資本資産価格モデル(CAPM)は、 Vertex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
Vertex Pharmaceuticals Inc. (VRTX) | Standard & Poor’s 500 (S&P 500) | |||||
---|---|---|---|---|---|---|
t | 日付 | 価格VRTX,t1 | 配当VRTX,t1 | RVRTX,t2 | 価格S&P 500,t | RS&P 500,t3 |
2019/01/31 | $190.91 | 2,704.10 | ||||
1. | 2019/02/28 | $188.75 | -1.13% | 2,784.49 | 2.97% | |
2. | 2019/03/31 | $183.95 | -2.54% | 2,834.40 | 1.79% | |
3. | 2019/04/30 | $168.98 | -8.14% | 2,945.83 | 3.93% | |
. | . | . | . | . | . | . |
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58. | 2023/11/30 | $354.81 | -2.02% | 4,567.80 | 8.92% | |
59. | 2023/12/31 | $406.89 | 14.68% | 4,769.83 | 4.42% | |
平均 (R): | 1.58% | 1.11% | ||||
標準偏差: | 7.63% | 5.31% |
Vertex Pharmaceuticals Inc. (VRTX) | Standard & Poor’s 500 (S&P 500) | |||||
---|---|---|---|---|---|---|
t | 日付 | 価格VRTX,t1 | 配当VRTX,t1 | RVRTX,t2 | 価格S&P 500,t | RS&P 500,t3 |
2019/01/31 | $190.91 | 2,704.10 | ||||
1. | 2019/02/28 | $188.75 | -1.13% | 2,784.49 | 2.97% | |
2. | 2019/03/31 | $183.95 | -2.54% | 2,834.40 | 1.79% | |
3. | 2019/04/30 | $168.98 | -8.14% | 2,945.83 | 3.93% | |
4. | 2019/05/31 | $166.18 | -1.66% | 2,752.06 | -6.58% | |
5. | 2019/06/30 | $183.38 | 10.35% | 2,941.76 | 6.89% | |
6. | 2019/07/31 | $166.62 | -9.14% | 2,980.38 | 1.31% | |
7. | 2019/08/31 | $180.02 | 8.04% | 2,926.46 | -1.81% | |
8. | 2019/09/30 | $169.42 | -5.89% | 2,976.74 | 1.72% | |
9. | 2019/10/31 | $195.48 | 15.38% | 3,037.56 | 2.04% | |
10. | 2019/11/30 | $221.75 | 13.44% | 3,140.98 | 3.40% | |
11. | 2019/12/31 | $218.95 | -1.26% | 3,230.78 | 2.86% | |
12. | 2020/01/31 | $227.05 | 3.70% | 3,225.52 | -0.16% | |
13. | 2020/02/29 | $224.03 | -1.33% | 2,954.22 | -8.41% | |
14. | 2020/03/31 | $237.95 | 6.21% | 2,584.59 | -12.51% | |
15. | 2020/04/30 | $251.20 | 5.57% | 2,912.43 | 12.68% | |
16. | 2020/05/31 | $287.96 | 14.63% | 3,044.31 | 4.53% | |
17. | 2020/06/30 | $290.31 | 0.82% | 3,100.29 | 1.84% | |
18. | 2020/07/31 | $272.00 | -6.31% | 3,271.12 | 5.51% | |
19. | 2020/08/31 | $279.12 | 2.62% | 3,500.31 | 7.01% | |
20. | 2020/09/30 | $272.12 | -2.51% | 3,363.00 | -3.92% | |
21. | 2020/10/31 | $208.36 | -23.43% | 3,269.96 | -2.77% | |
22. | 2020/11/30 | $227.75 | 9.31% | 3,621.63 | 10.75% | |
23. | 2020/12/31 | $236.34 | 3.77% | 3,756.07 | 3.71% | |
24. | 2021/01/31 | $229.08 | -3.07% | 3,714.24 | -1.11% | |
25. | 2021/02/28 | $212.55 | -7.22% | 3,811.15 | 2.61% | |
26. | 2021/03/31 | $214.89 | 1.10% | 3,972.89 | 4.24% | |
27. | 2021/04/30 | $218.20 | 1.54% | 4,181.17 | 5.24% | |
28. | 2021/05/31 | $208.63 | -4.39% | 4,204.11 | 0.55% | |
29. | 2021/06/30 | $201.63 | -3.36% | 4,297.50 | 2.22% | |
30. | 2021/07/31 | $201.58 | -0.02% | 4,395.26 | 2.27% | |
31. | 2021/08/31 | $200.29 | -0.64% | 4,522.68 | 2.90% | |
32. | 2021/09/30 | $181.39 | -9.44% | 4,307.54 | -4.76% | |
33. | 2021/10/31 | $184.93 | 1.95% | 4,605.38 | 6.91% | |
34. | 2021/11/30 | $186.94 | 1.09% | 4,567.00 | -0.83% | |
35. | 2021/12/31 | $219.60 | 17.47% | 4,766.18 | 4.36% | |
36. | 2022/01/31 | $243.05 | 10.68% | 4,515.55 | -5.26% | |
37. | 2022/02/28 | $230.02 | -5.36% | 4,373.94 | -3.14% | |
38. | 2022/03/31 | $260.97 | 13.46% | 4,530.41 | 3.58% | |
39. | 2022/04/30 | $273.22 | 4.69% | 4,131.93 | -8.80% | |
40. | 2022/05/31 | $268.65 | -1.67% | 4,132.15 | 0.01% | |
41. | 2022/06/30 | $281.79 | 4.89% | 3,785.38 | -8.39% | |
42. | 2022/07/31 | $280.41 | -0.49% | 4,130.29 | 9.11% | |
43. | 2022/08/31 | $281.76 | 0.48% | 3,955.00 | -4.24% | |
44. | 2022/09/30 | $289.54 | 2.76% | 3,585.62 | -9.34% | |
45. | 2022/10/31 | $312.00 | 7.76% | 3,871.98 | 7.99% | |
46. | 2022/11/30 | $316.40 | 1.41% | 4,080.11 | 5.38% | |
47. | 2022/12/31 | $288.78 | -8.73% | 3,839.50 | -5.90% | |
48. | 2023/01/31 | $323.10 | 11.88% | 4,076.60 | 6.18% | |
49. | 2023/02/28 | $290.29 | -10.15% | 3,970.15 | -2.61% | |
50. | 2023/03/31 | $315.07 | 8.54% | 4,109.31 | 3.51% | |
51. | 2023/04/30 | $340.73 | 8.14% | 4,169.48 | 1.46% | |
52. | 2023/05/31 | $323.57 | -5.04% | 4,179.83 | 0.25% | |
53. | 2023/06/30 | $351.91 | 8.76% | 4,376.86 | 4.71% | |
54. | 2023/07/31 | $352.34 | 0.12% | 4,588.96 | 4.85% | |
55. | 2023/08/31 | $348.34 | -1.14% | 4,507.66 | -1.77% | |
56. | 2023/09/30 | $347.74 | -0.17% | 4,288.05 | -4.87% | |
57. | 2023/10/31 | $362.11 | 4.13% | 4,193.80 | -2.20% | |
58. | 2023/11/30 | $354.81 | -2.02% | 4,567.80 | 8.92% | |
59. | 2023/12/31 | $406.89 | 14.68% | 4,769.83 | 4.42% | |
平均 (R): | 1.58% | 1.11% | ||||
標準偏差: | 7.63% | 5.31% |
すべて表示
1 普通株式1株当たり米ドルで、分割および株式配当を調整したデータ。
2 期間 t中のVRTX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プロキシ)の収益率。
分散と共分散
t | 日付 | RVRTX,t | RS&P 500,t | (RVRTX,t–RVRTX)2 | (RS&P 500,t–RS&P 500)2 | (RVRTX,t–RVRTX)×(RS&P 500,t–RS&P 500) |
---|---|---|---|---|---|---|
1. | 2019/02/28 | -1.13% | 2.97% | 7.34 | 3.49 | -5.06 |
2. | 2019/03/31 | -2.54% | 1.79% | 16.99 | 0.47 | -2.83 |
3. | 2019/04/30 | -8.14% | 3.93% | 94.42 | 7.98 | -27.45 |
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58. | 2023/11/30 | -2.02% | 8.92% | 12.92 | 61.03 | -28.08 |
59. | 2023/12/31 | 14.68% | 4.42% | 171.60 | 11.00 | 43.45 |
トータル (Σ): | 3,378.96 | 1,634.30 | 577.31 |
t | 日付 | RVRTX,t | RS&P 500,t | (RVRTX,t–RVRTX)2 | (RS&P 500,t–RS&P 500)2 | (RVRTX,t–RVRTX)×(RS&P 500,t–RS&P 500) |
---|---|---|---|---|---|---|
1. | 2019/02/28 | -1.13% | 2.97% | 7.34 | 3.49 | -5.06 |
2. | 2019/03/31 | -2.54% | 1.79% | 16.99 | 0.47 | -2.83 |
3. | 2019/04/30 | -8.14% | 3.93% | 94.42 | 7.98 | -27.45 |
4. | 2019/05/31 | -1.66% | -6.58% | 10.47 | 59.04 | 24.86 |
5. | 2019/06/30 | 10.35% | 6.89% | 76.94 | 33.49 | 50.76 |
6. | 2019/07/31 | -9.14% | 1.31% | 114.88 | 0.04 | -2.22 |
7. | 2019/08/31 | 8.04% | -1.81% | 41.78 | 8.50 | -18.84 |
8. | 2019/09/30 | -5.89% | 1.72% | 55.75 | 0.37 | -4.57 |
9. | 2019/10/31 | 15.38% | 2.04% | 190.53 | 0.88 | 12.94 |
10. | 2019/11/30 | 13.44% | 3.40% | 140.66 | 5.28 | 27.26 |
11. | 2019/12/31 | -1.26% | 2.86% | 8.07 | 3.07 | -4.98 |
12. | 2020/01/31 | 3.70% | -0.16% | 4.50 | 1.61 | -2.69 |
13. | 2020/02/29 | -1.33% | -8.41% | 8.46 | 90.57 | 27.68 |
14. | 2020/03/31 | 6.21% | -12.51% | 21.48 | 185.44 | -63.12 |
15. | 2020/04/30 | 5.57% | 12.68% | 15.92 | 134.06 | 46.20 |
16. | 2020/05/31 | 14.63% | 4.53% | 170.43 | 11.71 | 44.68 |
17. | 2020/06/30 | 0.82% | 1.84% | 0.58 | 0.54 | -0.56 |
18. | 2020/07/31 | -6.31% | 5.51% | 62.18 | 19.40 | -34.73 |
19. | 2020/08/31 | 2.62% | 7.01% | 1.08 | 34.82 | 6.13 |
20. | 2020/09/30 | -2.51% | -3.92% | 16.70 | 25.29 | 20.55 |
21. | 2020/10/31 | -23.43% | -2.77% | 625.48 | 15.00 | 96.85 |
22. | 2020/11/30 | 9.31% | 10.75% | 59.71 | 93.10 | 74.56 |
23. | 2020/12/31 | 3.77% | 3.71% | 4.81 | 6.79 | 5.72 |
24. | 2021/01/31 | -3.07% | -1.11% | 21.63 | 4.93 | 10.32 |
25. | 2021/02/28 | -7.22% | 2.61% | 77.34 | 2.26 | -13.22 |
26. | 2021/03/31 | 1.10% | 4.24% | 0.23 | 9.85 | -1.50 |
27. | 2021/04/30 | 1.54% | 5.24% | 0.00 | 17.11 | -0.16 |
28. | 2021/05/31 | -4.39% | 0.55% | 35.58 | 0.31 | 3.32 |
29. | 2021/06/30 | -3.36% | 2.22% | 24.34 | 1.24 | -5.50 |
30. | 2021/07/31 | -0.02% | 2.27% | 2.57 | 1.37 | -1.87 |
31. | 2021/08/31 | -0.64% | 2.90% | 4.92 | 3.22 | -3.98 |
32. | 2021/09/30 | -9.44% | -4.76% | 121.33 | 34.37 | 64.58 |
33. | 2021/10/31 | 1.95% | 6.91% | 0.14 | 33.74 | 2.17 |
34. | 2021/11/30 | 1.09% | -0.83% | 0.24 | 3.76 | 0.95 |
35. | 2021/12/31 | 17.47% | 4.36% | 252.56 | 10.60 | 51.74 |
36. | 2022/01/31 | 10.68% | -5.26% | 82.81 | 40.51 | -57.91 |
37. | 2022/02/28 | -5.36% | -3.14% | 48.16 | 17.99 | 29.44 |
38. | 2022/03/31 | 13.46% | 3.58% | 141.06 | 6.11 | 29.35 |
39. | 2022/04/30 | 4.69% | -8.80% | 9.71 | 98.04 | -30.85 |
40. | 2022/05/31 | -1.67% | 0.01% | 10.57 | 1.21 | 3.58 |
41. | 2022/06/30 | 4.89% | -8.39% | 10.97 | 90.21 | -31.46 |
42. | 2022/07/31 | -0.49% | 9.11% | 4.28 | 64.09 | -16.56 |
43. | 2022/08/31 | 0.48% | -4.24% | 1.20 | 28.62 | 5.87 |
44. | 2022/09/30 | 2.76% | -9.34% | 1.40 | 109.11 | -12.35 |
45. | 2022/10/31 | 7.76% | 7.99% | 38.17 | 47.34 | 42.51 |
46. | 2022/11/30 | 1.41% | 5.38% | 0.03 | 18.23 | -0.72 |
47. | 2022/12/31 | -8.73% | -5.90% | 106.26 | 49.04 | 72.19 |
48. | 2023/01/31 | 11.88% | 6.18% | 106.21 | 25.70 | 52.24 |
49. | 2023/02/28 | -10.15% | -2.61% | 137.67 | 13.82 | 43.61 |
50. | 2023/03/31 | 8.54% | 3.51% | 48.41 | 5.76 | 16.69 |
51. | 2023/04/30 | 8.14% | 1.46% | 43.11 | 0.13 | 2.35 |
52. | 2023/05/31 | -5.04% | 0.25% | 43.76 | 0.74 | 5.67 |
53. | 2023/06/30 | 8.76% | 4.71% | 51.55 | 13.02 | 25.90 |
54. | 2023/07/31 | 0.12% | 4.85% | 2.12 | 13.99 | -5.45 |
55. | 2023/08/31 | -1.14% | -1.77% | 7.37 | 8.28 | 7.81 |
56. | 2023/09/30 | -0.17% | -4.87% | 3.07 | 35.73 | 10.47 |
57. | 2023/10/31 | 4.13% | -2.20% | 6.52 | 10.92 | -8.44 |
58. | 2023/11/30 | -2.02% | 8.92% | 12.92 | 61.03 | -28.08 |
59. | 2023/12/31 | 14.68% | 4.42% | 171.60 | 11.00 | 43.45 |
トータル (Σ): | 3,378.96 | 1,634.30 | 577.31 |
すべて表示
分散VRTX = Σ(RVRTX,t–RVRTX)2 ÷ (59 – 1)
= 3,378.96 ÷ (59 – 1)
= 58.26
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18
共 分散VRTX, S&P 500 = Σ(RVRTX,t–RVRTX)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 577.31 ÷ (59 – 1)
= 9.95
システマティックリスク推定 (β)
分散VRTX | 58.26 |
分散S&P 500 | 28.18 |
共 分散VRTX, S&P 500 | 9.95 |
相関係数VRTX, S&P 5001 | 0.25 |
βVRTX2 | 0.35 |
αVRTX3 | 1.19% |
計算
1 相関係数VRTX, S&P 500
= 共 分散VRTX, S&P 500 ÷ (標準偏差VRTX × 標準偏差S&P 500)
= 9.95 ÷ (7.63% × 5.31%)
= 0.25
2 βVRTX
= 共 分散VRTX, S&P 500 ÷ 分散S&P 500
= 9.95 ÷ 28.18
= 0.35
3 αVRTX
= 平均VRTX – βVRTX × 平均S&P 500
= 1.58% – 0.35 × 1.11%
= 1.19%
期待収益率
仮定 | ||
LT財務省総合の収益率1 | RF | 4.43% |
市場ポートフォリオの期待収益率2 | E(RM) | 13.60% |
普通株式 Vertex システマティックリスク | βVRTX | 0.35 |
Vertex普通株式の期待収益率3 | E(RVRTX) | 7.67% |
1 10年以内に期限が到来またはコール可能でないすべての固定クーポン米国債の入札利回りの非加重平均(リスクフリー収益率プロキシ)。
2 詳細を見る »
3 E(RVRTX) = RF + βVRTX [E(RM) – RF]
= 4.43% + 0.35 [13.60% – 4.43%]
= 7.67%