資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Kraft Heinz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
Kraft Heinz Co.、月間収益率
| Kraft Heinz Co. (KHC) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格KHC,t1 | 配当KHC,t1 | RKHC,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2015/07/31 | $79.47 | 2,103.84 | ||||
| 1. | 2015/08/31 | $72.66 | -8.57% | 1,972.18 | -6.26% | |
| 2. | 2015/09/30 | $70.58 | -2.86% | 1,920.03 | -2.64% | |
| 3. | 2015/10/31 | $77.97 | 10.47% | 2,079.36 | 8.30% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 52. | 2019/11/30 | $30.50 | $0.40 | -4.42% | 3,140.98 | 3.40% |
| 53. | 2019/12/31 | $32.13 | 5.34% | 3,230.78 | 2.86% | |
| 平均 (R): | -1.00% | 0.87% | ||||
| 標準偏差： | 8.39% | 3.54% | ||||
| Kraft Heinz Co. (KHC) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格KHC,t1 | 配当KHC,t1 | RKHC,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2015/07/31 | $79.47 | 2,103.84 | ||||
| 1. | 2015/08/31 | $72.66 | -8.57% | 1,972.18 | -6.26% | |
| 2. | 2015/09/30 | $70.58 | -2.86% | 1,920.03 | -2.64% | |
| 3. | 2015/10/31 | $77.97 | 10.47% | 2,079.36 | 8.30% | |
| 4. | 2015/11/30 | $73.69 | $0.575 | -4.75% | 2,080.41 | 0.05% |
| 5. | 2015/12/31 | $72.76 | $0.575 | -0.48% | 2,043.94 | -1.75% |
| 6. | 2016/01/31 | $78.06 | 7.28% | 1,940.24 | -5.07% | |
| 7. | 2016/02/29 | $77.02 | -1.33% | 1,932.23 | -0.41% | |
| 8. | 2016/03/31 | $78.56 | $0.575 | 2.75% | 2,059.74 | 6.60% |
| 9. | 2016/04/30 | $78.07 | -0.62% | 2,065.30 | 0.27% | |
| 10. | 2016/05/31 | $83.19 | $0.575 | 7.29% | 2,096.95 | 1.53% |
| 11. | 2016/06/30 | $88.48 | 6.36% | 2,098.86 | 0.09% | |
| 12. | 2016/07/31 | $86.39 | -2.36% | 2,173.60 | 3.56% | |
| 13. | 2016/08/31 | $89.49 | $0.60 | 4.28% | 2,170.95 | -0.12% |
| 14. | 2016/09/30 | $89.51 | 0.02% | 2,168.27 | -0.12% | |
| 15. | 2016/10/31 | $88.95 | -0.63% | 2,126.15 | -1.94% | |
| 16. | 2016/11/30 | $81.65 | $0.60 | -7.53% | 2,198.81 | 3.42% |
| 17. | 2016/12/31 | $87.32 | 6.94% | 2,238.83 | 1.82% | |
| 18. | 2017/01/31 | $89.29 | 2.26% | 2,278.87 | 1.79% | |
| 19. | 2017/02/28 | $91.51 | 2.49% | 2,363.64 | 3.72% | |
| 20. | 2017/03/31 | $90.81 | $0.60 | -0.11% | 2,362.72 | -0.04% |
| 21. | 2017/04/30 | $90.39 | -0.46% | 2,384.20 | 0.91% | |
| 22. | 2017/05/31 | $92.20 | $0.60 | 2.67% | 2,411.80 | 1.16% |
| 23. | 2017/06/30 | $85.64 | -7.11% | 2,423.41 | 0.48% | |
| 24. | 2017/07/31 | $87.46 | 2.13% | 2,470.30 | 1.93% | |
| 25. | 2017/08/31 | $80.75 | $0.625 | -6.96% | 2,471.65 | 0.05% |
| 26. | 2017/09/30 | $77.55 | -3.96% | 2,519.36 | 1.93% | |
| 27. | 2017/10/31 | $77.33 | -0.28% | 2,575.26 | 2.22% | |
| 28. | 2017/11/30 | $81.37 | $0.625 | 6.03% | 2,647.58 | 2.81% |
| 29. | 2017/12/31 | $77.76 | -4.44% | 2,673.61 | 0.98% | |
| 30. | 2018/01/31 | $78.39 | 0.81% | 2,823.81 | 5.62% | |
| 31. | 2018/02/28 | $67.05 | -14.47% | 2,713.83 | -3.89% | |
| 32. | 2018/03/31 | $62.29 | $0.625 | -6.17% | 2,640.87 | -2.69% |
| 33. | 2018/04/30 | $56.38 | -9.49% | 2,648.05 | 0.27% | |
| 34. | 2018/05/31 | $57.48 | $0.625 | 3.06% | 2,705.27 | 2.16% |
| 35. | 2018/06/30 | $62.82 | 9.29% | 2,718.37 | 0.48% | |
| 36. | 2018/07/31 | $60.25 | -4.09% | 2,816.29 | 3.60% | |
| 37. | 2018/08/31 | $58.27 | $0.625 | -2.25% | 2,901.52 | 3.03% |
| 38. | 2018/09/30 | $55.11 | -5.42% | 2,913.98 | 0.43% | |
| 39. | 2018/10/31 | $54.97 | -0.25% | 2,711.74 | -6.94% | |
| 40. | 2018/11/30 | $51.12 | $0.625 | -5.87% | 2,760.17 | 1.79% |
| 41. | 2018/12/31 | $43.04 | -15.81% | 2,506.85 | -9.18% | |
| 42. | 2019/01/31 | $48.06 | 11.66% | 2,704.10 | 7.87% | |
| 43. | 2019/02/28 | $33.19 | -30.94% | 2,784.49 | 2.97% | |
| 44. | 2019/03/31 | $32.65 | $0.40 | -0.42% | 2,834.40 | 1.79% |
| 45. | 2019/04/30 | $33.24 | 1.81% | 2,945.83 | 3.93% | |
| 46. | 2019/05/31 | $27.65 | $0.40 | -15.61% | 2,752.06 | -6.58% |
| 47. | 2019/06/30 | $31.04 | 12.26% | 2,941.76 | 6.89% | |
| 48. | 2019/07/31 | $32.01 | 3.12% | 2,980.38 | 1.31% | |
| 49. | 2019/08/31 | $25.52 | $0.40 | -19.03% | 2,926.46 | -1.81% |
| 50. | 2019/09/30 | $27.93 | 9.44% | 2,976.74 | 1.72% | |
| 51. | 2019/10/31 | $32.33 | 15.75% | 3,037.56 | 2.04% | |
| 52. | 2019/11/30 | $30.50 | $0.40 | -4.42% | 3,140.98 | 3.40% |
| 53. | 2019/12/31 | $32.13 | 5.34% | 3,230.78 | 2.86% | |
| 平均 (R): | -1.00% | 0.87% | ||||
| 標準偏差： | 8.39% | 3.54% | ||||
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KHC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
Kraft Heinz Co.、分散の計算、および戻り値の共分散
| t | 日付 | RKHC,t | RS&P 500,t | (RKHC,t–RKHC)2 | (RS&P 500,t–RS&P 500)2 | (RKHC,t–RKHC)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2015/08/31 | -8.57% | -6.26% | 57.24 | 50.87 | 53.96 |
| 2. | 2015/09/30 | -2.86% | -2.64% | 3.46 | 12.38 | 6.54 |
| 3. | 2015/10/31 | 10.47% | 8.30% | 131.65 | 55.11 | 85.18 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 52. | 2019/11/30 | -4.42% | 3.40% | 11.70 | 6.40 | -8.65 |
| 53. | 2019/12/31 | 5.34% | 2.86% | 40.29 | 3.94 | 12.60 |
| トータル (Σ): | 3,657.69 | 650.55 | 667.22 | |||
| t | 日付 | RKHC,t | RS&P 500,t | (RKHC,t–RKHC)2 | (RS&P 500,t–RS&P 500)2 | (RKHC,t–RKHC)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2015/08/31 | -8.57% | -6.26% | 57.24 | 50.87 | 53.96 |
| 2. | 2015/09/30 | -2.86% | -2.64% | 3.46 | 12.38 | 6.54 |
| 3. | 2015/10/31 | 10.47% | 8.30% | 131.65 | 55.11 | 85.18 |
| 4. | 2015/11/30 | -4.75% | 0.05% | 14.05 | 0.68 | 3.09 |
| 5. | 2015/12/31 | -0.48% | -1.75% | 0.27 | 6.90 | -1.37 |
| 6. | 2016/01/31 | 7.28% | -5.07% | 68.68 | 35.38 | -49.29 |
| 7. | 2016/02/29 | -1.33% | -0.41% | 0.11 | 1.66 | 0.42 |
| 8. | 2016/03/31 | 2.75% | 6.60% | 14.06 | 32.77 | 21.46 |
| 9. | 2016/04/30 | -0.62% | 0.27% | 0.14 | 0.37 | -0.23 |
| 10. | 2016/05/31 | 7.29% | 1.53% | 68.86 | 0.43 | 5.46 |
| 11. | 2016/06/30 | 6.36% | 0.09% | 54.20 | 0.61 | -5.77 |
| 12. | 2016/07/31 | -2.36% | 3.56% | 1.85 | 7.22 | -3.65 |
| 13. | 2016/08/31 | 4.28% | -0.12% | 27.94 | 0.99 | -5.27 |
| 14. | 2016/09/30 | 0.02% | -0.12% | 1.05 | 1.00 | -1.02 |
| 15. | 2016/10/31 | -0.63% | -1.94% | 0.14 | 7.94 | -1.06 |
| 16. | 2016/11/30 | -7.53% | 3.42% | 42.63 | 6.47 | -16.60 |
| 17. | 2016/12/31 | 6.94% | 1.82% | 63.16 | 0.89 | 7.52 |
| 18. | 2017/01/31 | 2.26% | 1.79% | 10.62 | 0.84 | 2.98 |
| 19. | 2017/02/28 | 2.49% | 3.72% | 12.18 | 8.10 | 9.93 |
| 20. | 2017/03/31 | -0.11% | -0.04% | 0.80 | 0.83 | -0.82 |
| 21. | 2017/04/30 | -0.46% | 0.91% | 0.29 | 0.00 | 0.02 |
| 22. | 2017/05/31 | 2.67% | 1.16% | 13.47 | 0.08 | 1.04 |
| 23. | 2017/06/30 | -7.11% | 0.48% | 37.35 | 0.15 | 2.40 |
| 24. | 2017/07/31 | 2.13% | 1.93% | 9.79 | 1.12 | 3.32 |
| 25. | 2017/08/31 | -6.96% | 0.05% | 35.45 | 0.67 | 4.88 |
| 26. | 2017/09/30 | -3.96% | 1.93% | 8.76 | 1.11 | -3.12 |
| 27. | 2017/10/31 | -0.28% | 2.22% | 0.52 | 1.81 | 0.97 |
| 28. | 2017/11/30 | 6.03% | 2.81% | 49.50 | 3.74 | 13.61 |
| 29. | 2017/12/31 | -4.44% | 0.98% | 11.79 | 0.01 | -0.37 |
| 30. | 2018/01/31 | 0.81% | 5.62% | 3.29 | 22.50 | 8.60 |
| 31. | 2018/02/28 | -14.47% | -3.89% | 181.25 | 22.74 | 64.21 |
| 32. | 2018/03/31 | -6.17% | -2.69% | 26.66 | 12.69 | 18.40 |
| 33. | 2018/04/30 | -9.49% | 0.27% | 71.99 | 0.36 | 5.11 |
| 34. | 2018/05/31 | 3.06% | 2.16% | 16.51 | 1.65 | 5.23 |
| 35. | 2018/06/30 | 9.29% | 0.48% | 105.96 | 0.15 | -4.02 |
| 36. | 2018/07/31 | -4.09% | 3.60% | 9.53 | 7.44 | -8.42 |
| 37. | 2018/08/31 | -2.25% | 3.03% | 1.55 | 4.63 | -2.68 |
| 38. | 2018/09/30 | -5.42% | 0.43% | 19.53 | 0.20 | 1.97 |
| 39. | 2018/10/31 | -0.25% | -6.94% | 0.56 | 61.07 | -5.86 |
| 40. | 2018/11/30 | -5.87% | 1.79% | 23.65 | 0.83 | -4.43 |
| 41. | 2018/12/31 | -15.81% | -9.18% | 219.12 | 101.04 | 148.80 |
| 42. | 2019/01/31 | 11.66% | 7.87% | 160.45 | 48.92 | 88.59 |
| 43. | 2019/02/28 | -30.94% | 2.97% | 896.23 | 4.40 | -62.82 |
| 44. | 2019/03/31 | -0.42% | 1.79% | 0.34 | 0.84 | 0.53 |
| 45. | 2019/04/30 | 1.81% | 3.93% | 7.90 | 9.34 | 8.59 |
| 46. | 2019/05/31 | -15.61% | -6.58% | 213.46 | 55.54 | 108.88 |
| 47. | 2019/06/30 | 12.26% | 6.89% | 175.93 | 36.22 | 79.83 |
| 48. | 2019/07/31 | 3.12% | 1.31% | 17.04 | 0.19 | 1.81 |
| 49. | 2019/08/31 | -19.03% | -1.81% | 324.79 | 7.20 | 48.36 |
| 50. | 2019/09/30 | 9.44% | 1.72% | 109.14 | 0.71 | 8.81 |
| 51. | 2019/10/31 | 15.75% | 2.04% | 280.80 | 1.37 | 19.58 |
| 52. | 2019/11/30 | -4.42% | 3.40% | 11.70 | 6.40 | -8.65 |
| 53. | 2019/12/31 | 5.34% | 2.86% | 40.29 | 3.94 | 12.60 |
| トータル (Σ): | 3,657.69 | 650.55 | 667.22 | |||
すべて表示
分散KHC = Σ(RKHC,t–RKHC)2 ÷ (53 – 1)
= 3,657.69 ÷ (53 – 1)
= 70.34
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (53 – 1)
= 650.55 ÷ (53 – 1)
= 12.51
共 分散KHC, S&P 500 = Σ(RKHC,t–RKHC)×(RS&P 500,t–RS&P 500) ÷ (53 – 1)
= 667.22 ÷ (53 – 1)
= 12.83
システマティックなリスク推定 (β)
| 分散KHC | 70.34 |
| 分散S&P 500 | 12.51 |
| 共 分散KHC, S&P 500 | 12.83 |
| 相関係数KHC, S&P 5001 | 0.43 |
| βKHC2 | 1.03 |
| αKHC3 | -1.90% |
計算
1 相関係数KHC, S&P 500
= 共 分散KHC, S&P 500 ÷ (標準偏差KHC × 標準偏差S&P 500)
= 12.83 ÷ (8.39% × 3.54%)
= 0.43
2 βKHC
= 共 分散KHC, S&P 500 ÷ 分散S&P 500
= 12.83 ÷ 12.51
= 1.03
3 αKHC
= 平均KHC – βKHC × 平均S&P 500
= -1.00% – 1.03 × 0.87%
= -1.90%
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) | 17.36% |
| 普通株式 Kraft Heinz システマティックリスク | βKHC | 1.03 |
| クラフトハインツ普通株の期待収益率3 | E(RKHC) | 17.68% |
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(RKHC) = RF + βKHC [E(RM) – RF]
= 4.95% + 1.03 [17.36% – 4.95%]
= 17.68%