Stock Analysis on Net

Accenture PLC (NYSE:ACN)

資本資産価格モデル (CAPM) 

Microsoft Excel

収益率

Accenture PLC、月次収益率

Microsoft Excel
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
2015/09/30 $98.26 1,920.03
1. 2015/10/31 $107.20 $1.10 10.22% 2,079.36 8.30%
2. 2015/11/30 $107.22 0.02% 2,080.41 0.05%
3. 2015/12/31 $104.50 -2.54% 2,043.94 -1.75%
. . . . . . .
. . . . . . .
. . . . . . .
70. 2021/07/31 $317.68 $0.88 8.06% 4,395.26 2.27%
71. 2021/08/31 $336.56 5.94% 4,522.68 2.90%
平均 (R): 2.07% 1.30%
標準偏差: 5.81% 4.21%
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
2015/09/30 $98.26 1,920.03
1. 2015/10/31 $107.20 $1.10 10.22% 2,079.36 8.30%
2. 2015/11/30 $107.22 0.02% 2,080.41 0.05%
3. 2015/12/31 $104.50 -2.54% 2,043.94 -1.75%
4. 2016/01/31 $105.54 1.00% 1,940.24 -5.07%
5. 2016/02/29 $100.26 -5.00% 1,932.23 -0.41%
6. 2016/03/31 $115.40 15.10% 2,059.74 6.60%
7. 2016/04/30 $112.92 $1.10 -1.20% 2,065.30 0.27%
8. 2016/05/31 $118.97 5.36% 2,096.95 1.53%
9. 2016/06/30 $113.29 -4.77% 2,098.86 0.09%
10. 2016/07/31 $112.81 -0.42% 2,173.60 3.56%
11. 2016/08/31 $115.00 1.94% 2,170.95 -0.12%
12. 2016/09/30 $122.17 6.23% 2,168.27 -0.12%
13. 2016/10/31 $116.24 $1.21 -3.86% 2,126.15 -1.94%
14. 2016/11/30 $119.43 2.74% 2,198.81 3.42%
15. 2016/12/31 $117.13 -1.93% 2,238.83 1.82%
16. 2017/01/31 $113.87 -2.78% 2,278.87 1.79%
17. 2017/02/28 $122.50 7.58% 2,363.64 3.72%
18. 2017/03/31 $119.88 -2.14% 2,362.72 -0.04%
19. 2017/04/30 $121.30 $1.21 2.19% 2,384.20 0.91%
20. 2017/05/31 $124.47 2.61% 2,411.80 1.16%
21. 2017/06/30 $123.68 -0.63% 2,423.41 0.48%
22. 2017/07/31 $128.82 4.16% 2,470.30 1.93%
23. 2017/08/31 $130.76 1.51% 2,471.65 0.05%
24. 2017/09/30 $135.07 3.30% 2,519.36 1.93%
25. 2017/10/31 $142.36 $1.33 6.38% 2,575.26 2.22%
26. 2017/11/30 $148.01 3.97% 2,647.58 2.81%
27. 2017/12/31 $153.09 3.43% 2,673.61 0.98%
28. 2018/01/31 $160.70 4.97% 2,823.81 5.62%
29. 2018/02/28 $161.01 0.19% 2,713.83 -3.89%
30. 2018/03/31 $153.50 -4.66% 2,640.87 -2.69%
31. 2018/04/30 $151.20 $1.33 -0.63% 2,648.05 0.27%
32. 2018/05/31 $155.74 3.00% 2,705.27 2.16%
33. 2018/06/30 $163.59 5.04% 2,718.37 0.48%
34. 2018/07/31 $159.33 -2.60% 2,816.29 3.60%
35. 2018/08/31 $169.07 6.11% 2,901.52 3.03%
36. 2018/09/30 $170.20 0.67% 2,913.98 0.43%
37. 2018/10/31 $157.62 $1.46 -6.53% 2,711.74 -6.94%
38. 2018/11/30 $164.52 4.38% 2,760.17 1.79%
39. 2018/12/31 $141.01 -14.29% 2,506.85 -9.18%
40. 2019/01/31 $153.55 8.89% 2,704.10 7.87%
41. 2019/02/28 $161.38 5.10% 2,784.49 2.97%
42. 2019/03/31 $176.02 9.07% 2,834.40 1.79%
43. 2019/04/30 $182.67 $1.46 4.61% 2,945.83 3.93%
44. 2019/05/31 $178.07 -2.52% 2,752.06 -6.58%
45. 2019/06/30 $184.77 3.76% 2,941.76 6.89%
46. 2019/07/31 $192.58 4.23% 2,980.38 1.31%
47. 2019/08/31 $198.17 2.90% 2,926.46 -1.81%
48. 2019/09/30 $192.35 -2.94% 2,976.74 1.72%
49. 2019/10/31 $185.42 $0.80 -3.19% 3,037.56 2.04%
50. 2019/11/30 $201.16 8.49% 3,140.98 3.40%
51. 2019/12/31 $210.57 4.68% 3,230.78 2.86%
52. 2020/01/31 $205.21 $0.80 -2.17% 3,225.52 -0.16%
53. 2020/02/29 $180.59 -12.00% 2,954.22 -8.41%
54. 2020/03/31 $163.26 -9.60% 2,584.59 -12.51%
55. 2020/04/30 $185.19 $0.80 13.92% 2,912.43 12.68%
56. 2020/05/31 $201.62 8.87% 3,044.31 4.53%
57. 2020/06/30 $214.72 6.50% 3,100.29 1.84%
58. 2020/07/31 $224.78 $0.80 5.06% 3,271.12 5.51%
59. 2020/08/31 $239.93 6.74% 3,500.31 7.01%
60. 2020/09/30 $225.99 -5.81% 3,363.00 -3.92%
61. 2020/10/31 $216.91 $0.88 -3.63% 3,269.96 -2.77%
62. 2020/11/30 $249.09 14.84% 3,621.63 10.75%
63. 2020/12/31 $261.21 4.87% 3,756.07 3.71%
64. 2021/01/31 $241.92 $0.88 -7.05% 3,714.24 -1.11%
65. 2021/02/28 $250.90 3.71% 3,811.15 2.61%
66. 2021/03/31 $276.25 10.10% 3,972.89 4.24%
67. 2021/04/30 $289.97 $0.88 5.29% 4,181.17 5.24%
68. 2021/05/31 $282.16 -2.69% 4,204.11 0.55%
69. 2021/06/30 $294.79 4.48% 4,297.50 2.22%
70. 2021/07/31 $317.68 $0.88 8.06% 4,395.26 2.27%
71. 2021/08/31 $336.56 5.94% 4,522.68 2.90%
平均 (R): 2.07% 1.30%
標準偏差: 5.81% 4.21%

すべて表示

1 普通株式1株当たり米ドルのデータ(分割および株式配当調整後)

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、リターンの分散と共分散の計算

Microsoft Excel
t 日付 RACN,t RS&P 500,t (RACN,tRACN)2 (RS&P 500,tRS&P 500)2 (RACN,tRACN)×(RS&P 500,tRS&P 500)
1. 2015/10/31 10.22% 8.30% 66.47 48.95 57.04
2. 2015/11/30 0.02% 0.05% 4.19 1.57 2.56
3. 2015/12/31 -2.54% -1.75% 21.18 9.33 14.06
. . . . . . .
. . . . . . .
. . . . . . .
70. 2021/07/31 8.06% 2.27% 35.98 0.95 5.84
71. 2021/08/31 5.94% 2.90% 15.04 2.55 6.19
トータル (Σ): 2,362.87 1,240.98 1,387.48
t 日付 RACN,t RS&P 500,t (RACN,tRACN)2 (RS&P 500,tRS&P 500)2 (RACN,tRACN)×(RS&P 500,tRS&P 500)
1. 2015/10/31 10.22% 8.30% 66.47 48.95 57.04
2. 2015/11/30 0.02% 0.05% 4.19 1.57 2.56
3. 2015/12/31 -2.54% -1.75% 21.18 9.33 14.06
4. 2016/01/31 1.00% -5.07% 1.14 40.65 6.82
5. 2016/02/29 -5.00% -0.41% 49.96 2.94 12.12
6. 2016/03/31 15.10% 6.60% 169.93 28.06 69.05
7. 2016/04/30 -1.20% 0.27% 10.63 1.06 3.37
8. 2016/05/31 5.36% 1.53% 10.84 0.05 0.76
9. 2016/06/30 -4.77% 0.09% 46.78 1.47 8.28
10. 2016/07/31 -0.42% 3.56% 6.19 5.10 -5.62
11. 2016/08/31 1.94% -0.12% 0.02 2.03 0.18
12. 2016/09/30 6.23% -0.12% 17.39 2.03 -5.94
13. 2016/10/31 -3.86% -1.94% 35.15 10.53 19.23
14. 2016/11/30 2.74% 3.42% 0.46 4.48 1.44
15. 2016/12/31 -1.93% 1.82% 15.93 0.27 -2.07
16. 2017/01/31 -2.78% 1.79% 23.51 0.24 -2.36
17. 2017/02/28 7.58% 3.72% 30.40 5.85 13.33
18. 2017/03/31 -2.14% -0.04% 17.67 1.80 5.64
19. 2017/04/30 2.19% 0.91% 0.02 0.15 -0.05
20. 2017/05/31 2.61% 1.16% 0.30 0.02 -0.08
21. 2017/06/30 -0.63% 0.48% 7.29 0.67 2.22
22. 2017/07/31 4.16% 1.93% 4.37 0.40 1.32
23. 2017/08/31 1.51% 0.05% 0.31 1.56 0.70
24. 2017/09/30 3.30% 1.93% 1.52 0.39 0.77
25. 2017/10/31 6.38% 2.22% 18.63 0.84 3.96
26. 2017/11/30 3.97% 2.81% 3.62 2.27 2.87
27. 2017/12/31 3.43% 0.98% 1.87 0.10 -0.44
28. 2018/01/31 4.97% 5.62% 8.44 18.63 12.54
29. 2018/02/28 0.19% -3.89% 3.51 27.00 9.73
30. 2018/03/31 -4.66% -2.69% 45.29 15.92 26.85
31. 2018/04/30 -0.63% 0.27% 7.27 1.06 2.78
32. 2018/05/31 3.00% 2.16% 0.88 0.74 0.81
33. 2018/06/30 5.04% 0.48% 8.85 0.67 -2.43
34. 2018/07/31 -2.60% 3.60% 21.80 5.29 -10.74
35. 2018/08/31 6.11% 3.03% 16.39 2.97 6.98
36. 2018/09/30 0.67% 0.43% 1.95 0.76 1.22
37. 2018/10/31 -6.53% -6.94% 73.94 67.93 70.87
38. 2018/11/30 4.38% 1.79% 5.35 0.23 1.12
39. 2018/12/31 -14.29% -9.18% 267.49 109.82 171.39
40. 2019/01/31 8.89% 7.87% 46.62 43.12 44.84
41. 2019/02/28 5.10% 2.97% 9.21 2.79 5.07
42. 2019/03/31 9.07% 1.79% 49.09 0.24 3.44
43. 2019/04/30 4.61% 3.93% 6.46 6.91 6.68
44. 2019/05/31 -2.52% -6.58% 21.01 62.09 36.11
45. 2019/06/30 3.76% 6.89% 2.88 31.26 9.49
46. 2019/07/31 4.23% 1.31% 4.67 0.00 0.02
47. 2019/08/31 2.90% -1.81% 0.70 9.68 -2.61
48. 2019/09/30 -2.94% 1.72% 25.02 0.17 -2.08
49. 2019/10/31 -3.19% 2.04% 27.58 0.55 -3.89
50. 2019/11/30 8.49% 3.40% 41.26 4.42 13.51
51. 2019/12/31 4.68% 2.86% 6.83 2.42 4.07
52. 2020/01/31 -2.17% -0.16% 17.90 2.15 6.20
53. 2020/02/29 -12.00% -8.41% 197.76 94.34 136.59
54. 2020/03/31 -9.60% -12.51% 135.99 190.82 161.09
55. 2020/04/30 13.92% 12.68% 140.60 129.56 134.97
56. 2020/05/31 8.87% 4.53% 46.33 10.41 21.96
57. 2020/06/30 6.50% 1.84% 19.64 0.29 2.38
58. 2020/07/31 5.06% 5.51% 8.96 17.71 12.59
59. 2020/08/31 6.74% 7.01% 21.85 32.54 26.67
60. 2020/09/30 -5.81% -3.92% 62.02 27.30 41.14
61. 2020/10/31 -3.63% -2.77% 32.42 16.55 23.16
62. 2020/11/30 14.84% 10.75% 163.09 89.35 120.72
63. 2020/12/31 4.87% 3.71% 7.84 5.81 6.75
64. 2021/01/31 -7.05% -1.11% 83.05 5.83 22.01
65. 2021/02/28 3.71% 2.61% 2.71 1.71 2.15
66. 2021/03/31 10.10% 4.24% 64.62 8.66 23.65
67. 2021/04/30 5.29% 5.24% 10.37 15.53 12.69
68. 2021/05/31 -2.69% 0.55% 22.64 0.57 3.58
69. 2021/06/30 4.48% 2.22% 5.81 0.85 2.22
70. 2021/07/31 8.06% 2.27% 35.98 0.95 5.84
71. 2021/08/31 5.94% 2.90% 15.04 2.55 6.19
トータル (Σ): 2,362.87 1,240.98 1,387.48

すべて表示

分散ACN = Σ(RACN,tRACN)2 ÷ (71 – 1)
= 2,362.87 ÷ (71 – 1)
= 33.76

分散S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,240.98 ÷ (71 – 1)
= 17.73

共 分散ACN, S&P 500 = Σ(RACN,tRACN)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 1,387.48 ÷ (71 – 1)
= 19.82


体系的なリスク推定 (β)

Microsoft Excel
分散ACN 33.76
分散S&P 500 17.73
共 分散ACN, S&P 500 19.82
相関係数ACN, S&P 5001 0.81
βACN2 1.12
αACN3 0.61%

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)
= 19.82 ÷ (5.81% × 4.21%)
= 0.81

2 βACN
= 共 分散ACN, S&P 500 ÷ 分散S&P 500
= 19.82 ÷ 17.73
= 1.12

3 αACN
= 平均ACN – βACN × 平均S&P 500
= 2.07%1.12 × 1.30%
= 0.61%


期待収益率

Microsoft Excel
仮定
LT財務省コンポジットの収益率1 RF 3.30%
市場ポートフォリオの期待収益率2 E(RM) 12.22%
普通株式の体系的 Accenture リスク βACN 1.12
 
アクセンチュア普通株式の期待収益率3 E(RACN) 13.28%

1 10年以内に期限も呼び出もできないすべての未払いの固定クーポン米国債の入札利回りの加重平均(リスクフリーの収益率プロキシ)。

2 詳細を見る »

3 E(RACN) = RF + βACN [E(RM) – RF]
= 3.30% + 1.12 [12.22%3.30%]
= 13.28%