資本資産価格モデル (CAPM)
資本資産価格モデル(CAPM)は、 Costco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
Costco Wholesale Corp.、月間収益率
| Costco Wholesale Corp. (COST) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格COST,t1 | 配当COST,t1 | RCOST,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2017/09/30 | $164.29 | 2,519.36 | ||||
| 1. | 2017/10/31 | $161.08 | -1.95% | 2,575.26 | 2.22% | |
| 2. | 2017/11/30 | $184.43 | $0.50 | 14.81% | 2,647.58 | 2.81% |
| 3. | 2017/12/31 | $186.12 | 0.92% | 2,673.61 | 0.98% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023/07/31 | $560.67 | 4.14% | 4,588.96 | 4.85% | |
| 71. | 2023/08/31 | $549.28 | $1.02 | -1.85% | 4,507.66 | -1.77% |
| 平均 (R): | 2.02% | 0.95% | ||||
| 標準偏差： | 6.24% | 5.08% | ||||
| Costco Wholesale Corp. (COST) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格COST,t1 | 配当COST,t1 | RCOST,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2017/09/30 | $164.29 | 2,519.36 | ||||
| 1. | 2017/10/31 | $161.08 | -1.95% | 2,575.26 | 2.22% | |
| 2. | 2017/11/30 | $184.43 | $0.50 | 14.81% | 2,647.58 | 2.81% |
| 3. | 2017/12/31 | $186.12 | 0.92% | 2,673.61 | 0.98% | |
| 4. | 2018/01/31 | $194.87 | 4.70% | 2,823.81 | 5.62% | |
| 5. | 2018/02/28 | $190.90 | $0.50 | -1.78% | 2,713.83 | -3.89% |
| 6. | 2018/03/31 | $188.43 | -1.29% | 2,640.87 | -2.69% | |
| 7. | 2018/04/30 | $197.16 | 4.63% | 2,648.05 | 0.27% | |
| 8. | 2018/05/31 | $198.24 | $0.57 | 0.84% | 2,705.27 | 2.16% |
| 9. | 2018/06/30 | $208.98 | 5.42% | 2,718.37 | 0.48% | |
| 10. | 2018/07/31 | $218.71 | 4.66% | 2,816.29 | 3.60% | |
| 11. | 2018/08/31 | $233.13 | $0.57 | 6.85% | 2,901.52 | 3.03% |
| 12. | 2018/09/30 | $234.88 | 0.75% | 2,913.98 | 0.43% | |
| 13. | 2018/10/31 | $228.63 | -2.66% | 2,711.74 | -6.94% | |
| 14. | 2018/11/30 | $231.28 | $0.57 | 1.41% | 2,760.17 | 1.79% |
| 15. | 2018/12/31 | $203.71 | -11.92% | 2,506.85 | -9.18% | |
| 16. | 2019/01/31 | $214.63 | 5.36% | 2,704.10 | 7.87% | |
| 17. | 2019/02/28 | $218.74 | $0.57 | 2.18% | 2,784.49 | 2.97% |
| 18. | 2019/03/31 | $242.14 | 10.70% | 2,834.40 | 1.79% | |
| 19. | 2019/04/30 | $245.53 | 1.40% | 2,945.83 | 3.93% | |
| 20. | 2019/05/31 | $239.58 | $0.65 | -2.16% | 2,752.06 | -6.58% |
| 21. | 2019/06/30 | $264.26 | 10.30% | 2,941.76 | 6.89% | |
| 22. | 2019/07/31 | $275.63 | 4.30% | 2,980.38 | 1.31% | |
| 23. | 2019/08/31 | $294.76 | $0.65 | 7.18% | 2,926.46 | -1.81% |
| 24. | 2019/09/30 | $288.11 | -2.26% | 2,976.74 | 1.72% | |
| 25. | 2019/10/31 | $297.11 | $0.65 | 3.35% | 3,037.56 | 2.04% |
| 26. | 2019/11/30 | $299.81 | 0.91% | 3,140.98 | 3.40% | |
| 27. | 2019/12/31 | $293.92 | -1.96% | 3,230.78 | 2.86% | |
| 28. | 2020/01/31 | $305.52 | 3.95% | 3,225.52 | -0.16% | |
| 29. | 2020/02/29 | $281.14 | $0.65 | -7.77% | 2,954.22 | -8.41% |
| 30. | 2020/03/31 | $285.13 | 1.42% | 2,584.59 | -12.51% | |
| 31. | 2020/04/30 | $303.00 | $0.70 | 6.51% | 2,912.43 | 12.68% |
| 32. | 2020/05/31 | $308.47 | 1.81% | 3,044.31 | 4.53% | |
| 33. | 2020/06/30 | $303.21 | -1.71% | 3,100.29 | 1.84% | |
| 34. | 2020/07/31 | $325.53 | $0.70 | 7.59% | 3,271.12 | 5.51% |
| 35. | 2020/08/31 | $347.66 | 6.80% | 3,500.31 | 7.01% | |
| 36. | 2020/09/30 | $355.00 | 2.11% | 3,363.00 | -3.92% | |
| 37. | 2020/10/31 | $357.62 | $0.70 | 0.94% | 3,269.96 | -2.77% |
| 38. | 2020/11/30 | $391.77 | 9.55% | 3,621.63 | 10.75% | |
| 39. | 2020/12/31 | $376.78 | $10.00 | -1.27% | 3,756.07 | 3.71% |
| 40. | 2021/01/31 | $352.43 | -6.46% | 3,714.24 | -1.11% | |
| 41. | 2021/02/28 | $331.00 | $0.70 | -5.88% | 3,811.15 | 2.61% |
| 42. | 2021/03/31 | $352.48 | 6.49% | 3,972.89 | 4.24% | |
| 43. | 2021/04/30 | $372.09 | $0.79 | 5.79% | 4,181.17 | 5.24% |
| 44. | 2021/05/31 | $378.27 | 1.66% | 4,204.11 | 0.55% | |
| 45. | 2021/06/30 | $395.67 | 4.60% | 4,297.50 | 2.22% | |
| 46. | 2021/07/31 | $429.72 | $0.79 | 8.81% | 4,395.26 | 2.27% |
| 47. | 2021/08/31 | $455.49 | 6.00% | 4,522.68 | 2.90% | |
| 48. | 2021/09/30 | $449.35 | -1.35% | 4,307.54 | -4.76% | |
| 49. | 2021/10/31 | $491.54 | $0.79 | 9.56% | 4,605.38 | 6.91% |
| 50. | 2021/11/30 | $539.38 | 9.73% | 4,567.00 | -0.83% | |
| 51. | 2021/12/31 | $567.70 | 5.25% | 4,766.18 | 4.36% | |
| 52. | 2022/01/31 | $505.13 | -11.02% | 4,515.55 | -5.26% | |
| 53. | 2022/02/28 | $519.25 | $0.79 | 2.95% | 4,373.94 | -3.14% |
| 54. | 2022/03/31 | $575.85 | 10.90% | 4,530.41 | 3.58% | |
| 55. | 2022/04/30 | $531.72 | $0.90 | -7.51% | 4,131.93 | -8.80% |
| 56. | 2022/05/31 | $466.22 | -12.32% | 4,132.15 | 0.01% | |
| 57. | 2022/06/30 | $479.28 | 2.80% | 3,785.38 | -8.39% | |
| 58. | 2022/07/31 | $541.30 | $0.90 | 13.13% | 4,130.29 | 9.11% |
| 59. | 2022/08/31 | $522.10 | -3.55% | 3,955.00 | -4.24% | |
| 60. | 2022/09/30 | $472.27 | -9.54% | 3,585.62 | -9.34% | |
| 61. | 2022/10/31 | $501.50 | $0.90 | 6.38% | 3,871.98 | 7.99% |
| 62. | 2022/11/30 | $539.25 | 7.53% | 4,080.11 | 5.38% | |
| 63. | 2022/12/31 | $456.50 | -15.35% | 3,839.50 | -5.90% | |
| 64. | 2023/01/31 | $511.14 | 11.97% | 4,076.60 | 6.18% | |
| 65. | 2023/02/28 | $484.18 | $0.90 | -5.10% | 3,970.15 | -2.61% |
| 66. | 2023/03/31 | $496.87 | 2.62% | 4,109.31 | 3.51% | |
| 67. | 2023/04/30 | $503.22 | 1.28% | 4,169.48 | 1.46% | |
| 68. | 2023/05/31 | $511.56 | $1.02 | 1.86% | 4,179.83 | 0.25% |
| 69. | 2023/06/30 | $538.38 | 5.24% | 4,376.86 | 4.71% | |
| 70. | 2023/07/31 | $560.67 | 4.14% | 4,588.96 | 4.85% | |
| 71. | 2023/08/31 | $549.28 | $1.02 | -1.85% | 4,507.66 | -1.77% |
| 平均 (R): | 2.02% | 0.95% | ||||
| 標準偏差： | 6.24% | 5.08% | ||||
すべて表示
1 普通株式1株当たり米ドルで、分割および株式配当を調整したデータ。
2 期間 t中のCOST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プロキシ)の収益率。
分散と共分散
Costco Wholesale Corp.、分散の計算、および戻り値の共分散
| t | 日付 | RCOST,t | RS&P 500,t | (RCOST,t–RCOST)2 | (RS&P 500,t–RS&P 500)2 | (RCOST,t–RCOST)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017/10/31 | -1.95% | 2.22% | 15.78 | 1.61 | -5.04 |
| 2. | 2017/11/30 | 14.81% | 2.81% | 163.51 | 3.45 | 23.75 |
| 3. | 2017/12/31 | 0.92% | 0.98% | 1.22 | 0.00 | -0.04 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023/07/31 | 4.14% | 4.85% | 4.50 | 15.17 | 8.26 |
| 71. | 2023/08/31 | -1.85% | -1.77% | 14.97 | 7.41 | 10.53 |
| トータル (Σ): | 2,721.53 | 1,807.09 | 1,443.62 | |||
| t | 日付 | RCOST,t | RS&P 500,t | (RCOST,t–RCOST)2 | (RS&P 500,t–RS&P 500)2 | (RCOST,t–RCOST)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017/10/31 | -1.95% | 2.22% | 15.78 | 1.61 | -5.04 |
| 2. | 2017/11/30 | 14.81% | 2.81% | 163.51 | 3.45 | 23.75 |
| 3. | 2017/12/31 | 0.92% | 0.98% | 1.22 | 0.00 | -0.04 |
| 4. | 2018/01/31 | 4.70% | 5.62% | 7.19 | 21.78 | 12.52 |
| 5. | 2018/02/28 | -1.78% | -3.89% | 14.44 | 23.48 | 18.41 |
| 6. | 2018/03/31 | -1.29% | -2.69% | 10.98 | 13.25 | 12.06 |
| 7. | 2018/04/30 | 4.63% | 0.27% | 6.83 | 0.46 | -1.78 |
| 8. | 2018/05/31 | 0.84% | 2.16% | 1.40 | 1.46 | -1.43 |
| 9. | 2018/06/30 | 5.42% | 0.48% | 11.55 | 0.22 | -1.59 |
| 10. | 2018/07/31 | 4.66% | 3.60% | 6.95 | 7.03 | 6.99 |
| 11. | 2018/08/31 | 6.85% | 3.03% | 23.37 | 4.31 | 10.03 |
| 12. | 2018/09/30 | 0.75% | 0.43% | 1.61 | 0.27 | 0.66 |
| 13. | 2018/10/31 | -2.66% | -6.94% | 21.90 | 62.28 | 36.93 |
| 14. | 2018/11/30 | 1.41% | 1.79% | 0.37 | 0.70 | -0.51 |
| 15. | 2018/12/31 | -11.92% | -9.18% | 194.32 | 102.59 | 141.19 |
| 16. | 2019/01/31 | 5.36% | 7.87% | 11.17 | 47.85 | 23.11 |
| 17. | 2019/02/28 | 2.18% | 2.97% | 0.03 | 4.09 | 0.33 |
| 18. | 2019/03/31 | 10.70% | 1.79% | 75.32 | 0.71 | 7.30 |
| 19. | 2019/04/30 | 1.40% | 3.93% | 0.38 | 8.88 | -1.84 |
| 20. | 2019/05/31 | -2.16% | -6.58% | 17.45 | 56.68 | 31.45 |
| 21. | 2019/06/30 | 10.30% | 6.89% | 68.60 | 35.31 | 49.21 |
| 22. | 2019/07/31 | 4.30% | 1.31% | 5.21 | 0.13 | 0.83 |
| 23. | 2019/08/31 | 7.18% | -1.81% | 26.60 | 7.62 | -14.24 |
| 24. | 2019/09/30 | -2.26% | 1.72% | 18.28 | 0.59 | -3.28 |
| 25. | 2019/10/31 | 3.35% | 2.04% | 1.77 | 1.19 | 1.45 |
| 26. | 2019/11/30 | 0.91% | 3.40% | 1.23 | 6.02 | -2.72 |
| 27. | 2019/12/31 | -1.96% | 2.86% | 15.87 | 3.64 | -7.60 |
| 28. | 2020/01/31 | 3.95% | -0.16% | 3.72 | 1.24 | -2.15 |
| 29. | 2020/02/29 | -7.77% | -8.41% | 95.77 | 87.65 | 91.62 |
| 30. | 2020/03/31 | 1.42% | -12.51% | 0.36 | 181.25 | 8.08 |
| 31. | 2020/04/30 | 6.51% | 12.68% | 20.19 | 137.67 | 52.73 |
| 32. | 2020/05/31 | 1.81% | 4.53% | 0.05 | 12.80 | -0.76 |
| 33. | 2020/06/30 | -1.71% | 1.84% | 13.87 | 0.79 | -3.31 |
| 34. | 2020/07/31 | 7.59% | 5.51% | 31.06 | 20.78 | 25.41 |
| 35. | 2020/08/31 | 6.80% | 7.01% | 22.84 | 36.67 | 28.94 |
| 36. | 2020/09/30 | 2.11% | -3.92% | 0.01 | 23.76 | -0.45 |
| 37. | 2020/10/31 | 0.94% | -2.77% | 1.17 | 13.82 | 4.03 |
| 38. | 2020/11/30 | 9.55% | 10.75% | 56.70 | 96.11 | 73.82 |
| 39. | 2020/12/31 | -1.27% | 3.71% | 10.84 | 7.62 | -9.09 |
| 40. | 2021/01/31 | -6.46% | -1.11% | 71.94 | 4.26 | 17.51 |
| 41. | 2021/02/28 | -5.88% | 2.61% | 62.43 | 2.75 | -13.10 |
| 42. | 2021/03/31 | 6.49% | 4.24% | 19.98 | 10.84 | 14.72 |
| 43. | 2021/04/30 | 5.79% | 5.24% | 14.20 | 18.42 | 16.17 |
| 44. | 2021/05/31 | 1.66% | 0.55% | 0.13 | 0.16 | 0.14 |
| 45. | 2021/06/30 | 4.60% | 2.22% | 6.66 | 1.61 | 3.28 |
| 46. | 2021/07/31 | 8.81% | 2.27% | 46.05 | 1.75 | 8.98 |
| 47. | 2021/08/31 | 6.00% | 2.90% | 15.82 | 3.79 | 7.75 |
| 48. | 2021/09/30 | -1.35% | -4.76% | 11.34 | 32.58 | 19.22 |
| 49. | 2021/10/31 | 9.56% | 6.91% | 56.94 | 35.56 | 45.00 |
| 50. | 2021/11/30 | 9.73% | -0.83% | 59.50 | 3.18 | -13.76 |
| 51. | 2021/12/31 | 5.25% | 4.36% | 10.44 | 11.63 | 11.02 |
| 52. | 2022/01/31 | -11.02% | -5.26% | 170.06 | 38.56 | 80.98 |
| 53. | 2022/02/28 | 2.95% | -3.14% | 0.87 | 16.71 | -3.81 |
| 54. | 2022/03/31 | 10.90% | 3.58% | 78.88 | 6.90 | 23.32 |
| 55. | 2022/04/30 | -7.51% | -8.80% | 90.75 | 95.00 | 92.85 |
| 56. | 2022/05/31 | -12.32% | 0.01% | 205.57 | 0.89 | 13.56 |
| 57. | 2022/06/30 | 2.80% | -8.39% | 0.61 | 87.29 | -7.31 |
| 58. | 2022/07/31 | 13.13% | 9.11% | 123.41 | 66.59 | 90.65 |
| 59. | 2022/08/31 | -3.55% | -4.24% | 30.98 | 26.99 | 28.92 |
| 60. | 2022/09/30 | -9.54% | -9.34% | 133.71 | 105.90 | 118.99 |
| 61. | 2022/10/31 | 6.38% | 7.99% | 19.02 | 49.49 | 30.68 |
| 62. | 2022/11/30 | 7.53% | 5.38% | 30.34 | 19.57 | 24.37 |
| 63. | 2022/12/31 | -15.35% | -5.90% | 301.53 | 46.90 | 118.92 |
| 64. | 2023/01/31 | 11.97% | 6.18% | 99.01 | 27.29 | 51.98 |
| 65. | 2023/02/28 | -5.10% | -2.61% | 50.66 | 12.69 | 25.36 |
| 66. | 2023/03/31 | 2.62% | 3.51% | 0.36 | 6.52 | 1.54 |
| 67. | 2023/04/30 | 1.28% | 1.46% | 0.55 | 0.26 | -0.38 |
| 68. | 2023/05/31 | 1.86% | 0.25% | 0.03 | 0.49 | 0.11 |
| 69. | 2023/06/30 | 5.24% | 4.71% | 10.39 | 14.16 | 12.13 |
| 70. | 2023/07/31 | 4.14% | 4.85% | 4.50 | 15.17 | 8.26 |
| 71. | 2023/08/31 | -1.85% | -1.77% | 14.97 | 7.41 | 10.53 |
| トータル (Σ): | 2,721.53 | 1,807.09 | 1,443.62 | |||
すべて表示
分散COST = Σ(RCOST,t–RCOST)2 ÷ (71 – 1)
= 2,721.53 ÷ (71 – 1)
= 38.88
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,807.09 ÷ (71 – 1)
= 25.82
共 分散COST, S&P 500 = Σ(RCOST,t–RCOST)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,443.62 ÷ (71 – 1)
= 20.62
システマティックリスク推定 (β)
| 分散COST | 38.88 |
| 分散S&P 500 | 25.82 |
| 共 分散COST, S&P 500 | 20.62 |
| 相関係数COST, S&P 5001 | 0.65 |
| βCOST2 | 0.80 |
| αCOST3 | 1.26% |
計算
1 相関係数COST, S&P 500
= 共 分散COST, S&P 500 ÷ (標準偏差COST × 標準偏差S&P 500)
= 20.62 ÷ (6.24% × 5.08%)
= 0.65
2 βCOST
= 共 分散COST, S&P 500 ÷ 分散S&P 500
= 20.62 ÷ 25.82
= 0.80
3 αCOST
= 平均COST – βCOST × 平均S&P 500
= 2.02% – 0.80 × 0.95%
= 1.26%
期待収益率
| 仮定 | ||
| LT財務省総合の収益率1 | RF | 4.80% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 13.50% |
| 普通株式 Costco システマティックリスク | βCOST | 0.80 |
| コストコ普通株式の期待収益率3 | E(RCOST) | 11.75% |
1 10年以内に期限が到来またはコール可能でないすべての固定クーポン米国債の入札利回りの非加重平均(リスクフリー収益率プロキシ)。
2 詳細を見る »
3 E(RCOST) = RF + βCOST [E(RM) – RF]
= 4.80% + 0.80 [13.50% – 4.80%]
= 11.75%