資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Comcast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
Comcast Corp.、月間収益率
| Comcast Corp. (CMCSA) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格CMCSA,t1 | 配当CMCSA,t1 | RCMCSA,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2020/01/31 | $43.19 | 3,225.52 | ||||
| 1. | 2020/02/29 | $40.43 | -6.39% | 2,954.22 | -8.41% | |
| 2. | 2020/03/31 | $34.38 | $0.23 | -14.40% | 2,584.59 | -12.51% |
| 3. | 2020/04/30 | $37.63 | 9.45% | 2,912.43 | 12.68% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024/11/30 | $43.19 | -1.10% | 6,032.38 | 5.73% | |
| 59. | 2024/12/31 | $37.53 | -13.10% | 5,881.63 | -2.50% | |
| 平均 (R): | 0.27% | 1.16% | ||||
| 標準偏差： | 7.81% | 5.28% | ||||
| Comcast Corp. (CMCSA) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格CMCSA,t1 | 配当CMCSA,t1 | RCMCSA,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2020/01/31 | $43.19 | 3,225.52 | ||||
| 1. | 2020/02/29 | $40.43 | -6.39% | 2,954.22 | -8.41% | |
| 2. | 2020/03/31 | $34.38 | $0.23 | -14.40% | 2,584.59 | -12.51% |
| 3. | 2020/04/30 | $37.63 | 9.45% | 2,912.43 | 12.68% | |
| 4. | 2020/05/31 | $39.60 | 5.24% | 3,044.31 | 4.53% | |
| 5. | 2020/06/30 | $38.98 | $0.23 | -0.98% | 3,100.29 | 1.84% |
| 6. | 2020/07/31 | $42.80 | 9.80% | 3,271.12 | 5.51% | |
| 7. | 2020/08/31 | $44.81 | 4.70% | 3,500.31 | 7.01% | |
| 8. | 2020/09/30 | $46.26 | 3.24% | 3,363.00 | -3.92% | |
| 9. | 2020/10/31 | $42.24 | $0.23 | -8.19% | 3,269.96 | -2.77% |
| 10. | 2020/11/30 | $50.24 | 18.94% | 3,621.63 | 10.75% | |
| 11. | 2020/12/31 | $52.40 | 4.30% | 3,756.07 | 3.71% | |
| 12. | 2021/01/31 | $49.57 | $0.23 | -4.96% | 3,714.24 | -1.11% |
| 13. | 2021/02/28 | $52.72 | 6.35% | 3,811.15 | 2.61% | |
| 14. | 2021/03/31 | $54.11 | 2.64% | 3,972.89 | 4.24% | |
| 15. | 2021/04/30 | $56.15 | $0.25 | 4.23% | 4,181.17 | 5.24% |
| 16. | 2021/05/31 | $57.34 | 2.12% | 4,204.11 | 0.55% | |
| 17. | 2021/06/30 | $57.02 | -0.56% | 4,297.50 | 2.22% | |
| 18. | 2021/07/31 | $58.83 | $0.25 | 3.61% | 4,395.26 | 2.27% |
| 19. | 2021/08/31 | $60.68 | 3.14% | 4,522.68 | 2.90% | |
| 20. | 2021/09/30 | $55.93 | -7.83% | 4,307.54 | -4.76% | |
| 21. | 2021/10/31 | $51.43 | $0.25 | -7.60% | 4,605.38 | 6.91% |
| 22. | 2021/11/30 | $49.98 | -2.82% | 4,567.00 | -0.83% | |
| 23. | 2021/12/31 | $50.33 | 0.70% | 4,766.18 | 4.36% | |
| 24. | 2022/01/31 | $49.99 | $0.25 | -0.18% | 4,515.55 | -5.26% |
| 25. | 2022/02/28 | $46.76 | -6.46% | 4,373.94 | -3.14% | |
| 26. | 2022/03/31 | $46.82 | 0.13% | 4,530.41 | 3.58% | |
| 27. | 2022/04/30 | $39.76 | $0.27 | -14.50% | 4,131.93 | -8.80% |
| 28. | 2022/05/31 | $44.28 | 11.37% | 4,132.15 | 0.01% | |
| 29. | 2022/06/30 | $39.24 | -11.38% | 3,785.38 | -8.39% | |
| 30. | 2022/07/31 | $37.52 | $0.27 | -3.70% | 4,130.29 | 9.11% |
| 31. | 2022/08/31 | $36.19 | -3.54% | 3,955.00 | -4.24% | |
| 32. | 2022/09/30 | $29.33 | -18.96% | 3,585.62 | -9.34% | |
| 33. | 2022/10/31 | $31.74 | $0.27 | 9.14% | 3,871.98 | 7.99% |
| 34. | 2022/11/30 | $36.64 | 15.44% | 4,080.11 | 5.38% | |
| 35. | 2022/12/31 | $34.97 | -4.56% | 3,839.50 | -5.90% | |
| 36. | 2023/01/31 | $39.35 | $0.27 | 13.30% | 4,076.60 | 6.18% |
| 37. | 2023/02/28 | $37.17 | -5.54% | 3,970.15 | -2.61% | |
| 38. | 2023/03/31 | $37.91 | 1.99% | 4,109.31 | 3.51% | |
| 39. | 2023/04/30 | $41.37 | $0.29 | 9.89% | 4,169.48 | 1.46% |
| 40. | 2023/05/31 | $39.35 | -4.88% | 4,179.83 | 0.25% | |
| 41. | 2023/06/30 | $41.55 | 5.59% | 4,376.86 | 4.71% | |
| 42. | 2023/07/31 | $45.26 | $0.29 | 9.63% | 4,588.96 | 4.85% |
| 43. | 2023/08/31 | $46.76 | 3.31% | 4,507.66 | -1.77% | |
| 44. | 2023/09/30 | $44.34 | -5.18% | 4,288.05 | -4.87% | |
| 45. | 2023/10/31 | $41.29 | $0.29 | -6.22% | 4,193.80 | -2.20% |
| 46. | 2023/11/30 | $41.89 | 1.45% | 4,567.80 | 8.92% | |
| 47. | 2023/12/31 | $43.85 | 4.68% | 4,769.83 | 4.42% | |
| 48. | 2024/01/31 | $46.54 | $0.29 | 6.80% | 4,845.65 | 1.59% |
| 49. | 2024/02/29 | $42.85 | -7.93% | 5,096.27 | 5.17% | |
| 50. | 2024/03/31 | $43.35 | 1.17% | 5,254.35 | 3.10% | |
| 51. | 2024/04/30 | $38.11 | $0.29 | -11.42% | 5,035.69 | -4.16% |
| 52. | 2024/05/31 | $40.03 | 5.04% | 5,277.51 | 4.80% | |
| 53. | 2024/06/30 | $39.16 | -2.17% | 5,460.48 | 3.47% | |
| 54. | 2024/07/31 | $41.27 | $0.31 | 6.18% | 5,522.30 | 1.13% |
| 55. | 2024/08/31 | $39.57 | -4.12% | 5,648.40 | 2.28% | |
| 56. | 2024/09/30 | $41.77 | 5.56% | 5,762.48 | 2.02% | |
| 57. | 2024/10/31 | $43.67 | $0.31 | 5.29% | 5,705.45 | -0.99% |
| 58. | 2024/11/30 | $43.19 | -1.10% | 6,032.38 | 5.73% | |
| 59. | 2024/12/31 | $37.53 | -13.10% | 5,881.63 | -2.50% | |
| 平均 (R): | 0.27% | 1.16% | ||||
| 標準偏差： | 7.81% | 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CMCSA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
Comcast Corp.、分散の計算、および戻り値の共分散
| t | 日付 | RCMCSA,t | RS&P 500,t | (RCMCSA,t–RCMCSA)2 | (RS&P 500,t–RS&P 500)2 | (RCMCSA,t–RCMCSA)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020/02/29 | -6.39% | -8.41% | 44.32 | 91.63 | 63.72 |
| 2. | 2020/03/31 | -14.40% | -12.51% | 214.97 | 186.96 | 200.48 |
| 3. | 2020/04/30 | 9.45% | 12.68% | 84.39 | 132.78 | 105.86 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024/11/30 | -1.10% | 5.73% | 1.87 | 20.87 | -6.24 |
| 59. | 2024/12/31 | -13.10% | -2.50% | 178.80 | 13.40 | 48.94 |
| トータル (Σ): | 3,534.09 | 1,618.62 | 1,646.94 | |||
| t | 日付 | RCMCSA,t | RS&P 500,t | (RCMCSA,t–RCMCSA)2 | (RS&P 500,t–RS&P 500)2 | (RCMCSA,t–RCMCSA)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020/02/29 | -6.39% | -8.41% | 44.32 | 91.63 | 63.72 |
| 2. | 2020/03/31 | -14.40% | -12.51% | 214.97 | 186.96 | 200.48 |
| 3. | 2020/04/30 | 9.45% | 12.68% | 84.39 | 132.78 | 105.86 |
| 4. | 2020/05/31 | 5.24% | 4.53% | 24.69 | 11.34 | 16.73 |
| 5. | 2020/06/30 | -0.98% | 1.84% | 1.57 | 0.46 | -0.85 |
| 6. | 2020/07/31 | 9.80% | 5.51% | 90.88 | 18.91 | 41.46 |
| 7. | 2020/08/31 | 4.70% | 7.01% | 19.62 | 34.17 | 25.89 |
| 8. | 2020/09/30 | 3.24% | -3.92% | 8.82 | 25.85 | -15.10 |
| 9. | 2020/10/31 | -8.19% | -2.77% | 71.56 | 15.43 | 33.23 |
| 10. | 2020/11/30 | 18.94% | 10.75% | 348.67 | 92.03 | 179.13 |
| 11. | 2020/12/31 | 4.30% | 3.71% | 16.26 | 6.51 | 10.29 |
| 12. | 2021/01/31 | -4.96% | -1.11% | 27.34 | 5.18 | 11.89 |
| 13. | 2021/02/28 | 6.35% | 2.61% | 37.06 | 2.10 | 8.81 |
| 14. | 2021/03/31 | 2.64% | 4.24% | 5.62 | 9.50 | 7.31 |
| 15. | 2021/04/30 | 4.23% | 5.24% | 15.72 | 16.66 | 16.18 |
| 16. | 2021/05/31 | 2.12% | 0.55% | 3.43 | 0.38 | -1.13 |
| 17. | 2021/06/30 | -0.56% | 2.22% | 0.68 | 1.12 | -0.87 |
| 18. | 2021/07/31 | 3.61% | 2.27% | 11.20 | 1.24 | 3.73 |
| 19. | 2021/08/31 | 3.14% | 2.90% | 8.28 | 3.02 | 5.00 |
| 20. | 2021/09/30 | -7.83% | -4.76% | 65.52 | 35.02 | 47.91 |
| 21. | 2021/10/31 | -7.60% | 6.91% | 61.87 | 33.10 | -45.25 |
| 22. | 2021/11/30 | -2.82% | -0.83% | 9.52 | 3.98 | 6.16 |
| 23. | 2021/12/31 | 0.70% | 4.36% | 0.19 | 10.24 | 1.39 |
| 24. | 2022/01/31 | -0.18% | -5.26% | 0.20 | 41.21 | 2.86 |
| 25. | 2022/02/28 | -6.46% | -3.14% | 45.27 | 18.47 | 28.91 |
| 26. | 2022/03/31 | 0.13% | 3.58% | 0.02 | 5.84 | -0.33 |
| 27. | 2022/04/30 | -14.50% | -8.80% | 218.12 | 99.14 | 147.05 |
| 28. | 2022/05/31 | 11.37% | 0.01% | 123.24 | 1.34 | -12.83 |
| 29. | 2022/06/30 | -11.38% | -8.39% | 135.69 | 91.26 | 111.28 |
| 30. | 2022/07/31 | -3.70% | 9.11% | 15.70 | 63.21 | -31.50 |
| 31. | 2022/08/31 | -3.54% | -4.24% | 14.53 | 29.22 | 20.60 |
| 32. | 2022/09/30 | -18.96% | -9.34% | 369.49 | 110.27 | 201.85 |
| 33. | 2022/10/31 | 9.14% | 7.99% | 78.69 | 46.58 | 60.54 |
| 34. | 2022/11/30 | 15.44% | 5.38% | 230.17 | 17.76 | 63.93 |
| 35. | 2022/12/31 | -4.56% | -5.90% | 23.28 | 49.82 | 34.05 |
| 36. | 2023/01/31 | 13.30% | 6.18% | 169.79 | 25.14 | 65.33 |
| 37. | 2023/02/28 | -5.54% | -2.61% | 33.72 | 14.23 | 21.91 |
| 38. | 2023/03/31 | 1.99% | 3.51% | 2.97 | 5.49 | 4.04 |
| 39. | 2023/04/30 | 9.89% | 1.46% | 92.64 | 0.09 | 2.92 |
| 40. | 2023/05/31 | -4.88% | 0.25% | 26.52 | 0.83 | 4.70 |
| 41. | 2023/06/30 | 5.59% | 4.71% | 28.35 | 12.62 | 18.91 |
| 42. | 2023/07/31 | 9.63% | 4.85% | 87.62 | 13.58 | 34.49 |
| 43. | 2023/08/31 | 3.31% | -1.77% | 9.29 | 8.60 | -8.94 |
| 44. | 2023/09/30 | -5.18% | -4.87% | 29.62 | 36.40 | 32.83 |
| 45. | 2023/10/31 | -6.22% | -2.20% | 42.14 | 11.28 | 21.81 |
| 46. | 2023/11/30 | 1.45% | 8.92% | 1.41 | 60.17 | 9.20 |
| 47. | 2023/12/31 | 4.68% | 4.42% | 19.47 | 10.64 | 14.39 |
| 48. | 2024/01/31 | 6.80% | 1.59% | 42.63 | 0.18 | 2.80 |
| 49. | 2024/02/29 | -7.93% | 5.17% | 67.16 | 16.09 | -32.87 |
| 50. | 2024/03/31 | 1.17% | 3.10% | 0.81 | 3.77 | 1.75 |
| 51. | 2024/04/30 | -11.42% | -4.16% | 136.55 | 28.33 | 62.20 |
| 52. | 2024/05/31 | 5.04% | 4.80% | 22.77 | 13.26 | 17.37 |
| 53. | 2024/06/30 | -2.17% | 3.47% | 5.95 | 5.32 | -5.63 |
| 54. | 2024/07/31 | 6.18% | 1.13% | 34.97 | 0.00 | -0.17 |
| 55. | 2024/08/31 | -4.12% | 2.28% | 19.24 | 1.26 | -4.92 |
| 56. | 2024/09/30 | 5.56% | 2.02% | 28.02 | 0.74 | 4.54 |
| 57. | 2024/10/31 | 5.29% | -0.99% | 25.24 | 4.63 | -10.81 |
| 58. | 2024/11/30 | -1.10% | 5.73% | 1.87 | 20.87 | -6.24 |
| 59. | 2024/12/31 | -13.10% | -2.50% | 178.80 | 13.40 | 48.94 |
| トータル (Σ): | 3,534.09 | 1,618.62 | 1,646.94 | |||
すべて表示
分散CMCSA = Σ(RCMCSA,t–RCMCSA)2 ÷ (59 – 1)
= 3,534.09 ÷ (59 – 1)
= 60.93
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CMCSA, S&P 500 = Σ(RCMCSA,t–RCMCSA)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,646.94 ÷ (59 – 1)
= 28.40
システマティックなリスク推定 (β)
| 分散CMCSA | 60.93 |
| 分散S&P 500 | 27.91 |
| 共 分散CMCSA, S&P 500 | 28.40 |
| 相関係数CMCSA, S&P 5001 | 0.69 |
| βCMCSA2 | 1.02 |
| αCMCSA3 | -0.91% |
計算
1 相関係数CMCSA, S&P 500
= 共 分散CMCSA, S&P 500 ÷ (標準偏差CMCSA × 標準偏差S&P 500)
= 28.40 ÷ (7.81% × 5.28%)
= 0.69
2 βCMCSA
= 共 分散CMCSA, S&P 500 ÷ 分散S&P 500
= 28.40 ÷ 27.91
= 1.02
3 αCMCSA
= 平均CMCSA – βCMCSA × 平均S&P 500
= 0.27% – 1.02 × 1.16%
= -0.91%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.76% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.88% |
| 普通株式 Comcast システマティックリスク | βCMCSA | 1.02 |
| コムキャスト普通株の期待収益率3 | E(RCMCSA) | 15.06% |
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(RCMCSA) = RF + βCMCSA [E(RM) – RF]
= 4.76% + 1.02 [14.88% – 4.76%]
= 15.06%