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 Ulta Beauty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
Ulta Beauty Inc.、月間収益率
| Ulta Beauty Inc. (ULTA) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格ULTA,t1 | 配当ULTA,t1 | RULTA,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2017/02/28 | $273.43 | 2,363.64 | ||||
| 1. | 2017/03/31 | $285.23 | 4.32% | 2,362.72 | -0.04% | |
| 2. | 2017/04/30 | $281.44 | -1.33% | 2,384.20 | 0.91% | |
| 3. | 2017/05/31 | $304.84 | 8.31% | 2,411.80 | 1.16% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2022/12/31 | $469.07 | 0.91% | 3,839.50 | -5.90% | |
| 71. | 2023/01/31 | $513.96 | 9.57% | 4,076.60 | 6.18% | |
| 平均 (R): | 1.50% | 0.90% | ||||
| 標準偏差： | 10.95% | 5.01% | ||||
| Ulta Beauty Inc. (ULTA) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格ULTA,t1 | 配当ULTA,t1 | RULTA,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2017/02/28 | $273.43 | 2,363.64 | ||||
| 1. | 2017/03/31 | $285.23 | 4.32% | 2,362.72 | -0.04% | |
| 2. | 2017/04/30 | $281.44 | -1.33% | 2,384.20 | 0.91% | |
| 3. | 2017/05/31 | $304.84 | 8.31% | 2,411.80 | 1.16% | |
| 4. | 2017/06/30 | $287.34 | -5.74% | 2,423.41 | 0.48% | |
| 5. | 2017/07/31 | $251.21 | -12.57% | 2,470.30 | 1.93% | |
| 6. | 2017/08/31 | $221.01 | -12.02% | 2,471.65 | 0.05% | |
| 7. | 2017/09/30 | $226.06 | 2.28% | 2,519.36 | 1.93% | |
| 8. | 2017/10/31 | $201.79 | -10.74% | 2,575.26 | 2.22% | |
| 9. | 2017/11/30 | $221.71 | 9.87% | 2,647.58 | 2.81% | |
| 10. | 2017/12/31 | $223.66 | 0.88% | 2,673.61 | 0.98% | |
| 11. | 2018/01/31 | $222.10 | -0.70% | 2,823.81 | 5.62% | |
| 12. | 2018/02/28 | $203.35 | -8.44% | 2,713.83 | -3.89% | |
| 13. | 2018/03/31 | $204.27 | 0.45% | 2,640.87 | -2.69% | |
| 14. | 2018/04/30 | $250.91 | 22.83% | 2,648.05 | 0.27% | |
| 15. | 2018/05/31 | $246.91 | -1.59% | 2,705.27 | 2.16% | |
| 16. | 2018/06/30 | $233.46 | -5.45% | 2,718.37 | 0.48% | |
| 17. | 2018/07/31 | $244.39 | 4.68% | 2,816.29 | 3.60% | |
| 18. | 2018/08/31 | $260.00 | 6.39% | 2,901.52 | 3.03% | |
| 19. | 2018/09/30 | $282.12 | 8.51% | 2,913.98 | 0.43% | |
| 20. | 2018/10/31 | $274.52 | -2.69% | 2,711.74 | -6.94% | |
| 21. | 2018/11/30 | $297.79 | 8.48% | 2,760.17 | 1.79% | |
| 22. | 2018/12/31 | $244.84 | -17.78% | 2,506.85 | -9.18% | |
| 23. | 2019/01/31 | $291.92 | 19.23% | 2,704.10 | 7.87% | |
| 24. | 2019/02/28 | $312.49 | 7.05% | 2,784.49 | 2.97% | |
| 25. | 2019/03/31 | $348.73 | 11.60% | 2,834.40 | 1.79% | |
| 26. | 2019/04/30 | $348.98 | 0.07% | 2,945.83 | 3.93% | |
| 27. | 2019/05/31 | $333.38 | -4.47% | 2,752.06 | -6.58% | |
| 28. | 2019/06/30 | $346.89 | 4.05% | 2,941.76 | 6.89% | |
| 29. | 2019/07/31 | $349.25 | 0.68% | 2,980.38 | 1.31% | |
| 30. | 2019/08/31 | $237.73 | -31.93% | 2,926.46 | -1.81% | |
| 31. | 2019/09/30 | $250.65 | 5.43% | 2,976.74 | 1.72% | |
| 32. | 2019/10/31 | $233.15 | -6.98% | 3,037.56 | 2.04% | |
| 33. | 2019/11/30 | $233.86 | 0.30% | 3,140.98 | 3.40% | |
| 34. | 2019/12/31 | $253.14 | 8.24% | 3,230.78 | 2.86% | |
| 35. | 2020/01/31 | $267.91 | 5.83% | 3,225.52 | -0.16% | |
| 36. | 2020/02/29 | $257.09 | -4.04% | 2,954.22 | -8.41% | |
| 37. | 2020/03/31 | $175.70 | -31.66% | 2,584.59 | -12.51% | |
| 38. | 2020/04/30 | $217.92 | 24.03% | 2,912.43 | 12.68% | |
| 39. | 2020/05/31 | $244.01 | 11.97% | 3,044.31 | 4.53% | |
| 40. | 2020/06/30 | $203.42 | -16.63% | 3,100.29 | 1.84% | |
| 41. | 2020/07/31 | $192.99 | -5.13% | 3,271.12 | 5.51% | |
| 42. | 2020/08/31 | $232.18 | 20.31% | 3,500.31 | 7.01% | |
| 43. | 2020/09/30 | $223.98 | -3.53% | 3,363.00 | -3.92% | |
| 44. | 2020/10/31 | $206.77 | -7.68% | 3,269.96 | -2.77% | |
| 45. | 2020/11/30 | $275.40 | 33.19% | 3,621.63 | 10.75% | |
| 46. | 2020/12/31 | $287.16 | 4.27% | 3,756.07 | 3.71% | |
| 47. | 2021/01/31 | $279.76 | -2.58% | 3,714.24 | -1.11% | |
| 48. | 2021/02/28 | $322.33 | 15.22% | 3,811.15 | 2.61% | |
| 49. | 2021/03/31 | $309.17 | -4.08% | 3,972.89 | 4.24% | |
| 50. | 2021/04/30 | $329.35 | 6.53% | 4,181.17 | 5.24% | |
| 51. | 2021/05/31 | $345.36 | 4.86% | 4,204.11 | 0.55% | |
| 52. | 2021/06/30 | $345.77 | 0.12% | 4,297.50 | 2.22% | |
| 53. | 2021/07/31 | $335.80 | -2.88% | 4,395.26 | 2.27% | |
| 54. | 2021/08/31 | $387.31 | 15.34% | 4,522.68 | 2.90% | |
| 55. | 2021/09/30 | $360.92 | -6.81% | 4,307.54 | -4.76% | |
| 56. | 2021/10/31 | $367.36 | 1.78% | 4,605.38 | 6.91% | |
| 57. | 2021/11/30 | $383.95 | 4.52% | 4,567.00 | -0.83% | |
| 58. | 2021/12/31 | $412.34 | 7.39% | 4,766.18 | 4.36% | |
| 59. | 2022/01/31 | $363.74 | -11.79% | 4,515.55 | -5.26% | |
| 60. | 2022/02/28 | $374.50 | 2.96% | 4,373.94 | -3.14% | |
| 61. | 2022/03/31 | $398.22 | 6.33% | 4,530.41 | 3.58% | |
| 62. | 2022/04/30 | $396.80 | -0.36% | 4,131.93 | -8.80% | |
| 63. | 2022/05/31 | $423.10 | 6.63% | 4,132.15 | 0.01% | |
| 64. | 2022/06/30 | $385.48 | -8.89% | 3,785.38 | -8.39% | |
| 65. | 2022/07/31 | $388.91 | 0.89% | 4,130.29 | 9.11% | |
| 66. | 2022/08/31 | $419.87 | 7.96% | 3,955.00 | -4.24% | |
| 67. | 2022/09/30 | $401.19 | -4.45% | 3,585.62 | -9.34% | |
| 68. | 2022/10/31 | $419.37 | 4.53% | 3,871.98 | 7.99% | |
| 69. | 2022/11/30 | $464.84 | 10.84% | 4,080.11 | 5.38% | |
| 70. | 2022/12/31 | $469.07 | 0.91% | 3,839.50 | -5.90% | |
| 71. | 2023/01/31 | $513.96 | 9.57% | 4,076.60 | 6.18% | |
| 平均 (R): | 1.50% | 0.90% | ||||
| 標準偏差： | 10.95% | 5.01% | ||||
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ULTA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
Ulta Beauty Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RULTA,t | RS&P 500,t | (RULTA,t–RULTA)2 | (RS&P 500,t–RS&P 500)2 | (RULTA,t–RULTA)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017/03/31 | 4.32% | -0.04% | 7.91 | 0.87 | -2.63 |
| 2. | 2017/04/30 | -1.33% | 0.91% | 8.02 | 0.00 | -0.04 |
| 3. | 2017/05/31 | 8.31% | 1.16% | 46.40 | 0.07 | 1.79 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2022/12/31 | 0.91% | -5.90% | 0.35 | 46.14 | 4.03 |
| 71. | 2023/01/31 | 9.57% | 6.18% | 65.08 | 27.88 | 42.60 |
| トータル (Σ): | 8,390.96 | 1,754.14 | 2,258.16 | |||
| t | 日付 | RULTA,t | RS&P 500,t | (RULTA,t–RULTA)2 | (RS&P 500,t–RS&P 500)2 | (RULTA,t–RULTA)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017/03/31 | 4.32% | -0.04% | 7.91 | 0.87 | -2.63 |
| 2. | 2017/04/30 | -1.33% | 0.91% | 8.02 | 0.00 | -0.04 |
| 3. | 2017/05/31 | 8.31% | 1.16% | 46.40 | 0.07 | 1.79 |
| 4. | 2017/06/30 | -5.74% | 0.48% | 52.47 | 0.17 | 3.00 |
| 5. | 2017/07/31 | -12.57% | 1.93% | 198.15 | 1.08 | -14.63 |
| 6. | 2017/08/31 | -12.02% | 0.05% | 182.91 | 0.71 | 11.37 |
| 7. | 2017/09/30 | 2.28% | 1.93% | 0.61 | 1.07 | 0.81 |
| 8. | 2017/10/31 | -10.74% | 2.22% | 149.79 | 1.75 | -16.20 |
| 9. | 2017/11/30 | 9.87% | 2.81% | 70.04 | 3.66 | 16.01 |
| 10. | 2017/12/31 | 0.88% | 0.98% | 0.39 | 0.01 | -0.05 |
| 11. | 2018/01/31 | -0.70% | 5.62% | 4.84 | 22.30 | -10.39 |
| 12. | 2018/02/28 | -8.44% | -3.89% | 98.90 | 22.94 | 47.64 |
| 13. | 2018/03/31 | 0.45% | -2.69% | 1.10 | 12.84 | 3.76 |
| 14. | 2018/04/30 | 22.83% | 0.27% | 454.96 | 0.39 | -13.30 |
| 15. | 2018/05/31 | -1.59% | 2.16% | 9.59 | 1.60 | -3.92 |
| 16. | 2018/06/30 | -5.45% | 0.48% | 48.30 | 0.17 | 2.86 |
| 17. | 2018/07/31 | 4.68% | 3.60% | 10.11 | 7.33 | 8.61 |
| 18. | 2018/08/31 | 6.39% | 3.03% | 23.86 | 4.54 | 10.41 |
| 19. | 2018/09/30 | 8.51% | 0.43% | 49.07 | 0.22 | -3.26 |
| 20. | 2018/10/31 | -2.69% | -6.94% | 17.61 | 61.40 | 32.88 |
| 21. | 2018/11/30 | 8.48% | 1.79% | 48.63 | 0.79 | 6.21 |
| 22. | 2018/12/31 | -17.78% | -9.18% | 371.86 | 101.46 | 194.24 |
| 23. | 2019/01/31 | 19.23% | 7.87% | 314.22 | 48.63 | 123.61 |
| 24. | 2019/02/28 | 7.05% | 2.97% | 30.73 | 4.32 | 11.52 |
| 25. | 2019/03/31 | 11.60% | 1.79% | 101.90 | 0.80 | 9.06 |
| 26. | 2019/04/30 | 0.07% | 3.93% | 2.05 | 9.22 | -4.34 |
| 27. | 2019/05/31 | -4.47% | -6.58% | 35.68 | 55.85 | 44.64 |
| 28. | 2019/06/30 | 4.05% | 6.89% | 6.50 | 35.97 | 15.29 |
| 29. | 2019/07/31 | 0.68% | 1.31% | 0.68 | 0.17 | -0.34 |
| 30. | 2019/08/31 | -31.93% | -1.81% | 1,117.84 | 7.31 | 90.42 |
| 31. | 2019/09/30 | 5.43% | 1.72% | 15.46 | 0.68 | 3.24 |
| 32. | 2019/10/31 | -6.98% | 2.04% | 71.99 | 1.32 | -9.74 |
| 33. | 2019/11/30 | 0.30% | 3.40% | 1.44 | 6.30 | -3.01 |
| 34. | 2019/12/31 | 8.24% | 2.86% | 45.45 | 3.86 | 13.24 |
| 35. | 2020/01/31 | 5.83% | -0.16% | 18.77 | 1.12 | -4.58 |
| 36. | 2020/02/29 | -4.04% | -8.41% | 30.71 | 86.61 | 51.57 |
| 37. | 2020/03/31 | -31.66% | -12.51% | 1,099.65 | 179.75 | 444.60 |
| 38. | 2020/04/30 | 24.03% | 12.68% | 507.46 | 138.98 | 265.57 |
| 39. | 2020/05/31 | 11.97% | 4.53% | 109.61 | 13.20 | 38.03 |
| 40. | 2020/06/30 | -16.63% | 1.84% | 328.96 | 0.89 | -17.11 |
| 41. | 2020/07/31 | -5.13% | 5.51% | 43.96 | 21.30 | -30.60 |
| 42. | 2020/08/31 | 20.31% | 7.01% | 353.59 | 37.35 | 114.91 |
| 43. | 2020/09/30 | -3.53% | -3.92% | 25.35 | 23.21 | 24.26 |
| 44. | 2020/10/31 | -7.68% | -2.77% | 84.39 | 13.41 | 33.64 |
| 45. | 2020/11/30 | 33.19% | 10.75% | 1,004.17 | 97.21 | 312.43 |
| 46. | 2020/12/31 | 4.27% | 3.71% | 7.66 | 7.93 | 7.80 |
| 47. | 2021/01/31 | -2.58% | -1.11% | 16.64 | 4.04 | 8.20 |
| 48. | 2021/02/28 | 15.22% | 2.61% | 188.07 | 2.94 | 23.50 |
| 49. | 2021/03/31 | -4.08% | 4.24% | 31.20 | 11.21 | -18.70 |
| 50. | 2021/04/30 | 6.53% | 5.24% | 25.24 | 18.90 | 21.84 |
| 51. | 2021/05/31 | 4.86% | 0.55% | 11.28 | 0.12 | -1.16 |
| 52. | 2021/06/30 | 0.12% | 2.22% | 1.92 | 1.76 | -1.84 |
| 53. | 2021/07/31 | -2.88% | 2.27% | 19.24 | 1.90 | -6.05 |
| 54. | 2021/08/31 | 15.34% | 2.90% | 191.45 | 4.02 | 27.73 |
| 55. | 2021/09/30 | -6.81% | -4.76% | 69.16 | 31.95 | 47.01 |
| 56. | 2021/10/31 | 1.78% | 6.91% | 0.08 | 36.23 | 1.69 |
| 57. | 2021/11/30 | 4.52% | -0.83% | 9.08 | 2.99 | -5.21 |
| 58. | 2021/12/31 | 7.39% | 4.36% | 34.71 | 12.01 | 20.42 |
| 59. | 2022/01/31 | -11.79% | -5.26% | 176.60 | 37.87 | 81.78 |
| 60. | 2022/02/28 | 2.96% | -3.14% | 2.12 | 16.25 | -5.87 |
| 61. | 2022/03/31 | 6.33% | 3.58% | 23.34 | 7.19 | 12.96 |
| 62. | 2022/04/30 | -0.36% | -8.80% | 3.46 | 93.91 | 18.02 |
| 63. | 2022/05/31 | 6.63% | 0.01% | 26.27 | 0.79 | -4.56 |
| 64. | 2022/06/30 | -8.89% | -8.39% | 108.04 | 86.25 | 96.53 |
| 65. | 2022/07/31 | 0.89% | 9.11% | 0.38 | 67.51 | -5.04 |
| 66. | 2022/08/31 | 7.96% | -4.24% | 41.70 | 26.41 | -33.19 |
| 67. | 2022/09/30 | -4.45% | -9.34% | 35.42 | 104.75 | 60.92 |
| 68. | 2022/10/31 | 4.53% | 7.99% | 9.17 | 50.28 | 21.48 |
| 69. | 2022/11/30 | 10.84% | 5.38% | 87.23 | 20.07 | 41.84 |
| 70. | 2022/12/31 | 0.91% | -5.90% | 0.35 | 46.14 | 4.03 |
| 71. | 2023/01/31 | 9.57% | 6.18% | 65.08 | 27.88 | 42.60 |
| トータル (Σ): | 8,390.96 | 1,754.14 | 2,258.16 | |||
すべて表示
分散ULTA = Σ(RULTA,t–RULTA)2 ÷ (71 – 1)
= 8,390.96 ÷ (71 – 1)
= 119.87
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,754.14 ÷ (71 – 1)
= 25.06
共 分散ULTA, S&P 500 = Σ(RULTA,t–RULTA)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,258.16 ÷ (71 – 1)
= 32.26
システマティックなリスク推定 (β)
| 分散ULTA | 119.87 |
| 分散S&P 500 | 25.06 |
| 共 分散ULTA, S&P 500 | 32.26 |
| 相関係数ULTA, S&P 5001 | 0.59 |
| βULTA2 | 1.29 |
| αULTA3 | 0.35% |
計算
1 相関係数ULTA, S&P 500
= 共 分散ULTA, S&P 500 ÷ (標準偏差ULTA × 標準偏差S&P 500)
= 32.26 ÷ (10.95% × 5.01%)
= 0.59
2 βULTA
= 共 分散ULTA, S&P 500 ÷ 分散S&P 500
= 32.26 ÷ 25.06
= 1.29
3 αULTA
= 平均ULTA – βULTA × 平均S&P 500
= 1.50% – 1.29 × 0.90%
= 0.35%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.67% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 13.79% |
| 普通株式のシステマティックリスクUlta Beauty | βULTA | 1.29 |
| Ulta Beauty普通株式の予想収益率3 | E(RULTA) | 16.41% |
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(RULTA) = RF + βULTA [E(RM) – RF]
= 4.67% + 1.29 [13.79% – 4.67%]
= 16.41%