資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、普通株式 Expand Energyのようなリスク資産の予想または必要な収益率を示します。
収益率
Expand Energy Corp.、月間収益率
| Expand Energy Corp. (EXE) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格EXE,t1 | 配当EXE,t1 | REXE,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2021/02/28 | $44.18 | 3,811.15 | ||||
| 1. | 2021/03/31 | $43.39 | -1.79% | 3,972.89 | 4.24% | |
| 2. | 2021/04/30 | $45.57 | 5.02% | 4,181.17 | 5.24% | |
| 3. | 2021/05/31 | $52.80 | $0.34375 | 16.62% | 4,204.11 | 0.55% |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 45. | 2024/11/30 | $98.96 | $0.575 | 17.49% | 6,032.38 | 5.73% |
| 46. | 2024/12/31 | $99.55 | 0.60% | 5,881.63 | -2.50% | |
| 平均 (R): | 2.54% | 1.06% | ||||
| 標準偏差： | 8.43% | 4.70% | ||||
| Expand Energy Corp. (EXE) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格EXE,t1 | 配当EXE,t1 | REXE,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2021/02/28 | $44.18 | 3,811.15 | ||||
| 1. | 2021/03/31 | $43.39 | -1.79% | 3,972.89 | 4.24% | |
| 2. | 2021/04/30 | $45.57 | 5.02% | 4,181.17 | 5.24% | |
| 3. | 2021/05/31 | $52.80 | $0.34375 | 16.62% | 4,204.11 | 0.55% |
| 4. | 2021/06/30 | $51.92 | -1.67% | 4,297.50 | 2.22% | |
| 5. | 2021/07/31 | $54.05 | 4.10% | 4,395.26 | 2.27% | |
| 6. | 2021/08/31 | $55.81 | $0.34375 | 3.89% | 4,522.68 | 2.90% |
| 7. | 2021/09/30 | $61.59 | 10.36% | 4,307.54 | -4.76% | |
| 8. | 2021/10/31 | $63.74 | 3.49% | 4,605.38 | 6.91% | |
| 9. | 2021/11/30 | $59.54 | $0.4375 | -5.90% | 4,567.00 | -0.83% |
| 10. | 2021/12/31 | $64.52 | 8.36% | 4,766.18 | 4.36% | |
| 11. | 2022/01/31 | $68.17 | 5.66% | 4,515.55 | -5.26% | |
| 12. | 2022/02/28 | $77.25 | 13.32% | 4,373.94 | -3.14% | |
| 13. | 2022/03/31 | $87.00 | $1.7675 | 14.91% | 4,530.41 | 3.58% |
| 14. | 2022/04/30 | $82.02 | -5.72% | 4,131.93 | -8.80% | |
| 15. | 2022/05/31 | $97.38 | $2.34 | 21.58% | 4,132.15 | 0.01% |
| 16. | 2022/06/30 | $81.10 | -16.72% | 3,785.38 | -8.39% | |
| 17. | 2022/07/31 | $94.17 | 16.12% | 4,130.29 | 9.11% | |
| 18. | 2022/08/31 | $100.49 | $2.32 | 9.17% | 3,955.00 | -4.24% |
| 19. | 2022/09/30 | $94.21 | -6.25% | 3,585.62 | -9.34% | |
| 20. | 2022/10/31 | $102.27 | 8.56% | 3,871.98 | 7.99% | |
| 21. | 2022/11/30 | $103.50 | $3.16 | 4.29% | 4,080.11 | 5.38% |
| 22. | 2022/12/31 | $94.37 | -8.82% | 3,839.50 | -5.90% | |
| 23. | 2023/01/31 | $86.72 | -8.11% | 4,076.60 | 6.18% | |
| 24. | 2023/02/28 | $80.81 | -6.82% | 3,970.15 | -2.61% | |
| 25. | 2023/03/31 | $76.04 | $1.29 | -4.31% | 4,109.31 | 3.51% |
| 26. | 2023/04/30 | $82.68 | 8.73% | 4,169.48 | 1.46% | |
| 27. | 2023/05/31 | $75.25 | $1.18 | -7.56% | 4,179.83 | 0.25% |
| 28. | 2023/06/30 | $83.68 | 11.20% | 4,376.86 | 4.71% | |
| 29. | 2023/07/31 | $84.34 | 0.79% | 4,588.96 | 4.85% | |
| 30. | 2023/08/31 | $88.21 | $0.575 | 5.27% | 4,507.66 | -1.77% |
| 31. | 2023/09/30 | $86.23 | -2.24% | 4,288.05 | -4.87% | |
| 32. | 2023/10/31 | $86.08 | -0.17% | 4,193.80 | -2.20% | |
| 33. | 2023/11/30 | $80.31 | $0.575 | -6.04% | 4,567.80 | 8.92% |
| 34. | 2023/12/31 | $76.94 | -4.20% | 4,769.83 | 4.42% | |
| 35. | 2024/01/31 | $77.11 | 0.22% | 4,845.65 | 1.59% | |
| 36. | 2024/02/29 | $82.78 | 7.35% | 5,096.27 | 5.17% | |
| 37. | 2024/03/31 | $88.83 | $0.575 | 8.00% | 5,254.35 | 3.10% |
| 38. | 2024/04/30 | $89.88 | 1.18% | 5,035.69 | -4.16% | |
| 39. | 2024/05/31 | $90.93 | $0.715 | 1.96% | 5,277.51 | 4.80% |
| 40. | 2024/06/30 | $82.19 | -9.61% | 5,460.48 | 3.47% | |
| 41. | 2024/07/31 | $76.33 | -7.13% | 5,522.30 | 1.13% | |
| 42. | 2024/08/31 | $74.49 | $0.575 | -1.66% | 5,648.40 | 2.28% |
| 43. | 2024/09/30 | $82.25 | 10.42% | 5,762.48 | 2.02% | |
| 44. | 2024/10/31 | $84.72 | 3.00% | 5,705.45 | -0.99% | |
| 45. | 2024/11/30 | $98.96 | $0.575 | 17.49% | 6,032.38 | 5.73% |
| 46. | 2024/12/31 | $99.55 | 0.60% | 5,881.63 | -2.50% | |
| 平均 (R): | 2.54% | 1.06% | ||||
| 標準偏差： | 8.43% | 4.70% | ||||
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EXE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
Expand Energy Corp.、分散の計算、および戻り値の共分散
| t | 日付 | REXE,t | RS&P 500,t | (REXE,t–REXE)2 | (RS&P 500,t–RS&P 500)2 | (REXE,t–REXE)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021/03/31 | -1.79% | 4.24% | 18.76 | 10.16 | -13.80 |
| 2. | 2021/04/30 | 5.02% | 5.24% | 6.16 | 17.52 | 10.39 |
| 3. | 2021/05/31 | 16.62% | 0.55% | 198.17 | 0.26 | -7.15 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 45. | 2024/11/30 | 17.49% | 5.73% | 223.33 | 21.84 | 69.84 |
| 46. | 2024/12/31 | 0.60% | -2.50% | 3.79 | 12.64 | 6.92 |
| トータル (Σ): | 3,198.47 | 994.78 | 508.85 | |||
| t | 日付 | REXE,t | RS&P 500,t | (REXE,t–REXE)2 | (RS&P 500,t–RS&P 500)2 | (REXE,t–REXE)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021/03/31 | -1.79% | 4.24% | 18.76 | 10.16 | -13.80 |
| 2. | 2021/04/30 | 5.02% | 5.24% | 6.16 | 17.52 | 10.39 |
| 3. | 2021/05/31 | 16.62% | 0.55% | 198.17 | 0.26 | -7.15 |
| 4. | 2021/06/30 | -1.67% | 2.22% | 17.72 | 1.36 | -4.90 |
| 5. | 2021/07/31 | 4.10% | 2.27% | 2.43 | 1.48 | 1.90 |
| 6. | 2021/08/31 | 3.89% | 2.90% | 1.82 | 3.40 | 2.49 |
| 7. | 2021/09/30 | 10.36% | -4.76% | 61.05 | 33.80 | -45.42 |
| 8. | 2021/10/31 | 3.49% | 6.91% | 0.90 | 34.32 | 5.55 |
| 9. | 2021/11/30 | -5.90% | -0.83% | 71.33 | 3.57 | 15.96 |
| 10. | 2021/12/31 | 8.36% | 4.36% | 33.89 | 10.92 | 19.24 |
| 11. | 2022/01/31 | 5.66% | -5.26% | 9.70 | 39.88 | -19.67 |
| 12. | 2022/02/28 | 13.32% | -3.14% | 116.14 | 17.58 | -45.18 |
| 13. | 2022/03/31 | 14.91% | 3.58% | 152.93 | 6.35 | 31.17 |
| 14. | 2022/04/30 | -5.72% | -8.80% | 68.34 | 97.06 | 81.45 |
| 15. | 2022/05/31 | 21.58% | 0.01% | 362.42 | 1.10 | -20.01 |
| 16. | 2022/06/30 | -16.72% | -8.39% | 370.98 | 89.27 | 181.99 |
| 17. | 2022/07/31 | 16.12% | 9.11% | 184.23 | 64.89 | 109.33 |
| 18. | 2022/08/31 | 9.17% | -4.24% | 43.98 | 28.10 | -35.15 |
| 19. | 2022/09/30 | -6.25% | -9.34% | 77.30 | 108.08 | 91.40 |
| 20. | 2022/10/31 | 8.56% | 7.99% | 36.15 | 48.02 | 41.67 |
| 21. | 2022/11/30 | 4.29% | 5.38% | 3.06 | 18.65 | 7.56 |
| 22. | 2022/12/31 | -8.82% | -5.90% | 129.14 | 48.35 | 79.02 |
| 23. | 2023/01/31 | -8.11% | 6.18% | 113.41 | 26.20 | -54.51 |
| 24. | 2023/02/28 | -6.82% | -2.61% | 87.57 | 13.45 | 34.32 |
| 25. | 2023/03/31 | -4.31% | 3.51% | 46.91 | 6.00 | -16.77 |
| 26. | 2023/04/30 | 8.73% | 1.46% | 38.31 | 0.17 | 2.52 |
| 27. | 2023/05/31 | -7.56% | 0.25% | 102.05 | 0.65 | 8.16 |
| 28. | 2023/06/30 | 11.20% | 4.71% | 74.99 | 13.38 | 31.67 |
| 29. | 2023/07/31 | 0.79% | 4.85% | 3.08 | 14.36 | -6.65 |
| 30. | 2023/08/31 | 5.27% | -1.77% | 7.44 | 8.00 | -7.71 |
| 31. | 2023/09/30 | -2.24% | -4.87% | 22.92 | 35.15 | 28.38 |
| 32. | 2023/10/31 | -0.17% | -2.20% | 7.38 | 10.59 | 8.84 |
| 33. | 2023/11/30 | -6.04% | 8.92% | 73.58 | 61.80 | -67.43 |
| 34. | 2023/12/31 | -4.20% | 4.42% | 45.41 | 11.33 | -22.69 |
| 35. | 2024/01/31 | 0.22% | 1.59% | 5.39 | 0.28 | -1.24 |
| 36. | 2024/02/29 | 7.35% | 5.17% | 23.14 | 16.94 | 19.80 |
| 37. | 2024/03/31 | 8.00% | 3.10% | 29.82 | 4.18 | 11.17 |
| 38. | 2024/04/30 | 1.18% | -4.16% | 1.85 | 27.23 | 7.10 |
| 39. | 2024/05/31 | 1.96% | 4.80% | 0.34 | 14.03 | -2.17 |
| 40. | 2024/06/30 | -9.61% | 3.47% | 147.73 | 5.81 | -29.30 |
| 41. | 2024/07/31 | -7.13% | 1.13% | 93.56 | 0.01 | -0.73 |
| 42. | 2024/08/31 | -1.66% | 2.28% | 17.64 | 1.51 | -5.15 |
| 43. | 2024/09/30 | 10.42% | 2.02% | 62.01 | 0.93 | 7.59 |
| 44. | 2024/10/31 | 3.00% | -0.99% | 0.21 | 4.19 | -0.94 |
| 45. | 2024/11/30 | 17.49% | 5.73% | 223.33 | 21.84 | 69.84 |
| 46. | 2024/12/31 | 0.60% | -2.50% | 3.79 | 12.64 | 6.92 |
| トータル (Σ): | 3,198.47 | 994.78 | 508.85 | |||
すべて表示
分散EXE = Σ(REXE,t–REXE)2 ÷ (46 – 1)
= 3,198.47 ÷ (46 – 1)
= 71.08
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (46 – 1)
= 994.78 ÷ (46 – 1)
= 22.11
共 分散EXE, S&P 500 = Σ(REXE,t–REXE)×(RS&P 500,t–RS&P 500) ÷ (46 – 1)
= 508.85 ÷ (46 – 1)
= 11.31
システマティックなリスク推定 (β)
| 分散EXE | 71.08 |
| 分散S&P 500 | 22.11 |
| 共 分散EXE, S&P 500 | 11.31 |
| 相関係数EXE, S&P 5001 | 0.29 |
| βEXE2 | 0.51 |
| αEXE3 | 2.00% |
計算
1 相関係数EXE, S&P 500
= 共 分散EXE, S&P 500 ÷ (標準偏差EXE × 標準偏差S&P 500)
= 11.31 ÷ (8.43% × 4.70%)
= 0.29
2 βEXE
= 共 分散EXE, S&P 500 ÷ 分散S&P 500
= 11.31 ÷ 22.11
= 0.51
3 αEXE
= 平均EXE – βEXE × 平均S&P 500
= 2.54% – 0.51 × 1.06%
= 2.00%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.90% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.97% |
| 普通株式のシステマティックリスクExpand Energy | βEXE | 0.51 |
| Expand Energyの普通株式の予想収益率3 | E(REXE) | 10.05% |
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(REXE) = RF + βEXE [E(RM) – RF]
= 4.90% + 0.51 [14.97% – 4.90%]
= 10.05%