資本資産価格モデル (CAPM)
資本資産価格モデル(CAPM)は、 Albemarle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
Albemarle Corp.、月間収益率
| Albemarle Corp. (ALB) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格ALB,t1 | 配当ALB,t1 | RALB,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2018/01/31 | $111.59 | 2,823.81 | ||||
| 1. | 2018/02/28 | $100.43 | -10.00% | 2,713.83 | -3.89% | |
| 2. | 2018/03/31 | $92.74 | $0.335 | -7.32% | 2,640.87 | -2.69% |
| 3. | 2018/04/30 | $96.96 | 4.55% | 2,648.05 | 0.27% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022/11/30 | $277.99 | -0.67% | 4,080.11 | 5.38% | |
| 59. | 2022/12/31 | $216.86 | $0.395 | -21.85% | 3,839.50 | -5.90% |
| 平均 (R): | 2.12% | 0.67% | ||||
| 標準偏差： | 13.47% | 5.40% | ||||
| Albemarle Corp. (ALB) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格ALB,t1 | 配当ALB,t1 | RALB,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2018/01/31 | $111.59 | 2,823.81 | ||||
| 1. | 2018/02/28 | $100.43 | -10.00% | 2,713.83 | -3.89% | |
| 2. | 2018/03/31 | $92.74 | $0.335 | -7.32% | 2,640.87 | -2.69% |
| 3. | 2018/04/30 | $96.96 | 4.55% | 2,648.05 | 0.27% | |
| 4. | 2018/05/31 | $93.47 | -3.60% | 2,705.27 | 2.16% | |
| 5. | 2018/06/30 | $94.33 | $0.335 | 1.28% | 2,718.37 | 0.48% |
| 6. | 2018/07/31 | $94.20 | -0.14% | 2,816.29 | 3.60% | |
| 7. | 2018/08/31 | $95.52 | 1.40% | 2,901.52 | 3.03% | |
| 8. | 2018/09/30 | $99.78 | $0.335 | 4.81% | 2,913.98 | 0.43% |
| 9. | 2018/10/31 | $99.22 | -0.56% | 2,711.74 | -6.94% | |
| 10. | 2018/11/30 | $96.32 | -2.92% | 2,760.17 | 1.79% | |
| 11. | 2018/12/31 | $77.07 | $0.335 | -19.64% | 2,506.85 | -9.18% |
| 12. | 2019/01/31 | $80.73 | 4.75% | 2,704.10 | 7.87% | |
| 13. | 2019/02/28 | $91.29 | 13.08% | 2,784.49 | 2.97% | |
| 14. | 2019/03/31 | $81.98 | $0.3675 | -9.80% | 2,834.40 | 1.79% |
| 15. | 2019/04/30 | $75.06 | -8.44% | 2,945.83 | 3.93% | |
| 16. | 2019/05/31 | $63.30 | -15.67% | 2,752.06 | -6.58% | |
| 17. | 2019/06/30 | $70.41 | $0.3675 | 11.81% | 2,941.76 | 6.89% |
| 18. | 2019/07/31 | $72.96 | 3.62% | 2,980.38 | 1.31% | |
| 19. | 2019/08/31 | $61.73 | -15.39% | 2,926.46 | -1.81% | |
| 20. | 2019/09/30 | $69.52 | $0.3675 | 13.21% | 2,976.74 | 1.72% |
| 21. | 2019/10/31 | $60.74 | -12.63% | 3,037.56 | 2.04% | |
| 22. | 2019/11/30 | $65.38 | 7.64% | 3,140.98 | 3.40% | |
| 23. | 2019/12/31 | $73.04 | $0.3675 | 12.28% | 3,230.78 | 2.86% |
| 24. | 2020/01/31 | $80.28 | 9.91% | 3,225.52 | -0.16% | |
| 25. | 2020/02/29 | $81.85 | 1.96% | 2,954.22 | -8.41% | |
| 26. | 2020/03/31 | $56.37 | $0.385 | -30.66% | 2,584.59 | -12.51% |
| 27. | 2020/04/30 | $61.43 | 8.98% | 2,912.43 | 12.68% | |
| 28. | 2020/05/31 | $76.52 | 24.56% | 3,044.31 | 4.53% | |
| 29. | 2020/06/30 | $77.21 | $0.385 | 1.40% | 3,100.29 | 1.84% |
| 30. | 2020/07/31 | $82.46 | 6.80% | 3,271.12 | 5.51% | |
| 31. | 2020/08/31 | $91.01 | 10.37% | 3,500.31 | 7.01% | |
| 32. | 2020/09/30 | $89.28 | $0.385 | -1.48% | 3,363.00 | -3.92% |
| 33. | 2020/10/31 | $93.21 | 4.40% | 3,269.96 | -2.77% | |
| 34. | 2020/11/30 | $135.97 | 45.87% | 3,621.63 | 10.75% | |
| 35. | 2020/12/31 | $147.52 | $0.385 | 8.78% | 3,756.07 | 3.71% |
| 36. | 2021/01/31 | $162.66 | 10.26% | 3,714.24 | -1.11% | |
| 37. | 2021/02/28 | $157.21 | -3.35% | 3,811.15 | 2.61% | |
| 38. | 2021/03/31 | $146.11 | $0.39 | -6.81% | 3,972.89 | 4.24% |
| 39. | 2021/04/30 | $168.17 | 15.10% | 4,181.17 | 5.24% | |
| 40. | 2021/05/31 | $167.08 | -0.65% | 4,204.11 | 0.55% | |
| 41. | 2021/06/30 | $168.46 | $0.39 | 1.06% | 4,297.50 | 2.22% |
| 42. | 2021/07/31 | $206.04 | 22.31% | 4,395.26 | 2.27% | |
| 43. | 2021/08/31 | $236.74 | 14.90% | 4,522.68 | 2.90% | |
| 44. | 2021/09/30 | $218.97 | $0.39 | -7.34% | 4,307.54 | -4.76% |
| 45. | 2021/10/31 | $250.47 | 14.39% | 4,605.38 | 6.91% | |
| 46. | 2021/11/30 | $266.49 | 6.40% | 4,567.00 | -0.83% | |
| 47. | 2021/12/31 | $233.77 | $0.39 | -12.13% | 4,766.18 | 4.36% |
| 48. | 2022/01/31 | $220.74 | -5.57% | 4,515.55 | -5.26% | |
| 49. | 2022/02/28 | $195.89 | -11.26% | 4,373.94 | -3.14% | |
| 50. | 2022/03/31 | $221.15 | $0.395 | 13.10% | 4,530.41 | 3.58% |
| 51. | 2022/04/30 | $192.83 | -12.81% | 4,131.93 | -8.80% | |
| 52. | 2022/05/31 | $260.42 | 35.05% | 4,132.15 | 0.01% | |
| 53. | 2022/06/30 | $208.98 | $0.395 | -19.60% | 3,785.38 | -8.39% |
| 54. | 2022/07/31 | $244.31 | 16.91% | 4,130.29 | 9.11% | |
| 55. | 2022/08/31 | $267.96 | 9.68% | 3,955.00 | -4.24% | |
| 56. | 2022/09/30 | $264.44 | $0.395 | -1.17% | 3,585.62 | -9.34% |
| 57. | 2022/10/31 | $279.87 | 5.83% | 3,871.98 | 7.99% | |
| 58. | 2022/11/30 | $277.99 | -0.67% | 4,080.11 | 5.38% | |
| 59. | 2022/12/31 | $216.86 | $0.395 | -21.85% | 3,839.50 | -5.90% |
| 平均 (R): | 2.12% | 0.67% | ||||
| 標準偏差： | 13.47% | 5.40% | ||||
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ALB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
Albemarle Corp.、分散の計算、および戻り値の共分散
| t | 日付 | RALB,t | RS&P 500,t | (RALB,t–RALB)2 | (RS&P 500,t–RS&P 500)2 | (RALB,t–RALB)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018/02/28 | -10.00% | -3.89% | 146.88 | 20.81 | 55.28 |
| 2. | 2018/03/31 | -7.32% | -2.69% | 89.15 | 11.26 | 31.68 |
| 3. | 2018/04/30 | 4.55% | 0.27% | 5.91 | 0.16 | -0.96 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022/11/30 | -0.67% | 5.38% | 7.79 | 22.17 | -13.14 |
| 59. | 2022/12/31 | -21.85% | -5.90% | 574.39 | 43.08 | 157.31 |
| トータル (Σ): | 10,527.70 | 1,691.48 | 2,564.24 | |||
| t | 日付 | RALB,t | RS&P 500,t | (RALB,t–RALB)2 | (RS&P 500,t–RS&P 500)2 | (RALB,t–RALB)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018/02/28 | -10.00% | -3.89% | 146.88 | 20.81 | 55.28 |
| 2. | 2018/03/31 | -7.32% | -2.69% | 89.15 | 11.26 | 31.68 |
| 3. | 2018/04/30 | 4.55% | 0.27% | 5.91 | 0.16 | -0.96 |
| 4. | 2018/05/31 | -3.60% | 2.16% | 32.70 | 2.23 | -8.54 |
| 5. | 2018/06/30 | 1.28% | 0.48% | 0.71 | 0.03 | 0.15 |
| 6. | 2018/07/31 | -0.14% | 3.60% | 5.09 | 8.62 | -6.62 |
| 7. | 2018/08/31 | 1.40% | 3.03% | 0.51 | 5.57 | -1.69 |
| 8. | 2018/09/30 | 4.81% | 0.43% | 7.25 | 0.06 | -0.64 |
| 9. | 2018/10/31 | -0.56% | -6.94% | 7.18 | 57.87 | 20.39 |
| 10. | 2018/11/30 | -2.92% | 1.79% | 25.42 | 1.25 | -5.64 |
| 11. | 2018/12/31 | -19.64% | -9.18% | 473.34 | 96.91 | 214.18 |
| 12. | 2019/01/31 | 4.75% | 7.87% | 6.92 | 51.87 | 18.94 |
| 13. | 2019/02/28 | 13.08% | 2.97% | 120.17 | 5.32 | 25.28 |
| 14. | 2019/03/31 | -9.80% | 1.79% | 141.95 | 1.27 | -13.41 |
| 15. | 2019/04/30 | -8.44% | 3.93% | 111.51 | 10.66 | -34.47 |
| 16. | 2019/05/31 | -15.67% | -6.58% | 316.34 | 52.48 | 128.85 |
| 17. | 2019/06/30 | 11.81% | 6.89% | 93.98 | 38.77 | 60.36 |
| 18. | 2019/07/31 | 3.62% | 1.31% | 2.26 | 0.42 | 0.97 |
| 19. | 2019/08/31 | -15.39% | -1.81% | 306.62 | 6.13 | 43.35 |
| 20. | 2019/09/30 | 13.21% | 1.72% | 123.13 | 1.11 | 11.67 |
| 21. | 2019/10/31 | -12.63% | 2.04% | 217.51 | 1.89 | -20.30 |
| 22. | 2019/11/30 | 7.64% | 3.40% | 30.48 | 7.50 | 15.12 |
| 23. | 2019/12/31 | 12.28% | 2.86% | 103.22 | 4.81 | 22.27 |
| 24. | 2020/01/31 | 9.91% | -0.16% | 60.74 | 0.69 | -6.46 |
| 25. | 2020/02/29 | 1.96% | -8.41% | 0.03 | 82.40 | 1.48 |
| 26. | 2020/03/31 | -30.66% | -12.51% | 1,074.42 | 173.67 | 431.97 |
| 27. | 2020/04/30 | 8.98% | 12.68% | 47.03 | 144.43 | 82.42 |
| 28. | 2020/05/31 | 24.56% | 4.53% | 503.82 | 14.91 | 86.68 |
| 29. | 2020/06/30 | 1.40% | 1.84% | 0.51 | 1.37 | -0.84 |
| 30. | 2020/07/31 | 6.80% | 5.51% | 21.91 | 23.46 | 22.67 |
| 31. | 2020/08/31 | 10.37% | 7.01% | 68.06 | 40.19 | 52.30 |
| 32. | 2020/09/30 | -1.48% | -3.92% | 12.93 | 21.06 | 16.51 |
| 33. | 2020/10/31 | 4.40% | -2.77% | 5.21 | 11.79 | -7.84 |
| 34. | 2020/11/30 | 45.87% | 10.75% | 1,914.61 | 101.77 | 441.41 |
| 35. | 2020/12/31 | 8.78% | 3.71% | 44.34 | 9.28 | 20.28 |
| 36. | 2021/01/31 | 10.26% | -1.11% | 66.33 | 3.17 | -14.50 |
| 37. | 2021/02/28 | -3.35% | 2.61% | 29.91 | 3.77 | -10.62 |
| 38. | 2021/03/31 | -6.81% | 4.24% | 79.77 | 12.80 | -31.95 |
| 39. | 2021/04/30 | 15.10% | 5.24% | 168.47 | 20.94 | 59.39 |
| 40. | 2021/05/31 | -0.65% | 0.55% | 7.65 | 0.01 | 0.33 |
| 41. | 2021/06/30 | 1.06% | 2.22% | 1.12 | 2.42 | -1.65 |
| 42. | 2021/07/31 | 22.31% | 2.27% | 407.61 | 2.59 | 32.47 |
| 43. | 2021/08/31 | 14.90% | 2.90% | 163.36 | 4.98 | 28.53 |
| 44. | 2021/09/30 | -7.34% | -4.76% | 89.49 | 29.42 | 51.31 |
| 45. | 2021/10/31 | 14.39% | 6.91% | 150.48 | 39.03 | 76.64 |
| 46. | 2021/11/30 | 6.40% | -0.83% | 18.30 | 2.25 | -6.42 |
| 47. | 2021/12/31 | -12.13% | 4.36% | 203.07 | 13.65 | -52.65 |
| 48. | 2022/01/31 | -5.57% | -5.26% | 59.17 | 35.11 | 45.58 |
| 49. | 2022/02/28 | -11.26% | -3.14% | 178.92 | 14.46 | 50.87 |
| 50. | 2022/03/31 | 13.10% | 3.58% | 120.52 | 8.47 | 31.95 |
| 51. | 2022/04/30 | -12.81% | -8.80% | 222.74 | 89.54 | 141.22 |
| 52. | 2022/05/31 | 35.05% | 0.01% | 1,084.58 | 0.44 | -21.78 |
| 53. | 2022/06/30 | -19.60% | -8.39% | 471.74 | 82.06 | 196.75 |
| 54. | 2022/07/31 | 16.91% | 9.11% | 218.66 | 71.32 | 124.88 |
| 55. | 2022/08/31 | 9.68% | -4.24% | 57.18 | 24.11 | -37.13 |
| 56. | 2022/09/30 | -1.17% | -9.34% | 10.79 | 100.12 | 32.87 |
| 57. | 2022/10/31 | 5.83% | 7.99% | 13.81 | 53.58 | 27.20 |
| 58. | 2022/11/30 | -0.67% | 5.38% | 7.79 | 22.17 | -13.14 |
| 59. | 2022/12/31 | -21.85% | -5.90% | 574.39 | 43.08 | 157.31 |
| トータル (Σ): | 10,527.70 | 1,691.48 | 2,564.24 | |||
すべて表示
分散ALB = Σ(RALB,t–RALB)2 ÷ (59 – 1)
= 10,527.70 ÷ (59 – 1)
= 181.51
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16
共 分散ALB, S&P 500 = Σ(RALB,t–RALB)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 2,564.24 ÷ (59 – 1)
= 44.21
システマティックリスク推定 (β)
| 分散ALB | 181.51 |
| 分散S&P 500 | 29.16 |
| 共 分散ALB, S&P 500 | 44.21 |
| 相関係数ALB, S&P 5001 | 0.61 |
| βALB2 | 1.52 |
| αALB3 | 1.11% |
計算
1 相関係数ALB, S&P 500
= 共 分散ALB, S&P 500 ÷ (標準偏差ALB × 標準偏差S&P 500)
= 44.21 ÷ (13.47% × 5.40%)
= 0.61
2 βALB
= 共 分散ALB, S&P 500 ÷ 分散S&P 500
= 44.21 ÷ 29.16
= 1.52
3 αALB
= 平均ALB – βALB × 平均S&P 500
= 2.12% – 1.52 × 0.67%
= 1.11%
期待収益率
| 仮定 | ||
| LT財務省総合の収益率1 | RF | 4.81% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 13.54% |
| 普通株式 Albemarle システマティックリスク | βALB | 1.52 |
| アルベマール普通株式の期待収益率3 | E(RALB) | 18.04% |
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(RALB) = RF + βALB [E(RM) – RF]
= 4.81% + 1.52 [13.54% – 4.81%]
= 18.04%