Stock Analysis on Net

Intel Corp. (NASDAQ:INTC)

資本資産価格設定モデル (CAPM) 

Microsoft Excel

収益率

Intel Corp.、月間収益率

Microsoft Excel
Intel Corp. (INTC) Standard & Poor’s 500 (S&P 500)
t 日付 価格INTC,t1 配当INTC,t1 RINTC,t2 価格S&P 500,t RS&P 500,t3
2020/01/31 $63.93 3,225.52
1. 2020/02/29 $55.52 $0.33 -12.64% 2,954.22 -8.41%
2. 2020/03/31 $54.12 -2.52% 2,584.59 -12.51%
3. 2020/04/30 $59.98 10.83% 2,912.43 12.68%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2024/11/30 $24.05 11.76% 6,032.38 5.73%
59. 2024/12/31 $20.05 -16.63% 5,881.63 -2.50%
平均 (R): -1.10% 1.16%
標準偏差: 11.13% 5.28%
Intel Corp. (INTC) Standard & Poor’s 500 (S&P 500)
t 日付 価格INTC,t1 配当INTC,t1 RINTC,t2 価格S&P 500,t RS&P 500,t3
2020/01/31 $63.93 3,225.52
1. 2020/02/29 $55.52 $0.33 -12.64% 2,954.22 -8.41%
2. 2020/03/31 $54.12 -2.52% 2,584.59 -12.51%
3. 2020/04/30 $59.98 10.83% 2,912.43 12.68%
4. 2020/05/31 $62.93 $0.33 5.47% 3,044.31 4.53%
5. 2020/06/30 $59.83 -4.93% 3,100.29 1.84%
6. 2020/07/31 $47.73 -20.22% 3,271.12 5.51%
7. 2020/08/31 $50.95 $0.33 7.44% 3,500.31 7.01%
8. 2020/09/30 $51.78 1.63% 3,363.00 -3.92%
9. 2020/10/31 $44.28 -14.48% 3,269.96 -2.77%
10. 2020/11/30 $48.35 $0.33 9.94% 3,621.63 10.75%
11. 2020/12/31 $49.82 3.04% 3,756.07 3.71%
12. 2021/01/31 $55.51 11.42% 3,714.24 -1.11%
13. 2021/02/28 $60.78 $0.3475 10.12% 3,811.15 2.61%
14. 2021/03/31 $64.00 5.30% 3,972.89 4.24%
15. 2021/04/30 $57.53 -10.11% 4,181.17 5.24%
16. 2021/05/31 $57.12 $0.3475 -0.11% 4,204.11 0.55%
17. 2021/06/30 $56.14 -1.72% 4,297.50 2.22%
18. 2021/07/31 $53.72 -4.31% 4,395.26 2.27%
19. 2021/08/31 $54.06 $0.3475 1.28% 4,522.68 2.90%
20. 2021/09/30 $53.28 -1.44% 4,307.54 -4.76%
21. 2021/10/31 $49.00 -8.03% 4,605.38 6.91%
22. 2021/11/30 $49.20 $0.3475 1.12% 4,567.00 -0.83%
23. 2021/12/31 $51.50 4.67% 4,766.18 4.36%
24. 2022/01/31 $48.82 -5.20% 4,515.55 -5.26%
25. 2022/02/28 $47.70 $0.365 -1.55% 4,373.94 -3.14%
26. 2022/03/31 $49.56 3.90% 4,530.41 3.58%
27. 2022/04/30 $43.59 -12.05% 4,131.93 -8.80%
28. 2022/05/31 $44.42 $0.365 2.74% 4,132.15 0.01%
29. 2022/06/30 $37.41 -15.78% 3,785.38 -8.39%
30. 2022/07/31 $36.31 -2.94% 4,130.29 9.11%
31. 2022/08/31 $31.92 $0.365 -11.09% 3,955.00 -4.24%
32. 2022/09/30 $25.77 -19.27% 3,585.62 -9.34%
33. 2022/10/31 $28.43 10.32% 3,871.98 7.99%
34. 2022/11/30 $30.07 $0.365 7.05% 4,080.11 5.38%
35. 2022/12/31 $26.43 -12.11% 3,839.50 -5.90%
36. 2023/01/31 $28.26 6.92% 4,076.60 6.18%
37. 2023/02/28 $24.93 $0.365 -10.49% 3,970.15 -2.61%
38. 2023/03/31 $32.67 31.05% 4,109.31 3.51%
39. 2023/04/30 $31.06 -4.93% 4,169.48 1.46%
40. 2023/05/31 $31.44 $0.125 1.63% 4,179.83 0.25%
41. 2023/06/30 $33.44 6.36% 4,376.86 4.71%
42. 2023/07/31 $35.77 6.97% 4,588.96 4.85%
43. 2023/08/31 $35.14 $0.125 -1.41% 4,507.66 -1.77%
44. 2023/09/30 $35.55 1.17% 4,288.05 -4.87%
45. 2023/10/31 $36.50 2.67% 4,193.80 -2.20%
46. 2023/11/30 $44.70 $0.125 22.81% 4,567.80 8.92%
47. 2023/12/31 $50.25 12.42% 4,769.83 4.42%
48. 2024/01/31 $43.08 -14.27% 4,845.65 1.59%
49. 2024/02/29 $43.05 $0.125 0.22% 5,096.27 5.17%
50. 2024/03/31 $44.17 2.60% 5,254.35 3.10%
51. 2024/04/30 $30.47 -31.02% 5,035.69 -4.16%
52. 2024/05/31 $30.85 $0.125 1.66% 5,277.51 4.80%
53. 2024/06/30 $30.97 0.39% 5,460.48 3.47%
54. 2024/07/31 $30.74 -0.74% 5,522.30 1.13%
55. 2024/08/31 $22.04 $0.125 -27.90% 5,648.40 2.28%
56. 2024/09/30 $23.46 6.44% 5,762.48 2.02%
57. 2024/10/31 $21.52 -8.27% 5,705.45 -0.99%
58. 2024/11/30 $24.05 11.76% 6,032.38 5.73%
59. 2024/12/31 $20.05 -16.63% 5,881.63 -2.50%
平均 (R): -1.10% 1.16%
標準偏差: 11.13% 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INTC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

Intel Corp.、分散の計算、および戻り値の共分散

Microsoft Excel
t 日付 RINTC,t RS&P 500,t (RINTC,tRINTC)2 (RS&P 500,tRS&P 500)2 (RINTC,tRINTC)×(RS&P 500,tRS&P 500)
1. 2020/02/29 -12.64% -8.41% 133.17 91.63 110.47
2. 2020/03/31 -2.52% -12.51% 2.02 186.96 19.46
3. 2020/04/30 10.83% 12.68% 142.24 132.78 137.43
. . . . . . .
. . . . . . .
. . . . . . .
58. 2024/11/30 11.76% 5.73% 165.26 20.87 58.73
59. 2024/12/31 -16.63% -2.50% 241.28 13.40 56.86
トータル (Σ): 7,180.47 1,618.62 1,754.84
t 日付 RINTC,t RS&P 500,t (RINTC,tRINTC)2 (RS&P 500,tRS&P 500)2 (RINTC,tRINTC)×(RS&P 500,tRS&P 500)
1. 2020/02/29 -12.64% -8.41% 133.17 91.63 110.47
2. 2020/03/31 -2.52% -12.51% 2.02 186.96 19.46
3. 2020/04/30 10.83% 12.68% 142.24 132.78 137.43
4. 2020/05/31 5.47% 4.53% 43.13 11.34 22.11
5. 2020/06/30 -4.93% 1.84% 14.65 0.46 -2.59
6. 2020/07/31 -20.22% 5.51% 365.78 18.91 -83.17
7. 2020/08/31 7.44% 7.01% 72.87 34.17 49.90
8. 2020/09/30 1.63% -3.92% 7.44 25.85 -13.87
9. 2020/10/31 -14.48% -2.77% 179.18 15.43 52.58
10. 2020/11/30 9.94% 10.75% 121.78 92.03 105.87
11. 2020/12/31 3.04% 3.71% 17.13 6.51 10.56
12. 2021/01/31 11.42% -1.11% 156.75 5.18 -28.48
13. 2021/02/28 10.12% 2.61% 125.85 2.10 16.24
14. 2021/03/31 5.30% 4.24% 40.92 9.50 19.72
15. 2021/04/30 -10.11% 5.24% 81.19 16.66 -36.77
16. 2021/05/31 -0.11% 0.55% 0.98 0.38 -0.61
17. 2021/06/30 -1.72% 2.22% 0.38 1.12 -0.65
18. 2021/07/31 -4.31% 2.27% 10.32 1.24 -3.58
19. 2021/08/31 1.28% 2.90% 5.66 3.02 4.13
20. 2021/09/30 -1.44% -4.76% 0.12 35.02 2.04
21. 2021/10/31 -8.03% 6.91% 48.08 33.10 -39.89
22. 2021/11/30 1.12% -0.83% 4.91 3.98 -4.42
23. 2021/12/31 4.67% 4.36% 33.33 10.24 18.48
24. 2022/01/31 -5.20% -5.26% 16.85 41.21 26.35
25. 2022/02/28 -1.55% -3.14% 0.20 18.47 1.92
26. 2022/03/31 3.90% 3.58% 24.98 5.84 12.08
27. 2022/04/30 -12.05% -8.80% 119.84 99.14 109.00
28. 2022/05/31 2.74% 0.01% 14.75 1.34 -4.44
29. 2022/06/30 -15.78% -8.39% 215.58 91.26 140.27
30. 2022/07/31 -2.94% 9.11% 3.39 63.21 -14.64
31. 2022/08/31 -11.09% -4.24% 99.73 29.22 53.98
32. 2022/09/30 -19.27% -9.34% 330.08 110.27 190.78
33. 2022/10/31 10.32% 7.99% 130.43 46.58 77.95
34. 2022/11/30 7.05% 5.38% 66.44 17.76 34.35
35. 2022/12/31 -12.11% -5.90% 121.14 49.82 77.69
36. 2023/01/31 6.92% 6.18% 64.36 25.14 40.23
37. 2023/02/28 -10.49% -2.61% 88.23 14.23 35.44
38. 2023/03/31 31.05% 3.51% 1,033.34 5.49 75.35
39. 2023/04/30 -4.93% 1.46% 14.66 0.09 -1.16
40. 2023/05/31 1.63% 0.25% 7.42 0.83 -2.49
41. 2023/06/30 6.36% 4.71% 55.65 12.62 26.50
42. 2023/07/31 6.97% 4.85% 65.07 13.58 29.72
43. 2023/08/31 -1.41% -1.77% 0.10 8.60 0.92
44. 2023/09/30 1.17% -4.87% 5.13 36.40 -13.67
45. 2023/10/31 2.67% -2.20% 14.22 11.28 -12.67
46. 2023/11/30 22.81% 8.92% 571.54 60.17 185.44
47. 2023/12/31 12.42% 4.42% 182.65 10.64 44.08
48. 2024/01/31 -14.27% 1.59% 173.45 0.18 -5.64
49. 2024/02/29 0.22% 5.17% 1.74 16.09 5.29
50. 2024/03/31 2.60% 3.10% 13.69 3.77 7.18
51. 2024/04/30 -31.02% -4.16% 895.08 28.33 159.25
52. 2024/05/31 1.66% 4.80% 7.60 13.26 10.03
53. 2024/06/30 0.39% 3.47% 2.21 5.32 3.43
54. 2024/07/31 -0.74% 1.13% 0.13 0.00 -0.01
55. 2024/08/31 -27.90% 2.28% 718.06 1.26 -30.07
56. 2024/09/30 6.44% 2.02% 56.87 0.74 6.47
57. 2024/10/31 -8.27% -0.99% 51.42 4.63 15.42
58. 2024/11/30 11.76% 5.73% 165.26 20.87 58.73
59. 2024/12/31 -16.63% -2.50% 241.28 13.40 56.86
トータル (Σ): 7,180.47 1,618.62 1,754.84

すべて表示

分散INTC = Σ(RINTC,tRINTC)2 ÷ (59 – 1)
= 7,180.47 ÷ (59 – 1)
= 123.80

分散S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91

共 分散INTC, S&P 500 = Σ(RINTC,tRINTC)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,754.84 ÷ (59 – 1)
= 30.26


システマティックなリスク推定 (β)

Microsoft Excel
分散INTC 123.80
分散S&P 500 27.91
共 分散INTC, S&P 500 30.26
相関係数INTC, S&P 5001 0.51
βINTC2 1.08
αINTC3 -2.36%

計算

1 相関係数INTC, S&P 500
= 共 分散INTC, S&P 500 ÷ (標準偏差INTC × 標準偏差S&P 500)
= 30.26 ÷ (11.13% × 5.28%)
= 0.51

2 βINTC
= 共 分散INTC, S&P 500 ÷ 分散S&P 500
= 30.26 ÷ 27.91
= 1.08

3 αINTC
= 平均INTC – βINTC × 平均S&P 500
= -1.10%1.08 × 1.16%
= -2.36%


期待収益率

Microsoft Excel
仮定
LT国債総合の収益率1 RF 4.91%
市場ポートフォリオの期待収益率2 E(RM) 14.85%
普通株式 Intel システマティックリスク βINTC 1.08
 
インテル普通株式の予想収益率3 E(RINTC) 15.69%

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(RINTC) = RF + βINTC [E(RM) – RF]
= 4.91% + 1.08 [14.85%4.91%]
= 15.69%