資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Oracle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
Oracle Corp.、月間収益率
| Oracle Corp. (ORCL) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格ORCL,t1 | 配当ORCL,t1 | RORCL,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2019/06/30 | $56.97 | 2,941.76 | ||||
| 1. | 2019/07/31 | $56.30 | $0.24 | -0.75% | 2,980.38 | 1.31% |
| 2. | 2019/08/31 | $52.06 | -7.53% | 2,926.46 | -1.81% | |
| 3. | 2019/09/30 | $55.03 | 5.70% | 2,976.74 | 1.72% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025/04/30 | $140.72 | $0.50 | 1.01% | 5,569.06 | -0.76% |
| 71. | 2025/05/31 | $165.53 | 17.63% | 5,911.69 | 6.15% | |
| 平均 (R): | 1.99% | 1.11% | ||||
| 標準偏差： | 8.55% | 4.96% | ||||
| Oracle Corp. (ORCL) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格ORCL,t1 | 配当ORCL,t1 | RORCL,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2019/06/30 | $56.97 | 2,941.76 | ||||
| 1. | 2019/07/31 | $56.30 | $0.24 | -0.75% | 2,980.38 | 1.31% |
| 2. | 2019/08/31 | $52.06 | -7.53% | 2,926.46 | -1.81% | |
| 3. | 2019/09/30 | $55.03 | 5.70% | 2,976.74 | 1.72% | |
| 4. | 2019/10/31 | $54.49 | $0.24 | -0.55% | 3,037.56 | 2.04% |
| 5. | 2019/11/30 | $56.14 | 3.03% | 3,140.98 | 3.40% | |
| 6. | 2019/12/31 | $52.98 | -5.63% | 3,230.78 | 2.86% | |
| 7. | 2020/01/31 | $52.45 | $0.24 | -0.55% | 3,225.52 | -0.16% |
| 8. | 2020/02/29 | $49.46 | -5.70% | 2,954.22 | -8.41% | |
| 9. | 2020/03/31 | $48.33 | -2.28% | 2,584.59 | -12.51% | |
| 10. | 2020/04/30 | $52.97 | $0.24 | 10.10% | 2,912.43 | 12.68% |
| 11. | 2020/05/31 | $53.77 | 1.51% | 3,044.31 | 4.53% | |
| 12. | 2020/06/30 | $55.27 | 2.79% | 3,100.29 | 1.84% | |
| 13. | 2020/07/31 | $55.45 | $0.24 | 0.76% | 3,271.12 | 5.51% |
| 14. | 2020/08/31 | $57.22 | 3.19% | 3,500.31 | 7.01% | |
| 15. | 2020/09/30 | $59.70 | 4.33% | 3,363.00 | -3.92% | |
| 16. | 2020/10/31 | $56.11 | $0.24 | -5.61% | 3,269.96 | -2.77% |
| 17. | 2020/11/30 | $57.72 | 2.87% | 3,621.63 | 10.75% | |
| 18. | 2020/12/31 | $64.69 | 12.08% | 3,756.07 | 3.71% | |
| 19. | 2021/01/31 | $60.43 | $0.24 | -6.21% | 3,714.24 | -1.11% |
| 20. | 2021/02/28 | $64.51 | 6.75% | 3,811.15 | 2.61% | |
| 21. | 2021/03/31 | $70.17 | 8.77% | 3,972.89 | 4.24% | |
| 22. | 2021/04/30 | $75.79 | $0.32 | 8.47% | 4,181.17 | 5.24% |
| 23. | 2021/05/31 | $78.74 | 3.89% | 4,204.11 | 0.55% | |
| 24. | 2021/06/30 | $77.84 | -1.14% | 4,297.50 | 2.22% | |
| 25. | 2021/07/31 | $87.14 | $0.32 | 12.36% | 4,395.26 | 2.27% |
| 26. | 2021/08/31 | $89.13 | 2.28% | 4,522.68 | 2.90% | |
| 27. | 2021/09/30 | $87.13 | -2.24% | 4,307.54 | -4.76% | |
| 28. | 2021/10/31 | $95.94 | $0.32 | 10.48% | 4,605.38 | 6.91% |
| 29. | 2021/11/30 | $90.74 | -5.42% | 4,567.00 | -0.83% | |
| 30. | 2021/12/31 | $87.21 | -3.89% | 4,766.18 | 4.36% | |
| 31. | 2022/01/31 | $81.16 | $0.32 | -6.57% | 4,515.55 | -5.26% |
| 32. | 2022/02/28 | $75.97 | -6.39% | 4,373.94 | -3.14% | |
| 33. | 2022/03/31 | $82.73 | 8.90% | 4,530.41 | 3.58% | |
| 34. | 2022/04/30 | $73.40 | $0.32 | -10.89% | 4,131.93 | -8.80% |
| 35. | 2022/05/31 | $71.92 | -2.02% | 4,132.15 | 0.01% | |
| 36. | 2022/06/30 | $69.87 | -2.85% | 3,785.38 | -8.39% | |
| 37. | 2022/07/31 | $77.84 | $0.32 | 11.86% | 4,130.29 | 9.11% |
| 38. | 2022/08/31 | $74.15 | -4.74% | 3,955.00 | -4.24% | |
| 39. | 2022/09/30 | $61.07 | -17.64% | 3,585.62 | -9.34% | |
| 40. | 2022/10/31 | $78.07 | $0.32 | 28.36% | 3,871.98 | 7.99% |
| 41. | 2022/11/30 | $83.03 | 6.35% | 4,080.11 | 5.38% | |
| 42. | 2022/12/31 | $81.74 | -1.55% | 3,839.50 | -5.90% | |
| 43. | 2023/01/31 | $88.46 | $0.32 | 8.61% | 4,076.60 | 6.18% |
| 44. | 2023/02/28 | $87.40 | -1.20% | 3,970.15 | -2.61% | |
| 45. | 2023/03/31 | $92.92 | 6.32% | 4,109.31 | 3.51% | |
| 46. | 2023/04/30 | $94.72 | $0.40 | 2.37% | 4,169.48 | 1.46% |
| 47. | 2023/05/31 | $105.94 | 11.85% | 4,179.83 | 0.25% | |
| 48. | 2023/06/30 | $119.09 | 12.41% | 4,376.86 | 4.71% | |
| 49. | 2023/07/31 | $117.23 | $0.40 | -1.23% | 4,588.96 | 4.85% |
| 50. | 2023/08/31 | $120.39 | 2.70% | 4,507.66 | -1.77% | |
| 51. | 2023/09/30 | $105.92 | -12.02% | 4,288.05 | -4.87% | |
| 52. | 2023/10/31 | $103.40 | $0.40 | -2.00% | 4,193.80 | -2.20% |
| 53. | 2023/11/30 | $116.21 | 12.39% | 4,567.80 | 8.92% | |
| 54. | 2023/12/31 | $105.43 | -9.28% | 4,769.83 | 4.42% | |
| 55. | 2024/01/31 | $111.70 | $0.40 | 6.33% | 4,845.65 | 1.59% |
| 56. | 2024/02/29 | $111.68 | -0.02% | 5,096.27 | 5.17% | |
| 57. | 2024/03/31 | $125.61 | 12.47% | 5,254.35 | 3.10% | |
| 58. | 2024/04/30 | $113.75 | $0.40 | -9.12% | 5,035.69 | -4.16% |
| 59. | 2024/05/31 | $117.19 | 3.02% | 5,277.51 | 4.80% | |
| 60. | 2024/06/30 | $141.20 | 20.49% | 5,460.48 | 3.47% | |
| 61. | 2024/07/31 | $139.45 | $0.40 | -0.96% | 5,522.30 | 1.13% |
| 62. | 2024/08/31 | $141.29 | 1.32% | 5,648.40 | 2.28% | |
| 63. | 2024/09/30 | $170.40 | 20.60% | 5,762.48 | 2.02% | |
| 64. | 2024/10/31 | $167.84 | $0.40 | -1.27% | 5,705.45 | -0.99% |
| 65. | 2024/11/30 | $184.84 | 10.13% | 6,032.38 | 5.73% | |
| 66. | 2024/12/31 | $166.64 | -9.85% | 5,881.63 | -2.50% | |
| 67. | 2025/01/31 | $170.06 | $0.40 | 2.29% | 6,040.53 | 2.70% |
| 68. | 2025/02/28 | $166.06 | -2.35% | 5,954.50 | -1.42% | |
| 69. | 2025/03/31 | $139.81 | -15.81% | 5,611.85 | -5.75% | |
| 70. | 2025/04/30 | $140.72 | $0.50 | 1.01% | 5,569.06 | -0.76% |
| 71. | 2025/05/31 | $165.53 | 17.63% | 5,911.69 | 6.15% | |
| 平均 (R): | 1.99% | 1.11% | ||||
| 標準偏差： | 8.55% | 4.96% | ||||
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ORCL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
Oracle Corp.、分散の計算、および戻り値の共分散
| t | 日付 | RORCL,t | RS&P 500,t | (RORCL,t–RORCL)2 | (RS&P 500,t–RS&P 500)2 | (RORCL,t–RORCL)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019/07/31 | -0.75% | 1.31% | 7.55 | 0.04 | -0.56 |
| 2. | 2019/08/31 | -7.53% | -1.81% | 90.71 | 8.52 | 27.80 |
| 3. | 2019/09/30 | 5.70% | 1.72% | 13.78 | 0.37 | 2.26 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025/04/30 | 1.01% | -0.76% | 0.97 | 3.51 | 1.84 |
| 71. | 2025/05/31 | 17.63% | 6.15% | 244.54 | 25.43 | 78.85 |
| トータル (Σ): | 5,117.06 | 1,723.53 | 1,928.90 | |||
| t | 日付 | RORCL,t | RS&P 500,t | (RORCL,t–RORCL)2 | (RS&P 500,t–RS&P 500)2 | (RORCL,t–RORCL)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019/07/31 | -0.75% | 1.31% | 7.55 | 0.04 | -0.56 |
| 2. | 2019/08/31 | -7.53% | -1.81% | 90.71 | 8.52 | 27.80 |
| 3. | 2019/09/30 | 5.70% | 1.72% | 13.78 | 0.37 | 2.26 |
| 4. | 2019/10/31 | -0.55% | 2.04% | 6.44 | 0.87 | -2.37 |
| 5. | 2019/11/30 | 3.03% | 3.40% | 1.07 | 5.27 | 2.38 |
| 6. | 2019/12/31 | -5.63% | 2.86% | 58.09 | 3.06 | -13.33 |
| 7. | 2020/01/31 | -0.55% | -0.16% | 6.45 | 1.62 | 3.23 |
| 8. | 2020/02/29 | -5.70% | -8.41% | 59.19 | 90.65 | 73.25 |
| 9. | 2020/03/31 | -2.28% | -12.51% | 18.30 | 185.55 | 58.27 |
| 10. | 2020/04/30 | 10.10% | 12.68% | 65.68 | 133.97 | 93.80 |
| 11. | 2020/05/31 | 1.51% | 4.53% | 0.23 | 11.69 | -1.65 |
| 12. | 2020/06/30 | 2.79% | 1.84% | 0.63 | 0.53 | 0.58 |
| 13. | 2020/07/31 | 0.76% | 5.51% | 1.52 | 19.36 | -5.43 |
| 14. | 2020/08/31 | 3.19% | 7.01% | 1.44 | 34.77 | 7.07 |
| 15. | 2020/09/30 | 4.33% | -3.92% | 5.48 | 25.33 | -11.78 |
| 16. | 2020/10/31 | -5.61% | -2.77% | 57.83 | 15.03 | 29.48 |
| 17. | 2020/11/30 | 2.87% | 10.75% | 0.77 | 93.02 | 8.45 |
| 18. | 2020/12/31 | 12.08% | 3.71% | 101.66 | 6.77 | 26.24 |
| 19. | 2021/01/31 | -6.21% | -1.11% | 67.36 | 4.94 | 18.25 |
| 20. | 2021/02/28 | 6.75% | 2.61% | 22.64 | 2.25 | 7.13 |
| 21. | 2021/03/31 | 8.77% | 4.24% | 45.98 | 9.82 | 21.25 |
| 22. | 2021/04/30 | 8.47% | 5.24% | 41.89 | 17.08 | 26.75 |
| 23. | 2021/05/31 | 3.89% | 0.55% | 3.61 | 0.31 | -1.07 |
| 24. | 2021/06/30 | -1.14% | 2.22% | 9.84 | 1.24 | -3.49 |
| 25. | 2021/07/31 | 12.36% | 2.27% | 107.45 | 1.36 | 12.08 |
| 26. | 2021/08/31 | 2.28% | 2.90% | 0.08 | 3.20 | 0.52 |
| 27. | 2021/09/30 | -2.24% | -4.76% | 17.95 | 34.42 | 24.86 |
| 28. | 2021/10/31 | 10.48% | 6.91% | 72.00 | 33.69 | 49.25 |
| 29. | 2021/11/30 | -5.42% | -0.83% | 54.96 | 3.78 | 14.40 |
| 30. | 2021/12/31 | -3.89% | 4.36% | 34.61 | 10.57 | -19.13 |
| 31. | 2022/01/31 | -6.57% | -5.26% | 73.33 | 40.55 | 54.53 |
| 32. | 2022/02/28 | -6.39% | -3.14% | 70.36 | 18.03 | 35.61 |
| 33. | 2022/03/31 | 8.90% | 3.58% | 47.68 | 6.09 | 17.04 |
| 34. | 2022/04/30 | -10.89% | -8.80% | 166.00 | 98.12 | 127.62 |
| 35. | 2022/05/31 | -2.02% | 0.01% | 16.08 | 1.22 | 4.43 |
| 36. | 2022/06/30 | -2.85% | -8.39% | 23.46 | 90.28 | 46.02 |
| 37. | 2022/07/31 | 11.86% | 9.11% | 97.45 | 64.03 | 78.99 |
| 38. | 2022/08/31 | -4.74% | -4.24% | 45.34 | 28.66 | 36.05 |
| 39. | 2022/09/30 | -17.64% | -9.34% | 385.46 | 109.19 | 205.15 |
| 40. | 2022/10/31 | 28.36% | 7.99% | 695.26 | 47.29 | 181.32 |
| 41. | 2022/11/30 | 6.35% | 5.38% | 19.01 | 18.19 | 18.60 |
| 42. | 2022/12/31 | -1.55% | -5.90% | 12.58 | 49.10 | 24.85 |
| 43. | 2023/01/31 | 8.61% | 6.18% | 43.82 | 25.66 | 33.53 |
| 44. | 2023/02/28 | -1.20% | -2.61% | 10.19 | 13.85 | 11.88 |
| 45. | 2023/03/31 | 6.32% | 3.51% | 18.69 | 5.74 | 10.35 |
| 46. | 2023/04/30 | 2.37% | 1.46% | 0.14 | 0.13 | 0.13 |
| 47. | 2023/05/31 | 11.85% | 0.25% | 97.07 | 0.74 | -8.49 |
| 48. | 2023/06/30 | 12.41% | 4.71% | 108.57 | 12.99 | 37.55 |
| 49. | 2023/07/31 | -1.23% | 4.85% | 10.36 | 13.96 | -12.03 |
| 50. | 2023/08/31 | 2.70% | -1.77% | 0.49 | 8.30 | -2.02 |
| 51. | 2023/09/30 | -12.02% | -4.87% | 196.35 | 35.78 | 83.82 |
| 52. | 2023/10/31 | -2.00% | -2.20% | 15.96 | 10.94 | 13.21 |
| 53. | 2023/11/30 | 12.39% | 8.92% | 108.07 | 60.97 | 81.17 |
| 54. | 2023/12/31 | -9.28% | 4.42% | 127.00 | 10.98 | -37.34 |
| 55. | 2024/01/31 | 6.33% | 1.59% | 18.78 | 0.23 | 2.08 |
| 56. | 2024/02/29 | -0.02% | 5.17% | 4.04 | 16.50 | -8.17 |
| 57. | 2024/03/31 | 12.47% | 3.10% | 109.83 | 3.97 | 20.88 |
| 58. | 2024/04/30 | -9.12% | -4.16% | 123.58 | 27.79 | 58.60 |
| 59. | 2024/05/31 | 3.02% | 4.80% | 1.06 | 13.63 | 3.81 |
| 60. | 2024/06/30 | 20.49% | 3.47% | 342.06 | 5.56 | 43.60 |
| 61. | 2024/07/31 | -0.96% | 1.13% | 8.70 | 0.00 | -0.07 |
| 62. | 2024/08/31 | 1.32% | 2.28% | 0.45 | 1.38 | -0.79 |
| 63. | 2024/09/30 | 20.60% | 2.02% | 346.33 | 0.83 | 16.93 |
| 64. | 2024/10/31 | -1.27% | -0.99% | 10.63 | 4.41 | 6.85 |
| 65. | 2024/11/30 | 10.13% | 5.73% | 66.19 | 21.35 | 37.59 |
| 66. | 2024/12/31 | -9.85% | -2.50% | 140.17 | 13.02 | 42.73 |
| 67. | 2025/01/31 | 2.29% | 2.70% | 0.09 | 2.53 | 0.48 |
| 68. | 2025/02/28 | -2.35% | -1.42% | 18.88 | 6.42 | 11.01 |
| 69. | 2025/03/31 | -15.81% | -5.75% | 316.86 | 47.12 | 122.19 |
| 70. | 2025/04/30 | 1.01% | -0.76% | 0.97 | 3.51 | 1.84 |
| 71. | 2025/05/31 | 17.63% | 6.15% | 244.54 | 25.43 | 78.85 |
| トータル (Σ): | 5,117.06 | 1,723.53 | 1,928.90 | |||
すべて表示
分散ORCL = Σ(RORCL,t–RORCL)2 ÷ (71 – 1)
= 5,117.06 ÷ (71 – 1)
= 73.10
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,723.53 ÷ (71 – 1)
= 24.62
共 分散ORCL, S&P 500 = Σ(RORCL,t–RORCL)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,928.90 ÷ (71 – 1)
= 27.56
システマティックなリスク推定 (β)
| 分散ORCL | 73.10 |
| 分散S&P 500 | 24.62 |
| 共 分散ORCL, S&P 500 | 27.56 |
| 相関係数ORCL, S&P 5001 | 0.65 |
| βORCL2 | 1.12 |
| αORCL3 | 0.75% |
計算
1 相関係数ORCL, S&P 500
= 共 分散ORCL, S&P 500 ÷ (標準偏差ORCL × 標準偏差S&P 500)
= 27.56 ÷ (8.55% × 4.96%)
= 0.65
2 βORCL
= 共 分散ORCL, S&P 500 ÷ 分散S&P 500
= 27.56 ÷ 24.62
= 1.12
3 αORCL
= 平均ORCL – βORCL × 平均S&P 500
= 1.99% – 1.12 × 1.11%
= 0.75%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.79% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 17.38% |
| 普通株式 Oracle システマティックリスク | βORCL | 1.12 |
| オラクル普通株式の期待収益率3 | E(RORCL) | 18.88% |
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(RORCL) = RF + βORCL [E(RM) – RF]
= 4.79% + 1.12 [17.38% – 4.79%]
= 18.88%