | 0.31 | 0.55 |
| 11. | 2019/10/31 | 8.74% | 2.04% | 33.72 | 0.78 | 5.13 |
| 12. | 2019/11/30 | 7.10% | 3.40% | 17.34 | 5.04 | 9.35 |
| 13. | 2019/12/31 | 5.42% | 2.86% | 6.21 | 2.89 | 4.23 |
| 14. | 2020/01/31 | -5.00% | -0.16% | 62.85 | 1.75 | 10.49 |
| 15. | 2020/02/29 | 0.59% | -8.41% | 5.50 | 91.60 | 22.44 |
| 16. | 2020/03/31 | -21.16% | -12.51% | 580.53 | 186.92 | 329.41 |
| 17. | 2020/04/30 | 8.42% | 12.68% | 30.18 | 132.81 | 63.31 |
| 18. | 2020/05/31 | 13.53% | 4.53% | 112.27 | 11.35 | 35.69 |
| 19. | 2020/06/30 | 7.60% | 1.84% | 21.81 | 0.46 | 3.17 |
| 20. | 2020/07/31 | 6.42% | 5.51% | 12.16 | 18.92 | 15.17 |
| 21. | 2020/08/31 | -3.90% | 7.01% | 46.69 | 34.18 | -39.95 |
| 22. | 2020/09/30 | -3.49% | -3.92% | 41.23 | 25.83 | 32.64 |
| 23. | 2020/10/31 | -0.37% | -2.77% | 10.90 | 15.42 | 12.96 |
| 24. | 2020/11/30 | 39.63% | 10.75% | 1,346.46 | 92.06 | 352.07 |
| 25. | 2020/12/31 | 4.63% | 3.71% | 2.89 | 6.51 | 4.34 |
| 26. | 2021/01/31 | 12.03% | -1.11% | 82.75 | 5.17 | -20.68 |
| 27. | 2021/02/28 | 22.48% | 2.61% | 382.02 | 2.10 | 28.33 |
| 28. | 2021/03/31 | 13.04% | 4.24% | 102.16 | 9.51 | 31.17 |
| 29. | 2021/04/30 | -0.67% | 5.24% | 12.94 | 16.67 | -14.69 |
| 30. | 2021/05/31 | 4.26% | 0.55% | 1.78 | 0.37 | -0.82 |
| 31. | 2021/06/30 | 3.09% | 2.22% | 0.03 | 1.13 | 0.17 |
| 32. | 2021/07/31 | -1.73% | 2.27% | 21.77 | 1.24 | -5.20 |
| 33. | 2021/08/31 | -3.26% | 2.90% | 38.31 | 3.02 | -10.76 |
| 34. | 2021/09/30 | -4.74% | -4.76% | 58.79 | 35.01 | 45.37 |
| 35. | 2021/10/31 | 6.15% | 6.91% | 10.38 | 33.11 | 18.54 |
| 36. | 2021/11/30 | 7.89% | -0.83% | 24.58 | 3.97 | -9.88 |
| 37. | 2021/12/31 | 6.91% | 4.36% | 15.83 | 10.25 | 12.74 |
| 38. | 2022/01/31 | -12.19% | -5.26% | 228.60 | 41.20 | 97.04 |
| 39. | 2022/02/28 | -2.71% | -3.14% | 31.78 | 18.46 | 24.22 |
| 40. | 2022/03/31 | -1.79% | 3.58% | 22.27 | 5.84 | -11.41 |
| 41. | 2022/04/30 | -16.27% | -8.80% | 368.86 | 99.11 | 191.20 |
| 42. | 2022/05/31 | 6.52% | 0.01% | 12.91 | 1.33 | -4.15 |
| 43. | 2022/06/30 | -22.43% | -8.39% | 643.26 | 91.24 | 242.26 |
| 44. | 2022/07/31 | 16.49% | 9.11% | 183.77 | 63.23 | 107.80 |
| 45. | 2022/08/31 | -10.99% | -4.24% | 193.87 | 29.20 | 75.24 |
| 46. | 2022/09/30 | -12.91% | -9.34% | 250.79 | 110.24 | 166.27 |
| 47. | 2022/10/31 | 7.76% | 7.99% | 23.35 | 46.60 | 32.98 |
| 48. | 2022/11/30 | 24.43% | 5.38% | 462.24 | 17.77 | 90.63 |
| 49. | 2022/12/31 | -11.15% | -5.90% | 198.26 | 49.80 | 99.37 |
| 50. | 2023/01/31 | 14.49% | 6.18% | 133.60 | 25.15 | 57.97 |
| 51. | 2023/02/28 | 4.41% | -2.61% | 2.20 | 14.22 | -5.59 |
| 52. | 2023/03/31 | 5.75% | 3.51% | 7.95 | 5.50 | 6.61 |
| 53. | 2023/04/30 | -7.98% | 1.46% | 119.02 | 0.09 | -3.32 |
| 54. | 2023/05/31 | 18.22% | 0.25% | 233.64 | 0.83 | -13.94 |
| 55. | 2023/06/30 | 8.43% | 4.71% | 30.26 | 12.63 | 19.55 |
| 56. | 2023/07/31 | 4.88% | 4.85% | 3.79 | 13.59 | 7.18 |
| 57. | 2023/08/31 | 0.98% | -1.77% | 3.79 | 8.59 | 5.71 |
| 58. | 2023/09/30 | -9.37% | -4.87% | 151.26 | 36.38 | 74.18 |
| 59. | 2023/10/31 | -4.41% | -2.20% | 53.83 | 11.28 | 24.64 |
| 60. | 2023/11/30 | 13.41% | 8.92% | 109.84 | 60.19 | 81.31 |
| 61. | 2023/12/31 | 8.21% | 4.42% | 27.82 | 10.65 | 17.21 |
| 62. | 2024/01/31 | 1.38% | 1.59% | 2.42 | 0.18 | -0.67 |
| 63. | 2024/02/29 | 22.91% | 5.17% | 399.13 | 16.10 | 80.16 |
| 64. | 2024/03/31 | 2.29% | 3.10% | 0.42 | 3.77 | -1.25 |
| 65. | 2024/04/30 | -3.68% | -4.16% | 43.65 | 28.32 | 35.16 |
| 66. | 2024/05/31 | 8.47% | 4.80% | 30.70 | 13.27 | 20.18 |
| 67. | 2024/06/30 | 9.72% | 3.47% | 46.12 | 5.32 | 15.67 |
| 68. | 2024/07/31 | -10.08% | 1.13% | 169.31 | 0.00 | 0.36 |
| 69. | 2024/08/31 | -6.85% | 2.28% | 95.71 | 1.26 | -10.99 |
| 70. | 2024/09/30 | 2.43% | 2.02% | 0.25 | 0.74 | -0.43 |
| 71. | 2024/10/31 | -10.13% | -0.99% | 170.62 | 4.62 | 28.08 |
| トータル (Σ): | 8,586.82 | 1,859.93 | 2,971.58 | |||
すべて表示
分散AMAT = Σ(RAMAT,t–RAMAT)2 ÷ (71 – 1)
= 8,586.82 ÷ (71 – 1)
= 122.67
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,859.93 ÷ (71 – 1)
= 26.57
共 分散AMAT, S&P 500 = Σ(RAMAT,t–RAMAT)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,971.58 ÷ (71 – 1)
= 42.45
システマティックなリスク推定 (β)
| 分散AMAT | 122.67 |
| 分散S&P 500 | 26.57 |
| 共 分散AMAT, S&P 500 | 42.45 |
| 相関係数AMAT, S&P 5001 | 0.74 |
| βAMAT2 | 1.60 |
| αAMAT3 | 1.08% |
計算
1 相関係数AMAT, S&P 500
= 共 分散AMAT, S&P 500 ÷ (標準偏差AMAT × 標準偏差S&P 500)
= 42.45 ÷ (11.08% × 5.15%)
= 0.74
2 βAMAT
= 共 分散AMAT, S&P 500 ÷ 分散S&P 500
= 42.45 ÷ 26.57
= 1.60
3 αAMAT
= 平均AMAT – βAMAT × 平均S&P 500
= 2.93% – 1.60 × 1.16%
= 1.08%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.64% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.89% |
| 普通株式 Applied システマティックリスク | βAMAT | 1.60 |
| 応用普通株式の期待収益率3 | E(RAMAT) | 21.02% |
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(RAMAT) = RF + βAMAT [E(RM) – RF]
= 4.64% + 1.60 [14.89% – 4.64%]
= 21.02%