資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Netflix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
Netflix Inc.、月間収益率
| Netflix Inc. (NFLX) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格NFLX,t1 | 配当NFLX,t1 | RNFLX,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2021/01/31 | $53.24 | 3,714.24 | ||||
| 1. | 2021/02/28 | $53.89 | 1.22% | 3,811.15 | 2.61% | |
| 2. | 2021/03/31 | $52.17 | -3.19% | 3,972.89 | 4.24% | |
| 3. | 2021/04/30 | $51.35 | -1.57% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025/11/30 | $107.58 | -3.85% | 6,849.09 | 0.13% | |
| 59. | 2025/12/31 | $93.76 | -12.85% | 6,845.50 | -0.05% | |
| 平均 (R): | 1.84% | 1.14% | ||||
| 標準偏差： | 12.56% | 4.37% | ||||
| Netflix Inc. (NFLX) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格NFLX,t1 | 配当NFLX,t1 | RNFLX,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2021/01/31 | $53.24 | 3,714.24 | ||||
| 1. | 2021/02/28 | $53.89 | 1.22% | 3,811.15 | 2.61% | |
| 2. | 2021/03/31 | $52.17 | -3.19% | 3,972.89 | 4.24% | |
| 3. | 2021/04/30 | $51.35 | -1.57% | 4,181.17 | 5.24% | |
| 4. | 2021/05/31 | $50.28 | -2.08% | 4,204.11 | 0.55% | |
| 5. | 2021/06/30 | $52.82 | 5.05% | 4,297.50 | 2.22% | |
| 6. | 2021/07/31 | $51.76 | -2.01% | 4,395.26 | 2.27% | |
| 7. | 2021/08/31 | $56.92 | 9.97% | 4,522.68 | 2.90% | |
| 8. | 2021/09/30 | $61.03 | 7.22% | 4,307.54 | -4.76% | |
| 9. | 2021/10/31 | $69.03 | 13.11% | 4,605.38 | 6.91% | |
| 10. | 2021/11/30 | $64.19 | -7.01% | 4,567.00 | -0.83% | |
| 11. | 2021/12/31 | $60.24 | -6.15% | 4,766.18 | 4.36% | |
| 12. | 2022/01/31 | $42.71 | -29.10% | 4,515.55 | -5.26% | |
| 13. | 2022/02/28 | $39.45 | -7.63% | 4,373.94 | -3.14% | |
| 14. | 2022/03/31 | $37.46 | -5.04% | 4,530.41 | 3.58% | |
| 15. | 2022/04/30 | $19.04 | -49.17% | 4,131.93 | -8.80% | |
| 16. | 2022/05/31 | $19.74 | 3.68% | 4,132.15 | 0.01% | |
| 17. | 2022/06/30 | $17.49 | -11.40% | 3,785.38 | -8.39% | |
| 18. | 2022/07/31 | $22.49 | 28.59% | 4,130.29 | 9.11% | |
| 19. | 2022/08/31 | $22.36 | -0.58% | 3,955.00 | -4.24% | |
| 20. | 2022/09/30 | $23.54 | 5.28% | 3,585.62 | -9.34% | |
| 21. | 2022/10/31 | $29.19 | 24.00% | 3,871.98 | 7.99% | |
| 22. | 2022/11/30 | $30.55 | 4.66% | 4,080.11 | 5.38% | |
| 23. | 2022/12/31 | $29.49 | -3.47% | 3,839.50 | -5.90% | |
| 24. | 2023/01/31 | $35.39 | 20.01% | 4,076.60 | 6.18% | |
| 25. | 2023/02/28 | $32.21 | -8.99% | 3,970.15 | -2.61% | |
| 26. | 2023/03/31 | $34.55 | 7.26% | 4,109.31 | 3.51% | |
| 27. | 2023/04/30 | $32.99 | -4.52% | 4,169.48 | 1.46% | |
| 28. | 2023/05/31 | $39.52 | 19.79% | 4,179.83 | 0.25% | |
| 29. | 2023/06/30 | $44.05 | 11.46% | 4,376.86 | 4.71% | |
| 30. | 2023/07/31 | $43.90 | -0.34% | 4,588.96 | 4.85% | |
| 31. | 2023/08/31 | $43.37 | -1.21% | 4,507.66 | -1.77% | |
| 32. | 2023/09/30 | $37.76 | -12.94% | 4,288.05 | -4.87% | |
| 33. | 2023/10/31 | $41.17 | 9.03% | 4,193.80 | -2.20% | |
| 34. | 2023/11/30 | $47.40 | 15.13% | 4,567.80 | 8.92% | |
| 35. | 2023/12/31 | $48.69 | 2.72% | 4,769.83 | 4.42% | |
| 36. | 2024/01/31 | $56.41 | 15.86% | 4,845.65 | 1.59% | |
| 37. | 2024/02/29 | $60.29 | 6.88% | 5,096.27 | 5.17% | |
| 38. | 2024/03/31 | $60.73 | 0.73% | 5,254.35 | 3.10% | |
| 39. | 2024/04/30 | $55.06 | -9.34% | 5,035.69 | -4.16% | |
| 40. | 2024/05/31 | $64.16 | 16.53% | 5,277.51 | 4.80% | |
| 41. | 2024/06/30 | $67.49 | 5.19% | 5,460.48 | 3.47% | |
| 42. | 2024/07/31 | $62.84 | -6.89% | 5,522.30 | 1.13% | |
| 43. | 2024/08/31 | $70.14 | 11.62% | 5,648.40 | 2.28% | |
| 44. | 2024/09/30 | $70.93 | 1.13% | 5,762.48 | 2.02% | |
| 45. | 2024/10/31 | $75.60 | 6.58% | 5,705.45 | -0.99% | |
| 46. | 2024/11/30 | $88.68 | 17.30% | 6,032.38 | 5.73% | |
| 47. | 2024/12/31 | $89.13 | 0.51% | 5,881.63 | -2.50% | |
| 48. | 2025/01/31 | $97.68 | 9.59% | 6,040.53 | 2.70% | |
| 49. | 2025/02/28 | $98.06 | 0.39% | 5,954.50 | -1.42% | |
| 50. | 2025/03/31 | $93.25 | -4.91% | 5,611.85 | -5.75% | |
| 51. | 2025/04/30 | $113.17 | 21.36% | 5,569.06 | -0.76% | |
| 52. | 2025/05/31 | $120.72 | 6.67% | 5,911.69 | 6.15% | |
| 53. | 2025/06/30 | $133.91 | 10.93% | 6,204.95 | 4.96% | |
| 54. | 2025/07/31 | $115.94 | -13.42% | 6,339.39 | 2.17% | |
| 55. | 2025/08/31 | $120.83 | 4.22% | 6,460.26 | 1.91% | |
| 56. | 2025/09/30 | $119.89 | -0.78% | 6,688.46 | 3.53% | |
| 57. | 2025/10/31 | $111.89 | -6.67% | 6,840.20 | 2.27% | |
| 58. | 2025/11/30 | $107.58 | -3.85% | 6,849.09 | 0.13% | |
| 59. | 2025/12/31 | $93.76 | -12.85% | 6,845.50 | -0.05% | |
| 平均 (R): | 1.84% | 1.14% | ||||
| 標準偏差： | 12.56% | 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中のNFLX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
Netflix Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RNFLX,t | RS&P 500,t | (RNFLX,t–RNFLX)2 | (RS&P 500,t–RS&P 500)2 | (RNFLX,t–RNFLX)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021/02/28 | 1.22% | 2.61% | 0.38 | 2.17 | -0.91 |
| 2. | 2021/03/31 | -3.19% | 4.24% | 25.32 | 9.66 | -15.64 |
| 3. | 2021/04/30 | -1.57% | 5.24% | 11.64 | 16.86 | -14.01 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025/11/30 | -3.85% | 0.13% | 32.40 | 1.01 | 5.73 |
| 59. | 2025/12/31 | -12.85% | -0.05% | 215.69 | 1.41 | 17.46 |
| トータル (Σ): | 9,142.48 | 1,108.23 | 1,886.57 | |||
| t | 日付 | RNFLX,t | RS&P 500,t | (RNFLX,t–RNFLX)2 | (RS&P 500,t–RS&P 500)2 | (RNFLX,t–RNFLX)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021/02/28 | 1.22% | 2.61% | 0.38 | 2.17 | -0.91 |
| 2. | 2021/03/31 | -3.19% | 4.24% | 25.32 | 9.66 | -15.64 |
| 3. | 2021/04/30 | -1.57% | 5.24% | 11.64 | 16.86 | -14.01 |
| 4. | 2021/05/31 | -2.08% | 0.55% | 15.40 | 0.35 | 2.31 |
| 5. | 2021/06/30 | 5.05% | 2.22% | 10.31 | 1.18 | 3.49 |
| 6. | 2021/07/31 | -2.01% | 2.27% | 14.80 | 1.30 | -4.38 |
| 7. | 2021/08/31 | 9.97% | 2.90% | 66.08 | 3.11 | 14.33 |
| 8. | 2021/09/30 | 7.22% | -4.76% | 28.95 | 34.73 | -31.71 |
| 9. | 2021/10/31 | 13.11% | 6.91% | 126.97 | 33.39 | 65.11 |
| 10. | 2021/11/30 | -7.01% | -0.83% | 78.35 | 3.88 | 17.43 |
| 11. | 2021/12/31 | -6.15% | 4.36% | 63.90 | 10.40 | -25.78 |
| 12. | 2022/01/31 | -29.10% | -5.26% | 957.30 | 40.89 | 197.85 |
| 13. | 2022/02/28 | -7.63% | -3.14% | 89.74 | 18.25 | 40.47 |
| 14. | 2022/03/31 | -5.04% | 3.58% | 47.40 | 5.96 | -16.81 |
| 15. | 2022/04/30 | -49.17% | -8.80% | 2,602.28 | 98.64 | 506.65 |
| 16. | 2022/05/31 | 3.68% | 0.01% | 3.37 | 1.28 | -2.08 |
| 17. | 2022/06/30 | -11.40% | -8.39% | 175.25 | 90.79 | 126.14 |
| 18. | 2022/07/31 | 28.59% | 9.11% | 715.44 | 63.61 | 213.33 |
| 19. | 2022/08/31 | -0.58% | -4.24% | 5.85 | 28.95 | 13.01 |
| 20. | 2022/09/30 | 5.28% | -9.34% | 11.81 | 109.74 | -36.01 |
| 21. | 2022/10/31 | 24.00% | 7.99% | 491.14 | 46.93 | 151.81 |
| 22. | 2022/11/30 | 4.66% | 5.38% | 7.95 | 17.97 | 11.95 |
| 23. | 2022/12/31 | -3.47% | -5.90% | 28.19 | 49.47 | 37.35 |
| 24. | 2023/01/31 | 20.01% | 6.18% | 330.03 | 25.39 | 91.54 |
| 25. | 2023/02/28 | -8.99% | -2.61% | 117.19 | 14.04 | 40.57 |
| 26. | 2023/03/31 | 7.26% | 3.51% | 29.43 | 5.61 | 12.85 |
| 27. | 2023/04/30 | -4.52% | 1.46% | 40.39 | 0.11 | -2.09 |
| 28. | 2023/05/31 | 19.79% | 0.25% | 322.34 | 0.79 | -15.94 |
| 29. | 2023/06/30 | 11.46% | 4.71% | 92.59 | 12.80 | 34.43 |
| 30. | 2023/07/31 | -0.34% | 4.85% | 4.75 | 13.76 | -8.09 |
| 31. | 2023/08/31 | -1.21% | -1.77% | 9.29 | 8.46 | 8.86 |
| 32. | 2023/09/30 | -12.94% | -4.87% | 218.31 | 36.10 | 88.77 |
| 33. | 2023/10/31 | 9.03% | -2.20% | 51.71 | 11.12 | -23.97 |
| 34. | 2023/11/30 | 15.13% | 8.92% | 176.69 | 60.56 | 103.44 |
| 35. | 2023/12/31 | 2.72% | 4.42% | 0.78 | 10.80 | 2.90 |
| 36. | 2024/01/31 | 15.86% | 1.59% | 196.43 | 0.21 | 6.36 |
| 37. | 2024/02/29 | 6.88% | 5.17% | 25.38 | 16.29 | 20.33 |
| 38. | 2024/03/31 | 0.73% | 3.10% | 1.23 | 3.86 | -2.18 |
| 39. | 2024/04/30 | -9.34% | -4.16% | 124.91 | 28.06 | 59.21 |
| 40. | 2024/05/31 | 16.53% | 4.80% | 215.72 | 13.44 | 53.84 |
| 41. | 2024/06/30 | 5.19% | 3.47% | 11.22 | 5.43 | 7.81 |
| 42. | 2024/07/31 | -6.89% | 1.13% | 76.21 | 0.00 | 0.03 |
| 43. | 2024/08/31 | 11.62% | 2.28% | 95.58 | 1.32 | 11.22 |
| 44. | 2024/09/30 | 1.13% | 2.02% | 0.51 | 0.78 | -0.63 |
| 45. | 2024/10/31 | 6.58% | -0.99% | 22.50 | 4.52 | -10.08 |
| 46. | 2024/11/30 | 17.30% | 5.73% | 239.06 | 21.10 | 71.03 |
| 47. | 2024/12/31 | 0.51% | -2.50% | 1.78 | 13.21 | 4.84 |
| 48. | 2025/01/31 | 9.59% | 2.70% | 60.10 | 2.45 | 12.14 |
| 49. | 2025/02/28 | 0.39% | -1.42% | 2.11 | 6.56 | 3.72 |
| 50. | 2025/03/31 | -4.91% | -5.75% | 45.50 | 47.48 | 46.48 |
| 51. | 2025/04/30 | 21.36% | -0.76% | 381.10 | 3.60 | -37.06 |
| 52. | 2025/05/31 | 6.67% | 6.15% | 23.34 | 25.16 | 24.24 |
| 53. | 2025/06/30 | 10.93% | 4.96% | 82.56 | 14.63 | 34.75 |
| 54. | 2025/07/31 | -13.42% | 2.17% | 232.85 | 1.06 | -15.73 |
| 55. | 2025/08/31 | 4.22% | 1.91% | 5.65 | 0.59 | 1.83 |
| 56. | 2025/09/30 | -0.78% | 3.53% | 6.85 | 5.74 | -6.27 |
| 57. | 2025/10/31 | -6.67% | 2.27% | 72.47 | 1.28 | -9.64 |
| 58. | 2025/11/30 | -3.85% | 0.13% | 32.40 | 1.01 | 5.73 |
| 59. | 2025/12/31 | -12.85% | -0.05% | 215.69 | 1.41 | 17.46 |
| トータル (Σ): | 9,142.48 | 1,108.23 | 1,886.57 | |||
すべて表示
分散NFLX = Σ(RNFLX,t–RNFLX)2 ÷ (59 – 1)
= 9,142.48 ÷ (59 – 1)
= 157.63
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NFLX, S&P 500 = Σ(RNFLX,t–RNFLX)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,886.57 ÷ (59 – 1)
= 32.53
システマティックなリスク推定 (β)
| 分散NFLX | 157.63 |
| 分散S&P 500 | 19.11 |
| 共 分散NFLX, S&P 500 | 32.53 |
| 相関係数NFLX, S&P 5001 | 0.59 |
| βNFLX2 | 1.70 |
| αNFLX3 | -0.09% |
計算
1 相関係数NFLX, S&P 500
= 共 分散NFLX, S&P 500 ÷ (標準偏差NFLX × 標準偏差S&P 500)
= 32.53 ÷ (12.56% × 4.37%)
= 0.59
2 βNFLX
= 共 分散NFLX, S&P 500 ÷ 分散S&P 500
= 32.53 ÷ 19.11
= 1.70
3 αNFLX
= 平均NFLX – βNFLX × 平均S&P 500
= 1.84% – 1.70 × 1.14%
= -0.09%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.79% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 17.38% |
| 普通株式 Netflix システマティックリスク | βNFLX | 1.70 |
| Netflix普通株の期待収益率3 | E(RNFLX) | 26.22% |
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(RNFLX) = RF + βNFLX [E(RM) – RF]
= 4.79% + 1.70 [17.38% – 4.79%]
= 26.22%