資本資産価格モデル (CAPM)
資本資産価格モデル(CAPM)は、 Supermicroの普通株式などのリスク資産の期待収益率または必要収益率を示します。
収益率
Super Micro Computer Inc.、月間収益率
| 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 |
| 2017/07/31 | $26.85 | 2,470.30 | ||||
| 1. | 2017/08/31 | $26.63 | -0.82% | 2,471.65 | 0.05% | |
| 2. | 2017/09/30 | $22.10 | -17.01% | 2,519.36 | 1.93% | |
| 3. | 2017/10/31 | $19.90 | -9.95% | 2,575.26 | 2.22% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023/05/31 | $223.95 | 112.42% | 4,179.83 | 0.25% | |
| 71. | 2023/06/30 | $249.25 | 11.30% | 4,376.86 | 4.71% | |
| 平均 (R): | 4.63% | 0.94% | ||||
| 標準偏差： | 19.11% | 5.05% | ||||
| 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 |
| 2017/07/31 | $26.85 | 2,470.30 | ||||
| 1. | 2017/08/31 | $26.63 | -0.82% | 2,471.65 | 0.05% | |
| 2. | 2017/09/30 | $22.10 | -17.01% | 2,519.36 | 1.93% | |
| 3. | 2017/10/31 | $19.90 | -9.95% | 2,575.26 | 2.22% | |
| 4. | 2017/11/30 | $22.05 | 10.80% | 2,647.58 | 2.81% | |
| 5. | 2017/12/31 | $20.93 | -5.08% | 2,673.61 | 0.98% | |
| 6. | 2018/01/31 | $22.83 | 9.08% | 2,823.81 | 5.62% | |
| 7. | 2018/02/28 | $18.10 | -20.72% | 2,713.83 | -3.89% | |
| 8. | 2018/03/31 | $17.00 | -6.08% | 2,640.87 | -2.69% | |
| 9. | 2018/04/30 | $17.70 | 4.12% | 2,648.05 | 0.27% | |
| 10. | 2018/05/31 | $24.10 | 36.16% | 2,705.27 | 2.16% | |
| 11. | 2018/06/30 | $23.65 | -1.87% | 2,718.37 | 0.48% | |
| 12. | 2018/07/31 | $22.10 | -6.55% | 2,816.29 | 3.60% | |
| 13. | 2018/08/31 | $20.51 | -7.19% | 2,901.52 | 3.03% | |
| 14. | 2018/09/30 | $20.61 | 0.49% | 2,913.98 | 0.43% | |
| 15. | 2018/10/31 | $13.10 | -36.44% | 2,711.74 | -6.94% | |
| 16. | 2018/11/30 | $14.90 | 13.74% | 2,760.17 | 1.79% | |
| 17. | 2018/12/31 | $13.80 | -7.38% | 2,506.85 | -9.18% | |
| 18. | 2019/01/31 | $15.10 | 9.42% | 2,704.10 | 7.87% | |
| 19. | 2019/02/28 | $19.12 | 26.62% | 2,784.49 | 2.97% | |
| 20. | 2019/03/31 | $21.13 | 10.51% | 2,834.40 | 1.79% | |
| 21. | 2019/04/30 | $22.42 | 6.11% | 2,945.83 | 3.93% | |
| 22. | 2019/05/31 | $19.00 | -15.25% | 2,752.06 | -6.58% | |
| 23. | 2019/06/30 | $19.35 | 1.84% | 2,941.76 | 6.89% | |
| 24. | 2019/07/31 | $18.31 | -5.37% | 2,980.38 | 1.31% | |
| 25. | 2019/08/31 | $18.90 | 3.22% | 2,926.46 | -1.81% | |
| 26. | 2019/09/30 | $19.20 | 1.59% | 2,976.74 | 1.72% | |
| 27. | 2019/10/31 | $20.68 | 7.71% | 3,037.56 | 2.04% | |
| 28. | 2019/11/30 | $21.30 | 3.00% | 3,140.98 | 3.40% | |
| 29. | 2019/12/31 | $24.02 | 12.77% | 3,230.78 | 2.86% | |
| 30. | 2020/01/31 | $27.96 | 16.40% | 3,225.52 | -0.16% | |
| 31. | 2020/02/29 | $25.38 | -9.23% | 2,954.22 | -8.41% | |
| 32. | 2020/03/31 | $21.28 | -16.15% | 2,584.59 | -12.51% | |
| 33. | 2020/04/30 | $22.90 | 7.61% | 2,912.43 | 12.68% | |
| 34. | 2020/05/31 | $25.96 | 13.36% | 3,044.31 | 4.53% | |
| 35. | 2020/06/30 | $28.39 | 9.36% | 3,100.29 | 1.84% | |
| 36. | 2020/07/31 | $30.31 | 6.76% | 3,271.12 | 5.51% | |
| 37. | 2020/08/31 | $27.39 | -9.63% | 3,500.31 | 7.01% | |
| 38. | 2020/09/30 | $26.40 | -3.61% | 3,363.00 | -3.92% | |
| 39. | 2020/10/31 | $22.72 | -13.94% | 3,269.96 | -2.77% | |
| 40. | 2020/11/30 | $28.21 | 24.16% | 3,621.63 | 10.75% | |
| 41. | 2020/12/31 | $31.66 | 12.23% | 3,756.07 | 3.71% | |
| 42. | 2021/01/31 | $31.00 | -2.08% | 3,714.24 | -1.11% | |
| 43. | 2021/02/28 | $32.63 | 5.26% | 3,811.15 | 2.61% | |
| 44. | 2021/03/31 | $39.06 | 19.71% | 3,972.89 | 4.24% | |
| 45. | 2021/04/30 | $37.02 | -5.22% | 4,181.17 | 5.24% | |
| 46. | 2021/05/31 | $34.74 | -6.16% | 4,204.11 | 0.55% | |
| 47. | 2021/06/30 | $35.18 | 1.27% | 4,297.50 | 2.22% | |
| 48. | 2021/07/31 | $38.04 | 8.13% | 4,395.26 | 2.27% | |
| 49. | 2021/08/31 | $36.54 | -3.94% | 4,522.68 | 2.90% | |
| 50. | 2021/09/30 | $36.57 | 0.08% | 4,307.54 | -4.76% | |
| 51. | 2021/10/31 | $35.39 | -3.23% | 4,605.38 | 6.91% | |
| 52. | 2021/11/30 | $41.40 | 16.98% | 4,567.00 | -0.83% | |
| 53. | 2021/12/31 | $43.95 | 6.16% | 4,766.18 | 4.36% | |
| 54. | 2022/01/31 | $40.52 | -7.80% | 4,515.55 | -5.26% | |
| 55. | 2022/02/28 | $39.29 | -3.04% | 4,373.94 | -3.14% | |
| 56. | 2022/03/31 | $38.07 | -3.11% | 4,530.41 | 3.58% | |
| 57. | 2022/04/30 | $42.10 | 10.59% | 4,131.93 | -8.80% | |
| 58. | 2022/05/31 | $50.06 | 18.91% | 4,132.15 | 0.01% | |
| 59. | 2022/06/30 | $40.35 | -19.40% | 3,785.38 | -8.39% | |
| 60. | 2022/07/31 | $54.01 | 33.85% | 4,130.29 | 9.11% | |
| 61. | 2022/08/31 | $65.08 | 20.50% | 3,955.00 | -4.24% | |
| 62. | 2022/09/30 | $55.07 | -15.38% | 3,585.62 | -9.34% | |
| 63. | 2022/10/31 | $69.59 | 26.37% | 3,871.98 | 7.99% | |
| 64. | 2022/11/30 | $90.23 | 29.66% | 4,080.11 | 5.38% | |
| 65. | 2022/12/31 | $82.10 | -9.01% | 3,839.50 | -5.90% | |
| 66. | 2023/01/31 | $72.33 | -11.90% | 4,076.60 | 6.18% | |
| 67. | 2023/02/28 | $97.97 | 35.45% | 3,970.15 | -2.61% | |
| 68. | 2023/03/31 | $106.55 | 8.76% | 4,109.31 | 3.51% | |
| 69. | 2023/04/30 | $105.43 | -1.05% | 4,169.48 | 1.46% | |
| 70. | 2023/05/31 | $223.95 | 112.42% | 4,179.83 | 0.25% | |
| 71. | 2023/06/30 | $249.25 | 11.30% | 4,376.86 | 4.71% | |
| 平均 (R): | 4.63% | 0.94% | ||||
| 標準偏差： | 19.11% | 5.05% | ||||
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プロキシ)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
| t | 日付 | RSMCI,t | RS&P 500,t | (RSMCI,t–RSMCI)2 | (RS&P 500,t–RS&P 500)2 | (RSMCI,t–RSMCI)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017/08/31 | -0.82% | 0.05% | 29.71 | 0.78 | 4.80 |
| 2. | 2017/09/30 | -17.01% | 1.93% | 468.39 | 0.99 | -21.52 |
| 3. | 2017/10/31 | -9.95% | 2.22% | 212.75 | 1.65 | -18.71 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023/05/31 | 112.42% | 0.25% | 11,617.49 | 0.47 | -74.11 |
| 71. | 2023/06/30 | 11.30% | 4.71% | 44.43 | 14.27 | 25.18 |
| トータル (Σ): | 25,555.38 | 1,786.26 | 2,240.19 | |||
| t | 日付 | RSMCI,t | RS&P 500,t | (RSMCI,t–RSMCI)2 | (RS&P 500,t–RS&P 500)2 | (RSMCI,t–RSMCI)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017/08/31 | -0.82% | 0.05% | 29.71 | 0.78 | 4.80 |
| 2. | 2017/09/30 | -17.01% | 1.93% | 468.39 | 0.99 | -21.52 |
| 3. | 2017/10/31 | -9.95% | 2.22% | 212.75 | 1.65 | -18.71 |
| 4. | 2017/11/30 | 10.80% | 2.81% | 38.10 | 3.51 | 11.56 |
| 5. | 2017/12/31 | -5.08% | 0.98% | 94.30 | 0.00 | -0.46 |
| 6. | 2018/01/31 | 9.08% | 5.62% | 19.77 | 21.92 | 20.82 |
| 7. | 2018/02/28 | -20.72% | -3.89% | 642.61 | 23.33 | 122.45 |
| 8. | 2018/03/31 | -6.08% | -2.69% | 114.68 | 13.14 | 38.81 |
| 9. | 2018/04/30 | 4.12% | 0.27% | 0.26 | 0.44 | 0.34 |
| 10. | 2018/05/31 | 36.16% | 2.16% | 993.94 | 1.50 | 38.62 |
| 11. | 2018/06/30 | -1.87% | 0.48% | 42.23 | 0.20 | 2.93 |
| 12. | 2018/07/31 | -6.55% | 3.60% | 125.11 | 7.11 | -29.82 |
| 13. | 2018/08/31 | -7.19% | 3.03% | 139.85 | 4.37 | -24.72 |
| 14. | 2018/09/30 | 0.49% | 0.43% | 17.17 | 0.26 | 2.10 |
| 15. | 2018/10/31 | -36.44% | -6.94% | 1,686.74 | 62.03 | 323.47 |
| 16. | 2018/11/30 | 13.74% | 1.79% | 82.98 | 0.72 | 7.74 |
| 17. | 2018/12/31 | -7.38% | -9.18% | 144.33 | 102.28 | 121.50 |
| 18. | 2019/01/31 | 9.42% | 7.87% | 22.93 | 48.06 | 33.20 |
| 19. | 2019/02/28 | 26.62% | 2.97% | 483.61 | 4.15 | 44.80 |
| 20. | 2019/03/31 | 10.51% | 1.79% | 34.59 | 0.73 | 5.04 |
| 21. | 2019/04/30 | 6.11% | 3.93% | 2.17 | 8.97 | 4.41 |
| 22. | 2019/05/31 | -15.25% | -6.58% | 395.44 | 56.45 | 149.41 |
| 23. | 2019/06/30 | 1.84% | 6.89% | 7.78 | 35.49 | -16.62 |
| 24. | 2019/07/31 | -5.37% | 1.31% | 100.12 | 0.14 | -3.77 |
| 25. | 2019/08/31 | 3.22% | -1.81% | 1.99 | 7.53 | 3.87 |
| 26. | 2019/09/30 | 1.59% | 1.72% | 9.27 | 0.61 | -2.38 |
| 27. | 2019/10/31 | 7.71% | 2.04% | 9.47 | 1.23 | 3.41 |
| 28. | 2019/11/30 | 3.00% | 3.40% | 2.67 | 6.10 | -4.03 |
| 29. | 2019/12/31 | 12.77% | 2.86% | 66.24 | 3.70 | 15.65 |
| 30. | 2020/01/31 | 16.40% | -0.16% | 138.57 | 1.21 | -12.93 |
| 31. | 2020/02/29 | -9.23% | -8.41% | 192.07 | 87.36 | 129.54 |
| 32. | 2020/03/31 | -16.15% | -12.51% | 432.05 | 180.84 | 279.52 |
| 33. | 2020/04/30 | 7.61% | 12.68% | 8.89 | 138.03 | 35.03 |
| 34. | 2020/05/31 | 13.36% | 4.53% | 76.23 | 12.91 | 31.37 |
| 35. | 2020/06/30 | 9.36% | 1.84% | 22.37 | 0.82 | 4.27 |
| 36. | 2020/07/31 | 6.76% | 5.51% | 4.54 | 20.92 | 9.75 |
| 37. | 2020/08/31 | -9.63% | 7.01% | 203.49 | 36.85 | -86.60 |
| 38. | 2020/09/30 | -3.61% | -3.92% | 67.99 | 23.61 | 40.06 |
| 39. | 2020/10/31 | -13.94% | -2.77% | 344.87 | 13.71 | 68.76 |
| 40. | 2020/11/30 | 24.16% | 10.75% | 381.51 | 96.41 | 191.78 |
| 41. | 2020/12/31 | 12.23% | 3.71% | 57.74 | 7.71 | 21.10 |
| 42. | 2021/01/31 | -2.08% | -1.11% | 45.10 | 4.20 | 13.76 |
| 43. | 2021/02/28 | 5.26% | 2.61% | 0.39 | 2.80 | 1.05 |
| 44. | 2021/03/31 | 19.71% | 4.24% | 227.24 | 10.94 | 49.87 |
| 45. | 2021/04/30 | -5.22% | 5.24% | 97.10 | 18.55 | -42.44 |
| 46. | 2021/05/31 | -6.16% | 0.55% | 116.43 | 0.15 | 4.18 |
| 47. | 2021/06/30 | 1.27% | 2.22% | 11.32 | 1.65 | -4.33 |
| 48. | 2021/07/31 | 8.13% | 2.27% | 12.24 | 1.79 | 4.68 |
| 49. | 2021/08/31 | -3.94% | 2.90% | 73.52 | 3.85 | -16.83 |
| 50. | 2021/09/30 | 0.08% | -4.76% | 20.70 | 32.41 | 25.90 |
| 51. | 2021/10/31 | -3.23% | 6.91% | 61.75 | 35.74 | -46.98 |
| 52. | 2021/11/30 | 16.98% | -0.83% | 152.54 | 3.13 | -21.85 |
| 53. | 2021/12/31 | 6.16% | 4.36% | 2.34 | 11.73 | 5.23 |
| 54. | 2022/01/31 | -7.80% | -5.26% | 154.65 | 38.37 | 77.03 |
| 55. | 2022/02/28 | -3.04% | -3.14% | 58.78 | 16.58 | 31.22 |
| 56. | 2022/03/31 | -3.11% | 3.58% | 59.85 | 6.98 | -20.44 |
| 57. | 2022/04/30 | 10.59% | -8.80% | 35.46 | 94.70 | -57.95 |
| 58. | 2022/05/31 | 18.91% | 0.01% | 203.80 | 0.87 | -13.28 |
| 59. | 2022/06/30 | -19.40% | -8.39% | 577.35 | 87.01 | 224.13 |
| 60. | 2022/07/31 | 33.85% | 9.11% | 853.95 | 66.84 | 238.92 |
| 61. | 2022/08/31 | 20.50% | -4.24% | 251.69 | 26.83 | -82.18 |
| 62. | 2022/09/30 | -15.38% | -9.34% | 400.50 | 105.58 | 205.63 |
| 63. | 2022/10/31 | 26.37% | 7.99% | 472.41 | 49.71 | 153.24 |
| 64. | 2022/11/30 | 29.66% | 5.38% | 626.41 | 19.71 | 111.11 |
| 65. | 2022/12/31 | -9.01% | -5.90% | 186.09 | 46.69 | 93.21 |
| 66. | 2023/01/31 | -11.90% | 6.18% | 273.29 | 27.45 | -86.62 |
| 67. | 2023/02/28 | 35.45% | -2.61% | 949.71 | 12.58 | -109.31 |
| 68. | 2023/03/31 | 8.76% | 3.51% | 17.03 | 6.60 | 10.60 |
| 69. | 2023/04/30 | -1.05% | 1.46% | 32.29 | 0.28 | -3.00 |
| 70. | 2023/05/31 | 112.42% | 0.25% | 11,617.49 | 0.47 | -74.11 |
| 71. | 2023/06/30 | 11.30% | 4.71% | 44.43 | 14.27 | 25.18 |
| トータル (Σ): | 25,555.38 | 1,786.26 | 2,240.19 | |||
すべて表示
分散SMCI = Σ(RSMCI,t–RSMCI)2 ÷ (71 – 1)
= 25,555.38 ÷ (71 – 1)
= 365.08
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,786.26 ÷ (71 – 1)
= 25.52
共 分散SMCI, S&P 500 = Σ(RSMCI,t–RSMCI)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,240.19 ÷ (71 – 1)
= 32.00
システマティックリスク推定 (β)
| 分散SMCI | 365.08 |
| 分散S&P 500 | 25.52 |
| 共 分散SMCI, S&P 500 | 32.00 |
| 相関係数SMCI, S&P 5001 | 0.33 |
| βSMCI2 | 1.25 |
| αSMCI3 | 3.46% |
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)
= 32.00 ÷ (19.11% × 5.05%)
= 0.33
2 βSMCI
= 共 分散SMCI, S&P 500 ÷ 分散S&P 500
= 32.00 ÷ 25.52
= 1.25
3 αSMCI
= 平均SMCI – βSMCI × 平均S&P 500
= 4.63% – 1.25 × 0.94%
= 3.46%
期待収益率
| 仮定 | ||
| LT財務省総合の収益率1 | RF | 4.86% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 13.52% |
| 普通株式 Supermicro システマティックリスク | βSMCI | 1.25 |
| スーパーマイクロ普通株式の予想収益率3 | E(RSMCI) | 15.72% |
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(RSMCI) = RF + βSMCI [E(RM) – RF]
= 4.86% + 1.25 [13.52% – 4.86%]
= 15.72%