資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Salesforce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
Salesforce Inc.、月間収益率
| Salesforce Inc. (CRM) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格CRM,t1 | 配当CRM,t1 | RCRM,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2019/02/28 | $163.65 | 2,784.49 | ||||
| 1. | 2019/03/31 | $158.37 | -3.23% | 2,834.40 | 1.79% | |
| 2. | 2019/04/30 | $165.35 | 4.41% | 2,945.83 | 3.93% | |
| 3. | 2019/05/31 | $151.41 | -8.43% | 2,752.06 | -6.58% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024/12/31 | $334.33 | $0.40 | 1.44% | 5,881.63 | -2.50% |
| 71. | 2025/01/31 | $341.70 | 2.20% | 6,040.53 | 2.70% | |
| 平均 (R): | 1.55% | 1.22% | ||||
| 標準偏差： | 10.33% | 4.99% | ||||
| Salesforce Inc. (CRM) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格CRM,t1 | 配当CRM,t1 | RCRM,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2019/02/28 | $163.65 | 2,784.49 | ||||
| 1. | 2019/03/31 | $158.37 | -3.23% | 2,834.40 | 1.79% | |
| 2. | 2019/04/30 | $165.35 | 4.41% | 2,945.83 | 3.93% | |
| 3. | 2019/05/31 | $151.41 | -8.43% | 2,752.06 | -6.58% | |
| 4. | 2019/06/30 | $151.73 | 0.21% | 2,941.76 | 6.89% | |
| 5. | 2019/07/31 | $154.50 | 1.83% | 2,980.38 | 1.31% | |
| 6. | 2019/08/31 | $156.07 | 1.02% | 2,926.46 | -1.81% | |
| 7. | 2019/09/30 | $148.44 | -4.89% | 2,976.74 | 1.72% | |
| 8. | 2019/10/31 | $156.49 | 5.42% | 3,037.56 | 2.04% | |
| 9. | 2019/11/30 | $162.89 | 4.09% | 3,140.98 | 3.40% | |
| 10. | 2019/12/31 | $162.64 | -0.15% | 3,230.78 | 2.86% | |
| 11. | 2020/01/31 | $182.31 | 12.09% | 3,225.52 | -0.16% | |
| 12. | 2020/02/29 | $170.40 | -6.53% | 2,954.22 | -8.41% | |
| 13. | 2020/03/31 | $143.98 | -15.50% | 2,584.59 | -12.51% | |
| 14. | 2020/04/30 | $161.95 | 12.48% | 2,912.43 | 12.68% | |
| 15. | 2020/05/31 | $174.79 | 7.93% | 3,044.31 | 4.53% | |
| 16. | 2020/06/30 | $187.33 | 7.17% | 3,100.29 | 1.84% | |
| 17. | 2020/07/31 | $194.85 | 4.01% | 3,271.12 | 5.51% | |
| 18. | 2020/08/31 | $272.65 | 39.93% | 3,500.31 | 7.01% | |
| 19. | 2020/09/30 | $251.32 | -7.82% | 3,363.00 | -3.92% | |
| 20. | 2020/10/31 | $232.27 | -7.58% | 3,269.96 | -2.77% | |
| 21. | 2020/11/30 | $245.80 | 5.83% | 3,621.63 | 10.75% | |
| 22. | 2020/12/31 | $222.53 | -9.47% | 3,756.07 | 3.71% | |
| 23. | 2021/01/31 | $225.56 | 1.36% | 3,714.24 | -1.11% | |
| 24. | 2021/02/28 | $216.50 | -4.02% | 3,811.15 | 2.61% | |
| 25. | 2021/03/31 | $211.87 | -2.14% | 3,972.89 | 4.24% | |
| 26. | 2021/04/30 | $230.32 | 8.71% | 4,181.17 | 5.24% | |
| 27. | 2021/05/31 | $238.10 | 3.38% | 4,204.11 | 0.55% | |
| 28. | 2021/06/30 | $244.27 | 2.59% | 4,297.50 | 2.22% | |
| 29. | 2021/07/31 | $241.93 | -0.96% | 4,395.26 | 2.27% | |
| 30. | 2021/08/31 | $265.27 | 9.65% | 4,522.68 | 2.90% | |
| 31. | 2021/09/30 | $271.22 | 2.24% | 4,307.54 | -4.76% | |
| 32. | 2021/10/31 | $299.69 | 10.50% | 4,605.38 | 6.91% | |
| 33. | 2021/11/30 | $284.96 | -4.92% | 4,567.00 | -0.83% | |
| 34. | 2021/12/31 | $254.13 | -10.82% | 4,766.18 | 4.36% | |
| 35. | 2022/01/31 | $232.63 | -8.46% | 4,515.55 | -5.26% | |
| 36. | 2022/02/28 | $210.53 | -9.50% | 4,373.94 | -3.14% | |
| 37. | 2022/03/31 | $212.32 | 0.85% | 4,530.41 | 3.58% | |
| 38. | 2022/04/30 | $175.94 | -17.13% | 4,131.93 | -8.80% | |
| 39. | 2022/05/31 | $160.24 | -8.92% | 4,132.15 | 0.01% | |
| 40. | 2022/06/30 | $165.04 | 3.00% | 3,785.38 | -8.39% | |
| 41. | 2022/07/31 | $184.02 | 11.50% | 4,130.29 | 9.11% | |
| 42. | 2022/08/31 | $156.12 | -15.16% | 3,955.00 | -4.24% | |
| 43. | 2022/09/30 | $143.84 | -7.87% | 3,585.62 | -9.34% | |
| 44. | 2022/10/31 | $162.59 | 13.04% | 3,871.98 | 7.99% | |
| 45. | 2022/11/30 | $160.25 | -1.44% | 4,080.11 | 5.38% | |
| 46. | 2022/12/31 | $132.59 | -17.26% | 3,839.50 | -5.90% | |
| 47. | 2023/01/31 | $167.97 | 26.68% | 4,076.60 | 6.18% | |
| 48. | 2023/02/28 | $163.61 | -2.60% | 3,970.15 | -2.61% | |
| 49. | 2023/03/31 | $199.78 | 22.11% | 4,109.31 | 3.51% | |
| 50. | 2023/04/30 | $198.37 | -0.71% | 4,169.48 | 1.46% | |
| 51. | 2023/05/31 | $223.38 | 12.61% | 4,179.83 | 0.25% | |
| 52. | 2023/06/30 | $211.26 | -5.43% | 4,376.86 | 4.71% | |
| 53. | 2023/07/31 | $225.01 | 6.51% | 4,588.96 | 4.85% | |
| 54. | 2023/08/31 | $221.46 | -1.58% | 4,507.66 | -1.77% | |
| 55. | 2023/09/30 | $202.78 | -8.43% | 4,288.05 | -4.87% | |
| 56. | 2023/10/31 | $200.83 | -0.96% | 4,193.80 | -2.20% | |
| 57. | 2023/11/30 | $251.90 | 25.43% | 4,567.80 | 8.92% | |
| 58. | 2023/12/31 | $263.14 | 4.46% | 4,769.83 | 4.42% | |
| 59. | 2024/01/31 | $281.09 | 6.82% | 4,845.65 | 1.59% | |
| 60. | 2024/02/29 | $308.82 | 9.87% | 5,096.27 | 5.17% | |
| 61. | 2024/03/31 | $301.18 | $0.40 | -2.34% | 5,254.35 | 3.10% |
| 62. | 2024/04/30 | $268.94 | -10.70% | 5,035.69 | -4.16% | |
| 63. | 2024/05/31 | $234.44 | -12.83% | 5,277.51 | 4.80% | |
| 64. | 2024/06/30 | $257.10 | 9.67% | 5,460.48 | 3.47% | |
| 65. | 2024/07/31 | $258.80 | $0.40 | 0.82% | 5,522.30 | 1.13% |
| 66. | 2024/08/31 | $252.90 | -2.28% | 5,648.40 | 2.28% | |
| 67. | 2024/09/30 | $273.71 | $0.40 | 8.39% | 5,762.48 | 2.02% |
| 68. | 2024/10/31 | $291.37 | 6.45% | 5,705.45 | -0.99% | |
| 69. | 2024/11/30 | $329.99 | 13.25% | 6,032.38 | 5.73% | |
| 70. | 2024/12/31 | $334.33 | $0.40 | 1.44% | 5,881.63 | -2.50% |
| 71. | 2025/01/31 | $341.70 | 2.20% | 6,040.53 | 2.70% | |
| 平均 (R): | 1.55% | 1.22% | ||||
| 標準偏差： | 10.33% | 4.99% | ||||
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CRM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
Salesforce Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RCRM,t | RS&P 500,t | (RCRM,t–RCRM)2 | (RS&P 500,t–RS&P 500)2 | (RCRM,t–RCRM)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019/03/31 | -3.23% | 1.79% | 22.79 | 0.33 | -2.73 |
| 2. | 2019/04/30 | 4.41% | 3.93% | 8.18 | 7.35 | 7.75 |
| 3. | 2019/05/31 | -8.43% | -6.58% | 99.56 | 60.81 | 77.81 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024/12/31 | 1.44% | -2.50% | 0.01 | 13.83 | 0.41 |
| 71. | 2025/01/31 | 2.20% | 2.70% | 0.43 | 2.20 | 0.97 |
| トータル (Σ): | 7,465.23 | 1,741.16 | 2,212.21 | |||
| t | 日付 | RCRM,t | RS&P 500,t | (RCRM,t–RCRM)2 | (RS&P 500,t–RS&P 500)2 | (RCRM,t–RCRM)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019/03/31 | -3.23% | 1.79% | 22.79 | 0.33 | -2.73 |
| 2. | 2019/04/30 | 4.41% | 3.93% | 8.18 | 7.35 | 7.75 |
| 3. | 2019/05/31 | -8.43% | -6.58% | 99.56 | 60.81 | 77.81 |
| 4. | 2019/06/30 | 0.21% | 6.89% | 1.79 | 32.18 | -7.58 |
| 5. | 2019/07/31 | 1.83% | 1.31% | 0.08 | 0.01 | 0.03 |
| 6. | 2019/08/31 | 1.02% | -1.81% | 0.28 | 9.18 | 1.61 |
| 7. | 2019/09/30 | -4.89% | 1.72% | 41.43 | 0.25 | -3.21 |
| 8. | 2019/10/31 | 5.42% | 2.04% | 15.02 | 0.68 | 3.19 |
| 9. | 2019/11/30 | 4.09% | 3.40% | 6.46 | 4.77 | 5.55 |
| 10. | 2019/12/31 | -0.15% | 2.86% | 2.89 | 2.69 | -2.79 |
| 11. | 2020/01/31 | 12.09% | -0.16% | 111.23 | 1.91 | -14.58 |
| 12. | 2020/02/29 | -6.53% | -8.41% | 65.29 | 92.76 | 77.82 |
| 13. | 2020/03/31 | -15.50% | -12.51% | 290.78 | 188.57 | 234.16 |
| 14. | 2020/04/30 | 12.48% | 12.68% | 119.54 | 131.43 | 125.35 |
| 15. | 2020/05/31 | 7.93% | 4.53% | 40.72 | 10.94 | 21.11 |
| 16. | 2020/06/30 | 7.17% | 1.84% | 31.66 | 0.38 | 3.48 |
| 17. | 2020/07/31 | 4.01% | 5.51% | 6.09 | 18.41 | 10.58 |
| 18. | 2020/08/31 | 39.93% | 7.01% | 1,473.08 | 33.48 | 222.09 |
| 19. | 2020/09/30 | -7.82% | -3.92% | 87.81 | 26.45 | 48.19 |
| 20. | 2020/10/31 | -7.58% | -2.77% | 83.31 | 15.89 | 36.39 |
| 21. | 2020/11/30 | 5.83% | 10.75% | 18.30 | 90.91 | 40.79 |
| 22. | 2020/12/31 | -9.47% | 3.71% | 121.32 | 6.21 | -27.45 |
| 23. | 2021/01/31 | 1.36% | -1.11% | 0.03 | 5.45 | 0.43 |
| 24. | 2021/02/28 | -4.02% | 2.61% | 30.96 | 1.93 | -7.73 |
| 25. | 2021/03/31 | -2.14% | 4.24% | 13.59 | 9.14 | -11.15 |
| 26. | 2021/04/30 | 8.71% | 5.24% | 51.28 | 16.18 | 28.80 |
| 27. | 2021/05/31 | 3.38% | 0.55% | 3.35 | 0.45 | -1.23 |
| 28. | 2021/06/30 | 2.59% | 2.22% | 1.09 | 1.00 | 1.05 |
| 29. | 2021/07/31 | -0.96% | 2.27% | 6.28 | 1.11 | -2.64 |
| 30. | 2021/08/31 | 9.65% | 2.90% | 65.61 | 2.82 | 13.60 |
| 31. | 2021/09/30 | 2.24% | -4.76% | 0.48 | 35.72 | -4.16 |
| 32. | 2021/10/31 | 10.50% | 6.91% | 80.09 | 32.43 | 50.96 |
| 33. | 2021/11/30 | -4.92% | -0.83% | 41.76 | 4.22 | 13.27 |
| 34. | 2021/12/31 | -10.82% | 4.36% | 152.93 | 9.87 | -38.85 |
| 35. | 2022/01/31 | -8.46% | -5.26% | 100.15 | 41.97 | 64.84 |
| 36. | 2022/02/28 | -9.50% | -3.14% | 122.05 | 18.98 | 48.12 |
| 37. | 2022/03/31 | 0.85% | 3.58% | 0.49 | 5.56 | -1.64 |
| 38. | 2022/04/30 | -17.13% | -8.80% | 349.02 | 100.31 | 187.11 |
| 39. | 2022/05/31 | -8.92% | 0.01% | 109.64 | 1.48 | 12.72 |
| 40. | 2022/06/30 | 3.00% | -8.39% | 2.10 | 92.39 | -13.92 |
| 41. | 2022/07/31 | 11.50% | 9.11% | 99.06 | 62.28 | 78.54 |
| 42. | 2022/08/31 | -15.16% | -4.24% | 279.19 | 29.86 | 91.30 |
| 43. | 2022/09/30 | -7.87% | -9.34% | 88.61 | 111.50 | 99.40 |
| 44. | 2022/10/31 | 13.04% | 7.99% | 131.97 | 45.78 | 77.73 |
| 45. | 2022/11/30 | -1.44% | 5.38% | 8.92 | 17.27 | -12.41 |
| 46. | 2022/12/31 | -17.26% | -5.90% | 353.74 | 50.65 | 133.86 |
| 47. | 2023/01/31 | 26.68% | 6.18% | 631.83 | 24.55 | 124.56 |
| 48. | 2023/02/28 | -2.60% | -2.61% | 17.17 | 14.68 | 15.87 |
| 49. | 2023/03/31 | 22.11% | 3.51% | 422.71 | 5.22 | 46.98 |
| 50. | 2023/04/30 | -0.71% | 1.46% | 5.08 | 0.06 | -0.55 |
| 51. | 2023/05/31 | 12.61% | 0.25% | 122.33 | 0.94 | -10.75 |
| 52. | 2023/06/30 | -5.43% | 4.71% | 48.63 | 12.21 | -24.36 |
| 53. | 2023/07/31 | 6.51% | 4.85% | 24.61 | 13.15 | 17.99 |
| 54. | 2023/08/31 | -1.58% | -1.77% | 9.77 | 8.95 | 9.35 |
| 55. | 2023/09/30 | -8.43% | -4.87% | 99.65 | 37.11 | 60.81 |
| 56. | 2023/10/31 | -0.96% | -2.20% | 6.30 | 11.68 | 8.58 |
| 57. | 2023/11/30 | 25.43% | 8.92% | 570.35 | 59.26 | 183.84 |
| 58. | 2023/12/31 | 4.46% | 4.42% | 8.49 | 10.26 | 9.34 |
| 59. | 2024/01/31 | 6.82% | 1.59% | 27.81 | 0.14 | 1.95 |
| 60. | 2024/02/29 | 9.87% | 5.17% | 69.18 | 15.62 | 32.87 |
| 61. | 2024/03/31 | -2.34% | 3.10% | 15.15 | 3.54 | -7.32 |
| 62. | 2024/04/30 | -10.70% | -4.16% | 150.11 | 28.96 | 65.93 |
| 63. | 2024/05/31 | -12.83% | 4.80% | 206.66 | 12.83 | -51.49 |
| 64. | 2024/06/30 | 9.67% | 3.47% | 65.90 | 5.05 | 18.24 |
| 65. | 2024/07/31 | 0.82% | 1.13% | 0.53 | 0.01 | 0.06 |
| 66. | 2024/08/31 | -2.28% | 2.28% | 14.65 | 1.13 | -4.07 |
| 67. | 2024/09/30 | 8.39% | 2.02% | 46.78 | 0.64 | 5.47 |
| 68. | 2024/10/31 | 6.45% | -0.99% | 24.06 | 4.88 | -10.84 |
| 69. | 2024/11/30 | 13.25% | 5.73% | 137.06 | 20.34 | 52.80 |
| 70. | 2024/12/31 | 1.44% | -2.50% | 0.01 | 13.83 | 0.41 |
| 71. | 2025/01/31 | 2.20% | 2.70% | 0.43 | 2.20 | 0.97 |
| トータル (Σ): | 7,465.23 | 1,741.16 | 2,212.21 | |||
すべて表示
分散CRM = Σ(RCRM,t–RCRM)2 ÷ (71 – 1)
= 7,465.23 ÷ (71 – 1)
= 106.65
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,741.16 ÷ (71 – 1)
= 24.87
共 分散CRM, S&P 500 = Σ(RCRM,t–RCRM)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,212.21 ÷ (71 – 1)
= 31.60
システマティックなリスク推定 (β)
| 分散CRM | 106.65 |
| 分散S&P 500 | 24.87 |
| 共 分散CRM, S&P 500 | 31.60 |
| 相関係数CRM, S&P 5001 | 0.61 |
| βCRM2 | 1.27 |
| αCRM3 | 0.00% |
計算
1 相関係数CRM, S&P 500
= 共 分散CRM, S&P 500 ÷ (標準偏差CRM × 標準偏差S&P 500)
= 31.60 ÷ (10.33% × 4.99%)
= 0.61
2 βCRM
= 共 分散CRM, S&P 500 ÷ 分散S&P 500
= 31.60 ÷ 24.87
= 1.27
3 αCRM
= 平均CRM – βCRM × 平均S&P 500
= 1.55% – 1.27 × 1.22%
= 0.00%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.85% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.71% |
| 普通株式 Salesforce システマティックリスク | βCRM | 1.27 |
| Salesforce普通株式の期待収益率3 | E(RCRM) | 17.38% |
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(RCRM) = RF + βCRM [E(RM) – RF]
= 4.85% + 1.27 [14.71% – 4.85%]
= 17.38%