資本資産価格モデル(CAPM)は、 Enphase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
Enphase Energy Inc. (ENPH) | Standard & Poor’s 500 (S&P 500) | |||||
---|---|---|---|---|---|---|
t | 日付 | 価格ENPH,t1 | 配当ENPH,t1 | RENPH,t2 | 価格S&P 500,t | RS&P 500,t3 |
2019/01/31 | $7.23 | 2,704.10 | ||||
1. | 2019/02/28 | $9.07 | 25.45% | 2,784.49 | 2.97% | |
2. | 2019/03/31 | $9.23 | 1.76% | 2,834.40 | 1.79% | |
3. | 2019/04/30 | $10.04 | 8.78% | 2,945.83 | 3.93% | |
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
58. | 2023/11/30 | $101.02 | 26.94% | 4,567.80 | 8.92% | |
59. | 2023/12/31 | $132.14 | 30.81% | 4,769.83 | 4.42% | |
平均 (R): | 7.43% | 1.11% | ||||
標準偏差: | 22.86% | 5.31% |
Enphase Energy Inc. (ENPH) | Standard & Poor’s 500 (S&P 500) | |||||
---|---|---|---|---|---|---|
t | 日付 | 価格ENPH,t1 | 配当ENPH,t1 | RENPH,t2 | 価格S&P 500,t | RS&P 500,t3 |
2019/01/31 | $7.23 | 2,704.10 | ||||
1. | 2019/02/28 | $9.07 | 25.45% | 2,784.49 | 2.97% | |
2. | 2019/03/31 | $9.23 | 1.76% | 2,834.40 | 1.79% | |
3. | 2019/04/30 | $10.04 | 8.78% | 2,945.83 | 3.93% | |
4. | 2019/05/31 | $15.17 | 51.10% | 2,752.06 | -6.58% | |
5. | 2019/06/30 | $18.23 | 20.17% | 2,941.76 | 6.89% | |
6. | 2019/07/31 | $28.15 | 54.42% | 2,980.38 | 1.31% | |
7. | 2019/08/31 | $29.67 | 5.40% | 2,926.46 | -1.81% | |
8. | 2019/09/30 | $22.23 | -25.08% | 2,976.74 | 1.72% | |
9. | 2019/10/31 | $19.43 | -12.60% | 3,037.56 | 2.04% | |
10. | 2019/11/30 | $21.87 | 12.56% | 3,140.98 | 3.40% | |
11. | 2019/12/31 | $26.13 | 19.48% | 3,230.78 | 2.86% | |
12. | 2020/01/31 | $31.52 | 20.63% | 3,225.52 | -0.16% | |
13. | 2020/02/29 | $48.97 | 55.36% | 2,954.22 | -8.41% | |
14. | 2020/03/31 | $32.29 | -34.06% | 2,584.59 | -12.51% | |
15. | 2020/04/30 | $46.83 | 45.03% | 2,912.43 | 12.68% | |
16. | 2020/05/31 | $58.19 | 24.26% | 3,044.31 | 4.53% | |
17. | 2020/06/30 | $47.57 | -18.25% | 3,100.29 | 1.84% | |
18. | 2020/07/31 | $60.36 | 26.89% | 3,271.12 | 5.51% | |
19. | 2020/08/31 | $77.23 | 27.95% | 3,500.31 | 7.01% | |
20. | 2020/09/30 | $82.59 | 6.94% | 3,363.00 | -3.92% | |
21. | 2020/10/31 | $98.09 | 18.77% | 3,269.96 | -2.77% | |
22. | 2020/11/30 | $136.57 | 39.23% | 3,621.63 | 10.75% | |
23. | 2020/12/31 | $175.47 | 28.48% | 3,756.07 | 3.71% | |
24. | 2021/01/31 | $182.35 | 3.92% | 3,714.24 | -1.11% | |
25. | 2021/02/28 | $176.06 | -3.45% | 3,811.15 | 2.61% | |
26. | 2021/03/31 | $162.16 | -7.90% | 3,972.89 | 4.24% | |
27. | 2021/04/30 | $139.25 | -14.13% | 4,181.17 | 5.24% | |
28. | 2021/05/31 | $143.05 | 2.73% | 4,204.11 | 0.55% | |
29. | 2021/06/30 | $183.63 | 28.37% | 4,297.50 | 2.22% | |
30. | 2021/07/31 | $189.60 | 3.25% | 4,395.26 | 2.27% | |
31. | 2021/08/31 | $173.73 | -8.37% | 4,522.68 | 2.90% | |
32. | 2021/09/30 | $149.97 | -13.68% | 4,307.54 | -4.76% | |
33. | 2021/10/31 | $231.63 | 54.45% | 4,605.38 | 6.91% | |
34. | 2021/11/30 | $250.00 | 7.93% | 4,567.00 | -0.83% | |
35. | 2021/12/31 | $182.94 | -26.82% | 4,766.18 | 4.36% | |
36. | 2022/01/31 | $140.47 | -23.22% | 4,515.55 | -5.26% | |
37. | 2022/02/28 | $166.70 | 18.67% | 4,373.94 | -3.14% | |
38. | 2022/03/31 | $201.78 | 21.04% | 4,530.41 | 3.58% | |
39. | 2022/04/30 | $161.40 | -20.01% | 4,131.93 | -8.80% | |
40. | 2022/05/31 | $186.19 | 15.36% | 4,132.15 | 0.01% | |
41. | 2022/06/30 | $195.24 | 4.86% | 3,785.38 | -8.39% | |
42. | 2022/07/31 | $284.18 | 45.55% | 4,130.29 | 9.11% | |
43. | 2022/08/31 | $286.44 | 0.80% | 3,955.00 | -4.24% | |
44. | 2022/09/30 | $277.47 | -3.13% | 3,585.62 | -9.34% | |
45. | 2022/10/31 | $307.00 | 10.64% | 3,871.98 | 7.99% | |
46. | 2022/11/30 | $320.59 | 4.43% | 4,080.11 | 5.38% | |
47. | 2022/12/31 | $264.96 | -17.35% | 3,839.50 | -5.90% | |
48. | 2023/01/31 | $221.38 | -16.45% | 4,076.60 | 6.18% | |
49. | 2023/02/28 | $210.53 | -4.90% | 3,970.15 | -2.61% | |
50. | 2023/03/31 | $210.28 | -0.12% | 4,109.31 | 3.51% | |
51. | 2023/04/30 | $164.20 | -21.91% | 4,169.48 | 1.46% | |
52. | 2023/05/31 | $173.88 | 5.90% | 4,179.83 | 0.25% | |
53. | 2023/06/30 | $167.48 | -3.68% | 4,376.86 | 4.71% | |
54. | 2023/07/31 | $151.83 | -9.34% | 4,588.96 | 4.85% | |
55. | 2023/08/31 | $126.53 | -16.66% | 4,507.66 | -1.77% | |
56. | 2023/09/30 | $120.15 | -5.04% | 4,288.05 | -4.87% | |
57. | 2023/10/31 | $79.58 | -33.77% | 4,193.80 | -2.20% | |
58. | 2023/11/30 | $101.02 | 26.94% | 4,567.80 | 8.92% | |
59. | 2023/12/31 | $132.14 | 30.81% | 4,769.83 | 4.42% | |
平均 (R): | 7.43% | 1.11% | ||||
標準偏差: | 22.86% | 5.31% |
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ENPH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
t | 日付 | RENPH,t | RS&P 500,t | (RENPH,t–RENPH)2 | (RS&P 500,t–RS&P 500)2 | (RENPH,t–RENPH)×(RS&P 500,t–RS&P 500) |
---|---|---|---|---|---|---|
1. | 2019/02/28 | 25.45% | 2.97% | 324.70 | 3.49 | 33.64 |
2. | 2019/03/31 | 1.76% | 1.79% | 32.10 | 0.47 | -3.89 |
3. | 2019/04/30 | 8.78% | 3.93% | 1.81 | 7.98 | 3.80 |
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
58. | 2023/11/30 | 26.94% | 8.92% | 380.69 | 61.03 | 152.42 |
59. | 2023/12/31 | 30.81% | 4.42% | 546.42 | 11.00 | 77.54 |
トータル (Σ): | 30,312.49 | 1,634.30 | 2,413.08 |
t | 日付 | RENPH,t | RS&P 500,t | (RENPH,t–RENPH)2 | (RS&P 500,t–RS&P 500)2 | (RENPH,t–RENPH)×(RS&P 500,t–RS&P 500) |
---|---|---|---|---|---|---|
1. | 2019/02/28 | 25.45% | 2.97% | 324.70 | 3.49 | 33.64 |
2. | 2019/03/31 | 1.76% | 1.79% | 32.10 | 0.47 | -3.89 |
3. | 2019/04/30 | 8.78% | 3.93% | 1.81 | 7.98 | 3.80 |
4. | 2019/05/31 | 51.10% | -6.58% | 1,906.68 | 59.04 | -335.51 |
5. | 2019/06/30 | 20.17% | 6.89% | 162.34 | 33.49 | 73.74 |
6. | 2019/07/31 | 54.42% | 1.31% | 2,207.66 | 0.04 | 9.72 |
7. | 2019/08/31 | 5.40% | -1.81% | 4.12 | 8.50 | 5.92 |
8. | 2019/09/30 | -25.08% | 1.72% | 1,056.63 | 0.37 | -19.90 |
9. | 2019/10/31 | -12.60% | 2.04% | 401.03 | 0.88 | -18.77 |
10. | 2019/11/30 | 12.56% | 3.40% | 26.29 | 5.28 | 11.79 |
11. | 2019/12/31 | 19.48% | 2.86% | 145.17 | 3.07 | 21.12 |
12. | 2020/01/31 | 20.63% | -0.16% | 174.18 | 1.61 | -16.74 |
13. | 2020/02/29 | 55.36% | -8.41% | 2,297.44 | 90.57 | -456.16 |
14. | 2020/03/31 | -34.06% | -12.51% | 1,721.56 | 185.44 | 565.03 |
15. | 2020/04/30 | 45.03% | 12.68% | 1,413.71 | 134.06 | 435.35 |
16. | 2020/05/31 | 24.26% | 4.53% | 283.18 | 11.71 | 57.59 |
17. | 2020/06/30 | -18.25% | 1.84% | 659.49 | 0.54 | -18.82 |
18. | 2020/07/31 | 26.89% | 5.51% | 378.56 | 19.40 | 85.69 |
19. | 2020/08/31 | 27.95% | 7.01% | 421.03 | 34.82 | 121.07 |
20. | 2020/09/30 | 6.94% | -3.92% | 0.24 | 25.29 | 2.46 |
21. | 2020/10/31 | 18.77% | -2.77% | 128.54 | 15.00 | -43.90 |
22. | 2020/11/30 | 39.23% | 10.75% | 1,011.19 | 93.10 | 306.82 |
23. | 2020/12/31 | 28.48% | 3.71% | 443.25 | 6.79 | 54.87 |
24. | 2021/01/31 | 3.92% | -1.11% | 12.31 | 4.93 | 7.79 |
25. | 2021/02/28 | -3.45% | 2.61% | 118.36 | 2.26 | -16.36 |
26. | 2021/03/31 | -7.90% | 4.24% | 234.86 | 9.85 | -48.09 |
27. | 2021/04/30 | -14.13% | 5.24% | 464.75 | 17.11 | -89.18 |
28. | 2021/05/31 | 2.73% | 0.55% | 22.10 | 0.31 | 2.62 |
29. | 2021/06/30 | 28.37% | 2.22% | 438.38 | 1.24 | 23.36 |
30. | 2021/07/31 | 3.25% | 2.27% | 17.46 | 1.37 | -4.89 |
31. | 2021/08/31 | -8.37% | 2.90% | 249.65 | 3.22 | -28.33 |
32. | 2021/09/30 | -13.68% | -4.76% | 445.48 | 34.37 | 123.74 |
33. | 2021/10/31 | 54.45% | 6.91% | 2,210.96 | 33.74 | 273.12 |
34. | 2021/11/30 | 7.93% | -0.83% | 0.25 | 3.76 | -0.97 |
35. | 2021/12/31 | -26.82% | 4.36% | 1,173.34 | 10.60 | -111.51 |
36. | 2022/01/31 | -23.22% | -5.26% | 939.14 | 40.51 | 195.04 |
37. | 2022/02/28 | 18.67% | -3.14% | 126.40 | 17.99 | -47.69 |
38. | 2022/03/31 | 21.04% | 3.58% | 185.33 | 6.11 | 33.65 |
39. | 2022/04/30 | -20.01% | -8.80% | 753.06 | 98.04 | 271.72 |
40. | 2022/05/31 | 15.36% | 0.01% | 62.87 | 1.21 | -8.73 |
41. | 2022/06/30 | 4.86% | -8.39% | 6.60 | 90.21 | 24.40 |
42. | 2022/07/31 | 45.55% | 9.11% | 1,453.45 | 64.09 | 305.21 |
43. | 2022/08/31 | 0.80% | -4.24% | 44.02 | 28.62 | 35.50 |
44. | 2022/09/30 | -3.13% | -9.34% | 111.55 | 109.11 | 110.32 |
45. | 2022/10/31 | 10.64% | 7.99% | 10.32 | 47.34 | 22.10 |
46. | 2022/11/30 | 4.43% | 5.38% | 9.02 | 18.23 | -12.82 |
47. | 2022/12/31 | -17.35% | -5.90% | 614.17 | 49.04 | 173.55 |
48. | 2023/01/31 | -16.45% | 6.18% | 570.15 | 25.70 | -121.05 |
49. | 2023/02/28 | -4.90% | -2.61% | 152.06 | 13.82 | 45.84 |
50. | 2023/03/31 | -0.12% | 3.51% | 56.98 | 5.76 | -18.11 |
51. | 2023/04/30 | -21.91% | 1.46% | 861.05 | 0.13 | -10.52 |
52. | 2023/05/31 | 5.90% | 0.25% | 2.36 | 0.74 | 1.32 |
53. | 2023/06/30 | -3.68% | 4.71% | 123.45 | 13.02 | -40.09 |
54. | 2023/07/31 | -9.34% | 4.85% | 281.38 | 13.99 | -62.74 |
55. | 2023/08/31 | -16.66% | -1.77% | 580.49 | 8.28 | 69.33 |
56. | 2023/09/30 | -5.04% | -4.87% | 155.56 | 35.73 | 74.56 |
57. | 2023/10/31 | -33.77% | -2.20% | 1,697.13 | 10.92 | 136.10 |
58. | 2023/11/30 | 26.94% | 8.92% | 380.69 | 61.03 | 152.42 |
59. | 2023/12/31 | 30.81% | 4.42% | 546.42 | 11.00 | 77.54 |
トータル (Σ): | 30,312.49 | 1,634.30 | 2,413.08 |
すべて表示
分散ENPH = Σ(RENPH,t–RENPH)2 ÷ (59 – 1)
= 30,312.49 ÷ (59 – 1)
= 522.63
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18
共 分散ENPH, S&P 500 = Σ(RENPH,t–RENPH)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 2,413.08 ÷ (59 – 1)
= 41.60
システマティックなリスク推定 (β)
分散ENPH | 522.63 |
分散S&P 500 | 28.18 |
共 分散ENPH, S&P 500 | 41.60 |
相関係数ENPH, S&P 5001 | 0.34 |
βENPH2 | 1.48 |
αENPH3 | 5.80% |
計算
1 相関係数ENPH, S&P 500
= 共 分散ENPH, S&P 500 ÷ (標準偏差ENPH × 標準偏差S&P 500)
= 41.60 ÷ (22.86% × 5.31%)
= 0.34
2 βENPH
= 共 分散ENPH, S&P 500 ÷ 分散S&P 500
= 41.60 ÷ 28.18
= 1.48
3 αENPH
= 平均ENPH – βENPH × 平均S&P 500
= 7.43% – 1.48 × 1.11%
= 5.80%
期待収益率
仮定 | ||
LT国債総合の収益率1 | RF | 4.73% |
市場ポートフォリオの期待収益率2 | E(RM) | 14.45% |
普通株式 Enphase システマティックリスク | βENPH | 1.48 |
Enphase普通株式の期待収益率3 | E(RENPH) | 19.08% |
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(RENPH) = RF + βENPH [E(RM) – RF]
= 4.73% + 1.48 [14.45% – 4.73%]
= 19.08%