資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Synopsys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
Synopsys Inc.、月間収益率
| Synopsys Inc. (SNPS) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格SNPS,t1 | 配当SNPS,t1 | RSNPS,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2018/11/30 | $91.94 | 2,760.17 | ||||
| 1. | 2018/12/31 | $84.24 | -8.38% | 2,506.85 | -9.18% | |
| 2. | 2019/01/31 | $93.35 | 10.81% | 2,704.10 | 7.87% | |
| 3. | 2019/02/28 | $101.68 | 8.92% | 2,784.49 | 2.97% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024/09/30 | $506.39 | -2.54% | 5,762.48 | 2.02% | |
| 71. | 2024/10/31 | $513.61 | 1.43% | 5,705.45 | -0.99% | |
| 平均 (R): | 2.79% | 1.16% | ||||
| 標準偏差： | 8.36% | 5.15% | ||||
| Synopsys Inc. (SNPS) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格SNPS,t1 | 配当SNPS,t1 | RSNPS,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2018/11/30 | $91.94 | 2,760.17 | ||||
| 1. | 2018/12/31 | $84.24 | -8.38% | 2,506.85 | -9.18% | |
| 2. | 2019/01/31 | $93.35 | 10.81% | 2,704.10 | 7.87% | |
| 3. | 2019/02/28 | $101.68 | 8.92% | 2,784.49 | 2.97% | |
| 4. | 2019/03/31 | $115.15 | 13.25% | 2,834.40 | 1.79% | |
| 5. | 2019/04/30 | $121.08 | 5.15% | 2,945.83 | 3.93% | |
| 6. | 2019/05/31 | $116.44 | -3.83% | 2,752.06 | -6.58% | |
| 7. | 2019/06/30 | $128.69 | 10.52% | 2,941.76 | 6.89% | |
| 8. | 2019/07/31 | $132.76 | 3.16% | 2,980.38 | 1.31% | |
| 9. | 2019/08/31 | $141.81 | 6.82% | 2,926.46 | -1.81% | |
| 10. | 2019/09/30 | $137.25 | -3.22% | 2,976.74 | 1.72% | |
| 11. | 2019/10/31 | $135.75 | -1.09% | 3,037.56 | 2.04% | |
| 12. | 2019/11/30 | $141.04 | 3.90% | 3,140.98 | 3.40% | |
| 13. | 2019/12/31 | $139.20 | -1.30% | 3,230.78 | 2.86% | |
| 14. | 2020/01/31 | $147.51 | 5.97% | 3,225.52 | -0.16% | |
| 15. | 2020/02/29 | $137.93 | -6.49% | 2,954.22 | -8.41% | |
| 16. | 2020/03/31 | $128.79 | -6.63% | 2,584.59 | -12.51% | |
| 17. | 2020/04/30 | $157.12 | 22.00% | 2,912.43 | 12.68% | |
| 18. | 2020/05/31 | $180.91 | 15.14% | 3,044.31 | 4.53% | |
| 19. | 2020/06/30 | $195.00 | 7.79% | 3,100.29 | 1.84% | |
| 20. | 2020/07/31 | $199.22 | 2.16% | 3,271.12 | 5.51% | |
| 21. | 2020/08/31 | $221.30 | 11.08% | 3,500.31 | 7.01% | |
| 22. | 2020/09/30 | $213.98 | -3.31% | 3,363.00 | -3.92% | |
| 23. | 2020/10/31 | $213.86 | -0.06% | 3,269.96 | -2.77% | |
| 24. | 2020/11/30 | $227.50 | 6.38% | 3,621.63 | 10.75% | |
| 25. | 2020/12/31 | $259.24 | 13.95% | 3,756.07 | 3.71% | |
| 26. | 2021/01/31 | $255.45 | -1.46% | 3,714.24 | -1.11% | |
| 27. | 2021/02/28 | $245.21 | -4.01% | 3,811.15 | 2.61% | |
| 28. | 2021/03/31 | $247.78 | 1.05% | 3,972.89 | 4.24% | |
| 29. | 2021/04/30 | $247.06 | -0.29% | 4,181.17 | 5.24% | |
| 30. | 2021/05/31 | $254.34 | 2.95% | 4,204.11 | 0.55% | |
| 31. | 2021/06/30 | $275.79 | 8.43% | 4,297.50 | 2.22% | |
| 32. | 2021/07/31 | $287.99 | 4.42% | 4,395.26 | 2.27% | |
| 33. | 2021/08/31 | $332.24 | 15.37% | 4,522.68 | 2.90% | |
| 34. | 2021/09/30 | $299.41 | -9.88% | 4,307.54 | -4.76% | |
| 35. | 2021/10/31 | $333.18 | 11.28% | 4,605.38 | 6.91% | |
| 36. | 2021/11/30 | $341.00 | 2.35% | 4,567.00 | -0.83% | |
| 37. | 2021/12/31 | $368.50 | 8.06% | 4,766.18 | 4.36% | |
| 38. | 2022/01/31 | $310.50 | -15.74% | 4,515.55 | -5.26% | |
| 39. | 2022/02/28 | $312.39 | 0.61% | 4,373.94 | -3.14% | |
| 40. | 2022/03/31 | $333.27 | 6.68% | 4,530.41 | 3.58% | |
| 41. | 2022/04/30 | $286.79 | -13.95% | 4,131.93 | -8.80% | |
| 42. | 2022/05/31 | $319.20 | 11.30% | 4,132.15 | 0.01% | |
| 43. | 2022/06/30 | $303.70 | -4.86% | 3,785.38 | -8.39% | |
| 44. | 2022/07/31 | $367.50 | 21.01% | 4,130.29 | 9.11% | |
| 45. | 2022/08/31 | $346.02 | -5.84% | 3,955.00 | -4.24% | |
| 46. | 2022/09/30 | $305.51 | -11.71% | 3,585.62 | -9.34% | |
| 47. | 2022/10/31 | $292.55 | -4.24% | 3,871.98 | 7.99% | |
| 48. | 2022/11/30 | $339.54 | 16.06% | 4,080.11 | 5.38% | |
| 49. | 2022/12/31 | $319.29 | -5.96% | 3,839.50 | -5.90% | |
| 50. | 2023/01/31 | $353.75 | 10.79% | 4,076.60 | 6.18% | |
| 51. | 2023/02/28 | $363.76 | 2.83% | 3,970.15 | -2.61% | |
| 52. | 2023/03/31 | $386.25 | 6.18% | 4,109.31 | 3.51% | |
| 53. | 2023/04/30 | $371.32 | -3.87% | 4,169.48 | 1.46% | |
| 54. | 2023/05/31 | $454.96 | 22.53% | 4,179.83 | 0.25% | |
| 55. | 2023/06/30 | $435.41 | -4.30% | 4,376.86 | 4.71% | |
| 56. | 2023/07/31 | $451.80 | 3.76% | 4,588.96 | 4.85% | |
| 57. | 2023/08/31 | $458.89 | 1.57% | 4,507.66 | -1.77% | |
| 58. | 2023/09/30 | $458.97 | 0.02% | 4,288.05 | -4.87% | |
| 59. | 2023/10/31 | $469.44 | 2.28% | 4,193.80 | -2.20% | |
| 60. | 2023/11/30 | $543.23 | 15.72% | 4,567.80 | 8.92% | |
| 61. | 2023/12/31 | $514.91 | -5.21% | 4,769.83 | 4.42% | |
| 62. | 2024/01/31 | $533.35 | 3.58% | 4,845.65 | 1.59% | |
| 63. | 2024/02/29 | $573.73 | 7.57% | 5,096.27 | 5.17% | |
| 64. | 2024/03/31 | $571.50 | -0.39% | 5,254.35 | 3.10% | |
| 65. | 2024/04/30 | $530.59 | -7.16% | 5,035.69 | -4.16% | |
| 66. | 2024/05/31 | $560.80 | 5.69% | 5,277.51 | 4.80% | |
| 67. | 2024/06/30 | $595.06 | 6.11% | 5,460.48 | 3.47% | |
| 68. | 2024/07/31 | $558.32 | -6.17% | 5,522.30 | 1.13% | |
| 69. | 2024/08/31 | $519.58 | -6.94% | 5,648.40 | 2.28% | |
| 70. | 2024/09/30 | $506.39 | -2.54% | 5,762.48 | 2.02% | |
| 71. | 2024/10/31 | $513.61 | 1.43% | 5,705.45 | -0.99% | |
| 平均 (R): | 2.79% | 1.16% | ||||
| 標準偏差： | 8.36% | 5.15% | ||||
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SNPS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
Synopsys Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RSNPS,t | RS&P 500,t | (RSNPS,t–RSNPS)2 | (RS&P 500,t–RS&P 500)2 | (RSNPS,t–RSNPS)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018/12/31 | -8.38% | -9.18% | 124.57 | 106.87 | 115.38 |
| 2. | 2019/01/31 | 10.81% | 7.87% | 64.45 | 45.00 | 53.86 |
| 3. | 2019/02/28 | 8.92% | 2.97% | 37.67 | 3.29 | 11.13 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024/09/30 | -2.54% | 2.02% | 28.35 | 0.74 | -4.58 |
| 71. | 2024/10/31 | 1.43% | -0.99% | 1.85 | 4.62 | 2.92 |
| トータル (Σ): | 4,895.70 | 1,859.93 | 2,005.29 | |||
| t | 日付 | RSNPS,t | RS&P 500,t | (RSNPS,t–RSNPS)2 | (RS&P 500,t–RS&P 500)2 | (RSNPS,t–RSNPS)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018/12/31 | -8.38% | -9.18% | 124.57 | 106.87 | 115.38 |
| 2. | 2019/01/31 | 10.81% | 7.87% | 64.45 | 45.00 | 53.86 |
| 3. | 2019/02/28 | 8.92% | 2.97% | 37.67 | 3.29 | 11.13 |
| 4. | 2019/03/31 | 13.25% | 1.79% | 109.44 | 0.40 | 6.62 |
| 5. | 2019/04/30 | 5.15% | 3.93% | 5.59 | 7.68 | 6.55 |
| 6. | 2019/05/31 | -3.83% | -6.58% | 43.80 | 59.87 | 51.21 |
| 7. | 2019/06/30 | 10.52% | 6.89% | 59.82 | 32.87 | 44.34 |
| 8. | 2019/07/31 | 3.16% | 1.31% | 0.14 | 0.02 | 0.06 |
| 9. | 2019/08/31 | 6.82% | -1.81% | 16.25 | 8.82 | -11.97 |
| 10. | 2019/09/30 | -3.22% | 1.72% | 36.02 | 0.31 | -3.35 |
| 11. | 2019/10/31 | -1.09% | 2.04% | 15.05 | 0.78 | -3.43 |
| 12. | 2019/11/30 | 3.90% | 3.40% | 1.23 | 5.04 | 2.49 |
| 13. | 2019/12/31 | -1.30% | 2.86% | 16.73 | 2.89 | -6.95 |
| 14. | 2020/01/31 | 5.97% | -0.16% | 10.14 | 1.75 | -4.21 |
| 15. | 2020/02/29 | -6.49% | -8.41% | 86.13 | 91.60 | 88.82 |
| 16. | 2020/03/31 | -6.63% | -12.51% | 88.60 | 186.92 | 128.69 |
| 17. | 2020/04/30 | 22.00% | 12.68% | 369.06 | 132.81 | 221.40 |
| 18. | 2020/05/31 | 15.14% | 4.53% | 152.65 | 11.35 | 41.62 |
| 19. | 2020/06/30 | 7.79% | 1.84% | 25.02 | 0.46 | 3.40 |
| 20. | 2020/07/31 | 2.16% | 5.51% | 0.39 | 18.92 | -2.71 |
| 21. | 2020/08/31 | 11.08% | 7.01% | 68.84 | 34.18 | 48.51 |
| 22. | 2020/09/30 | -3.31% | -3.92% | 37.14 | 25.83 | 30.97 |
| 23. | 2020/10/31 | -0.06% | -2.77% | 8.08 | 15.42 | 11.16 |
| 24. | 2020/11/30 | 6.38% | 10.75% | 12.90 | 92.06 | 34.46 |
| 25. | 2020/12/31 | 13.95% | 3.71% | 124.67 | 6.51 | 28.50 |
| 26. | 2021/01/31 | -1.46% | -1.11% | 18.05 | 5.17 | 9.66 |
| 27. | 2021/02/28 | -4.01% | 2.61% | 46.17 | 2.10 | -9.85 |
| 28. | 2021/03/31 | 1.05% | 4.24% | 3.02 | 9.51 | -5.36 |
| 29. | 2021/04/30 | -0.29% | 5.24% | 9.47 | 16.67 | -12.56 |
| 30. | 2021/05/31 | 2.95% | 0.55% | 0.03 | 0.37 | -0.10 |
| 31. | 2021/06/30 | 8.43% | 2.22% | 31.89 | 1.13 | 5.99 |
| 32. | 2021/07/31 | 4.42% | 2.27% | 2.68 | 1.24 | 1.83 |
| 33. | 2021/08/31 | 15.37% | 2.90% | 158.23 | 3.02 | 21.88 |
| 34. | 2021/09/30 | -9.88% | -4.76% | 160.47 | 35.01 | 74.95 |
| 35. | 2021/10/31 | 11.28% | 6.91% | 72.13 | 33.11 | 48.87 |
| 36. | 2021/11/30 | 2.35% | -0.83% | 0.19 | 3.97 | 0.88 |
| 37. | 2021/12/31 | 8.06% | 4.36% | 27.86 | 10.25 | 16.90 |
| 38. | 2022/01/31 | -15.74% | -5.26% | 343.20 | 41.20 | 118.90 |
| 39. | 2022/02/28 | 0.61% | -3.14% | 4.74 | 18.46 | 9.35 |
| 40. | 2022/03/31 | 6.68% | 3.58% | 15.19 | 5.84 | 9.42 |
| 41. | 2022/04/30 | -13.95% | -8.80% | 279.99 | 99.11 | 166.58 |
| 42. | 2022/05/31 | 11.30% | 0.01% | 72.50 | 1.33 | -9.83 |
| 43. | 2022/06/30 | -4.86% | -8.39% | 58.40 | 91.24 | 73.00 |
| 44. | 2022/07/31 | 21.01% | 9.11% | 332.02 | 63.23 | 144.89 |
| 45. | 2022/08/31 | -5.84% | -4.24% | 74.49 | 29.20 | 46.64 |
| 46. | 2022/09/30 | -11.71% | -9.34% | 210.06 | 110.24 | 152.17 |
| 47. | 2022/10/31 | -4.24% | 7.99% | 49.40 | 46.60 | -47.98 |
| 48. | 2022/11/30 | 16.06% | 5.38% | 176.25 | 17.77 | 55.96 |
| 49. | 2022/12/31 | -5.96% | -5.90% | 76.56 | 49.80 | 61.75 |
| 50. | 2023/01/31 | 10.79% | 6.18% | 64.10 | 25.15 | 40.16 |
| 51. | 2023/02/28 | 2.83% | -2.61% | 0.00 | 14.22 | -0.16 |
| 52. | 2023/03/31 | 6.18% | 3.51% | 11.54 | 5.50 | 7.97 |
| 53. | 2023/04/30 | -3.87% | 1.46% | 44.24 | 0.09 | -2.02 |
| 54. | 2023/05/31 | 22.53% | 0.25% | 389.62 | 0.83 | -18.00 |
| 55. | 2023/06/30 | -4.30% | 4.71% | 50.17 | 12.63 | -25.17 |
| 56. | 2023/07/31 | 3.76% | 4.85% | 0.96 | 13.59 | 3.61 |
| 57. | 2023/08/31 | 1.57% | -1.77% | 1.48 | 8.59 | 3.57 |
| 58. | 2023/09/30 | 0.02% | -4.87% | 7.67 | 36.38 | 16.70 |
| 59. | 2023/10/31 | 2.28% | -2.20% | 0.25 | 11.28 | 1.70 |
| 60. | 2023/11/30 | 15.72% | 8.92% | 167.25 | 60.19 | 100.33 |
| 61. | 2023/12/31 | -5.21% | 4.42% | 63.99 | 10.65 | -26.10 |
| 62. | 2024/01/31 | 3.58% | 1.59% | 0.63 | 0.18 | 0.34 |
| 63. | 2024/02/29 | 7.57% | 5.17% | 22.90 | 16.10 | 19.20 |
| 64. | 2024/03/31 | -0.39% | 3.10% | 10.08 | 3.77 | -6.17 |
| 65. | 2024/04/30 | -7.16% | -4.16% | 98.89 | 28.32 | 52.92 |
| 66. | 2024/05/31 | 5.69% | 4.80% | 8.45 | 13.27 | 10.59 |
| 67. | 2024/06/30 | 6.11% | 3.47% | 11.04 | 5.32 | 7.67 |
| 68. | 2024/07/31 | -6.17% | 1.13% | 80.29 | 0.00 | 0.25 |
| 69. | 2024/08/31 | -6.94% | 2.28% | 94.57 | 1.26 | -10.93 |
| 70. | 2024/09/30 | -2.54% | 2.02% | 28.35 | 0.74 | -4.58 |
| 71. | 2024/10/31 | 1.43% | -0.99% | 1.85 | 4.62 | 2.92 |
| トータル (Σ): | 4,895.70 | 1,859.93 | 2,005.29 | |||
すべて表示
分散SNPS = Σ(RSNPS,t–RSNPS)2 ÷ (71 – 1)
= 4,895.70 ÷ (71 – 1)
= 69.94
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,859.93 ÷ (71 – 1)
= 26.57
共 分散SNPS, S&P 500 = Σ(RSNPS,t–RSNPS)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,005.29 ÷ (71 – 1)
= 28.65
システマティックなリスク推定 (β)
| 分散SNPS | 69.94 |
| 分散S&P 500 | 26.57 |
| 共 分散SNPS, S&P 500 | 28.65 |
| 相関係数SNPS, S&P 5001 | 0.66 |
| βSNPS2 | 1.08 |
| αSNPS3 | 1.54% |
計算
1 相関係数SNPS, S&P 500
= 共 分散SNPS, S&P 500 ÷ (標準偏差SNPS × 標準偏差S&P 500)
= 28.65 ÷ (8.36% × 5.15%)
= 0.66
2 βSNPS
= 共 分散SNPS, S&P 500 ÷ 分散S&P 500
= 28.65 ÷ 26.57
= 1.08
3 αSNPS
= 平均SNPS – βSNPS × 平均S&P 500
= 2.79% – 1.08 × 1.16%
= 1.54%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.83% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.72% |
| 普通株式 Synopsys システマティックリスク | βSNPS | 1.08 |
| シノプシスの普通株式の期待収益率3 | E(RSNPS) | 15.49% |
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(RSNPS) = RF + βSNPS [E(RM) – RF]
= 4.83% + 1.08 [14.72% – 4.83%]
= 15.49%