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 |
| 2021/01/31 | $49.57 | 3,714.24 | ||||
| 1. | 2021/02/28 | $52.72 | 6.35% | 3,811.15 | 2.61% | |
| 2. | 2021/03/31 | $54.11 | 2.64% | 3,972.89 | 4.24% | |
| 3. | 2021/04/30 | $56.15 | $0.25 | 4.23% | 4,181.17 | 5.24% |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025/11/30 | $26.69 | -4.13% | 6,849.09 | 0.13% | |
| 59. | 2025/12/31 | $29.89 | 11.99% | 6,845.50 | -0.05% | |
| 平均 (R): | -0.35% | 1.14% | ||||
| 標準偏差： | 7.34% | 4.37% | ||||
| 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 |
| 2021/01/31 | $49.57 | 3,714.24 | ||||
| 1. | 2021/02/28 | $52.72 | 6.35% | 3,811.15 | 2.61% | |
| 2. | 2021/03/31 | $54.11 | 2.64% | 3,972.89 | 4.24% | |
| 3. | 2021/04/30 | $56.15 | $0.25 | 4.23% | 4,181.17 | 5.24% |
| 4. | 2021/05/31 | $57.34 | 2.12% | 4,204.11 | 0.55% | |
| 5. | 2021/06/30 | $57.02 | -0.56% | 4,297.50 | 2.22% | |
| 6. | 2021/07/31 | $58.83 | $0.25 | 3.61% | 4,395.26 | 2.27% |
| 7. | 2021/08/31 | $60.68 | 3.14% | 4,522.68 | 2.90% | |
| 8. | 2021/09/30 | $55.93 | -7.83% | 4,307.54 | -4.76% | |
| 9. | 2021/10/31 | $51.43 | $0.25 | -7.60% | 4,605.38 | 6.91% |
| 10. | 2021/11/30 | $49.98 | -2.82% | 4,567.00 | -0.83% | |
| 11. | 2021/12/31 | $50.33 | 0.70% | 4,766.18 | 4.36% | |
| 12. | 2022/01/31 | $49.99 | $0.25 | -0.18% | 4,515.55 | -5.26% |
| 13. | 2022/02/28 | $46.76 | -6.46% | 4,373.94 | -3.14% | |
| 14. | 2022/03/31 | $46.82 | 0.13% | 4,530.41 | 3.58% | |
| 15. | 2022/04/30 | $39.76 | $0.27 | -14.50% | 4,131.93 | -8.80% |
| 16. | 2022/05/31 | $44.28 | 11.37% | 4,132.15 | 0.01% | |
| 17. | 2022/06/30 | $39.24 | -11.38% | 3,785.38 | -8.39% | |
| 18. | 2022/07/31 | $37.52 | $0.27 | -3.70% | 4,130.29 | 9.11% |
| 19. | 2022/08/31 | $36.19 | -3.54% | 3,955.00 | -4.24% | |
| 20. | 2022/09/30 | $29.33 | -18.96% | 3,585.62 | -9.34% | |
| 21. | 2022/10/31 | $31.74 | $0.27 | 9.14% | 3,871.98 | 7.99% |
| 22. | 2022/11/30 | $36.64 | 15.44% | 4,080.11 | 5.38% | |
| 23. | 2022/12/31 | $34.97 | -4.56% | 3,839.50 | -5.90% | |
| 24. | 2023/01/31 | $39.35 | $0.27 | 13.30% | 4,076.60 | 6.18% |
| 25. | 2023/02/28 | $37.17 | -5.54% | 3,970.15 | -2.61% | |
| 26. | 2023/03/31 | $37.91 | 1.99% | 4,109.31 | 3.51% | |
| 27. | 2023/04/30 | $41.37 | $0.29 | 9.89% | 4,169.48 | 1.46% |
| 28. | 2023/05/31 | $39.35 | -4.88% | 4,179.83 | 0.25% | |
| 29. | 2023/06/30 | $41.55 | 5.59% | 4,376.86 | 4.71% | |
| 30. | 2023/07/31 | $45.26 | $0.29 | 9.63% | 4,588.96 | 4.85% |
| 31. | 2023/08/31 | $46.76 | 3.31% | 4,507.66 | -1.77% | |
| 32. | 2023/09/30 | $44.34 | -5.18% | 4,288.05 | -4.87% | |
| 33. | 2023/10/31 | $41.29 | $0.29 | -6.22% | 4,193.80 | -2.20% |
| 34. | 2023/11/30 | $41.89 | 1.45% | 4,567.80 | 8.92% | |
| 35. | 2023/12/31 | $43.85 | 4.68% | 4,769.83 | 4.42% | |
| 36. | 2024/01/31 | $46.54 | $0.29 | 6.80% | 4,845.65 | 1.59% |
| 37. | 2024/02/29 | $42.85 | -7.93% | 5,096.27 | 5.17% | |
| 38. | 2024/03/31 | $43.35 | 1.17% | 5,254.35 | 3.10% | |
| 39. | 2024/04/30 | $38.11 | $0.31 | -11.37% | 5,035.69 | -4.16% |
| 40. | 2024/05/31 | $40.03 | 5.04% | 5,277.51 | 4.80% | |
| 41. | 2024/06/30 | $39.16 | -2.17% | 5,460.48 | 3.47% | |
| 42. | 2024/07/31 | $41.27 | $0.31 | 6.18% | 5,522.30 | 1.13% |
| 43. | 2024/08/31 | $39.57 | -4.12% | 5,648.40 | 2.28% | |
| 44. | 2024/09/30 | $41.77 | 5.56% | 5,762.48 | 2.02% | |
| 45. | 2024/10/31 | $43.67 | $0.31 | 5.29% | 5,705.45 | -0.99% |
| 46. | 2024/11/30 | $43.19 | -1.10% | 6,032.38 | 5.73% | |
| 47. | 2024/12/31 | $37.53 | -13.10% | 5,881.63 | -2.50% | |
| 48. | 2025/01/31 | $33.66 | $0.31 | -9.49% | 6,040.53 | 2.70% |
| 49. | 2025/02/28 | $35.88 | 6.60% | 5,954.50 | -1.42% | |
| 50. | 2025/03/31 | $36.90 | 2.84% | 5,611.85 | -5.75% | |
| 51. | 2025/04/30 | $34.20 | $0.33 | -6.42% | 5,569.06 | -0.76% |
| 52. | 2025/05/31 | $34.57 | 1.08% | 5,911.69 | 6.15% | |
| 53. | 2025/06/30 | $35.69 | 3.24% | 6,204.95 | 4.96% | |
| 54. | 2025/07/31 | $33.23 | $0.33 | -5.97% | 6,339.39 | 2.17% |
| 55. | 2025/08/31 | $33.97 | 2.23% | 6,460.26 | 1.91% | |
| 56. | 2025/09/30 | $31.42 | -7.51% | 6,688.46 | 3.53% | |
| 57. | 2025/10/31 | $27.84 | $0.33 | -10.34% | 6,840.20 | 2.27% |
| 58. | 2025/11/30 | $26.69 | -4.13% | 6,849.09 | 0.13% | |
| 59. | 2025/12/31 | $29.89 | 11.99% | 6,845.50 | -0.05% | |
| 平均 (R): | -0.35% | 1.14% | ||||
| 標準偏差： | 7.34% | 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. | 2021/02/28 | 6.35% | 2.61% | 44.99 | 2.17 | 9.88 |
| 2. | 2021/03/31 | 2.64% | 4.24% | 8.94 | 9.66 | 9.29 |
| 3. | 2021/04/30 | 4.23% | 5.24% | 21.02 | 16.86 | 18.83 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025/11/30 | -4.13% | 0.13% | 14.27 | 1.01 | 3.80 |
| 59. | 2025/12/31 | 11.99% | -0.05% | 152.34 | 1.41 | -14.67 |
| トータル (Σ): | 3,125.80 | 1,108.23 | 907.39 | |||
| 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. | 2021/02/28 | 6.35% | 2.61% | 44.99 | 2.17 | 9.88 |
| 2. | 2021/03/31 | 2.64% | 4.24% | 8.94 | 9.66 | 9.29 |
| 3. | 2021/04/30 | 4.23% | 5.24% | 21.02 | 16.86 | 18.83 |
| 4. | 2021/05/31 | 2.12% | 0.55% | 6.11 | 0.35 | -1.45 |
| 5. | 2021/06/30 | -0.56% | 2.22% | 0.04 | 1.18 | -0.22 |
| 6. | 2021/07/31 | 3.61% | 2.27% | 15.73 | 1.30 | 4.52 |
| 7. | 2021/08/31 | 3.14% | 2.90% | 12.23 | 3.11 | 6.17 |
| 8. | 2021/09/30 | -7.83% | -4.76% | 55.87 | 34.73 | 44.05 |
| 9. | 2021/10/31 | -7.60% | 6.91% | 52.50 | 33.39 | -41.87 |
| 10. | 2021/11/30 | -2.82% | -0.83% | 6.08 | 3.88 | 4.86 |
| 11. | 2021/12/31 | 0.70% | 4.36% | 1.11 | 10.40 | 3.40 |
| 12. | 2022/01/31 | -0.18% | -5.26% | 0.03 | 40.89 | -1.11 |
| 13. | 2022/02/28 | -6.46% | -3.14% | 37.31 | 18.25 | 26.10 |
| 14. | 2022/03/31 | 0.13% | 3.58% | 0.23 | 5.96 | 1.18 |
| 15. | 2022/04/30 | -14.50% | -8.80% | 200.20 | 98.64 | 140.53 |
| 16. | 2022/05/31 | 11.37% | 0.01% | 137.39 | 1.28 | -13.25 |
| 17. | 2022/06/30 | -11.38% | -8.39% | 121.64 | 90.79 | 105.09 |
| 18. | 2022/07/31 | -3.70% | 9.11% | 11.17 | 63.61 | -26.65 |
| 19. | 2022/08/31 | -3.54% | -4.24% | 10.19 | 28.95 | 17.17 |
| 20. | 2022/09/30 | -18.96% | -9.34% | 346.05 | 109.74 | 194.87 |
| 21. | 2022/10/31 | 9.14% | 7.99% | 90.07 | 46.93 | 65.01 |
| 22. | 2022/11/30 | 15.44% | 5.38% | 249.36 | 17.97 | 66.94 |
| 23. | 2022/12/31 | -4.56% | -5.90% | 17.68 | 49.47 | 29.57 |
| 24. | 2023/01/31 | 13.30% | 6.18% | 186.33 | 25.39 | 68.79 |
| 25. | 2023/02/28 | -5.54% | -2.61% | 26.90 | 14.04 | 19.44 |
| 26. | 2023/03/31 | 1.99% | 3.51% | 5.49 | 5.61 | 5.55 |
| 27. | 2023/04/30 | 9.89% | 1.46% | 104.96 | 0.11 | 3.36 |
| 28. | 2023/05/31 | -4.88% | 0.25% | 20.52 | 0.79 | 4.02 |
| 29. | 2023/06/30 | 5.59% | 4.71% | 35.33 | 12.80 | 21.27 |
| 30. | 2023/07/31 | 9.63% | 4.85% | 99.60 | 13.76 | 37.02 |
| 31. | 2023/08/31 | 3.31% | -1.77% | 13.45 | 8.46 | -10.66 |
| 32. | 2023/09/30 | -5.18% | -4.87% | 23.25 | 36.10 | 28.97 |
| 33. | 2023/10/31 | -6.22% | -2.20% | 34.47 | 11.12 | 19.58 |
| 34. | 2023/11/30 | 1.45% | 8.92% | 3.26 | 60.56 | 14.06 |
| 35. | 2023/12/31 | 4.68% | 4.42% | 25.32 | 10.80 | 16.54 |
| 36. | 2024/01/31 | 6.80% | 1.59% | 51.11 | 0.21 | 3.24 |
| 37. | 2024/02/29 | -7.93% | 5.17% | 57.39 | 16.29 | -30.57 |
| 38. | 2024/03/31 | 1.17% | 3.10% | 2.31 | 3.86 | 2.99 |
| 39. | 2024/04/30 | -11.37% | -4.16% | 121.43 | 28.06 | 58.38 |
| 40. | 2024/05/31 | 5.04% | 4.80% | 29.07 | 13.44 | 19.76 |
| 41. | 2024/06/30 | -2.17% | 3.47% | 3.31 | 5.43 | -4.24 |
| 42. | 2024/07/31 | 6.18% | 1.13% | 42.68 | 0.00 | -0.03 |
| 43. | 2024/08/31 | -4.12% | 2.28% | 14.18 | 1.32 | -4.32 |
| 44. | 2024/09/30 | 5.56% | 2.02% | 34.96 | 0.78 | 5.22 |
| 45. | 2024/10/31 | 5.29% | -0.99% | 31.86 | 4.52 | -12.00 |
| 46. | 2024/11/30 | -1.10% | 5.73% | 0.56 | 21.10 | -3.43 |
| 47. | 2024/12/31 | -13.10% | -2.50% | 162.61 | 13.21 | 46.35 |
| 48. | 2025/01/31 | -9.49% | 2.70% | 83.40 | 2.45 | -14.30 |
| 49. | 2025/02/28 | 6.60% | -1.42% | 48.28 | 6.56 | -17.79 |
| 50. | 2025/03/31 | 2.84% | -5.75% | 10.21 | 47.48 | -22.02 |
| 51. | 2025/04/30 | -6.42% | -0.76% | 36.84 | 3.60 | 11.52 |
| 52. | 2025/05/31 | 1.08% | 6.15% | 2.06 | 25.16 | 7.20 |
| 53. | 2025/06/30 | 3.24% | 4.96% | 12.91 | 14.63 | 13.74 |
| 54. | 2025/07/31 | -5.97% | 2.17% | 31.53 | 1.06 | -5.79 |
| 55. | 2025/08/31 | 2.23% | 1.91% | 6.66 | 0.59 | 1.99 |
| 56. | 2025/09/30 | -7.51% | 3.53% | 51.17 | 5.74 | -17.14 |
| 57. | 2025/10/31 | -10.34% | 2.27% | 99.81 | 1.28 | -11.31 |
| 58. | 2025/11/30 | -4.13% | 0.13% | 14.27 | 1.01 | 3.80 |
| 59. | 2025/12/31 | 11.99% | -0.05% | 152.34 | 1.41 | -14.67 |
| トータル (Σ): | 3,125.80 | 1,108.23 | 907.39 | |||
すべて表示
分散CMCSA = Σ(RCMCSA,t–RCMCSA)2 ÷ (59 – 1)
= 3,125.80 ÷ (59 – 1)
= 53.89
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CMCSA, S&P 500 = Σ(RCMCSA,t–RCMCSA)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 907.39 ÷ (59 – 1)
= 15.64
システマティックなリスク推定 (β)
| 分散CMCSA | 53.89 |
| 分散S&P 500 | 19.11 |
| 共 分散CMCSA, S&P 500 | 15.64 |
| 相関係数CMCSA, S&P 5001 | 0.49 |
| βCMCSA2 | 0.82 |
| αCMCSA3 | -1.28% |
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)
= 15.64 ÷ (7.34% × 4.37%)
= 0.49
2 βCMCSA
= 共 分散CMCSA, S&P 500 ÷ 分散S&P 500
= 15.64 ÷ 19.11
= 0.82
3 αCMCSA
= 平均CMCSA – βCMCSA × 平均S&P 500
= -0.35% – 0.82 × 1.14%
= -1.28%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.94% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 17.36% |
| 普通株式 Comcast システマティックリスク | βCMCSA | 0.82 |
| コムキャスト普通株の期待収益率3 | E(RCMCSA) | 15.11% |
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]
= 4.94% + 0.82 [17.36% – 4.94%]
= 15.11%