資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 ServiceNow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
ServiceNow Inc.、月間収益率
| ServiceNow Inc. (NOW) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格NOW,t1 | 配当NOW,t1 | RNOW,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2020/01/31 | $338.23 | 3,225.52 | ||||
| 1. | 2020/02/29 | $326.09 | -3.59% | 2,954.22 | -8.41% | |
| 2. | 2020/03/31 | $286.58 | -12.12% | 2,584.59 | -12.51% | |
| 3. | 2020/04/30 | $351.54 | 22.67% | 2,912.43 | 12.68% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024/11/30 | $1,049.44 | 12.48% | 6,032.38 | 5.73% | |
| 59. | 2024/12/31 | $1,060.12 | 1.02% | 5,881.63 | -2.50% | |
| 平均 (R): | 2.29% | 1.16% | ||||
| 標準偏差： | 8.36% | 5.28% | ||||
| ServiceNow Inc. (NOW) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格NOW,t1 | 配当NOW,t1 | RNOW,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2020/01/31 | $338.23 | 3,225.52 | ||||
| 1. | 2020/02/29 | $326.09 | -3.59% | 2,954.22 | -8.41% | |
| 2. | 2020/03/31 | $286.58 | -12.12% | 2,584.59 | -12.51% | |
| 3. | 2020/04/30 | $351.54 | 22.67% | 2,912.43 | 12.68% | |
| 4. | 2020/05/31 | $387.93 | 10.35% | 3,044.31 | 4.53% | |
| 5. | 2020/06/30 | $405.06 | 4.42% | 3,100.29 | 1.84% | |
| 6. | 2020/07/31 | $439.20 | 8.43% | 3,271.12 | 5.51% | |
| 7. | 2020/08/31 | $482.02 | 9.75% | 3,500.31 | 7.01% | |
| 8. | 2020/09/30 | $485.00 | 0.62% | 3,363.00 | -3.92% | |
| 9. | 2020/10/31 | $497.57 | 2.59% | 3,269.96 | -2.77% | |
| 10. | 2020/11/30 | $534.55 | 7.43% | 3,621.63 | 10.75% | |
| 11. | 2020/12/31 | $550.43 | 2.97% | 3,756.07 | 3.71% | |
| 12. | 2021/01/31 | $543.16 | -1.32% | 3,714.24 | -1.11% | |
| 13. | 2021/02/28 | $533.46 | -1.79% | 3,811.15 | 2.61% | |
| 14. | 2021/03/31 | $500.11 | -6.25% | 3,972.89 | 4.24% | |
| 15. | 2021/04/30 | $506.37 | 1.25% | 4,181.17 | 5.24% | |
| 16. | 2021/05/31 | $473.88 | -6.42% | 4,204.11 | 0.55% | |
| 17. | 2021/06/30 | $549.55 | 15.97% | 4,297.50 | 2.22% | |
| 18. | 2021/07/31 | $587.89 | 6.98% | 4,395.26 | 2.27% | |
| 19. | 2021/08/31 | $643.64 | 9.48% | 4,522.68 | 2.90% | |
| 20. | 2021/09/30 | $622.27 | -3.32% | 4,307.54 | -4.76% | |
| 21. | 2021/10/31 | $697.76 | 12.13% | 4,605.38 | 6.91% | |
| 22. | 2021/11/30 | $647.70 | -7.17% | 4,567.00 | -0.83% | |
| 23. | 2021/12/31 | $649.11 | 0.22% | 4,766.18 | 4.36% | |
| 24. | 2022/01/31 | $585.78 | -9.76% | 4,515.55 | -5.26% | |
| 25. | 2022/02/28 | $579.92 | -1.00% | 4,373.94 | -3.14% | |
| 26. | 2022/03/31 | $556.89 | -3.97% | 4,530.41 | 3.58% | |
| 27. | 2022/04/30 | $478.10 | -14.15% | 4,131.93 | -8.80% | |
| 28. | 2022/05/31 | $467.47 | -2.22% | 4,132.15 | 0.01% | |
| 29. | 2022/06/30 | $475.52 | 1.72% | 3,785.38 | -8.39% | |
| 30. | 2022/07/31 | $446.66 | -6.07% | 4,130.29 | 9.11% | |
| 31. | 2022/08/31 | $434.62 | -2.70% | 3,955.00 | -4.24% | |
| 32. | 2022/09/30 | $377.61 | -13.12% | 3,585.62 | -9.34% | |
| 33. | 2022/10/31 | $420.74 | 11.42% | 3,871.98 | 7.99% | |
| 34. | 2022/11/30 | $416.30 | -1.06% | 4,080.11 | 5.38% | |
| 35. | 2022/12/31 | $388.27 | -6.73% | 3,839.50 | -5.90% | |
| 36. | 2023/01/31 | $455.13 | 17.22% | 4,076.60 | 6.18% | |
| 37. | 2023/02/28 | $432.17 | -5.04% | 3,970.15 | -2.61% | |
| 38. | 2023/03/31 | $464.72 | 7.53% | 4,109.31 | 3.51% | |
| 39. | 2023/04/30 | $459.42 | -1.14% | 4,169.48 | 1.46% | |
| 40. | 2023/05/31 | $544.78 | 18.58% | 4,179.83 | 0.25% | |
| 41. | 2023/06/30 | $561.97 | 3.16% | 4,376.86 | 4.71% | |
| 42. | 2023/07/31 | $583.00 | 3.74% | 4,588.96 | 4.85% | |
| 43. | 2023/08/31 | $588.83 | 1.00% | 4,507.66 | -1.77% | |
| 44. | 2023/09/30 | $558.96 | -5.07% | 4,288.05 | -4.87% | |
| 45. | 2023/10/31 | $581.85 | 4.10% | 4,193.80 | -2.20% | |
| 46. | 2023/11/30 | $685.74 | 17.86% | 4,567.80 | 8.92% | |
| 47. | 2023/12/31 | $706.49 | 3.03% | 4,769.83 | 4.42% | |
| 48. | 2024/01/31 | $765.40 | 8.34% | 4,845.65 | 1.59% | |
| 49. | 2024/02/29 | $771.34 | 0.78% | 5,096.27 | 5.17% | |
| 50. | 2024/03/31 | $762.40 | -1.16% | 5,254.35 | 3.10% | |
| 51. | 2024/04/30 | $693.33 | -9.06% | 5,035.69 | -4.16% | |
| 52. | 2024/05/31 | $656.93 | -5.25% | 5,277.51 | 4.80% | |
| 53. | 2024/06/30 | $786.67 | 19.75% | 5,460.48 | 3.47% | |
| 54. | 2024/07/31 | $814.39 | 3.52% | 5,522.30 | 1.13% | |
| 55. | 2024/08/31 | $855.00 | 4.99% | 5,648.40 | 2.28% | |
| 56. | 2024/09/30 | $894.39 | 4.61% | 5,762.48 | 2.02% | |
| 57. | 2024/10/31 | $932.99 | 4.32% | 5,705.45 | -0.99% | |
| 58. | 2024/11/30 | $1,049.44 | 12.48% | 6,032.38 | 5.73% | |
| 59. | 2024/12/31 | $1,060.12 | 1.02% | 5,881.63 | -2.50% | |
| 平均 (R): | 2.29% | 1.16% | ||||
| 標準偏差： | 8.36% | 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NOW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
ServiceNow Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RNOW,t | RS&P 500,t | (RNOW,t–RNOW)2 | (RS&P 500,t–RS&P 500)2 | (RNOW,t–RNOW)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020/02/29 | -3.59% | -8.41% | 34.53 | 91.63 | 56.25 |
| 2. | 2020/03/31 | -12.12% | -12.51% | 207.45 | 186.96 | 196.94 |
| 3. | 2020/04/30 | 22.67% | 12.68% | 415.36 | 132.78 | 234.85 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024/11/30 | 12.48% | 5.73% | 103.93 | 20.87 | 46.58 |
| 59. | 2024/12/31 | 1.02% | -2.50% | 1.61 | 13.40 | 4.65 |
| トータル (Σ): | 4,057.74 | 1,618.62 | 1,629.04 | |||
| t | 日付 | RNOW,t | RS&P 500,t | (RNOW,t–RNOW)2 | (RS&P 500,t–RS&P 500)2 | (RNOW,t–RNOW)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020/02/29 | -3.59% | -8.41% | 34.53 | 91.63 | 56.25 |
| 2. | 2020/03/31 | -12.12% | -12.51% | 207.45 | 186.96 | 196.94 |
| 3. | 2020/04/30 | 22.67% | 12.68% | 415.36 | 132.78 | 234.85 |
| 4. | 2020/05/31 | 10.35% | 4.53% | 65.04 | 11.34 | 27.15 |
| 5. | 2020/06/30 | 4.42% | 1.84% | 4.53 | 0.46 | 1.44 |
| 6. | 2020/07/31 | 8.43% | 5.51% | 37.72 | 18.91 | 26.71 |
| 7. | 2020/08/31 | 9.75% | 7.01% | 55.69 | 34.17 | 43.62 |
| 8. | 2020/09/30 | 0.62% | -3.92% | 2.78 | 25.85 | 8.48 |
| 9. | 2020/10/31 | 2.59% | -2.77% | 0.09 | 15.43 | -1.20 |
| 10. | 2020/11/30 | 7.43% | 10.75% | 26.47 | 92.03 | 49.36 |
| 11. | 2020/12/31 | 2.97% | 3.71% | 0.47 | 6.51 | 1.74 |
| 12. | 2021/01/31 | -1.32% | -1.11% | 13.02 | 5.18 | 8.21 |
| 13. | 2021/02/28 | -1.79% | 2.61% | 16.59 | 2.10 | -5.90 |
| 14. | 2021/03/31 | -6.25% | 4.24% | 72.91 | 9.50 | -26.32 |
| 15. | 2021/04/30 | 1.25% | 5.24% | 1.07 | 16.66 | -4.22 |
| 16. | 2021/05/31 | -6.42% | 0.55% | 75.75 | 0.38 | 5.33 |
| 17. | 2021/06/30 | 15.97% | 2.22% | 187.18 | 1.12 | 14.50 |
| 18. | 2021/07/31 | 6.98% | 2.27% | 21.99 | 1.24 | 5.22 |
| 19. | 2021/08/31 | 9.48% | 2.90% | 51.78 | 3.02 | 12.51 |
| 20. | 2021/09/30 | -3.32% | -4.76% | 31.44 | 35.02 | 33.18 |
| 21. | 2021/10/31 | 12.13% | 6.91% | 96.91 | 33.10 | 56.64 |
| 22. | 2021/11/30 | -7.17% | -0.83% | 89.52 | 3.98 | 18.87 |
| 23. | 2021/12/31 | 0.22% | 4.36% | 4.28 | 10.24 | -6.62 |
| 24. | 2022/01/31 | -9.76% | -5.26% | 145.04 | 41.21 | 77.32 |
| 25. | 2022/02/28 | -1.00% | -3.14% | 10.81 | 18.47 | 14.13 |
| 26. | 2022/03/31 | -3.97% | 3.58% | 39.16 | 5.84 | -15.12 |
| 27. | 2022/04/30 | -14.15% | -8.80% | 270.11 | 99.14 | 163.64 |
| 28. | 2022/05/31 | -2.22% | 0.01% | 20.34 | 1.34 | 5.21 |
| 29. | 2022/06/30 | 1.72% | -8.39% | 0.32 | 91.26 | 5.40 |
| 30. | 2022/07/31 | -6.07% | 9.11% | 69.82 | 63.21 | -66.43 |
| 31. | 2022/08/31 | -2.70% | -4.24% | 24.83 | 29.22 | 26.93 |
| 32. | 2022/09/30 | -13.12% | -9.34% | 237.29 | 110.27 | 161.76 |
| 33. | 2022/10/31 | 11.42% | 7.99% | 83.45 | 46.58 | 62.35 |
| 34. | 2022/11/30 | -1.06% | 5.38% | 11.17 | 17.76 | -14.08 |
| 35. | 2022/12/31 | -6.73% | -5.90% | 81.36 | 49.82 | 63.67 |
| 36. | 2023/01/31 | 17.22% | 6.18% | 223.00 | 25.14 | 74.87 |
| 37. | 2023/02/28 | -5.04% | -2.61% | 53.75 | 14.23 | 27.66 |
| 38. | 2023/03/31 | 7.53% | 3.51% | 27.51 | 5.49 | 12.29 |
| 39. | 2023/04/30 | -1.14% | 1.46% | 11.75 | 0.09 | -1.04 |
| 40. | 2023/05/31 | 18.58% | 0.25% | 265.46 | 0.83 | -14.88 |
| 41. | 2023/06/30 | 3.16% | 4.71% | 0.75 | 12.62 | 3.09 |
| 42. | 2023/07/31 | 3.74% | 4.85% | 2.12 | 13.58 | 5.36 |
| 43. | 2023/08/31 | 1.00% | -1.77% | 1.66 | 8.60 | 3.77 |
| 44. | 2023/09/30 | -5.07% | -4.87% | 54.17 | 36.40 | 44.40 |
| 45. | 2023/10/31 | 4.10% | -2.20% | 3.27 | 11.28 | -6.07 |
| 46. | 2023/11/30 | 17.86% | 8.92% | 242.37 | 60.17 | 120.76 |
| 47. | 2023/12/31 | 3.03% | 4.42% | 0.55 | 10.64 | 2.41 |
| 48. | 2024/01/31 | 8.34% | 1.59% | 36.62 | 0.18 | 2.59 |
| 49. | 2024/02/29 | 0.78% | 5.17% | 2.28 | 16.09 | -6.06 |
| 50. | 2024/03/31 | -1.16% | 3.10% | 11.87 | 3.77 | -6.69 |
| 51. | 2024/04/30 | -9.06% | -4.16% | 128.74 | 28.33 | 60.39 |
| 52. | 2024/05/31 | -5.25% | 4.80% | 56.81 | 13.26 | -27.44 |
| 53. | 2024/06/30 | 19.75% | 3.47% | 304.94 | 5.32 | 40.26 |
| 54. | 2024/07/31 | 3.52% | 1.13% | 1.53 | 0.00 | -0.04 |
| 55. | 2024/08/31 | 4.99% | 2.28% | 7.29 | 1.26 | 3.03 |
| 56. | 2024/09/30 | 4.61% | 2.02% | 5.38 | 0.74 | 1.99 |
| 57. | 2024/10/31 | 4.32% | -0.99% | 4.12 | 4.63 | -4.36 |
| 58. | 2024/11/30 | 12.48% | 5.73% | 103.93 | 20.87 | 46.58 |
| 59. | 2024/12/31 | 1.02% | -2.50% | 1.61 | 13.40 | 4.65 |
| トータル (Σ): | 4,057.74 | 1,618.62 | 1,629.04 | |||
すべて表示
分散NOW = Σ(RNOW,t–RNOW)2 ÷ (59 – 1)
= 4,057.74 ÷ (59 – 1)
= 69.96
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91
共 分散NOW, S&P 500 = Σ(RNOW,t–RNOW)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,629.04 ÷ (59 – 1)
= 28.09
システマティックなリスク推定 (β)
| 分散NOW | 69.96 |
| 分散S&P 500 | 27.91 |
| 共 分散NOW, S&P 500 | 28.09 |
| 相関係数NOW, S&P 5001 | 0.64 |
| βNOW2 | 1.01 |
| αNOW3 | 1.12% |
計算
1 相関係数NOW, S&P 500
= 共 分散NOW, S&P 500 ÷ (標準偏差NOW × 標準偏差S&P 500)
= 28.09 ÷ (8.36% × 5.28%)
= 0.64
2 βNOW
= 共 分散NOW, S&P 500 ÷ 分散S&P 500
= 28.09 ÷ 27.91
= 1.01
3 αNOW
= 平均NOW – βNOW × 平均S&P 500
= 2.29% – 1.01 × 1.16%
= 1.12%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.83% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.73% |
| 普通株式 ServiceNow システマティックリスク | βNOW | 1.01 |
| ServiceNow 普通株式の期待収益率3 | E(RNOW) | 14.80% |
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(RNOW) = RF + βNOW [E(RM) – RF]
= 4.83% + 1.01 [14.73% – 4.83%]
= 14.80%