Stock Analysis on Net

Super Micro Computer Inc. (NASDAQ:SMCI)

資本資産価格設定モデル (CAPM) 

Microsoft Excel

資本資産価格モデル(CAPM)は、普通株式 Super Micro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

Super Micro Computer Inc.、月間収益率

Microsoft Excel
Super Micro Computer Inc. (SMCI) Standard & Poor’s 500 (S&P 500)
t 日付 価格SMCI,t1 配当SMCI,t1 RSMCI,t2 価格S&P 500,t RS&P 500,t3
2018/07/31 $2.21 2,816.29
1. 2018/08/31 $2.05 -7.24% 2,901.52 3.03%
2. 2018/09/30 $2.06 0.49% 2,913.98 0.43%
3. 2018/10/31 $1.31 -36.41% 2,711.74 -6.94%
. . . . . . .
. . . . . . .
. . . . . . .
70. 2024/05/31 $78.45 -8.65% 5,277.51 4.80%
71. 2024/06/30 $81.94 4.45% 5,460.48 3.47%
平均 (R): 7.11% 1.07%
標準偏差: 22.32% 5.24%
Super Micro Computer Inc. (SMCI) Standard & Poor’s 500 (S&P 500)
t 日付 価格SMCI,t1 配当SMCI,t1 RSMCI,t2 価格S&P 500,t RS&P 500,t3
2018/07/31 $2.21 2,816.29
1. 2018/08/31 $2.05 -7.24% 2,901.52 3.03%
2. 2018/09/30 $2.06 0.49% 2,913.98 0.43%
3. 2018/10/31 $1.31 -36.41% 2,711.74 -6.94%
4. 2018/11/30 $1.49 13.74% 2,760.17 1.79%
5. 2018/12/31 $1.38 -7.38% 2,506.85 -9.18%
6. 2019/01/31 $1.51 9.42% 2,704.10 7.87%
7. 2019/02/28 $1.91 26.49% 2,784.49 2.97%
8. 2019/03/31 $2.11 10.47% 2,834.40 1.79%
9. 2019/04/30 $2.24 6.16% 2,945.83 3.93%
10. 2019/05/31 $1.90 -15.18% 2,752.06 -6.58%
11. 2019/06/30 $1.94 2.11% 2,941.76 6.89%
12. 2019/07/31 $1.83 -5.67% 2,980.38 1.31%
13. 2019/08/31 $1.89 3.28% 2,926.46 -1.81%
14. 2019/09/30 $1.92 1.59% 2,976.74 1.72%
15. 2019/10/31 $2.07 7.81% 3,037.56 2.04%
16. 2019/11/30 $2.13 2.90% 3,140.98 3.40%
17. 2019/12/31 $2.40 12.68% 3,230.78 2.86%
18. 2020/01/31 $2.80 16.67% 3,225.52 -0.16%
19. 2020/02/29 $2.54 -9.29% 2,954.22 -8.41%
20. 2020/03/31 $2.13 -16.14% 2,584.59 -12.51%
21. 2020/04/30 $2.29 7.51% 2,912.43 12.68%
22. 2020/05/31 $2.60 13.54% 3,044.31 4.53%
23. 2020/06/30 $2.84 9.23% 3,100.29 1.84%
24. 2020/07/31 $3.03 6.69% 3,271.12 5.51%
25. 2020/08/31 $2.74 -9.57% 3,500.31 7.01%
26. 2020/09/30 $2.64 -3.65% 3,363.00 -3.92%
27. 2020/10/31 $2.27 -14.02% 3,269.96 -2.77%
28. 2020/11/30 $2.82 24.23% 3,621.63 10.75%
29. 2020/12/31 $3.17 12.41% 3,756.07 3.71%
30. 2021/01/31 $3.10 -2.21% 3,714.24 -1.11%
31. 2021/02/28 $3.26 5.16% 3,811.15 2.61%
32. 2021/03/31 $3.91 19.94% 3,972.89 4.24%
33. 2021/04/30 $3.70 -5.37% 4,181.17 5.24%
34. 2021/05/31 $3.47 -6.22% 4,204.11 0.55%
35. 2021/06/30 $3.52 1.44% 4,297.50 2.22%
36. 2021/07/31 $3.80 7.95% 4,395.26 2.27%
37. 2021/08/31 $3.65 -3.95% 4,522.68 2.90%
38. 2021/09/30 $3.66 0.27% 4,307.54 -4.76%
39. 2021/10/31 $3.54 -3.28% 4,605.38 6.91%
40. 2021/11/30 $4.14 16.95% 4,567.00 -0.83%
41. 2021/12/31 $4.40 6.28% 4,766.18 4.36%
42. 2022/01/31 $4.05 -7.95% 4,515.55 -5.26%
43. 2022/02/28 $3.93 -2.96% 4,373.94 -3.14%
44. 2022/03/31 $3.81 -3.05% 4,530.41 3.58%
45. 2022/04/30 $4.21 10.50% 4,131.93 -8.80%
46. 2022/05/31 $5.01 19.00% 4,132.15 0.01%
47. 2022/06/30 $4.04 -19.36% 3,785.38 -8.39%
48. 2022/07/31 $5.40 33.66% 4,130.29 9.11%
49. 2022/08/31 $6.51 20.56% 3,955.00 -4.24%
50. 2022/09/30 $5.51 -15.36% 3,585.62 -9.34%
51. 2022/10/31 $6.96 26.32% 3,871.98 7.99%
52. 2022/11/30 $9.02 29.60% 4,080.11 5.38%
53. 2022/12/31 $8.21 -8.98% 3,839.50 -5.90%
54. 2023/01/31 $7.23 -11.94% 4,076.60 6.18%
55. 2023/02/28 $9.80 35.55% 3,970.15 -2.61%
56. 2023/03/31 $10.66 8.78% 4,109.31 3.51%
57. 2023/04/30 $10.54 -1.13% 4,169.48 1.46%
58. 2023/05/31 $22.40 112.52% 4,179.83 0.25%
59. 2023/06/30 $24.93 11.29% 4,376.86 4.71%
60. 2023/07/31 $33.03 32.49% 4,588.96 4.85%
61. 2023/08/31 $27.51 -16.71% 4,507.66 -1.77%
62. 2023/09/30 $27.42 -0.33% 4,288.05 -4.87%
63. 2023/10/31 $23.95 -12.65% 4,193.80 -2.20%
64. 2023/11/30 $27.35 14.20% 4,567.80 8.92%
65. 2023/12/31 $28.43 3.95% 4,769.83 4.42%
66. 2024/01/31 $52.96 86.28% 4,845.65 1.59%
67. 2024/02/29 $86.61 63.54% 5,096.27 5.17%
68. 2024/03/31 $101.00 16.61% 5,254.35 3.10%
69. 2024/04/30 $85.88 -14.97% 5,035.69 -4.16%
70. 2024/05/31 $78.45 -8.65% 5,277.51 4.80%
71. 2024/06/30 $81.94 4.45% 5,460.48 3.47%
平均 (R): 7.11% 1.07%
標準偏差: 22.32% 5.24%

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SMCI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

Super Micro Computer Inc.、分散の計算、および戻り値の共分散

Microsoft Excel
t 日付 RSMCI,t RS&P 500,t (RSMCI,tRSMCI)2 (RS&P 500,tRS&P 500)2 (RSMCI,tRSMCI)×(RS&P 500,tRS&P 500)
1. 2018/08/31 -7.24% 3.03% 206.03 3.81 -28.03
2. 2018/09/30 0.49% 0.43% 43.90 0.41 4.27
3. 2018/10/31 -36.41% -6.94% 1,894.13 64.22 348.77
. . . . . . .
. . . . . . .
. . . . . . .
70. 2024/05/31 -8.65% 4.80% 248.55 13.90 -58.79
71. 2024/06/30 4.45% 3.47% 7.10 5.73 -6.38
トータル (Σ): 34,859.28 1,922.79 2,744.74
t 日付 RSMCI,t RS&P 500,t (RSMCI,tRSMCI)2 (RS&P 500,tRS&P 500)2 (RSMCI,tRSMCI)×(RS&P 500,tRS&P 500)
1. 2018/08/31 -7.24% 3.03% 206.03 3.81 -28.03
2. 2018/09/30 0.49% 0.43% 43.90 0.41 4.27
3. 2018/10/31 -36.41% -6.94% 1,894.13 64.22 348.77
4. 2018/11/30 13.74% 1.79% 43.91 0.51 4.72
5. 2018/12/31 -7.38% -9.18% 210.15 105.08 148.60
6. 2019/01/31 9.42% 7.87% 5.32 46.17 15.67
7. 2019/02/28 26.49% 2.97% 375.44 3.61 36.81
8. 2019/03/31 10.47% 1.79% 11.27 0.52 2.41
9. 2019/04/30 6.16% 3.93% 0.91 8.17 -2.72
10. 2019/05/31 -15.18% -6.58% 496.95 58.54 170.56
11. 2019/06/30 2.11% 6.89% 25.09 33.87 -29.15
12. 2019/07/31 -5.67% 1.31% 163.43 0.06 -3.06
13. 2019/08/31 3.28% -1.81% 14.71 8.31 11.05
14. 2019/09/30 1.59% 1.72% 30.54 0.42 -3.56
15. 2019/10/31 7.81% 2.04% 0.49 0.94 0.68
16. 2019/11/30 2.90% 3.40% 17.77 5.44 -9.83
17. 2019/12/31 12.68% 2.86% 30.94 3.19 9.93
18. 2020/01/31 16.67% -0.16% 91.26 1.53 -11.81
19. 2020/02/29 -9.29% -8.41% 268.95 89.95 155.54
20. 2020/03/31 -16.14% -12.51% 540.82 184.56 315.93
21. 2020/04/30 7.51% 12.68% 0.16 134.82 4.62
22. 2020/05/31 13.54% 4.53% 41.26 11.94 22.19
23. 2020/06/30 9.23% 1.84% 4.48 0.59 1.62
24. 2020/07/31 6.69% 5.51% 0.18 19.68 -1.88
25. 2020/08/31 -9.57% 7.01% 278.38 35.20 -98.99
26. 2020/09/30 -3.65% -3.92% 115.85 24.96 53.78
27. 2020/10/31 -14.02% -2.77% 446.43 14.75 81.13
28. 2020/11/30 24.23% 10.75% 292.93 93.73 165.70
29. 2020/12/31 12.41% 3.71% 28.06 6.96 13.98
30. 2021/01/31 -2.21% -1.11% 86.90 4.78 20.39
31. 2021/02/28 5.16% 2.61% 3.81 2.36 -3.00
32. 2021/03/31 19.94% 4.24% 164.48 10.05 40.66
33. 2021/04/30 -5.37% 5.24% 155.87 17.38 -52.05
34. 2021/05/31 -6.22% 0.55% 177.69 0.28 6.99
35. 2021/06/30 1.44% 2.22% 32.18 1.32 -6.51
36. 2021/07/31 7.95% 2.27% 0.71 1.44 1.01
37. 2021/08/31 -3.95% 2.90% 122.35 3.33 -20.19
38. 2021/09/30 0.27% -4.76% 46.78 33.99 39.88
39. 2021/10/31 -3.28% 6.91% 108.00 34.12 -60.70
40. 2021/11/30 16.95% -0.83% 96.73 3.64 -18.75
41. 2021/12/31 6.28% 4.36% 0.69 10.81 -2.74
42. 2022/01/31 -7.95% -5.26% 227.06 40.09 95.41
43. 2022/02/28 -2.96% -3.14% 101.54 17.72 42.42
44. 2022/03/31 -3.05% 3.58% 103.37 6.27 -25.46
45. 2022/04/30 10.50% -8.80% 11.46 97.40 -33.41
46. 2022/05/31 19.00% 0.01% 141.34 1.14 -12.70
47. 2022/06/30 -19.36% -8.39% 700.93 89.59 250.60
48. 2022/07/31 33.66% 9.11% 704.88 64.61 213.41
49. 2022/08/31 20.56% -4.24% 180.68 28.27 -71.47
50. 2022/09/30 -15.36% -9.34% 505.12 108.43 234.03
51. 2022/10/31 26.32% 7.99% 368.71 47.79 132.74
52. 2022/11/30 29.60% 5.38% 505.52 18.51 96.72
53. 2022/12/31 -8.98% -5.90% 259.01 48.59 112.18
54. 2023/01/31 -11.94% 6.18% 362.92 26.03 -97.19
55. 2023/02/28 35.55% -2.61% 808.41 13.58 -104.76
56. 2023/03/31 8.78% 3.51% 2.76 5.91 4.04
57. 2023/04/30 -1.13% 1.46% 67.89 0.15 -3.22
58. 2023/05/31 112.52% 0.25% 11,111.24 0.68 -86.98
59. 2023/06/30 11.29% 4.71% 17.48 13.25 15.22
60. 2023/07/31 32.49% 4.85% 644.00 14.23 95.74
61. 2023/08/31 -16.71% -1.77% 567.68 8.09 67.78
62. 2023/09/30 -0.33% -4.87% 55.37 35.35 44.24
63. 2023/10/31 -12.65% -2.20% 390.81 10.70 64.67
64. 2023/11/30 14.20% 8.92% 50.16 61.54 55.56
65. 2023/12/31 3.95% 4.42% 10.02 11.22 -10.60
66. 2024/01/31 86.28% 1.59% 6,267.61 0.27 40.87
67. 2024/02/29 63.54% 5.17% 3,183.74 16.80 231.27
68. 2024/03/31 16.61% 3.10% 90.27 4.11 19.27
69. 2024/04/30 -14.97% -4.16% 487.71 27.40 115.61
70. 2024/05/31 -8.65% 4.80% 248.55 13.90 -58.79
71. 2024/06/30 4.45% 3.47% 7.10 5.73 -6.38
トータル (Σ): 34,859.28 1,922.79 2,744.74

すべて表示

分散SMCI = Σ(RSMCI,tRSMCI)2 ÷ (71 – 1)
= 34,859.28 ÷ (71 – 1)
= 497.99

分散S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,922.79 ÷ (71 – 1)
= 27.47

共 分散SMCI, S&P 500 = Σ(RSMCI,tRSMCI)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 2,744.74 ÷ (71 – 1)
= 39.21


システマティックなリスク推定 (β)

Microsoft Excel
分散SMCI 497.99
分散S&P 500 27.47
共 分散SMCI, S&P 500 39.21
相関係数SMCI, S&P 5001 0.34
βSMCI2 1.43
αSMCI3 5.58%

計算

1 相関係数SMCI, S&P 500
= 共 分散SMCI, S&P 500 ÷ (標準偏差SMCI × 標準偏差S&P 500)
= 39.21 ÷ (22.32% × 5.24%)
= 0.34

2 βSMCI
= 共 分散SMCI, S&P 500 ÷ 分散S&P 500
= 39.21 ÷ 27.47
= 1.43

3 αSMCI
= 平均SMCI – βSMCI × 平均S&P 500
= 7.11%1.43 × 1.07%
= 5.58%


期待収益率

Microsoft Excel
仮定
LT国債総合の収益率1 RF 4.76%
市場ポートフォリオの期待収益率2 E(RM) 14.72%
普通株式のシステマティックリスクSuper Micro βSMCI 1.43
 
Super Micro普通株式の期待収益率3 E(RSMCI) 18.98%

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(RSMCI) = RF + βSMCI [E(RM) – RF]
= 4.76% + 1.43 [14.72%4.76%]
= 18.98%