Stock Analysis on Net

Arista Networks Inc. (NYSE:ANET)

資本資産価格設定モデル (CAPM) 

Microsoft Excel

資本資産価格モデル(CAPM)は、 Arista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

Arista Networks Inc.、月間収益率

Microsoft Excel
Arista Networks Inc. (ANET) Standard & Poor’s 500 (S&P 500)
t 日付 価格ANET,t1 配当ANET,t1 RANET,t2 価格S&P 500,t RS&P 500,t3
2020/01/31 $13.96 3,225.52
1. 2020/02/29 $12.07 -13.54% 2,954.22 -8.41%
2. 2020/03/31 $12.66 4.89% 2,584.59 -12.51%
3. 2020/04/30 $13.71 8.29% 2,912.43 12.68%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2024/11/30 $101.46 5.02% 6,032.38 5.73%
59. 2024/12/31 $110.53 8.94% 5,881.63 -2.50%
平均 (R): 4.15% 1.16%
標準偏差: 11.09% 5.28%
Arista Networks Inc. (ANET) Standard & Poor’s 500 (S&P 500)
t 日付 価格ANET,t1 配当ANET,t1 RANET,t2 価格S&P 500,t RS&P 500,t3
2020/01/31 $13.96 3,225.52
1. 2020/02/29 $12.07 -13.54% 2,954.22 -8.41%
2. 2020/03/31 $12.66 4.89% 2,584.59 -12.51%
3. 2020/04/30 $13.71 8.29% 2,912.43 12.68%
4. 2020/05/31 $14.59 6.42% 3,044.31 4.53%
5. 2020/06/30 $13.13 -10.01% 3,100.29 1.84%
6. 2020/07/31 $16.24 23.69% 3,271.12 5.51%
7. 2020/08/31 $13.97 -13.98% 3,500.31 7.01%
8. 2020/09/30 $12.93 -7.44% 3,363.00 -3.92%
9. 2020/10/31 $13.06 1.01% 3,269.96 -2.77%
10. 2020/11/30 $16.92 29.56% 3,621.63 10.75%
11. 2020/12/31 $18.16 7.33% 3,756.07 3.71%
12. 2021/01/31 $19.22 5.84% 3,714.24 -1.11%
13. 2021/02/28 $17.49 -9.00% 3,811.15 2.61%
14. 2021/03/31 $18.87 7.89% 3,972.89 4.24%
15. 2021/04/30 $19.70 4.40% 4,181.17 5.24%
16. 2021/05/31 $21.21 7.66% 4,204.11 0.55%
17. 2021/06/30 $22.65 6.79% 4,297.50 2.22%
18. 2021/07/31 $23.78 4.99% 4,395.26 2.27%
19. 2021/08/31 $23.10 -2.86% 4,522.68 2.90%
20. 2021/09/30 $21.48 -7.01% 4,307.54 -4.76%
21. 2021/10/31 $25.61 19.23% 4,605.38 6.91%
22. 2021/11/30 $31.02 21.12% 4,567.00 -0.83%
23. 2021/12/31 $35.94 15.86% 4,766.18 4.36%
24. 2022/01/31 $31.08 -13.52% 4,515.55 -5.26%
25. 2022/02/28 $30.68 -1.29% 4,373.94 -3.14%
26. 2022/03/31 $34.75 13.27% 4,530.41 3.58%
27. 2022/04/30 $28.89 -16.86% 4,131.93 -8.80%
28. 2022/05/31 $25.57 -11.49% 4,132.15 0.01%
29. 2022/06/30 $23.44 -8.33% 3,785.38 -8.39%
30. 2022/07/31 $29.16 24.40% 4,130.29 9.11%
31. 2022/08/31 $29.97 2.78% 3,955.00 -4.24%
32. 2022/09/30 $28.22 -5.84% 3,585.62 -9.34%
33. 2022/10/31 $30.22 7.09% 3,871.98 7.99%
34. 2022/11/30 $34.83 15.25% 4,080.11 5.38%
35. 2022/12/31 $30.34 -12.89% 3,839.50 -5.90%
36. 2023/01/31 $31.51 3.86% 4,076.60 6.18%
37. 2023/02/28 $34.68 10.06% 3,970.15 -2.61%
38. 2023/03/31 $41.97 21.02% 4,109.31 3.51%
39. 2023/04/30 $40.04 -4.60% 4,169.48 1.46%
40. 2023/05/31 $41.59 3.87% 4,179.83 0.25%
41. 2023/06/30 $40.52 -2.57% 4,376.86 4.71%
42. 2023/07/31 $38.77 -4.32% 4,588.96 4.85%
43. 2023/08/31 $48.81 25.90% 4,507.66 -1.77%
44. 2023/09/30 $45.98 -5.80% 4,288.05 -4.87%
45. 2023/10/31 $50.09 8.94% 4,193.80 -2.20%
46. 2023/11/30 $54.93 9.66% 4,567.80 8.92%
47. 2023/12/31 $58.88 7.19% 4,769.83 4.42%
48. 2024/01/31 $64.67 9.83% 4,845.65 1.59%
49. 2024/02/29 $69.39 7.30% 5,096.27 5.17%
50. 2024/03/31 $72.50 4.48% 5,254.35 3.10%
51. 2024/04/30 $64.14 -11.53% 5,035.69 -4.16%
52. 2024/05/31 $74.41 16.01% 5,277.51 4.80%
53. 2024/06/30 $87.62 17.75% 5,460.48 3.47%
54. 2024/07/31 $86.64 -1.12% 5,522.30 1.13%
55. 2024/08/31 $88.35 1.97% 5,648.40 2.28%
56. 2024/09/30 $95.96 8.61% 5,762.48 2.02%
57. 2024/10/31 $96.61 0.68% 5,705.45 -0.99%
58. 2024/11/30 $101.46 5.02% 6,032.38 5.73%
59. 2024/12/31 $110.53 8.94% 5,881.63 -2.50%
平均 (R): 4.15% 1.16%
標準偏差: 11.09% 5.28%

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ANET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

Arista Networks Inc.、分散の計算、および戻り値の共分散

Microsoft Excel
t 日付 RANET,t RS&P 500,t (RANET,tRANET)2 (RS&P 500,tRS&P 500)2 (RANET,tRANET)×(RS&P 500,tRS&P 500)
1. 2020/02/29 -13.54% -8.41% 312.89 91.63 169.32
2. 2020/03/31 4.89% -12.51% 0.55 186.96 -10.09
3. 2020/04/30 8.29% 12.68% 17.17 132.78 47.75
. . . . . . .
. . . . . . .
. . . . . . .
58. 2024/11/30 5.02% 5.73% 0.76 20.87 3.98
59. 2024/12/31 8.94% -2.50% 22.94 13.40 -17.53
トータル (Σ): 7,133.44 1,618.62 1,768.78
t 日付 RANET,t RS&P 500,t (RANET,tRANET)2 (RS&P 500,tRS&P 500)2 (RANET,tRANET)×(RS&P 500,tRS&P 500)
1. 2020/02/29 -13.54% -8.41% 312.89 91.63 169.32
2. 2020/03/31 4.89% -12.51% 0.55 186.96 -10.09
3. 2020/04/30 8.29% 12.68% 17.17 132.78 47.75
4. 2020/05/31 6.42% 4.53% 5.15 11.34 7.64
5. 2020/06/30 -10.01% 1.84% 200.41 0.46 -9.59
6. 2020/07/31 23.69% 5.51% 381.67 18.91 84.96
7. 2020/08/31 -13.98% 7.01% 328.61 34.17 -105.96
8. 2020/09/30 -7.44% -3.92% 134.43 25.85 58.95
9. 2020/10/31 1.01% -2.77% 9.89 15.43 12.35
10. 2020/11/30 29.56% 10.75% 645.47 92.03 243.73
11. 2020/12/31 7.33% 3.71% 10.10 6.51 8.11
12. 2021/01/31 5.84% -1.11% 2.85 5.18 -3.84
13. 2021/02/28 -9.00% 2.61% 172.95 2.10 -19.04
14. 2021/03/31 7.89% 4.24% 13.99 9.50 11.53
15. 2021/04/30 4.40% 5.24% 0.06 16.66 1.01
16. 2021/05/31 7.66% 0.55% 12.36 0.38 -2.15
17. 2021/06/30 6.79% 2.22% 6.97 1.12 2.80
18. 2021/07/31 4.99% 2.27% 0.70 1.24 0.93
19. 2021/08/31 -2.86% 2.90% 49.13 3.02 -12.18
20. 2021/09/30 -7.01% -4.76% 124.61 35.02 66.06
21. 2021/10/31 19.23% 6.91% 227.33 33.10 86.74
22. 2021/11/30 21.12% -0.83% 288.14 3.98 -33.86
23. 2021/12/31 15.86% 4.36% 137.14 10.24 37.47
24. 2022/01/31 -13.52% -5.26% 312.31 41.21 113.45
25. 2022/02/28 -1.29% -3.14% 29.56 18.47 23.36
26. 2022/03/31 13.27% 3.58% 83.10 5.84 22.02
27. 2022/04/30 -16.86% -8.80% 441.55 99.14 209.23
28. 2022/05/31 -11.49% 0.01% 244.66 1.34 18.08
29. 2022/06/30 -8.33% -8.39% 155.75 91.26 119.22
30. 2022/07/31 24.40% 9.11% 410.18 63.21 161.02
31. 2022/08/31 2.78% -4.24% 1.88 29.22 7.42
32. 2022/09/30 -5.84% -9.34% 99.78 110.27 104.89
33. 2022/10/31 7.09% 7.99% 8.63 46.58 20.05
34. 2022/11/30 15.25% 5.38% 123.32 17.76 46.80
35. 2022/12/31 -12.89% -5.90% 290.40 49.82 120.28
36. 2023/01/31 3.86% 6.18% 0.09 25.14 -1.47
37. 2023/02/28 10.06% -2.61% 34.93 14.23 -22.30
38. 2023/03/31 21.02% 3.51% 284.63 5.49 39.54
39. 2023/04/30 -4.60% 1.46% 76.53 0.09 -2.65
40. 2023/05/31 3.87% 0.25% 0.08 0.83 0.25
41. 2023/06/30 -2.57% 4.71% 45.19 12.62 -23.88
42. 2023/07/31 -4.32% 4.85% 71.72 13.58 -31.20
43. 2023/08/31 25.90% -1.77% 472.91 8.60 -63.78
44. 2023/09/30 -5.80% -4.87% 98.96 36.40 60.02
45. 2023/10/31 8.94% -2.20% 22.93 11.28 -16.09
46. 2023/11/30 9.66% 8.92% 30.39 60.17 42.76
47. 2023/12/31 7.19% 4.42% 9.25 10.64 9.92
48. 2024/01/31 9.83% 1.59% 32.30 0.18 2.43
49. 2024/02/29 7.30% 5.17% 9.91 16.09 12.63
50. 2024/03/31 4.48% 3.10% 0.11 3.77 0.64
51. 2024/04/30 -11.53% -4.16% 245.89 28.33 83.47
52. 2024/05/31 16.01% 4.80% 140.71 13.26 43.19
53. 2024/06/30 17.75% 3.47% 185.04 5.32 31.36
54. 2024/07/31 -1.12% 1.13% 27.76 0.00 0.15
55. 2024/08/31 1.97% 2.28% 4.74 1.26 -2.44
56. 2024/09/30 8.61% 2.02% 19.92 0.74 3.83
57. 2024/10/31 0.68% -0.99% 12.06 4.63 7.47
58. 2024/11/30 5.02% 5.73% 0.76 20.87 3.98
59. 2024/12/31 8.94% -2.50% 22.94 13.40 -17.53
トータル (Σ): 7,133.44 1,618.62 1,768.78

すべて表示

分散ANET = Σ(RANET,tRANET)2 ÷ (59 – 1)
= 7,133.44 ÷ (59 – 1)
= 122.99

分散S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91

共 分散ANET, S&P 500 = Σ(RANET,tRANET)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,768.78 ÷ (59 – 1)
= 30.50


システマティックなリスク推定 (β)

Microsoft Excel
分散ANET 122.99
分散S&P 500 27.91
共 分散ANET, S&P 500 30.50
相関係数ANET, S&P 5001 0.52
βANET2 1.09
αANET3 2.88%

計算

1 相関係数ANET, S&P 500
= 共 分散ANET, S&P 500 ÷ (標準偏差ANET × 標準偏差S&P 500)
= 30.50 ÷ (11.09% × 5.28%)
= 0.52

2 βANET
= 共 分散ANET, S&P 500 ÷ 分散S&P 500
= 30.50 ÷ 27.91
= 1.09

3 αANET
= 平均ANET – βANET × 平均S&P 500
= 4.15%1.09 × 1.16%
= 2.88%


期待収益率

Microsoft Excel
仮定
LT国債総合の収益率1 RF 4.76%
市場ポートフォリオの期待収益率2 E(RM) 14.72%
普通株式 Arista システマティックリスク βANET 1.09
 
アリスタ普通株式の期待収益率3 E(RANET) 15.65%

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(RANET) = RF + βANET [E(RM) – RF]
= 4.76% + 1.09 [14.72%4.76%]
= 15.65%