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 Etsy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
Etsy Inc.、月間収益率
| Etsy Inc. (ETSY) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格ETSY,t1 | 配当ETSY,t1 | RETSY,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2017/01/31 | $12.61 | 2,278.87 | ||||
| 1. | 2017/02/28 | $12.12 | -3.89% | 2,363.64 | 3.72% | |
| 2. | 2017/03/31 | $10.63 | -12.29% | 2,362.72 | -0.04% | |
| 3. | 2017/04/30 | $10.76 | 1.22% | 2,384.20 | 0.91% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2021/11/30 | $274.58 | 9.53% | 4,567.00 | -0.83% | |
| 59. | 2021/12/31 | $218.94 | -20.26% | 4,766.18 | 4.36% | |
| 平均 (R): | 6.32% | 1.36% | ||||
| 標準偏差： | 17.36% | 4.48% | ||||
| Etsy Inc. (ETSY) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格ETSY,t1 | 配当ETSY,t1 | RETSY,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2017/01/31 | $12.61 | 2,278.87 | ||||
| 1. | 2017/02/28 | $12.12 | -3.89% | 2,363.64 | 3.72% | |
| 2. | 2017/03/31 | $10.63 | -12.29% | 2,362.72 | -0.04% | |
| 3. | 2017/04/30 | $10.76 | 1.22% | 2,384.20 | 0.91% | |
| 4. | 2017/05/31 | $13.41 | 24.63% | 2,411.80 | 1.16% | |
| 5. | 2017/06/30 | $15.00 | 11.86% | 2,423.41 | 0.48% | |
| 6. | 2017/07/31 | $14.37 | -4.20% | 2,470.30 | 1.93% | |
| 7. | 2017/08/31 | $16.37 | 13.92% | 2,471.65 | 0.05% | |
| 8. | 2017/09/30 | $16.88 | 3.12% | 2,519.36 | 1.93% | |
| 9. | 2017/10/31 | $16.70 | -1.07% | 2,575.26 | 2.22% | |
| 10. | 2017/11/30 | $16.46 | -1.44% | 2,647.58 | 2.81% | |
| 11. | 2017/12/31 | $20.45 | 24.24% | 2,673.61 | 0.98% | |
| 12. | 2018/01/31 | $18.76 | -8.26% | 2,823.81 | 5.62% | |
| 13. | 2018/02/28 | $25.31 | 34.91% | 2,713.83 | -3.89% | |
| 14. | 2018/03/31 | $28.06 | 10.87% | 2,640.87 | -2.69% | |
| 15. | 2018/04/30 | $29.94 | 6.70% | 2,648.05 | 0.27% | |
| 16. | 2018/05/31 | $32.34 | 8.02% | 2,705.27 | 2.16% | |
| 17. | 2018/06/30 | $42.19 | 30.46% | 2,718.37 | 0.48% | |
| 18. | 2018/07/31 | $40.86 | -3.15% | 2,816.29 | 3.60% | |
| 19. | 2018/08/31 | $48.69 | 19.16% | 2,901.52 | 3.03% | |
| 20. | 2018/09/30 | $51.38 | 5.52% | 2,913.98 | 0.43% | |
| 21. | 2018/10/31 | $42.52 | -17.24% | 2,711.74 | -6.94% | |
| 22. | 2018/11/30 | $54.04 | 27.09% | 2,760.17 | 1.79% | |
| 23. | 2018/12/31 | $47.57 | -11.97% | 2,506.85 | -9.18% | |
| 24. | 2019/01/31 | $54.65 | 14.88% | 2,704.10 | 7.87% | |
| 25. | 2019/02/28 | $71.27 | 30.41% | 2,784.49 | 2.97% | |
| 26. | 2019/03/31 | $67.22 | -5.68% | 2,834.40 | 1.79% | |
| 27. | 2019/04/30 | $67.54 | 0.48% | 2,945.83 | 3.93% | |
| 28. | 2019/05/31 | $62.31 | -7.74% | 2,752.06 | -6.58% | |
| 29. | 2019/06/30 | $61.37 | -1.51% | 2,941.76 | 6.89% | |
| 30. | 2019/07/31 | $67.02 | 9.21% | 2,980.38 | 1.31% | |
| 31. | 2019/08/31 | $52.79 | -21.23% | 2,926.46 | -1.81% | |
| 32. | 2019/09/30 | $56.50 | 7.03% | 2,976.74 | 1.72% | |
| 33. | 2019/10/31 | $44.49 | -21.26% | 3,037.56 | 2.04% | |
| 34. | 2019/11/30 | $43.39 | -2.47% | 3,140.98 | 3.40% | |
| 35. | 2019/12/31 | $44.30 | 2.10% | 3,230.78 | 2.86% | |
| 36. | 2020/01/31 | $48.81 | 10.18% | 3,225.52 | -0.16% | |
| 37. | 2020/02/29 | $57.81 | 18.44% | 2,954.22 | -8.41% | |
| 38. | 2020/03/31 | $38.44 | -33.51% | 2,584.59 | -12.51% | |
| 39. | 2020/04/30 | $64.87 | 68.76% | 2,912.43 | 12.68% | |
| 40. | 2020/05/31 | $80.98 | 24.83% | 3,044.31 | 4.53% | |
| 41. | 2020/06/30 | $106.23 | 31.18% | 3,100.29 | 1.84% | |
| 42. | 2020/07/31 | $118.38 | 11.44% | 3,271.12 | 5.51% | |
| 43. | 2020/08/31 | $119.70 | 1.12% | 3,500.31 | 7.01% | |
| 44. | 2020/09/30 | $121.63 | 1.61% | 3,363.00 | -3.92% | |
| 45. | 2020/10/31 | $121.59 | -0.03% | 3,269.96 | -2.77% | |
| 46. | 2020/11/30 | $160.70 | 32.17% | 3,621.63 | 10.75% | |
| 47. | 2020/12/31 | $177.91 | 10.71% | 3,756.07 | 3.71% | |
| 48. | 2021/01/31 | $199.09 | 11.90% | 3,714.24 | -1.11% | |
| 49. | 2021/02/28 | $220.27 | 10.64% | 3,811.15 | 2.61% | |
| 50. | 2021/03/31 | $201.67 | -8.44% | 3,972.89 | 4.24% | |
| 51. | 2021/04/30 | $198.79 | -1.43% | 4,181.17 | 5.24% | |
| 52. | 2021/05/31 | $164.73 | -17.13% | 4,204.11 | 0.55% | |
| 53. | 2021/06/30 | $205.84 | 24.96% | 4,297.50 | 2.22% | |
| 54. | 2021/07/31 | $183.51 | -10.85% | 4,395.26 | 2.27% | |
| 55. | 2021/08/31 | $216.26 | 17.85% | 4,522.68 | 2.90% | |
| 56. | 2021/09/30 | $207.96 | -3.84% | 4,307.54 | -4.76% | |
| 57. | 2021/10/31 | $250.69 | 20.55% | 4,605.38 | 6.91% | |
| 58. | 2021/11/30 | $274.58 | 9.53% | 4,567.00 | -0.83% | |
| 59. | 2021/12/31 | $218.94 | -20.26% | 4,766.18 | 4.36% | |
| 平均 (R): | 6.32% | 1.36% | ||||
| 標準偏差： | 17.36% | 4.48% | ||||
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ETSY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
Etsy Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RETSY,t | RS&P 500,t | (RETSY,t–RETSY)2 | (RS&P 500,t–RS&P 500)2 | (RETSY,t–RETSY)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017/02/28 | -3.89% | 3.72% | 104.12 | 5.58 | -24.10 |
| 2. | 2017/03/31 | -12.29% | -0.04% | 346.40 | 1.95 | 26.00 |
| 3. | 2017/04/30 | 1.22% | 0.91% | 25.96 | 0.20 | 2.29 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2021/11/30 | 9.53% | -0.83% | 10.31 | 4.80 | -7.04 |
| 59. | 2021/12/31 | -20.26% | 4.36% | 706.59 | 9.02 | -79.84 |
| トータル (Σ): | 17,470.51 | 1,164.17 | 1,799.92 | |||
| t | 日付 | RETSY,t | RS&P 500,t | (RETSY,t–RETSY)2 | (RS&P 500,t–RS&P 500)2 | (RETSY,t–RETSY)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017/02/28 | -3.89% | 3.72% | 104.12 | 5.58 | -24.10 |
| 2. | 2017/03/31 | -12.29% | -0.04% | 346.40 | 1.95 | 26.00 |
| 3. | 2017/04/30 | 1.22% | 0.91% | 25.96 | 0.20 | 2.29 |
| 4. | 2017/05/31 | 24.63% | 1.16% | 335.26 | 0.04 | -3.67 |
| 5. | 2017/06/30 | 11.86% | 0.48% | 30.68 | 0.77 | -4.85 |
| 6. | 2017/07/31 | -4.20% | 1.93% | 110.63 | 0.33 | -6.07 |
| 7. | 2017/08/31 | 13.92% | 0.05% | 57.76 | 1.70 | -9.90 |
| 8. | 2017/09/30 | 3.12% | 1.93% | 10.26 | 0.33 | -1.83 |
| 9. | 2017/10/31 | -1.07% | 2.22% | 54.53 | 0.74 | -6.36 |
| 10. | 2017/11/30 | -1.44% | 2.81% | 60.14 | 2.10 | -11.25 |
| 11. | 2017/12/31 | 24.24% | 0.98% | 321.22 | 0.14 | -6.72 |
| 12. | 2018/01/31 | -8.26% | 5.62% | 212.64 | 18.15 | -62.12 |
| 13. | 2018/02/28 | 34.91% | -3.89% | 817.77 | 27.59 | -150.21 |
| 14. | 2018/03/31 | 10.87% | -2.69% | 20.68 | 16.37 | -18.40 |
| 15. | 2018/04/30 | 6.70% | 0.27% | 0.15 | 1.18 | -0.41 |
| 16. | 2018/05/31 | 8.02% | 2.16% | 2.88 | 0.64 | 1.36 |
| 17. | 2018/06/30 | 30.46% | 0.48% | 582.72 | 0.76 | -21.09 |
| 18. | 2018/07/31 | -3.15% | 3.60% | 89.69 | 5.04 | -21.25 |
| 19. | 2018/08/31 | 19.16% | 3.03% | 164.99 | 2.78 | 21.43 |
| 20. | 2018/09/30 | 5.52% | 0.43% | 0.63 | 0.86 | 0.74 |
| 21. | 2018/10/31 | -17.24% | -6.94% | 555.17 | 68.86 | 195.52 |
| 22. | 2018/11/30 | 27.09% | 1.79% | 431.60 | 0.18 | 8.89 |
| 23. | 2018/12/31 | -11.97% | -9.18% | 334.55 | 111.00 | 192.70 |
| 24. | 2019/01/31 | 14.88% | 7.87% | 73.36 | 42.39 | 55.76 |
| 25. | 2019/02/28 | 30.41% | 2.97% | 580.50 | 2.61 | 38.91 |
| 26. | 2019/03/31 | -5.68% | 1.79% | 144.02 | 0.19 | -5.21 |
| 27. | 2019/04/30 | 0.48% | 3.93% | 34.13 | 6.62 | -15.03 |
| 28. | 2019/05/31 | -7.74% | -6.58% | 197.73 | 62.97 | 111.59 |
| 29. | 2019/06/30 | -1.51% | 6.89% | 61.26 | 30.64 | -43.32 |
| 30. | 2019/07/31 | 9.21% | 1.31% | 8.34 | 0.00 | -0.13 |
| 31. | 2019/08/31 | -21.23% | -1.81% | 759.03 | 10.03 | 87.25 |
| 32. | 2019/09/30 | 7.03% | 1.72% | 0.50 | 0.13 | 0.26 |
| 33. | 2019/10/31 | -21.26% | 2.04% | 760.36 | 0.47 | -18.90 |
| 34. | 2019/11/30 | -2.47% | 3.40% | 77.27 | 4.19 | -17.99 |
| 35. | 2019/12/31 | 2.10% | 2.86% | 17.82 | 2.25 | -6.34 |
| 36. | 2020/01/31 | 10.18% | -0.16% | 14.92 | 2.31 | -5.87 |
| 37. | 2020/02/29 | 18.44% | -8.41% | 146.91 | 95.43 | -118.41 |
| 38. | 2020/03/31 | -33.51% | -12.51% | 1,585.98 | 192.37 | 552.36 |
| 39. | 2020/04/30 | 68.76% | 12.68% | 3,898.56 | 128.29 | 707.21 |
| 40. | 2020/05/31 | 24.83% | 4.53% | 342.85 | 10.05 | 58.70 |
| 41. | 2020/06/30 | 31.18% | 1.84% | 618.14 | 0.23 | 11.96 |
| 42. | 2020/07/31 | 11.44% | 5.51% | 26.21 | 17.24 | 21.26 |
| 43. | 2020/08/31 | 1.12% | 7.01% | 27.07 | 31.91 | -29.39 |
| 44. | 2020/09/30 | 1.61% | -3.92% | 22.14 | 27.89 | 24.85 |
| 45. | 2020/10/31 | -0.03% | -2.77% | 40.33 | 17.01 | 26.19 |
| 46. | 2020/11/30 | 32.17% | 10.75% | 668.09 | 88.30 | 242.88 |
| 47. | 2020/12/31 | 10.71% | 3.71% | 19.28 | 5.54 | 10.34 |
| 48. | 2021/01/31 | 11.90% | -1.11% | 31.21 | 6.11 | -13.81 |
| 49. | 2021/02/28 | 10.64% | 2.61% | 18.67 | 1.57 | 5.41 |
| 50. | 2021/03/31 | -8.44% | 4.24% | 217.92 | 8.33 | -42.60 |
| 51. | 2021/04/30 | -1.43% | 5.24% | 60.00 | 15.09 | -30.09 |
| 52. | 2021/05/31 | -17.13% | 0.55% | 549.98 | 0.65 | 18.98 |
| 53. | 2021/06/30 | 24.96% | 2.22% | 347.37 | 0.75 | 16.09 |
| 54. | 2021/07/31 | -10.85% | 2.27% | 294.68 | 0.84 | -15.74 |
| 55. | 2021/08/31 | 17.85% | 2.90% | 132.90 | 2.38 | 17.77 |
| 56. | 2021/09/30 | -3.84% | -4.76% | 103.14 | 37.39 | 62.10 |
| 57. | 2021/10/31 | 20.55% | 6.91% | 202.47 | 30.87 | 79.06 |
| 58. | 2021/11/30 | 9.53% | -0.83% | 10.31 | 4.80 | -7.04 |
| 59. | 2021/12/31 | -20.26% | 4.36% | 706.59 | 9.02 | -79.84 |
| トータル (Σ): | 17,470.51 | 1,164.17 | 1,799.92 | |||
すべて表示
分散ETSY = Σ(RETSY,t–RETSY)2 ÷ (59 – 1)
= 17,470.51 ÷ (59 – 1)
= 301.22
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,164.17 ÷ (59 – 1)
= 20.07
共 分散ETSY, S&P 500 = Σ(RETSY,t–RETSY)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,799.92 ÷ (59 – 1)
= 31.03
システマティックなリスク推定 (β)
| 分散ETSY | 301.22 |
| 分散S&P 500 | 20.07 |
| 共 分散ETSY, S&P 500 | 31.03 |
| 相関係数ETSY, S&P 5001 | 0.40 |
| βETSY2 | 1.55 |
| αETSY3 | 4.22% |
計算
1 相関係数ETSY, S&P 500
= 共 分散ETSY, S&P 500 ÷ (標準偏差ETSY × 標準偏差S&P 500)
= 31.03 ÷ (17.36% × 4.48%)
= 0.40
2 βETSY
= 共 分散ETSY, S&P 500 ÷ 分散S&P 500
= 31.03 ÷ 20.07
= 1.55
3 αETSY
= 平均ETSY – βETSY × 平均S&P 500
= 6.32% – 1.55 × 1.36%
= 4.22%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.81% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.72% |
| 普通株式のシステマティックリスクEtsy | βETSY | 1.55 |
| Etsy普通株式の期待収益率3 | E(RETSY) | 20.13% |
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(RETSY) = RF + βETSY [E(RM) – RF]
= 4.81% + 1.55 [14.72% – 4.81%]
= 20.13%