資本資産価格設定モデル (CAPM)
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.、月間収益率
| 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 |
| 2021/01/31 | $249.21 | 3,714.24 | ||||
| 1. | 2021/02/28 | $245.60 | -1.45% | 3,811.15 | 2.61% | |
| 2. | 2021/03/31 | $246.31 | 0.29% | 3,972.89 | 4.24% | |
| 3. | 2021/04/30 | $288.33 | 17.06% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025/11/30 | $573.48 | 7.34% | 6,849.09 | 0.13% | |
| 59. | 2025/12/31 | $566.36 | -1.24% | 6,845.50 | -0.05% | |
| 平均 (R): | 1.90% | 1.14% | ||||
| 標準偏差： | 10.14% | 4.37% | ||||
| 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 |
| 2021/01/31 | $249.21 | 3,714.24 | ||||
| 1. | 2021/02/28 | $245.60 | -1.45% | 3,811.15 | 2.61% | |
| 2. | 2021/03/31 | $246.31 | 0.29% | 3,972.89 | 4.24% | |
| 3. | 2021/04/30 | $288.33 | 17.06% | 4,181.17 | 5.24% | |
| 4. | 2021/05/31 | $280.73 | -2.64% | 4,204.11 | 0.55% | |
| 5. | 2021/06/30 | $306.55 | 9.20% | 4,297.50 | 2.22% | |
| 6. | 2021/07/31 | $330.49 | 7.81% | 4,395.26 | 2.27% | |
| 7. | 2021/08/31 | $351.19 | 6.26% | 4,522.68 | 2.90% | |
| 8. | 2021/09/30 | $331.38 | -5.64% | 4,307.54 | -4.76% | |
| 9. | 2021/10/31 | $361.13 | 8.98% | 4,605.38 | 6.91% | |
| 10. | 2021/11/30 | $324.34 | -10.19% | 4,567.00 | -0.83% | |
| 11. | 2021/12/31 | $359.30 | 10.78% | 4,766.18 | 4.36% | |
| 12. | 2022/01/31 | $284.18 | -20.91% | 4,515.55 | -5.26% | |
| 13. | 2022/02/28 | $290.33 | 2.16% | 4,373.94 | -3.14% | |
| 14. | 2022/03/31 | $301.68 | 3.91% | 4,530.41 | 3.58% | |
| 15. | 2022/04/30 | $239.30 | -20.68% | 4,131.93 | -8.80% | |
| 16. | 2022/05/31 | $227.64 | -4.87% | 4,132.15 | 0.01% | |
| 17. | 2022/06/30 | $200.71 | -11.83% | 3,785.38 | -8.39% | |
| 18. | 2022/07/31 | $230.17 | 14.68% | 4,130.29 | 9.11% | |
| 19. | 2022/08/31 | $205.74 | -10.61% | 3,955.00 | -4.24% | |
| 20. | 2022/09/30 | $187.44 | -8.89% | 3,585.62 | -9.34% | |
| 21. | 2022/10/31 | $246.47 | 31.49% | 3,871.98 | 7.99% | |
| 22. | 2022/11/30 | $270.39 | 9.71% | 4,080.11 | 5.38% | |
| 23. | 2022/12/31 | $265.35 | -1.86% | 3,839.50 | -5.90% | |
| 24. | 2023/01/31 | $245.69 | -7.41% | 4,076.60 | 6.18% | |
| 25. | 2023/02/28 | $229.39 | -6.63% | 3,970.15 | -2.61% | |
| 26. | 2023/03/31 | $255.47 | 11.37% | 4,109.31 | 3.51% | |
| 27. | 2023/04/30 | $301.22 | 17.91% | 4,169.48 | 1.46% | |
| 28. | 2023/05/31 | $307.84 | 2.20% | 4,179.83 | 0.25% | |
| 29. | 2023/06/30 | $341.94 | 11.08% | 4,376.86 | 4.71% | |
| 30. | 2023/07/31 | $324.40 | -5.13% | 4,588.96 | 4.85% | |
| 31. | 2023/08/31 | $312.68 | -3.61% | 4,507.66 | -1.77% | |
| 32. | 2023/09/30 | $292.29 | -6.52% | 4,288.05 | -4.87% | |
| 33. | 2023/10/31 | $262.22 | -10.29% | 4,193.80 | -2.20% | |
| 34. | 2023/11/30 | $310.84 | 18.54% | 4,567.80 | 8.92% | |
| 35. | 2023/12/31 | $337.36 | 8.53% | 4,769.83 | 4.42% | |
| 36. | 2024/01/31 | $378.22 | 12.11% | 4,845.65 | 1.59% | |
| 37. | 2024/02/29 | $385.60 | 1.95% | 5,096.27 | 5.17% | |
| 38. | 2024/03/31 | $399.09 | 3.50% | 5,254.35 | 3.10% | |
| 39. | 2024/04/30 | $370.62 | -7.13% | 5,035.69 | -4.16% | |
| 40. | 2024/05/31 | $402.12 | 8.50% | 5,277.51 | 4.80% | |
| 41. | 2024/06/30 | $444.85 | 10.63% | 5,460.48 | 3.47% | |
| 42. | 2024/07/31 | $444.61 | -0.05% | 5,522.30 | 1.13% | |
| 43. | 2024/08/31 | $492.63 | 10.80% | 5,648.40 | 2.28% | |
| 44. | 2024/09/30 | $491.27 | -0.28% | 5,762.48 | 2.02% | |
| 45. | 2024/10/31 | $503.84 | 2.56% | 5,705.45 | -0.99% | |
| 46. | 2024/11/30 | $542.00 | 7.57% | 6,032.38 | 5.73% | |
| 47. | 2024/12/31 | $521.96 | -3.70% | 5,881.63 | -2.50% | |
| 48. | 2025/01/31 | $571.88 | 9.56% | 6,040.53 | 2.70% | |
| 49. | 2025/02/28 | $573.15 | 0.22% | 5,954.50 | -1.42% | |
| 50. | 2025/03/31 | $495.27 | -13.59% | 5,611.85 | -5.75% | |
| 51. | 2025/04/30 | $515.80 | 4.15% | 5,569.06 | -0.76% | |
| 52. | 2025/05/31 | $552.34 | 7.08% | 5,911.69 | 6.15% | |
| 53. | 2025/06/30 | $543.41 | -1.62% | 6,204.95 | 4.96% | |
| 54. | 2025/07/31 | $481.09 | -11.47% | 6,339.39 | 2.17% | |
| 55. | 2025/08/31 | $473.30 | -1.62% | 6,460.26 | 1.91% | |
| 56. | 2025/09/30 | $447.23 | -5.51% | 6,688.46 | 3.53% | |
| 57. | 2025/10/31 | $534.28 | 19.46% | 6,840.20 | 2.27% | |
| 58. | 2025/11/30 | $573.48 | 7.34% | 6,849.09 | 0.13% | |
| 59. | 2025/12/31 | $566.36 | -1.24% | 6,845.50 | -0.05% | |
| 平均 (R): | 1.90% | 1.14% | ||||
| 標準偏差： | 10.14% | 4.37% | ||||
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の代理)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
| 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. | 2021/02/28 | -1.45% | 2.61% | 11.20 | 2.17 | -4.93 |
| 2. | 2021/03/31 | 0.29% | 4.24% | 2.59 | 9.66 | -5.00 |
| 3. | 2021/04/30 | 17.06% | 5.24% | 229.86 | 16.86 | 62.26 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025/11/30 | 7.34% | 0.13% | 29.58 | 1.01 | -5.47 |
| 59. | 2025/12/31 | -1.24% | -0.05% | 9.86 | 1.41 | 3.73 |
| トータル (Σ): | 5,968.35 | 1,108.23 | 1,818.74 | |||
| 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. | 2021/02/28 | -1.45% | 2.61% | 11.20 | 2.17 | -4.93 |
| 2. | 2021/03/31 | 0.29% | 4.24% | 2.59 | 9.66 | -5.00 |
| 3. | 2021/04/30 | 17.06% | 5.24% | 229.86 | 16.86 | 62.26 |
| 4. | 2021/05/31 | -2.64% | 0.55% | 20.56 | 0.35 | 2.66 |
| 5. | 2021/06/30 | 9.20% | 2.22% | 53.27 | 1.18 | 7.92 |
| 6. | 2021/07/31 | 7.81% | 2.27% | 34.94 | 1.30 | 6.73 |
| 7. | 2021/08/31 | 6.26% | 2.90% | 19.05 | 3.11 | 7.69 |
| 8. | 2021/09/30 | -5.64% | -4.76% | 56.84 | 34.73 | 44.43 |
| 9. | 2021/10/31 | 8.98% | 6.91% | 50.11 | 33.39 | 40.90 |
| 10. | 2021/11/30 | -10.19% | -0.83% | 146.07 | 3.88 | 23.80 |
| 11. | 2021/12/31 | 10.78% | 4.36% | 78.86 | 10.40 | 28.64 |
| 12. | 2022/01/31 | -20.91% | -5.26% | 520.11 | 40.89 | 145.84 |
| 13. | 2022/02/28 | 2.16% | -3.14% | 0.07 | 18.25 | -1.13 |
| 14. | 2022/03/31 | 3.91% | 3.58% | 4.04 | 5.96 | 4.91 |
| 15. | 2022/04/30 | -20.68% | -8.80% | 509.68 | 98.64 | 224.22 |
| 16. | 2022/05/31 | -4.87% | 0.01% | 45.85 | 1.28 | 7.66 |
| 17. | 2022/06/30 | -11.83% | -8.39% | 188.48 | 90.79 | 130.81 |
| 18. | 2022/07/31 | 14.68% | 9.11% | 163.31 | 63.61 | 101.92 |
| 19. | 2022/08/31 | -10.61% | -4.24% | 156.56 | 28.95 | 67.32 |
| 20. | 2022/09/30 | -8.89% | -9.34% | 116.50 | 109.74 | 113.07 |
| 21. | 2022/10/31 | 31.49% | 7.99% | 875.81 | 46.93 | 202.73 |
| 22. | 2022/11/30 | 9.71% | 5.38% | 60.94 | 17.97 | 33.09 |
| 23. | 2022/12/31 | -1.86% | -5.90% | 14.16 | 49.47 | 26.46 |
| 24. | 2023/01/31 | -7.41% | 6.18% | 86.63 | 25.39 | -46.90 |
| 25. | 2023/02/28 | -6.63% | -2.61% | 72.81 | 14.04 | 31.98 |
| 26. | 2023/03/31 | 11.37% | 3.51% | 89.69 | 5.61 | 22.44 |
| 27. | 2023/04/30 | 17.91% | 1.46% | 256.31 | 0.11 | 5.25 |
| 28. | 2023/05/31 | 2.20% | 0.25% | 0.09 | 0.79 | -0.27 |
| 29. | 2023/06/30 | 11.08% | 4.71% | 84.25 | 12.80 | 32.84 |
| 30. | 2023/07/31 | -5.13% | 4.85% | 49.39 | 13.76 | -26.07 |
| 31. | 2023/08/31 | -3.61% | -1.77% | 30.38 | 8.46 | 16.03 |
| 32. | 2023/09/30 | -6.52% | -4.87% | 70.89 | 36.10 | 50.59 |
| 33. | 2023/10/31 | -10.29% | -2.20% | 148.51 | 11.12 | 40.63 |
| 34. | 2023/11/30 | 18.54% | 8.92% | 276.99 | 60.56 | 129.51 |
| 35. | 2023/12/31 | 8.53% | 4.42% | 44.00 | 10.80 | 21.80 |
| 36. | 2024/01/31 | 12.11% | 1.59% | 104.31 | 0.21 | 4.63 |
| 37. | 2024/02/29 | 1.95% | 5.17% | 0.00 | 16.29 | 0.21 |
| 38. | 2024/03/31 | 3.50% | 3.10% | 2.56 | 3.86 | 3.14 |
| 39. | 2024/04/30 | -7.13% | -4.16% | 81.58 | 28.06 | 47.85 |
| 40. | 2024/05/31 | 8.50% | 4.80% | 43.57 | 13.44 | 24.20 |
| 41. | 2024/06/30 | 10.63% | 3.47% | 76.17 | 5.43 | 20.34 |
| 42. | 2024/07/31 | -0.05% | 1.13% | 3.81 | 0.00 | 0.01 |
| 43. | 2024/08/31 | 10.80% | 2.28% | 79.24 | 1.32 | 10.21 |
| 44. | 2024/09/30 | -0.28% | 2.02% | 4.73 | 0.78 | -1.92 |
| 45. | 2024/10/31 | 2.56% | -0.99% | 0.44 | 4.52 | -1.40 |
| 46. | 2024/11/30 | 7.57% | 5.73% | 32.21 | 21.10 | 26.07 |
| 47. | 2024/12/31 | -3.70% | -2.50% | 31.32 | 13.21 | 20.34 |
| 48. | 2025/01/31 | 9.56% | 2.70% | 58.76 | 2.45 | 12.00 |
| 49. | 2025/02/28 | 0.22% | -1.42% | 2.81 | 6.56 | 4.29 |
| 50. | 2025/03/31 | -13.59% | -5.75% | 239.84 | 47.48 | 106.71 |
| 51. | 2025/04/30 | 4.15% | -0.76% | 5.05 | 3.60 | -4.27 |
| 52. | 2025/05/31 | 7.08% | 6.15% | 26.89 | 25.16 | 26.01 |
| 53. | 2025/06/30 | -1.62% | 4.96% | 12.36 | 14.63 | -13.44 |
| 54. | 2025/07/31 | -11.47% | 2.17% | 178.67 | 1.06 | -13.77 |
| 55. | 2025/08/31 | -1.62% | 1.91% | 12.38 | 0.59 | -2.71 |
| 56. | 2025/09/30 | -5.51% | 3.53% | 54.86 | 5.74 | -17.75 |
| 57. | 2025/10/31 | 19.46% | 2.27% | 308.55 | 1.28 | 19.89 |
| 58. | 2025/11/30 | 7.34% | 0.13% | 29.58 | 1.01 | -5.47 |
| 59. | 2025/12/31 | -1.24% | -0.05% | 9.86 | 1.41 | 3.73 |
| トータル (Σ): | 5,968.35 | 1,108.23 | 1,818.74 | |||
すべて表示
分散ISRG = Σ(RISRG,t–RISRG)2 ÷ (59 – 1)
= 5,968.35 ÷ (59 – 1)
= 102.90
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
共 分散ISRG, S&P 500 = Σ(RISRG,t–RISRG)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,818.74 ÷ (59 – 1)
= 31.36
システマティックなリスク推定 (β)
| 分散ISRG | 102.90 |
| 分散S&P 500 | 19.11 |
| 共 分散ISRG, S&P 500 | 31.36 |
| 相関係数ISRG, S&P 5001 | 0.71 |
| βISRG2 | 1.64 |
| αISRG3 | 0.03% |
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)
= 31.36 ÷ (10.14% × 4.37%)
= 0.71
2 βISRG
= 共 分散ISRG, S&P 500 ÷ 分散S&P 500
= 31.36 ÷ 19.11
= 1.64
3 αISRG
= 平均ISRG – βISRG × 平均S&P 500
= 1.90% – 1.64 × 1.14%
= 0.03%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.95% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 17.36% |
| 普通株式 Intuitive Surgical システマティックリスク | βISRG | 1.64 |
| 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) | 25.32% |
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(RISRG) = RF + βISRG [E(RM) – RF]
= 4.95% + 1.64 [17.36% – 4.95%]
= 25.32%