Stock Analysis on Net

lululemon athletica inc. (NASDAQ:LULU)

資本資産価格モデル (CAPM) 

Microsoft Excel

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

Microsoft Excel
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
2018/02/28 $81.10 2,713.83
1. 2018/03/31 $89.12 9.89% 2,640.87 -2.69%
2. 2018/04/30 $99.80 11.98% 2,648.05 0.27%
3. 2018/05/31 $105.05 5.26% 2,705.27 2.16%
. . . . . . .
. . . . . . .
. . . . . . .
70. 2023/12/31 $511.29 14.43% 4,769.83 4.42%
71. 2024/01/31 $453.82 -11.24% 4,845.65 1.59%
平均 (R): 3.03% 0.95%
標準偏差: 11.02% 5.18%
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
2018/02/28 $81.10 2,713.83
1. 2018/03/31 $89.12 9.89% 2,640.87 -2.69%
2. 2018/04/30 $99.80 11.98% 2,648.05 0.27%
3. 2018/05/31 $105.05 5.26% 2,705.27 2.16%
4. 2018/06/30 $124.85 18.85% 2,718.37 0.48%
5. 2018/07/31 $119.95 -3.92% 2,816.29 3.60%
6. 2018/08/31 $154.93 29.16% 2,901.52 3.03%
7. 2018/09/30 $162.49 4.88% 2,913.98 0.43%
8. 2018/10/31 $140.73 -13.39% 2,711.74 -6.94%
9. 2018/11/30 $132.55 -5.81% 2,760.17 1.79%
10. 2018/12/31 $121.61 -8.25% 2,506.85 -9.18%
11. 2019/01/31 $147.81 21.54% 2,704.10 7.87%
12. 2019/02/28 $150.42 1.77% 2,784.49 2.97%
13. 2019/03/31 $163.87 8.94% 2,834.40 1.79%
14. 2019/04/30 $176.35 7.62% 2,945.83 3.93%
15. 2019/05/31 $165.59 -6.10% 2,752.06 -6.58%
16. 2019/06/30 $180.21 8.83% 2,941.76 6.89%
17. 2019/07/31 $191.09 6.04% 2,980.38 1.31%
18. 2019/08/31 $184.67 -3.36% 2,926.46 -1.81%
19. 2019/09/30 $192.53 4.26% 2,976.74 1.72%
20. 2019/10/31 $204.27 6.10% 3,037.56 2.04%
21. 2019/11/30 $225.69 10.49% 3,140.98 3.40%
22. 2019/12/31 $231.67 2.65% 3,230.78 2.86%
23. 2020/01/31 $239.39 3.33% 3,225.52 -0.16%
24. 2020/02/29 $217.41 -9.18% 2,954.22 -8.41%
25. 2020/03/31 $189.55 -12.81% 2,584.59 -12.51%
26. 2020/04/30 $223.48 17.90% 2,912.43 12.68%
27. 2020/05/31 $300.10 34.28% 3,044.31 4.53%
28. 2020/06/30 $312.01 3.97% 3,100.29 1.84%
29. 2020/07/31 $325.59 4.35% 3,271.12 5.51%
30. 2020/08/31 $375.67 15.38% 3,500.31 7.01%
31. 2020/09/30 $329.37 -12.32% 3,363.00 -3.92%
32. 2020/10/31 $319.29 -3.06% 3,269.96 -2.77%
33. 2020/11/30 $370.22 15.95% 3,621.63 10.75%
34. 2020/12/31 $348.03 -5.99% 3,756.07 3.71%
35. 2021/01/31 $328.68 -5.56% 3,714.24 -1.11%
36. 2021/02/28 $311.68 -5.17% 3,811.15 2.61%
37. 2021/03/31 $306.71 -1.59% 3,972.89 4.24%
38. 2021/04/30 $335.27 9.31% 4,181.17 5.24%
39. 2021/05/31 $323.13 -3.62% 4,204.11 0.55%
40. 2021/06/30 $364.97 12.95% 4,297.50 2.22%
41. 2021/07/31 $400.17 9.64% 4,395.26 2.27%
42. 2021/08/31 $400.17 0.00% 4,522.68 2.90%
43. 2021/09/30 $404.70 1.13% 4,307.54 -4.76%
44. 2021/10/31 $466.01 15.15% 4,605.38 6.91%
45. 2021/11/30 $454.41 -2.49% 4,567.00 -0.83%
46. 2021/12/31 $391.45 -13.86% 4,766.18 4.36%
47. 2022/01/31 $333.76 -14.74% 4,515.55 -5.26%
48. 2022/02/28 $319.94 -4.14% 4,373.94 -3.14%
49. 2022/03/31 $365.23 14.16% 4,530.41 3.58%
50. 2022/04/30 $354.63 -2.90% 4,131.93 -8.80%
51. 2022/05/31 $292.69 -17.47% 4,132.15 0.01%
52. 2022/06/30 $272.61 -6.86% 3,785.38 -8.39%
53. 2022/07/31 $310.51 13.90% 4,130.29 9.11%
54. 2022/08/31 $299.96 -3.40% 3,955.00 -4.24%
55. 2022/09/30 $279.56 -6.80% 3,585.62 -9.34%
56. 2022/10/31 $329.04 17.70% 3,871.98 7.99%
57. 2022/11/30 $380.31 15.58% 4,080.11 5.38%
58. 2022/12/31 $320.38 -15.76% 3,839.50 -5.90%
59. 2023/01/31 $306.88 -4.21% 4,076.60 6.18%
60. 2023/02/28 $309.20 0.76% 3,970.15 -2.61%
61. 2023/03/31 $364.19 17.78% 4,109.31 3.51%
62. 2023/04/30 $379.93 4.32% 4,169.48 1.46%
63. 2023/05/31 $331.93 -12.63% 4,179.83 0.25%
64. 2023/06/30 $378.50 14.03% 4,376.86 4.71%
65. 2023/07/31 $378.53 0.01% 4,588.96 4.85%
66. 2023/08/31 $381.26 0.72% 4,507.66 -1.77%
67. 2023/09/30 $385.61 1.14% 4,288.05 -4.87%
68. 2023/10/31 $393.48 2.04% 4,193.80 -2.20%
69. 2023/11/30 $446.80 13.55% 4,567.80 8.92%
70. 2023/12/31 $511.29 14.43% 4,769.83 4.42%
71. 2024/01/31 $453.82 -11.24% 4,845.65 1.59%
平均 (R): 3.03% 0.95%
標準偏差: 11.02% 5.18%

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プロキシ)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

Microsoft Excel
t 日付 RLULU,t RS&P 500,t (RLULU,tRLULU)2 (RS&P 500,tRS&P 500)2 (RLULU,tRLULU)×(RS&P 500,tRS&P 500)
1. 2018/03/31 9.89% -2.69% 47.06 13.26 -24.98
2. 2018/04/30 11.98% 0.27% 80.19 0.46 -6.10
3. 2018/05/31 5.26% 2.16% 4.98 1.46 2.70
. . . . . . .
. . . . . . .
. . . . . . .
70. 2023/12/31 14.43% 4.42% 130.06 12.04 39.57
71. 2024/01/31 -11.24% 1.59% 203.61 0.41 -9.08
トータル (Σ): 8,497.00 1,876.53 2,520.47
t 日付 RLULU,t RS&P 500,t (RLULU,tRLULU)2 (RS&P 500,tRS&P 500)2 (RLULU,tRLULU)×(RS&P 500,tRS&P 500)
1. 2018/03/31 9.89% -2.69% 47.06 13.26 -24.98
2. 2018/04/30 11.98% 0.27% 80.19 0.46 -6.10
3. 2018/05/31 5.26% 2.16% 4.98 1.46 2.70
4. 2018/06/30 18.85% 0.48% 250.24 0.22 -7.41
5. 2018/07/31 -3.92% 3.60% 48.36 7.02 -18.42
6. 2018/08/31 29.16% 3.03% 682.93 4.30 54.18
7. 2018/09/30 4.88% 0.43% 3.42 0.27 -0.97
8. 2018/10/31 -13.39% -6.94% 269.64 62.30 129.61
9. 2018/11/30 -5.81% 1.79% 78.18 0.69 -7.37
10. 2018/12/31 -8.25% -9.18% 127.30 102.63 114.30
11. 2019/01/31 21.54% 7.87% 342.81 47.82 128.04
12. 2019/02/28 1.77% 2.97% 1.60 4.08 -2.55
13. 2019/03/31 8.94% 1.79% 34.96 0.70 4.96
14. 2019/04/30 7.62% 3.93% 21.04 8.87 13.66
15. 2019/05/31 -6.10% -6.58% 83.37 56.71 68.76
16. 2019/06/30 8.83% 6.89% 33.64 35.28 34.45
17. 2019/07/31 6.04% 1.31% 9.05 0.13 1.08
18. 2019/08/31 -3.36% -1.81% 40.82 7.63 17.65
19. 2019/09/30 4.26% 1.72% 1.51 0.59 0.94
20. 2019/10/31 6.10% 2.04% 9.42 1.19 3.35
21. 2019/11/30 10.49% 3.40% 55.61 6.01 18.28
22. 2019/12/31 2.65% 2.86% 0.14 3.63 -0.72
23. 2020/01/31 3.33% -0.16% 0.09 1.24 -0.34
24. 2020/02/29 -9.18% -8.41% 149.10 87.68 114.34
25. 2020/03/31 -12.81% -12.51% 251.02 181.30 213.33
26. 2020/04/30 17.90% 12.68% 221.15 137.63 174.46
27. 2020/05/31 34.28% 4.53% 976.92 12.78 111.75
28. 2020/06/30 3.97% 1.84% 0.88 0.78 0.83
29. 2020/07/31 4.35% 5.51% 1.75 20.77 6.03
30. 2020/08/31 15.38% 7.01% 152.58 36.65 74.77
31. 2020/09/30 -12.32% -3.92% 235.74 23.77 74.86
32. 2020/10/31 -3.06% -2.77% 37.08 13.83 22.65
33. 2020/11/30 15.95% 10.75% 166.97 96.07 126.66
34. 2020/12/31 -5.99% 3.71% 81.41 7.61 -24.90
35. 2021/01/31 -5.56% -1.11% 73.77 4.27 17.75
36. 2021/02/28 -5.17% 2.61% 67.26 2.74 -13.58
37. 2021/03/31 -1.59% 4.24% 21.38 10.83 -15.22
38. 2021/04/30 9.31% 5.24% 39.47 18.40 26.95
39. 2021/05/31 -3.62% 0.55% 44.22 0.16 2.69
40. 2021/06/30 12.95% 2.22% 98.39 1.61 12.58
41. 2021/07/31 9.64% 2.27% 43.76 1.75 8.74
42. 2021/08/31 0.00% 2.90% 9.18 3.79 -5.90
43. 2021/09/30 1.13% -4.76% 3.60 32.60 10.83
44. 2021/10/31 15.15% 6.91% 146.90 35.54 72.26
45. 2021/11/30 -2.49% -0.83% 30.45 3.19 9.86
46. 2021/12/31 -13.86% 4.36% 285.09 11.62 -57.55
47. 2022/01/31 -14.74% -5.26% 315.65 38.58 110.36
48. 2022/02/28 -4.14% -3.14% 51.41 16.72 29.32
49. 2022/03/31 14.16% 3.58% 123.80 6.89 29.20
50. 2022/04/30 -2.90% -8.80% 35.18 95.04 57.82
51. 2022/05/31 -17.47% 0.01% 420.05 0.90 19.42
52. 2022/06/30 -6.86% -8.39% 97.81 87.33 92.42
53. 2022/07/31 13.90% 9.11% 118.23 66.56 88.71
54. 2022/08/31 -3.40% -4.24% 41.30 27.01 33.40
55. 2022/09/30 -6.80% -9.34% 96.63 105.94 101.18
56. 2022/10/31 17.70% 7.99% 215.21 49.47 103.18
57. 2022/11/30 15.58% 5.38% 157.57 19.56 55.51
58. 2022/12/31 -15.76% -5.90% 352.96 46.92 128.69
59. 2023/01/31 -4.21% 6.18% 52.46 27.27 -37.83
60. 2023/02/28 0.76% -2.61% 5.17 12.70 8.10
61. 2023/03/31 17.78% 3.51% 217.72 6.51 37.66
62. 2023/04/30 4.32% 1.46% 1.67 0.26 0.66
63. 2023/05/31 -12.63% 0.25% 245.33 0.50 11.04
64. 2023/06/30 14.03% 4.71% 121.02 14.14 41.37
65. 2023/07/31 0.01% 4.85% 9.13 15.16 -11.76
66. 2023/08/31 0.72% -1.77% 5.33 7.42 6.29
67. 2023/09/30 1.14% -4.87% 3.57 33.93 11.00
68. 2023/10/31 2.04% -2.20% 0.98 9.93 3.11
69. 2023/11/30 13.55% 8.92% 110.71 63.44 83.81
70. 2023/12/31 14.43% 4.42% 130.06 12.04 39.57
71. 2024/01/31 -11.24% 1.59% 203.61 0.41 -9.08
トータル (Σ): 8,497.00 1,876.53 2,520.47

すべて表示

分散LULU = Σ(RLULU,tRLULU)2 ÷ (71 – 1)
= 8,497.00 ÷ (71 – 1)
= 121.39

分散S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,876.53 ÷ (71 – 1)
= 26.81

共 分散LULU, S&P 500 = Σ(RLULU,tRLULU)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 2,520.47 ÷ (71 – 1)
= 36.01


システマティックリスク推定 (β)

Microsoft Excel
分散LULU 121.39
分散S&P 500 26.81
共 分散LULU, S&P 500 36.01
相関係数LULU, S&P 5001 0.63
βLULU2 1.34
αLULU3 1.75%

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)
= 36.01 ÷ (11.02% × 5.18%)
= 0.63

2 βLULU
= 共 分散LULU, S&P 500 ÷ 分散S&P 500
= 36.01 ÷ 26.81
= 1.34

3 αLULU
= 平均LULU – βLULU × 平均S&P 500
= 3.03%1.34 × 0.95%
= 1.75%


期待収益率

Microsoft Excel
仮定
LT財務省総合の収益率1 RF 4.86%
市場ポートフォリオの期待収益率2 E(RM) 13.54%
普通株式 lululemon システマティックリスク βLULU 1.34
 
ルルレモン普通株式の期待収益率3 E(RLULU) 16.51%

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(RLULU) = RF + βLULU [E(RM) – RF]
= 4.86% + 1.34 [13.54%4.86%]
= 16.51%