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 Palantir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
Palantir Technologies Inc.、月間収益率
| Palantir Technologies Inc. (PLTR) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格PLTR,t1 | 配当PLTR,t1 | RPLTR,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2020/09/30 | $9.50 | 3,363.00 | ||||
| 1. | 2020/10/31 | $10.13 | 6.63% | 3,269.96 | -2.77% | |
| 2. | 2020/11/30 | $27.11 | 167.62% | 3,621.63 | 10.75% | |
| 3. | 2020/12/31 | $23.55 | -13.13% | 3,756.07 | 3.71% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 38. | 2023/11/30 | $20.05 | 35.47% | 4,567.80 | 8.92% | |
| 39. | 2023/12/31 | $17.17 | -14.36% | 4,769.83 | 4.42% | |
| 平均 (R): | 5.51% | 1.03% | ||||
| 標準偏差： | 35.26% | 5.15% | ||||
| Palantir Technologies Inc. (PLTR) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格PLTR,t1 | 配当PLTR,t1 | RPLTR,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2020/09/30 | $9.50 | 3,363.00 | ||||
| 1. | 2020/10/31 | $10.13 | 6.63% | 3,269.96 | -2.77% | |
| 2. | 2020/11/30 | $27.11 | 167.62% | 3,621.63 | 10.75% | |
| 3. | 2020/12/31 | $23.55 | -13.13% | 3,756.07 | 3.71% | |
| 4. | 2021/01/31 | $35.18 | 49.38% | 3,714.24 | -1.11% | |
| 5. | 2021/02/28 | $23.90 | -32.06% | 3,811.15 | 2.61% | |
| 6. | 2021/03/31 | $23.29 | -2.55% | 3,972.89 | 4.24% | |
| 7. | 2021/04/30 | $23.04 | -1.07% | 4,181.17 | 5.24% | |
| 8. | 2021/05/31 | $22.95 | -0.39% | 4,204.11 | 0.55% | |
| 9. | 2021/06/30 | $26.36 | 14.86% | 4,297.50 | 2.22% | |
| 10. | 2021/07/31 | $21.71 | -17.64% | 4,395.26 | 2.27% | |
| 11. | 2021/08/31 | $26.34 | 21.33% | 4,522.68 | 2.90% | |
| 12. | 2021/09/30 | $24.04 | -8.73% | 4,307.54 | -4.76% | |
| 13. | 2021/10/31 | $25.88 | 7.65% | 4,605.38 | 6.91% | |
| 14. | 2021/11/30 | $20.65 | -20.21% | 4,567.00 | -0.83% | |
| 15. | 2021/12/31 | $18.21 | -11.82% | 4,766.18 | 4.36% | |
| 16. | 2022/01/31 | $13.71 | -24.71% | 4,515.55 | -5.26% | |
| 17. | 2022/02/28 | $11.85 | -13.57% | 4,373.94 | -3.14% | |
| 18. | 2022/03/31 | $13.73 | 15.86% | 4,530.41 | 3.58% | |
| 19. | 2022/04/30 | $10.40 | -24.25% | 4,131.93 | -8.80% | |
| 20. | 2022/05/31 | $8.68 | -16.54% | 4,132.15 | 0.01% | |
| 21. | 2022/06/30 | $9.07 | 4.49% | 3,785.38 | -8.39% | |
| 22. | 2022/07/31 | $10.35 | 14.11% | 4,130.29 | 9.11% | |
| 23. | 2022/08/31 | $7.72 | -25.41% | 3,955.00 | -4.24% | |
| 24. | 2022/09/30 | $8.13 | 5.31% | 3,585.62 | -9.34% | |
| 25. | 2022/10/31 | $8.79 | 8.12% | 3,871.98 | 7.99% | |
| 26. | 2022/11/30 | $7.50 | -14.68% | 4,080.11 | 5.38% | |
| 27. | 2022/12/31 | $6.42 | -14.40% | 3,839.50 | -5.90% | |
| 28. | 2023/01/31 | $7.78 | 21.18% | 4,076.60 | 6.18% | |
| 29. | 2023/02/28 | $7.84 | 0.77% | 3,970.15 | -2.61% | |
| 30. | 2023/03/31 | $8.45 | 7.78% | 4,109.31 | 3.51% | |
| 31. | 2023/04/30 | $7.75 | -8.28% | 4,169.48 | 1.46% | |
| 32. | 2023/05/31 | $14.71 | 89.81% | 4,179.83 | 0.25% | |
| 33. | 2023/06/30 | $15.33 | 4.21% | 4,376.86 | 4.71% | |
| 34. | 2023/07/31 | $19.84 | 29.42% | 4,588.96 | 4.85% | |
| 35. | 2023/08/31 | $14.98 | -24.50% | 4,507.66 | -1.77% | |
| 36. | 2023/09/30 | $16.00 | 6.81% | 4,288.05 | -4.87% | |
| 37. | 2023/10/31 | $14.80 | -7.50% | 4,193.80 | -2.20% | |
| 38. | 2023/11/30 | $20.05 | 35.47% | 4,567.80 | 8.92% | |
| 39. | 2023/12/31 | $17.17 | -14.36% | 4,769.83 | 4.42% | |
| 平均 (R): | 5.51% | 1.03% | ||||
| 標準偏差： | 35.26% | 5.15% | ||||
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PLTR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
Palantir Technologies Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RPLTR,t | RS&P 500,t | (RPLTR,t–RPLTR)2 | (RS&P 500,t–RS&P 500)2 | (RPLTR,t–RPLTR)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020/10/31 | 6.63% | -2.77% | 1.25 | 14.41 | -4.24 |
| 2. | 2020/11/30 | 167.62% | 10.75% | 26,278.84 | 94.58 | 1,576.53 |
| 3. | 2020/12/31 | -13.13% | 3.71% | 347.64 | 7.20 | -50.02 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 38. | 2023/11/30 | 35.47% | 8.92% | 897.57 | 62.23 | 236.34 |
| 39. | 2023/12/31 | -14.36% | 4.42% | 395.12 | 11.52 | -67.46 |
| トータル (Σ): | 47,256.37 | 1,008.01 | 2,744.07 | |||
| t | 日付 | RPLTR,t | RS&P 500,t | (RPLTR,t–RPLTR)2 | (RS&P 500,t–RS&P 500)2 | (RPLTR,t–RPLTR)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020/10/31 | 6.63% | -2.77% | 1.25 | 14.41 | -4.24 |
| 2. | 2020/11/30 | 167.62% | 10.75% | 26,278.84 | 94.58 | 1,576.53 |
| 3. | 2020/12/31 | -13.13% | 3.71% | 347.64 | 7.20 | -50.02 |
| 4. | 2021/01/31 | 49.38% | -1.11% | 1,924.65 | 4.59 | -94.02 |
| 5. | 2021/02/28 | -32.06% | 2.61% | 1,412.04 | 2.50 | -59.36 |
| 6. | 2021/03/31 | -2.55% | 4.24% | 65.06 | 10.33 | -25.93 |
| 7. | 2021/04/30 | -1.07% | 5.24% | 43.39 | 17.75 | -27.75 |
| 8. | 2021/05/31 | -0.39% | 0.55% | 34.86 | 0.23 | 2.84 |
| 9. | 2021/06/30 | 14.86% | 2.22% | 87.33 | 1.42 | 11.14 |
| 10. | 2021/07/31 | -17.64% | 2.27% | 536.10 | 1.55 | -28.84 |
| 11. | 2021/08/31 | 21.33% | 2.90% | 250.06 | 3.50 | 29.57 |
| 12. | 2021/09/30 | -8.73% | -4.76% | 202.93 | 33.48 | 82.43 |
| 13. | 2021/10/31 | 7.65% | 6.91% | 4.58 | 34.63 | 12.60 |
| 14. | 2021/11/30 | -20.21% | -0.83% | 661.63 | 3.47 | 47.91 |
| 15. | 2021/12/31 | -11.82% | 4.36% | 300.31 | 11.10 | -57.74 |
| 16. | 2022/01/31 | -24.71% | -5.26% | 913.56 | 39.54 | 190.05 |
| 17. | 2022/02/28 | -13.57% | -3.14% | 364.05 | 17.35 | 79.48 |
| 18. | 2022/03/31 | 15.86% | 3.58% | 107.15 | 6.49 | 26.38 |
| 19. | 2022/04/30 | -24.25% | -8.80% | 886.07 | 96.53 | 292.46 |
| 20. | 2022/05/31 | -16.54% | 0.01% | 486.29 | 1.05 | 22.58 |
| 21. | 2022/06/30 | 4.49% | -8.39% | 1.04 | 88.76 | 9.61 |
| 22. | 2022/07/31 | 14.11% | 9.11% | 73.94 | 65.32 | 69.50 |
| 23. | 2022/08/31 | -25.41% | -4.24% | 956.30 | 27.81 | 163.07 |
| 24. | 2022/09/30 | 5.31% | -9.34% | 0.04 | 107.51 | 2.10 |
| 25. | 2022/10/31 | 8.12% | 7.99% | 6.78 | 48.40 | 18.12 |
| 26. | 2022/11/30 | -14.68% | 5.38% | 407.60 | 18.89 | -87.74 |
| 27. | 2022/12/31 | -14.40% | -5.90% | 396.54 | 47.98 | 137.93 |
| 28. | 2023/01/31 | 21.18% | 6.18% | 245.56 | 26.48 | 80.64 |
| 29. | 2023/02/28 | 0.77% | -2.61% | 22.49 | 13.25 | 17.26 |
| 30. | 2023/03/31 | 7.78% | 3.51% | 5.14 | 6.13 | 5.61 |
| 31. | 2023/04/30 | -8.28% | 1.46% | 190.37 | 0.19 | -6.00 |
| 32. | 2023/05/31 | 89.81% | 0.25% | 7,105.31 | 0.61 | -65.84 |
| 33. | 2023/06/30 | 4.21% | 4.71% | 1.69 | 13.58 | -4.78 |
| 34. | 2023/07/31 | 29.42% | 4.85% | 571.50 | 14.57 | 91.24 |
| 35. | 2023/08/31 | -24.50% | -1.77% | 900.56 | 7.85 | 84.06 |
| 36. | 2023/09/30 | 6.81% | -4.87% | 1.68 | 34.83 | -7.65 |
| 37. | 2023/10/31 | -7.50% | -2.20% | 169.35 | 10.42 | 42.00 |
| 38. | 2023/11/30 | 35.47% | 8.92% | 897.57 | 62.23 | 236.34 |
| 39. | 2023/12/31 | -14.36% | 4.42% | 395.12 | 11.52 | -67.46 |
| トータル (Σ): | 47,256.37 | 1,008.01 | 2,744.07 | |||
すべて表示
分散PLTR = Σ(RPLTR,t–RPLTR)2 ÷ (39 – 1)
= 47,256.37 ÷ (39 – 1)
= 1,243.59
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (39 – 1)
= 1,008.01 ÷ (39 – 1)
= 26.53
共 分散PLTR, S&P 500 = Σ(RPLTR,t–RPLTR)×(RS&P 500,t–RS&P 500) ÷ (39 – 1)
= 2,744.07 ÷ (39 – 1)
= 72.21
システマティックなリスク推定 (β)
| 分散PLTR | 1,243.59 |
| 分散S&P 500 | 26.53 |
| 共 分散PLTR, S&P 500 | 72.21 |
| 相関係数PLTR, S&P 5001 | 0.40 |
| βPLTR2 | 2.72 |
| αPLTR3 | 2.71% |
計算
1 相関係数PLTR, S&P 500
= 共 分散PLTR, S&P 500 ÷ (標準偏差PLTR × 標準偏差S&P 500)
= 72.21 ÷ (35.26% × 5.15%)
= 0.40
2 βPLTR
= 共 分散PLTR, S&P 500 ÷ 分散S&P 500
= 72.21 ÷ 26.53
= 2.72
3 αPLTR
= 平均PLTR – βPLTR × 平均S&P 500
= 5.51% – 2.72 × 1.03%
= 2.71%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.67% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 13.77% |
| 普通株式のシステマティックリスクPalantir | βPLTR | 2.72 |
| パランティアの普通株式の予想収益率3 | E(RPLTR) | 29.44% |
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(RPLTR) = RF + βPLTR [E(RM) – RF]
= 4.67% + 2.72 [13.77% – 4.67%]
= 29.44%