資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Walgreens Boots Alliance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
Walgreens Boots Alliance Inc.、月間収益率
| Walgreens Boots Alliance Inc. (WBA) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格WBA,t1 | 配当WBA,t1 | RWBA,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2013/09/30 | $53.80 | 1,681.55 | ||||
| 1. | 2013/10/31 | $59.24 | 10.11% | 1,756.54 | 4.46% | |
| 2. | 2013/11/30 | $59.20 | $0.315 | 0.46% | 1,805.81 | 2.80% |
| 3. | 2013/12/31 | $57.44 | -2.97% | 1,848.36 | 2.36% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2019/07/31 | $54.49 | -0.33% | 2,980.38 | 1.31% | |
| 71. | 2019/08/31 | $51.19 | $0.458 | -5.22% | 2,926.46 | -1.81% |
| 平均 (R): | 0.37% | 0.84% | ||||
| 標準偏差： | 7.21% | 3.32% | ||||
| Walgreens Boots Alliance Inc. (WBA) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格WBA,t1 | 配当WBA,t1 | RWBA,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2013/09/30 | $53.80 | 1,681.55 | ||||
| 1. | 2013/10/31 | $59.24 | 10.11% | 1,756.54 | 4.46% | |
| 2. | 2013/11/30 | $59.20 | $0.315 | 0.46% | 1,805.81 | 2.80% |
| 3. | 2013/12/31 | $57.44 | -2.97% | 1,848.36 | 2.36% | |
| 4. | 2014/01/31 | $57.35 | -0.16% | 1,782.59 | -3.56% | |
| 5. | 2014/02/28 | $67.95 | $0.315 | 19.03% | 1,859.45 | 4.31% |
| 6. | 2014/03/31 | $66.03 | -2.83% | 1,872.34 | 0.69% | |
| 7. | 2014/04/30 | $67.90 | 2.83% | 1,883.95 | 0.62% | |
| 8. | 2014/05/31 | $71.91 | $0.315 | 6.37% | 1,923.57 | 2.10% |
| 9. | 2014/06/30 | $74.13 | 3.09% | 1,960.23 | 1.91% | |
| 10. | 2014/07/31 | $68.77 | -7.23% | 1,930.67 | -1.51% | |
| 11. | 2014/08/31 | $60.52 | $0.3375 | -11.51% | 2,003.37 | 3.77% |
| 12. | 2014/09/30 | $59.27 | -2.07% | 1,972.29 | -1.55% | |
| 13. | 2014/10/31 | $64.22 | 8.35% | 2,018.05 | 2.32% | |
| 14. | 2014/11/30 | $68.61 | $0.3375 | 7.36% | 2,067.56 | 2.45% |
| 15. | 2014/12/31 | $76.20 | 11.06% | 2,058.90 | -0.42% | |
| 16. | 2015/01/31 | $73.75 | -3.22% | 1,994.99 | -3.10% | |
| 17. | 2015/02/28 | $83.08 | $0.3375 | 13.11% | 2,104.50 | 5.49% |
| 18. | 2015/03/31 | $84.68 | 1.93% | 2,067.89 | -1.74% | |
| 19. | 2015/04/30 | $82.93 | -2.07% | 2,085.51 | 0.85% | |
| 20. | 2015/05/31 | $85.84 | $0.3375 | 3.92% | 2,107.39 | 1.05% |
| 21. | 2015/06/30 | $84.44 | -1.63% | 2,063.11 | -2.10% | |
| 22. | 2015/07/31 | $96.63 | 14.44% | 2,103.84 | 1.97% | |
| 23. | 2015/08/31 | $86.55 | $0.36 | -10.06% | 1,972.18 | -6.26% |
| 24. | 2015/09/30 | $83.10 | -3.99% | 1,920.03 | -2.64% | |
| 25. | 2015/10/31 | $84.68 | 1.90% | 2,079.36 | 8.30% | |
| 26. | 2015/11/30 | $84.03 | $0.36 | -0.34% | 2,080.41 | 0.05% |
| 27. | 2015/12/31 | $85.16 | 1.34% | 2,043.94 | -1.75% | |
| 28. | 2016/01/31 | $79.72 | -6.39% | 1,940.24 | -5.07% | |
| 29. | 2016/02/29 | $78.94 | $0.36 | -0.53% | 1,932.23 | -0.41% |
| 30. | 2016/03/31 | $84.24 | 6.71% | 2,059.74 | 6.60% | |
| 31. | 2016/04/30 | $79.28 | -5.89% | 2,065.30 | 0.27% | |
| 32. | 2016/05/31 | $77.40 | $0.36 | -1.92% | 2,096.95 | 1.53% |
| 33. | 2016/06/30 | $83.27 | 7.58% | 2,098.86 | 0.09% | |
| 34. | 2016/07/31 | $79.25 | -4.83% | 2,173.60 | 3.56% | |
| 35. | 2016/08/31 | $80.71 | $0.375 | 2.32% | 2,170.95 | -0.12% |
| 36. | 2016/09/30 | $80.62 | -0.11% | 2,168.27 | -0.12% | |
| 37. | 2016/10/31 | $82.73 | 2.62% | 2,126.15 | -1.94% | |
| 38. | 2016/11/30 | $84.73 | $0.375 | 2.87% | 2,198.81 | 3.42% |
| 39. | 2016/12/31 | $82.76 | -2.33% | 2,238.83 | 1.82% | |
| 40. | 2017/01/31 | $81.94 | -0.99% | 2,278.87 | 1.79% | |
| 41. | 2017/02/28 | $86.38 | $0.375 | 5.88% | 2,363.64 | 3.72% |
| 42. | 2017/03/31 | $83.05 | -3.86% | 2,362.72 | -0.04% | |
| 43. | 2017/04/30 | $86.54 | 4.20% | 2,384.20 | 0.91% | |
| 44. | 2017/05/31 | $81.02 | $0.375 | -5.95% | 2,411.80 | 1.16% |
| 45. | 2017/06/30 | $78.31 | -3.34% | 2,423.41 | 0.48% | |
| 46. | 2017/07/31 | $80.67 | 3.01% | 2,470.30 | 1.93% | |
| 47. | 2017/08/31 | $81.50 | $0.40 | 1.52% | 2,471.65 | 0.05% |
| 48. | 2017/09/30 | $77.22 | -5.25% | 2,519.36 | 1.93% | |
| 49. | 2017/10/31 | $66.27 | -14.18% | 2,575.26 | 2.22% | |
| 50. | 2017/11/30 | $72.76 | $0.40 | 10.40% | 2,647.58 | 2.81% |
| 51. | 2017/12/31 | $72.62 | -0.19% | 2,673.61 | 0.98% | |
| 52. | 2018/01/31 | $75.26 | 3.64% | 2,823.81 | 5.62% | |
| 53. | 2018/02/28 | $68.89 | $0.40 | -7.93% | 2,713.83 | -3.89% |
| 54. | 2018/03/31 | $65.47 | -4.96% | 2,640.87 | -2.69% | |
| 55. | 2018/04/30 | $66.45 | 1.50% | 2,648.05 | 0.27% | |
| 56. | 2018/05/31 | $62.39 | $0.40 | -5.51% | 2,705.27 | 2.16% |
| 57. | 2018/06/30 | $60.02 | -3.80% | 2,718.37 | 0.48% | |
| 58. | 2018/07/31 | $67.62 | 12.66% | 2,816.29 | 3.60% | |
| 59. | 2018/08/31 | $68.56 | $0.44 | 2.04% | 2,901.52 | 3.03% |
| 60. | 2018/09/30 | $72.90 | 6.33% | 2,913.98 | 0.43% | |
| 61. | 2018/10/31 | $79.77 | 9.42% | 2,711.74 | -6.94% | |
| 62. | 2018/11/30 | $84.67 | $0.44 | 6.69% | 2,760.17 | 1.79% |
| 63. | 2018/12/31 | $68.33 | -19.30% | 2,506.85 | -9.18% | |
| 64. | 2019/01/31 | $72.26 | 5.75% | 2,704.10 | 7.87% | |
| 65. | 2019/02/28 | $71.19 | $0.44 | -0.87% | 2,784.49 | 2.97% |
| 66. | 2019/03/31 | $63.27 | -11.13% | 2,834.40 | 1.79% | |
| 67. | 2019/04/30 | $53.57 | -15.33% | 2,945.83 | 3.93% | |
| 68. | 2019/05/31 | $49.34 | $0.44 | -7.07% | 2,752.06 | -6.58% |
| 69. | 2019/06/30 | $54.67 | 10.80% | 2,941.76 | 6.89% | |
| 70. | 2019/07/31 | $54.49 | -0.33% | 2,980.38 | 1.31% | |
| 71. | 2019/08/31 | $51.19 | $0.458 | -5.22% | 2,926.46 | -1.81% |
| 平均 (R): | 0.37% | 0.84% | ||||
| 標準偏差： | 7.21% | 3.32% | ||||
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中のWBA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
Walgreens Boots Alliance Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RWBA,t | RS&P 500,t | (RWBA,t–RWBA)2 | (RS&P 500,t–RS&P 500)2 | (RWBA,t–RWBA)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2013/10/31 | 10.11% | 4.46% | 94.97 | 13.12 | 35.29 |
| 2. | 2013/11/30 | 0.46% | 2.80% | 0.01 | 3.87 | 0.19 |
| 3. | 2013/12/31 | -2.97% | 2.36% | 11.15 | 2.31 | -5.07 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2019/07/31 | -0.33% | 1.31% | 0.48 | 0.23 | -0.33 |
| 71. | 2019/08/31 | -5.22% | -1.81% | 31.16 | 7.01 | 14.78 |
| トータル (Σ): | 3,643.64 | 771.17 | 709.61 | |||
| t | 日付 | RWBA,t | RS&P 500,t | (RWBA,t–RWBA)2 | (RS&P 500,t–RS&P 500)2 | (RWBA,t–RWBA)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2013/10/31 | 10.11% | 4.46% | 94.97 | 13.12 | 35.29 |
| 2. | 2013/11/30 | 0.46% | 2.80% | 0.01 | 3.87 | 0.19 |
| 3. | 2013/12/31 | -2.97% | 2.36% | 11.15 | 2.31 | -5.07 |
| 4. | 2014/01/31 | -0.16% | -3.56% | 0.27 | 19.33 | 2.30 |
| 5. | 2014/02/28 | 19.03% | 4.31% | 348.42 | 12.07 | 64.84 |
| 6. | 2014/03/31 | -2.83% | 0.69% | 10.19 | 0.02 | 0.46 |
| 7. | 2014/04/30 | 2.83% | 0.62% | 6.08 | 0.05 | -0.54 |
| 8. | 2014/05/31 | 6.37% | 2.10% | 36.04 | 1.60 | 7.59 |
| 9. | 2014/06/30 | 3.09% | 1.91% | 7.40 | 1.14 | 2.91 |
| 10. | 2014/07/31 | -7.23% | -1.51% | 57.71 | 5.50 | 17.82 |
| 11. | 2014/08/31 | -11.51% | 3.77% | 140.95 | 8.57 | -34.76 |
| 12. | 2014/09/30 | -2.07% | -1.55% | 5.91 | 5.71 | 5.81 |
| 13. | 2014/10/31 | 8.35% | 2.32% | 63.77 | 2.20 | 11.84 |
| 14. | 2014/11/30 | 7.36% | 2.45% | 48.93 | 2.61 | 11.30 |
| 15. | 2014/12/31 | 11.06% | -0.42% | 114.41 | 1.58 | -13.44 |
| 16. | 2015/01/31 | -3.22% | -3.10% | 12.83 | 15.54 | 14.12 |
| 17. | 2015/02/28 | 13.11% | 5.49% | 162.36 | 21.63 | 59.27 |
| 18. | 2015/03/31 | 1.93% | -1.74% | 2.43 | 6.64 | -4.02 |
| 19. | 2015/04/30 | -2.07% | 0.85% | 5.92 | 0.00 | -0.03 |
| 20. | 2015/05/31 | 3.92% | 1.05% | 12.60 | 0.04 | 0.75 |
| 21. | 2015/06/30 | -1.63% | -2.10% | 3.99 | 8.64 | 5.87 |
| 22. | 2015/07/31 | 14.44% | 1.97% | 197.96 | 1.29 | 15.99 |
| 23. | 2015/08/31 | -10.06% | -6.26% | 108.69 | 50.35 | 73.98 |
| 24. | 2015/09/30 | -3.99% | -2.64% | 18.94 | 12.13 | 15.16 |
| 25. | 2015/10/31 | 1.90% | 8.30% | 2.36 | 55.66 | 11.45 |
| 26. | 2015/11/30 | -0.34% | 0.05% | 0.50 | 0.62 | 0.56 |
| 27. | 2015/12/31 | 1.34% | -1.75% | 0.96 | 6.71 | -2.54 |
| 28. | 2016/01/31 | -6.39% | -5.07% | 45.62 | 34.95 | 39.93 |
| 29. | 2016/02/29 | -0.53% | -0.41% | 0.80 | 1.56 | 1.12 |
| 30. | 2016/03/31 | 6.71% | 6.60% | 40.29 | 33.19 | 36.57 |
| 31. | 2016/04/30 | -5.89% | 0.27% | 39.12 | 0.32 | 3.55 |
| 32. | 2016/05/31 | -1.92% | 1.53% | 5.21 | 0.48 | -1.59 |
| 33. | 2016/06/30 | 7.58% | 0.09% | 52.10 | 0.56 | -5.39 |
| 34. | 2016/07/31 | -4.83% | 3.56% | 26.98 | 7.41 | -14.14 |
| 35. | 2016/08/31 | 2.32% | -0.12% | 3.80 | 0.92 | -1.87 |
| 36. | 2016/09/30 | -0.11% | -0.12% | 0.23 | 0.92 | 0.46 |
| 37. | 2016/10/31 | 2.62% | -1.94% | 5.07 | 7.73 | -6.26 |
| 38. | 2016/11/30 | 2.87% | 3.42% | 6.27 | 6.65 | 6.46 |
| 39. | 2016/12/31 | -2.33% | 1.82% | 7.24 | 0.96 | -2.64 |
| 40. | 2017/01/31 | -0.99% | 1.79% | 1.84 | 0.90 | -1.29 |
| 41. | 2017/02/28 | 5.88% | 3.72% | 30.36 | 8.31 | 15.88 |
| 42. | 2017/03/31 | -3.86% | -0.04% | 17.82 | 0.77 | 3.70 |
| 43. | 2017/04/30 | 4.20% | 0.91% | 14.71 | 0.01 | 0.27 |
| 44. | 2017/05/31 | -5.95% | 1.16% | 39.84 | 0.10 | -2.02 |
| 45. | 2017/06/30 | -3.34% | 0.48% | 13.77 | 0.13 | 1.32 |
| 46. | 2017/07/31 | 3.01% | 1.93% | 7.01 | 1.20 | 2.90 |
| 47. | 2017/08/31 | 1.52% | 0.05% | 1.34 | 0.61 | -0.91 |
| 48. | 2017/09/30 | -5.25% | 1.93% | 31.56 | 1.19 | -6.14 |
| 49. | 2017/10/31 | -14.18% | 2.22% | 211.60 | 1.91 | -20.09 |
| 50. | 2017/11/30 | 10.40% | 2.81% | 100.61 | 3.88 | 19.76 |
| 51. | 2017/12/31 | -0.19% | 0.98% | 0.31 | 0.02 | -0.08 |
| 52. | 2018/01/31 | 3.64% | 5.62% | 10.69 | 22.85 | 15.63 |
| 53. | 2018/02/28 | -7.93% | -3.89% | 68.87 | 22.40 | 39.28 |
| 54. | 2018/03/31 | -4.96% | -2.69% | 28.42 | 12.44 | 18.80 |
| 55. | 2018/04/30 | 1.50% | 0.27% | 1.28 | 0.32 | -0.64 |
| 56. | 2018/05/31 | -5.51% | 2.16% | 34.51 | 1.75 | -7.77 |
| 57. | 2018/06/30 | -3.80% | 0.48% | 17.35 | 0.13 | 1.47 |
| 58. | 2018/07/31 | 12.66% | 3.60% | 151.20 | 7.64 | 33.99 |
| 59. | 2018/08/31 | 2.04% | 3.03% | 2.80 | 4.79 | 3.66 |
| 60. | 2018/09/30 | 6.33% | 0.43% | 35.57 | 0.17 | -2.44 |
| 61. | 2018/10/31 | 9.42% | -6.94% | 82.04 | 60.50 | -70.45 |
| 62. | 2018/11/30 | 6.69% | 1.79% | 40.04 | 0.90 | 6.00 |
| 63. | 2018/12/31 | -19.30% | -9.18% | 386.70 | 100.31 | 196.96 |
| 64. | 2019/01/31 | 5.75% | 7.87% | 29.00 | 49.43 | 37.86 |
| 65. | 2019/02/28 | -0.87% | 2.97% | 1.53 | 4.56 | -2.64 |
| 66. | 2019/03/31 | -11.13% | 1.79% | 132.05 | 0.91 | -10.97 |
| 67. | 2019/04/30 | -15.33% | 3.93% | 246.41 | 9.57 | -48.56 |
| 68. | 2019/05/31 | -7.07% | -6.58% | 55.37 | 54.99 | 55.18 |
| 69. | 2019/06/30 | 10.80% | 6.89% | 108.92 | 36.66 | 63.19 |
| 70. | 2019/07/31 | -0.33% | 1.31% | 0.48 | 0.23 | -0.33 |
| 71. | 2019/08/31 | -5.22% | -1.81% | 31.16 | 7.01 | 14.78 |
| トータル (Σ): | 3,643.64 | 771.17 | 709.61 | |||
すべて表示
分散WBA = Σ(RWBA,t–RWBA)2 ÷ (71 – 1)
= 3,643.64 ÷ (71 – 1)
= 52.05
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 771.17 ÷ (71 – 1)
= 11.02
共 分散WBA, S&P 500 = Σ(RWBA,t–RWBA)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 709.61 ÷ (71 – 1)
= 10.14
システマティックなリスク推定 (β)
| 分散WBA | 52.05 |
| 分散S&P 500 | 11.02 |
| 共 分散WBA, S&P 500 | 10.14 |
| 相関係数WBA, S&P 5001 | 0.42 |
| βWBA2 | 0.92 |
| αWBA3 | -0.40% |
計算
1 相関係数WBA, S&P 500
= 共 分散WBA, S&P 500 ÷ (標準偏差WBA × 標準偏差S&P 500)
= 10.14 ÷ (7.21% × 3.32%)
= 0.42
2 βWBA
= 共 分散WBA, S&P 500 ÷ 分散S&P 500
= 10.14 ÷ 11.02
= 0.92
3 αWBA
= 平均WBA – βWBA × 平均S&P 500
= 0.37% – 0.92 × 0.84%
= -0.40%
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 Walgreens Boots Alliance システマティックリスク | βWBA | 0.92 |
| Walgreens Boots Alliance普通株式の期待収益率3 | E(RWBA) | 13.06% |
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(RWBA) = RF + βWBA [E(RM) – RF]
= 4.67% + 0.92 [13.79% – 4.67%]
= 13.06%