資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Axon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
Axon Enterprise Inc.、月間収益率
| Axon Enterprise Inc. (AXON) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格AXON,t1 | 配当AXON,t1 | RAXON,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2018/01/31 | $26.46 | 2,823.81 | ||||
| 1. | 2018/02/28 | $34.83 | 31.63% | 2,713.83 | -3.89% | |
| 2. | 2018/03/31 | $39.31 | 12.86% | 2,640.87 | -2.69% | |
| 3. | 2018/04/30 | $41.98 | 6.79% | 2,648.05 | 0.27% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022/11/30 | $184.03 | 26.53% | 4,080.11 | 5.38% | |
| 59. | 2022/12/31 | $165.93 | -9.84% | 3,839.50 | -5.90% | |
| 平均 (R): | 4.21% | 0.67% | ||||
| 標準偏差： | 15.35% | 5.40% | ||||
| Axon Enterprise Inc. (AXON) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格AXON,t1 | 配当AXON,t1 | RAXON,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2018/01/31 | $26.46 | 2,823.81 | ||||
| 1. | 2018/02/28 | $34.83 | 31.63% | 2,713.83 | -3.89% | |
| 2. | 2018/03/31 | $39.31 | 12.86% | 2,640.87 | -2.69% | |
| 3. | 2018/04/30 | $41.98 | 6.79% | 2,648.05 | 0.27% | |
| 4. | 2018/05/31 | $63.68 | 51.69% | 2,705.27 | 2.16% | |
| 5. | 2018/06/30 | $63.18 | -0.79% | 2,718.37 | 0.48% | |
| 6. | 2018/07/31 | $67.93 | 7.52% | 2,816.29 | 3.60% | |
| 7. | 2018/08/31 | $68.26 | 0.49% | 2,901.52 | 3.03% | |
| 8. | 2018/09/30 | $68.43 | 0.25% | 2,913.98 | 0.43% | |
| 9. | 2018/10/31 | $61.72 | -9.81% | 2,711.74 | -6.94% | |
| 10. | 2018/11/30 | $43.47 | -29.57% | 2,760.17 | 1.79% | |
| 11. | 2018/12/31 | $43.75 | 0.64% | 2,506.85 | -9.18% | |
| 12. | 2019/01/31 | $51.01 | 16.59% | 2,704.10 | 7.87% | |
| 13. | 2019/02/28 | $53.83 | 5.53% | 2,784.49 | 2.97% | |
| 14. | 2019/03/31 | $54.41 | 1.08% | 2,834.40 | 1.79% | |
| 15. | 2019/04/30 | $63.50 | 16.71% | 2,945.83 | 3.93% | |
| 16. | 2019/05/31 | $66.78 | 5.17% | 2,752.06 | -6.58% | |
| 17. | 2019/06/30 | $64.21 | -3.85% | 2,941.76 | 6.89% | |
| 18. | 2019/07/31 | $70.22 | 9.36% | 2,980.38 | 1.31% | |
| 19. | 2019/08/31 | $59.97 | -14.60% | 2,926.46 | -1.81% | |
| 20. | 2019/09/30 | $56.78 | -5.32% | 2,976.74 | 1.72% | |
| 21. | 2019/10/31 | $51.13 | -9.95% | 3,037.56 | 2.04% | |
| 22. | 2019/11/30 | $73.80 | 44.34% | 3,140.98 | 3.40% | |
| 23. | 2019/12/31 | $73.28 | -0.70% | 3,230.78 | 2.86% | |
| 24. | 2020/01/31 | $76.81 | 4.82% | 3,225.52 | -0.16% | |
| 25. | 2020/02/29 | $77.37 | 0.73% | 2,954.22 | -8.41% | |
| 26. | 2020/03/31 | $70.77 | -8.53% | 2,584.59 | -12.51% | |
| 27. | 2020/04/30 | $72.71 | 2.74% | 2,912.43 | 12.68% | |
| 28. | 2020/05/31 | $75.96 | 4.47% | 3,044.31 | 4.53% | |
| 29. | 2020/06/30 | $98.13 | 29.19% | 3,100.29 | 1.84% | |
| 30. | 2020/07/31 | $83.13 | -15.29% | 3,271.12 | 5.51% | |
| 31. | 2020/08/31 | $85.68 | 3.07% | 3,500.31 | 7.01% | |
| 32. | 2020/09/30 | $90.70 | 5.86% | 3,363.00 | -3.92% | |
| 33. | 2020/10/31 | $98.90 | 9.04% | 3,269.96 | -2.77% | |
| 34. | 2020/11/30 | $125.69 | 27.09% | 3,621.63 | 10.75% | |
| 35. | 2020/12/31 | $122.53 | -2.51% | 3,756.07 | 3.71% | |
| 36. | 2021/01/31 | $164.16 | 33.98% | 3,714.24 | -1.11% | |
| 37. | 2021/02/28 | $165.49 | 0.81% | 3,811.15 | 2.61% | |
| 38. | 2021/03/31 | $142.42 | -13.94% | 3,972.89 | 4.24% | |
| 39. | 2021/04/30 | $151.61 | 6.45% | 4,181.17 | 5.24% | |
| 40. | 2021/05/31 | $140.59 | -7.27% | 4,204.11 | 0.55% | |
| 41. | 2021/06/30 | $176.80 | 25.76% | 4,297.50 | 2.22% | |
| 42. | 2021/07/31 | $186.02 | 5.21% | 4,395.26 | 2.27% | |
| 43. | 2021/08/31 | $181.87 | -2.23% | 4,522.68 | 2.90% | |
| 44. | 2021/09/30 | $175.02 | -3.77% | 4,307.54 | -4.76% | |
| 45. | 2021/10/31 | $179.96 | 2.82% | 4,605.38 | 6.91% | |
| 46. | 2021/11/30 | $168.79 | -6.21% | 4,567.00 | -0.83% | |
| 47. | 2021/12/31 | $157.00 | -6.99% | 4,766.18 | 4.36% | |
| 48. | 2022/01/31 | $139.93 | -10.87% | 4,515.55 | -5.26% | |
| 49. | 2022/02/28 | $140.25 | 0.23% | 4,373.94 | -3.14% | |
| 50. | 2022/03/31 | $137.73 | -1.80% | 4,530.41 | 3.58% | |
| 51. | 2022/04/30 | $112.20 | -18.54% | 4,131.93 | -8.80% | |
| 52. | 2022/05/31 | $101.36 | -9.66% | 4,132.15 | 0.01% | |
| 53. | 2022/06/30 | $93.17 | -8.08% | 3,785.38 | -8.39% | |
| 54. | 2022/07/31 | $110.19 | 18.27% | 4,130.29 | 9.11% | |
| 55. | 2022/08/31 | $116.68 | 5.89% | 3,955.00 | -4.24% | |
| 56. | 2022/09/30 | $115.75 | -0.80% | 3,585.62 | -9.34% | |
| 57. | 2022/10/31 | $145.44 | 25.65% | 3,871.98 | 7.99% | |
| 58. | 2022/11/30 | $184.03 | 26.53% | 4,080.11 | 5.38% | |
| 59. | 2022/12/31 | $165.93 | -9.84% | 3,839.50 | -5.90% | |
| 平均 (R): | 4.21% | 0.67% | ||||
| 標準偏差： | 15.35% | 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中のAXON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
Axon Enterprise Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RAXON,t | RS&P 500,t | (RAXON,t–RAXON)2 | (RS&P 500,t–RS&P 500)2 | (RAXON,t–RAXON)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018/02/28 | 31.63% | -3.89% | 752.03 | 20.81 | -125.09 |
| 2. | 2018/03/31 | 12.86% | -2.69% | 74.87 | 11.26 | -29.03 |
| 3. | 2018/04/30 | 6.79% | 0.27% | 6.67 | 0.16 | -1.02 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022/11/30 | 26.53% | 5.38% | 498.35 | 22.17 | 105.11 |
| 59. | 2022/12/31 | -9.84% | -5.90% | 197.26 | 43.08 | 92.19 |
| トータル (Σ): | 13,664.38 | 1,691.48 | 1,364.75 | |||
| t | 日付 | RAXON,t | RS&P 500,t | (RAXON,t–RAXON)2 | (RS&P 500,t–RS&P 500)2 | (RAXON,t–RAXON)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018/02/28 | 31.63% | -3.89% | 752.03 | 20.81 | -125.09 |
| 2. | 2018/03/31 | 12.86% | -2.69% | 74.87 | 11.26 | -29.03 |
| 3. | 2018/04/30 | 6.79% | 0.27% | 6.67 | 0.16 | -1.02 |
| 4. | 2018/05/31 | 51.69% | 2.16% | 2,254.52 | 2.23 | 70.95 |
| 5. | 2018/06/30 | -0.79% | 0.48% | 24.95 | 0.03 | 0.91 |
| 6. | 2018/07/31 | 7.52% | 3.60% | 10.95 | 8.62 | 9.71 |
| 7. | 2018/08/31 | 0.49% | 3.03% | 13.87 | 5.57 | -8.79 |
| 8. | 2018/09/30 | 0.25% | 0.43% | 15.68 | 0.06 | 0.94 |
| 9. | 2018/10/31 | -9.81% | -6.94% | 196.42 | 57.87 | 106.61 |
| 10. | 2018/11/30 | -29.57% | 1.79% | 1,140.98 | 1.25 | -37.81 |
| 11. | 2018/12/31 | 0.64% | -9.18% | 12.71 | 96.91 | 35.10 |
| 12. | 2019/01/31 | 16.59% | 7.87% | 153.38 | 51.87 | 89.19 |
| 13. | 2019/02/28 | 5.53% | 2.97% | 1.74 | 5.32 | 3.04 |
| 14. | 2019/03/31 | 1.08% | 1.79% | 9.81 | 1.27 | -3.53 |
| 15. | 2019/04/30 | 16.71% | 3.93% | 156.18 | 10.66 | 40.80 |
| 16. | 2019/05/31 | 5.17% | -6.58% | 0.91 | 52.48 | -6.92 |
| 17. | 2019/06/30 | -3.85% | 6.89% | 64.93 | 38.77 | -50.17 |
| 18. | 2019/07/31 | 9.36% | 1.31% | 26.53 | 0.42 | 3.33 |
| 19. | 2019/08/31 | -14.60% | -1.81% | 353.68 | 6.13 | 46.56 |
| 20. | 2019/09/30 | -5.32% | 1.72% | 90.80 | 1.11 | -10.02 |
| 21. | 2019/10/31 | -9.95% | 2.04% | 200.51 | 1.89 | -19.49 |
| 22. | 2019/11/30 | 44.34% | 3.40% | 1,610.30 | 7.50 | 109.87 |
| 23. | 2019/12/31 | -0.70% | 2.86% | 24.15 | 4.81 | -10.77 |
| 24. | 2020/01/31 | 4.82% | -0.16% | 0.37 | 0.69 | -0.50 |
| 25. | 2020/02/29 | 0.73% | -8.41% | 12.11 | 82.40 | 31.59 |
| 26. | 2020/03/31 | -8.53% | -12.51% | 162.30 | 173.67 | 167.89 |
| 27. | 2020/04/30 | 2.74% | 12.68% | 2.16 | 144.43 | -17.64 |
| 28. | 2020/05/31 | 4.47% | 4.53% | 0.07 | 14.91 | 1.01 |
| 29. | 2020/06/30 | 29.19% | 1.84% | 623.85 | 1.37 | 29.28 |
| 30. | 2020/07/31 | -15.29% | 5.51% | 380.07 | 23.46 | -94.43 |
| 31. | 2020/08/31 | 3.07% | 7.01% | 1.30 | 40.19 | -7.24 |
| 32. | 2020/09/30 | 5.86% | -3.92% | 2.72 | 21.06 | -7.57 |
| 33. | 2020/10/31 | 9.04% | -2.77% | 23.34 | 11.79 | -16.59 |
| 34. | 2020/11/30 | 27.09% | 10.75% | 523.43 | 101.77 | 230.80 |
| 35. | 2020/12/31 | -2.51% | 3.71% | 45.21 | 9.28 | -20.48 |
| 36. | 2021/01/31 | 33.98% | -1.11% | 886.01 | 3.17 | -52.99 |
| 37. | 2021/02/28 | 0.81% | 2.61% | 11.55 | 3.77 | -6.60 |
| 38. | 2021/03/31 | -13.94% | 4.24% | 329.42 | 12.80 | -64.93 |
| 39. | 2021/04/30 | 6.45% | 5.24% | 5.03 | 20.94 | 10.27 |
| 40. | 2021/05/31 | -7.27% | 0.55% | 131.75 | 0.01 | 1.35 |
| 41. | 2021/06/30 | 25.76% | 2.22% | 464.24 | 2.42 | 33.50 |
| 42. | 2021/07/31 | 5.21% | 2.27% | 1.01 | 2.59 | 1.62 |
| 43. | 2021/08/31 | -2.23% | 2.90% | 41.48 | 4.98 | -14.38 |
| 44. | 2021/09/30 | -3.77% | -4.76% | 63.61 | 29.42 | 43.26 |
| 45. | 2021/10/31 | 2.82% | 6.91% | 1.92 | 39.03 | -8.67 |
| 46. | 2021/11/30 | -6.21% | -0.83% | 108.50 | 2.25 | 15.62 |
| 47. | 2021/12/31 | -6.99% | 4.36% | 125.32 | 13.65 | -41.36 |
| 48. | 2022/01/31 | -10.87% | -5.26% | 227.47 | 35.11 | 89.36 |
| 49. | 2022/02/28 | 0.23% | -3.14% | 15.85 | 14.46 | 15.14 |
| 50. | 2022/03/31 | -1.80% | 3.58% | 36.07 | 8.47 | -17.48 |
| 51. | 2022/04/30 | -18.54% | -8.80% | 517.37 | 89.54 | 215.23 |
| 52. | 2022/05/31 | -9.66% | 0.01% | 192.40 | 0.44 | 9.17 |
| 53. | 2022/06/30 | -8.08% | -8.39% | 151.03 | 82.06 | 111.33 |
| 54. | 2022/07/31 | 18.27% | 9.11% | 197.63 | 71.32 | 118.72 |
| 55. | 2022/08/31 | 5.89% | -4.24% | 2.82 | 24.11 | -8.25 |
| 56. | 2022/09/30 | -0.80% | -9.34% | 25.07 | 100.12 | 50.10 |
| 57. | 2022/10/31 | 25.65% | 7.99% | 459.70 | 53.58 | 156.94 |
| 58. | 2022/11/30 | 26.53% | 5.38% | 498.35 | 22.17 | 105.11 |
| 59. | 2022/12/31 | -9.84% | -5.90% | 197.26 | 43.08 | 92.19 |
| トータル (Σ): | 13,664.38 | 1,691.48 | 1,364.75 | |||
すべて表示
分散AXON = Σ(RAXON,t–RAXON)2 ÷ (59 – 1)
= 13,664.38 ÷ (59 – 1)
= 235.59
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AXON, S&P 500 = Σ(RAXON,t–RAXON)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,364.75 ÷ (59 – 1)
= 23.53
システマティックなリスク推定 (β)
| 分散AXON | 235.59 |
| 分散S&P 500 | 29.16 |
| 共 分散AXON, S&P 500 | 23.53 |
| 相関係数AXON, S&P 5001 | 0.28 |
| βAXON2 | 0.81 |
| αAXON3 | 3.67% |
計算
1 相関係数AXON, S&P 500
= 共 分散AXON, S&P 500 ÷ (標準偏差AXON × 標準偏差S&P 500)
= 23.53 ÷ (15.35% × 5.40%)
= 0.28
2 βAXON
= 共 分散AXON, S&P 500 ÷ 分散S&P 500
= 23.53 ÷ 29.16
= 0.81
3 αAXON
= 平均AXON – βAXON × 平均S&P 500
= 4.21% – 0.81 × 0.67%
= 3.67%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.76% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.88% |
| 普通株式 Axon システマティックリスク | βAXON | 0.81 |
| Axon普通株式の期待収益率3 | E(RAXON) | 12.92% |
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(RAXON) = RF + βAXON [E(RM) – RF]
= 4.76% + 0.81 [14.88% – 4.76%]
= 12.92%