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 |
| 2020/02/29 | $173.25 | 2,954.22 | ||||
| 1. | 2020/03/31 | $130.22 | -24.84% | 2,584.59 | -12.51% | |
| 2. | 2020/04/30 | $153.90 | 18.18% | 2,912.43 | 12.68% | |
| 3. | 2020/05/31 | $183.43 | 19.19% | 3,044.31 | 4.53% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025/12/31 | $214.78 | -0.39% | 6,845.50 | -0.05% | |
| 71. | 2026/01/31 | $175.63 | -18.23% | 6,939.03 | 1.37% | |
| 平均 (R): | 0.55% | 1.33% | ||||
| 標準偏差： | 10.45% | 4.83% | ||||
| 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 |
| 2020/02/29 | $173.25 | 2,954.22 | ||||
| 1. | 2020/03/31 | $130.22 | -24.84% | 2,584.59 | -12.51% | |
| 2. | 2020/04/30 | $153.90 | 18.18% | 2,912.43 | 12.68% | |
| 3. | 2020/05/31 | $183.43 | 19.19% | 3,044.31 | 4.53% | |
| 4. | 2020/06/30 | $187.36 | 2.14% | 3,100.29 | 1.84% | |
| 5. | 2020/07/31 | $180.92 | -3.44% | 3,271.12 | 5.51% | |
| 6. | 2020/08/31 | $239.71 | 32.50% | 3,500.31 | 7.01% | |
| 7. | 2020/09/30 | $215.13 | -10.25% | 3,363.00 | -3.92% | |
| 8. | 2020/10/31 | $210.12 | -2.33% | 3,269.96 | -2.77% | |
| 9. | 2020/11/30 | $224.79 | 6.98% | 3,621.63 | 10.75% | |
| 10. | 2020/12/31 | $239.61 | 6.59% | 3,756.07 | 3.71% | |
| 11. | 2021/01/31 | $227.53 | -5.04% | 3,714.24 | -1.11% | |
| 12. | 2021/02/28 | $245.18 | 7.76% | 3,811.15 | 2.61% | |
| 13. | 2021/03/31 | $248.43 | 1.33% | 3,972.89 | 4.24% | |
| 14. | 2021/04/30 | $247.00 | -0.58% | 4,181.17 | 5.24% | |
| 15. | 2021/05/31 | $228.72 | -7.40% | 4,204.11 | 0.55% | |
| 16. | 2021/06/30 | $238.74 | 4.38% | 4,297.50 | 2.22% | |
| 17. | 2021/07/31 | $234.40 | -1.82% | 4,395.26 | 2.27% | |
| 18. | 2021/08/31 | $273.16 | 16.54% | 4,522.68 | 2.90% | |
| 19. | 2021/09/30 | $249.89 | -8.52% | 4,307.54 | -4.76% | |
| 20. | 2021/10/31 | $289.98 | 16.04% | 4,605.38 | 6.91% | |
| 21. | 2021/11/30 | $274.23 | -5.43% | 4,567.00 | -0.83% | |
| 22. | 2021/12/31 | $273.18 | -0.38% | 4,766.18 | 4.36% | |
| 23. | 2022/01/31 | $253.01 | -7.38% | 4,515.55 | -5.26% | |
| 24. | 2022/02/28 | $229.05 | -9.47% | 4,373.94 | -3.14% | |
| 25. | 2022/03/31 | $239.46 | 4.54% | 4,530.41 | 3.58% | |
| 26. | 2022/04/30 | $206.70 | -13.68% | 4,131.93 | -8.80% | |
| 27. | 2022/05/31 | $156.30 | -24.38% | 4,132.15 | 0.01% | |
| 28. | 2022/06/30 | $139.58 | -10.70% | 3,785.38 | -8.39% | |
| 29. | 2022/07/31 | $155.10 | 11.12% | 4,130.29 | 9.11% | |
| 30. | 2022/08/31 | $164.56 | 6.10% | 3,955.00 | -4.24% | |
| 31. | 2022/09/30 | $152.22 | -7.50% | 3,585.62 | -9.34% | |
| 32. | 2022/10/31 | $155.82 | 2.36% | 3,871.98 | 7.99% | |
| 33. | 2022/11/30 | $167.90 | 7.75% | 4,080.11 | 5.38% | |
| 34. | 2022/12/31 | $167.33 | -0.34% | 3,839.50 | -5.90% | |
| 35. | 2023/01/31 | $181.43 | 8.43% | 4,076.60 | 6.18% | |
| 36. | 2023/02/28 | $185.47 | 2.23% | 3,970.15 | -2.61% | |
| 37. | 2023/03/31 | $206.54 | 11.36% | 4,109.31 | 3.51% | |
| 38. | 2023/04/30 | $186.14 | -9.88% | 4,169.48 | 1.46% | |
| 39. | 2023/05/31 | $211.99 | 13.89% | 4,179.83 | 0.25% | |
| 40. | 2023/06/30 | $225.89 | 6.56% | 4,376.86 | 4.71% | |
| 41. | 2023/07/31 | $237.13 | 4.98% | 4,588.96 | 4.85% | |
| 42. | 2023/08/31 | $244.50 | 3.11% | 4,507.66 | -1.77% | |
| 43. | 2023/09/30 | $214.85 | -12.13% | 4,288.05 | -4.87% | |
| 44. | 2023/10/31 | $211.71 | -1.46% | 4,193.80 | -2.20% | |
| 45. | 2023/11/30 | $270.72 | 27.87% | 4,567.80 | 8.92% | |
| 46. | 2023/12/31 | $276.06 | 1.97% | 4,769.83 | 4.42% | |
| 47. | 2024/01/31 | $291.07 | 5.44% | 4,845.65 | 1.59% | |
| 48. | 2024/02/29 | $294.66 | 1.23% | 5,096.27 | 5.17% | |
| 49. | 2024/03/31 | $272.75 | -7.44% | 5,254.35 | 3.10% | |
| 50. | 2024/04/30 | $244.73 | -10.27% | 5,035.69 | -4.16% | |
| 51. | 2024/05/31 | $211.45 | -13.60% | 5,277.51 | 4.80% | |
| 52. | 2024/06/30 | $223.56 | 5.73% | 5,460.48 | 3.47% | |
| 53. | 2024/07/31 | $227.12 | 1.59% | 5,522.30 | 1.13% | |
| 54. | 2024/08/31 | $263.19 | 15.88% | 5,648.40 | 2.28% | |
| 55. | 2024/09/30 | $244.41 | -7.14% | 5,762.48 | 2.02% | |
| 56. | 2024/10/31 | $233.85 | -4.32% | 5,705.45 | -0.99% | |
| 57. | 2024/11/30 | $249.99 | 6.90% | 6,032.38 | 5.73% | |
| 58. | 2024/12/31 | $258.03 | 3.22% | 5,881.63 | -2.50% | |
| 59. | 2025/01/31 | $262.06 | 1.56% | 6,040.53 | 2.70% | |
| 60. | 2025/02/28 | $263.34 | 0.49% | 5,954.50 | -1.42% | |
| 61. | 2025/03/31 | $233.53 | -11.32% | 5,611.85 | -5.75% | |
| 62. | 2025/04/30 | $245.00 | 4.91% | 5,569.06 | -0.76% | |
| 63. | 2025/05/31 | $247.71 | 1.11% | 5,911.69 | 6.15% | |
| 64. | 2025/06/30 | $240.00 | -3.11% | 6,204.95 | 4.96% | |
| 65. | 2025/07/31 | $229.38 | -4.43% | 6,339.39 | 2.17% | |
| 66. | 2025/08/31 | $230.82 | 0.63% | 6,460.26 | 1.91% | |
| 67. | 2025/09/30 | $240.73 | 4.29% | 6,688.46 | 3.53% | |
| 68. | 2025/10/31 | $239.92 | -0.34% | 6,840.20 | 2.27% | |
| 69. | 2025/11/30 | $215.62 | -10.13% | 6,849.09 | 0.13% | |
| 70. | 2025/12/31 | $214.78 | -0.39% | 6,845.50 | -0.05% | |
| 71. | 2026/01/31 | $175.63 | -18.23% | 6,939.03 | 1.37% | |
| 平均 (R): | 0.55% | 1.33% | ||||
| 標準偏差： | 10.45% | 4.83% | ||||
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. | 2020/03/31 | -24.84% | -12.51% | 644.62 | 191.48 | 351.33 |
| 2. | 2020/04/30 | 18.18% | 12.68% | 310.89 | 129.02 | 200.28 |
| 3. | 2020/05/31 | 19.19% | 4.53% | 347.27 | 10.26 | 59.68 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025/12/31 | -0.39% | -0.05% | 0.89 | 1.90 | 1.30 |
| 71. | 2026/01/31 | -18.23% | 1.37% | 352.70 | 0.00 | -0.76 |
| トータル (Σ): | 7,645.17 | 1,636.00 | 2,199.16 | |||
| 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. | 2020/03/31 | -24.84% | -12.51% | 644.62 | 191.48 | 351.33 |
| 2. | 2020/04/30 | 18.18% | 12.68% | 310.89 | 129.02 | 200.28 |
| 3. | 2020/05/31 | 19.19% | 4.53% | 347.27 | 10.26 | 59.68 |
| 4. | 2020/06/30 | 2.14% | 1.84% | 2.53 | 0.26 | 0.82 |
| 5. | 2020/07/31 | -3.44% | 5.51% | 15.92 | 17.51 | -16.70 |
| 6. | 2020/08/31 | 32.50% | 7.01% | 1,020.33 | 32.27 | 181.46 |
| 7. | 2020/09/30 | -10.25% | -3.92% | 116.78 | 27.55 | 56.72 |
| 8. | 2020/10/31 | -2.33% | -2.77% | 8.30 | 16.75 | 11.79 |
| 9. | 2020/11/30 | 6.98% | 10.75% | 41.34 | 88.91 | 60.62 |
| 10. | 2020/12/31 | 6.59% | 3.71% | 36.49 | 5.70 | 14.42 |
| 11. | 2021/01/31 | -5.04% | -1.11% | 31.29 | 5.95 | 13.65 |
| 12. | 2021/02/28 | 7.76% | 2.61% | 51.91 | 1.65 | 9.25 |
| 13. | 2021/03/31 | 1.33% | 4.24% | 0.60 | 8.52 | 2.26 |
| 14. | 2021/04/30 | -0.58% | 5.24% | 1.27 | 15.34 | -4.42 |
| 15. | 2021/05/31 | -7.40% | 0.55% | 63.25 | 0.60 | 6.18 |
| 16. | 2021/06/30 | 4.38% | 2.22% | 14.66 | 0.80 | 3.43 |
| 17. | 2021/07/31 | -1.82% | 2.27% | 5.62 | 0.90 | -2.25 |
| 18. | 2021/08/31 | 16.54% | 2.90% | 255.47 | 2.48 | 25.15 |
| 19. | 2021/09/30 | -8.52% | -4.76% | 82.29 | 37.00 | 55.18 |
| 20. | 2021/10/31 | 16.04% | 6.91% | 239.96 | 31.23 | 86.57 |
| 21. | 2021/11/30 | -5.43% | -0.83% | 35.81 | 4.66 | 12.92 |
| 22. | 2021/12/31 | -0.38% | 4.36% | 0.87 | 9.22 | -2.84 |
| 23. | 2022/01/31 | -7.38% | -5.26% | 62.98 | 43.35 | 52.25 |
| 24. | 2022/02/28 | -9.47% | -3.14% | 100.45 | 19.91 | 44.72 |
| 25. | 2022/03/31 | 4.54% | 3.58% | 15.94 | 5.07 | 8.99 |
| 26. | 2022/04/30 | -13.68% | -8.80% | 202.59 | 102.44 | 144.06 |
| 27. | 2022/05/31 | -24.38% | 0.01% | 621.79 | 1.74 | 32.92 |
| 28. | 2022/06/30 | -10.70% | -8.39% | 126.56 | 94.43 | 109.32 |
| 29. | 2022/07/31 | 11.12% | 9.11% | 111.65 | 60.62 | 82.27 |
| 30. | 2022/08/31 | 6.10% | -4.24% | 30.77 | 31.02 | -30.89 |
| 31. | 2022/09/30 | -7.50% | -9.34% | 64.82 | 113.75 | 85.87 |
| 32. | 2022/10/31 | 2.36% | 7.99% | 3.29 | 44.37 | 12.07 |
| 33. | 2022/11/30 | 7.75% | 5.38% | 51.84 | 16.40 | 29.16 |
| 34. | 2022/12/31 | -0.34% | -5.90% | 0.80 | 52.17 | 6.44 |
| 35. | 2023/01/31 | 8.43% | 6.18% | 62.00 | 23.52 | 38.19 |
| 36. | 2023/02/28 | 2.23% | -2.61% | 2.80 | 15.50 | -6.59 |
| 37. | 2023/03/31 | 11.36% | 3.51% | 116.81 | 4.75 | 23.56 |
| 38. | 2023/04/30 | -9.88% | 1.46% | 108.77 | 0.02 | -1.45 |
| 39. | 2023/05/31 | 13.89% | 0.25% | 177.82 | 1.16 | -14.37 |
| 40. | 2023/06/30 | 6.56% | 4.71% | 36.05 | 11.48 | 20.34 |
| 41. | 2023/07/31 | 4.98% | 4.85% | 19.57 | 12.39 | 15.57 |
| 42. | 2023/08/31 | 3.11% | -1.77% | 6.53 | 9.59 | -7.92 |
| 43. | 2023/09/30 | -12.13% | -4.87% | 160.76 | 38.41 | 78.58 |
| 44. | 2023/10/31 | -1.46% | -2.20% | 4.06 | 12.42 | 7.10 |
| 45. | 2023/11/30 | 27.87% | 8.92% | 746.41 | 57.64 | 207.43 |
| 46. | 2023/12/31 | 1.97% | 4.42% | 2.02 | 9.59 | 4.40 |
| 47. | 2024/01/31 | 5.44% | 1.59% | 23.86 | 0.07 | 1.29 |
| 48. | 2024/02/29 | 1.23% | 5.17% | 0.46 | 14.80 | 2.62 |
| 49. | 2024/03/31 | -7.44% | 3.10% | 63.81 | 3.16 | -14.19 |
| 50. | 2024/04/30 | -10.27% | -4.16% | 117.19 | 30.11 | 59.40 |
| 51. | 2024/05/31 | -13.60% | 4.80% | 200.25 | 12.09 | -49.20 |
| 52. | 2024/06/30 | 5.73% | 3.47% | 26.78 | 4.59 | 11.08 |
| 53. | 2024/07/31 | 1.59% | 1.13% | 1.08 | 0.04 | -0.20 |
| 54. | 2024/08/31 | 15.88% | 2.28% | 234.98 | 0.92 | 14.68 |
| 55. | 2024/09/30 | -7.14% | 2.02% | 59.11 | 0.48 | -5.34 |
| 56. | 2024/10/31 | -4.32% | -0.99% | 23.75 | 5.36 | 11.28 |
| 57. | 2024/11/30 | 6.90% | 5.73% | 40.31 | 19.40 | 27.97 |
| 58. | 2024/12/31 | 3.22% | -2.50% | 7.10 | 14.63 | -10.19 |
| 59. | 2025/01/31 | 1.56% | 2.70% | 1.02 | 1.89 | 1.39 |
| 60. | 2025/02/28 | 0.49% | -1.42% | 0.00 | 7.56 | 0.18 |
| 61. | 2025/03/31 | -11.32% | -5.75% | 140.95 | 50.13 | 84.06 |
| 62. | 2025/04/30 | 4.91% | -0.76% | 19.00 | 4.36 | -9.10 |
| 63. | 2025/05/31 | 1.11% | 6.15% | 0.31 | 23.30 | 2.67 |
| 64. | 2025/06/30 | -3.11% | 4.96% | 13.43 | 13.21 | -13.32 |
| 65. | 2025/07/31 | -4.43% | 2.17% | 24.78 | 0.71 | -4.19 |
| 66. | 2025/08/31 | 0.63% | 1.91% | 0.01 | 0.34 | 0.04 |
| 67. | 2025/09/30 | 4.29% | 3.53% | 13.99 | 4.87 | 8.26 |
| 68. | 2025/10/31 | -0.34% | 2.27% | 0.79 | 0.89 | -0.84 |
| 69. | 2025/11/30 | -10.13% | 0.13% | 114.08 | 1.43 | 12.77 |
| 70. | 2025/12/31 | -0.39% | -0.05% | 0.89 | 1.90 | 1.30 |
| 71. | 2026/01/31 | -18.23% | 1.37% | 352.70 | 0.00 | -0.76 |
| トータル (Σ): | 7,645.17 | 1,636.00 | 2,199.16 | |||
すべて表示
分散WDAY = Σ(RWDAY,t–RWDAY)2 ÷ (71 – 1)
= 7,645.17 ÷ (71 – 1)
= 109.22
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,636.00 ÷ (71 – 1)
= 23.37
共 分散WDAY, S&P 500 = Σ(RWDAY,t–RWDAY)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,199.16 ÷ (71 – 1)
= 31.42
システマティックなリスク推定 (β)
| 分散WDAY | 109.22 |
| 分散S&P 500 | 23.37 |
| 共 分散WDAY, S&P 500 | 31.42 |
| 相関係数WDAY, S&P 5001 | 0.62 |
| βWDAY2 | 1.34 |
| αWDAY3 | -1.23% |
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)
= 31.42 ÷ (10.45% × 4.83%)
= 0.62
2 βWDAY
= 共 分散WDAY, S&P 500 ÷ 分散S&P 500
= 31.42 ÷ 23.37
= 1.34
3 αWDAY
= 平均WDAY – βWDAY × 平均S&P 500
= 0.55% – 1.34 × 1.33%
= -1.23%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.94% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 17.36% |
| 普通株式のシステマティックリスクWorkday | βWDAY | 1.34 |
| Workday 普通株式の予想収益率3 | E(RWDAY) | 21.63% |
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]
= 4.94% + 1.34 [17.36% – 4.94%]
= 21.63%