Stock Analysis on Net

NVIDIA Corp. (NASDAQ:NVDA)

資本資産価格モデル (CAPM) 

Microsoft Excel

収益率

NVIDIA Corp.、月間収益率

Microsoft Excel
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

NVIDIA Corp.、分散の計算、および戻り値の共分散

Microsoft Excel
t 日付 RNVDA,t RS&P 500,t (RNVDA,tRNVDA)2 (RS&P 500,tRS&P 500)2 (RNVDA,tRNVDA)×(RS&P 500,tRS&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,tRNVDA)2 (RS&P 500,tRS&P 500)2 (RNVDA,tRNVDA)×(RS&P 500,tRS&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,tRNVDA)2 ÷ (71 – 1)
= 14,969.12 ÷ (71 – 1)
= 213.84

分散S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,876.53 ÷ (71 – 1)
= 26.81

共 分散NVDA, S&P 500 = Σ(RNVDA,tRNVDA)×(RS&P 500,tRS&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)

Microsoft Excel
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

Microsoft Excel
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%