資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 lululemon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
lululemon athletica inc.、月間収益率
| lululemon athletica inc. (LULU) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格LULU,t1 | 配当LULU,t1 | RLULU,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2020/02/29 | $217.41 | 2,954.22 | ||||
| 1. | 2020/03/31 | $189.55 | -12.81% | 2,584.59 | -12.51% | |
| 2. | 2020/04/30 | $223.48 | 17.90% | 2,912.43 | 12.68% | |
| 3. | 2020/05/31 | $300.10 | 34.28% | 3,044.31 | 4.53% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025/12/31 | $207.81 | 12.83% | 6,845.50 | -0.05% | |
| 71. | 2026/01/31 | $174.50 | -16.03% | 6,939.03 | 1.37% | |
| 平均 (R): | 0.40% | 1.33% | ||||
| 標準偏差： | 12.01% | 4.83% | ||||
| lululemon athletica inc. (LULU) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格LULU,t1 | 配当LULU,t1 | RLULU,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2020/02/29 | $217.41 | 2,954.22 | ||||
| 1. | 2020/03/31 | $189.55 | -12.81% | 2,584.59 | -12.51% | |
| 2. | 2020/04/30 | $223.48 | 17.90% | 2,912.43 | 12.68% | |
| 3. | 2020/05/31 | $300.10 | 34.28% | 3,044.31 | 4.53% | |
| 4. | 2020/06/30 | $312.01 | 3.97% | 3,100.29 | 1.84% | |
| 5. | 2020/07/31 | $325.59 | 4.35% | 3,271.12 | 5.51% | |
| 6. | 2020/08/31 | $375.67 | 15.38% | 3,500.31 | 7.01% | |
| 7. | 2020/09/30 | $329.37 | -12.32% | 3,363.00 | -3.92% | |
| 8. | 2020/10/31 | $319.29 | -3.06% | 3,269.96 | -2.77% | |
| 9. | 2020/11/30 | $370.22 | 15.95% | 3,621.63 | 10.75% | |
| 10. | 2020/12/31 | $348.03 | -5.99% | 3,756.07 | 3.71% | |
| 11. | 2021/01/31 | $328.68 | -5.56% | 3,714.24 | -1.11% | |
| 12. | 2021/02/28 | $311.68 | -5.17% | 3,811.15 | 2.61% | |
| 13. | 2021/03/31 | $306.71 | -1.59% | 3,972.89 | 4.24% | |
| 14. | 2021/04/30 | $335.27 | 9.31% | 4,181.17 | 5.24% | |
| 15. | 2021/05/31 | $323.13 | -3.62% | 4,204.11 | 0.55% | |
| 16. | 2021/06/30 | $364.97 | 12.95% | 4,297.50 | 2.22% | |
| 17. | 2021/07/31 | $400.17 | 9.64% | 4,395.26 | 2.27% | |
| 18. | 2021/08/31 | $400.17 | 0.00% | 4,522.68 | 2.90% | |
| 19. | 2021/09/30 | $404.70 | 1.13% | 4,307.54 | -4.76% | |
| 20. | 2021/10/31 | $466.01 | 15.15% | 4,605.38 | 6.91% | |
| 21. | 2021/11/30 | $454.41 | -2.49% | 4,567.00 | -0.83% | |
| 22. | 2021/12/31 | $391.45 | -13.86% | 4,766.18 | 4.36% | |
| 23. | 2022/01/31 | $333.76 | -14.74% | 4,515.55 | -5.26% | |
| 24. | 2022/02/28 | $319.94 | -4.14% | 4,373.94 | -3.14% | |
| 25. | 2022/03/31 | $365.23 | 14.16% | 4,530.41 | 3.58% | |
| 26. | 2022/04/30 | $354.63 | -2.90% | 4,131.93 | -8.80% | |
| 27. | 2022/05/31 | $292.69 | -17.47% | 4,132.15 | 0.01% | |
| 28. | 2022/06/30 | $272.61 | -6.86% | 3,785.38 | -8.39% | |
| 29. | 2022/07/31 | $310.51 | 13.90% | 4,130.29 | 9.11% | |
| 30. | 2022/08/31 | $299.96 | -3.40% | 3,955.00 | -4.24% | |
| 31. | 2022/09/30 | $279.56 | -6.80% | 3,585.62 | -9.34% | |
| 32. | 2022/10/31 | $329.04 | 17.70% | 3,871.98 | 7.99% | |
| 33. | 2022/11/30 | $380.31 | 15.58% | 4,080.11 | 5.38% | |
| 34. | 2022/12/31 | $320.38 | -15.76% | 3,839.50 | -5.90% | |
| 35. | 2023/01/31 | $306.88 | -4.21% | 4,076.60 | 6.18% | |
| 36. | 2023/02/28 | $309.20 | 0.76% | 3,970.15 | -2.61% | |
| 37. | 2023/03/31 | $364.19 | 17.78% | 4,109.31 | 3.51% | |
| 38. | 2023/04/30 | $379.93 | 4.32% | 4,169.48 | 1.46% | |
| 39. | 2023/05/31 | $331.93 | -12.63% | 4,179.83 | 0.25% | |
| 40. | 2023/06/30 | $378.50 | 14.03% | 4,376.86 | 4.71% | |
| 41. | 2023/07/31 | $378.53 | 0.01% | 4,588.96 | 4.85% | |
| 42. | 2023/08/31 | $381.26 | 0.72% | 4,507.66 | -1.77% | |
| 43. | 2023/09/30 | $385.61 | 1.14% | 4,288.05 | -4.87% | |
| 44. | 2023/10/31 | $393.48 | 2.04% | 4,193.80 | -2.20% | |
| 45. | 2023/11/30 | $446.80 | 13.55% | 4,567.80 | 8.92% | |
| 46. | 2023/12/31 | $511.29 | 14.43% | 4,769.83 | 4.42% | |
| 47. | 2024/01/31 | $453.82 | -11.24% | 4,845.65 | 1.59% | |
| 48. | 2024/02/29 | $467.09 | 2.92% | 5,096.27 | 5.17% | |
| 49. | 2024/03/31 | $390.65 | -16.37% | 5,254.35 | 3.10% | |
| 50. | 2024/04/30 | $360.60 | -7.69% | 5,035.69 | -4.16% | |
| 51. | 2024/05/31 | $311.99 | -13.48% | 5,277.51 | 4.80% | |
| 52. | 2024/06/30 | $298.70 | -4.26% | 5,460.48 | 3.47% | |
| 53. | 2024/07/31 | $258.66 | -13.40% | 5,522.30 | 1.13% | |
| 54. | 2024/08/31 | $259.47 | 0.31% | 5,648.40 | 2.28% | |
| 55. | 2024/09/30 | $271.35 | 4.58% | 5,762.48 | 2.02% | |
| 56. | 2024/10/31 | $297.90 | 9.78% | 5,705.45 | -0.99% | |
| 57. | 2024/11/30 | $320.66 | 7.64% | 6,032.38 | 5.73% | |
| 58. | 2024/12/31 | $382.41 | 19.26% | 5,881.63 | -2.50% | |
| 59. | 2025/01/31 | $414.20 | 8.31% | 6,040.53 | 2.70% | |
| 60. | 2025/02/28 | $365.61 | -11.73% | 5,954.50 | -1.42% | |
| 61. | 2025/03/31 | $283.06 | -22.58% | 5,611.85 | -5.75% | |
| 62. | 2025/04/30 | $270.77 | -4.34% | 5,569.06 | -0.76% | |
| 63. | 2025/05/31 | $316.67 | 16.95% | 5,911.69 | 6.15% | |
| 64. | 2025/06/30 | $237.58 | -24.98% | 6,204.95 | 4.96% | |
| 65. | 2025/07/31 | $200.53 | -15.59% | 6,339.39 | 2.17% | |
| 66. | 2025/08/31 | $202.20 | 0.83% | 6,460.26 | 1.91% | |
| 67. | 2025/09/30 | $177.93 | -12.00% | 6,688.46 | 3.53% | |
| 68. | 2025/10/31 | $170.54 | -4.15% | 6,840.20 | 2.27% | |
| 69. | 2025/11/30 | $184.18 | 8.00% | 6,849.09 | 0.13% | |
| 70. | 2025/12/31 | $207.81 | 12.83% | 6,845.50 | -0.05% | |
| 71. | 2026/01/31 | $174.50 | -16.03% | 6,939.03 | 1.37% | |
| 平均 (R): | 0.40% | 1.33% | ||||
| 標準偏差： | 12.01% | 4.83% | ||||
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LULU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
lululemon athletica inc.、分散の計算、および戻り値の共分散
| t | 日付 | RLULU,t | RS&P 500,t | (RLULU,t–RLULU)2 | (RS&P 500,t–RS&P 500)2 | (RLULU,t–RLULU)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020/03/31 | -12.81% | -12.51% | 174.60 | 191.48 | 182.84 |
| 2. | 2020/04/30 | 17.90% | 12.68% | 306.30 | 129.02 | 198.79 |
| 3. | 2020/05/31 | 34.28% | 4.53% | 1,148.26 | 10.26 | 108.52 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025/12/31 | 12.83% | -0.05% | 154.53 | 1.90 | -17.13 |
| 71. | 2026/01/31 | -16.03% | 1.37% | 269.88 | 0.00 | -0.67 |
| トータル (Σ): | 10,104.45 | 1,636.00 | 1,925.58 | |||
| t | 日付 | RLULU,t | RS&P 500,t | (RLULU,t–RLULU)2 | (RS&P 500,t–RS&P 500)2 | (RLULU,t–RLULU)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020/03/31 | -12.81% | -12.51% | 174.60 | 191.48 | 182.84 |
| 2. | 2020/04/30 | 17.90% | 12.68% | 306.30 | 129.02 | 198.79 |
| 3. | 2020/05/31 | 34.28% | 4.53% | 1,148.26 | 10.26 | 108.52 |
| 4. | 2020/06/30 | 3.97% | 1.84% | 12.74 | 0.26 | 1.83 |
| 5. | 2020/07/31 | 4.35% | 5.51% | 15.63 | 17.51 | 16.54 |
| 6. | 2020/08/31 | 15.38% | 7.01% | 224.47 | 32.27 | 85.11 |
| 7. | 2020/09/30 | -12.32% | -3.92% | 161.89 | 27.55 | 66.78 |
| 8. | 2020/10/31 | -3.06% | -2.77% | 11.97 | 16.75 | 14.16 |
| 9. | 2020/11/30 | 15.95% | 10.75% | 241.87 | 88.91 | 146.64 |
| 10. | 2020/12/31 | -5.99% | 3.71% | 40.87 | 5.70 | -15.26 |
| 11. | 2021/01/31 | -5.56% | -1.11% | 35.51 | 5.95 | 14.54 |
| 12. | 2021/02/28 | -5.17% | 2.61% | 31.04 | 1.65 | -7.15 |
| 13. | 2021/03/31 | -1.59% | 4.24% | 3.97 | 8.52 | -5.82 |
| 14. | 2021/04/30 | 9.31% | 5.24% | 79.44 | 15.34 | 34.91 |
| 15. | 2021/05/31 | -3.62% | 0.55% | 16.16 | 0.60 | 3.12 |
| 16. | 2021/06/30 | 12.95% | 2.22% | 157.49 | 0.80 | 11.24 |
| 17. | 2021/07/31 | 9.64% | 2.27% | 85.48 | 0.90 | 8.78 |
| 18. | 2021/08/31 | 0.00% | 2.90% | 0.16 | 2.48 | -0.63 |
| 19. | 2021/09/30 | 1.13% | -4.76% | 0.54 | 37.00 | -4.46 |
| 20. | 2021/10/31 | 15.15% | 6.91% | 217.58 | 31.23 | 82.44 |
| 21. | 2021/11/30 | -2.49% | -0.83% | 8.34 | 4.66 | 6.24 |
| 22. | 2021/12/31 | -13.86% | 4.36% | 203.19 | 9.22 | -43.27 |
| 23. | 2022/01/31 | -14.74% | -5.26% | 229.11 | 43.35 | 99.66 |
| 24. | 2022/02/28 | -4.14% | -3.14% | 20.61 | 19.91 | 20.25 |
| 25. | 2022/03/31 | 14.16% | 3.58% | 189.25 | 5.07 | 30.98 |
| 26. | 2022/04/30 | -2.90% | -8.80% | 10.90 | 102.44 | 33.41 |
| 27. | 2022/05/31 | -17.47% | 0.01% | 319.16 | 1.74 | 23.59 |
| 28. | 2022/06/30 | -6.86% | -8.39% | 52.70 | 94.43 | 70.54 |
| 29. | 2022/07/31 | 13.90% | 9.11% | 182.35 | 60.62 | 105.14 |
| 30. | 2022/08/31 | -3.40% | -4.24% | 14.41 | 31.02 | 21.15 |
| 31. | 2022/09/30 | -6.80% | -9.34% | 51.84 | 113.75 | 76.79 |
| 32. | 2022/10/31 | 17.70% | 7.99% | 299.30 | 44.37 | 115.23 |
| 33. | 2022/11/30 | 15.58% | 5.38% | 230.51 | 16.40 | 61.49 |
| 34. | 2022/12/31 | -15.76% | -5.90% | 261.05 | 52.17 | 116.70 |
| 35. | 2023/01/31 | -4.21% | 6.18% | 21.28 | 23.52 | -22.37 |
| 36. | 2023/02/28 | 0.76% | -2.61% | 0.13 | 15.50 | -1.41 |
| 37. | 2023/03/31 | 17.78% | 3.51% | 302.26 | 4.75 | 37.89 |
| 38. | 2023/04/30 | 4.32% | 1.46% | 15.39 | 0.02 | 0.54 |
| 39. | 2023/05/31 | -12.63% | 0.25% | 169.86 | 1.16 | 14.04 |
| 40. | 2023/06/30 | 14.03% | 4.71% | 185.81 | 11.48 | 46.19 |
| 41. | 2023/07/31 | 0.01% | 4.85% | 0.15 | 12.39 | -1.38 |
| 42. | 2023/08/31 | 0.72% | -1.77% | 0.10 | 9.59 | -1.00 |
| 43. | 2023/09/30 | 1.14% | -4.87% | 0.55 | 38.41 | -4.60 |
| 44. | 2023/10/31 | 2.04% | -2.20% | 2.70 | 12.42 | -5.79 |
| 45. | 2023/11/30 | 13.55% | 8.92% | 172.97 | 57.64 | 99.85 |
| 46. | 2023/12/31 | 14.43% | 4.42% | 196.97 | 9.59 | 43.47 |
| 47. | 2024/01/31 | -11.24% | 1.59% | 135.47 | 0.07 | -3.07 |
| 48. | 2024/02/29 | 2.92% | 5.17% | 6.38 | 14.80 | 9.71 |
| 49. | 2024/03/31 | -16.37% | 3.10% | 281.04 | 3.16 | -29.78 |
| 50. | 2024/04/30 | -7.69% | -4.16% | 65.47 | 30.11 | 44.40 |
| 51. | 2024/05/31 | -13.48% | 4.80% | 192.64 | 12.09 | -48.25 |
| 52. | 2024/06/30 | -4.26% | 3.47% | 21.70 | 4.59 | -9.98 |
| 53. | 2024/07/31 | -13.40% | 1.13% | 190.54 | 0.04 | 2.67 |
| 54. | 2024/08/31 | 0.31% | 2.28% | 0.01 | 0.92 | -0.08 |
| 55. | 2024/09/30 | 4.58% | 2.02% | 17.47 | 0.48 | 2.90 |
| 56. | 2024/10/31 | 9.78% | -0.99% | 88.09 | 5.36 | -21.73 |
| 57. | 2024/11/30 | 7.64% | 5.73% | 52.43 | 19.40 | 31.89 |
| 58. | 2024/12/31 | 19.26% | -2.50% | 355.63 | 14.63 | -72.13 |
| 59. | 2025/01/31 | 8.31% | 2.70% | 62.63 | 1.89 | 10.89 |
| 60. | 2025/02/28 | -11.73% | -1.42% | 147.14 | 7.56 | 33.36 |
| 61. | 2025/03/31 | -22.58% | -5.75% | 527.97 | 50.13 | 162.68 |
| 62. | 2025/04/30 | -4.34% | -0.76% | 22.48 | 4.36 | 9.90 |
| 63. | 2025/05/31 | 16.95% | 6.15% | 273.99 | 23.30 | 79.90 |
| 64. | 2025/06/30 | -24.98% | 4.96% | 643.87 | 13.21 | -92.24 |
| 65. | 2025/07/31 | -15.59% | 2.17% | 255.80 | 0.71 | -13.45 |
| 66. | 2025/08/31 | 0.83% | 1.91% | 0.19 | 0.34 | 0.25 |
| 67. | 2025/09/30 | -12.00% | 3.53% | 153.81 | 4.87 | -27.37 |
| 68. | 2025/10/31 | -4.15% | 2.27% | 20.72 | 0.89 | -4.29 |
| 69. | 2025/11/30 | 8.00% | 0.13% | 57.75 | 1.43 | -9.09 |
| 70. | 2025/12/31 | 12.83% | -0.05% | 154.53 | 1.90 | -17.13 |
| 71. | 2026/01/31 | -16.03% | 1.37% | 269.88 | 0.00 | -0.67 |
| トータル (Σ): | 10,104.45 | 1,636.00 | 1,925.58 | |||
すべて表示
分散LULU = Σ(RLULU,t–RLULU)2 ÷ (71 – 1)
= 10,104.45 ÷ (71 – 1)
= 144.35
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,636.00 ÷ (71 – 1)
= 23.37
共 分散LULU, S&P 500 = Σ(RLULU,t–RLULU)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,925.58 ÷ (71 – 1)
= 27.51
システマティックなリスク推定 (β)
| 分散LULU | 144.35 |
| 分散S&P 500 | 23.37 |
| 共 分散LULU, S&P 500 | 27.51 |
| 相関係数LULU, S&P 5001 | 0.47 |
| βLULU2 | 1.18 |
| αLULU3 | -1.16% |
計算
1 相関係数LULU, S&P 500
= 共 分散LULU, S&P 500 ÷ (標準偏差LULU × 標準偏差S&P 500)
= 27.51 ÷ (12.01% × 4.83%)
= 0.47
2 βLULU
= 共 分散LULU, S&P 500 ÷ 分散S&P 500
= 27.51 ÷ 23.37
= 1.18
3 αLULU
= 平均LULU – βLULU × 平均S&P 500
= 0.40% – 1.18 × 1.33%
= -1.16%
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 lululemon システマティックリスク | βLULU | 1.18 |
| ルルレモン普通株式の期待収益率3 | E(RLULU) | 19.56% |
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(RLULU) = RF + βLULU [E(RM) – RF]
= 4.95% + 1.18 [17.36% – 4.95%]
= 19.56%