資本資産価格モデル(CAPM)は、 Intuitive Surgical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
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
t | 日付 | RISRG,t | RS&P 500,t | (RISRG,t–RISRG)2 | (RS&P 500,t–RS&P 500)2 | (RISRG,t–RISRG)×(RS&P 500,t–RS&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 |
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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,t–RISRG)2 | (RS&P 500,t–RS&P 500)2 | (RISRG,t–RISRG)×(RS&P 500,t–RS&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,t–RISRG)2 ÷ (59 – 1)
= 6,085.09 ÷ (59 – 1)
= 104.92
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ISRG, S&P 500 = Σ(RISRG,t–RISRG)×(RS&P 500,t–RS&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)
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
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%