資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Charter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
Charter Communications Inc.、月間収益率
| Charter Communications Inc. (CHTR) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格CHTR,t1 | 配当CHTR,t1 | RCHTR,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2020/01/31 | $517.46 | 3,225.52 | ||||
| 1. | 2020/02/29 | $493.17 | -4.69% | 2,954.22 | -8.41% | |
| 2. | 2020/03/31 | $436.31 | -11.53% | 2,584.59 | -12.51% | |
| 3. | 2020/04/30 | $495.23 | 13.50% | 2,912.43 | 12.68% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024/11/30 | $396.97 | 21.17% | 6,032.38 | 5.73% | |
| 59. | 2024/12/31 | $342.77 | -13.65% | 5,881.63 | -2.50% | |
| 平均 (R): | -0.12% | 1.16% | ||||
| 標準偏差： | 10.77% | 5.28% | ||||
| Charter Communications Inc. (CHTR) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格CHTR,t1 | 配当CHTR,t1 | RCHTR,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2020/01/31 | $517.46 | 3,225.52 | ||||
| 1. | 2020/02/29 | $493.17 | -4.69% | 2,954.22 | -8.41% | |
| 2. | 2020/03/31 | $436.31 | -11.53% | 2,584.59 | -12.51% | |
| 3. | 2020/04/30 | $495.23 | 13.50% | 2,912.43 | 12.68% | |
| 4. | 2020/05/31 | $544.00 | 9.85% | 3,044.31 | 4.53% | |
| 5. | 2020/06/30 | $510.04 | -6.24% | 3,100.29 | 1.84% | |
| 6. | 2020/07/31 | $580.00 | 13.72% | 3,271.12 | 5.51% | |
| 7. | 2020/08/31 | $615.61 | 6.14% | 3,500.31 | 7.01% | |
| 8. | 2020/09/30 | $624.34 | 1.42% | 3,363.00 | -3.92% | |
| 9. | 2020/10/31 | $603.82 | -3.29% | 3,269.96 | -2.77% | |
| 10. | 2020/11/30 | $651.99 | 7.98% | 3,621.63 | 10.75% | |
| 11. | 2020/12/31 | $661.55 | 1.47% | 3,756.07 | 3.71% | |
| 12. | 2021/01/31 | $607.56 | -8.16% | 3,714.24 | -1.11% | |
| 13. | 2021/02/28 | $613.42 | 0.96% | 3,811.15 | 2.61% | |
| 14. | 2021/03/31 | $617.02 | 0.59% | 3,972.89 | 4.24% | |
| 15. | 2021/04/30 | $673.45 | 9.15% | 4,181.17 | 5.24% | |
| 16. | 2021/05/31 | $694.53 | 3.13% | 4,204.11 | 0.55% | |
| 17. | 2021/06/30 | $721.45 | 3.88% | 4,297.50 | 2.22% | |
| 18. | 2021/07/31 | $744.05 | 3.13% | 4,395.26 | 2.27% | |
| 19. | 2021/08/31 | $816.66 | 9.76% | 4,522.68 | 2.90% | |
| 20. | 2021/09/30 | $727.56 | -10.91% | 4,307.54 | -4.76% | |
| 21. | 2021/10/31 | $674.89 | -7.24% | 4,605.38 | 6.91% | |
| 22. | 2021/11/30 | $646.28 | -4.24% | 4,567.00 | -0.83% | |
| 23. | 2021/12/31 | $651.97 | 0.88% | 4,766.18 | 4.36% | |
| 24. | 2022/01/31 | $593.34 | -8.99% | 4,515.55 | -5.26% | |
| 25. | 2022/02/28 | $601.78 | 1.42% | 4,373.94 | -3.14% | |
| 26. | 2022/03/31 | $545.52 | -9.35% | 4,530.41 | 3.58% | |
| 27. | 2022/04/30 | $428.49 | -21.45% | 4,131.93 | -8.80% | |
| 28. | 2022/05/31 | $506.93 | 18.31% | 4,132.15 | 0.01% | |
| 29. | 2022/06/30 | $468.53 | -7.58% | 3,785.38 | -8.39% | |
| 30. | 2022/07/31 | $432.10 | -7.78% | 4,130.29 | 9.11% | |
| 31. | 2022/08/31 | $412.63 | -4.51% | 3,955.00 | -4.24% | |
| 32. | 2022/09/30 | $303.35 | -26.48% | 3,585.62 | -9.34% | |
| 33. | 2022/10/31 | $367.62 | 21.19% | 3,871.98 | 7.99% | |
| 34. | 2022/11/30 | $391.29 | 6.44% | 4,080.11 | 5.38% | |
| 35. | 2022/12/31 | $339.10 | -13.34% | 3,839.50 | -5.90% | |
| 36. | 2023/01/31 | $384.31 | 13.33% | 4,076.60 | 6.18% | |
| 37. | 2023/02/28 | $367.61 | -4.35% | 3,970.15 | -2.61% | |
| 38. | 2023/03/31 | $357.61 | -2.72% | 4,109.31 | 3.51% | |
| 39. | 2023/04/30 | $368.70 | 3.10% | 4,169.48 | 1.46% | |
| 40. | 2023/05/31 | $326.15 | -11.54% | 4,179.83 | 0.25% | |
| 41. | 2023/06/30 | $367.37 | 12.64% | 4,376.86 | 4.71% | |
| 42. | 2023/07/31 | $405.19 | 10.29% | 4,588.96 | 4.85% | |
| 43. | 2023/08/31 | $438.12 | 8.13% | 4,507.66 | -1.77% | |
| 44. | 2023/09/30 | $439.82 | 0.39% | 4,288.05 | -4.87% | |
| 45. | 2023/10/31 | $402.80 | -8.42% | 4,193.80 | -2.20% | |
| 46. | 2023/11/30 | $400.13 | -0.66% | 4,567.80 | 8.92% | |
| 47. | 2023/12/31 | $388.68 | -2.86% | 4,769.83 | 4.42% | |
| 48. | 2024/01/31 | $370.71 | -4.62% | 4,845.65 | 1.59% | |
| 49. | 2024/02/29 | $293.93 | -20.71% | 5,096.27 | 5.17% | |
| 50. | 2024/03/31 | $290.63 | -1.12% | 5,254.35 | 3.10% | |
| 51. | 2024/04/30 | $255.94 | -11.94% | 5,035.69 | -4.16% | |
| 52. | 2024/05/31 | $287.12 | 12.18% | 5,277.51 | 4.80% | |
| 53. | 2024/06/30 | $298.96 | 4.12% | 5,460.48 | 3.47% | |
| 54. | 2024/07/31 | $379.72 | 27.01% | 5,522.30 | 1.13% | |
| 55. | 2024/08/31 | $347.54 | -8.47% | 5,648.40 | 2.28% | |
| 56. | 2024/09/30 | $324.08 | -6.75% | 5,762.48 | 2.02% | |
| 57. | 2024/10/31 | $327.61 | 1.09% | 5,705.45 | -0.99% | |
| 58. | 2024/11/30 | $396.97 | 21.17% | 6,032.38 | 5.73% | |
| 59. | 2024/12/31 | $342.77 | -13.65% | 5,881.63 | -2.50% | |
| 平均 (R): | -0.12% | 1.16% | ||||
| 標準偏差： | 10.77% | 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におけるCHTR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
Charter Communications Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RCHTR,t | RS&P 500,t | (RCHTR,t–RCHTR)2 | (RS&P 500,t–RS&P 500)2 | (RCHTR,t–RCHTR)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020/02/29 | -4.69% | -8.41% | 20.90 | 91.63 | 43.76 |
| 2. | 2020/03/31 | -11.53% | -12.51% | 130.12 | 186.96 | 155.97 |
| 3. | 2020/04/30 | 13.50% | 12.68% | 185.69 | 132.78 | 157.02 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024/11/30 | 21.17% | 5.73% | 453.44 | 20.87 | 97.29 |
| 59. | 2024/12/31 | -13.65% | -2.50% | 183.08 | 13.40 | 49.53 |
| トータル (Σ): | 6,722.49 | 1,618.62 | 1,802.15 | |||
| t | 日付 | RCHTR,t | RS&P 500,t | (RCHTR,t–RCHTR)2 | (RS&P 500,t–RS&P 500)2 | (RCHTR,t–RCHTR)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020/02/29 | -4.69% | -8.41% | 20.90 | 91.63 | 43.76 |
| 2. | 2020/03/31 | -11.53% | -12.51% | 130.12 | 186.96 | 155.97 |
| 3. | 2020/04/30 | 13.50% | 12.68% | 185.69 | 132.78 | 157.02 |
| 4. | 2020/05/31 | 9.85% | 4.53% | 99.41 | 11.34 | 33.57 |
| 5. | 2020/06/30 | -6.24% | 1.84% | 37.45 | 0.46 | -4.15 |
| 6. | 2020/07/31 | 13.72% | 5.51% | 191.52 | 18.91 | 60.18 |
| 7. | 2020/08/31 | 6.14% | 7.01% | 39.22 | 34.17 | 36.60 |
| 8. | 2020/09/30 | 1.42% | -3.92% | 2.37 | 25.85 | -7.83 |
| 9. | 2020/10/31 | -3.29% | -2.77% | 10.01 | 15.43 | 12.43 |
| 10. | 2020/11/30 | 7.98% | 10.75% | 65.61 | 92.03 | 77.71 |
| 11. | 2020/12/31 | 1.47% | 3.71% | 2.52 | 6.51 | 4.05 |
| 12. | 2021/01/31 | -8.16% | -1.11% | 64.62 | 5.18 | 18.29 |
| 13. | 2021/02/28 | 0.96% | 2.61% | 1.18 | 2.10 | 1.57 |
| 14. | 2021/03/31 | 0.59% | 4.24% | 0.50 | 9.50 | 2.19 |
| 15. | 2021/04/30 | 9.15% | 5.24% | 85.90 | 16.66 | 37.83 |
| 16. | 2021/05/31 | 3.13% | 0.55% | 10.58 | 0.38 | -1.99 |
| 17. | 2021/06/30 | 3.88% | 2.22% | 15.99 | 1.12 | 4.24 |
| 18. | 2021/07/31 | 3.13% | 2.27% | 10.60 | 1.24 | 3.62 |
| 19. | 2021/08/31 | 9.76% | 2.90% | 97.64 | 3.02 | 17.17 |
| 20. | 2021/09/30 | -10.91% | -4.76% | 116.37 | 35.02 | 63.84 |
| 21. | 2021/10/31 | -7.24% | 6.91% | 50.65 | 33.10 | -40.94 |
| 22. | 2021/11/30 | -4.24% | -0.83% | 16.95 | 3.98 | 8.21 |
| 23. | 2021/12/31 | 0.88% | 4.36% | 1.01 | 10.24 | 3.21 |
| 24. | 2022/01/31 | -8.99% | -5.26% | 78.68 | 41.21 | 56.94 |
| 25. | 2022/02/28 | 1.42% | -3.14% | 2.39 | 18.47 | -6.64 |
| 26. | 2022/03/31 | -9.35% | 3.58% | 85.13 | 5.84 | -22.29 |
| 27. | 2022/04/30 | -21.45% | -8.80% | 454.98 | 99.14 | 212.38 |
| 28. | 2022/05/31 | 18.31% | 0.01% | 339.62 | 1.34 | -21.30 |
| 29. | 2022/06/30 | -7.58% | -8.39% | 55.54 | 91.26 | 71.19 |
| 30. | 2022/07/31 | -7.78% | 9.11% | 58.56 | 63.21 | -60.84 |
| 31. | 2022/08/31 | -4.51% | -4.24% | 19.21 | 29.22 | 23.69 |
| 32. | 2022/09/30 | -26.48% | -9.34% | 694.91 | 110.27 | 276.81 |
| 33. | 2022/10/31 | 21.19% | 7.99% | 454.09 | 46.58 | 145.44 |
| 34. | 2022/11/30 | 6.44% | 5.38% | 43.05 | 17.76 | 27.65 |
| 35. | 2022/12/31 | -13.34% | -5.90% | 174.64 | 49.82 | 93.28 |
| 36. | 2023/01/31 | 13.33% | 6.18% | 181.04 | 25.14 | 67.46 |
| 37. | 2023/02/28 | -4.35% | -2.61% | 17.83 | 14.23 | 15.93 |
| 38. | 2023/03/31 | -2.72% | 3.51% | 6.75 | 5.49 | -6.09 |
| 39. | 2023/04/30 | 3.10% | 1.46% | 10.39 | 0.09 | 0.98 |
| 40. | 2023/05/31 | -11.54% | 0.25% | 130.37 | 0.83 | 10.43 |
| 41. | 2023/06/30 | 12.64% | 4.71% | 162.84 | 12.62 | 45.33 |
| 42. | 2023/07/31 | 10.29% | 4.85% | 108.52 | 13.58 | 38.38 |
| 43. | 2023/08/31 | 8.13% | -1.77% | 68.06 | 8.60 | -24.20 |
| 44. | 2023/09/30 | 0.39% | -4.87% | 0.26 | 36.40 | -3.08 |
| 45. | 2023/10/31 | -8.42% | -2.20% | 68.80 | 11.28 | 27.86 |
| 46. | 2023/11/30 | -0.66% | 8.92% | 0.29 | 60.17 | -4.19 |
| 47. | 2023/12/31 | -2.86% | 4.42% | 7.50 | 10.64 | -8.93 |
| 48. | 2024/01/31 | -4.62% | 1.59% | 20.26 | 0.18 | -1.93 |
| 49. | 2024/02/29 | -20.71% | 5.17% | 423.91 | 16.09 | -82.58 |
| 50. | 2024/03/31 | -1.12% | 3.10% | 1.00 | 3.77 | -1.94 |
| 51. | 2024/04/30 | -11.94% | -4.16% | 139.56 | 28.33 | 62.88 |
| 52. | 2024/05/31 | 12.18% | 4.80% | 151.42 | 13.26 | 44.80 |
| 53. | 2024/06/30 | 4.12% | 3.47% | 18.03 | 5.32 | 9.79 |
| 54. | 2024/07/31 | 27.01% | 1.13% | 736.38 | 0.00 | -0.79 |
| 55. | 2024/08/31 | -8.47% | 2.28% | 69.76 | 1.26 | -9.37 |
| 56. | 2024/09/30 | -6.75% | 2.02% | 43.93 | 0.74 | -5.69 |
| 57. | 2024/10/31 | 1.09% | -0.99% | 1.47 | 4.63 | -2.61 |
| 58. | 2024/11/30 | 21.17% | 5.73% | 453.44 | 20.87 | 97.29 |
| 59. | 2024/12/31 | -13.65% | -2.50% | 183.08 | 13.40 | 49.53 |
| トータル (Σ): | 6,722.49 | 1,618.62 | 1,802.15 | |||
すべて表示
分散CHTR = Σ(RCHTR,t–RCHTR)2 ÷ (59 – 1)
= 6,722.49 ÷ (59 – 1)
= 115.91
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CHTR, S&P 500 = Σ(RCHTR,t–RCHTR)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,802.15 ÷ (59 – 1)
= 31.07
システマティックなリスク推定 (β)
| 分散CHTR | 115.91 |
| 分散S&P 500 | 27.91 |
| 共 分散CHTR, S&P 500 | 31.07 |
| 相関係数CHTR, S&P 5001 | 0.55 |
| βCHTR2 | 1.11 |
| αCHTR3 | -1.42% |
計算
1 相関係数CHTR, S&P 500
= 共 分散CHTR, S&P 500 ÷ (標準偏差CHTR × 標準偏差S&P 500)
= 31.07 ÷ (10.77% × 5.28%)
= 0.55
2 βCHTR
= 共 分散CHTR, S&P 500 ÷ 分散S&P 500
= 31.07 ÷ 27.91
= 1.11
3 αCHTR
= 平均CHTR – βCHTR × 平均S&P 500
= -0.12% – 1.11 × 1.16%
= -1.42%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.54% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 17.37% |
| 普通株式 Charter システマティックリスク | βCHTR | 1.11 |
| 勾戂普通株式の期待収益率3 | E(RCHTR) | 18.82% |
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(RCHTR) = RF + βCHTR [E(RM) – RF]
= 4.54% + 1.11 [17.37% – 4.54%]
= 18.82%