資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Cytokinetics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
Cytokinetics Inc.、月間収益率
| Cytokinetics Inc. (CYTK) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格CYTK,t1 | 配当CYTK,t1 | RCYTK,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2018/01/31 | $9.20 | 2,823.81 | ||||
| 1. | 2018/02/28 | $7.75 | -15.76% | 2,713.83 | -3.89% | |
| 2. | 2018/03/31 | $7.20 | -7.10% | 2,640.87 | -2.69% | |
| 3. | 2018/04/30 | $8.30 | 15.28% | 2,648.05 | 0.27% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022/11/30 | $42.50 | -2.66% | 4,080.11 | 5.38% | |
| 59. | 2022/12/31 | $45.82 | 7.81% | 3,839.50 | -5.90% | |
| 平均 (R): | 3.99% | 0.67% | ||||
| 標準偏差： | 15.94% | 5.40% | ||||
| Cytokinetics Inc. (CYTK) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格CYTK,t1 | 配当CYTK,t1 | RCYTK,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2018/01/31 | $9.20 | 2,823.81 | ||||
| 1. | 2018/02/28 | $7.75 | -15.76% | 2,713.83 | -3.89% | |
| 2. | 2018/03/31 | $7.20 | -7.10% | 2,640.87 | -2.69% | |
| 3. | 2018/04/30 | $8.30 | 15.28% | 2,648.05 | 0.27% | |
| 4. | 2018/05/31 | $9.00 | 8.43% | 2,705.27 | 2.16% | |
| 5. | 2018/06/30 | $8.30 | -7.78% | 2,718.37 | 0.48% | |
| 6. | 2018/07/31 | $7.35 | -11.45% | 2,816.29 | 3.60% | |
| 7. | 2018/08/31 | $7.90 | 7.48% | 2,901.52 | 3.03% | |
| 8. | 2018/09/30 | $9.85 | 24.68% | 2,913.98 | 0.43% | |
| 9. | 2018/10/31 | $6.69 | -32.08% | 2,711.74 | -6.94% | |
| 10. | 2018/11/30 | $7.86 | 17.49% | 2,760.17 | 1.79% | |
| 11. | 2018/12/31 | $6.32 | -19.59% | 2,506.85 | -9.18% | |
| 12. | 2019/01/31 | $7.03 | 11.23% | 2,704.10 | 7.87% | |
| 13. | 2019/02/28 | $7.22 | 2.70% | 2,784.49 | 2.97% | |
| 14. | 2019/03/31 | $8.09 | 12.05% | 2,834.40 | 1.79% | |
| 15. | 2019/04/30 | $8.82 | 9.02% | 2,945.83 | 3.93% | |
| 16. | 2019/05/31 | $10.37 | 17.57% | 2,752.06 | -6.58% | |
| 17. | 2019/06/30 | $11.25 | 8.49% | 2,941.76 | 6.89% | |
| 18. | 2019/07/31 | $12.19 | 8.36% | 2,980.38 | 1.31% | |
| 19. | 2019/08/31 | $14.05 | 15.26% | 2,926.46 | -1.81% | |
| 20. | 2019/09/30 | $11.38 | -19.00% | 2,976.74 | 1.72% | |
| 21. | 2019/10/31 | $11.65 | 2.37% | 3,037.56 | 2.04% | |
| 22. | 2019/11/30 | $9.67 | -17.00% | 3,140.98 | 3.40% | |
| 23. | 2019/12/31 | $10.61 | 9.72% | 3,230.78 | 2.86% | |
| 24. | 2020/01/31 | $12.30 | 15.93% | 3,225.52 | -0.16% | |
| 25. | 2020/02/29 | $13.94 | 13.33% | 2,954.22 | -8.41% | |
| 26. | 2020/03/31 | $11.79 | -15.42% | 2,584.59 | -12.51% | |
| 27. | 2020/04/30 | $15.11 | 28.16% | 2,912.43 | 12.68% | |
| 28. | 2020/05/31 | $20.71 | 37.06% | 3,044.31 | 4.53% | |
| 29. | 2020/06/30 | $23.57 | 13.81% | 3,100.29 | 1.84% | |
| 30. | 2020/07/31 | $21.62 | -8.27% | 3,271.12 | 5.51% | |
| 31. | 2020/08/31 | $23.96 | 10.82% | 3,500.31 | 7.01% | |
| 32. | 2020/09/30 | $21.65 | -9.64% | 3,363.00 | -3.92% | |
| 33. | 2020/10/31 | $15.37 | -29.01% | 3,269.96 | -2.77% | |
| 34. | 2020/11/30 | $16.80 | 9.30% | 3,621.63 | 10.75% | |
| 35. | 2020/12/31 | $20.78 | 23.69% | 3,756.07 | 3.71% | |
| 36. | 2021/01/31 | $19.67 | -5.34% | 3,714.24 | -1.11% | |
| 37. | 2021/02/28 | $18.73 | -4.78% | 3,811.15 | 2.61% | |
| 38. | 2021/03/31 | $23.26 | 24.19% | 3,972.89 | 4.24% | |
| 39. | 2021/04/30 | $25.44 | 9.37% | 4,181.17 | 5.24% | |
| 40. | 2021/05/31 | $21.83 | -14.19% | 4,204.11 | 0.55% | |
| 41. | 2021/06/30 | $19.79 | -9.34% | 4,297.50 | 2.22% | |
| 42. | 2021/07/31 | $29.68 | 49.97% | 4,395.26 | 2.27% | |
| 43. | 2021/08/31 | $32.97 | 11.08% | 4,522.68 | 2.90% | |
| 44. | 2021/09/30 | $35.74 | 8.40% | 4,307.54 | -4.76% | |
| 45. | 2021/10/31 | $34.91 | -2.32% | 4,605.38 | 6.91% | |
| 46. | 2021/11/30 | $39.34 | 12.69% | 4,567.00 | -0.83% | |
| 47. | 2021/12/31 | $45.58 | 15.86% | 4,766.18 | 4.36% | |
| 48. | 2022/01/31 | $33.19 | -27.18% | 4,515.55 | -5.26% | |
| 49. | 2022/02/28 | $35.32 | 6.42% | 4,373.94 | -3.14% | |
| 50. | 2022/03/31 | $36.81 | 4.22% | 4,530.41 | 3.58% | |
| 51. | 2022/04/30 | $39.87 | 8.31% | 4,131.93 | -8.80% | |
| 52. | 2022/05/31 | $39.90 | 0.08% | 4,132.15 | 0.01% | |
| 53. | 2022/06/30 | $39.29 | -1.53% | 3,785.38 | -8.39% | |
| 54. | 2022/07/31 | $42.33 | 7.74% | 4,130.29 | 9.11% | |
| 55. | 2022/08/31 | $52.96 | 25.11% | 3,955.00 | -4.24% | |
| 56. | 2022/09/30 | $48.45 | -8.52% | 3,585.62 | -9.34% | |
| 57. | 2022/10/31 | $43.66 | -9.89% | 3,871.98 | 7.99% | |
| 58. | 2022/11/30 | $42.50 | -2.66% | 4,080.11 | 5.38% | |
| 59. | 2022/12/31 | $45.82 | 7.81% | 3,839.50 | -5.90% | |
| 平均 (R): | 3.99% | 0.67% | ||||
| 標準偏差： | 15.94% | 5.40% | ||||
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CYTK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
Cytokinetics Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RCYTK,t | RS&P 500,t | (RCYTK,t–RCYTK)2 | (RS&P 500,t–RS&P 500)2 | (RCYTK,t–RCYTK)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018/02/28 | -15.76% | -3.89% | 390.27 | 20.81 | 90.11 |
| 2. | 2018/03/31 | -7.10% | -2.69% | 123.01 | 11.26 | 37.21 |
| 3. | 2018/04/30 | 15.28% | 0.27% | 127.32 | 0.16 | -4.45 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022/11/30 | -2.66% | 5.38% | 44.24 | 22.17 | -31.32 |
| 59. | 2022/12/31 | 7.81% | -5.90% | 14.57 | 43.08 | -25.06 |
| トータル (Σ): | 14,745.77 | 1,691.48 | 1,601.42 | |||
| t | 日付 | RCYTK,t | RS&P 500,t | (RCYTK,t–RCYTK)2 | (RS&P 500,t–RS&P 500)2 | (RCYTK,t–RCYTK)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018/02/28 | -15.76% | -3.89% | 390.27 | 20.81 | 90.11 |
| 2. | 2018/03/31 | -7.10% | -2.69% | 123.01 | 11.26 | 37.21 |
| 3. | 2018/04/30 | 15.28% | 0.27% | 127.32 | 0.16 | -4.45 |
| 4. | 2018/05/31 | 8.43% | 2.16% | 19.71 | 2.23 | 6.63 |
| 5. | 2018/06/30 | -7.78% | 0.48% | 138.58 | 0.03 | 2.15 |
| 6. | 2018/07/31 | -11.45% | 3.60% | 238.40 | 8.62 | -45.32 |
| 7. | 2018/08/31 | 7.48% | 3.03% | 12.17 | 5.57 | 8.23 |
| 8. | 2018/09/30 | 24.68% | 0.43% | 428.05 | 0.06 | -4.91 |
| 9. | 2018/10/31 | -32.08% | -6.94% | 1,301.44 | 57.87 | 274.43 |
| 10. | 2018/11/30 | 17.49% | 1.79% | 182.10 | 1.25 | 15.10 |
| 11. | 2018/12/31 | -19.59% | -9.18% | 556.35 | 96.91 | 232.20 |
| 12. | 2019/01/31 | 11.23% | 7.87% | 52.42 | 51.87 | 52.14 |
| 13. | 2019/02/28 | 2.70% | 2.97% | 1.67 | 5.32 | -2.98 |
| 14. | 2019/03/31 | 12.05% | 1.79% | 64.89 | 1.27 | 9.07 |
| 15. | 2019/04/30 | 9.02% | 3.93% | 25.29 | 10.66 | 16.42 |
| 16. | 2019/05/31 | 17.57% | -6.58% | 184.40 | 52.48 | -98.37 |
| 17. | 2019/06/30 | 8.49% | 6.89% | 20.18 | 38.77 | 27.97 |
| 18. | 2019/07/31 | 8.36% | 1.31% | 19.02 | 0.42 | 2.82 |
| 19. | 2019/08/31 | 15.26% | -1.81% | 126.88 | 6.13 | -27.89 |
| 20. | 2019/09/30 | -19.00% | 1.72% | 528.90 | 1.11 | -24.18 |
| 21. | 2019/10/31 | 2.37% | 2.04% | 2.63 | 1.89 | -2.23 |
| 22. | 2019/11/30 | -17.00% | 3.40% | 440.58 | 7.50 | -57.47 |
| 23. | 2019/12/31 | 9.72% | 2.86% | 32.79 | 4.81 | 12.55 |
| 24. | 2020/01/31 | 15.93% | -0.16% | 142.42 | 0.69 | -9.90 |
| 25. | 2020/02/29 | 13.33% | -8.41% | 87.22 | 82.40 | -84.78 |
| 26. | 2020/03/31 | -15.42% | -12.51% | 377.04 | 173.67 | 255.90 |
| 27. | 2020/04/30 | 28.16% | 12.68% | 583.96 | 144.43 | 290.41 |
| 28. | 2020/05/31 | 37.06% | 4.53% | 1,093.44 | 14.91 | 127.69 |
| 29. | 2020/06/30 | 13.81% | 1.84% | 96.34 | 1.37 | 11.51 |
| 30. | 2020/07/31 | -8.27% | 5.51% | 150.49 | 23.46 | -59.42 |
| 31. | 2020/08/31 | 10.82% | 7.01% | 46.64 | 40.19 | 43.29 |
| 32. | 2020/09/30 | -9.64% | -3.92% | 185.92 | 21.06 | 62.58 |
| 33. | 2020/10/31 | -29.01% | -2.77% | 1,089.08 | 11.79 | 113.30 |
| 34. | 2020/11/30 | 9.30% | 10.75% | 28.19 | 101.77 | 53.56 |
| 35. | 2020/12/31 | 23.69% | 3.71% | 387.94 | 9.28 | 59.98 |
| 36. | 2021/01/31 | -5.34% | -1.11% | 87.16 | 3.17 | 16.62 |
| 37. | 2021/02/28 | -4.78% | 2.61% | 76.97 | 3.77 | -17.04 |
| 38. | 2021/03/31 | 24.19% | 4.24% | 407.70 | 12.80 | 72.23 |
| 39. | 2021/04/30 | 9.37% | 5.24% | 28.92 | 20.94 | 24.61 |
| 40. | 2021/05/31 | -14.19% | 0.55% | 330.68 | 0.01 | 2.15 |
| 41. | 2021/06/30 | -9.34% | 2.22% | 177.93 | 2.42 | -20.74 |
| 42. | 2021/07/31 | 49.97% | 2.27% | 2,114.20 | 2.59 | 73.94 |
| 43. | 2021/08/31 | 11.08% | 2.90% | 50.28 | 4.98 | 15.83 |
| 44. | 2021/09/30 | 8.40% | -4.76% | 19.42 | 29.42 | -23.90 |
| 45. | 2021/10/31 | -2.32% | 6.91% | 39.90 | 39.03 | -39.46 |
| 46. | 2021/11/30 | 12.69% | -0.83% | 75.61 | 2.25 | -13.04 |
| 47. | 2021/12/31 | 15.86% | 4.36% | 140.84 | 13.65 | 43.85 |
| 48. | 2022/01/31 | -27.18% | -5.26% | 972.02 | 35.11 | 184.73 |
| 49. | 2022/02/28 | 6.42% | -3.14% | 5.87 | 14.46 | -9.22 |
| 50. | 2022/03/31 | 4.22% | 3.58% | 0.05 | 8.47 | 0.65 |
| 51. | 2022/04/30 | 8.31% | -8.80% | 18.65 | 89.54 | -40.86 |
| 52. | 2022/05/31 | 0.08% | 0.01% | 15.36 | 0.44 | 2.59 |
| 53. | 2022/06/30 | -1.53% | -8.39% | 30.50 | 82.06 | 50.03 |
| 54. | 2022/07/31 | 7.74% | 9.11% | 14.01 | 71.32 | 31.61 |
| 55. | 2022/08/31 | 25.11% | -4.24% | 445.97 | 24.11 | -103.70 |
| 56. | 2022/09/30 | -8.52% | -9.34% | 156.50 | 100.12 | 125.18 |
| 57. | 2022/10/31 | -9.89% | 7.99% | 192.68 | 53.58 | -101.60 |
| 58. | 2022/11/30 | -2.66% | 5.38% | 44.24 | 22.17 | -31.32 |
| 59. | 2022/12/31 | 7.81% | -5.90% | 14.57 | 43.08 | -25.06 |
| トータル (Σ): | 14,745.77 | 1,691.48 | 1,601.42 | |||
すべて表示
分散CYTK = Σ(RCYTK,t–RCYTK)2 ÷ (59 – 1)
= 14,745.77 ÷ (59 – 1)
= 254.24
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16
共 分散CYTK, S&P 500 = Σ(RCYTK,t–RCYTK)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,601.42 ÷ (59 – 1)
= 27.61
システマティックなリスク推定 (β)
| 分散CYTK | 254.24 |
| 分散S&P 500 | 29.16 |
| 共 分散CYTK, S&P 500 | 27.61 |
| 相関係数CYTK, S&P 5001 | 0.32 |
| βCYTK2 | 0.95 |
| αCYTK3 | 3.36% |
計算
1 相関係数CYTK, S&P 500
= 共 分散CYTK, S&P 500 ÷ (標準偏差CYTK × 標準偏差S&P 500)
= 27.61 ÷ (15.94% × 5.40%)
= 0.32
2 βCYTK
= 共 分散CYTK, S&P 500 ÷ 分散S&P 500
= 27.61 ÷ 29.16
= 0.95
3 αCYTK
= 平均CYTK – βCYTK × 平均S&P 500
= 3.99% – 0.95 × 0.67%
= 3.36%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.79% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 17.38% |
| 普通株式 Cytokinetics システマティックリスク | βCYTK | 0.95 |
| サイトキネティクス普通株式の期待収益率3 | E(RCYTK) | 16.71% |
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(RCYTK) = RF + βCYTK [E(RM) – RF]
= 4.79% + 0.95 [17.38% – 4.79%]
= 16.71%