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 KLA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
KLA Corp.、月間収益率
| KLA Corp. (KLAC) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格KLAC,t1 | 配当KLAC,t1 | RKLAC,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2019/07/31 | $136.32 | 2,980.38 | ||||
| 1. | 2019/08/31 | $147.90 | $0.75 | 9.04% | 2,926.46 | -1.81% |
| 2. | 2019/09/30 | $159.45 | 7.81% | 2,976.74 | 1.72% | |
| 3. | 2019/10/31 | $169.04 | 6.01% | 3,037.56 | 2.04% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025/05/31 | $756.88 | $1.90 | 7.98% | 5,911.69 | 6.15% |
| 71. | 2025/06/30 | $895.74 | 18.35% | 6,204.95 | 4.96% | |
| 平均 (R): | 3.19% | 1.16% | ||||
| 標準偏差： | 9.05% | 4.98% | ||||
| KLA Corp. (KLAC) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格KLAC,t1 | 配当KLAC,t1 | RKLAC,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2019/07/31 | $136.32 | 2,980.38 | ||||
| 1. | 2019/08/31 | $147.90 | $0.75 | 9.04% | 2,926.46 | -1.81% |
| 2. | 2019/09/30 | $159.45 | 7.81% | 2,976.74 | 1.72% | |
| 3. | 2019/10/31 | $169.04 | 6.01% | 3,037.56 | 2.04% | |
| 4. | 2019/11/30 | $163.86 | $0.85 | -2.56% | 3,140.98 | 3.40% |
| 5. | 2019/12/31 | $178.17 | 8.73% | 3,230.78 | 2.86% | |
| 6. | 2020/01/31 | $165.74 | -6.98% | 3,225.52 | -0.16% | |
| 7. | 2020/02/29 | $153.71 | $0.85 | -6.75% | 2,954.22 | -8.41% |
| 8. | 2020/03/31 | $143.74 | -6.49% | 2,584.59 | -12.51% | |
| 9. | 2020/04/30 | $164.09 | 14.16% | 2,912.43 | 12.68% | |
| 10. | 2020/05/31 | $175.96 | $0.85 | 7.75% | 3,044.31 | 4.53% |
| 11. | 2020/06/30 | $194.48 | 10.53% | 3,100.29 | 1.84% | |
| 12. | 2020/07/31 | $199.83 | 2.75% | 3,271.12 | 5.51% | |
| 13. | 2020/08/31 | $205.14 | $0.90 | 3.11% | 3,500.31 | 7.01% |
| 14. | 2020/09/30 | $193.74 | -5.56% | 3,363.00 | -3.92% | |
| 15. | 2020/10/31 | $197.18 | 1.78% | 3,269.96 | -2.77% | |
| 16. | 2020/11/30 | $251.97 | $0.90 | 28.24% | 3,621.63 | 10.75% |
| 17. | 2020/12/31 | $258.91 | 2.75% | 3,756.07 | 3.71% | |
| 18. | 2021/01/31 | $280.07 | 8.17% | 3,714.24 | -1.11% | |
| 19. | 2021/02/28 | $311.23 | $0.90 | 11.45% | 3,811.15 | 2.61% |
| 20. | 2021/03/31 | $330.40 | 6.16% | 3,972.89 | 4.24% | |
| 21. | 2021/04/30 | $315.35 | -4.56% | 4,181.17 | 5.24% | |
| 22. | 2021/05/31 | $316.89 | $0.90 | 0.77% | 4,204.11 | 0.55% |
| 23. | 2021/06/30 | $324.21 | 2.31% | 4,297.50 | 2.22% | |
| 24. | 2021/07/31 | $348.16 | 7.39% | 4,395.26 | 2.27% | |
| 25. | 2021/08/31 | $339.96 | $1.05 | -2.05% | 4,522.68 | 2.90% |
| 26. | 2021/09/30 | $334.51 | -1.60% | 4,307.54 | -4.76% | |
| 27. | 2021/10/31 | $372.76 | 11.43% | 4,605.38 | 6.91% | |
| 28. | 2021/11/30 | $408.13 | $1.05 | 9.77% | 4,567.00 | -0.83% |
| 29. | 2021/12/31 | $430.11 | 5.39% | 4,766.18 | 4.36% | |
| 30. | 2022/01/31 | $389.27 | -9.50% | 4,515.55 | -5.26% | |
| 31. | 2022/02/28 | $348.50 | $1.05 | -10.20% | 4,373.94 | -3.14% |
| 32. | 2022/03/31 | $366.06 | 5.04% | 4,530.41 | 3.58% | |
| 33. | 2022/04/30 | $319.26 | -12.78% | 4,131.93 | -8.80% | |
| 34. | 2022/05/31 | $364.85 | $1.05 | 14.61% | 4,132.15 | 0.01% |
| 35. | 2022/06/30 | $319.08 | -12.54% | 3,785.38 | -8.39% | |
| 36. | 2022/07/31 | $383.54 | 20.20% | 4,130.29 | 9.11% | |
| 37. | 2022/08/31 | $344.13 | $1.30 | -9.94% | 3,955.00 | -4.24% |
| 38. | 2022/09/30 | $302.63 | -12.06% | 3,585.62 | -9.34% | |
| 39. | 2022/10/31 | $316.45 | 4.57% | 3,871.98 | 7.99% | |
| 40. | 2022/11/30 | $393.15 | $1.30 | 24.65% | 4,080.11 | 5.38% |
| 41. | 2022/12/31 | $377.03 | -4.10% | 3,839.50 | -5.90% | |
| 42. | 2023/01/31 | $392.48 | 4.10% | 4,076.60 | 6.18% | |
| 43. | 2023/02/28 | $379.38 | $1.30 | -3.01% | 3,970.15 | -2.61% |
| 44. | 2023/03/31 | $399.17 | 5.22% | 4,109.31 | 3.51% | |
| 45. | 2023/04/30 | $386.54 | -3.16% | 4,169.48 | 1.46% | |
| 46. | 2023/05/31 | $442.99 | $1.30 | 14.94% | 4,179.83 | 0.25% |
| 47. | 2023/06/30 | $485.02 | 9.49% | 4,376.86 | 4.71% | |
| 48. | 2023/07/31 | $513.95 | 5.96% | 4,588.96 | 4.85% | |
| 49. | 2023/08/31 | $501.87 | $1.30 | -2.10% | 4,507.66 | -1.77% |
| 50. | 2023/09/30 | $458.66 | -8.61% | 4,288.05 | -4.87% | |
| 51. | 2023/10/31 | $469.70 | 2.41% | 4,193.80 | -2.20% | |
| 52. | 2023/11/30 | $544.62 | $1.45 | 16.26% | 4,567.80 | 8.92% |
| 53. | 2023/12/31 | $581.30 | 6.73% | 4,769.83 | 4.42% | |
| 54. | 2024/01/31 | $594.04 | 2.19% | 4,845.65 | 1.59% | |
| 55. | 2024/02/29 | $682.30 | $1.45 | 15.10% | 5,096.27 | 5.17% |
| 56. | 2024/03/31 | $698.57 | 2.38% | 5,254.35 | 3.10% | |
| 57. | 2024/04/30 | $689.29 | -1.33% | 5,035.69 | -4.16% | |
| 58. | 2024/05/31 | $759.53 | $1.45 | 10.40% | 5,277.51 | 4.80% |
| 59. | 2024/06/30 | $824.51 | 8.56% | 5,460.48 | 3.47% | |
| 60. | 2024/07/31 | $823.07 | -0.17% | 5,522.30 | 1.13% | |
| 61. | 2024/08/31 | $819.43 | $1.45 | -0.27% | 5,648.40 | 2.28% |
| 62. | 2024/09/30 | $774.41 | -5.49% | 5,762.48 | 2.02% | |
| 63. | 2024/10/31 | $666.23 | -13.97% | 5,705.45 | -0.99% | |
| 64. | 2024/11/30 | $647.03 | $1.70 | -2.63% | 6,032.38 | 5.73% |
| 65. | 2024/12/31 | $630.12 | -2.61% | 5,881.63 | -2.50% | |
| 66. | 2025/01/31 | $738.24 | 17.16% | 6,040.53 | 2.70% | |
| 67. | 2025/02/28 | $708.84 | $1.70 | -3.75% | 5,954.50 | -1.42% |
| 68. | 2025/03/31 | $679.80 | -4.10% | 5,611.85 | -5.75% | |
| 69. | 2025/04/30 | $702.69 | 3.37% | 5,569.06 | -0.76% | |
| 70. | 2025/05/31 | $756.88 | $1.90 | 7.98% | 5,911.69 | 6.15% |
| 71. | 2025/06/30 | $895.74 | 18.35% | 6,204.95 | 4.96% | |
| 平均 (R): | 3.19% | 1.16% | ||||
| 標準偏差： | 9.05% | 4.98% | ||||
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KLAC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
KLA Corp.、分散の計算、および戻り値の共分散
| t | 日付 | RKLAC,t | RS&P 500,t | (RKLAC,t–RKLAC)2 | (RS&P 500,t–RS&P 500)2 | (RKLAC,t–RKLAC)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019/08/31 | 9.04% | -1.81% | 34.31 | 8.82 | -17.40 |
| 2. | 2019/09/30 | 7.81% | 1.72% | 21.36 | 0.31 | 2.57 |
| 3. | 2019/10/31 | 6.01% | 2.04% | 7.99 | 0.78 | 2.49 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025/05/31 | 7.98% | 6.15% | 22.99 | 24.91 | 23.93 |
| 71. | 2025/06/30 | 18.35% | 4.96% | 229.79 | 14.44 | 57.60 |
| トータル (Σ): | 5,738.63 | 1,738.13 | 2,214.56 | |||
| t | 日付 | RKLAC,t | RS&P 500,t | (RKLAC,t–RKLAC)2 | (RS&P 500,t–RS&P 500)2 | (RKLAC,t–RKLAC)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019/08/31 | 9.04% | -1.81% | 34.31 | 8.82 | -17.40 |
| 2. | 2019/09/30 | 7.81% | 1.72% | 21.36 | 0.31 | 2.57 |
| 3. | 2019/10/31 | 6.01% | 2.04% | 7.99 | 0.78 | 2.49 |
| 4. | 2019/11/30 | -2.56% | 3.40% | 33.05 | 5.03 | -12.90 |
| 5. | 2019/12/31 | 8.73% | 2.86% | 30.75 | 2.88 | 9.42 |
| 6. | 2020/01/31 | -6.98% | -0.16% | 103.30 | 1.75 | 13.46 |
| 7. | 2020/02/29 | -6.75% | -8.41% | 98.66 | 91.63 | 95.08 |
| 8. | 2020/03/31 | -6.49% | -12.51% | 93.58 | 186.95 | 132.27 |
| 9. | 2020/04/30 | 14.16% | 12.68% | 120.34 | 132.79 | 126.41 |
| 10. | 2020/05/31 | 7.75% | 4.53% | 20.83 | 11.34 | 15.37 |
| 11. | 2020/06/30 | 10.53% | 1.84% | 53.84 | 0.46 | 4.97 |
| 12. | 2020/07/31 | 2.75% | 5.51% | 0.19 | 18.91 | -1.90 |
| 13. | 2020/08/31 | 3.11% | 7.01% | 0.01 | 34.17 | -0.47 |
| 14. | 2020/09/30 | -5.56% | -3.92% | 76.47 | 25.85 | 44.46 |
| 15. | 2020/10/31 | 1.78% | -2.77% | 1.99 | 15.43 | 5.55 |
| 16. | 2020/11/30 | 28.24% | 10.75% | 627.79 | 92.03 | 240.37 |
| 17. | 2020/12/31 | 2.75% | 3.71% | 0.19 | 6.51 | -1.10 |
| 18. | 2021/01/31 | 8.17% | -1.11% | 24.85 | 5.17 | -11.34 |
| 19. | 2021/02/28 | 11.45% | 2.61% | 68.22 | 2.10 | 11.96 |
| 20. | 2021/03/31 | 6.16% | 4.24% | 8.83 | 9.50 | 9.16 |
| 21. | 2021/04/30 | -4.56% | 5.24% | 59.95 | 16.66 | -31.60 |
| 22. | 2021/05/31 | 0.77% | 0.55% | 5.83 | 0.38 | 1.48 |
| 23. | 2021/06/30 | 2.31% | 2.22% | 0.77 | 1.12 | -0.93 |
| 24. | 2021/07/31 | 7.39% | 2.27% | 17.64 | 1.24 | 4.68 |
| 25. | 2021/08/31 | -2.05% | 2.90% | 27.47 | 3.02 | -9.11 |
| 26. | 2021/09/30 | -1.60% | -4.76% | 22.95 | 35.02 | 28.35 |
| 27. | 2021/10/31 | 11.43% | 6.91% | 68.02 | 33.10 | 47.45 |
| 28. | 2021/11/30 | 9.77% | -0.83% | 43.34 | 3.98 | -13.13 |
| 29. | 2021/12/31 | 5.39% | 4.36% | 4.83 | 10.24 | 7.03 |
| 30. | 2022/01/31 | -9.50% | -5.26% | 160.85 | 41.21 | 81.42 |
| 31. | 2022/02/28 | -10.20% | -3.14% | 179.32 | 18.47 | 57.54 |
| 32. | 2022/03/31 | 5.04% | 3.58% | 3.43 | 5.84 | 4.47 |
| 33. | 2022/04/30 | -12.78% | -8.80% | 255.11 | 99.14 | 159.03 |
| 34. | 2022/05/31 | 14.61% | 0.01% | 130.45 | 1.34 | -13.20 |
| 35. | 2022/06/30 | -12.54% | -8.39% | 247.51 | 91.26 | 150.29 |
| 36. | 2022/07/31 | 20.20% | 9.11% | 289.49 | 63.21 | 135.27 |
| 37. | 2022/08/31 | -9.94% | -4.24% | 172.23 | 29.22 | 70.94 |
| 38. | 2022/09/30 | -12.06% | -9.34% | 232.47 | 110.27 | 160.10 |
| 39. | 2022/10/31 | 4.57% | 7.99% | 1.90 | 46.58 | 9.41 |
| 40. | 2022/11/30 | 24.65% | 5.38% | 460.58 | 17.76 | 90.44 |
| 41. | 2022/12/31 | -4.10% | -5.90% | 53.11 | 49.82 | 51.44 |
| 42. | 2023/01/31 | 4.10% | 6.18% | 0.83 | 25.14 | 4.56 |
| 43. | 2023/02/28 | -3.01% | -2.61% | 38.36 | 14.23 | 23.37 |
| 44. | 2023/03/31 | 5.22% | 3.51% | 4.12 | 5.49 | 4.76 |
| 45. | 2023/04/30 | -3.16% | 1.46% | 40.34 | 0.09 | -1.93 |
| 46. | 2023/05/31 | 14.94% | 0.25% | 138.13 | 0.83 | -10.73 |
| 47. | 2023/06/30 | 9.49% | 4.71% | 39.69 | 12.62 | 22.38 |
| 48. | 2023/07/31 | 5.96% | 4.85% | 7.71 | 13.58 | 10.23 |
| 49. | 2023/08/31 | -2.10% | -1.77% | 27.93 | 8.60 | 15.50 |
| 50. | 2023/09/30 | -8.61% | -4.87% | 139.17 | 36.40 | 71.17 |
| 51. | 2023/10/31 | 2.41% | -2.20% | 0.61 | 11.28 | 2.62 |
| 52. | 2023/11/30 | 16.26% | 8.92% | 170.87 | 60.17 | 101.40 |
| 53. | 2023/12/31 | 6.73% | 4.42% | 12.59 | 10.64 | 11.57 |
| 54. | 2024/01/31 | 2.19% | 1.59% | 0.99 | 0.18 | -0.43 |
| 55. | 2024/02/29 | 15.10% | 5.17% | 141.95 | 16.09 | 47.79 |
| 56. | 2024/03/31 | 2.38% | 3.10% | 0.64 | 3.77 | -1.56 |
| 57. | 2024/04/30 | -1.33% | -4.16% | 20.39 | 28.33 | 24.04 |
| 58. | 2024/05/31 | 10.40% | 4.80% | 52.03 | 13.26 | 26.26 |
| 59. | 2024/06/30 | 8.56% | 3.47% | 28.81 | 5.32 | 12.38 |
| 60. | 2024/07/31 | -0.17% | 1.13% | 11.30 | 0.00 | 0.10 |
| 61. | 2024/08/31 | -0.27% | 2.28% | 11.93 | 1.26 | -3.88 |
| 62. | 2024/09/30 | -5.49% | 2.02% | 75.37 | 0.74 | -7.45 |
| 63. | 2024/10/31 | -13.97% | -0.99% | 294.35 | 4.63 | 36.90 |
| 64. | 2024/11/30 | -2.63% | 5.73% | 33.80 | 20.88 | -26.56 |
| 65. | 2024/12/31 | -2.61% | -2.50% | 33.65 | 13.40 | 21.23 |
| 66. | 2025/01/31 | 17.16% | 2.70% | 195.20 | 2.37 | 21.52 |
| 67. | 2025/02/28 | -3.75% | -1.42% | 48.16 | 6.68 | 17.94 |
| 68. | 2025/03/31 | -4.10% | -5.75% | 53.06 | 47.83 | 50.38 |
| 69. | 2025/04/30 | 3.37% | -0.76% | 0.03 | 3.70 | -0.35 |
| 70. | 2025/05/31 | 7.98% | 6.15% | 22.99 | 24.91 | 23.93 |
| 71. | 2025/06/30 | 18.35% | 4.96% | 229.79 | 14.44 | 57.60 |
| トータル (Σ): | 5,738.63 | 1,738.13 | 2,214.56 | |||
すべて表示
分散KLAC = Σ(RKLAC,t–RKLAC)2 ÷ (71 – 1)
= 5,738.63 ÷ (71 – 1)
= 81.98
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,738.13 ÷ (71 – 1)
= 24.83
共 分散KLAC, S&P 500 = Σ(RKLAC,t–RKLAC)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,214.56 ÷ (71 – 1)
= 31.64
システマティックなリスク推定 (β)
| 分散KLAC | 81.98 |
| 分散S&P 500 | 24.83 |
| 共 分散KLAC, S&P 500 | 31.64 |
| 相関係数KLAC, S&P 5001 | 0.70 |
| βKLAC2 | 1.27 |
| αKLAC3 | 1.71% |
計算
1 相関係数KLAC, S&P 500
= 共 分散KLAC, S&P 500 ÷ (標準偏差KLAC × 標準偏差S&P 500)
= 31.64 ÷ (9.05% × 4.98%)
= 0.70
2 βKLAC
= 共 分散KLAC, S&P 500 ÷ 分散S&P 500
= 31.64 ÷ 24.83
= 1.27
3 αKLAC
= 平均KLAC – βKLAC × 平均S&P 500
= 3.19% – 1.27 × 1.16%
= 1.71%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.71% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.85% |
| 普通株式のシステマティックリスクKLA | βKLAC | 1.27 |
| KLA普通株式の予想収益率3 | E(RKLAC) | 17.63% |
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(RKLAC) = RF + βKLAC [E(RM) – RF]
= 4.71% + 1.27 [14.85% – 4.71%]
= 17.63%