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 |
| 2018/07/31 | $117.42 | 2,816.29 | ||||
| 1. | 2018/08/31 | $116.21 | $0.75 | -0.39% | 2,901.52 | 3.03% |
| 2. | 2018/09/30 | $101.71 | -12.48% | 2,913.98 | 0.43% | |
| 3. | 2018/10/31 | $91.54 | -10.00% | 2,711.74 | -6.94% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024/05/31 | $759.53 | $1.45 | 10.40% | 5,277.51 | 4.80% |
| 71. | 2024/06/30 | $824.51 | 8.56% | 5,460.48 | 3.47% | |
| 平均 (R): | 3.36% | 1.07% | ||||
| 標準偏差： | 9.56% | 5.24% | ||||
| 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 |
| 2018/07/31 | $117.42 | 2,816.29 | ||||
| 1. | 2018/08/31 | $116.21 | $0.75 | -0.39% | 2,901.52 | 3.03% |
| 2. | 2018/09/30 | $101.71 | -12.48% | 2,913.98 | 0.43% | |
| 3. | 2018/10/31 | $91.54 | -10.00% | 2,711.74 | -6.94% | |
| 4. | 2018/11/30 | $98.56 | $0.75 | 8.49% | 2,760.17 | 1.79% |
| 5. | 2018/12/31 | $89.49 | -9.20% | 2,506.85 | -9.18% | |
| 6. | 2019/01/31 | $106.57 | 19.09% | 2,704.10 | 7.87% | |
| 7. | 2019/02/28 | $115.49 | $0.75 | 9.07% | 2,784.49 | 2.97% |
| 8. | 2019/03/31 | $119.41 | 3.39% | 2,834.40 | 1.79% | |
| 9. | 2019/04/30 | $127.48 | 6.76% | 2,945.83 | 3.93% | |
| 10. | 2019/05/31 | $103.07 | $0.75 | -18.56% | 2,752.06 | -6.58% |
| 11. | 2019/06/30 | $118.20 | 14.68% | 2,941.76 | 6.89% | |
| 12. | 2019/07/31 | $136.32 | 15.33% | 2,980.38 | 1.31% | |
| 13. | 2019/08/31 | $147.90 | $0.75 | 9.04% | 2,926.46 | -1.81% |
| 14. | 2019/09/30 | $159.45 | 7.81% | 2,976.74 | 1.72% | |
| 15. | 2019/10/31 | $169.04 | 6.01% | 3,037.56 | 2.04% | |
| 16. | 2019/11/30 | $163.86 | $0.85 | -2.56% | 3,140.98 | 3.40% |
| 17. | 2019/12/31 | $178.17 | 8.73% | 3,230.78 | 2.86% | |
| 18. | 2020/01/31 | $165.74 | -6.98% | 3,225.52 | -0.16% | |
| 19. | 2020/02/29 | $153.71 | $0.85 | -6.75% | 2,954.22 | -8.41% |
| 20. | 2020/03/31 | $143.74 | -6.49% | 2,584.59 | -12.51% | |
| 21. | 2020/04/30 | $164.09 | 14.16% | 2,912.43 | 12.68% | |
| 22. | 2020/05/31 | $175.96 | $0.85 | 7.75% | 3,044.31 | 4.53% |
| 23. | 2020/06/30 | $194.48 | 10.53% | 3,100.29 | 1.84% | |
| 24. | 2020/07/31 | $199.83 | 2.75% | 3,271.12 | 5.51% | |
| 25. | 2020/08/31 | $205.14 | $0.90 | 3.11% | 3,500.31 | 7.01% |
| 26. | 2020/09/30 | $193.74 | -5.56% | 3,363.00 | -3.92% | |
| 27. | 2020/10/31 | $197.18 | 1.78% | 3,269.96 | -2.77% | |
| 28. | 2020/11/30 | $251.97 | $0.90 | 28.24% | 3,621.63 | 10.75% |
| 29. | 2020/12/31 | $258.91 | 2.75% | 3,756.07 | 3.71% | |
| 30. | 2021/01/31 | $280.07 | 8.17% | 3,714.24 | -1.11% | |
| 31. | 2021/02/28 | $311.23 | $0.90 | 11.45% | 3,811.15 | 2.61% |
| 32. | 2021/03/31 | $330.40 | 6.16% | 3,972.89 | 4.24% | |
| 33. | 2021/04/30 | $315.35 | -4.56% | 4,181.17 | 5.24% | |
| 34. | 2021/05/31 | $316.89 | $0.90 | 0.77% | 4,204.11 | 0.55% |
| 35. | 2021/06/30 | $324.21 | 2.31% | 4,297.50 | 2.22% | |
| 36. | 2021/07/31 | $348.16 | 7.39% | 4,395.26 | 2.27% | |
| 37. | 2021/08/31 | $339.96 | $1.05 | -2.05% | 4,522.68 | 2.90% |
| 38. | 2021/09/30 | $334.51 | -1.60% | 4,307.54 | -4.76% | |
| 39. | 2021/10/31 | $372.76 | 11.43% | 4,605.38 | 6.91% | |
| 40. | 2021/11/30 | $408.13 | $1.05 | 9.77% | 4,567.00 | -0.83% |
| 41. | 2021/12/31 | $430.11 | 5.39% | 4,766.18 | 4.36% | |
| 42. | 2022/01/31 | $389.27 | -9.50% | 4,515.55 | -5.26% | |
| 43. | 2022/02/28 | $348.50 | $1.05 | -10.20% | 4,373.94 | -3.14% |
| 44. | 2022/03/31 | $366.06 | 5.04% | 4,530.41 | 3.58% | |
| 45. | 2022/04/30 | $319.26 | -12.78% | 4,131.93 | -8.80% | |
| 46. | 2022/05/31 | $364.85 | $1.05 | 14.61% | 4,132.15 | 0.01% |
| 47. | 2022/06/30 | $319.08 | -12.54% | 3,785.38 | -8.39% | |
| 48. | 2022/07/31 | $383.54 | 20.20% | 4,130.29 | 9.11% | |
| 49. | 2022/08/31 | $344.13 | $1.30 | -9.94% | 3,955.00 | -4.24% |
| 50. | 2022/09/30 | $302.63 | -12.06% | 3,585.62 | -9.34% | |
| 51. | 2022/10/31 | $316.45 | 4.57% | 3,871.98 | 7.99% | |
| 52. | 2022/11/30 | $393.15 | $1.30 | 24.65% | 4,080.11 | 5.38% |
| 53. | 2022/12/31 | $377.03 | -4.10% | 3,839.50 | -5.90% | |
| 54. | 2023/01/31 | $392.48 | 4.10% | 4,076.60 | 6.18% | |
| 55. | 2023/02/28 | $379.38 | $1.30 | -3.01% | 3,970.15 | -2.61% |
| 56. | 2023/03/31 | $399.17 | 5.22% | 4,109.31 | 3.51% | |
| 57. | 2023/04/30 | $386.54 | -3.16% | 4,169.48 | 1.46% | |
| 58. | 2023/05/31 | $442.99 | $1.30 | 14.94% | 4,179.83 | 0.25% |
| 59. | 2023/06/30 | $485.02 | 9.49% | 4,376.86 | 4.71% | |
| 60. | 2023/07/31 | $513.95 | 5.96% | 4,588.96 | 4.85% | |
| 61. | 2023/08/31 | $501.87 | $1.30 | -2.10% | 4,507.66 | -1.77% |
| 62. | 2023/09/30 | $458.66 | -8.61% | 4,288.05 | -4.87% | |
| 63. | 2023/10/31 | $469.70 | 2.41% | 4,193.80 | -2.20% | |
| 64. | 2023/11/30 | $544.62 | $1.45 | 16.26% | 4,567.80 | 8.92% |
| 65. | 2023/12/31 | $581.30 | 6.73% | 4,769.83 | 4.42% | |
| 66. | 2024/01/31 | $594.04 | 2.19% | 4,845.65 | 1.59% | |
| 67. | 2024/02/29 | $682.30 | $1.45 | 15.10% | 5,096.27 | 5.17% |
| 68. | 2024/03/31 | $698.57 | 2.38% | 5,254.35 | 3.10% | |
| 69. | 2024/04/30 | $689.29 | -1.33% | 5,035.69 | -4.16% | |
| 70. | 2024/05/31 | $759.53 | $1.45 | 10.40% | 5,277.51 | 4.80% |
| 71. | 2024/06/30 | $824.51 | 8.56% | 5,460.48 | 3.47% | |
| 平均 (R): | 3.36% | 1.07% | ||||
| 標準偏差： | 9.56% | 5.24% | ||||
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. | 2018/08/31 | -0.39% | 3.03% | 14.08 | 3.81 | -7.33 |
| 2. | 2018/09/30 | -12.48% | 0.43% | 250.85 | 0.41 | 10.20 |
| 3. | 2018/10/31 | -10.00% | -6.94% | 178.49 | 64.22 | 107.06 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024/05/31 | 10.40% | 4.80% | 49.56 | 13.90 | 26.25 |
| 71. | 2024/06/30 | 8.56% | 3.47% | 26.98 | 5.73 | 12.43 |
| トータル (Σ): | 6,393.19 | 1,922.79 | 2,630.64 | |||
| 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. | 2018/08/31 | -0.39% | 3.03% | 14.08 | 3.81 | -7.33 |
| 2. | 2018/09/30 | -12.48% | 0.43% | 250.85 | 0.41 | 10.20 |
| 3. | 2018/10/31 | -10.00% | -6.94% | 178.49 | 64.22 | 107.06 |
| 4. | 2018/11/30 | 8.49% | 1.79% | 26.29 | 0.51 | 3.65 |
| 5. | 2018/12/31 | -9.20% | -9.18% | 157.84 | 105.08 | 128.79 |
| 6. | 2019/01/31 | 19.09% | 7.87% | 247.28 | 46.17 | 106.85 |
| 7. | 2019/02/28 | 9.07% | 2.97% | 32.64 | 3.61 | 10.85 |
| 8. | 2019/03/31 | 3.39% | 1.79% | 0.00 | 0.52 | 0.02 |
| 9. | 2019/04/30 | 6.76% | 3.93% | 11.54 | 8.17 | 9.71 |
| 10. | 2019/05/31 | -18.56% | -6.58% | 480.52 | 58.54 | 167.72 |
| 11. | 2019/06/30 | 14.68% | 6.89% | 128.11 | 33.87 | 65.87 |
| 12. | 2019/07/31 | 15.33% | 1.31% | 143.26 | 0.06 | 2.87 |
| 13. | 2019/08/31 | 9.04% | -1.81% | 32.31 | 8.31 | -16.38 |
| 14. | 2019/09/30 | 7.81% | 1.72% | 19.79 | 0.42 | 2.87 |
| 15. | 2019/10/31 | 6.01% | 2.04% | 7.04 | 0.94 | 2.57 |
| 16. | 2019/11/30 | -2.56% | 3.40% | 35.08 | 5.44 | -13.81 |
| 17. | 2019/12/31 | 8.73% | 2.86% | 28.86 | 3.19 | 9.59 |
| 18. | 2020/01/31 | -6.98% | -0.16% | 106.86 | 1.53 | 12.78 |
| 19. | 2020/02/29 | -6.75% | -8.41% | 102.14 | 89.95 | 95.85 |
| 20. | 2020/03/31 | -6.49% | -12.51% | 96.97 | 184.56 | 133.78 |
| 21. | 2020/04/30 | 14.16% | 12.68% | 116.57 | 134.82 | 125.36 |
| 22. | 2020/05/31 | 7.75% | 4.53% | 19.28 | 11.94 | 15.17 |
| 23. | 2020/06/30 | 10.53% | 1.84% | 51.33 | 0.59 | 5.48 |
| 24. | 2020/07/31 | 2.75% | 5.51% | 0.37 | 19.68 | -2.71 |
| 25. | 2020/08/31 | 3.11% | 7.01% | 0.06 | 35.20 | -1.50 |
| 26. | 2020/09/30 | -5.56% | -3.92% | 79.53 | 24.96 | 44.56 |
| 27. | 2020/10/31 | 1.78% | -2.77% | 2.51 | 14.75 | 6.09 |
| 28. | 2020/11/30 | 28.24% | 10.75% | 619.13 | 93.73 | 240.89 |
| 29. | 2020/12/31 | 2.75% | 3.71% | 0.37 | 6.96 | -1.60 |
| 30. | 2021/01/31 | 8.17% | -1.11% | 23.15 | 4.78 | -10.52 |
| 31. | 2021/02/28 | 11.45% | 2.61% | 65.39 | 2.36 | 12.42 |
| 32. | 2021/03/31 | 6.16% | 4.24% | 7.83 | 10.05 | 8.87 |
| 33. | 2021/04/30 | -4.56% | 5.24% | 62.66 | 17.38 | -33.00 |
| 34. | 2021/05/31 | 0.77% | 0.55% | 6.69 | 0.28 | 1.36 |
| 35. | 2021/06/30 | 2.31% | 2.22% | 1.10 | 1.32 | -1.21 |
| 36. | 2021/07/31 | 7.39% | 2.27% | 16.21 | 1.44 | 4.84 |
| 37. | 2021/08/31 | -2.05% | 2.90% | 29.32 | 3.33 | -9.89 |
| 38. | 2021/09/30 | -1.60% | -4.76% | 24.64 | 33.99 | 28.94 |
| 39. | 2021/10/31 | 11.43% | 6.91% | 65.19 | 34.12 | 47.16 |
| 40. | 2021/11/30 | 9.77% | -0.83% | 41.08 | 3.64 | -12.22 |
| 41. | 2021/12/31 | 5.39% | 4.36% | 4.10 | 10.81 | 6.66 |
| 42. | 2022/01/31 | -9.50% | -5.26% | 165.28 | 40.09 | 81.40 |
| 43. | 2022/02/28 | -10.20% | -3.14% | 184.00 | 17.72 | 57.10 |
| 44. | 2022/03/31 | 5.04% | 3.58% | 2.82 | 6.27 | 4.20 |
| 45. | 2022/04/30 | -12.78% | -8.80% | 260.68 | 97.40 | 159.34 |
| 46. | 2022/05/31 | 14.61% | 0.01% | 126.51 | 1.14 | -12.01 |
| 47. | 2022/06/30 | -12.54% | -8.39% | 252.99 | 89.59 | 150.55 |
| 48. | 2022/07/31 | 20.20% | 9.11% | 283.62 | 64.61 | 135.37 |
| 49. | 2022/08/31 | -9.94% | -4.24% | 176.82 | 28.27 | 70.71 |
| 50. | 2022/09/30 | -12.06% | -9.34% | 237.79 | 108.43 | 160.57 |
| 51. | 2022/10/31 | 4.57% | 7.99% | 1.45 | 47.79 | 8.34 |
| 52. | 2022/11/30 | 24.65% | 5.38% | 453.16 | 18.51 | 91.58 |
| 53. | 2022/12/31 | -4.10% | -5.90% | 55.67 | 48.59 | 52.01 |
| 54. | 2023/01/31 | 4.10% | 6.18% | 0.54 | 26.03 | 3.76 |
| 55. | 2023/02/28 | -3.01% | -2.61% | 40.54 | 13.58 | 23.46 |
| 56. | 2023/03/31 | 5.22% | 3.51% | 3.44 | 5.91 | 4.51 |
| 57. | 2023/04/30 | -3.16% | 1.46% | 42.58 | 0.15 | -2.55 |
| 58. | 2023/05/31 | 14.94% | 0.25% | 134.08 | 0.68 | -9.55 |
| 59. | 2023/06/30 | 9.49% | 4.71% | 37.54 | 13.25 | 22.30 |
| 60. | 2023/07/31 | 5.96% | 4.85% | 6.78 | 14.23 | 9.82 |
| 61. | 2023/08/31 | -2.10% | -1.77% | 29.79 | 8.09 | 15.53 |
| 62. | 2023/09/30 | -8.61% | -4.87% | 143.30 | 35.35 | 71.17 |
| 63. | 2023/10/31 | 2.41% | -2.20% | 0.91 | 10.70 | 3.12 |
| 64. | 2023/11/30 | 16.26% | 8.92% | 166.37 | 61.54 | 101.18 |
| 65. | 2023/12/31 | 6.73% | 4.42% | 11.38 | 11.22 | 11.30 |
| 66. | 2024/01/31 | 2.19% | 1.59% | 1.37 | 0.27 | -0.60 |
| 67. | 2024/02/29 | 15.10% | 5.17% | 137.85 | 16.80 | 48.12 |
| 68. | 2024/03/31 | 2.38% | 3.10% | 0.95 | 4.11 | -1.98 |
| 69. | 2024/04/30 | -1.33% | -4.16% | 21.99 | 27.40 | 24.55 |
| 70. | 2024/05/31 | 10.40% | 4.80% | 49.56 | 13.90 | 26.25 |
| 71. | 2024/06/30 | 8.56% | 3.47% | 26.98 | 5.73 | 12.43 |
| トータル (Σ): | 6,393.19 | 1,922.79 | 2,630.64 | |||
すべて表示
分散KLAC = Σ(RKLAC,t–RKLAC)2 ÷ (71 – 1)
= 6,393.19 ÷ (71 – 1)
= 91.33
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,922.79 ÷ (71 – 1)
= 27.47
共 分散KLAC, S&P 500 = Σ(RKLAC,t–RKLAC)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,630.64 ÷ (71 – 1)
= 37.58
システマティックなリスク推定 (β)
| 分散KLAC | 91.33 |
| 分散S&P 500 | 27.47 |
| 共 分散KLAC, S&P 500 | 37.58 |
| 相関係数KLAC, S&P 5001 | 0.75 |
| βKLAC2 | 1.37 |
| αKLAC3 | 1.89% |
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)
= 37.58 ÷ (9.56% × 5.24%)
= 0.75
2 βKLAC
= 共 分散KLAC, S&P 500 ÷ 分散S&P 500
= 37.58 ÷ 27.47
= 1.37
3 αKLAC
= 平均KLAC – βKLAC × 平均S&P 500
= 3.36% – 1.37 × 1.07%
= 1.89%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.64% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.89% |
| 普通株式のシステマティックリスクKLA | βKLAC | 1.37 |
| KLA普通株式の予想収益率3 | E(RKLAC) | 18.67% |
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]
= 4.64% + 1.37 [14.89% – 4.64%]
= 18.67%