資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Autodesk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
Autodesk Inc.、月間収益率
| Autodesk Inc. (ADSK) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格ADSK,t1 | 配当ADSK,t1 | RADSK,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2018/02/28 | $117.47 | 2,713.83 | ||||
| 1. | 2018/03/31 | $125.58 | 6.90% | 2,640.87 | -2.69% | |
| 2. | 2018/04/30 | $125.90 | 0.25% | 2,648.05 | 0.27% | |
| 3. | 2018/05/31 | $129.10 | 2.54% | 2,705.27 | 2.16% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023/12/31 | $243.48 | 11.47% | 4,769.83 | 4.42% | |
| 71. | 2024/01/31 | $253.81 | 4.24% | 4,845.65 | 1.59% | |
| 平均 (R): | 1.60% | 0.95% | ||||
| 標準偏差： | 10.20% | 5.18% | ||||
| Autodesk Inc. (ADSK) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格ADSK,t1 | 配当ADSK,t1 | RADSK,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2018/02/28 | $117.47 | 2,713.83 | ||||
| 1. | 2018/03/31 | $125.58 | 6.90% | 2,640.87 | -2.69% | |
| 2. | 2018/04/30 | $125.90 | 0.25% | 2,648.05 | 0.27% | |
| 3. | 2018/05/31 | $129.10 | 2.54% | 2,705.27 | 2.16% | |
| 4. | 2018/06/30 | $131.09 | 1.54% | 2,718.37 | 0.48% | |
| 5. | 2018/07/31 | $128.44 | -2.02% | 2,816.29 | 3.60% | |
| 6. | 2018/08/31 | $154.35 | 20.17% | 2,901.52 | 3.03% | |
| 7. | 2018/09/30 | $156.11 | 1.14% | 2,913.98 | 0.43% | |
| 8. | 2018/10/31 | $129.25 | -17.21% | 2,711.74 | -6.94% | |
| 9. | 2018/11/30 | $144.50 | 11.80% | 2,760.17 | 1.79% | |
| 10. | 2018/12/31 | $128.61 | -11.00% | 2,506.85 | -9.18% | |
| 11. | 2019/01/31 | $147.20 | 14.45% | 2,704.10 | 7.87% | |
| 12. | 2019/02/28 | $163.01 | 10.74% | 2,784.49 | 2.97% | |
| 13. | 2019/03/31 | $155.82 | -4.41% | 2,834.40 | 1.79% | |
| 14. | 2019/04/30 | $178.21 | 14.37% | 2,945.83 | 3.93% | |
| 15. | 2019/05/31 | $160.91 | -9.71% | 2,752.06 | -6.58% | |
| 16. | 2019/06/30 | $162.90 | 1.24% | 2,941.76 | 6.89% | |
| 17. | 2019/07/31 | $156.17 | -4.13% | 2,980.38 | 1.31% | |
| 18. | 2019/08/31 | $142.82 | -8.55% | 2,926.46 | -1.81% | |
| 19. | 2019/09/30 | $147.70 | 3.42% | 2,976.74 | 1.72% | |
| 20. | 2019/10/31 | $147.36 | -0.23% | 3,037.56 | 2.04% | |
| 21. | 2019/11/30 | $180.90 | 22.76% | 3,140.98 | 3.40% | |
| 22. | 2019/12/31 | $183.46 | 1.42% | 3,230.78 | 2.86% | |
| 23. | 2020/01/31 | $196.85 | 7.30% | 3,225.52 | -0.16% | |
| 24. | 2020/02/29 | $190.88 | -3.03% | 2,954.22 | -8.41% | |
| 25. | 2020/03/31 | $156.10 | -18.22% | 2,584.59 | -12.51% | |
| 26. | 2020/04/30 | $187.13 | 19.88% | 2,912.43 | 12.68% | |
| 27. | 2020/05/31 | $210.38 | 12.42% | 3,044.31 | 4.53% | |
| 28. | 2020/06/30 | $239.19 | 13.69% | 3,100.29 | 1.84% | |
| 29. | 2020/07/31 | $236.43 | -1.15% | 3,271.12 | 5.51% | |
| 30. | 2020/08/31 | $245.70 | 3.92% | 3,500.31 | 7.01% | |
| 31. | 2020/09/30 | $231.01 | -5.98% | 3,363.00 | -3.92% | |
| 32. | 2020/10/31 | $235.54 | 1.96% | 3,269.96 | -2.77% | |
| 33. | 2020/11/30 | $280.23 | 18.97% | 3,621.63 | 10.75% | |
| 34. | 2020/12/31 | $305.34 | 8.96% | 3,756.07 | 3.71% | |
| 35. | 2021/01/31 | $277.43 | -9.14% | 3,714.24 | -1.11% | |
| 36. | 2021/02/28 | $276.00 | -0.52% | 3,811.15 | 2.61% | |
| 37. | 2021/03/31 | $277.15 | 0.42% | 3,972.89 | 4.24% | |
| 38. | 2021/04/30 | $291.91 | 5.33% | 4,181.17 | 5.24% | |
| 39. | 2021/05/31 | $285.86 | -2.07% | 4,204.11 | 0.55% | |
| 40. | 2021/06/30 | $291.90 | 2.11% | 4,297.50 | 2.22% | |
| 41. | 2021/07/31 | $321.13 | 10.01% | 4,395.26 | 2.27% | |
| 42. | 2021/08/31 | $310.09 | -3.44% | 4,522.68 | 2.90% | |
| 43. | 2021/09/30 | $285.17 | -8.04% | 4,307.54 | -4.76% | |
| 44. | 2021/10/31 | $317.61 | 11.38% | 4,605.38 | 6.91% | |
| 45. | 2021/11/30 | $254.19 | -19.97% | 4,567.00 | -0.83% | |
| 46. | 2021/12/31 | $281.19 | 10.62% | 4,766.18 | 4.36% | |
| 47. | 2022/01/31 | $249.79 | -11.17% | 4,515.55 | -5.26% | |
| 48. | 2022/02/28 | $220.23 | -11.83% | 4,373.94 | -3.14% | |
| 49. | 2022/03/31 | $214.35 | -2.67% | 4,530.41 | 3.58% | |
| 50. | 2022/04/30 | $189.28 | -11.70% | 4,131.93 | -8.80% | |
| 51. | 2022/05/31 | $207.75 | 9.76% | 4,132.15 | 0.01% | |
| 52. | 2022/06/30 | $171.96 | -17.23% | 3,785.38 | -8.39% | |
| 53. | 2022/07/31 | $216.32 | 25.80% | 4,130.29 | 9.11% | |
| 54. | 2022/08/31 | $201.74 | -6.74% | 3,955.00 | -4.24% | |
| 55. | 2022/09/30 | $186.80 | -7.41% | 3,585.62 | -9.34% | |
| 56. | 2022/10/31 | $214.30 | 14.72% | 3,871.98 | 7.99% | |
| 57. | 2022/11/30 | $201.95 | -5.76% | 4,080.11 | 5.38% | |
| 58. | 2022/12/31 | $186.87 | -7.47% | 3,839.50 | -5.90% | |
| 59. | 2023/01/31 | $215.16 | 15.14% | 4,076.60 | 6.18% | |
| 60. | 2023/02/28 | $198.69 | -7.65% | 3,970.15 | -2.61% | |
| 61. | 2023/03/31 | $208.16 | 4.77% | 4,109.31 | 3.51% | |
| 62. | 2023/04/30 | $194.79 | -6.42% | 4,169.48 | 1.46% | |
| 63. | 2023/05/31 | $199.39 | 2.36% | 4,179.83 | 0.25% | |
| 64. | 2023/06/30 | $204.61 | 2.62% | 4,376.86 | 4.71% | |
| 65. | 2023/07/31 | $211.99 | 3.61% | 4,588.96 | 4.85% | |
| 66. | 2023/08/31 | $221.94 | 4.69% | 4,507.66 | -1.77% | |
| 67. | 2023/09/30 | $206.91 | -6.77% | 4,288.05 | -4.87% | |
| 68. | 2023/10/31 | $197.63 | -4.49% | 4,193.80 | -2.20% | |
| 69. | 2023/11/30 | $218.43 | 10.52% | 4,567.80 | 8.92% | |
| 70. | 2023/12/31 | $243.48 | 11.47% | 4,769.83 | 4.42% | |
| 71. | 2024/01/31 | $253.81 | 4.24% | 4,845.65 | 1.59% | |
| 平均 (R): | 1.60% | 0.95% | ||||
| 標準偏差： | 10.20% | 5.18% | ||||
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ADSK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
Autodesk Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RADSK,t | RS&P 500,t | (RADSK,t–RADSK)2 | (RS&P 500,t–RS&P 500)2 | (RADSK,t–RADSK)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018/03/31 | 6.90% | -2.69% | 28.17 | 13.26 | -19.33 |
| 2. | 2018/04/30 | 0.25% | 0.27% | 1.80 | 0.46 | 0.91 |
| 3. | 2018/05/31 | 2.54% | 2.16% | 0.89 | 1.46 | 1.14 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023/12/31 | 11.47% | 4.42% | 97.46 | 12.04 | 34.26 |
| 71. | 2024/01/31 | 4.24% | 1.59% | 7.01 | 0.41 | 1.69 |
| トータル (Σ): | 7,276.57 | 1,876.53 | 2,770.40 | |||
| t | 日付 | RADSK,t | RS&P 500,t | (RADSK,t–RADSK)2 | (RS&P 500,t–RS&P 500)2 | (RADSK,t–RADSK)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018/03/31 | 6.90% | -2.69% | 28.17 | 13.26 | -19.33 |
| 2. | 2018/04/30 | 0.25% | 0.27% | 1.80 | 0.46 | 0.91 |
| 3. | 2018/05/31 | 2.54% | 2.16% | 0.89 | 1.46 | 1.14 |
| 4. | 2018/06/30 | 1.54% | 0.48% | 0.00 | 0.22 | 0.03 |
| 5. | 2018/07/31 | -2.02% | 3.60% | 13.09 | 7.02 | -9.58 |
| 6. | 2018/08/31 | 20.17% | 3.03% | 345.10 | 4.30 | 38.52 |
| 7. | 2018/09/30 | 1.14% | 0.43% | 0.21 | 0.27 | 0.24 |
| 8. | 2018/10/31 | -17.21% | -6.94% | 353.50 | 62.30 | 148.41 |
| 9. | 2018/11/30 | 11.80% | 1.79% | 104.10 | 0.69 | 8.50 |
| 10. | 2018/12/31 | -11.00% | -9.18% | 158.57 | 102.63 | 127.57 |
| 11. | 2019/01/31 | 14.45% | 7.87% | 165.35 | 47.82 | 88.92 |
| 12. | 2019/02/28 | 10.74% | 2.97% | 83.62 | 4.08 | 18.47 |
| 13. | 2019/03/31 | -4.41% | 1.79% | 36.08 | 0.70 | -5.04 |
| 14. | 2019/04/30 | 14.37% | 3.93% | 163.16 | 8.87 | 38.04 |
| 15. | 2019/05/31 | -9.71% | -6.58% | 127.77 | 56.71 | 85.12 |
| 16. | 2019/06/30 | 1.24% | 6.89% | 0.13 | 35.28 | -2.13 |
| 17. | 2019/07/31 | -4.13% | 1.31% | 32.80 | 0.13 | -2.06 |
| 18. | 2019/08/31 | -8.55% | -1.81% | 102.91 | 7.63 | 28.02 |
| 19. | 2019/09/30 | 3.42% | 1.72% | 3.32 | 0.59 | 1.39 |
| 20. | 2019/10/31 | -0.23% | 2.04% | 3.33 | 1.19 | -1.99 |
| 21. | 2019/11/30 | 22.76% | 3.40% | 447.94 | 6.01 | 51.89 |
| 22. | 2019/12/31 | 1.42% | 2.86% | 0.03 | 3.63 | -0.34 |
| 23. | 2020/01/31 | 7.30% | -0.16% | 32.52 | 1.24 | -6.36 |
| 24. | 2020/02/29 | -3.03% | -8.41% | 21.42 | 87.68 | 43.34 |
| 25. | 2020/03/31 | -18.22% | -12.51% | 392.70 | 181.30 | 266.83 |
| 26. | 2020/04/30 | 19.88% | 12.68% | 334.25 | 137.63 | 214.48 |
| 27. | 2020/05/31 | 12.42% | 4.53% | 117.26 | 12.78 | 38.72 |
| 28. | 2020/06/30 | 13.69% | 1.84% | 146.37 | 0.78 | 10.72 |
| 29. | 2020/07/31 | -1.15% | 5.51% | 7.56 | 20.77 | -12.53 |
| 30. | 2020/08/31 | 3.92% | 7.01% | 5.41 | 36.65 | 14.07 |
| 31. | 2020/09/30 | -5.98% | -3.92% | 57.38 | 23.77 | 36.93 |
| 32. | 2020/10/31 | 1.96% | -2.77% | 0.13 | 13.83 | -1.36 |
| 33. | 2020/11/30 | 18.97% | 10.75% | 301.98 | 96.07 | 170.33 |
| 34. | 2020/12/31 | 8.96% | 3.71% | 54.24 | 7.61 | 20.32 |
| 35. | 2021/01/31 | -9.14% | -1.11% | 115.27 | 4.27 | 22.19 |
| 36. | 2021/02/28 | -0.52% | 2.61% | 4.46 | 2.74 | -3.50 |
| 37. | 2021/03/31 | 0.42% | 4.24% | 1.39 | 10.83 | -3.88 |
| 38. | 2021/04/30 | 5.33% | 5.24% | 13.91 | 18.40 | 16.00 |
| 39. | 2021/05/31 | -2.07% | 0.55% | 13.46 | 0.16 | 1.48 |
| 40. | 2021/06/30 | 2.11% | 2.22% | 0.27 | 1.61 | 0.66 |
| 41. | 2021/07/31 | 10.01% | 2.27% | 70.86 | 1.75 | 11.13 |
| 42. | 2021/08/31 | -3.44% | 2.90% | 25.34 | 3.79 | -9.80 |
| 43. | 2021/09/30 | -8.04% | -4.76% | 92.78 | 32.60 | 55.00 |
| 44. | 2021/10/31 | 11.38% | 6.91% | 95.64 | 35.54 | 58.30 |
| 45. | 2021/11/30 | -19.97% | -0.83% | 465.00 | 3.19 | 38.52 |
| 46. | 2021/12/31 | 10.62% | 4.36% | 81.47 | 11.62 | 30.76 |
| 47. | 2022/01/31 | -11.17% | -5.26% | 162.89 | 38.58 | 79.27 |
| 48. | 2022/02/28 | -11.83% | -3.14% | 180.36 | 16.72 | 54.91 |
| 49. | 2022/03/31 | -2.67% | 3.58% | 18.20 | 6.89 | -11.20 |
| 50. | 2022/04/30 | -11.70% | -8.80% | 176.67 | 95.04 | 129.58 |
| 51. | 2022/05/31 | 9.76% | 0.01% | 66.62 | 0.90 | -7.73 |
| 52. | 2022/06/30 | -17.23% | -8.39% | 354.32 | 87.33 | 175.90 |
| 53. | 2022/07/31 | 25.80% | 9.11% | 585.68 | 66.56 | 197.45 |
| 54. | 2022/08/31 | -6.74% | -4.24% | 69.49 | 27.01 | 43.32 |
| 55. | 2022/09/30 | -7.41% | -9.34% | 81.03 | 105.94 | 92.65 |
| 56. | 2022/10/31 | 14.72% | 7.99% | 172.28 | 49.47 | 92.32 |
| 57. | 2022/11/30 | -5.76% | 5.38% | 54.15 | 19.56 | -32.54 |
| 58. | 2022/12/31 | -7.47% | -5.90% | 82.14 | 46.92 | 62.08 |
| 59. | 2023/01/31 | 15.14% | 6.18% | 183.41 | 27.27 | 70.73 |
| 60. | 2023/02/28 | -7.65% | -2.61% | 85.57 | 12.70 | 32.97 |
| 61. | 2023/03/31 | 4.77% | 3.51% | 10.05 | 6.51 | 8.09 |
| 62. | 2023/04/30 | -6.42% | 1.46% | 64.30 | 0.26 | -4.10 |
| 63. | 2023/05/31 | 2.36% | 0.25% | 0.59 | 0.50 | -0.54 |
| 64. | 2023/06/30 | 2.62% | 4.71% | 1.04 | 14.14 | 3.84 |
| 65. | 2023/07/31 | 3.61% | 4.85% | 4.04 | 15.16 | 7.83 |
| 66. | 2023/08/31 | 4.69% | -1.77% | 9.60 | 7.42 | -8.44 |
| 67. | 2023/09/30 | -6.77% | -4.87% | 70.02 | 33.93 | 48.74 |
| 68. | 2023/10/31 | -4.49% | -2.20% | 36.98 | 9.93 | 19.16 |
| 69. | 2023/11/30 | 10.52% | 8.92% | 79.72 | 63.44 | 71.12 |
| 70. | 2023/12/31 | 11.47% | 4.42% | 97.46 | 12.04 | 34.26 |
| 71. | 2024/01/31 | 4.24% | 1.59% | 7.01 | 0.41 | 1.69 |
| トータル (Σ): | 7,276.57 | 1,876.53 | 2,770.40 | |||
すべて表示
分散ADSK = Σ(RADSK,t–RADSK)2 ÷ (71 – 1)
= 7,276.57 ÷ (71 – 1)
= 103.95
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,876.53 ÷ (71 – 1)
= 26.81
共 分散ADSK, S&P 500 = Σ(RADSK,t–RADSK)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,770.40 ÷ (71 – 1)
= 39.58
システマティックなリスク推定 (β)
| 分散ADSK | 103.95 |
| 分散S&P 500 | 26.81 |
| 共 分散ADSK, S&P 500 | 39.58 |
| 相関係数ADSK, S&P 5001 | 0.75 |
| βADSK2 | 1.48 |
| αADSK3 | 0.19% |
計算
1 相関係数ADSK, S&P 500
= 共 分散ADSK, S&P 500 ÷ (標準偏差ADSK × 標準偏差S&P 500)
= 39.58 ÷ (10.20% × 5.18%)
= 0.75
2 βADSK
= 共 分散ADSK, S&P 500 ÷ 分散S&P 500
= 39.58 ÷ 26.81
= 1.48
3 αADSK
= 平均ADSK – βADSK × 平均S&P 500
= 1.60% – 1.48 × 0.95%
= 0.19%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.65% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 13.79% |
| 普通株式 Autodesk システマティックリスク | βADSK | 1.48 |
| オートデスクの普通株式の期待収益率3 | E(RADSK) | 18.14% |
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(RADSK) = RF + βADSK [E(RM) – RF]
= 4.65% + 1.48 [13.79% – 4.65%]
= 18.14%