Stock Analysis on Net

3M Co. (NYSE:MMM)

この会社は アーカイブに移されました! 財務データは2022年10月25日以降更新されていません。

資本資産価格モデル (CAPM) 

Microsoft Excel

収益率

3M Co.、月間収益率

Microsoft Excel
3M Co. (MMM) Standard & Poor’s 500 (S&P 500)
t 日付 価格MMM,t1 配当MMM,t1 RMMM,t2 価格S&P 500,t RS&P 500,t3
2017/01/31 $174.82 2,278.87
1. 2017/02/28 $186.35 $1.175 7.27% 2,363.64 3.72%
2. 2017/03/31 $191.33 2.67% 2,362.72 -0.04%
3. 2017/04/30 $195.83 2.35% 2,384.20 0.91%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2021/11/30 $170.04 $1.48 -4.01% 4,567.00 -0.83%
59. 2021/12/31 $177.63 4.46% 4,766.18 4.36%
平均 (R): 0.46% 1.36%
標準偏差: 6.03% 4.48%
3M Co. (MMM) Standard & Poor’s 500 (S&P 500)
t 日付 価格MMM,t1 配当MMM,t1 RMMM,t2 価格S&P 500,t RS&P 500,t3
2017/01/31 $174.82 2,278.87
1. 2017/02/28 $186.35 $1.175 7.27% 2,363.64 3.72%
2. 2017/03/31 $191.33 2.67% 2,362.72 -0.04%
3. 2017/04/30 $195.83 2.35% 2,384.20 0.91%
4. 2017/05/31 $204.47 $1.175 5.01% 2,411.80 1.16%
5. 2017/06/30 $208.19 1.82% 2,423.41 0.48%
6. 2017/07/31 $201.17 -3.37% 2,470.30 1.93%
7. 2017/08/31 $204.32 $1.175 2.15% 2,471.65 0.05%
8. 2017/09/30 $209.90 2.73% 2,519.36 1.93%
9. 2017/10/31 $230.19 9.67% 2,575.26 2.22%
10. 2017/11/30 $243.14 $1.175 6.14% 2,647.58 2.81%
11. 2017/12/31 $235.37 -3.20% 2,673.61 0.98%
12. 2018/01/31 $250.50 6.43% 2,823.81 5.62%
13. 2018/02/28 $235.51 $1.36 -5.44% 2,713.83 -3.89%
14. 2018/03/31 $219.52 -6.79% 2,640.87 -2.69%
15. 2018/04/30 $194.39 -11.45% 2,648.05 0.27%
16. 2018/05/31 $197.23 $1.36 2.16% 2,705.27 2.16%
17. 2018/06/30 $196.72 -0.26% 2,718.37 0.48%
18. 2018/07/31 $212.32 7.93% 2,816.29 3.60%
19. 2018/08/31 $210.92 $1.36 -0.02% 2,901.52 3.03%
20. 2018/09/30 $210.71 -0.10% 2,913.98 0.43%
21. 2018/10/31 $190.26 -9.71% 2,711.74 -6.94%
22. 2018/11/30 $207.92 $1.36 10.00% 2,760.17 1.79%
23. 2018/12/31 $190.54 -8.36% 2,506.85 -9.18%
24. 2019/01/31 $200.30 5.12% 2,704.10 7.87%
25. 2019/02/28 $207.39 $1.44 4.26% 2,784.49 2.97%
26. 2019/03/31 $207.78 0.19% 2,834.40 1.79%
27. 2019/04/30 $189.51 -8.79% 2,945.83 3.93%
28. 2019/05/31 $159.75 $1.44 -14.94% 2,752.06 -6.58%
29. 2019/06/30 $173.34 8.51% 2,941.76 6.89%
30. 2019/07/31 $174.72 0.80% 2,980.38 1.31%
31. 2019/08/31 $161.72 $1.44 -6.62% 2,926.46 -1.81%
32. 2019/09/30 $164.40 1.66% 2,976.74 1.72%
33. 2019/10/31 $164.99 0.36% 3,037.56 2.04%
34. 2019/11/30 $169.77 $1.44 3.77% 3,140.98 3.40%
35. 2019/12/31 $176.42 3.92% 3,230.78 2.86%
36. 2020/01/31 $158.66 -10.07% 3,225.52 -0.16%
37. 2020/02/29 $149.24 $1.47 -5.01% 2,954.22 -8.41%
38. 2020/03/31 $136.51 -8.53% 2,584.59 -12.51%
39. 2020/04/30 $151.92 11.29% 2,912.43 12.68%
40. 2020/05/31 $156.44 $1.47 3.94% 3,044.31 4.53%
41. 2020/06/30 $155.99 -0.29% 3,100.29 1.84%
42. 2020/07/31 $150.47 -3.54% 3,271.12 5.51%
43. 2020/08/31 $163.02 $1.47 9.32% 3,500.31 7.01%
44. 2020/09/30 $160.18 -1.74% 3,363.00 -3.92%
45. 2020/10/31 $159.96 -0.14% 3,269.96 -2.77%
46. 2020/11/30 $172.73 $1.47 8.90% 3,621.63 10.75%
47. 2020/12/31 $174.79 1.19% 3,756.07 3.71%
48. 2021/01/31 $175.66 0.50% 3,714.24 -1.11%
49. 2021/02/28 $175.06 $1.48 0.50% 3,811.15 2.61%
50. 2021/03/31 $192.68 10.07% 3,972.89 4.24%
51. 2021/04/30 $197.14 2.31% 4,181.17 5.24%
52. 2021/05/31 $203.04 $1.48 3.74% 4,204.11 0.55%
53. 2021/06/30 $198.63 -2.17% 4,297.50 2.22%
54. 2021/07/31 $197.94 -0.35% 4,395.26 2.27%
55. 2021/08/31 $194.74 $1.48 -0.87% 4,522.68 2.90%
56. 2021/09/30 $175.42 -9.92% 4,307.54 -4.76%
57. 2021/10/31 $178.68 1.86% 4,605.38 6.91%
58. 2021/11/30 $170.04 $1.48 -4.01% 4,567.00 -0.83%
59. 2021/12/31 $177.63 4.46% 4,766.18 4.36%
平均 (R): 0.46% 1.36%
標準偏差: 6.03% 4.48%

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MMM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

3M Co.、分散の計算、および戻り値の共分散

Microsoft Excel
t 日付 RMMM,t RS&P 500,t (RMMM,tRMMM)2 (RS&P 500,tRS&P 500)2 (RMMM,tRMMM)×(RS&P 500,tRS&P 500)
1. 2017/02/28 7.27% 3.72% 46.30 5.58 16.07
2. 2017/03/31 2.67% -0.04% 4.88 1.95 -3.09
3. 2017/04/30 2.35% 0.91% 3.57 0.20 -0.85
. . . . . . .
. . . . . . .
. . . . . . .
58. 2021/11/30 -4.01% -0.83% 19.98 4.80 9.80
59. 2021/12/31 4.46% 4.36% 16.01 9.02 12.02
トータル (Σ): 2,109.95 1,164.17 1,113.30
t 日付 RMMM,t RS&P 500,t (RMMM,tRMMM)2 (RS&P 500,tRS&P 500)2 (RMMM,tRMMM)×(RS&P 500,tRS&P 500)
1. 2017/02/28 7.27% 3.72% 46.30 5.58 16.07
2. 2017/03/31 2.67% -0.04% 4.88 1.95 -3.09
3. 2017/04/30 2.35% 0.91% 3.57 0.20 -0.85
4. 2017/05/31 5.01% 1.16% 20.69 0.04 -0.91
5. 2017/06/30 1.82% 0.48% 1.84 0.77 -1.19
6. 2017/07/31 -3.37% 1.93% 14.71 0.33 -2.21
7. 2017/08/31 2.15% 0.05% 2.85 1.70 -2.20
8. 2017/09/30 2.73% 1.93% 5.14 0.33 1.30
9. 2017/10/31 9.67% 2.22% 84.70 0.74 7.92
10. 2017/11/30 6.14% 2.81% 32.19 2.10 8.23
11. 2017/12/31 -3.20% 0.98% 13.39 0.14 1.37
12. 2018/01/31 6.43% 5.62% 35.58 18.15 25.41
13. 2018/02/28 -5.44% -3.89% 34.86 27.59 31.01
14. 2018/03/31 -6.79% -2.69% 52.60 16.37 29.35
15. 2018/04/30 -11.45% 0.27% 141.86 1.18 12.94
16. 2018/05/31 2.16% 2.16% 2.88 0.64 1.36
17. 2018/06/30 -0.26% 0.48% 0.52 0.76 0.63
18. 2018/07/31 7.93% 3.60% 55.76 5.04 16.76
19. 2018/08/31 -0.02% 3.03% 0.23 2.78 -0.80
20. 2018/09/30 -0.10% 0.43% 0.32 0.86 0.52
21. 2018/10/31 -9.71% -6.94% 103.39 68.86 84.38
22. 2018/11/30 10.00% 1.79% 90.89 0.18 4.08
23. 2018/12/31 -8.36% -9.18% 77.83 111.00 92.94
24. 2019/01/31 5.12% 7.87% 21.71 42.39 30.33
25. 2019/02/28 4.26% 2.97% 14.41 2.61 6.13
26. 2019/03/31 0.19% 1.79% 0.08 0.19 -0.12
27. 2019/04/30 -8.79% 3.93% 85.67 6.62 -23.82
28. 2019/05/31 -14.94% -6.58% 237.37 62.97 122.26
29. 2019/06/30 8.51% 6.89% 64.71 30.64 44.52
30. 2019/07/31 0.80% 1.31% 0.11 0.00 -0.02
31. 2019/08/31 -6.62% -1.81% 50.12 10.03 22.42
32. 2019/09/30 1.66% 1.72% 1.43 0.13 0.43
33. 2019/10/31 0.36% 2.04% 0.01 0.47 -0.07
34. 2019/11/30 3.77% 3.40% 10.94 4.19 6.77
35. 2019/12/31 3.92% 2.86% 11.93 2.25 5.18
36. 2020/01/31 -10.07% -0.16% 110.88 2.31 16.01
37. 2020/02/29 -5.01% -8.41% 29.96 95.43 53.47
38. 2020/03/31 -8.53% -12.51% 80.87 192.37 124.73
39. 2020/04/30 11.29% 12.68% 117.19 128.29 122.62
40. 2020/05/31 3.94% 4.53% 12.11 10.05 11.03
41. 2020/06/30 -0.29% 1.84% 0.56 0.23 -0.36
42. 2020/07/31 -3.54% 5.51% 16.01 17.24 -16.62
43. 2020/08/31 9.32% 7.01% 78.40 31.91 50.02
44. 2020/09/30 -1.74% -3.92% 4.86 27.89 11.64
45. 2020/10/31 -0.14% -2.77% 0.36 17.01 2.48
46. 2020/11/30 8.90% 10.75% 71.22 88.30 79.30
47. 2020/12/31 1.19% 3.71% 0.53 5.54 1.72
48. 2021/01/31 0.50% -1.11% 0.00 6.11 -0.09
49. 2021/02/28 0.50% 2.61% 0.00 1.57 0.05
50. 2021/03/31 10.07% 4.24% 92.20 8.33 27.71
51. 2021/04/30 2.31% 5.24% 3.43 15.09 7.19
52. 2021/05/31 3.74% 0.55% 10.76 0.65 -2.65
53. 2021/06/30 -2.17% 2.22% 6.94 0.75 -2.28
54. 2021/07/31 -0.35% 2.27% 0.66 0.84 -0.74
55. 2021/08/31 -0.87% 2.90% 1.77 2.38 -2.05
56. 2021/09/30 -9.92% -4.76% 107.83 37.39 63.50
57. 2021/10/31 1.86% 6.91% 1.95 30.87 7.75
58. 2021/11/30 -4.01% -0.83% 19.98 4.80 9.80
59. 2021/12/31 4.46% 4.36% 16.01 9.02 12.02
トータル (Σ): 2,109.95 1,164.17 1,113.30

すべて表示

分散MMM = Σ(RMMM,tRMMM)2 ÷ (59 – 1)
= 2,109.95 ÷ (59 – 1)
= 36.38

分散S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,164.17 ÷ (59 – 1)
= 20.07

共 分散MMM, S&P 500 = Σ(RMMM,tRMMM)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,113.30 ÷ (59 – 1)
= 19.19


システマティックリスク推定 (β)

Microsoft Excel
分散MMM 36.38
分散S&P 500 20.07
共 分散MMM, S&P 500 19.19
相関係数MMM, S&P 5001 0.71
βMMM2 0.96
αMMM3 -0.84%

計算

1 相関係数MMM, S&P 500
= 共 分散MMM, S&P 500 ÷ (標準偏差MMM × 標準偏差S&P 500)
= 19.19 ÷ (6.03% × 4.48%)
= 0.71

2 βMMM
= 共 分散MMM, S&P 500 ÷ 分散S&P 500
= 19.19 ÷ 20.07
= 0.96

3 αMMM
= 平均MMM – βMMM × 平均S&P 500
= 0.46%0.96 × 1.36%
= -0.84%


期待収益率

Microsoft Excel
仮定
LT財務省総合の収益率1 RF 4.55%
市場ポートフォリオの期待収益率2 E(RM) 13.62%
普通株式 3M システマティックリスク βMMM 0.96
 
3M普通株式の期待収益率3 E(RMMM) 13.23%

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(RMMM) = RF + βMMM [E(RM) – RF]
= 4.55% + 0.96 [13.62%4.55%]
= 13.23%