Stock Analysis on Net

Intuitive Surgical Inc. (NASDAQ:ISRG)

資本資産価格モデル (CAPM) 

Microsoft Excel

収益率

Intuitive Surgical Inc.、月間収益率

Microsoft Excel
Intuitive Surgical Inc. (ISRG) Standard & Poor’s 500 (S&P 500)
t 日付 価格ISRG,t1 配当ISRG,t1 RISRG,t2 価格S&P 500,t RS&P 500,t3
2019/01/31 $174.55 2,704.10
1. 2019/02/28 $182.54 4.58% 2,784.49 2.97%
2. 2019/03/31 $190.19 4.19% 2,834.40 1.79%
3. 2019/04/30 $170.21 -10.51% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023/11/30 $310.84 18.54% 4,567.80 8.92%
59. 2023/12/31 $337.36 8.53% 4,769.83 4.42%
平均 (R): 1.63% 1.11%
標準偏差: 10.24% 5.31%
Intuitive Surgical Inc. (ISRG) Standard & Poor’s 500 (S&P 500)
t 日付 価格ISRG,t1 配当ISRG,t1 RISRG,t2 価格S&P 500,t RS&P 500,t3
2019/01/31 $174.55 2,704.10
1. 2019/02/28 $182.54 4.58% 2,784.49 2.97%
2. 2019/03/31 $190.19 4.19% 2,834.40 1.79%
3. 2019/04/30 $170.21 -10.51% 2,945.83 3.93%
4. 2019/05/31 $154.95 -8.97% 2,752.06 -6.58%
5. 2019/06/30 $174.85 12.84% 2,941.76 6.89%
6. 2019/07/31 $173.17 -0.96% 2,980.38 1.31%
7. 2019/08/31 $170.45 -1.57% 2,926.46 -1.81%
8. 2019/09/30 $179.98 5.59% 2,976.74 1.72%
9. 2019/10/31 $184.32 2.41% 3,037.56 2.04%
10. 2019/11/30 $197.63 7.22% 3,140.98 3.40%
11. 2019/12/31 $197.05 -0.29% 3,230.78 2.86%
12. 2020/01/31 $186.59 -5.31% 3,225.52 -0.16%
13. 2020/02/29 $177.99 -4.61% 2,954.22 -8.41%
14. 2020/03/31 $165.07 -7.26% 2,584.59 -12.51%
15. 2020/04/30 $170.29 3.16% 2,912.43 12.68%
16. 2020/05/31 $193.34 13.54% 3,044.31 4.53%
17. 2020/06/30 $189.94 -1.76% 3,100.29 1.84%
18. 2020/07/31 $228.48 20.29% 3,271.12 5.51%
19. 2020/08/31 $243.61 6.62% 3,500.31 7.01%
20. 2020/09/30 $236.51 -2.91% 3,363.00 -3.92%
21. 2020/10/31 $222.36 -5.98% 3,269.96 -2.77%
22. 2020/11/30 $242.02 8.84% 3,621.63 10.75%
23. 2020/12/31 $272.70 12.68% 3,756.07 3.71%
24. 2021/01/31 $249.21 -8.61% 3,714.24 -1.11%
25. 2021/02/28 $245.60 -1.45% 3,811.15 2.61%
26. 2021/03/31 $246.31 0.29% 3,972.89 4.24%
27. 2021/04/30 $288.33 17.06% 4,181.17 5.24%
28. 2021/05/31 $280.73 -2.64% 4,204.11 0.55%
29. 2021/06/30 $306.55 9.20% 4,297.50 2.22%
30. 2021/07/31 $330.49 7.81% 4,395.26 2.27%
31. 2021/08/31 $351.19 6.26% 4,522.68 2.90%
32. 2021/09/30 $331.38 -5.64% 4,307.54 -4.76%
33. 2021/10/31 $361.13 8.98% 4,605.38 6.91%
34. 2021/11/30 $324.34 -10.19% 4,567.00 -0.83%
35. 2021/12/31 $359.30 10.78% 4,766.18 4.36%
36. 2022/01/31 $284.18 -20.91% 4,515.55 -5.26%
37. 2022/02/28 $290.33 2.16% 4,373.94 -3.14%
38. 2022/03/31 $301.68 3.91% 4,530.41 3.58%
39. 2022/04/30 $239.30 -20.68% 4,131.93 -8.80%
40. 2022/05/31 $227.64 -4.87% 4,132.15 0.01%
41. 2022/06/30 $200.71 -11.83% 3,785.38 -8.39%
42. 2022/07/31 $230.17 14.68% 4,130.29 9.11%
43. 2022/08/31 $205.74 -10.61% 3,955.00 -4.24%
44. 2022/09/30 $187.44 -8.89% 3,585.62 -9.34%
45. 2022/10/31 $246.47 31.49% 3,871.98 7.99%
46. 2022/11/30 $270.39 9.71% 4,080.11 5.38%
47. 2022/12/31 $265.35 -1.86% 3,839.50 -5.90%
48. 2023/01/31 $245.69 -7.41% 4,076.60 6.18%
49. 2023/02/28 $229.39 -6.63% 3,970.15 -2.61%
50. 2023/03/31 $255.47 11.37% 4,109.31 3.51%
51. 2023/04/30 $301.22 17.91% 4,169.48 1.46%
52. 2023/05/31 $307.84 2.20% 4,179.83 0.25%
53. 2023/06/30 $341.94 11.08% 4,376.86 4.71%
54. 2023/07/31 $324.40 -5.13% 4,588.96 4.85%
55. 2023/08/31 $312.68 -3.61% 4,507.66 -1.77%
56. 2023/09/30 $292.29 -6.52% 4,288.05 -4.87%
57. 2023/10/31 $262.22 -10.29% 4,193.80 -2.20%
58. 2023/11/30 $310.84 18.54% 4,567.80 8.92%
59. 2023/12/31 $337.36 8.53% 4,769.83 4.42%
平均 (R): 1.63% 1.11%
標準偏差: 10.24% 5.31%

すべて表示

1 普通株式1株当たり米ドルで、分割および株式配当を調整したデータ。

2 期間 t中のISRG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プロキシ)の収益率。


分散と共分散

Intuitive Surgical Inc.、分散の計算、および戻り値の共分散

Microsoft Excel
t 日付 RISRG,t RS&P 500,t (RISRG,tRISRG)2 (RS&P 500,tRS&P 500)2 (RISRG,tRISRG)×(RS&P 500,tRS&P 500)
1. 2019/02/28 4.58% 2.97% 8.70 3.49 5.51
2. 2019/03/31 4.19% 1.79% 6.57 0.47 1.76
3. 2019/04/30 -10.51% 3.93% 147.20 7.98 -34.28
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023/11/30 18.54% 8.92% 286.10 61.03 132.14
59. 2023/12/31 8.53% 4.42% 47.67 11.00 22.90
トータル (Σ): 6,085.09 1,634.30 2,217.97
t 日付 RISRG,t RS&P 500,t (RISRG,tRISRG)2 (RS&P 500,tRS&P 500)2 (RISRG,tRISRG)×(RS&P 500,tRS&P 500)
1. 2019/02/28 4.58% 2.97% 8.70 3.49 5.51
2. 2019/03/31 4.19% 1.79% 6.57 0.47 1.76
3. 2019/04/30 -10.51% 3.93% 147.20 7.98 -34.28
4. 2019/05/31 -8.97% -6.58% 112.20 59.04 81.39
5. 2019/06/30 12.84% 6.89% 125.79 33.49 64.91
6. 2019/07/31 -0.96% 1.31% 6.70 0.04 -0.54
7. 2019/08/31 -1.57% -1.81% 10.23 8.50 9.32
8. 2019/09/30 5.59% 1.72% 15.71 0.37 2.43
9. 2019/10/31 2.41% 2.04% 0.61 0.88 0.74
10. 2019/11/30 7.22% 3.40% 31.29 5.28 12.86
11. 2019/12/31 -0.29% 2.86% 3.69 3.07 -3.37
12. 2020/01/31 -5.31% -0.16% 48.10 1.61 8.80
13. 2020/02/29 -4.61% -8.41% 38.89 90.57 59.35
14. 2020/03/31 -7.26% -12.51% 78.96 185.44 121.01
15. 2020/04/30 3.16% 12.68% 2.36 134.06 17.77
16. 2020/05/31 13.54% 4.53% 141.81 11.71 40.75
17. 2020/06/30 -1.76% 1.84% 11.46 0.54 -2.48
18. 2020/07/31 20.29% 5.51% 348.32 19.40 82.20
19. 2020/08/31 6.62% 7.01% 24.95 34.82 29.47
20. 2020/09/30 -2.91% -3.92% 20.63 25.29 22.84
21. 2020/10/31 -5.98% -2.77% 57.91 15.00 29.47
22. 2020/11/30 8.84% 10.75% 52.05 93.10 69.61
23. 2020/12/31 12.68% 3.71% 122.09 6.79 28.80
24. 2021/01/31 -8.61% -1.11% 104.88 4.93 22.73
25. 2021/02/28 -1.45% 2.61% 9.46 2.26 -4.62
26. 2021/03/31 0.29% 4.24% 1.79 9.85 -4.20
27. 2021/04/30 17.06% 5.24% 238.17 17.11 63.84
28. 2021/05/31 -2.64% 0.55% 18.17 0.31 2.38
29. 2021/06/30 9.20% 2.22% 57.31 1.24 8.44
30. 2021/07/31 7.81% 2.27% 38.22 1.37 7.23
31. 2021/08/31 6.26% 2.90% 21.49 3.22 8.31
32. 2021/09/30 -5.64% -4.76% 52.82 34.37 42.61
33. 2021/10/31 8.98% 6.91% 54.03 33.74 42.70
34. 2021/11/30 -10.19% -0.83% 139.59 3.76 22.91
35. 2021/12/31 10.78% 4.36% 83.75 10.60 29.79
36. 2022/01/31 -20.91% -5.26% 507.80 40.51 143.42
37. 2022/02/28 2.16% -3.14% 0.29 17.99 -2.28
38. 2022/03/31 3.91% 3.58% 5.21 6.11 5.64
39. 2022/04/30 -20.68% -8.80% 497.50 98.04 220.85
40. 2022/05/31 -4.87% 0.01% 42.25 1.21 7.15
41. 2022/06/30 -11.83% -8.39% 181.10 90.21 127.82
42. 2022/07/31 14.68% 9.11% 170.32 64.09 104.48
43. 2022/08/31 -10.61% -4.24% 149.84 28.62 65.49
44. 2022/09/30 -8.89% -9.34% 110.71 109.11 109.91
45. 2022/10/31 31.49% 7.99% 891.95 47.34 205.49
46. 2022/11/30 9.71% 5.38% 65.25 18.23 34.49
47. 2022/12/31 -1.86% -5.90% 12.19 49.04 24.45
48. 2023/01/31 -7.41% 6.18% 81.65 25.70 -45.81
49. 2023/02/28 -6.63% -2.61% 68.25 13.82 30.71
50. 2023/03/31 11.37% 3.51% 94.91 5.76 23.37
51. 2023/04/30 17.91% 1.46% 265.07 0.13 5.83
52. 2023/05/31 2.20% 0.25% 0.33 0.74 -0.49
53. 2023/06/30 11.08% 4.71% 89.30 13.02 34.10
54. 2023/07/31 -5.13% 4.85% 45.65 13.99 -25.27
55. 2023/08/31 -3.61% -1.77% 27.46 8.28 15.08
56. 2023/09/30 -6.52% -4.87% 66.39 35.73 48.71
57. 2023/10/31 -10.29% -2.20% 141.97 10.92 39.36
58. 2023/11/30 18.54% 8.92% 286.10 61.03 132.14
59. 2023/12/31 8.53% 4.42% 47.67 11.00 22.90
トータル (Σ): 6,085.09 1,634.30 2,217.97

すべて表示

分散ISRG = Σ(RISRG,tRISRG)2 ÷ (59 – 1)
= 6,085.09 ÷ (59 – 1)
= 104.92

分散S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18

共 分散ISRG, S&P 500 = Σ(RISRG,tRISRG)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 2,217.97 ÷ (59 – 1)
= 38.24


システマティックリスク推定 (β)

Microsoft Excel
分散ISRG 104.92
分散S&P 500 28.18
共 分散ISRG, S&P 500 38.24
相関係数ISRG, S&P 5001 0.70
βISRG2 1.36
αISRG3 0.13%

計算

1 相関係数ISRG, S&P 500
= 共 分散ISRG, S&P 500 ÷ (標準偏差ISRG × 標準偏差S&P 500)
= 38.24 ÷ (10.24% × 5.31%)
= 0.70

2 βISRG
= 共 分散ISRG, S&P 500 ÷ 分散S&P 500
= 38.24 ÷ 28.18
= 1.36

3 αISRG
= 平均ISRG – βISRG × 平均S&P 500
= 1.63%1.36 × 1.11%
= 0.13%


期待収益率

Microsoft Excel
仮定
LT財務省総合の収益率1 RF 4.42%
市場ポートフォリオの期待収益率2 E(RM) 13.61%
普通株式 Intuitive Surgical システマティックリスク βISRG 1.36
 
インテュイティブ・サージカルの普通株式の期待収益率3 E(RISRG) 16.89%

1 10年以内に期限が到来またはコール可能でないすべての固定クーポン米国債の入札利回りの非加重平均(リスクフリー収益率プロキシ)。

2 詳細を見る »

3 E(RISRG) = RF + βISRG [E(RM) – RF]
= 4.42% + 1.36 [13.61%4.42%]
= 16.89%