Stock Analysis on Net
Microsoft Excel LibreOffice Calc

Amgen Inc. (NASDAQ:AMGN)

資本資産価格モデル (CAPM)

中程度の難易度

収益率

Amgen Inc.、毎月の収益率

Microsoft Excel LibreOffice Calc
Amgen Inc. (AMGN) Standard & Poor’s 500 (S&P 500)
t Date 価格AMGN,t1 配当AMGN,t1 RAMGN,t2 価格S&P 500,t RS&P 500,t3
2015/01/31 $152.26 1,994.99
1. 2015/02/28 $157.72 $0.79 4.10% 2,104.50 5.49%
2. 2015/03/31 $159.85 1.35% 2,067.89 -1.74%
3. 2015/04/30 $157.91 -1.21% 2,085.51 0.85%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2019/11/30 $234.72 $1.45 10.75% 3,140.98 3.40%
59. 2019/12/31 $241.07 2.71% 3,230.78 2.86%
平均 (R): 1.23% 0.88%
Standard deviation: 6.81% 3.45%

ソース: Amgen Inc. (NASDAQ:AMGN) | CAPM (www.stock-analysis-on.net)

Amgen Inc. (AMGN) Standard & Poor’s 500 (S&P 500)
t Date 価格AMGN,t1 配当AMGN,t1 RAMGN,t2 価格S&P 500,t RS&P 500,t3
2015/01/31 $152.26 1,994.99
1. 2015/02/28 $157.72 $0.79 4.10% 2,104.50 5.49%
2. 2015/03/31 $159.85 1.35% 2,067.89 -1.74%
3. 2015/04/30 $157.91 -1.21% 2,085.51 0.85%
4. 2015/05/31 $156.26 $0.79 -0.54% 2,107.39 1.05%
5. 2015/06/30 $153.52 -1.75% 2,063.11 -2.10%
6. 2015/07/31 $176.59 15.03% 2,103.84 1.97%
7. 2015/08/31 $151.78 $0.79 -13.60% 1,972.18 -6.26%
8. 2015/09/30 $138.32 -8.87% 1,920.03 -2.64%
9. 2015/10/31 $158.18 14.36% 2,079.36 8.30%
10. 2015/11/30 $161.10 $0.79 2.35% 2,080.41 0.05%
11. 2015/12/31 $162.33 0.76% 2,043.94 -1.75%
12. 2016/01/31 $152.73 -5.91% 1,940.24 -5.07%
13. 2016/02/29 $142.28 $1.00 -6.19% 1,932.23 -0.41%
14. 2016/03/31 $149.93 5.38% 2,059.74 6.60%
15. 2016/04/30 $158.30 5.58% 2,065.30 0.27%
16. 2016/05/31 $157.95 $1.00 0.41% 2,096.95 1.53%
17. 2016/06/30 $152.15 -3.67% 2,098.86 0.09%
18. 2016/07/31 $172.03 13.07% 2,173.60 3.56%
19. 2016/08/31 $170.06 $1.00 -0.56% 2,170.95 -0.12%
20. 2016/09/30 $166.81 -1.91% 2,168.27 -0.12%
21. 2016/10/31 $141.16 -15.38% 2,126.15 -1.94%
22. 2016/11/30 $144.07 $1.00 2.77% 2,198.81 3.42%
23. 2016/12/31 $146.21 1.49% 2,238.83 1.82%
24. 2017/01/31 $156.68 7.16% 2,278.87 1.79%
25. 2017/02/28 $176.53 $1.15 13.40% 2,363.64 3.72%
26. 2017/03/31 $164.07 -7.06% 2,362.72 -0.04%
27. 2017/04/30 $163.32 -0.46% 2,384.20 0.91%
28. 2017/05/31 $155.24 $1.15 -4.24% 2,411.80 1.16%
29. 2017/06/30 $172.23 10.94% 2,423.41 0.48%
30. 2017/07/31 $174.51 1.32% 2,470.30 1.93%
31. 2017/08/31 $177.77 $1.15 2.53% 2,471.65 0.05%
32. 2017/09/30 $186.45 4.88% 2,519.36 1.93%
33. 2017/10/31 $175.22 -6.02% 2,575.26 2.22%
34. 2017/11/30 $175.66 $1.15 0.91% 2,647.58 2.81%
35. 2017/12/31 $173.90 -1.00% 2,673.61 0.98%
36. 2018/01/31 $186.05 6.99% 2,823.81 5.62%
37. 2018/02/28 $183.77 $1.32 -0.52% 2,713.83 -3.89%
38. 2018/03/31 $170.48 -7.23% 2,640.87 -2.69%
39. 2018/04/30 $174.48 2.35% 2,648.05 0.27%
40. 2018/05/31 $179.62 $1.32 3.70% 2,705.27 2.16%
41. 2018/06/30 $184.59 2.77% 2,718.37 0.48%
42. 2018/07/31 $196.55 6.48% 2,816.29 3.60%
43. 2018/08/31 $199.81 $1.32 2.33% 2,901.52 3.03%
44. 2018/09/30 $207.29 3.74% 2,913.98 0.43%
45. 2018/10/31 $192.79 -7.00% 2,711.74 -6.94%
46. 2018/11/30 $208.25 $1.32 8.70% 2,760.17 1.79%
47. 2018/12/31 $194.67 -6.52% 2,506.85 -9.18%
48. 2019/01/31 $187.11 -3.88% 2,704.10 7.87%
49. 2019/02/28 $190.08 $1.45 2.36% 2,784.49 2.97%
50. 2019/03/31 $189.98 -0.05% 2,834.40 1.79%
51. 2019/04/30 $179.32 -5.61% 2,945.83 3.93%
52. 2019/05/31 $166.70 $1.45 -6.23% 2,752.06 -6.58%
53. 2019/06/30 $184.28 10.55% 2,941.76 6.89%
54. 2019/07/31 $186.58 1.25% 2,980.38 1.31%
55. 2019/08/31 $208.62 $1.45 12.59% 2,926.46 -1.81%
56. 2019/09/30 $193.51 -7.24% 2,976.74 1.72%
57. 2019/10/31 $213.25 10.20% 3,037.56 2.04%
58. 2019/11/30 $234.72 $1.45 10.75% 3,140.98 3.40%
59. 2019/12/31 $241.07 2.71% 3,230.78 2.86%
平均 (R): 1.23% 0.88%
Standard deviation: 6.81% 3.45%

ソース: Amgen Inc. (NASDAQ:AMGN) | CAPM (www.stock-analysis-on.net)

すべて表示する

1 分割および株式配当を調整した、1株当たりの米ドルでのデータ。

2 期間tにおけるAMGNの普通株の収益率。

3 期間tにおける S&P 500(市場ポートフォリオプロキシ)の収益率。


分散と共分散

Amgen Inc.、リターンの分散と共分散の計算

Microsoft Excel LibreOffice Calc
t Date RAMGN,t RS&P 500,t (RAMGN,tRAMGN)2 (RS&P 500,tRS&P 500)2 (RAMGN,tRAMGN)×(RS&P 500,tRS&P 500)
1. 2015/02/28 4.10% 5.49% 8.26 21.25 13.25
2. 2015/03/31 1.35% -1.74% 0.01 6.86 -0.32
3. 2015/04/30 -1.21% 0.85% 5.97 0.00 0.07
. . . . . . .
. . . . . . .
. . . . . . .
58. 2019/11/30 10.75% 3.40% 90.59 6.38 24.04
59. 2019/12/31 2.71% 2.86% 2.18 3.92 2.92
合計 (Σ): 2,691.25 688.77 762.73
t Date RAMGN,t RS&P 500,t (RAMGN,tRAMGN)2 (RS&P 500,tRS&P 500)2 (RAMGN,tRAMGN)×(RS&P 500,tRS&P 500)
1. 2015/02/28 4.10% 5.49% 8.26 21.25 13.25
2. 2015/03/31 1.35% -1.74% 0.01 6.86 -0.32
3. 2015/04/30 -1.21% 0.85% 5.97 0.00 0.07
4. 2015/05/31 -0.54% 1.05% 3.15 0.03 -0.30
5. 2015/06/30 -1.75% -2.10% 8.90 8.88 8.89
6. 2015/07/31 15.03% 1.97% 190.36 1.20 15.11
7. 2015/08/31 -13.60% -6.26% 220.00 50.94 105.86
8. 2015/09/30 -8.87% -2.64% 101.97 12.41 35.58
9. 2015/10/31 14.36% 8.30% 172.34 55.04 97.40
10. 2015/11/30 2.35% 0.05% 1.24 0.69 -0.92
11. 2015/12/31 0.76% -1.75% 0.22 6.93 1.23
12. 2016/01/31 -5.91% -5.07% 51.04 35.43 42.53
13. 2016/02/29 -6.19% -0.41% 55.02 1.67 9.58
14. 2016/03/31 5.38% 6.60% 17.19 32.72 23.72
15. 2016/04/30 5.58% 0.27% 18.94 0.37 -2.65
16. 2016/05/31 0.41% 1.53% 0.67 0.43 -0.54
17. 2016/06/30 -3.67% 0.09% 24.03 0.62 3.86
18. 2016/07/31 13.07% 3.56% 140.09 7.19 31.74
19. 2016/08/31 -0.56% -0.12% 3.22 1.00 1.80
20. 2016/09/30 -1.91% -0.12% 9.87 1.01 3.15
21. 2016/10/31 -15.38% -1.94% 275.79 7.96 46.86
22. 2016/11/30 2.77% 3.42% 2.37 6.44 3.91
23. 2016/12/31 1.49% 1.82% 0.07 0.89 0.24
24. 2017/01/31 7.16% 1.79% 35.17 0.83 5.39
25. 2017/02/28 13.40% 3.72% 148.18 8.07 34.58
26. 2017/03/31 -7.06% -0.04% 68.70 0.84 7.61
27. 2017/04/30 -0.46% 0.91% 2.85 0.00 -0.05
28. 2017/05/31 -4.24% 1.16% 29.96 0.08 -1.52
29. 2017/06/30 10.94% 0.48% 94.37 0.16 -3.86
30. 2017/07/31 1.32% 1.93% 0.01 1.11 0.10
31. 2017/08/31 2.53% 0.05% 1.68 0.68 -1.07
32. 2017/09/30 4.88% 1.93% 13.34 1.10 3.84
33. 2017/10/31 -6.02% 2.22% 52.61 1.79 -9.72
34. 2017/11/30 0.91% 2.81% 0.10 3.72 -0.62
35. 2017/12/31 -1.00% 0.98% 4.98 0.01 -0.23
36. 2018/01/31 6.99% 5.62% 33.14 22.46 27.28
37. 2018/02/28 -0.52% -3.89% 3.05 22.79 8.34
38. 2018/03/31 -7.23% -2.69% 71.60 12.73 30.19
39. 2018/04/30 2.35% 0.27% 1.25 0.37 -0.68
40. 2018/05/31 3.70% 2.16% 6.11 1.64 3.17
41. 2018/06/30 2.77% 0.48% 2.36 0.16 -0.61
42. 2018/07/31 6.48% 3.60% 27.55 7.41 14.29
43. 2018/08/31 2.33% 3.03% 1.21 4.61 2.36
44. 2018/09/30 3.74% 0.43% 6.32 0.20 -1.13
45. 2018/10/31 -7.00% -6.94% 67.65 61.14 64.32
46. 2018/11/30 8.70% 1.79% 55.86 0.82 6.78
47. 2018/12/31 -6.52% -9.18% 60.08 101.14 77.95
48. 2019/01/31 -3.88% 7.87% 26.15 48.85 -35.74
49. 2019/02/28 2.36% 2.97% 1.28 4.38 2.37
50. 2019/03/31 -0.05% 1.79% 1.65 0.83 -1.17
51. 2019/04/30 -5.61% 3.93% 46.80 9.32 -20.88
52. 2019/05/31 -6.23% -6.58% 55.64 55.61 55.62
53. 2019/06/30 10.55% 6.89% 86.78 36.17 56.02
54. 2019/07/31 1.25% 1.31% 0.00 0.19 0.01
55. 2019/08/31 12.59% -1.81% 129.04 7.23 -30.54
56. 2019/09/30 -7.24% 1.72% 71.79 0.70 -7.11
57. 2019/10/31 10.20% 2.04% 80.48 1.36 10.44
58. 2019/11/30 10.75% 3.40% 90.59 6.38 24.04
59. 2019/12/31 2.71% 2.86% 2.18 3.92 2.92
合計 (Σ): 2,691.25 688.77 762.73

Show all

VarianceAMGN = Σ(RAMGN,tRAMGN)2 ÷ (59 – 1)
= 2,691.25 ÷ (59 – 1)
= 46.40

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 688.77 ÷ (59 – 1)
= 11.88

CovarianceAMGN, S&P 500 = Σ(RAMGN,tRAMGN)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 762.73 ÷ (59 – 1)
= 13.15


体系的なリスク推定 (β)

Microsoft Excel LibreOffice Calc
VarianceAMGN 46.40
VarianceS&P 500 11.88
CovarianceAMGN, S&P 500 13.15
相関係数AMGN, S&P 5001 0.56
βAMGN2 1.11
αAMGN3 0.26%

ソース: Amgen Inc. (NASDAQ:AMGN) | CAPM (www.stock-analysis-on.net)

計算

1 相関係数AMGN, S&P 500
= CovarianceAMGN, S&P 500 ÷ (Standard deviationAMGN × Standard deviationS&P 500)
= 13.15 ÷ (6.81% × 3.45%)
= 0.56

2 βAMGN
= CovarianceAMGN, S&P 500 ÷ VarianceS&P 500
= 13.15 ÷ 11.88
= 1.11

3 αAMGN
= 平均AMGN – βAMGN × 平均S&P 500
= 1.23%1.11 × 0.88%
= 0.26%


期待収益率

Microsoft Excel LibreOffice Calc
仮定
LT Treasury Compositeの収益率1 RF 1.61%
市場ポートフォリオの期待収益率2 E(RM) 12.35%
アムジェンの普通株の体系的なリスク βAMGN 1.11
 
アムジェンの普通株式の期待収益率3 E(RAMGN) 13.50%

ソース: Amgen Inc. (NASDAQ:AMGN) | CAPM (www.stock-analysis-on.net)

1 すべての未処理の固定クーポン米国財務省証券の10年未満で返済されない、または呼び出すことができない、加重されていない入札利回りの平均(リスクなしの収益率)。

2 詳細を見る »

3 E(RAMGN) = RF + βAMGN [E(RM) – RF]
= 1.61% + 1.11 [12.35%1.61%]
= 13.50%