資本資産価格モデル(CAPM)は、 NVIDIA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
NVIDIA Corp. (NVDA) | Standard & Poor’s 500 (S&P 500) | |||||
---|---|---|---|---|---|---|
t | 日付 | 価格NVDA,t1 | 配当NVDA,t1 | RNVDA,t2 | 価格S&P 500,t | RS&P 500,t3 |
2018/02/28 | $60.50 | 2,713.83 | ||||
1. | 2018/03/31 | $57.90 | -4.30% | 2,640.87 | -2.69% | |
2. | 2018/04/30 | $56.23 | -2.88% | 2,648.05 | 0.27% | |
3. | 2018/05/31 | $63.05 | $0.0375 | 12.20% | 2,705.27 | 2.16% |
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
70. | 2023/12/31 | $495.22 | $0.04 | 5.89% | 4,769.83 | 4.42% |
71. | 2024/01/31 | $615.27 | 24.24% | 4,845.65 | 1.59% | |
平均 (R): | 4.39% | 0.95% | ||||
標準偏差: | 14.62% | 5.18% |
NVIDIA Corp. (NVDA) | Standard & Poor’s 500 (S&P 500) | |||||
---|---|---|---|---|---|---|
t | 日付 | 価格NVDA,t1 | 配当NVDA,t1 | RNVDA,t2 | 価格S&P 500,t | RS&P 500,t3 |
2018/02/28 | $60.50 | 2,713.83 | ||||
1. | 2018/03/31 | $57.90 | -4.30% | 2,640.87 | -2.69% | |
2. | 2018/04/30 | $56.23 | -2.88% | 2,648.05 | 0.27% | |
3. | 2018/05/31 | $63.05 | $0.0375 | 12.20% | 2,705.27 | 2.16% |
4. | 2018/06/30 | $59.23 | -6.06% | 2,718.37 | 0.48% | |
5. | 2018/07/31 | $61.22 | 3.36% | 2,816.29 | 3.60% | |
6. | 2018/08/31 | $70.17 | $0.0375 | 14.68% | 2,901.52 | 3.03% |
7. | 2018/09/30 | $70.26 | 0.13% | 2,913.98 | 0.43% | |
8. | 2018/10/31 | $52.71 | -24.98% | 2,711.74 | -6.94% | |
9. | 2018/11/30 | $40.86 | $0.04 | -22.41% | 2,760.17 | 1.79% |
10. | 2018/12/31 | $33.38 | -18.31% | 2,506.85 | -9.18% | |
11. | 2019/01/31 | $35.94 | 7.67% | 2,704.10 | 7.87% | |
12. | 2019/02/28 | $38.57 | $0.04 | 7.43% | 2,784.49 | 2.97% |
13. | 2019/03/31 | $44.89 | 16.39% | 2,834.40 | 1.79% | |
14. | 2019/04/30 | $45.25 | 0.80% | 2,945.83 | 3.93% | |
15. | 2019/05/31 | $33.87 | $0.04 | -25.06% | 2,752.06 | -6.58% |
16. | 2019/06/30 | $41.06 | 21.23% | 2,941.76 | 6.89% | |
17. | 2019/07/31 | $42.18 | 2.73% | 2,980.38 | 1.31% | |
18. | 2019/08/31 | $41.88 | $0.04 | -0.62% | 2,926.46 | -1.81% |
19. | 2019/09/30 | $43.52 | 3.92% | 2,976.74 | 1.72% | |
20. | 2019/10/31 | $50.26 | 15.49% | 3,037.56 | 2.04% | |
21. | 2019/11/30 | $54.19 | $0.04 | 7.90% | 3,140.98 | 3.40% |
22. | 2019/12/31 | $58.83 | 8.56% | 3,230.78 | 2.86% | |
23. | 2020/01/31 | $59.11 | 0.48% | 3,225.52 | -0.16% | |
24. | 2020/02/29 | $67.52 | $0.04 | 14.30% | 2,954.22 | -8.41% |
25. | 2020/03/31 | $65.90 | -2.40% | 2,584.59 | -12.51% | |
26. | 2020/04/30 | $73.07 | 10.88% | 2,912.43 | 12.68% | |
27. | 2020/05/31 | $88.76 | 21.47% | 3,044.31 | 4.53% | |
28. | 2020/06/30 | $94.98 | $0.04 | 7.05% | 3,100.29 | 1.84% |
29. | 2020/07/31 | $106.15 | 11.76% | 3,271.12 | 5.51% | |
30. | 2020/08/31 | $133.75 | 26.00% | 3,500.31 | 7.01% | |
31. | 2020/09/30 | $135.31 | $0.04 | 1.20% | 3,363.00 | -3.92% |
32. | 2020/10/31 | $125.34 | -7.37% | 3,269.96 | -2.77% | |
33. | 2020/11/30 | $134.02 | 6.93% | 3,621.63 | 10.75% | |
34. | 2020/12/31 | $130.55 | $0.04 | -2.56% | 3,756.07 | 3.71% |
35. | 2021/01/31 | $129.90 | -0.50% | 3,714.24 | -1.11% | |
36. | 2021/02/28 | $137.15 | 5.58% | 3,811.15 | 2.61% | |
37. | 2021/03/31 | $133.48 | $0.04 | -2.65% | 3,972.89 | 4.24% |
38. | 2021/04/30 | $150.10 | 12.45% | 4,181.17 | 5.24% | |
39. | 2021/05/31 | $162.45 | 8.23% | 4,204.11 | 0.55% | |
40. | 2021/06/30 | $200.02 | $0.04 | 23.15% | 4,297.50 | 2.22% |
41. | 2021/07/31 | $194.99 | -2.51% | 4,395.26 | 2.27% | |
42. | 2021/08/31 | $223.85 | $0.04 | 14.82% | 4,522.68 | 2.90% |
43. | 2021/09/30 | $207.16 | -7.46% | 4,307.54 | -4.76% | |
44. | 2021/10/31 | $255.67 | 23.42% | 4,605.38 | 6.91% | |
45. | 2021/11/30 | $326.76 | 27.81% | 4,567.00 | -0.83% | |
46. | 2021/12/31 | $294.11 | $0.04 | -9.98% | 4,766.18 | 4.36% |
47. | 2022/01/31 | $244.86 | -16.75% | 4,515.55 | -5.26% | |
48. | 2022/02/28 | $243.85 | -0.41% | 4,373.94 | -3.14% | |
49. | 2022/03/31 | $272.86 | $0.04 | 11.91% | 4,530.41 | 3.58% |
50. | 2022/04/30 | $185.47 | -32.03% | 4,131.93 | -8.80% | |
51. | 2022/05/31 | $186.72 | 0.67% | 4,132.15 | 0.01% | |
52. | 2022/06/30 | $151.59 | $0.04 | -18.79% | 3,785.38 | -8.39% |
53. | 2022/07/31 | $181.63 | 19.82% | 4,130.29 | 9.11% | |
54. | 2022/08/31 | $150.94 | -16.90% | 3,955.00 | -4.24% | |
55. | 2022/09/30 | $121.39 | $0.04 | -19.55% | 3,585.62 | -9.34% |
56. | 2022/10/31 | $134.97 | 11.19% | 3,871.98 | 7.99% | |
57. | 2022/11/30 | $169.23 | $0.04 | 25.41% | 4,080.11 | 5.38% |
58. | 2022/12/31 | $146.14 | -13.64% | 3,839.50 | -5.90% | |
59. | 2023/01/31 | $195.37 | 33.69% | 4,076.60 | 6.18% | |
60. | 2023/02/28 | $232.16 | 18.83% | 3,970.15 | -2.61% | |
61. | 2023/03/31 | $277.77 | $0.04 | 19.66% | 4,109.31 | 3.51% |
62. | 2023/04/30 | $277.49 | -0.10% | 4,169.48 | 1.46% | |
63. | 2023/05/31 | $378.34 | 36.34% | 4,179.83 | 0.25% | |
64. | 2023/06/30 | $423.02 | $0.04 | 11.82% | 4,376.86 | 4.71% |
65. | 2023/07/31 | $467.29 | 10.47% | 4,588.96 | 4.85% | |
66. | 2023/08/31 | $493.55 | 5.62% | 4,507.66 | -1.77% | |
67. | 2023/09/30 | $434.99 | $0.04 | -11.86% | 4,288.05 | -4.87% |
68. | 2023/10/31 | $407.80 | -6.25% | 4,193.80 | -2.20% | |
69. | 2023/11/30 | $467.70 | 14.69% | 4,567.80 | 8.92% | |
70. | 2023/12/31 | $495.22 | $0.04 | 5.89% | 4,769.83 | 4.42% |
71. | 2024/01/31 | $615.27 | 24.24% | 4,845.65 | 1.59% | |
平均 (R): | 4.39% | 0.95% | ||||
標準偏差: | 14.62% | 5.18% |
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におけるNVDA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 | RNVDA,t | RS&P 500,t | (RNVDA,t–RNVDA)2 | (RS&P 500,t–RS&P 500)2 | (RNVDA,t–RNVDA)×(RS&P 500,t–RS&P 500) |
---|---|---|---|---|---|---|
1. | 2018/03/31 | -4.30% | -2.69% | 75.53 | 13.26 | 31.65 |
2. | 2018/04/30 | -2.88% | 0.27% | 52.96 | 0.46 | 4.96 |
3. | 2018/05/31 | 12.20% | 2.16% | 60.87 | 1.46 | 9.42 |
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
70. | 2023/12/31 | 5.89% | 4.42% | 2.25 | 12.04 | 5.20 |
71. | 2024/01/31 | 24.24% | 1.59% | 393.96 | 0.41 | 12.64 |
トータル (Σ): | 14,969.12 | 1,876.53 | 3,306.92 |
t | 日付 | RNVDA,t | RS&P 500,t | (RNVDA,t–RNVDA)2 | (RS&P 500,t–RS&P 500)2 | (RNVDA,t–RNVDA)×(RS&P 500,t–RS&P 500) |
---|---|---|---|---|---|---|
1. | 2018/03/31 | -4.30% | -2.69% | 75.53 | 13.26 | 31.65 |
2. | 2018/04/30 | -2.88% | 0.27% | 52.96 | 0.46 | 4.96 |
3. | 2018/05/31 | 12.20% | 2.16% | 60.87 | 1.46 | 9.42 |
4. | 2018/06/30 | -6.06% | 0.48% | 109.25 | 0.22 | 4.90 |
5. | 2018/07/31 | 3.36% | 3.60% | 1.07 | 7.02 | -2.74 |
6. | 2018/08/31 | 14.68% | 3.03% | 105.83 | 4.30 | 21.33 |
7. | 2018/09/30 | 0.13% | 0.43% | 18.19 | 0.27 | 2.23 |
8. | 2018/10/31 | -24.98% | -6.94% | 862.72 | 62.30 | 231.84 |
9. | 2018/11/30 | -22.41% | 1.79% | 718.19 | 0.69 | -22.32 |
10. | 2018/12/31 | -18.31% | -9.18% | 515.28 | 102.63 | 229.96 |
11. | 2019/01/31 | 7.67% | 7.87% | 10.73 | 47.82 | 22.65 |
12. | 2019/02/28 | 7.43% | 2.97% | 9.22 | 4.08 | 6.13 |
13. | 2019/03/31 | 16.39% | 1.79% | 143.82 | 0.70 | 10.07 |
14. | 2019/04/30 | 0.80% | 3.93% | 12.90 | 8.87 | -10.70 |
15. | 2019/05/31 | -25.06% | -6.58% | 867.55 | 56.71 | 221.81 |
16. | 2019/06/30 | 21.23% | 6.89% | 283.41 | 35.28 | 100.00 |
17. | 2019/07/31 | 2.73% | 1.31% | 2.77 | 0.13 | -0.60 |
18. | 2019/08/31 | -0.62% | -1.81% | 25.10 | 7.63 | 13.84 |
19. | 2019/09/30 | 3.92% | 1.72% | 0.23 | 0.59 | -0.37 |
20. | 2019/10/31 | 15.49% | 2.04% | 123.07 | 1.19 | 12.09 |
21. | 2019/11/30 | 7.90% | 3.40% | 12.29 | 6.01 | 8.59 |
22. | 2019/12/31 | 8.56% | 2.86% | 17.38 | 3.63 | 7.95 |
23. | 2020/01/31 | 0.48% | -0.16% | 15.35 | 1.24 | 4.37 |
24. | 2020/02/29 | 14.30% | -8.41% | 98.05 | 87.68 | -92.72 |
25. | 2020/03/31 | -2.40% | -12.51% | 46.14 | 181.30 | 91.46 |
26. | 2020/04/30 | 10.88% | 12.68% | 42.08 | 137.63 | 76.10 |
27. | 2020/05/31 | 21.47% | 4.53% | 291.70 | 12.78 | 61.06 |
28. | 2020/06/30 | 7.05% | 1.84% | 7.07 | 0.78 | 2.36 |
29. | 2020/07/31 | 11.76% | 5.51% | 54.27 | 20.77 | 33.57 |
30. | 2020/08/31 | 26.00% | 7.01% | 466.88 | 36.65 | 130.80 |
31. | 2020/09/30 | 1.20% | -3.92% | 10.22 | 23.77 | 15.59 |
32. | 2020/10/31 | -7.37% | -2.77% | 138.34 | 13.83 | 43.75 |
33. | 2020/11/30 | 6.93% | 10.75% | 6.41 | 96.07 | 24.82 |
34. | 2020/12/31 | -2.56% | 3.71% | 48.34 | 7.61 | -19.18 |
35. | 2021/01/31 | -0.50% | -1.11% | 23.92 | 4.27 | 10.11 |
36. | 2021/02/28 | 5.58% | 2.61% | 1.41 | 2.74 | 1.97 |
37. | 2021/03/31 | -2.65% | 4.24% | 49.56 | 10.83 | -23.17 |
38. | 2021/04/30 | 12.45% | 5.24% | 64.93 | 18.40 | 34.57 |
39. | 2021/05/31 | 8.23% | 0.55% | 14.70 | 0.16 | -1.55 |
40. | 2021/06/30 | 23.15% | 2.22% | 351.87 | 1.61 | 23.79 |
41. | 2021/07/31 | -2.51% | 2.27% | 47.72 | 1.75 | -9.13 |
42. | 2021/08/31 | 14.82% | 2.90% | 108.74 | 3.79 | 20.29 |
43. | 2021/09/30 | -7.46% | -4.76% | 140.41 | 32.60 | 67.66 |
44. | 2021/10/31 | 23.42% | 6.91% | 361.88 | 35.54 | 113.41 |
45. | 2021/11/30 | 27.81% | -0.83% | 548.12 | 3.19 | -41.82 |
46. | 2021/12/31 | -9.98% | 4.36% | 206.59 | 11.62 | -48.99 |
47. | 2022/01/31 | -16.75% | -5.26% | 446.85 | 38.58 | 131.30 |
48. | 2022/02/28 | -0.41% | -3.14% | 23.10 | 16.72 | 19.65 |
49. | 2022/03/31 | 11.91% | 3.58% | 56.54 | 6.89 | 19.73 |
50. | 2022/04/30 | -32.03% | -8.80% | 1,326.48 | 95.04 | 355.05 |
51. | 2022/05/31 | 0.67% | 0.01% | 13.83 | 0.90 | 3.52 |
52. | 2022/06/30 | -18.79% | -8.39% | 537.60 | 87.33 | 216.67 |
53. | 2022/07/31 | 19.82% | 9.11% | 237.87 | 66.56 | 125.83 |
54. | 2022/08/31 | -16.90% | -4.24% | 453.28 | 27.01 | 110.64 |
55. | 2022/09/30 | -19.55% | -9.34% | 573.33 | 105.94 | 246.45 |
56. | 2022/10/31 | 11.19% | 7.99% | 46.15 | 49.47 | 47.78 |
57. | 2022/11/30 | 25.41% | 5.38% | 441.82 | 19.56 | 92.96 |
58. | 2022/12/31 | -13.64% | -5.90% | 325.35 | 46.92 | 123.56 |
59. | 2023/01/31 | 33.69% | 6.18% | 858.11 | 27.27 | 152.98 |
60. | 2023/02/28 | 18.83% | -2.61% | 208.44 | 12.70 | -51.46 |
61. | 2023/03/31 | 19.66% | 3.51% | 233.17 | 6.51 | 38.97 |
62. | 2023/04/30 | -0.10% | 1.46% | 20.20 | 0.26 | -2.30 |
63. | 2023/05/31 | 36.34% | 0.25% | 1,020.82 | 0.50 | -22.51 |
64. | 2023/06/30 | 11.82% | 4.71% | 55.15 | 14.14 | 27.93 |
65. | 2023/07/31 | 10.47% | 4.85% | 36.87 | 15.16 | 23.64 |
66. | 2023/08/31 | 5.62% | -1.77% | 1.50 | 7.42 | -3.34 |
67. | 2023/09/30 | -11.86% | -4.87% | 264.07 | 33.93 | 94.66 |
68. | 2023/10/31 | -6.25% | -2.20% | 113.30 | 9.93 | 33.54 |
69. | 2023/11/30 | 14.69% | 8.92% | 105.99 | 63.44 | 82.00 |
70. | 2023/12/31 | 5.89% | 4.42% | 2.25 | 12.04 | 5.20 |
71. | 2024/01/31 | 24.24% | 1.59% | 393.96 | 0.41 | 12.64 |
トータル (Σ): | 14,969.12 | 1,876.53 | 3,306.92 |
すべて表示
分散NVDA = Σ(RNVDA,t–RNVDA)2 ÷ (71 – 1)
= 14,969.12 ÷ (71 – 1)
= 213.84
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,876.53 ÷ (71 – 1)
= 26.81
共 分散NVDA, S&P 500 = Σ(RNVDA,t–RNVDA)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 3,306.92 ÷ (71 – 1)
= 47.24
システマティックリスク推定 (β)
分散NVDA | 213.84 |
分散S&P 500 | 26.81 |
共 分散NVDA, S&P 500 | 47.24 |
相関係数NVDA, S&P 5001 | 0.62 |
βNVDA2 | 1.76 |
αNVDA3 | 2.71% |
計算
1 相関係数NVDA, S&P 500
= 共 分散NVDA, S&P 500 ÷ (標準偏差NVDA × 標準偏差S&P 500)
= 47.24 ÷ (14.62% × 5.18%)
= 0.62
2 βNVDA
= 共 分散NVDA, S&P 500 ÷ 分散S&P 500
= 47.24 ÷ 26.81
= 1.76
3 αNVDA
= 平均NVDA – βNVDA × 平均S&P 500
= 4.39% – 1.76 × 0.95%
= 2.71%
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 NVIDIA システマティックリスク | βNVDA | 1.76 |
NVIDIA 普通株式の期待収益率3 | E(RNVDA) | 20.61% |
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(RNVDA) = RF + βNVDA [E(RM) – RF]
= 4.42% + 1.76 [13.61% – 4.42%]
= 20.61%