資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Gilead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
Gilead Sciences Inc.、月間収益率
| Gilead Sciences Inc. (GILD) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格GILD,t1 | 配当GILD,t1 | RGILD,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2020/01/31 | $63.20 | 3,225.52 | ||||
| 1. | 2020/02/29 | $69.36 | 9.75% | 2,954.22 | -8.41% | |
| 2. | 2020/03/31 | $74.76 | $0.68 | 8.77% | 2,584.59 | -12.51% |
| 3. | 2020/04/30 | $84.00 | 12.36% | 2,912.43 | 12.68% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024/11/30 | $92.58 | 4.23% | 6,032.38 | 5.73% | |
| 59. | 2024/12/31 | $92.37 | $0.77 | 0.60% | 5,881.63 | -2.50% |
| 平均 (R): | 1.22% | 1.16% | ||||
| 標準偏差： | 7.01% | 5.28% | ||||
| Gilead Sciences Inc. (GILD) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格GILD,t1 | 配当GILD,t1 | RGILD,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2020/01/31 | $63.20 | 3,225.52 | ||||
| 1. | 2020/02/29 | $69.36 | 9.75% | 2,954.22 | -8.41% | |
| 2. | 2020/03/31 | $74.76 | $0.68 | 8.77% | 2,584.59 | -12.51% |
| 3. | 2020/04/30 | $84.00 | 12.36% | 2,912.43 | 12.68% | |
| 4. | 2020/05/31 | $77.83 | -7.35% | 3,044.31 | 4.53% | |
| 5. | 2020/06/30 | $76.94 | $0.68 | -0.27% | 3,100.29 | 1.84% |
| 6. | 2020/07/31 | $69.53 | -9.63% | 3,271.12 | 5.51% | |
| 7. | 2020/08/31 | $66.75 | -4.00% | 3,500.31 | 7.01% | |
| 8. | 2020/09/30 | $63.19 | $0.68 | -4.31% | 3,363.00 | -3.92% |
| 9. | 2020/10/31 | $58.15 | -7.98% | 3,269.96 | -2.77% | |
| 10. | 2020/11/30 | $60.67 | 4.33% | 3,621.63 | 10.75% | |
| 11. | 2020/12/31 | $58.26 | $0.68 | -2.85% | 3,756.07 | 3.71% |
| 12. | 2021/01/31 | $65.60 | 12.60% | 3,714.24 | -1.11% | |
| 13. | 2021/02/28 | $61.40 | -6.40% | 3,811.15 | 2.61% | |
| 14. | 2021/03/31 | $64.63 | $0.71 | 6.42% | 3,972.89 | 4.24% |
| 15. | 2021/04/30 | $63.47 | -1.79% | 4,181.17 | 5.24% | |
| 16. | 2021/05/31 | $66.11 | 4.16% | 4,204.11 | 0.55% | |
| 17. | 2021/06/30 | $68.86 | $0.71 | 5.23% | 4,297.50 | 2.22% |
| 18. | 2021/07/31 | $68.29 | -0.83% | 4,395.26 | 2.27% | |
| 19. | 2021/08/31 | $72.78 | 6.57% | 4,522.68 | 2.90% | |
| 20. | 2021/09/30 | $69.85 | $0.71 | -3.05% | 4,307.54 | -4.76% |
| 21. | 2021/10/31 | $64.88 | -7.12% | 4,605.38 | 6.91% | |
| 22. | 2021/11/30 | $68.93 | 6.24% | 4,567.00 | -0.83% | |
| 23. | 2021/12/31 | $72.61 | $0.71 | 6.37% | 4,766.18 | 4.36% |
| 24. | 2022/01/31 | $68.68 | -5.41% | 4,515.55 | -5.26% | |
| 25. | 2022/02/28 | $60.40 | -12.06% | 4,373.94 | -3.14% | |
| 26. | 2022/03/31 | $59.45 | $0.73 | -0.36% | 4,530.41 | 3.58% |
| 27. | 2022/04/30 | $59.34 | -0.19% | 4,131.93 | -8.80% | |
| 28. | 2022/05/31 | $64.85 | 9.29% | 4,132.15 | 0.01% | |
| 29. | 2022/06/30 | $61.81 | $0.73 | -3.56% | 3,785.38 | -8.39% |
| 30. | 2022/07/31 | $59.75 | -3.33% | 4,130.29 | 9.11% | |
| 31. | 2022/08/31 | $63.47 | 6.23% | 3,955.00 | -4.24% | |
| 32. | 2022/09/30 | $61.69 | $0.73 | -1.65% | 3,585.62 | -9.34% |
| 33. | 2022/10/31 | $78.46 | 27.18% | 3,871.98 | 7.99% | |
| 34. | 2022/11/30 | $87.83 | 11.94% | 4,080.11 | 5.38% | |
| 35. | 2022/12/31 | $85.85 | $0.73 | -1.42% | 3,839.50 | -5.90% |
| 36. | 2023/01/31 | $83.94 | -2.22% | 4,076.60 | 6.18% | |
| 37. | 2023/02/28 | $80.53 | -4.06% | 3,970.15 | -2.61% | |
| 38. | 2023/03/31 | $82.97 | $0.75 | 3.96% | 4,109.31 | 3.51% |
| 39. | 2023/04/30 | $82.21 | -0.92% | 4,169.48 | 1.46% | |
| 40. | 2023/05/31 | $76.94 | -6.41% | 4,179.83 | 0.25% | |
| 41. | 2023/06/30 | $77.07 | $0.75 | 1.14% | 4,376.86 | 4.71% |
| 42. | 2023/07/31 | $76.14 | -1.21% | 4,588.96 | 4.85% | |
| 43. | 2023/08/31 | $76.48 | 0.45% | 4,507.66 | -1.77% | |
| 44. | 2023/09/30 | $74.94 | $0.75 | -1.03% | 4,288.05 | -4.87% |
| 45. | 2023/10/31 | $78.54 | 4.80% | 4,193.80 | -2.20% | |
| 46. | 2023/11/30 | $76.60 | -2.47% | 4,567.80 | 8.92% | |
| 47. | 2023/12/31 | $81.01 | $0.75 | 6.74% | 4,769.83 | 4.42% |
| 48. | 2024/01/31 | $78.26 | -3.39% | 4,845.65 | 1.59% | |
| 49. | 2024/02/29 | $72.10 | -7.87% | 5,096.27 | 5.17% | |
| 50. | 2024/03/31 | $73.25 | $0.77 | 2.66% | 5,254.35 | 3.10% |
| 51. | 2024/04/30 | $65.20 | -10.99% | 5,035.69 | -4.16% | |
| 52. | 2024/05/31 | $64.27 | -1.43% | 5,277.51 | 4.80% | |
| 53. | 2024/06/30 | $68.61 | $0.77 | 7.95% | 5,460.48 | 3.47% |
| 54. | 2024/07/31 | $76.06 | 10.86% | 5,522.30 | 1.13% | |
| 55. | 2024/08/31 | $79.00 | 3.87% | 5,648.40 | 2.28% | |
| 56. | 2024/09/30 | $83.84 | $0.77 | 7.10% | 5,762.48 | 2.02% |
| 57. | 2024/10/31 | $88.82 | 5.94% | 5,705.45 | -0.99% | |
| 58. | 2024/11/30 | $92.58 | 4.23% | 6,032.38 | 5.73% | |
| 59. | 2024/12/31 | $92.37 | $0.77 | 0.60% | 5,881.63 | -2.50% |
| 平均 (R): | 1.22% | 1.16% | ||||
| 標準偏差： | 7.01% | 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GILD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
Gilead Sciences Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RGILD,t | RS&P 500,t | (RGILD,t–RGILD)2 | (RS&P 500,t–RS&P 500)2 | (RGILD,t–RGILD)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020/02/29 | 9.75% | -8.41% | 72.65 | 91.63 | -81.59 |
| 2. | 2020/03/31 | 8.77% | -12.51% | 56.89 | 186.96 | -103.13 |
| 3. | 2020/04/30 | 12.36% | 12.68% | 124.02 | 132.78 | 128.32 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024/11/30 | 4.23% | 5.73% | 9.06 | 20.87 | 13.75 |
| 59. | 2024/12/31 | 0.60% | -2.50% | 0.38 | 13.40 | 2.26 |
| トータル (Σ): | 2,851.46 | 1,618.62 | 282.17 | |||
| t | 日付 | RGILD,t | RS&P 500,t | (RGILD,t–RGILD)2 | (RS&P 500,t–RS&P 500)2 | (RGILD,t–RGILD)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020/02/29 | 9.75% | -8.41% | 72.65 | 91.63 | -81.59 |
| 2. | 2020/03/31 | 8.77% | -12.51% | 56.89 | 186.96 | -103.13 |
| 3. | 2020/04/30 | 12.36% | 12.68% | 124.02 | 132.78 | 128.32 |
| 4. | 2020/05/31 | -7.35% | 4.53% | 73.42 | 11.34 | -28.85 |
| 5. | 2020/06/30 | -0.27% | 1.84% | 2.23 | 0.46 | -1.01 |
| 6. | 2020/07/31 | -9.63% | 5.51% | 117.81 | 18.91 | -47.20 |
| 7. | 2020/08/31 | -4.00% | 7.01% | 27.26 | 34.17 | -30.52 |
| 8. | 2020/09/30 | -4.31% | -3.92% | 30.67 | 25.85 | 28.16 |
| 9. | 2020/10/31 | -7.98% | -2.77% | 84.63 | 15.43 | 36.13 |
| 10. | 2020/11/30 | 4.33% | 10.75% | 9.67 | 92.03 | 29.84 |
| 11. | 2020/12/31 | -2.85% | 3.71% | 16.60 | 6.51 | -10.39 |
| 12. | 2021/01/31 | 12.60% | -1.11% | 129.40 | 5.18 | -25.88 |
| 13. | 2021/02/28 | -6.40% | 2.61% | 58.15 | 2.10 | -11.04 |
| 14. | 2021/03/31 | 6.42% | 4.24% | 26.97 | 9.50 | 16.01 |
| 15. | 2021/04/30 | -1.79% | 5.24% | 9.11 | 16.66 | -12.32 |
| 16. | 2021/05/31 | 4.16% | 0.55% | 8.62 | 0.38 | -1.80 |
| 17. | 2021/06/30 | 5.23% | 2.22% | 16.08 | 1.12 | 4.25 |
| 18. | 2021/07/31 | -0.83% | 2.27% | 4.21 | 1.24 | -2.28 |
| 19. | 2021/08/31 | 6.57% | 2.90% | 28.64 | 3.02 | 9.30 |
| 20. | 2021/09/30 | -3.05% | -4.76% | 18.26 | 35.02 | 25.29 |
| 21. | 2021/10/31 | -7.12% | 6.91% | 69.53 | 33.10 | -47.97 |
| 22. | 2021/11/30 | 6.24% | -0.83% | 25.19 | 3.98 | -10.01 |
| 23. | 2021/12/31 | 6.37% | 4.36% | 26.48 | 10.24 | 16.47 |
| 24. | 2022/01/31 | -5.41% | -5.26% | 44.03 | 41.21 | 42.60 |
| 25. | 2022/02/28 | -12.06% | -3.14% | 176.34 | 18.47 | 57.07 |
| 26. | 2022/03/31 | -0.36% | 3.58% | 2.52 | 5.84 | -3.84 |
| 27. | 2022/04/30 | -0.19% | -8.80% | 1.98 | 99.14 | 14.02 |
| 28. | 2022/05/31 | 9.29% | 0.01% | 65.00 | 1.34 | -9.32 |
| 29. | 2022/06/30 | -3.56% | -8.39% | 22.90 | 91.26 | 45.72 |
| 30. | 2022/07/31 | -3.33% | 9.11% | 20.76 | 63.21 | -36.22 |
| 31. | 2022/08/31 | 6.23% | -4.24% | 25.03 | 29.22 | -27.04 |
| 32. | 2022/09/30 | -1.65% | -9.34% | 8.28 | 110.27 | 30.22 |
| 33. | 2022/10/31 | 27.18% | 7.99% | 673.97 | 46.58 | 177.19 |
| 34. | 2022/11/30 | 11.94% | 5.38% | 114.90 | 17.76 | 45.17 |
| 35. | 2022/12/31 | -1.42% | -5.90% | 7.00 | 49.82 | 18.68 |
| 36. | 2023/01/31 | -2.22% | 6.18% | 11.89 | 25.14 | -17.29 |
| 37. | 2023/02/28 | -4.06% | -2.61% | 27.94 | 14.23 | 19.94 |
| 38. | 2023/03/31 | 3.96% | 3.51% | 7.50 | 5.49 | 6.42 |
| 39. | 2023/04/30 | -0.92% | 1.46% | 4.58 | 0.09 | -0.65 |
| 40. | 2023/05/31 | -6.41% | 0.25% | 58.27 | 0.83 | 6.97 |
| 41. | 2023/06/30 | 1.14% | 4.71% | 0.01 | 12.62 | -0.28 |
| 42. | 2023/07/31 | -1.21% | 4.85% | 5.90 | 13.58 | -8.95 |
| 43. | 2023/08/31 | 0.45% | -1.77% | 0.60 | 8.60 | 2.28 |
| 44. | 2023/09/30 | -1.03% | -4.87% | 5.09 | 36.40 | 13.61 |
| 45. | 2023/10/31 | 4.80% | -2.20% | 12.82 | 11.28 | -12.03 |
| 46. | 2023/11/30 | -2.47% | 8.92% | 13.64 | 60.17 | -28.65 |
| 47. | 2023/12/31 | 6.74% | 4.42% | 30.39 | 10.64 | 17.98 |
| 48. | 2024/01/31 | -3.39% | 1.59% | 21.33 | 0.18 | -1.98 |
| 49. | 2024/02/29 | -7.87% | 5.17% | 82.71 | 16.09 | -36.48 |
| 50. | 2024/03/31 | 2.66% | 3.10% | 2.07 | 3.77 | 2.79 |
| 51. | 2024/04/30 | -10.99% | -4.16% | 149.16 | 28.33 | 65.01 |
| 52. | 2024/05/31 | -1.43% | 4.80% | 7.02 | 13.26 | -9.65 |
| 53. | 2024/06/30 | 7.95% | 3.47% | 45.26 | 5.32 | 15.51 |
| 54. | 2024/07/31 | 10.86% | 1.13% | 92.84 | 0.00 | -0.28 |
| 55. | 2024/08/31 | 3.87% | 2.28% | 6.98 | 1.26 | 2.96 |
| 56. | 2024/09/30 | 7.10% | 2.02% | 34.55 | 0.74 | 5.05 |
| 57. | 2024/10/31 | 5.94% | -0.99% | 22.25 | 4.63 | -10.15 |
| 58. | 2024/11/30 | 4.23% | 5.73% | 9.06 | 20.87 | 13.75 |
| 59. | 2024/12/31 | 0.60% | -2.50% | 0.38 | 13.40 | 2.26 |
| トータル (Σ): | 2,851.46 | 1,618.62 | 282.17 | |||
すべて表示
分散GILD = Σ(RGILD,t–RGILD)2 ÷ (59 – 1)
= 2,851.46 ÷ (59 – 1)
= 49.16
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GILD, S&P 500 = Σ(RGILD,t–RGILD)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 282.17 ÷ (59 – 1)
= 4.86
システマティックなリスク推定 (β)
| 分散GILD | 49.16 |
| 分散S&P 500 | 27.91 |
| 共 分散GILD, S&P 500 | 4.86 |
| 相関係数GILD, S&P 5001 | 0.13 |
| βGILD2 | 0.17 |
| αGILD3 | 1.02% |
計算
1 相関係数GILD, S&P 500
= 共 分散GILD, S&P 500 ÷ (標準偏差GILD × 標準偏差S&P 500)
= 4.86 ÷ (7.01% × 5.28%)
= 0.13
2 βGILD
= 共 分散GILD, S&P 500 ÷ 分散S&P 500
= 4.86 ÷ 27.91
= 0.17
3 αGILD
= 平均GILD – βGILD × 平均S&P 500
= 1.22% – 0.17 × 1.16%
= 1.02%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.95% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.71% |
| 普通株式 Gilead システマティックリスク | βGILD | 0.17 |
| ギリアド社普通株式の期待収益率3 | E(RGILD) | 6.65% |
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(RGILD) = RF + βGILD [E(RM) – RF]
= 4.95% + 0.17 [14.71% – 4.95%]
= 6.65%