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 Workday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
Workday Inc.、月間収益率
| Workday Inc. (WDAY) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格WDAY,t1 | 配当WDAY,t1 | RWDAY,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2019/02/28 | $197.93 | 2,784.49 | ||||
| 1. | 2019/03/31 | $192.85 | -2.57% | 2,834.40 | 1.79% | |
| 2. | 2019/04/30 | $205.63 | 6.63% | 2,945.83 | 3.93% | |
| 3. | 2019/05/31 | $204.12 | -0.73% | 2,752.06 | -6.58% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024/12/31 | $258.03 | 3.22% | 5,881.63 | -2.50% | |
| 71. | 2025/01/31 | $262.06 | 1.56% | 6,040.53 | 2.70% | |
| 平均 (R): | 0.92% | 1.22% | ||||
| 標準偏差： | 10.39% | 4.99% | ||||
| Workday Inc. (WDAY) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格WDAY,t1 | 配当WDAY,t1 | RWDAY,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2019/02/28 | $197.93 | 2,784.49 | ||||
| 1. | 2019/03/31 | $192.85 | -2.57% | 2,834.40 | 1.79% | |
| 2. | 2019/04/30 | $205.63 | 6.63% | 2,945.83 | 3.93% | |
| 3. | 2019/05/31 | $204.12 | -0.73% | 2,752.06 | -6.58% | |
| 4. | 2019/06/30 | $205.58 | 0.72% | 2,941.76 | 6.89% | |
| 5. | 2019/07/31 | $199.98 | -2.72% | 2,980.38 | 1.31% | |
| 6. | 2019/08/31 | $177.28 | -11.35% | 2,926.46 | -1.81% | |
| 7. | 2019/09/30 | $169.96 | -4.13% | 2,976.74 | 1.72% | |
| 8. | 2019/10/31 | $162.16 | -4.59% | 3,037.56 | 2.04% | |
| 9. | 2019/11/30 | $179.12 | 10.46% | 3,140.98 | 3.40% | |
| 10. | 2019/12/31 | $164.45 | -8.19% | 3,230.78 | 2.86% | |
| 11. | 2020/01/31 | $184.63 | 12.27% | 3,225.52 | -0.16% | |
| 12. | 2020/02/29 | $173.25 | -6.16% | 2,954.22 | -8.41% | |
| 13. | 2020/03/31 | $130.22 | -24.84% | 2,584.59 | -12.51% | |
| 14. | 2020/04/30 | $153.90 | 18.18% | 2,912.43 | 12.68% | |
| 15. | 2020/05/31 | $183.43 | 19.19% | 3,044.31 | 4.53% | |
| 16. | 2020/06/30 | $187.36 | 2.14% | 3,100.29 | 1.84% | |
| 17. | 2020/07/31 | $180.92 | -3.44% | 3,271.12 | 5.51% | |
| 18. | 2020/08/31 | $239.71 | 32.50% | 3,500.31 | 7.01% | |
| 19. | 2020/09/30 | $215.13 | -10.25% | 3,363.00 | -3.92% | |
| 20. | 2020/10/31 | $210.12 | -2.33% | 3,269.96 | -2.77% | |
| 21. | 2020/11/30 | $224.79 | 6.98% | 3,621.63 | 10.75% | |
| 22. | 2020/12/31 | $239.61 | 6.59% | 3,756.07 | 3.71% | |
| 23. | 2021/01/31 | $227.53 | -5.04% | 3,714.24 | -1.11% | |
| 24. | 2021/02/28 | $245.18 | 7.76% | 3,811.15 | 2.61% | |
| 25. | 2021/03/31 | $248.43 | 1.33% | 3,972.89 | 4.24% | |
| 26. | 2021/04/30 | $247.00 | -0.58% | 4,181.17 | 5.24% | |
| 27. | 2021/05/31 | $228.72 | -7.40% | 4,204.11 | 0.55% | |
| 28. | 2021/06/30 | $238.74 | 4.38% | 4,297.50 | 2.22% | |
| 29. | 2021/07/31 | $234.40 | -1.82% | 4,395.26 | 2.27% | |
| 30. | 2021/08/31 | $273.16 | 16.54% | 4,522.68 | 2.90% | |
| 31. | 2021/09/30 | $249.89 | -8.52% | 4,307.54 | -4.76% | |
| 32. | 2021/10/31 | $289.98 | 16.04% | 4,605.38 | 6.91% | |
| 33. | 2021/11/30 | $274.23 | -5.43% | 4,567.00 | -0.83% | |
| 34. | 2021/12/31 | $273.18 | -0.38% | 4,766.18 | 4.36% | |
| 35. | 2022/01/31 | $253.01 | -7.38% | 4,515.55 | -5.26% | |
| 36. | 2022/02/28 | $229.05 | -9.47% | 4,373.94 | -3.14% | |
| 37. | 2022/03/31 | $239.46 | 4.54% | 4,530.41 | 3.58% | |
| 38. | 2022/04/30 | $206.70 | -13.68% | 4,131.93 | -8.80% | |
| 39. | 2022/05/31 | $156.30 | -24.38% | 4,132.15 | 0.01% | |
| 40. | 2022/06/30 | $139.58 | -10.70% | 3,785.38 | -8.39% | |
| 41. | 2022/07/31 | $155.10 | 11.12% | 4,130.29 | 9.11% | |
| 42. | 2022/08/31 | $164.56 | 6.10% | 3,955.00 | -4.24% | |
| 43. | 2022/09/30 | $152.22 | -7.50% | 3,585.62 | -9.34% | |
| 44. | 2022/10/31 | $155.82 | 2.36% | 3,871.98 | 7.99% | |
| 45. | 2022/11/30 | $167.90 | 7.75% | 4,080.11 | 5.38% | |
| 46. | 2022/12/31 | $167.33 | -0.34% | 3,839.50 | -5.90% | |
| 47. | 2023/01/31 | $181.43 | 8.43% | 4,076.60 | 6.18% | |
| 48. | 2023/02/28 | $185.47 | 2.23% | 3,970.15 | -2.61% | |
| 49. | 2023/03/31 | $206.54 | 11.36% | 4,109.31 | 3.51% | |
| 50. | 2023/04/30 | $186.14 | -9.88% | 4,169.48 | 1.46% | |
| 51. | 2023/05/31 | $211.99 | 13.89% | 4,179.83 | 0.25% | |
| 52. | 2023/06/30 | $225.89 | 6.56% | 4,376.86 | 4.71% | |
| 53. | 2023/07/31 | $237.13 | 4.98% | 4,588.96 | 4.85% | |
| 54. | 2023/08/31 | $244.50 | 3.11% | 4,507.66 | -1.77% | |
| 55. | 2023/09/30 | $214.85 | -12.13% | 4,288.05 | -4.87% | |
| 56. | 2023/10/31 | $211.71 | -1.46% | 4,193.80 | -2.20% | |
| 57. | 2023/11/30 | $270.72 | 27.87% | 4,567.80 | 8.92% | |
| 58. | 2023/12/31 | $276.06 | 1.97% | 4,769.83 | 4.42% | |
| 59. | 2024/01/31 | $291.07 | 5.44% | 4,845.65 | 1.59% | |
| 60. | 2024/02/29 | $294.66 | 1.23% | 5,096.27 | 5.17% | |
| 61. | 2024/03/31 | $272.75 | -7.44% | 5,254.35 | 3.10% | |
| 62. | 2024/04/30 | $244.73 | -10.27% | 5,035.69 | -4.16% | |
| 63. | 2024/05/31 | $211.45 | -13.60% | 5,277.51 | 4.80% | |
| 64. | 2024/06/30 | $223.56 | 5.73% | 5,460.48 | 3.47% | |
| 65. | 2024/07/31 | $227.12 | 1.59% | 5,522.30 | 1.13% | |
| 66. | 2024/08/31 | $263.19 | 15.88% | 5,648.40 | 2.28% | |
| 67. | 2024/09/30 | $244.41 | -7.14% | 5,762.48 | 2.02% | |
| 68. | 2024/10/31 | $233.85 | -4.32% | 5,705.45 | -0.99% | |
| 69. | 2024/11/30 | $249.99 | 6.90% | 6,032.38 | 5.73% | |
| 70. | 2024/12/31 | $258.03 | 3.22% | 5,881.63 | -2.50% | |
| 71. | 2025/01/31 | $262.06 | 1.56% | 6,040.53 | 2.70% | |
| 平均 (R): | 0.92% | 1.22% | ||||
| 標準偏差： | 10.39% | 4.99% | ||||
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中のWDAY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
Workday Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RWDAY,t | RS&P 500,t | (RWDAY,t–RWDAY)2 | (RS&P 500,t–RS&P 500)2 | (RWDAY,t–RWDAY)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019/03/31 | -2.57% | 1.79% | 12.16 | 0.33 | -2.00 |
| 2. | 2019/04/30 | 6.63% | 3.93% | 32.56 | 7.35 | 15.47 |
| 3. | 2019/05/31 | -0.73% | -6.58% | 2.74 | 60.81 | 12.90 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024/12/31 | 3.22% | -2.50% | 5.27 | 13.83 | -8.54 |
| 71. | 2025/01/31 | 1.56% | 2.70% | 0.41 | 2.20 | 0.95 |
| トータル (Σ): | 7,560.71 | 1,741.16 | 2,233.28 | |||
| t | 日付 | RWDAY,t | RS&P 500,t | (RWDAY,t–RWDAY)2 | (RS&P 500,t–RS&P 500)2 | (RWDAY,t–RWDAY)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019/03/31 | -2.57% | 1.79% | 12.16 | 0.33 | -2.00 |
| 2. | 2019/04/30 | 6.63% | 3.93% | 32.56 | 7.35 | 15.47 |
| 3. | 2019/05/31 | -0.73% | -6.58% | 2.74 | 60.81 | 12.90 |
| 4. | 2019/06/30 | 0.72% | 6.89% | 0.04 | 32.18 | -1.16 |
| 5. | 2019/07/31 | -2.72% | 1.31% | 13.28 | 0.01 | -0.34 |
| 6. | 2019/08/31 | -11.35% | -1.81% | 150.60 | 9.18 | 37.17 |
| 7. | 2019/09/30 | -4.13% | 1.72% | 25.50 | 0.25 | -2.52 |
| 8. | 2019/10/31 | -4.59% | 2.04% | 30.36 | 0.68 | -4.54 |
| 9. | 2019/11/30 | 10.46% | 3.40% | 90.98 | 4.77 | 20.84 |
| 10. | 2019/12/31 | -8.19% | 2.86% | 83.00 | 2.69 | -14.93 |
| 11. | 2020/01/31 | 12.27% | -0.16% | 128.84 | 1.91 | -15.70 |
| 12. | 2020/02/29 | -6.16% | -8.41% | 50.19 | 92.76 | 68.23 |
| 13. | 2020/03/31 | -24.84% | -12.51% | 663.45 | 188.57 | 353.70 |
| 14. | 2020/04/30 | 18.18% | 12.68% | 298.05 | 131.43 | 197.92 |
| 15. | 2020/05/31 | 19.19% | 4.53% | 333.69 | 10.94 | 60.43 |
| 16. | 2020/06/30 | 2.14% | 1.84% | 1.49 | 0.38 | 0.76 |
| 17. | 2020/07/31 | -3.44% | 5.51% | 18.99 | 18.41 | -18.70 |
| 18. | 2020/08/31 | 32.50% | 7.01% | 996.94 | 33.48 | 182.70 |
| 19. | 2020/09/30 | -10.25% | -3.92% | 124.87 | 26.45 | 57.47 |
| 20. | 2020/10/31 | -2.33% | -2.77% | 10.56 | 15.89 | 12.95 |
| 21. | 2020/11/30 | 6.98% | 10.75% | 36.74 | 90.91 | 57.79 |
| 22. | 2020/12/31 | 6.59% | 3.71% | 32.17 | 6.21 | 14.14 |
| 23. | 2021/01/31 | -5.04% | -1.11% | 35.55 | 5.45 | 13.91 |
| 24. | 2021/02/28 | 7.76% | 2.61% | 46.74 | 1.93 | 9.50 |
| 25. | 2021/03/31 | 1.33% | 4.24% | 0.16 | 9.14 | 1.22 |
| 26. | 2021/04/30 | -0.58% | 5.24% | 2.24 | 16.18 | -6.02 |
| 27. | 2021/05/31 | -7.40% | 0.55% | 69.25 | 0.45 | 5.59 |
| 28. | 2021/06/30 | 4.38% | 2.22% | 11.97 | 1.00 | 3.47 |
| 29. | 2021/07/31 | -1.82% | 2.27% | 7.50 | 1.11 | -2.89 |
| 30. | 2021/08/31 | 16.54% | 2.90% | 243.84 | 2.82 | 26.22 |
| 31. | 2021/09/30 | -8.52% | -4.76% | 89.10 | 35.72 | 56.42 |
| 32. | 2021/10/31 | 16.04% | 6.91% | 228.69 | 32.43 | 86.11 |
| 33. | 2021/11/30 | -5.43% | -0.83% | 40.35 | 4.22 | 13.04 |
| 34. | 2021/12/31 | -0.38% | 4.36% | 1.70 | 9.87 | -4.09 |
| 35. | 2022/01/31 | -7.38% | -5.26% | 68.96 | 41.97 | 53.80 |
| 36. | 2022/02/28 | -9.47% | -3.14% | 107.96 | 18.98 | 45.26 |
| 37. | 2022/03/31 | 4.54% | 3.58% | 13.14 | 5.56 | 8.54 |
| 38. | 2022/04/30 | -13.68% | -8.80% | 213.20 | 100.31 | 146.24 |
| 39. | 2022/05/31 | -24.38% | 0.01% | 640.28 | 1.48 | 30.74 |
| 40. | 2022/06/30 | -10.70% | -8.39% | 134.98 | 92.39 | 111.67 |
| 41. | 2022/07/31 | 11.12% | 9.11% | 104.01 | 62.28 | 80.48 |
| 42. | 2022/08/31 | 6.10% | -4.24% | 26.82 | 29.86 | -28.30 |
| 43. | 2022/09/30 | -7.50% | -9.34% | 70.89 | 111.50 | 88.91 |
| 44. | 2022/10/31 | 2.36% | 7.99% | 2.09 | 45.78 | 9.77 |
| 45. | 2022/11/30 | 7.75% | 5.38% | 46.68 | 17.27 | 28.39 |
| 46. | 2022/12/31 | -0.34% | -5.90% | 1.59 | 50.65 | 8.97 |
| 47. | 2023/01/31 | 8.43% | 6.18% | 56.34 | 24.55 | 37.19 |
| 48. | 2023/02/28 | 2.23% | -2.61% | 1.71 | 14.68 | -5.00 |
| 49. | 2023/03/31 | 11.36% | 3.51% | 108.99 | 5.22 | 23.86 |
| 50. | 2023/04/30 | -9.88% | 1.46% | 116.59 | 0.06 | -2.64 |
| 51. | 2023/05/31 | 13.89% | 0.25% | 168.14 | 0.94 | -12.60 |
| 52. | 2023/06/30 | 6.56% | 4.71% | 31.77 | 12.21 | 19.69 |
| 53. | 2023/07/31 | 4.98% | 4.85% | 16.45 | 13.15 | 14.70 |
| 54. | 2023/08/31 | 3.11% | -1.77% | 4.78 | 8.95 | -6.54 |
| 55. | 2023/09/30 | -12.13% | -4.87% | 170.23 | 37.11 | 79.48 |
| 56. | 2023/10/31 | -1.46% | -2.20% | 5.67 | 11.68 | 8.14 |
| 57. | 2023/11/30 | 27.87% | 8.92% | 726.43 | 59.26 | 207.48 |
| 58. | 2023/12/31 | 1.97% | 4.42% | 1.11 | 10.26 | 3.37 |
| 59. | 2024/01/31 | 5.44% | 1.59% | 20.40 | 0.14 | 1.67 |
| 60. | 2024/02/29 | 1.23% | 5.17% | 0.10 | 15.62 | 1.24 |
| 61. | 2024/03/31 | -7.44% | 3.10% | 69.83 | 3.54 | -15.73 |
| 62. | 2024/04/30 | -10.27% | -4.16% | 125.30 | 28.96 | 60.24 |
| 63. | 2024/05/31 | -13.60% | 4.80% | 210.81 | 12.83 | -52.01 |
| 64. | 2024/06/30 | 5.73% | 3.47% | 23.10 | 5.05 | 10.80 |
| 65. | 2024/07/31 | 1.59% | 1.13% | 0.45 | 0.01 | -0.06 |
| 66. | 2024/08/31 | 15.88% | 2.28% | 223.83 | 1.13 | 15.91 |
| 67. | 2024/09/30 | -7.14% | 2.02% | 64.90 | 0.64 | -6.44 |
| 68. | 2024/10/31 | -4.32% | -0.99% | 27.47 | 4.88 | 11.58 |
| 69. | 2024/11/30 | 6.90% | 5.73% | 35.78 | 20.34 | 26.98 |
| 70. | 2024/12/31 | 3.22% | -2.50% | 5.27 | 13.83 | -8.54 |
| 71. | 2025/01/31 | 1.56% | 2.70% | 0.41 | 2.20 | 0.95 |
| トータル (Σ): | 7,560.71 | 1,741.16 | 2,233.28 | |||
すべて表示
分散WDAY = Σ(RWDAY,t–RWDAY)2 ÷ (71 – 1)
= 7,560.71 ÷ (71 – 1)
= 108.01
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,741.16 ÷ (71 – 1)
= 24.87
共 分散WDAY, S&P 500 = Σ(RWDAY,t–RWDAY)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,233.28 ÷ (71 – 1)
= 31.90
システマティックなリスク推定 (β)
| 分散WDAY | 108.01 |
| 分散S&P 500 | 24.87 |
| 共 分散WDAY, S&P 500 | 31.90 |
| 相関係数WDAY, S&P 5001 | 0.62 |
| βWDAY2 | 1.28 |
| αWDAY3 | -0.64% |
計算
1 相関係数WDAY, S&P 500
= 共 分散WDAY, S&P 500 ÷ (標準偏差WDAY × 標準偏差S&P 500)
= 31.90 ÷ (10.39% × 4.99%)
= 0.62
2 βWDAY
= 共 分散WDAY, S&P 500 ÷ 分散S&P 500
= 31.90 ÷ 24.87
= 1.28
3 αWDAY
= 平均WDAY – βWDAY × 平均S&P 500
= 0.92% – 1.28 × 1.22%
= -0.64%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.63% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.88% |
| 普通株式のシステマティックリスクWorkday | βWDAY | 1.28 |
| Workday 普通株式の予想収益率3 | E(RWDAY) | 17.78% |
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(RWDAY) = RF + βWDAY [E(RM) – RF]
= 4.63% + 1.28 [14.88% – 4.63%]
= 17.78%