資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Tesla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
Tesla Inc.、月間収益率
| Tesla Inc. (TSLA) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格TSLA,t1 | 配当TSLA,t1 | RTSLA,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2021/01/31 | $264.51 | 3,714.24 | ||||
| 1. | 2021/02/28 | $225.17 | -14.87% | 3,811.15 | 2.61% | |
| 2. | 2021/03/31 | $222.64 | -1.12% | 3,972.89 | 4.24% | |
| 3. | 2021/04/30 | $236.48 | 6.22% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025/11/30 | $430.17 | -5.78% | 6,849.09 | 0.13% | |
| 59. | 2025/12/31 | $449.72 | 4.54% | 6,845.50 | -0.05% | |
| 平均 (R): | 2.34% | 1.14% | ||||
| 標準偏差： | 17.38% | 4.37% | ||||
| Tesla Inc. (TSLA) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格TSLA,t1 | 配当TSLA,t1 | RTSLA,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2021/01/31 | $264.51 | 3,714.24 | ||||
| 1. | 2021/02/28 | $225.17 | -14.87% | 3,811.15 | 2.61% | |
| 2. | 2021/03/31 | $222.64 | -1.12% | 3,972.89 | 4.24% | |
| 3. | 2021/04/30 | $236.48 | 6.22% | 4,181.17 | 5.24% | |
| 4. | 2021/05/31 | $208.41 | -11.87% | 4,204.11 | 0.55% | |
| 5. | 2021/06/30 | $226.57 | 8.71% | 4,297.50 | 2.22% | |
| 6. | 2021/07/31 | $229.07 | 1.10% | 4,395.26 | 2.27% | |
| 7. | 2021/08/31 | $245.24 | 7.06% | 4,522.68 | 2.90% | |
| 8. | 2021/09/30 | $258.49 | 5.40% | 4,307.54 | -4.76% | |
| 9. | 2021/10/31 | $371.33 | 43.65% | 4,605.38 | 6.91% | |
| 10. | 2021/11/30 | $381.59 | 2.76% | 4,567.00 | -0.83% | |
| 11. | 2021/12/31 | $352.26 | -7.69% | 4,766.18 | 4.36% | |
| 12. | 2022/01/31 | $312.24 | -11.36% | 4,515.55 | -5.26% | |
| 13. | 2022/02/28 | $290.14 | -7.08% | 4,373.94 | -3.14% | |
| 14. | 2022/03/31 | $359.20 | 23.80% | 4,530.41 | 3.58% | |
| 15. | 2022/04/30 | $290.25 | -19.20% | 4,131.93 | -8.80% | |
| 16. | 2022/05/31 | $252.75 | -12.92% | 4,132.15 | 0.01% | |
| 17. | 2022/06/30 | $224.47 | -11.19% | 3,785.38 | -8.39% | |
| 18. | 2022/07/31 | $297.15 | 32.38% | 4,130.29 | 9.11% | |
| 19. | 2022/08/31 | $275.61 | -7.25% | 3,955.00 | -4.24% | |
| 20. | 2022/09/30 | $265.25 | -3.76% | 3,585.62 | -9.34% | |
| 21. | 2022/10/31 | $227.54 | -14.22% | 3,871.98 | 7.99% | |
| 22. | 2022/11/30 | $194.70 | -14.43% | 4,080.11 | 5.38% | |
| 23. | 2022/12/31 | $123.18 | -36.73% | 3,839.50 | -5.90% | |
| 24. | 2023/01/31 | $173.22 | 40.62% | 4,076.60 | 6.18% | |
| 25. | 2023/02/28 | $205.71 | 18.76% | 3,970.15 | -2.61% | |
| 26. | 2023/03/31 | $207.46 | 0.85% | 4,109.31 | 3.51% | |
| 27. | 2023/04/30 | $164.31 | -20.80% | 4,169.48 | 1.46% | |
| 28. | 2023/05/31 | $203.93 | 24.11% | 4,179.83 | 0.25% | |
| 29. | 2023/06/30 | $261.77 | 28.36% | 4,376.86 | 4.71% | |
| 30. | 2023/07/31 | $267.43 | 2.16% | 4,588.96 | 4.85% | |
| 31. | 2023/08/31 | $258.08 | -3.50% | 4,507.66 | -1.77% | |
| 32. | 2023/09/30 | $250.22 | -3.05% | 4,288.05 | -4.87% | |
| 33. | 2023/10/31 | $200.84 | -19.73% | 4,193.80 | -2.20% | |
| 34. | 2023/11/30 | $240.08 | 19.54% | 4,567.80 | 8.92% | |
| 35. | 2023/12/31 | $248.48 | 3.50% | 4,769.83 | 4.42% | |
| 36. | 2024/01/31 | $187.29 | -24.63% | 4,845.65 | 1.59% | |
| 37. | 2024/02/29 | $201.88 | 7.79% | 5,096.27 | 5.17% | |
| 38. | 2024/03/31 | $175.79 | -12.92% | 5,254.35 | 3.10% | |
| 39. | 2024/04/30 | $183.28 | 4.26% | 5,035.69 | -4.16% | |
| 40. | 2024/05/31 | $178.08 | -2.84% | 5,277.51 | 4.80% | |
| 41. | 2024/06/30 | $197.88 | 11.12% | 5,460.48 | 3.47% | |
| 42. | 2024/07/31 | $232.07 | 17.28% | 5,522.30 | 1.13% | |
| 43. | 2024/08/31 | $214.11 | -7.74% | 5,648.40 | 2.28% | |
| 44. | 2024/09/30 | $261.63 | 22.19% | 5,762.48 | 2.02% | |
| 45. | 2024/10/31 | $249.85 | -4.50% | 5,705.45 | -0.99% | |
| 46. | 2024/11/30 | $345.16 | 38.15% | 6,032.38 | 5.73% | |
| 47. | 2024/12/31 | $403.84 | 17.00% | 5,881.63 | -2.50% | |
| 48. | 2025/01/31 | $404.60 | 0.19% | 6,040.53 | 2.70% | |
| 49. | 2025/02/28 | $292.98 | -27.59% | 5,954.50 | -1.42% | |
| 50. | 2025/03/31 | $259.16 | -11.54% | 5,611.85 | -5.75% | |
| 51. | 2025/04/30 | $282.16 | 8.87% | 5,569.06 | -0.76% | |
| 52. | 2025/05/31 | $346.46 | 22.79% | 5,911.69 | 6.15% | |
| 53. | 2025/06/30 | $317.66 | -8.31% | 6,204.95 | 4.96% | |
| 54. | 2025/07/31 | $308.27 | -2.96% | 6,339.39 | 2.17% | |
| 55. | 2025/08/31 | $333.87 | 8.30% | 6,460.26 | 1.91% | |
| 56. | 2025/09/30 | $444.72 | 33.20% | 6,688.46 | 3.53% | |
| 57. | 2025/10/31 | $456.56 | 2.66% | 6,840.20 | 2.27% | |
| 58. | 2025/11/30 | $430.17 | -5.78% | 6,849.09 | 0.13% | |
| 59. | 2025/12/31 | $449.72 | 4.54% | 6,845.50 | -0.05% | |
| 平均 (R): | 2.34% | 1.14% | ||||
| 標準偏差： | 17.38% | 4.37% | ||||
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TSLA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
Tesla Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RTSLA,t | RS&P 500,t | (RTSLA,t–RTSLA)2 | (RS&P 500,t–RS&P 500)2 | (RTSLA,t–RTSLA)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021/02/28 | -14.87% | 2.61% | 296.12 | 2.17 | -25.35 |
| 2. | 2021/03/31 | -1.12% | 4.24% | 11.96 | 9.66 | -10.75 |
| 3. | 2021/04/30 | 6.22% | 5.24% | 15.06 | 16.86 | 15.94 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025/11/30 | -5.78% | 0.13% | 65.86 | 1.01 | 8.17 |
| 59. | 2025/12/31 | 4.54% | -0.05% | 4.88 | 1.41 | -2.63 |
| トータル (Σ): | 17,522.93 | 1,108.23 | 2,029.15 | |||
| t | 日付 | RTSLA,t | RS&P 500,t | (RTSLA,t–RTSLA)2 | (RS&P 500,t–RS&P 500)2 | (RTSLA,t–RTSLA)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021/02/28 | -14.87% | 2.61% | 296.12 | 2.17 | -25.35 |
| 2. | 2021/03/31 | -1.12% | 4.24% | 11.96 | 9.66 | -10.75 |
| 3. | 2021/04/30 | 6.22% | 5.24% | 15.06 | 16.86 | 15.94 |
| 4. | 2021/05/31 | -11.87% | 0.55% | 201.79 | 0.35 | 8.35 |
| 5. | 2021/06/30 | 8.71% | 2.22% | 40.68 | 1.18 | 6.92 |
| 6. | 2021/07/31 | 1.10% | 2.27% | 1.52 | 1.30 | -1.40 |
| 7. | 2021/08/31 | 7.06% | 2.90% | 22.31 | 3.11 | 8.33 |
| 8. | 2021/09/30 | 5.40% | -4.76% | 9.41 | 34.73 | -18.08 |
| 9. | 2021/10/31 | 43.65% | 6.91% | 1,707.20 | 33.39 | 238.75 |
| 10. | 2021/11/30 | 2.76% | -0.83% | 0.18 | 3.88 | -0.84 |
| 11. | 2021/12/31 | -7.69% | 4.36% | 100.43 | 10.40 | -32.32 |
| 12. | 2022/01/31 | -11.36% | -5.26% | 187.59 | 40.89 | 87.58 |
| 13. | 2022/02/28 | -7.08% | -3.14% | 88.61 | 18.25 | 40.21 |
| 14. | 2022/03/31 | 23.80% | 3.58% | 460.83 | 5.96 | 52.41 |
| 15. | 2022/04/30 | -19.20% | -8.80% | 463.57 | 98.64 | 213.84 |
| 16. | 2022/05/31 | -12.92% | 0.01% | 232.72 | 1.28 | 17.25 |
| 17. | 2022/06/30 | -11.19% | -8.39% | 182.90 | 90.79 | 128.86 |
| 18. | 2022/07/31 | 32.38% | 9.11% | 902.59 | 63.61 | 239.61 |
| 19. | 2022/08/31 | -7.25% | -4.24% | 91.86 | 28.95 | 51.56 |
| 20. | 2022/09/30 | -3.76% | -9.34% | 37.14 | 109.74 | 63.84 |
| 21. | 2022/10/31 | -14.22% | 7.99% | 273.97 | 46.93 | -113.39 |
| 22. | 2022/11/30 | -14.43% | 5.38% | 281.16 | 17.97 | -71.08 |
| 23. | 2022/12/31 | -36.73% | -5.90% | 1,526.37 | 49.47 | 274.78 |
| 24. | 2023/01/31 | 40.62% | 6.18% | 1,465.99 | 25.39 | 192.94 |
| 25. | 2023/02/28 | 18.76% | -2.61% | 269.66 | 14.04 | -61.54 |
| 26. | 2023/03/31 | 0.85% | 3.51% | 2.20 | 5.61 | -3.52 |
| 27. | 2023/04/30 | -20.80% | 1.46% | 535.20 | 0.11 | -7.59 |
| 28. | 2023/05/31 | 24.11% | 0.25% | 474.27 | 0.79 | -19.34 |
| 29. | 2023/06/30 | 28.36% | 4.71% | 677.42 | 12.80 | 93.12 |
| 30. | 2023/07/31 | 2.16% | 4.85% | 0.03 | 13.76 | -0.64 |
| 31. | 2023/08/31 | -3.50% | -1.77% | 34.01 | 8.46 | 16.96 |
| 32. | 2023/09/30 | -3.05% | -4.87% | 28.95 | 36.10 | 32.33 |
| 33. | 2023/10/31 | -19.73% | -2.20% | 487.08 | 11.12 | 73.58 |
| 34. | 2023/11/30 | 19.54% | 8.92% | 295.93 | 60.56 | 133.87 |
| 35. | 2023/12/31 | 3.50% | 4.42% | 1.35 | 10.80 | 3.82 |
| 36. | 2024/01/31 | -24.63% | 1.59% | 726.90 | 0.21 | -12.23 |
| 37. | 2024/02/29 | 7.79% | 5.17% | 29.75 | 16.29 | 22.02 |
| 38. | 2024/03/31 | -12.92% | 3.10% | 232.83 | 3.86 | -29.99 |
| 39. | 2024/04/30 | 4.26% | -4.16% | 3.71 | 28.06 | -10.20 |
| 40. | 2024/05/31 | -2.84% | 4.80% | 26.75 | 13.44 | -18.96 |
| 41. | 2024/06/30 | 11.12% | 3.47% | 77.15 | 5.43 | 20.47 |
| 42. | 2024/07/31 | 17.28% | 1.13% | 223.29 | 0.00 | -0.06 |
| 43. | 2024/08/31 | -7.74% | 2.28% | 101.49 | 1.32 | -11.56 |
| 44. | 2024/09/30 | 22.19% | 2.02% | 394.38 | 0.78 | 17.55 |
| 45. | 2024/10/31 | -4.50% | -0.99% | 46.76 | 4.52 | 14.54 |
| 46. | 2024/11/30 | 38.15% | 5.73% | 1,282.47 | 21.10 | 164.52 |
| 47. | 2024/12/31 | 17.00% | -2.50% | 215.08 | 13.21 | -53.31 |
| 48. | 2025/01/31 | 0.19% | 2.70% | 4.61 | 2.45 | -3.36 |
| 49. | 2025/02/28 | -27.59% | -1.42% | 895.39 | 6.56 | 76.61 |
| 50. | 2025/03/31 | -11.54% | -5.75% | 192.62 | 47.48 | 95.63 |
| 51. | 2025/04/30 | 8.87% | -0.76% | 42.77 | 3.60 | -12.42 |
| 52. | 2025/05/31 | 22.79% | 6.15% | 418.33 | 25.16 | 102.60 |
| 53. | 2025/06/30 | -8.31% | 4.96% | 113.38 | 14.63 | -40.72 |
| 54. | 2025/07/31 | -2.96% | 2.17% | 28.00 | 1.06 | -5.45 |
| 55. | 2025/08/31 | 8.30% | 1.91% | 35.63 | 0.59 | 4.60 |
| 56. | 2025/09/30 | 33.20% | 3.53% | 952.73 | 5.74 | 73.96 |
| 57. | 2025/10/31 | 2.66% | 2.27% | 0.11 | 1.28 | 0.37 |
| 58. | 2025/11/30 | -5.78% | 0.13% | 65.86 | 1.01 | 8.17 |
| 59. | 2025/12/31 | 4.54% | -0.05% | 4.88 | 1.41 | -2.63 |
| トータル (Σ): | 17,522.93 | 1,108.23 | 2,029.15 | |||
すべて表示
分散TSLA = Σ(RTSLA,t–RTSLA)2 ÷ (59 – 1)
= 17,522.93 ÷ (59 – 1)
= 302.12
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
共 分散TSLA, S&P 500 = Σ(RTSLA,t–RTSLA)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 2,029.15 ÷ (59 – 1)
= 34.99
システマティックなリスク推定 (β)
| 分散TSLA | 302.12 |
| 分散S&P 500 | 19.11 |
| 共 分散TSLA, S&P 500 | 34.99 |
| 相関係数TSLA, S&P 5001 | 0.46 |
| βTSLA2 | 1.83 |
| αTSLA3 | 0.26% |
計算
1 相関係数TSLA, S&P 500
= 共 分散TSLA, S&P 500 ÷ (標準偏差TSLA × 標準偏差S&P 500)
= 34.99 ÷ (17.38% × 4.37%)
= 0.46
2 βTSLA
= 共 分散TSLA, S&P 500 ÷ 分散S&P 500
= 34.99 ÷ 19.11
= 1.83
3 αTSLA
= 平均TSLA – βTSLA × 平均S&P 500
= 2.34% – 1.83 × 1.14%
= 0.26%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.79% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 17.38% |
| 普通株式 Tesla システマティックリスク | βTSLA | 1.83 |
| テスラ普通株の期待収益率3 | E(RTSLA) | 27.84% |
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(RTSLA) = RF + βTSLA [E(RM) – RF]
= 4.79% + 1.83 [17.38% – 4.79%]
= 27.84%