資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Cadence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
Cadence Design Systems Inc.、月間収益率
| Cadence Design Systems Inc. (CDNS) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格CDNS,t1 | 配当CDNS,t1 | RCDNS,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2021/01/31 | $130.39 | 3,714.24 | ||||
| 1. | 2021/02/28 | $141.09 | 8.21% | 3,811.15 | 2.61% | |
| 2. | 2021/03/31 | $136.99 | -2.91% | 3,972.89 | 4.24% | |
| 3. | 2021/04/30 | $131.77 | -3.81% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025/11/30 | $311.84 | -7.93% | 6,849.09 | 0.13% | |
| 59. | 2025/12/31 | $312.58 | 0.24% | 6,845.50 | -0.05% | |
| 平均 (R): | 1.83% | 1.14% | ||||
| 標準偏差： | 8.40% | 4.37% | ||||
| Cadence Design Systems Inc. (CDNS) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格CDNS,t1 | 配当CDNS,t1 | RCDNS,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2021/01/31 | $130.39 | 3,714.24 | ||||
| 1. | 2021/02/28 | $141.09 | 8.21% | 3,811.15 | 2.61% | |
| 2. | 2021/03/31 | $136.99 | -2.91% | 3,972.89 | 4.24% | |
| 3. | 2021/04/30 | $131.77 | -3.81% | 4,181.17 | 5.24% | |
| 4. | 2021/05/31 | $126.99 | -3.63% | 4,204.11 | 0.55% | |
| 5. | 2021/06/30 | $136.82 | 7.74% | 4,297.50 | 2.22% | |
| 6. | 2021/07/31 | $147.65 | 7.92% | 4,395.26 | 2.27% | |
| 7. | 2021/08/31 | $163.48 | 10.72% | 4,522.68 | 2.90% | |
| 8. | 2021/09/30 | $151.44 | -7.36% | 4,307.54 | -4.76% | |
| 9. | 2021/10/31 | $173.11 | 14.31% | 4,605.38 | 6.91% | |
| 10. | 2021/11/30 | $177.46 | 2.51% | 4,567.00 | -0.83% | |
| 11. | 2021/12/31 | $186.35 | 5.01% | 4,766.18 | 4.36% | |
| 12. | 2022/01/31 | $152.14 | -18.36% | 4,515.55 | -5.26% | |
| 13. | 2022/02/28 | $151.43 | -0.47% | 4,373.94 | -3.14% | |
| 14. | 2022/03/31 | $164.46 | 8.60% | 4,530.41 | 3.58% | |
| 15. | 2022/04/30 | $150.85 | -8.28% | 4,131.93 | -8.80% | |
| 16. | 2022/05/31 | $153.73 | 1.91% | 4,132.15 | 0.01% | |
| 17. | 2022/06/30 | $150.03 | -2.41% | 3,785.38 | -8.39% | |
| 18. | 2022/07/31 | $186.08 | 24.03% | 4,130.29 | 9.11% | |
| 19. | 2022/08/31 | $173.77 | -6.62% | 3,955.00 | -4.24% | |
| 20. | 2022/09/30 | $163.43 | -5.95% | 3,585.62 | -9.34% | |
| 21. | 2022/10/31 | $151.39 | -7.37% | 3,871.98 | 7.99% | |
| 22. | 2022/11/30 | $172.04 | 13.64% | 4,080.11 | 5.38% | |
| 23. | 2022/12/31 | $160.64 | -6.63% | 3,839.50 | -5.90% | |
| 24. | 2023/01/31 | $182.83 | 13.81% | 4,076.60 | 6.18% | |
| 25. | 2023/02/28 | $192.94 | 5.53% | 3,970.15 | -2.61% | |
| 26. | 2023/03/31 | $210.09 | 8.89% | 4,109.31 | 3.51% | |
| 27. | 2023/04/30 | $209.45 | -0.30% | 4,169.48 | 1.46% | |
| 28. | 2023/05/31 | $230.91 | 10.25% | 4,179.83 | 0.25% | |
| 29. | 2023/06/30 | $234.52 | 1.56% | 4,376.86 | 4.71% | |
| 30. | 2023/07/31 | $234.01 | -0.22% | 4,588.96 | 4.85% | |
| 31. | 2023/08/31 | $240.44 | 2.75% | 4,507.66 | -1.77% | |
| 32. | 2023/09/30 | $234.30 | -2.55% | 4,288.05 | -4.87% | |
| 33. | 2023/10/31 | $239.85 | 2.37% | 4,193.80 | -2.20% | |
| 34. | 2023/11/30 | $273.27 | 13.93% | 4,567.80 | 8.92% | |
| 35. | 2023/12/31 | $272.37 | -0.33% | 4,769.83 | 4.42% | |
| 36. | 2024/01/31 | $288.46 | 5.91% | 4,845.65 | 1.59% | |
| 37. | 2024/02/29 | $304.38 | 5.52% | 5,096.27 | 5.17% | |
| 38. | 2024/03/31 | $311.28 | 2.27% | 5,254.35 | 3.10% | |
| 39. | 2024/04/30 | $275.63 | -11.45% | 5,035.69 | -4.16% | |
| 40. | 2024/05/31 | $286.31 | 3.87% | 5,277.51 | 4.80% | |
| 41. | 2024/06/30 | $307.75 | 7.49% | 5,460.48 | 3.47% | |
| 42. | 2024/07/31 | $267.66 | -13.03% | 5,522.30 | 1.13% | |
| 43. | 2024/08/31 | $268.93 | 0.47% | 5,648.40 | 2.28% | |
| 44. | 2024/09/30 | $271.03 | 0.78% | 5,762.48 | 2.02% | |
| 45. | 2024/10/31 | $276.12 | 1.88% | 5,705.45 | -0.99% | |
| 46. | 2024/11/30 | $306.81 | 11.11% | 6,032.38 | 5.73% | |
| 47. | 2024/12/31 | $300.46 | -2.07% | 5,881.63 | -2.50% | |
| 48. | 2025/01/31 | $297.62 | -0.95% | 6,040.53 | 2.70% | |
| 49. | 2025/02/28 | $250.50 | -15.83% | 5,954.50 | -1.42% | |
| 50. | 2025/03/31 | $254.33 | 1.53% | 5,611.85 | -5.75% | |
| 51. | 2025/04/30 | $297.74 | 17.07% | 5,569.06 | -0.76% | |
| 52. | 2025/05/31 | $287.07 | -3.58% | 5,911.69 | 6.15% | |
| 53. | 2025/06/30 | $308.15 | 7.34% | 6,204.95 | 4.96% | |
| 54. | 2025/07/31 | $364.57 | 18.31% | 6,339.39 | 2.17% | |
| 55. | 2025/08/31 | $350.43 | -3.88% | 6,460.26 | 1.91% | |
| 56. | 2025/09/30 | $351.26 | 0.24% | 6,688.46 | 3.53% | |
| 57. | 2025/10/31 | $338.69 | -3.58% | 6,840.20 | 2.27% | |
| 58. | 2025/11/30 | $311.84 | -7.93% | 6,849.09 | 0.13% | |
| 59. | 2025/12/31 | $312.58 | 0.24% | 6,845.50 | -0.05% | |
| 平均 (R): | 1.83% | 1.14% | ||||
| 標準偏差： | 8.40% | 4.37% | ||||
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CDNS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
Cadence Design Systems Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RCDNS,t | RS&P 500,t | (RCDNS,t–RCDNS)2 | (RS&P 500,t–RS&P 500)2 | (RCDNS,t–RCDNS)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021/02/28 | 8.21% | 2.61% | 40.60 | 2.17 | 9.39 |
| 2. | 2021/03/31 | -2.91% | 4.24% | 22.47 | 9.66 | -14.73 |
| 3. | 2021/04/30 | -3.81% | 5.24% | 31.87 | 16.86 | -23.18 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025/11/30 | -7.93% | 0.13% | 95.30 | 1.01 | 9.82 |
| 59. | 2025/12/31 | 0.24% | -0.05% | 2.55 | 1.41 | 1.90 |
| トータル (Σ): | 4,097.34 | 1,108.23 | 1,126.30 | |||
| t | 日付 | RCDNS,t | RS&P 500,t | (RCDNS,t–RCDNS)2 | (RS&P 500,t–RS&P 500)2 | (RCDNS,t–RCDNS)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021/02/28 | 8.21% | 2.61% | 40.60 | 2.17 | 9.39 |
| 2. | 2021/03/31 | -2.91% | 4.24% | 22.47 | 9.66 | -14.73 |
| 3. | 2021/04/30 | -3.81% | 5.24% | 31.87 | 16.86 | -23.18 |
| 4. | 2021/05/31 | -3.63% | 0.55% | 29.84 | 0.35 | 3.21 |
| 5. | 2021/06/30 | 7.74% | 2.22% | 34.88 | 1.18 | 6.41 |
| 6. | 2021/07/31 | 7.92% | 2.27% | 36.98 | 1.30 | 6.92 |
| 7. | 2021/08/31 | 10.72% | 2.90% | 78.97 | 3.11 | 15.67 |
| 8. | 2021/09/30 | -7.36% | -4.76% | 84.63 | 34.73 | 54.21 |
| 9. | 2021/10/31 | 14.31% | 6.91% | 155.62 | 33.39 | 72.08 |
| 10. | 2021/11/30 | 2.51% | -0.83% | 0.46 | 3.88 | -1.34 |
| 11. | 2021/12/31 | 5.01% | 4.36% | 10.08 | 10.40 | 10.24 |
| 12. | 2022/01/31 | -18.36% | -5.26% | 407.74 | 40.89 | 129.12 |
| 13. | 2022/02/28 | -0.47% | -3.14% | 5.30 | 18.25 | 9.83 |
| 14. | 2022/03/31 | 8.60% | 3.58% | 45.83 | 5.96 | 16.53 |
| 15. | 2022/04/30 | -8.28% | -8.80% | 102.22 | 98.64 | 100.41 |
| 16. | 2022/05/31 | 1.91% | 0.01% | 0.01 | 1.28 | -0.08 |
| 17. | 2022/06/30 | -2.41% | -8.39% | 17.99 | 90.79 | 40.41 |
| 18. | 2022/07/31 | 24.03% | 9.11% | 492.57 | 63.61 | 177.01 |
| 19. | 2022/08/31 | -6.62% | -4.24% | 71.40 | 28.95 | 45.46 |
| 20. | 2022/09/30 | -5.95% | -9.34% | 60.61 | 109.74 | 81.55 |
| 21. | 2022/10/31 | -7.37% | 7.99% | 84.67 | 46.93 | -63.03 |
| 22. | 2022/11/30 | 13.64% | 5.38% | 139.37 | 17.97 | 50.05 |
| 23. | 2022/12/31 | -6.63% | -5.90% | 71.59 | 49.47 | 59.51 |
| 24. | 2023/01/31 | 13.81% | 6.18% | 143.49 | 25.39 | 60.36 |
| 25. | 2023/02/28 | 5.53% | -2.61% | 13.65 | 14.04 | -13.85 |
| 26. | 2023/03/31 | 8.89% | 3.51% | 49.76 | 5.61 | 16.71 |
| 27. | 2023/04/30 | -0.30% | 1.46% | 4.58 | 0.11 | -0.70 |
| 28. | 2023/05/31 | 10.25% | 0.25% | 70.75 | 0.79 | -7.47 |
| 29. | 2023/06/30 | 1.56% | 4.71% | 0.07 | 12.80 | -0.97 |
| 30. | 2023/07/31 | -0.22% | 4.85% | 4.21 | 13.76 | -7.61 |
| 31. | 2023/08/31 | 2.75% | -1.77% | 0.83 | 8.46 | -2.66 |
| 32. | 2023/09/30 | -2.55% | -4.87% | 19.26 | 36.10 | 26.37 |
| 33. | 2023/10/31 | 2.37% | -2.20% | 0.29 | 11.12 | -1.78 |
| 34. | 2023/11/30 | 13.93% | 8.92% | 146.39 | 60.56 | 94.15 |
| 35. | 2023/12/31 | -0.33% | 4.42% | 4.68 | 10.80 | -7.11 |
| 36. | 2024/01/31 | 5.91% | 1.59% | 16.59 | 0.21 | 1.85 |
| 37. | 2024/02/29 | 5.52% | 5.17% | 13.57 | 16.29 | 14.87 |
| 38. | 2024/03/31 | 2.27% | 3.10% | 0.19 | 3.86 | 0.85 |
| 39. | 2024/04/30 | -11.45% | -4.16% | 176.55 | 28.06 | 70.39 |
| 40. | 2024/05/31 | 3.87% | 4.80% | 4.16 | 13.44 | 7.48 |
| 41. | 2024/06/30 | 7.49% | 3.47% | 31.97 | 5.43 | 13.18 |
| 42. | 2024/07/31 | -13.03% | 1.13% | 220.86 | 0.00 | 0.06 |
| 43. | 2024/08/31 | 0.47% | 2.28% | 1.85 | 1.32 | -1.56 |
| 44. | 2024/09/30 | 0.78% | 2.02% | 1.11 | 0.78 | -0.93 |
| 45. | 2024/10/31 | 1.88% | -0.99% | 0.00 | 4.52 | -0.09 |
| 46. | 2024/11/30 | 11.11% | 5.73% | 86.12 | 21.10 | 42.63 |
| 47. | 2024/12/31 | -2.07% | -2.50% | 15.24 | 13.21 | 14.19 |
| 48. | 2025/01/31 | -0.95% | 2.70% | 7.73 | 2.45 | -4.35 |
| 49. | 2025/02/28 | -15.83% | -1.42% | 312.12 | 6.56 | 45.23 |
| 50. | 2025/03/31 | 1.53% | -5.75% | 0.09 | 47.48 | 2.11 |
| 51. | 2025/04/30 | 17.07% | -0.76% | 232.07 | 3.60 | -28.92 |
| 52. | 2025/05/31 | -3.58% | 6.15% | 29.36 | 25.16 | -27.18 |
| 53. | 2025/06/30 | 7.34% | 4.96% | 30.34 | 14.63 | 21.07 |
| 54. | 2025/07/31 | 18.31% | 2.17% | 271.41 | 1.06 | 16.98 |
| 55. | 2025/08/31 | -3.88% | 1.91% | 32.64 | 0.59 | -4.40 |
| 56. | 2025/09/30 | 0.24% | 3.53% | 2.55 | 5.74 | -3.83 |
| 57. | 2025/10/31 | -3.58% | 2.27% | 29.30 | 1.28 | -6.13 |
| 58. | 2025/11/30 | -7.93% | 0.13% | 95.30 | 1.01 | 9.82 |
| 59. | 2025/12/31 | 0.24% | -0.05% | 2.55 | 1.41 | 1.90 |
| トータル (Σ): | 4,097.34 | 1,108.23 | 1,126.30 | |||
すべて表示
分散CDNS = Σ(RCDNS,t–RCDNS)2 ÷ (59 – 1)
= 4,097.34 ÷ (59 – 1)
= 70.64
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
共 分散CDNS, S&P 500 = Σ(RCDNS,t–RCDNS)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,126.30 ÷ (59 – 1)
= 19.42
システマティックなリスク推定 (β)
| 分散CDNS | 70.64 |
| 分散S&P 500 | 19.11 |
| 共 分散CDNS, S&P 500 | 19.42 |
| 相関係数CDNS, S&P 5001 | 0.53 |
| βCDNS2 | 1.02 |
| αCDNS3 | 0.68% |
計算
1 相関係数CDNS, S&P 500
= 共 分散CDNS, S&P 500 ÷ (標準偏差CDNS × 標準偏差S&P 500)
= 19.42 ÷ (8.40% × 4.37%)
= 0.53
2 βCDNS
= 共 分散CDNS, S&P 500 ÷ 分散S&P 500
= 19.42 ÷ 19.11
= 1.02
3 αCDNS
= 平均CDNS – βCDNS × 平均S&P 500
= 1.83% – 1.02 × 1.14%
= 0.68%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.54% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 17.37% |
| 普通株式 Cadence システマティックリスク | βCDNS | 1.02 |
| ケイデンスの普通株式の期待収益率3 | E(RCDNS) | 17.58% |
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(RCDNS) = RF + βCDNS [E(RM) – RF]
= 4.54% + 1.02 [17.37% – 4.54%]
= 17.58%