資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 onsemi普通株式などのリスク資産の期待または必要な収益率を示します。
収益率
ON Semiconductor Corp.、月間収益率
| ON Semiconductor Corp. (ON) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格ON,t1 | 配当ON,t1 | RON,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2019/01/31 | $20.04 | 2,704.10 | ||||
| 1. | 2019/02/28 | $21.48 | 7.19% | 2,784.49 | 2.97% | |
| 2. | 2019/03/31 | $20.57 | -4.24% | 2,834.40 | 1.79% | |
| 3. | 2019/04/30 | $23.06 | 12.11% | 2,945.83 | 3.93% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023/11/30 | $71.33 | 13.87% | 4,567.80 | 8.92% | |
| 59. | 2023/12/31 | $83.53 | 17.10% | 4,769.83 | 4.42% | |
| 平均 (R): | 3.48% | 1.11% | ||||
| 標準偏差： | 14.18% | 5.31% | ||||
| ON Semiconductor Corp. (ON) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格ON,t1 | 配当ON,t1 | RON,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2019/01/31 | $20.04 | 2,704.10 | ||||
| 1. | 2019/02/28 | $21.48 | 7.19% | 2,784.49 | 2.97% | |
| 2. | 2019/03/31 | $20.57 | -4.24% | 2,834.40 | 1.79% | |
| 3. | 2019/04/30 | $23.06 | 12.11% | 2,945.83 | 3.93% | |
| 4. | 2019/05/31 | $17.76 | -22.98% | 2,752.06 | -6.58% | |
| 5. | 2019/06/30 | $20.21 | 13.80% | 2,941.76 | 6.89% | |
| 6. | 2019/07/31 | $21.51 | 6.43% | 2,980.38 | 1.31% | |
| 7. | 2019/08/31 | $17.80 | -17.25% | 2,926.46 | -1.81% | |
| 8. | 2019/09/30 | $19.21 | 7.92% | 2,976.74 | 1.72% | |
| 9. | 2019/10/31 | $20.40 | 6.19% | 3,037.56 | 2.04% | |
| 10. | 2019/11/30 | $21.47 | 5.25% | 3,140.98 | 3.40% | |
| 11. | 2019/12/31 | $24.38 | 13.55% | 3,230.78 | 2.86% | |
| 12. | 2020/01/31 | $23.15 | -5.05% | 3,225.52 | -0.16% | |
| 13. | 2020/02/29 | $18.66 | -19.40% | 2,954.22 | -8.41% | |
| 14. | 2020/03/31 | $12.44 | -33.33% | 2,584.59 | -12.51% | |
| 15. | 2020/04/30 | $16.05 | 29.02% | 2,912.43 | 12.68% | |
| 16. | 2020/05/31 | $16.49 | 2.74% | 3,044.31 | 4.53% | |
| 17. | 2020/06/30 | $19.82 | 20.19% | 3,100.29 | 1.84% | |
| 18. | 2020/07/31 | $20.60 | 3.94% | 3,271.12 | 5.51% | |
| 19. | 2020/08/31 | $21.37 | 3.74% | 3,500.31 | 7.01% | |
| 20. | 2020/09/30 | $21.69 | 1.50% | 3,363.00 | -3.92% | |
| 21. | 2020/10/31 | $25.09 | 15.68% | 3,269.96 | -2.77% | |
| 22. | 2020/11/30 | $28.75 | 14.59% | 3,621.63 | 10.75% | |
| 23. | 2020/12/31 | $32.73 | 13.84% | 3,756.07 | 3.71% | |
| 24. | 2021/01/31 | $34.49 | 5.38% | 3,714.24 | -1.11% | |
| 25. | 2021/02/28 | $40.27 | 16.76% | 3,811.15 | 2.61% | |
| 26. | 2021/03/31 | $41.61 | 3.33% | 3,972.89 | 4.24% | |
| 27. | 2021/04/30 | $39.00 | -6.27% | 4,181.17 | 5.24% | |
| 28. | 2021/05/31 | $40.04 | 2.67% | 4,204.11 | 0.55% | |
| 29. | 2021/06/30 | $38.28 | -4.40% | 4,297.50 | 2.22% | |
| 30. | 2021/07/31 | $39.06 | 2.04% | 4,395.26 | 2.27% | |
| 31. | 2021/08/31 | $44.36 | 13.57% | 4,522.68 | 2.90% | |
| 32. | 2021/09/30 | $45.77 | 3.18% | 4,307.54 | -4.76% | |
| 33. | 2021/10/31 | $48.07 | 5.03% | 4,605.38 | 6.91% | |
| 34. | 2021/11/30 | $61.43 | 27.79% | 4,567.00 | -0.83% | |
| 35. | 2021/12/31 | $67.92 | 10.56% | 4,766.18 | 4.36% | |
| 36. | 2022/01/31 | $59.00 | -13.13% | 4,515.55 | -5.26% | |
| 37. | 2022/02/28 | $62.61 | 6.12% | 4,373.94 | -3.14% | |
| 38. | 2022/03/31 | $62.61 | 0.00% | 4,530.41 | 3.58% | |
| 39. | 2022/04/30 | $52.11 | -16.77% | 4,131.93 | -8.80% | |
| 40. | 2022/05/31 | $60.68 | 16.45% | 4,132.15 | 0.01% | |
| 41. | 2022/06/30 | $50.31 | -17.09% | 3,785.38 | -8.39% | |
| 42. | 2022/07/31 | $66.78 | 32.74% | 4,130.29 | 9.11% | |
| 43. | 2022/08/31 | $68.77 | 2.98% | 3,955.00 | -4.24% | |
| 44. | 2022/09/30 | $62.33 | -9.36% | 3,585.62 | -9.34% | |
| 45. | 2022/10/31 | $61.43 | -1.44% | 3,871.98 | 7.99% | |
| 46. | 2022/11/30 | $75.20 | 22.42% | 4,080.11 | 5.38% | |
| 47. | 2022/12/31 | $62.37 | -17.06% | 3,839.50 | -5.90% | |
| 48. | 2023/01/31 | $73.45 | 17.76% | 4,076.60 | 6.18% | |
| 49. | 2023/02/28 | $77.41 | 5.39% | 3,970.15 | -2.61% | |
| 50. | 2023/03/31 | $82.32 | 6.34% | 4,109.31 | 3.51% | |
| 51. | 2023/04/30 | $71.96 | -12.59% | 4,169.48 | 1.46% | |
| 52. | 2023/05/31 | $83.60 | 16.18% | 4,179.83 | 0.25% | |
| 53. | 2023/06/30 | $94.58 | 13.13% | 4,376.86 | 4.71% | |
| 54. | 2023/07/31 | $107.75 | 13.92% | 4,588.96 | 4.85% | |
| 55. | 2023/08/31 | $98.46 | -8.62% | 4,507.66 | -1.77% | |
| 56. | 2023/09/30 | $92.95 | -5.60% | 4,288.05 | -4.87% | |
| 57. | 2023/10/31 | $62.64 | -32.61% | 4,193.80 | -2.20% | |
| 58. | 2023/11/30 | $71.33 | 13.87% | 4,567.80 | 8.92% | |
| 59. | 2023/12/31 | $83.53 | 17.10% | 4,769.83 | 4.42% | |
| 平均 (R): | 3.48% | 1.11% | ||||
| 標準偏差： | 14.18% | 5.31% | ||||
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ON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
ON Semiconductor Corp.、分散の計算、および戻り値の共分散
| t | 日付 | RON,t | RS&P 500,t | (RON,t–RON)2 | (RS&P 500,t–RS&P 500)2 | (RON,t–RON)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019/02/28 | 7.19% | 2.97% | 13.75 | 3.49 | 6.92 |
| 2. | 2019/03/31 | -4.24% | 1.79% | 59.51 | 0.47 | -5.30 |
| 3. | 2019/04/30 | 12.11% | 3.93% | 74.43 | 7.98 | 24.38 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023/11/30 | 13.87% | 8.92% | 108.06 | 61.03 | 81.21 |
| 59. | 2023/12/31 | 17.10% | 4.42% | 185.66 | 11.00 | 45.20 |
| トータル (Σ): | 11,661.53 | 1,634.30 | 2,975.97 | |||
| t | 日付 | RON,t | RS&P 500,t | (RON,t–RON)2 | (RS&P 500,t–RS&P 500)2 | (RON,t–RON)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019/02/28 | 7.19% | 2.97% | 13.75 | 3.49 | 6.92 |
| 2. | 2019/03/31 | -4.24% | 1.79% | 59.51 | 0.47 | -5.30 |
| 3. | 2019/04/30 | 12.11% | 3.93% | 74.43 | 7.98 | 24.38 |
| 4. | 2019/05/31 | -22.98% | -6.58% | 700.20 | 59.04 | 203.32 |
| 5. | 2019/06/30 | 13.80% | 6.89% | 106.45 | 33.49 | 59.71 |
| 6. | 2019/07/31 | 6.43% | 1.31% | 8.73 | 0.04 | 0.61 |
| 7. | 2019/08/31 | -17.25% | -1.81% | 429.55 | 8.50 | 60.42 |
| 8. | 2019/09/30 | 7.92% | 1.72% | 19.75 | 0.37 | 2.72 |
| 9. | 2019/10/31 | 6.19% | 2.04% | 7.38 | 0.88 | 2.55 |
| 10. | 2019/11/30 | 5.25% | 3.40% | 3.12 | 5.28 | 4.06 |
| 11. | 2019/12/31 | 13.55% | 2.86% | 101.53 | 3.07 | 17.66 |
| 12. | 2020/01/31 | -5.05% | -0.16% | 72.64 | 1.61 | 10.81 |
| 13. | 2020/02/29 | -19.40% | -8.41% | 523.17 | 90.57 | 217.68 |
| 14. | 2020/03/31 | -33.33% | -12.51% | 1,355.05 | 185.44 | 501.28 |
| 15. | 2020/04/30 | 29.02% | 12.68% | 652.37 | 134.06 | 295.73 |
| 16. | 2020/05/31 | 2.74% | 4.53% | 0.54 | 11.71 | -2.52 |
| 17. | 2020/06/30 | 20.19% | 1.84% | 279.44 | 0.54 | 12.25 |
| 18. | 2020/07/31 | 3.94% | 5.51% | 0.21 | 19.40 | 2.02 |
| 19. | 2020/08/31 | 3.74% | 7.01% | 0.07 | 34.82 | 1.53 |
| 20. | 2020/09/30 | 1.50% | -3.92% | 3.92 | 25.29 | 9.96 |
| 21. | 2020/10/31 | 15.68% | -2.77% | 148.78 | 15.00 | -47.23 |
| 22. | 2020/11/30 | 14.59% | 10.75% | 123.43 | 93.10 | 107.19 |
| 23. | 2020/12/31 | 13.84% | 3.71% | 107.45 | 6.79 | 27.02 |
| 24. | 2021/01/31 | 5.38% | -1.11% | 3.61 | 4.93 | -4.22 |
| 25. | 2021/02/28 | 16.76% | 2.61% | 176.38 | 2.26 | 19.96 |
| 26. | 2021/03/31 | 3.33% | 4.24% | 0.02 | 9.85 | -0.47 |
| 27. | 2021/04/30 | -6.27% | 5.24% | 95.07 | 17.11 | -40.33 |
| 28. | 2021/05/31 | 2.67% | 0.55% | 0.66 | 0.31 | 0.45 |
| 29. | 2021/06/30 | -4.40% | 2.22% | 61.99 | 1.24 | -8.78 |
| 30. | 2021/07/31 | 2.04% | 2.27% | 2.07 | 1.37 | -1.68 |
| 31. | 2021/08/31 | 13.57% | 2.90% | 101.83 | 3.22 | 18.10 |
| 32. | 2021/09/30 | 3.18% | -4.76% | 0.09 | 34.37 | 1.75 |
| 33. | 2021/10/31 | 5.03% | 6.91% | 2.39 | 33.74 | 8.99 |
| 34. | 2021/11/30 | 27.79% | -0.83% | 591.22 | 3.76 | -47.15 |
| 35. | 2021/12/31 | 10.56% | 4.36% | 50.23 | 10.60 | 23.07 |
| 36. | 2022/01/31 | -13.13% | -5.26% | 275.92 | 40.51 | 105.72 |
| 37. | 2022/02/28 | 6.12% | -3.14% | 6.97 | 17.99 | -11.20 |
| 38. | 2022/03/31 | 0.00% | 3.58% | 12.09 | 6.11 | -8.60 |
| 39. | 2022/04/30 | -16.77% | -8.80% | 409.99 | 98.04 | 200.49 |
| 40. | 2022/05/31 | 16.45% | 0.01% | 168.18 | 1.21 | -14.27 |
| 41. | 2022/06/30 | -17.09% | -8.39% | 423.02 | 90.21 | 195.35 |
| 42. | 2022/07/31 | 32.74% | 9.11% | 856.11 | 64.09 | 234.24 |
| 43. | 2022/08/31 | 2.98% | -4.24% | 0.25 | 28.62 | 2.66 |
| 44. | 2022/09/30 | -9.36% | -9.34% | 164.92 | 109.11 | 134.14 |
| 45. | 2022/10/31 | -1.44% | 7.99% | 24.22 | 47.34 | -33.86 |
| 46. | 2022/11/30 | 22.42% | 5.38% | 358.65 | 18.23 | 80.85 |
| 47. | 2022/12/31 | -17.06% | -5.90% | 421.85 | 49.04 | 143.83 |
| 48. | 2023/01/31 | 17.76% | 6.18% | 204.12 | 25.70 | 72.43 |
| 49. | 2023/02/28 | 5.39% | -2.61% | 3.66 | 13.82 | -7.11 |
| 50. | 2023/03/31 | 6.34% | 3.51% | 8.21 | 5.76 | 6.87 |
| 51. | 2023/04/30 | -12.59% | 1.46% | 258.01 | 0.13 | -5.76 |
| 52. | 2023/05/31 | 16.18% | 0.25% | 161.24 | 0.74 | -10.89 |
| 53. | 2023/06/30 | 13.13% | 4.71% | 93.24 | 13.02 | 34.84 |
| 54. | 2023/07/31 | 13.92% | 4.85% | 109.14 | 13.99 | 39.07 |
| 55. | 2023/08/31 | -8.62% | -1.77% | 146.40 | 8.28 | 34.82 |
| 56. | 2023/09/30 | -5.60% | -4.87% | 82.34 | 35.73 | 54.24 |
| 57. | 2023/10/31 | -32.61% | -2.20% | 1,302.25 | 10.92 | 119.22 |
| 58. | 2023/11/30 | 13.87% | 8.92% | 108.06 | 61.03 | 81.21 |
| 59. | 2023/12/31 | 17.10% | 4.42% | 185.66 | 11.00 | 45.20 |
| トータル (Σ): | 11,661.53 | 1,634.30 | 2,975.97 | |||
すべて表示
分散ON = Σ(RON,t–RON)2 ÷ (59 – 1)
= 11,661.53 ÷ (59 – 1)
= 201.06
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18
共 分散ON, S&P 500 = Σ(RON,t–RON)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 2,975.97 ÷ (59 – 1)
= 51.31
システマティックなリスク推定 (β)
| 分散ON | 201.06 |
| 分散S&P 500 | 28.18 |
| 共 分散ON, S&P 500 | 51.31 |
| 相関係数ON, S&P 5001 | 0.68 |
| βON2 | 1.82 |
| αON3 | 1.46% |
計算
1 相関係数ON, S&P 500
= 共 分散ON, S&P 500 ÷ (標準偏差ON × 標準偏差S&P 500)
= 51.31 ÷ (14.18% × 5.31%)
= 0.68
2 βON
= 共 分散ON, S&P 500 ÷ 分散S&P 500
= 51.31 ÷ 28.18
= 1.82
3 αON
= 平均ON – βON × 平均S&P 500
= 3.48% – 1.82 × 1.11%
= 1.46%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.91% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.84% |
| 普通株式のシステマティック・リスクonsemi | βON | 1.82 |
| オンセミの普通株式の期待収益率3 | E(RON) | 22.99% |
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(RON) = RF + βON [E(RM) – RF]
= 4.91% + 1.82 [14.84% – 4.91%]
= 22.99%