資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、普通株式 Datadogのようなリスク資産の予想または必要な収益率を示します。
収益率
Datadog Inc.、月間収益率
| Datadog Inc. (DDOG) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格DDOG,t1 | 配当DDOG,t1 | RDDOG,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2020/01/31 | $46.21 | 3,225.52 | ||||
| 1. | 2020/02/29 | $45.15 | -2.29% | 2,954.22 | -8.41% | |
| 2. | 2020/03/31 | $35.98 | -20.31% | 2,584.59 | -12.51% | |
| 3. | 2020/04/30 | $45.12 | 25.40% | 2,912.43 | 12.68% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024/11/30 | $152.75 | 21.77% | 6,032.38 | 5.73% | |
| 59. | 2024/12/31 | $142.89 | -6.45% | 5,881.63 | -2.50% | |
| 平均 (R): | 3.01% | 1.16% | ||||
| 標準偏差： | 15.64% | 5.28% | ||||
| Datadog Inc. (DDOG) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格DDOG,t1 | 配当DDOG,t1 | RDDOG,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2020/01/31 | $46.21 | 3,225.52 | ||||
| 1. | 2020/02/29 | $45.15 | -2.29% | 2,954.22 | -8.41% | |
| 2. | 2020/03/31 | $35.98 | -20.31% | 2,584.59 | -12.51% | |
| 3. | 2020/04/30 | $45.12 | 25.40% | 2,912.43 | 12.68% | |
| 4. | 2020/05/31 | $71.27 | 57.96% | 3,044.31 | 4.53% | |
| 5. | 2020/06/30 | $86.95 | 22.00% | 3,100.29 | 1.84% | |
| 6. | 2020/07/31 | $93.86 | 7.95% | 3,271.12 | 5.51% | |
| 7. | 2020/08/31 | $83.55 | -10.98% | 3,500.31 | 7.01% | |
| 8. | 2020/09/30 | $102.16 | 22.27% | 3,363.00 | -3.92% | |
| 9. | 2020/10/31 | $90.75 | -11.17% | 3,269.96 | -2.77% | |
| 10. | 2020/11/30 | $98.92 | 9.00% | 3,621.63 | 10.75% | |
| 11. | 2020/12/31 | $98.44 | -0.49% | 3,756.07 | 3.71% | |
| 12. | 2021/01/31 | $102.75 | 4.38% | 3,714.24 | -1.11% | |
| 13. | 2021/02/28 | $95.41 | -7.14% | 3,811.15 | 2.61% | |
| 14. | 2021/03/31 | $83.34 | -12.65% | 3,972.89 | 4.24% | |
| 15. | 2021/04/30 | $85.77 | 2.92% | 4,181.17 | 5.24% | |
| 16. | 2021/05/31 | $91.05 | 6.16% | 4,204.11 | 0.55% | |
| 17. | 2021/06/30 | $104.08 | 14.31% | 4,297.50 | 2.22% | |
| 18. | 2021/07/31 | $110.70 | 6.36% | 4,395.26 | 2.27% | |
| 19. | 2021/08/31 | $137.80 | 24.48% | 4,522.68 | 2.90% | |
| 20. | 2021/09/30 | $141.35 | 2.58% | 4,307.54 | -4.76% | |
| 21. | 2021/10/31 | $167.05 | 18.18% | 4,605.38 | 6.91% | |
| 22. | 2021/11/30 | $178.29 | 6.73% | 4,567.00 | -0.83% | |
| 23. | 2021/12/31 | $178.11 | -0.10% | 4,766.18 | 4.36% | |
| 24. | 2022/01/31 | $146.11 | -17.97% | 4,515.55 | -5.26% | |
| 25. | 2022/02/28 | $161.11 | 10.27% | 4,373.94 | -3.14% | |
| 26. | 2022/03/31 | $151.47 | -5.98% | 4,530.41 | 3.58% | |
| 27. | 2022/04/30 | $120.78 | -20.26% | 4,131.93 | -8.80% | |
| 28. | 2022/05/31 | $95.39 | -21.02% | 4,132.15 | 0.01% | |
| 29. | 2022/06/30 | $95.24 | -0.16% | 3,785.38 | -8.39% | |
| 30. | 2022/07/31 | $102.01 | 7.11% | 4,130.29 | 9.11% | |
| 31. | 2022/08/31 | $104.95 | 2.88% | 3,955.00 | -4.24% | |
| 32. | 2022/09/30 | $88.78 | -15.41% | 3,585.62 | -9.34% | |
| 33. | 2022/10/31 | $80.51 | -9.32% | 3,871.98 | 7.99% | |
| 34. | 2022/11/30 | $75.78 | -5.88% | 4,080.11 | 5.38% | |
| 35. | 2022/12/31 | $73.50 | -3.01% | 3,839.50 | -5.90% | |
| 36. | 2023/01/31 | $74.81 | 1.78% | 4,076.60 | 6.18% | |
| 37. | 2023/02/28 | $76.52 | 2.29% | 3,970.15 | -2.61% | |
| 38. | 2023/03/31 | $72.66 | -5.04% | 4,109.31 | 3.51% | |
| 39. | 2023/04/30 | $67.38 | -7.27% | 4,169.48 | 1.46% | |
| 40. | 2023/05/31 | $94.91 | 40.86% | 4,179.83 | 0.25% | |
| 41. | 2023/06/30 | $98.38 | 3.66% | 4,376.86 | 4.71% | |
| 42. | 2023/07/31 | $116.72 | 18.64% | 4,588.96 | 4.85% | |
| 43. | 2023/08/31 | $96.48 | -17.34% | 4,507.66 | -1.77% | |
| 44. | 2023/09/30 | $91.09 | -5.59% | 4,288.05 | -4.87% | |
| 45. | 2023/10/31 | $81.47 | -10.56% | 4,193.80 | -2.20% | |
| 46. | 2023/11/30 | $116.57 | 43.08% | 4,567.80 | 8.92% | |
| 47. | 2023/12/31 | $121.38 | 4.13% | 4,769.83 | 4.42% | |
| 48. | 2024/01/31 | $124.44 | 2.52% | 4,845.65 | 1.59% | |
| 49. | 2024/02/29 | $131.46 | 5.64% | 5,096.27 | 5.17% | |
| 50. | 2024/03/31 | $123.60 | -5.98% | 5,254.35 | 3.10% | |
| 51. | 2024/04/30 | $125.50 | 1.54% | 5,035.69 | -4.16% | |
| 52. | 2024/05/31 | $110.18 | -12.21% | 5,277.51 | 4.80% | |
| 53. | 2024/06/30 | $129.69 | 17.71% | 5,460.48 | 3.47% | |
| 54. | 2024/07/31 | $116.44 | -10.22% | 5,522.30 | 1.13% | |
| 55. | 2024/08/31 | $116.26 | -0.15% | 5,648.40 | 2.28% | |
| 56. | 2024/09/30 | $115.06 | -1.03% | 5,762.48 | 2.02% | |
| 57. | 2024/10/31 | $125.44 | 9.02% | 5,705.45 | -0.99% | |
| 58. | 2024/11/30 | $152.75 | 21.77% | 6,032.38 | 5.73% | |
| 59. | 2024/12/31 | $142.89 | -6.45% | 5,881.63 | -2.50% | |
| 平均 (R): | 3.01% | 1.16% | ||||
| 標準偏差： | 15.64% | 5.28% | ||||
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DDOG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
Datadog Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RDDOG,t | RS&P 500,t | (RDDOG,t–RDDOG)2 | (RS&P 500,t–RS&P 500)2 | (RDDOG,t–RDDOG)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020/02/29 | -2.29% | -8.41% | 28.13 | 91.63 | 50.77 |
| 2. | 2020/03/31 | -20.31% | -12.51% | 543.82 | 186.96 | 318.86 |
| 3. | 2020/04/30 | 25.40% | 12.68% | 501.45 | 132.78 | 258.04 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024/11/30 | 21.77% | 5.73% | 351.99 | 20.87 | 85.72 |
| 59. | 2024/12/31 | -6.45% | -2.50% | 89.58 | 13.40 | 34.64 |
| トータル (Σ): | 14,179.16 | 1,618.62 | 1,899.29 | |||
| t | 日付 | RDDOG,t | RS&P 500,t | (RDDOG,t–RDDOG)2 | (RS&P 500,t–RS&P 500)2 | (RDDOG,t–RDDOG)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020/02/29 | -2.29% | -8.41% | 28.13 | 91.63 | 50.77 |
| 2. | 2020/03/31 | -20.31% | -12.51% | 543.82 | 186.96 | 318.86 |
| 3. | 2020/04/30 | 25.40% | 12.68% | 501.45 | 132.78 | 258.04 |
| 4. | 2020/05/31 | 57.96% | 4.53% | 3,019.13 | 11.34 | 185.00 |
| 5. | 2020/06/30 | 22.00% | 1.84% | 360.66 | 0.46 | 12.87 |
| 6. | 2020/07/31 | 7.95% | 5.51% | 24.38 | 18.91 | 21.47 |
| 7. | 2020/08/31 | -10.98% | 7.01% | 195.84 | 34.17 | -81.80 |
| 8. | 2020/09/30 | 22.27% | -3.92% | 371.11 | 25.85 | -97.94 |
| 9. | 2020/10/31 | -11.17% | -2.77% | 201.03 | 15.43 | 55.69 |
| 10. | 2020/11/30 | 9.00% | 10.75% | 35.91 | 92.03 | 57.49 |
| 11. | 2020/12/31 | -0.49% | 3.71% | 12.22 | 6.51 | -8.92 |
| 12. | 2021/01/31 | 4.38% | -1.11% | 1.87 | 5.18 | -3.11 |
| 13. | 2021/02/28 | -7.14% | 2.61% | 103.09 | 2.10 | -14.70 |
| 14. | 2021/03/31 | -12.65% | 4.24% | 245.25 | 9.50 | -48.28 |
| 15. | 2021/04/30 | 2.92% | 5.24% | 0.01 | 16.66 | -0.38 |
| 16. | 2021/05/31 | 6.16% | 0.55% | 9.90 | 0.38 | -1.93 |
| 17. | 2021/06/30 | 14.31% | 2.22% | 127.71 | 1.12 | 11.98 |
| 18. | 2021/07/31 | 6.36% | 2.27% | 11.23 | 1.24 | 3.73 |
| 19. | 2021/08/31 | 24.48% | 2.90% | 460.99 | 3.02 | 37.31 |
| 20. | 2021/09/30 | 2.58% | -4.76% | 0.19 | 35.02 | 2.57 |
| 21. | 2021/10/31 | 18.18% | 6.91% | 230.19 | 33.10 | 87.29 |
| 22. | 2021/11/30 | 6.73% | -0.83% | 13.83 | 3.98 | -7.42 |
| 23. | 2021/12/31 | -0.10% | 4.36% | 9.68 | 10.24 | -9.95 |
| 24. | 2022/01/31 | -17.97% | -5.26% | 440.01 | 41.21 | 134.66 |
| 25. | 2022/02/28 | 10.27% | -3.14% | 52.65 | 18.47 | -31.18 |
| 26. | 2022/03/31 | -5.98% | 3.58% | 80.88 | 5.84 | -21.73 |
| 27. | 2022/04/30 | -20.26% | -8.80% | 541.56 | 99.14 | 231.71 |
| 28. | 2022/05/31 | -21.02% | 0.01% | 577.52 | 1.34 | 27.78 |
| 29. | 2022/06/30 | -0.16% | -8.39% | 10.03 | 91.26 | 30.26 |
| 30. | 2022/07/31 | 7.11% | 9.11% | 16.80 | 63.21 | 32.58 |
| 31. | 2022/08/31 | 2.88% | -4.24% | 0.02 | 29.22 | 0.69 |
| 32. | 2022/09/30 | -15.41% | -9.34% | 339.19 | 110.27 | 193.40 |
| 33. | 2022/10/31 | -9.32% | 7.99% | 151.91 | 46.58 | -84.12 |
| 34. | 2022/11/30 | -5.88% | 5.38% | 78.94 | 17.76 | -37.44 |
| 35. | 2022/12/31 | -3.01% | -5.90% | 36.22 | 49.82 | 42.48 |
| 36. | 2023/01/31 | 1.78% | 6.18% | 1.51 | 25.14 | -6.16 |
| 37. | 2023/02/28 | 2.29% | -2.61% | 0.52 | 14.23 | 2.73 |
| 38. | 2023/03/31 | -5.04% | 3.51% | 64.87 | 5.49 | -18.88 |
| 39. | 2023/04/30 | -7.27% | 1.46% | 105.61 | 0.09 | -3.11 |
| 40. | 2023/05/31 | 40.86% | 0.25% | 1,432.46 | 0.83 | -34.56 |
| 41. | 2023/06/30 | 3.66% | 4.71% | 0.42 | 12.62 | 2.30 |
| 42. | 2023/07/31 | 18.64% | 4.85% | 244.36 | 13.58 | 57.60 |
| 43. | 2023/08/31 | -17.34% | -1.77% | 414.15 | 8.60 | 59.69 |
| 44. | 2023/09/30 | -5.59% | -4.87% | 73.90 | 36.40 | 51.86 |
| 45. | 2023/10/31 | -10.56% | -2.20% | 184.17 | 11.28 | 45.59 |
| 46. | 2023/11/30 | 43.08% | 8.92% | 1,605.88 | 60.17 | 310.84 |
| 47. | 2023/12/31 | 4.13% | 4.42% | 1.25 | 10.64 | 3.64 |
| 48. | 2024/01/31 | 2.52% | 1.59% | 0.24 | 0.18 | -0.21 |
| 49. | 2024/02/29 | 5.64% | 5.17% | 6.92 | 16.09 | 10.55 |
| 50. | 2024/03/31 | -5.98% | 3.10% | 80.80 | 3.77 | -17.44 |
| 51. | 2024/04/30 | 1.54% | -4.16% | 2.17 | 28.33 | 7.84 |
| 52. | 2024/05/31 | -12.21% | 4.80% | 231.56 | 13.26 | -55.40 |
| 53. | 2024/06/30 | 17.71% | 3.47% | 216.02 | 5.32 | 33.89 |
| 54. | 2024/07/31 | -10.22% | 1.13% | 174.94 | 0.00 | 0.39 |
| 55. | 2024/08/31 | -0.15% | 2.28% | 10.01 | 1.26 | -3.55 |
| 56. | 2024/09/30 | -1.03% | 2.02% | 16.34 | 0.74 | -3.47 |
| 57. | 2024/10/31 | 9.02% | -0.99% | 36.14 | 4.63 | -12.93 |
| 58. | 2024/11/30 | 21.77% | 5.73% | 351.99 | 20.87 | 85.72 |
| 59. | 2024/12/31 | -6.45% | -2.50% | 89.58 | 13.40 | 34.64 |
| トータル (Σ): | 14,179.16 | 1,618.62 | 1,899.29 | |||
すべて表示
分散DDOG = Σ(RDDOG,t–RDDOG)2 ÷ (59 – 1)
= 14,179.16 ÷ (59 – 1)
= 244.47
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91
共 分散DDOG, S&P 500 = Σ(RDDOG,t–RDDOG)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,899.29 ÷ (59 – 1)
= 32.75
システマティックなリスク推定 (β)
| 分散DDOG | 244.47 |
| 分散S&P 500 | 27.91 |
| 共 分散DDOG, S&P 500 | 32.75 |
| 相関係数DDOG, S&P 5001 | 0.40 |
| βDDOG2 | 1.17 |
| αDDOG3 | 1.65% |
計算
1 相関係数DDOG, S&P 500
= 共 分散DDOG, S&P 500 ÷ (標準偏差DDOG × 標準偏差S&P 500)
= 32.75 ÷ (15.64% × 5.28%)
= 0.40
2 βDDOG
= 共 分散DDOG, S&P 500 ÷ 分散S&P 500
= 32.75 ÷ 27.91
= 1.17
3 αDDOG
= 平均DDOG – βDDOG × 平均S&P 500
= 3.01% – 1.17 × 1.16%
= 1.65%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.99% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.86% |
| 普通株式のシステマティックリスクDatadog | βDDOG | 1.17 |
| Datadog普通株式の予想収益率3 | E(RDDOG) | 16.57% |
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(RDDOG) = RF + βDDOG [E(RM) – RF]
= 4.99% + 1.17 [14.86% – 4.99%]
= 16.57%