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 Palantir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
Palantir Technologies Inc.、月間収益率
| Palantir Technologies Inc. (PLTR) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格PLTR,t1 | 配当PLTR,t1 | RPLTR,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2020/09/30 | $9.50 | 3,363.00 | ||||
| 1. | 2020/10/31 | $10.13 | 6.63% | 3,269.96 | -2.77% | |
| 2. | 2020/11/30 | $27.11 | 167.62% | 3,621.63 | 10.75% | |
| 3. | 2020/12/31 | $23.55 | -13.13% | 3,756.07 | 3.71% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 50. | 2024/11/30 | $67.08 | 61.41% | 6,032.38 | 5.73% | |
| 51. | 2024/12/31 | $75.63 | 12.75% | 5,881.63 | -2.50% | |
| 平均 (R): | 7.74% | 1.21% | ||||
| 標準偏差： | 32.76% | 4.73% | ||||
| Palantir Technologies Inc. (PLTR) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格PLTR,t1 | 配当PLTR,t1 | RPLTR,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2020/09/30 | $9.50 | 3,363.00 | ||||
| 1. | 2020/10/31 | $10.13 | 6.63% | 3,269.96 | -2.77% | |
| 2. | 2020/11/30 | $27.11 | 167.62% | 3,621.63 | 10.75% | |
| 3. | 2020/12/31 | $23.55 | -13.13% | 3,756.07 | 3.71% | |
| 4. | 2021/01/31 | $35.18 | 49.38% | 3,714.24 | -1.11% | |
| 5. | 2021/02/28 | $23.90 | -32.06% | 3,811.15 | 2.61% | |
| 6. | 2021/03/31 | $23.29 | -2.55% | 3,972.89 | 4.24% | |
| 7. | 2021/04/30 | $23.04 | -1.07% | 4,181.17 | 5.24% | |
| 8. | 2021/05/31 | $22.95 | -0.39% | 4,204.11 | 0.55% | |
| 9. | 2021/06/30 | $26.36 | 14.86% | 4,297.50 | 2.22% | |
| 10. | 2021/07/31 | $21.71 | -17.64% | 4,395.26 | 2.27% | |
| 11. | 2021/08/31 | $26.34 | 21.33% | 4,522.68 | 2.90% | |
| 12. | 2021/09/30 | $24.04 | -8.73% | 4,307.54 | -4.76% | |
| 13. | 2021/10/31 | $25.88 | 7.65% | 4,605.38 | 6.91% | |
| 14. | 2021/11/30 | $20.65 | -20.21% | 4,567.00 | -0.83% | |
| 15. | 2021/12/31 | $18.21 | -11.82% | 4,766.18 | 4.36% | |
| 16. | 2022/01/31 | $13.71 | -24.71% | 4,515.55 | -5.26% | |
| 17. | 2022/02/28 | $11.85 | -13.57% | 4,373.94 | -3.14% | |
| 18. | 2022/03/31 | $13.73 | 15.86% | 4,530.41 | 3.58% | |
| 19. | 2022/04/30 | $10.40 | -24.25% | 4,131.93 | -8.80% | |
| 20. | 2022/05/31 | $8.68 | -16.54% | 4,132.15 | 0.01% | |
| 21. | 2022/06/30 | $9.07 | 4.49% | 3,785.38 | -8.39% | |
| 22. | 2022/07/31 | $10.35 | 14.11% | 4,130.29 | 9.11% | |
| 23. | 2022/08/31 | $7.72 | -25.41% | 3,955.00 | -4.24% | |
| 24. | 2022/09/30 | $8.13 | 5.31% | 3,585.62 | -9.34% | |
| 25. | 2022/10/31 | $8.79 | 8.12% | 3,871.98 | 7.99% | |
| 26. | 2022/11/30 | $7.50 | -14.68% | 4,080.11 | 5.38% | |
| 27. | 2022/12/31 | $6.42 | -14.40% | 3,839.50 | -5.90% | |
| 28. | 2023/01/31 | $7.78 | 21.18% | 4,076.60 | 6.18% | |
| 29. | 2023/02/28 | $7.84 | 0.77% | 3,970.15 | -2.61% | |
| 30. | 2023/03/31 | $8.45 | 7.78% | 4,109.31 | 3.51% | |
| 31. | 2023/04/30 | $7.75 | -8.28% | 4,169.48 | 1.46% | |
| 32. | 2023/05/31 | $14.71 | 89.81% | 4,179.83 | 0.25% | |
| 33. | 2023/06/30 | $15.33 | 4.21% | 4,376.86 | 4.71% | |
| 34. | 2023/07/31 | $19.84 | 29.42% | 4,588.96 | 4.85% | |
| 35. | 2023/08/31 | $14.98 | -24.50% | 4,507.66 | -1.77% | |
| 36. | 2023/09/30 | $16.00 | 6.81% | 4,288.05 | -4.87% | |
| 37. | 2023/10/31 | $14.80 | -7.50% | 4,193.80 | -2.20% | |
| 38. | 2023/11/30 | $20.05 | 35.47% | 4,567.80 | 8.92% | |
| 39. | 2023/12/31 | $17.17 | -14.36% | 4,769.83 | 4.42% | |
| 40. | 2024/01/31 | $16.09 | -6.29% | 4,845.65 | 1.59% | |
| 41. | 2024/02/29 | $25.08 | 55.87% | 5,096.27 | 5.17% | |
| 42. | 2024/03/31 | $23.01 | -8.25% | 5,254.35 | 3.10% | |
| 43. | 2024/04/30 | $21.97 | -4.52% | 5,035.69 | -4.16% | |
| 44. | 2024/05/31 | $21.68 | -1.32% | 5,277.51 | 4.80% | |
| 45. | 2024/06/30 | $25.33 | 16.84% | 5,460.48 | 3.47% | |
| 46. | 2024/07/31 | $26.89 | 6.16% | 5,522.30 | 1.13% | |
| 47. | 2024/08/31 | $31.48 | 17.07% | 5,648.40 | 2.28% | |
| 48. | 2024/09/30 | $37.20 | 18.17% | 5,762.48 | 2.02% | |
| 49. | 2024/10/31 | $41.56 | 11.72% | 5,705.45 | -0.99% | |
| 50. | 2024/11/30 | $67.08 | 61.41% | 6,032.38 | 5.73% | |
| 51. | 2024/12/31 | $75.63 | 12.75% | 5,881.63 | -2.50% | |
| 平均 (R): | 7.74% | 1.21% | ||||
| 標準偏差： | 32.76% | 4.73% | ||||
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PLTR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
Palantir Technologies Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RPLTR,t | RS&P 500,t | (RPLTR,t–RPLTR)2 | (RS&P 500,t–RS&P 500)2 | (RPLTR,t–RPLTR)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020/10/31 | 6.63% | -2.77% | 1.22 | 15.83 | 4.40 |
| 2. | 2020/11/30 | 167.62% | 10.75% | 25,562.66 | 91.07 | 1,525.76 |
| 3. | 2020/12/31 | -13.13% | 3.71% | 435.53 | 6.25 | -52.18 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 50. | 2024/11/30 | 61.41% | 5.73% | 2,880.21 | 20.42 | 242.50 |
| 51. | 2024/12/31 | 12.75% | -2.50% | 25.08 | 13.77 | -18.58 |
| トータル (Σ): | 53,653.46 | 1,116.40 | 3,202.55 | |||
| t | 日付 | RPLTR,t | RS&P 500,t | (RPLTR,t–RPLTR)2 | (RS&P 500,t–RS&P 500)2 | (RPLTR,t–RPLTR)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020/10/31 | 6.63% | -2.77% | 1.22 | 15.83 | 4.40 |
| 2. | 2020/11/30 | 167.62% | 10.75% | 25,562.66 | 91.07 | 1,525.76 |
| 3. | 2020/12/31 | -13.13% | 3.71% | 435.53 | 6.25 | -52.18 |
| 4. | 2021/01/31 | 49.38% | -1.11% | 1,734.44 | 5.41 | -96.84 |
| 5. | 2021/02/28 | -32.06% | 2.61% | 1,584.14 | 1.95 | -55.62 |
| 6. | 2021/03/31 | -2.55% | 4.24% | 105.88 | 9.19 | -31.20 |
| 7. | 2021/04/30 | -1.07% | 5.24% | 77.63 | 16.25 | -35.52 |
| 8. | 2021/05/31 | -0.39% | 0.55% | 66.07 | 0.44 | 5.39 |
| 9. | 2021/06/30 | 14.86% | 2.22% | 50.71 | 1.02 | 7.19 |
| 10. | 2021/07/31 | -17.64% | 2.27% | 644.04 | 1.13 | -26.98 |
| 11. | 2021/08/31 | 21.33% | 2.90% | 184.66 | 2.85 | 22.93 |
| 12. | 2021/09/30 | -8.73% | -4.76% | 271.25 | 35.62 | 98.30 |
| 13. | 2021/10/31 | 7.65% | 6.91% | 0.01 | 32.52 | -0.48 |
| 14. | 2021/11/30 | -20.21% | -0.83% | 781.00 | 4.18 | 57.15 |
| 15. | 2021/12/31 | -11.82% | 4.36% | 382.34 | 9.92 | -61.59 |
| 16. | 2022/01/31 | -24.71% | -5.26% | 1,052.96 | 41.86 | 209.95 |
| 17. | 2022/02/28 | -13.57% | -3.14% | 453.88 | 18.90 | 92.62 |
| 18. | 2022/03/31 | 15.86% | 3.58% | 66.05 | 5.60 | 19.23 |
| 19. | 2022/04/30 | -24.25% | -8.80% | 1,023.43 | 100.15 | 320.14 |
| 20. | 2022/05/31 | -16.54% | 0.01% | 589.33 | 1.46 | 29.28 |
| 21. | 2022/06/30 | 4.49% | -8.39% | 10.53 | 92.23 | 31.16 |
| 22. | 2022/07/31 | 14.11% | 9.11% | 40.64 | 62.41 | 50.36 |
| 23. | 2022/08/31 | -25.41% | -4.24% | 1,098.81 | 29.76 | 180.84 |
| 24. | 2022/09/30 | 5.31% | -9.34% | 5.89 | 111.33 | 25.61 |
| 25. | 2022/10/31 | 8.12% | 7.99% | 0.14 | 45.90 | 2.58 |
| 26. | 2022/11/30 | -14.68% | 5.38% | 502.36 | 17.34 | -93.32 |
| 27. | 2022/12/31 | -14.40% | -5.90% | 490.08 | 50.53 | 157.37 |
| 28. | 2023/01/31 | 21.18% | 6.18% | 180.80 | 24.64 | 66.74 |
| 29. | 2023/02/28 | 0.77% | -2.61% | 48.53 | 14.61 | 26.63 |
| 30. | 2023/03/31 | 7.78% | 3.51% | 0.00 | 5.26 | 0.10 |
| 31. | 2023/04/30 | -8.28% | 1.46% | 256.69 | 0.06 | -4.05 |
| 32. | 2023/05/31 | 89.81% | 0.25% | 6,735.29 | 0.93 | -79.06 |
| 33. | 2023/06/30 | 4.21% | 4.71% | 12.41 | 12.27 | -12.34 |
| 34. | 2023/07/31 | 29.42% | 4.85% | 470.10 | 13.21 | 78.80 |
| 35. | 2023/08/31 | -24.50% | -1.77% | 1,039.01 | 8.90 | 96.16 |
| 36. | 2023/09/30 | 6.81% | -4.87% | 0.86 | 37.01 | 5.65 |
| 37. | 2023/10/31 | -7.50% | -2.20% | 232.19 | 11.63 | 51.95 |
| 38. | 2023/11/30 | 35.47% | 8.92% | 769.25 | 59.39 | 213.74 |
| 39. | 2023/12/31 | -14.36% | 4.42% | 488.49 | 10.31 | -70.98 |
| 40. | 2024/01/31 | -6.29% | 1.59% | 196.78 | 0.14 | -5.30 |
| 41. | 2024/02/29 | 55.87% | 5.17% | 2,317.03 | 15.69 | 190.64 |
| 42. | 2024/03/31 | -8.25% | 3.10% | 255.72 | 3.57 | -30.23 |
| 43. | 2024/04/30 | -4.52% | -4.16% | 150.24 | 28.87 | 65.86 |
| 44. | 2024/05/31 | -1.32% | 4.80% | 82.04 | 12.89 | -32.52 |
| 45. | 2024/06/30 | 16.84% | 3.47% | 82.78 | 5.09 | 20.52 |
| 46. | 2024/07/31 | 6.16% | 1.13% | 2.49 | 0.01 | 0.13 |
| 47. | 2024/08/31 | 17.07% | 2.28% | 87.08 | 1.15 | 10.00 |
| 48. | 2024/09/30 | 18.17% | 2.02% | 108.84 | 0.65 | 8.43 |
| 49. | 2024/10/31 | 11.72% | -0.99% | 15.86 | 4.85 | -8.77 |
| 50. | 2024/11/30 | 61.41% | 5.73% | 2,880.21 | 20.42 | 242.50 |
| 51. | 2024/12/31 | 12.75% | -2.50% | 25.08 | 13.77 | -18.58 |
| トータル (Σ): | 53,653.46 | 1,116.40 | 3,202.55 | |||
すべて表示
分散PLTR = Σ(RPLTR,t–RPLTR)2 ÷ (51 – 1)
= 53,653.46 ÷ (51 – 1)
= 1,073.07
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (51 – 1)
= 1,116.40 ÷ (51 – 1)
= 22.33
共 分散PLTR, S&P 500 = Σ(RPLTR,t–RPLTR)×(RS&P 500,t–RS&P 500) ÷ (51 – 1)
= 3,202.55 ÷ (51 – 1)
= 64.05
システマティックなリスク推定 (β)
| 分散PLTR | 1,073.07 |
| 分散S&P 500 | 22.33 |
| 共 分散PLTR, S&P 500 | 64.05 |
| 相関係数PLTR, S&P 5001 | 0.41 |
| βPLTR2 | 2.87 |
| αPLTR3 | 4.26% |
計算
1 相関係数PLTR, S&P 500
= 共 分散PLTR, S&P 500 ÷ (標準偏差PLTR × 標準偏差S&P 500)
= 64.05 ÷ (32.76% × 4.73%)
= 0.41
2 βPLTR
= 共 分散PLTR, S&P 500 ÷ 分散S&P 500
= 64.05 ÷ 22.33
= 2.87
3 αPLTR
= 平均PLTR – βPLTR × 平均S&P 500
= 7.74% – 2.87 × 1.21%
= 4.26%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.95% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.71% |
| 普通株式のシステマティックリスクPalantir | βPLTR | 2.87 |
| パランティアの普通株式の予想収益率3 | E(RPLTR) | 32.94% |
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(RPLTR) = RF + βPLTR [E(RM) – RF]
= 4.95% + 2.87 [14.71% – 4.95%]
= 32.94%