資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Amgen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
Amgen Inc.、月間収益率
| Amgen Inc. (AMGN) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格AMGN,t1 | 配当AMGN,t1 | RAMGN,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2021/01/31 | $241.43 | 3,714.24 | ||||
| 1. | 2021/02/28 | $224.92 | $1.76 | -6.11% | 3,811.15 | 2.61% |
| 2. | 2021/03/31 | $248.81 | 10.62% | 3,972.89 | 4.24% | |
| 3. | 2021/04/30 | $239.64 | -3.69% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025/11/30 | $345.46 | $2.38 | 16.56% | 6,849.09 | 0.13% |
| 59. | 2025/12/31 | $327.31 | -5.25% | 6,845.50 | -0.05% | |
| 平均 (R): | 1.02% | 1.14% | ||||
| 標準偏差： | 6.94% | 4.37% | ||||
| Amgen Inc. (AMGN) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格AMGN,t1 | 配当AMGN,t1 | RAMGN,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2021/01/31 | $241.43 | 3,714.24 | ||||
| 1. | 2021/02/28 | $224.92 | $1.76 | -6.11% | 3,811.15 | 2.61% |
| 2. | 2021/03/31 | $248.81 | 10.62% | 3,972.89 | 4.24% | |
| 3. | 2021/04/30 | $239.64 | -3.69% | 4,181.17 | 5.24% | |
| 4. | 2021/05/31 | $237.94 | $1.76 | 0.03% | 4,204.11 | 0.55% |
| 5. | 2021/06/30 | $243.75 | 2.44% | 4,297.50 | 2.22% | |
| 6. | 2021/07/31 | $241.54 | -0.91% | 4,395.26 | 2.27% | |
| 7. | 2021/08/31 | $225.53 | $1.76 | -5.90% | 4,522.68 | 2.90% |
| 8. | 2021/09/30 | $212.65 | -5.71% | 4,307.54 | -4.76% | |
| 9. | 2021/10/31 | $206.97 | -2.67% | 4,605.38 | 6.91% | |
| 10. | 2021/11/30 | $198.88 | $1.76 | -3.06% | 4,567.00 | -0.83% |
| 11. | 2021/12/31 | $224.97 | 13.12% | 4,766.18 | 4.36% | |
| 12. | 2022/01/31 | $227.14 | 0.96% | 4,515.55 | -5.26% | |
| 13. | 2022/02/28 | $226.48 | $1.94 | 0.56% | 4,373.94 | -3.14% |
| 14. | 2022/03/31 | $241.82 | 6.77% | 4,530.41 | 3.58% | |
| 15. | 2022/04/30 | $233.19 | -3.57% | 4,131.93 | -8.80% | |
| 16. | 2022/05/31 | $256.74 | $1.94 | 10.93% | 4,132.15 | 0.01% |
| 17. | 2022/06/30 | $243.30 | -5.23% | 3,785.38 | -8.39% | |
| 18. | 2022/07/31 | $247.47 | 1.71% | 4,130.29 | 9.11% | |
| 19. | 2022/08/31 | $240.30 | $1.94 | -2.11% | 3,955.00 | -4.24% |
| 20. | 2022/09/30 | $225.40 | -6.20% | 3,585.62 | -9.34% | |
| 21. | 2022/10/31 | $270.35 | 19.94% | 3,871.98 | 7.99% | |
| 22. | 2022/11/30 | $286.40 | $1.94 | 6.65% | 4,080.11 | 5.38% |
| 23. | 2022/12/31 | $262.64 | -8.30% | 3,839.50 | -5.90% | |
| 24. | 2023/01/31 | $252.40 | -3.90% | 4,076.60 | 6.18% | |
| 25. | 2023/02/28 | $231.66 | $2.13 | -7.37% | 3,970.15 | -2.61% |
| 26. | 2023/03/31 | $241.75 | 4.36% | 4,109.31 | 3.51% | |
| 27. | 2023/04/30 | $239.74 | -0.83% | 4,169.48 | 1.46% | |
| 28. | 2023/05/31 | $220.65 | $2.13 | -7.07% | 4,179.83 | 0.25% |
| 29. | 2023/06/30 | $222.02 | 0.62% | 4,376.86 | 4.71% | |
| 30. | 2023/07/31 | $234.15 | 5.46% | 4,588.96 | 4.85% | |
| 31. | 2023/08/31 | $256.34 | $2.13 | 10.39% | 4,507.66 | -1.77% |
| 32. | 2023/09/30 | $268.76 | 4.85% | 4,288.05 | -4.87% | |
| 33. | 2023/10/31 | $255.70 | -4.86% | 4,193.80 | -2.20% | |
| 34. | 2023/11/30 | $269.64 | $2.13 | 6.28% | 4,567.80 | 8.92% |
| 35. | 2023/12/31 | $288.02 | 6.82% | 4,769.83 | 4.42% | |
| 36. | 2024/01/31 | $314.26 | 9.11% | 4,845.65 | 1.59% | |
| 37. | 2024/02/29 | $273.83 | $2.25 | -12.15% | 5,096.27 | 5.17% |
| 38. | 2024/03/31 | $284.32 | 3.83% | 5,254.35 | 3.10% | |
| 39. | 2024/04/30 | $273.94 | -3.65% | 5,035.69 | -4.16% | |
| 40. | 2024/05/31 | $305.85 | $2.25 | 12.47% | 5,277.51 | 4.80% |
| 41. | 2024/06/30 | $312.45 | 2.16% | 5,460.48 | 3.47% | |
| 42. | 2024/07/31 | $332.47 | 6.41% | 5,522.30 | 1.13% | |
| 43. | 2024/08/31 | $333.83 | $2.25 | 1.09% | 5,648.40 | 2.28% |
| 44. | 2024/09/30 | $322.21 | -3.48% | 5,762.48 | 2.02% | |
| 45. | 2024/10/31 | $320.16 | -0.64% | 5,705.45 | -0.99% | |
| 46. | 2024/11/30 | $282.87 | $2.25 | -10.94% | 6,032.38 | 5.73% |
| 47. | 2024/12/31 | $260.64 | -7.86% | 5,881.63 | -2.50% | |
| 48. | 2025/01/31 | $285.42 | 9.51% | 6,040.53 | 2.70% | |
| 49. | 2025/02/28 | $308.06 | $2.38 | 8.77% | 5,954.50 | -1.42% |
| 50. | 2025/03/31 | $311.55 | 1.13% | 5,611.85 | -5.75% | |
| 51. | 2025/04/30 | $290.92 | -6.62% | 5,569.06 | -0.76% | |
| 52. | 2025/05/31 | $288.18 | $2.38 | -0.12% | 5,911.69 | 6.15% |
| 53. | 2025/06/30 | $279.21 | -3.11% | 6,204.95 | 4.96% | |
| 54. | 2025/07/31 | $295.10 | 5.69% | 6,339.39 | 2.17% | |
| 55. | 2025/08/31 | $287.71 | $2.38 | -1.70% | 6,460.26 | 1.91% |
| 56. | 2025/09/30 | $282.20 | -1.92% | 6,688.46 | 3.53% | |
| 57. | 2025/10/31 | $298.43 | 5.75% | 6,840.20 | 2.27% | |
| 58. | 2025/11/30 | $345.46 | $2.38 | 16.56% | 6,849.09 | 0.13% |
| 59. | 2025/12/31 | $327.31 | -5.25% | 6,845.50 | -0.05% | |
| 平均 (R): | 1.02% | 1.14% | ||||
| 標準偏差： | 6.94% | 4.37% | ||||
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AMGN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
Amgen Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RAMGN,t | RS&P 500,t | (RAMGN,t–RAMGN)2 | (RS&P 500,t–RS&P 500)2 | (RAMGN,t–RAMGN)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021/02/28 | -6.11% | 2.61% | 50.80 | 2.17 | -10.50 |
| 2. | 2021/03/31 | 10.62% | 4.24% | 92.23 | 9.66 | 29.85 |
| 3. | 2021/04/30 | -3.69% | 5.24% | 22.12 | 16.86 | -19.31 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025/11/30 | 16.56% | 0.13% | 241.45 | 1.01 | -15.63 |
| 59. | 2025/12/31 | -5.25% | -0.05% | 39.33 | 1.41 | 7.45 |
| トータル (Σ): | 2,790.10 | 1,108.23 | 526.96 | |||
| t | 日付 | RAMGN,t | RS&P 500,t | (RAMGN,t–RAMGN)2 | (RS&P 500,t–RS&P 500)2 | (RAMGN,t–RAMGN)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021/02/28 | -6.11% | 2.61% | 50.80 | 2.17 | -10.50 |
| 2. | 2021/03/31 | 10.62% | 4.24% | 92.23 | 9.66 | 29.85 |
| 3. | 2021/04/30 | -3.69% | 5.24% | 22.12 | 16.86 | -19.31 |
| 4. | 2021/05/31 | 0.03% | 0.55% | 0.99 | 0.35 | 0.58 |
| 5. | 2021/06/30 | 2.44% | 2.22% | 2.03 | 1.18 | 1.55 |
| 6. | 2021/07/31 | -0.91% | 2.27% | 3.70 | 1.30 | -2.19 |
| 7. | 2021/08/31 | -5.90% | 2.90% | 47.85 | 3.11 | -12.19 |
| 8. | 2021/09/30 | -5.71% | -4.76% | 45.28 | 34.73 | 39.65 |
| 9. | 2021/10/31 | -2.67% | 6.91% | 13.61 | 33.39 | -21.32 |
| 10. | 2021/11/30 | -3.06% | -0.83% | 16.62 | 3.88 | 8.03 |
| 11. | 2021/12/31 | 13.12% | 4.36% | 146.43 | 10.40 | 39.03 |
| 12. | 2022/01/31 | 0.96% | -5.26% | 0.00 | 40.89 | 0.34 |
| 13. | 2022/02/28 | 0.56% | -3.14% | 0.21 | 18.25 | 1.94 |
| 14. | 2022/03/31 | 6.77% | 3.58% | 33.12 | 5.96 | 14.05 |
| 15. | 2022/04/30 | -3.57% | -8.80% | 21.04 | 98.64 | 45.55 |
| 16. | 2022/05/31 | 10.93% | 0.01% | 98.27 | 1.28 | -11.21 |
| 17. | 2022/06/30 | -5.23% | -8.39% | 39.10 | 90.79 | 59.58 |
| 18. | 2022/07/31 | 1.71% | 9.11% | 0.48 | 63.61 | 5.55 |
| 19. | 2022/08/31 | -2.11% | -4.24% | 9.80 | 28.95 | 16.85 |
| 20. | 2022/09/30 | -6.20% | -9.34% | 52.11 | 109.74 | 75.62 |
| 21. | 2022/10/31 | 19.94% | 7.99% | 358.14 | 46.93 | 129.64 |
| 22. | 2022/11/30 | 6.65% | 5.38% | 31.77 | 17.97 | 23.89 |
| 23. | 2022/12/31 | -8.30% | -5.90% | 86.75 | 49.47 | 65.51 |
| 24. | 2023/01/31 | -3.90% | 6.18% | 24.17 | 25.39 | -24.78 |
| 25. | 2023/02/28 | -7.37% | -2.61% | 70.41 | 14.04 | 31.44 |
| 26. | 2023/03/31 | 4.36% | 3.51% | 11.14 | 5.61 | 7.91 |
| 27. | 2023/04/30 | -0.83% | 1.46% | 3.42 | 0.11 | -0.61 |
| 28. | 2023/05/31 | -7.07% | 0.25% | 65.48 | 0.79 | 7.19 |
| 29. | 2023/06/30 | 0.62% | 4.71% | 0.16 | 12.80 | -1.42 |
| 30. | 2023/07/31 | 5.46% | 4.85% | 19.76 | 13.76 | 16.49 |
| 31. | 2023/08/31 | 10.39% | -1.77% | 87.77 | 8.46 | -27.24 |
| 32. | 2023/09/30 | 4.85% | -4.87% | 14.65 | 36.10 | -22.99 |
| 33. | 2023/10/31 | -4.86% | -2.20% | 34.54 | 11.12 | 19.60 |
| 34. | 2023/11/30 | 6.28% | 8.92% | 27.74 | 60.56 | 40.99 |
| 35. | 2023/12/31 | 6.82% | 4.42% | 33.62 | 10.80 | 19.06 |
| 36. | 2024/01/31 | 9.11% | 1.59% | 65.49 | 0.21 | 3.67 |
| 37. | 2024/02/29 | -12.15% | 5.17% | 173.37 | 16.29 | -53.14 |
| 38. | 2024/03/31 | 3.83% | 3.10% | 7.91 | 3.86 | 5.53 |
| 39. | 2024/04/30 | -3.65% | -4.16% | 21.80 | 28.06 | 24.73 |
| 40. | 2024/05/31 | 12.47% | 4.80% | 131.15 | 13.44 | 41.98 |
| 41. | 2024/06/30 | 2.16% | 3.47% | 1.30 | 5.43 | 2.66 |
| 42. | 2024/07/31 | 6.41% | 1.13% | 29.05 | 0.00 | -0.02 |
| 43. | 2024/08/31 | 1.09% | 2.28% | 0.00 | 1.32 | 0.08 |
| 44. | 2024/09/30 | -3.48% | 2.02% | 20.24 | 0.78 | -3.97 |
| 45. | 2024/10/31 | -0.64% | -0.99% | 2.74 | 4.52 | 3.52 |
| 46. | 2024/11/30 | -10.94% | 5.73% | 143.10 | 21.10 | -54.96 |
| 47. | 2024/12/31 | -7.86% | -2.50% | 78.79 | 13.21 | 32.27 |
| 48. | 2025/01/31 | 9.51% | 2.70% | 72.07 | 2.45 | 13.29 |
| 49. | 2025/02/28 | 8.77% | -1.42% | 60.03 | 6.56 | -19.84 |
| 50. | 2025/03/31 | 1.13% | -5.75% | 0.01 | 47.48 | -0.79 |
| 51. | 2025/04/30 | -6.62% | -0.76% | 58.36 | 3.60 | 14.50 |
| 52. | 2025/05/31 | -0.12% | 6.15% | 1.30 | 25.16 | -5.73 |
| 53. | 2025/06/30 | -3.11% | 4.96% | 17.06 | 14.63 | -15.80 |
| 54. | 2025/07/31 | 5.69% | 2.17% | 21.84 | 1.06 | 4.82 |
| 55. | 2025/08/31 | -1.70% | 1.91% | 7.37 | 0.59 | -2.09 |
| 56. | 2025/09/30 | -1.92% | 3.53% | 8.60 | 5.74 | -7.03 |
| 57. | 2025/10/31 | 5.75% | 2.27% | 22.41 | 1.28 | 5.36 |
| 58. | 2025/11/30 | 16.56% | 0.13% | 241.45 | 1.01 | -15.63 |
| 59. | 2025/12/31 | -5.25% | -0.05% | 39.33 | 1.41 | 7.45 |
| トータル (Σ): | 2,790.10 | 1,108.23 | 526.96 | |||
すべて表示
分散AMGN = Σ(RAMGN,t–RAMGN)2 ÷ (59 – 1)
= 2,790.10 ÷ (59 – 1)
= 48.11
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
共 分散AMGN, S&P 500 = Σ(RAMGN,t–RAMGN)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 526.96 ÷ (59 – 1)
= 9.09
システマティックなリスク推定 (β)
| 分散AMGN | 48.11 |
| 分散S&P 500 | 19.11 |
| 共 分散AMGN, S&P 500 | 9.09 |
| 相関係数AMGN, S&P 5001 | 0.30 |
| βAMGN2 | 0.48 |
| αAMGN3 | 0.48% |
計算
1 相関係数AMGN, S&P 500
= 共 分散AMGN, S&P 500 ÷ (標準偏差AMGN × 標準偏差S&P 500)
= 9.09 ÷ (6.94% × 4.37%)
= 0.30
2 βAMGN
= 共 分散AMGN, S&P 500 ÷ 分散S&P 500
= 9.09 ÷ 19.11
= 0.48
3 αAMGN
= 平均AMGN – βAMGN × 平均S&P 500
= 1.02% – 0.48 × 1.14%
= 0.48%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.84% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 17.37% |
| 普通株式 Amgen システマティックリスク | βAMGN | 0.48 |
| アムジェンの普通株式の期待収益率3 | E(RAMGN) | 10.80% |
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(RAMGN) = RF + βAMGN [E(RM) – RF]
= 4.84% + 0.48 [17.37% – 4.84%]
= 10.80%