資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Accenture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
Accenture PLC、月間収益率
| Accenture PLC (ACN) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格ACN,t1 | 配当ACN,t1 | RACN,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2019/09/30 | $192.35 | 2,976.74 | ||||
| 1. | 2019/10/31 | $185.42 | $0.80 | -3.19% | 3,037.56 | 2.04% |
| 2. | 2019/11/30 | $201.16 | 8.49% | 3,140.98 | 3.40% | |
| 3. | 2019/12/31 | $210.57 | 4.68% | 3,230.78 | 2.86% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025/07/31 | $267.10 | $1.48 | -10.14% | 6,339.39 | 2.17% |
| 71. | 2025/08/31 | $259.97 | -2.67% | 6,460.26 | 1.91% | |
| 平均 (R): | 0.85% | 1.22% | ||||
| 標準偏差： | 7.74% | 4.97% | ||||
| Accenture PLC (ACN) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格ACN,t1 | 配当ACN,t1 | RACN,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2019/09/30 | $192.35 | 2,976.74 | ||||
| 1. | 2019/10/31 | $185.42 | $0.80 | -3.19% | 3,037.56 | 2.04% |
| 2. | 2019/11/30 | $201.16 | 8.49% | 3,140.98 | 3.40% | |
| 3. | 2019/12/31 | $210.57 | 4.68% | 3,230.78 | 2.86% | |
| 4. | 2020/01/31 | $205.21 | $0.80 | -2.17% | 3,225.52 | -0.16% |
| 5. | 2020/02/29 | $180.59 | -12.00% | 2,954.22 | -8.41% | |
| 6. | 2020/03/31 | $163.26 | -9.60% | 2,584.59 | -12.51% | |
| 7. | 2020/04/30 | $185.19 | $0.80 | 13.92% | 2,912.43 | 12.68% |
| 8. | 2020/05/31 | $201.62 | 8.87% | 3,044.31 | 4.53% | |
| 9. | 2020/06/30 | $214.72 | 6.50% | 3,100.29 | 1.84% | |
| 10. | 2020/07/31 | $224.78 | $0.80 | 5.06% | 3,271.12 | 5.51% |
| 11. | 2020/08/31 | $239.93 | 6.74% | 3,500.31 | 7.01% | |
| 12. | 2020/09/30 | $225.99 | -5.81% | 3,363.00 | -3.92% | |
| 13. | 2020/10/31 | $216.91 | $0.88 | -3.63% | 3,269.96 | -2.77% |
| 14. | 2020/11/30 | $249.09 | 14.84% | 3,621.63 | 10.75% | |
| 15. | 2020/12/31 | $261.21 | 4.87% | 3,756.07 | 3.71% | |
| 16. | 2021/01/31 | $241.92 | $0.88 | -7.05% | 3,714.24 | -1.11% |
| 17. | 2021/02/28 | $250.90 | 3.71% | 3,811.15 | 2.61% | |
| 18. | 2021/03/31 | $276.25 | 10.10% | 3,972.89 | 4.24% | |
| 19. | 2021/04/30 | $289.97 | $0.88 | 5.29% | 4,181.17 | 5.24% |
| 20. | 2021/05/31 | $282.16 | -2.69% | 4,204.11 | 0.55% | |
| 21. | 2021/06/30 | $294.79 | 4.48% | 4,297.50 | 2.22% | |
| 22. | 2021/07/31 | $317.68 | $0.88 | 8.06% | 4,395.26 | 2.27% |
| 23. | 2021/08/31 | $336.56 | 5.94% | 4,522.68 | 2.90% | |
| 24. | 2021/09/30 | $319.92 | -4.94% | 4,307.54 | -4.76% | |
| 25. | 2021/10/31 | $358.79 | $0.97 | 12.45% | 4,605.38 | 6.91% |
| 26. | 2021/11/30 | $357.40 | -0.39% | 4,567.00 | -0.83% | |
| 27. | 2021/12/31 | $414.55 | 15.99% | 4,766.18 | 4.36% | |
| 28. | 2022/01/31 | $353.58 | $0.97 | -14.47% | 4,515.55 | -5.26% |
| 29. | 2022/02/28 | $316.02 | -10.62% | 4,373.94 | -3.14% | |
| 30. | 2022/03/31 | $337.23 | 6.71% | 4,530.41 | 3.58% | |
| 31. | 2022/04/30 | $300.36 | $0.97 | -10.65% | 4,131.93 | -8.80% |
| 32. | 2022/05/31 | $298.46 | -0.63% | 4,132.15 | 0.01% | |
| 33. | 2022/06/30 | $277.65 | -6.97% | 3,785.38 | -8.39% | |
| 34. | 2022/07/31 | $306.26 | $0.97 | 10.65% | 4,130.29 | 9.11% |
| 35. | 2022/08/31 | $288.46 | -5.81% | 3,955.00 | -4.24% | |
| 36. | 2022/09/30 | $257.30 | -10.80% | 3,585.62 | -9.34% | |
| 37. | 2022/10/31 | $283.90 | $1.12 | 10.77% | 3,871.98 | 7.99% |
| 38. | 2022/11/30 | $300.93 | 6.00% | 4,080.11 | 5.38% | |
| 39. | 2022/12/31 | $266.84 | -11.33% | 3,839.50 | -5.90% | |
| 40. | 2023/01/31 | $279.05 | $1.12 | 5.00% | 4,076.60 | 6.18% |
| 41. | 2023/02/28 | $265.55 | -4.84% | 3,970.15 | -2.61% | |
| 42. | 2023/03/31 | $285.81 | 7.63% | 4,109.31 | 3.51% | |
| 43. | 2023/04/30 | $280.29 | $1.12 | -1.54% | 4,169.48 | 1.46% |
| 44. | 2023/05/31 | $305.92 | 9.14% | 4,179.83 | 0.25% | |
| 45. | 2023/06/30 | $308.58 | 0.87% | 4,376.86 | 4.71% | |
| 46. | 2023/07/31 | $316.35 | $1.12 | 2.88% | 4,588.96 | 4.85% |
| 47. | 2023/08/31 | $323.77 | 2.35% | 4,507.66 | -1.77% | |
| 48. | 2023/09/30 | $307.11 | -5.15% | 4,288.05 | -4.87% | |
| 49. | 2023/10/31 | $297.09 | $1.29 | -2.84% | 4,193.80 | -2.20% |
| 50. | 2023/11/30 | $333.14 | 12.13% | 4,567.80 | 8.92% | |
| 51. | 2023/12/31 | $350.91 | 5.33% | 4,769.83 | 4.42% | |
| 52. | 2024/01/31 | $363.88 | $1.29 | 4.06% | 4,845.65 | 1.59% |
| 53. | 2024/02/29 | $374.78 | 3.00% | 5,096.27 | 5.17% | |
| 54. | 2024/03/31 | $346.61 | -7.52% | 5,254.35 | 3.10% | |
| 55. | 2024/04/30 | $300.91 | $1.29 | -12.81% | 5,035.69 | -4.16% |
| 56. | 2024/05/31 | $282.29 | -6.19% | 5,277.51 | 4.80% | |
| 57. | 2024/06/30 | $303.41 | 7.48% | 5,460.48 | 3.47% | |
| 58. | 2024/07/31 | $330.62 | $1.29 | 9.39% | 5,522.30 | 1.13% |
| 59. | 2024/08/31 | $341.95 | 3.43% | 5,648.40 | 2.28% | |
| 60. | 2024/09/30 | $353.48 | 3.37% | 5,762.48 | 2.02% | |
| 61. | 2024/10/31 | $344.82 | $1.48 | -2.03% | 5,705.45 | -0.99% |
| 62. | 2024/11/30 | $362.37 | 5.09% | 6,032.38 | 5.73% | |
| 63. | 2024/12/31 | $351.79 | -2.92% | 5,881.63 | -2.50% | |
| 64. | 2025/01/31 | $384.95 | $1.48 | 9.85% | 6,040.53 | 2.70% |
| 65. | 2025/02/28 | $348.50 | -9.47% | 5,954.50 | -1.42% | |
| 66. | 2025/03/31 | $312.04 | -10.46% | 5,611.85 | -5.75% | |
| 67. | 2025/04/30 | $299.15 | $1.48 | -3.66% | 5,569.06 | -0.76% |
| 68. | 2025/05/31 | $316.82 | 5.91% | 5,911.69 | 6.15% | |
| 69. | 2025/06/30 | $298.89 | -5.66% | 6,204.95 | 4.96% | |
| 70. | 2025/07/31 | $267.10 | $1.48 | -10.14% | 6,339.39 | 2.17% |
| 71. | 2025/08/31 | $259.97 | -2.67% | 6,460.26 | 1.91% | |
| 平均 (R): | 0.85% | 1.22% | ||||
| 標準偏差： | 7.74% | 4.97% | ||||
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ACN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
Accenture PLC、分散の計算、および戻り値の共分散
| t | 日付 | RACN,t | RS&P 500,t | (RACN,t–RACN)2 | (RS&P 500,t–RS&P 500)2 | (RACN,t–RACN)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019/10/31 | -3.19% | 2.04% | 16.30 | 0.68 | -3.32 |
| 2. | 2019/11/30 | 8.49% | 3.40% | 58.34 | 4.77 | 16.69 |
| 3. | 2019/12/31 | 4.68% | 2.86% | 14.65 | 2.69 | 6.27 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025/07/31 | -10.14% | 2.17% | 120.81 | 0.90 | -10.41 |
| 71. | 2025/08/31 | -2.67% | 1.91% | 12.39 | 0.47 | -2.42 |
| トータル (Σ): | 4,194.44 | 1,730.32 | 2,146.29 | |||
| t | 日付 | RACN,t | RS&P 500,t | (RACN,t–RACN)2 | (RS&P 500,t–RS&P 500)2 | (RACN,t–RACN)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019/10/31 | -3.19% | 2.04% | 16.30 | 0.68 | -3.32 |
| 2. | 2019/11/30 | 8.49% | 3.40% | 58.34 | 4.77 | 16.69 |
| 3. | 2019/12/31 | 4.68% | 2.86% | 14.65 | 2.69 | 6.27 |
| 4. | 2020/01/31 | -2.17% | -0.16% | 9.10 | 1.91 | 4.17 |
| 5. | 2020/02/29 | -12.00% | -8.41% | 165.07 | 92.75 | 123.74 |
| 6. | 2020/03/31 | -9.60% | -12.51% | 109.14 | 188.56 | 143.45 |
| 7. | 2020/04/30 | 13.92% | 12.68% | 170.88 | 131.44 | 149.86 |
| 8. | 2020/05/31 | 8.87% | 4.53% | 64.34 | 10.95 | 26.54 |
| 9. | 2020/06/30 | 6.50% | 1.84% | 31.89 | 0.38 | 3.50 |
| 10. | 2020/07/31 | 5.06% | 5.51% | 17.70 | 18.41 | 18.05 |
| 11. | 2020/08/31 | 6.74% | 7.01% | 34.68 | 33.49 | 34.08 |
| 12. | 2020/09/30 | -5.81% | -3.92% | 44.36 | 26.45 | 34.25 |
| 13. | 2020/10/31 | -3.63% | -2.77% | 20.06 | 15.89 | 17.86 |
| 14. | 2020/11/30 | 14.84% | 10.75% | 195.58 | 90.91 | 133.34 |
| 15. | 2020/12/31 | 4.87% | 3.71% | 16.12 | 6.21 | 10.01 |
| 16. | 2021/01/31 | -7.05% | -1.11% | 62.39 | 5.45 | 18.43 |
| 17. | 2021/02/28 | 3.71% | 2.61% | 8.19 | 1.93 | 3.98 |
| 18. | 2021/03/31 | 10.10% | 4.24% | 85.62 | 9.14 | 27.98 |
| 19. | 2021/04/30 | 5.29% | 5.24% | 19.66 | 16.18 | 17.84 |
| 20. | 2021/05/31 | -2.69% | 0.55% | 12.56 | 0.45 | 2.38 |
| 21. | 2021/06/30 | 4.48% | 2.22% | 13.14 | 1.00 | 3.63 |
| 22. | 2021/07/31 | 8.06% | 2.27% | 52.02 | 1.11 | 7.61 |
| 23. | 2021/08/31 | 5.94% | 2.90% | 25.93 | 2.82 | 8.55 |
| 24. | 2021/09/30 | -4.94% | -4.76% | 33.58 | 35.72 | 34.63 |
| 25. | 2021/10/31 | 12.45% | 6.91% | 134.62 | 32.43 | 66.07 |
| 26. | 2021/11/30 | -0.39% | -0.83% | 1.53 | 4.22 | 2.54 |
| 27. | 2021/12/31 | 15.99% | 4.36% | 229.22 | 9.87 | 47.56 |
| 28. | 2022/01/31 | -14.47% | -5.26% | 234.83 | 41.97 | 99.27 |
| 29. | 2022/02/28 | -10.62% | -3.14% | 131.64 | 18.97 | 49.98 |
| 30. | 2022/03/31 | 6.71% | 3.58% | 34.35 | 5.56 | 13.82 |
| 31. | 2022/04/30 | -10.65% | -8.80% | 132.16 | 100.31 | 115.14 |
| 32. | 2022/05/31 | -0.63% | 0.01% | 2.20 | 1.47 | 1.80 |
| 33. | 2022/06/30 | -6.97% | -8.39% | 61.20 | 92.39 | 75.19 |
| 34. | 2022/07/31 | 10.65% | 9.11% | 96.10 | 62.28 | 77.36 |
| 35. | 2022/08/31 | -5.81% | -4.24% | 44.39 | 29.85 | 36.40 |
| 36. | 2022/09/30 | -10.80% | -9.34% | 135.79 | 111.50 | 123.05 |
| 37. | 2022/10/31 | 10.77% | 7.99% | 98.46 | 45.79 | 67.14 |
| 38. | 2022/11/30 | 6.00% | 5.38% | 26.50 | 17.27 | 21.39 |
| 39. | 2022/12/31 | -11.33% | -5.90% | 148.32 | 50.65 | 86.68 |
| 40. | 2023/01/31 | 5.00% | 6.18% | 17.18 | 24.56 | 20.54 |
| 41. | 2023/02/28 | -4.84% | -2.61% | 32.36 | 14.68 | 21.79 |
| 42. | 2023/03/31 | 7.63% | 3.51% | 45.95 | 5.22 | 15.49 |
| 43. | 2023/04/30 | -1.54% | 1.46% | 5.71 | 0.06 | -0.58 |
| 44. | 2023/05/31 | 9.14% | 0.25% | 68.78 | 0.94 | -8.06 |
| 45. | 2023/06/30 | 0.87% | 4.71% | 0.00 | 12.21 | 0.07 |
| 46. | 2023/07/31 | 2.88% | 4.85% | 4.12 | 13.15 | 7.36 |
| 47. | 2023/08/31 | 2.35% | -1.77% | 2.23 | 8.95 | -4.47 |
| 48. | 2023/09/30 | -5.15% | -4.87% | 35.95 | 37.11 | 36.53 |
| 49. | 2023/10/31 | -2.84% | -2.20% | 13.64 | 11.68 | 12.62 |
| 50. | 2023/11/30 | 12.13% | 8.92% | 127.32 | 59.26 | 86.86 |
| 51. | 2023/12/31 | 5.33% | 4.42% | 20.10 | 10.26 | 14.36 |
| 52. | 2024/01/31 | 4.06% | 1.59% | 10.32 | 0.14 | 1.19 |
| 53. | 2024/02/29 | 3.00% | 5.17% | 4.60 | 15.62 | 8.48 |
| 54. | 2024/03/31 | -7.52% | 3.10% | 70.01 | 3.54 | -15.75 |
| 55. | 2024/04/30 | -12.81% | -4.16% | 186.69 | 28.96 | 73.53 |
| 56. | 2024/05/31 | -6.19% | 4.80% | 49.54 | 12.83 | -25.21 |
| 57. | 2024/06/30 | 7.48% | 3.47% | 43.97 | 5.05 | 14.90 |
| 58. | 2024/07/31 | 9.39% | 1.13% | 72.98 | 0.01 | -0.75 |
| 59. | 2024/08/31 | 3.43% | 2.28% | 6.64 | 1.13 | 2.74 |
| 60. | 2024/09/30 | 3.37% | 2.02% | 6.36 | 0.64 | 2.02 |
| 61. | 2024/10/31 | -2.03% | -0.99% | 8.31 | 4.88 | 6.37 |
| 62. | 2024/11/30 | 5.09% | 5.73% | 17.97 | 20.34 | 19.12 |
| 63. | 2024/12/31 | -2.92% | -2.50% | 14.22 | 13.83 | 14.02 |
| 64. | 2025/01/31 | 9.85% | 2.70% | 80.93 | 2.20 | 13.33 |
| 65. | 2025/02/28 | -9.47% | -1.42% | 106.49 | 6.99 | 27.28 |
| 66. | 2025/03/31 | -10.46% | -5.75% | 127.97 | 48.64 | 78.90 |
| 67. | 2025/04/30 | -3.66% | -0.76% | 20.31 | 3.93 | 8.93 |
| 68. | 2025/05/31 | 5.91% | 6.15% | 25.56 | 24.33 | 24.94 |
| 69. | 2025/06/30 | -5.66% | 4.96% | 42.38 | 13.99 | -24.35 |
| 70. | 2025/07/31 | -10.14% | 2.17% | 120.81 | 0.90 | -10.41 |
| 71. | 2025/08/31 | -2.67% | 1.91% | 12.39 | 0.47 | -2.42 |
| トータル (Σ): | 4,194.44 | 1,730.32 | 2,146.29 | |||
すべて表示
分散ACN = Σ(RACN,t–RACN)2 ÷ (71 – 1)
= 4,194.44 ÷ (71 – 1)
= 59.92
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,730.32 ÷ (71 – 1)
= 24.72
共 分散ACN, S&P 500 = Σ(RACN,t–RACN)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,146.29 ÷ (71 – 1)
= 30.66
システマティックなリスク推定 (β)
| 分散ACN | 59.92 |
| 分散S&P 500 | 24.72 |
| 共 分散ACN, S&P 500 | 30.66 |
| 相関係数ACN, S&P 5001 | 0.80 |
| βACN2 | 1.24 |
| αACN3 | -0.66% |
計算
1 相関係数ACN, S&P 500
= 共 分散ACN, S&P 500 ÷ (標準偏差ACN × 標準偏差S&P 500)
= 30.66 ÷ (7.74% × 4.97%)
= 0.80
2 βACN
= 共 分散ACN, S&P 500 ÷ 分散S&P 500
= 30.66 ÷ 24.72
= 1.24
3 αACN
= 平均ACN – βACN × 平均S&P 500
= 0.85% – 1.24 × 1.22%
= -0.66%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.55% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 15.00% |
| 普通株式 Accenture システマティックリスク | βACN | 1.24 |
| アクセンチュア普通株式の期待収益率3 | E(RACN) | 17.51% |
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(RACN) = RF + βACN [E(RM) – RF]
= 4.55% + 1.24 [15.00% – 4.55%]
= 17.51%