資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Amphenol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
Amphenol Corp.、月間収益率
| Amphenol Corp. (APH) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格APH,t1 | 配当APH,t1 | RAPH,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2019/01/31 | $43.96 | 2,704.10 | ||||
| 1. | 2019/02/28 | $46.99 | 6.89% | 2,784.49 | 2.97% | |
| 2. | 2019/03/31 | $47.22 | $0.115 | 0.73% | 2,834.40 | 1.79% |
| 3. | 2019/04/30 | $49.78 | 5.42% | 2,945.83 | 3.93% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023/11/30 | $90.99 | 12.96% | 4,567.80 | 8.92% | |
| 59. | 2023/12/31 | $99.13 | $0.22 | 9.19% | 4,769.83 | 4.42% |
| 平均 (R): | 1.78% | 1.11% | ||||
| 標準偏差： | 7.91% | 5.31% | ||||
| Amphenol Corp. (APH) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格APH,t1 | 配当APH,t1 | RAPH,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2019/01/31 | $43.96 | 2,704.10 | ||||
| 1. | 2019/02/28 | $46.99 | 6.89% | 2,784.49 | 2.97% | |
| 2. | 2019/03/31 | $47.22 | $0.115 | 0.73% | 2,834.40 | 1.79% |
| 3. | 2019/04/30 | $49.78 | 5.42% | 2,945.83 | 3.93% | |
| 4. | 2019/05/31 | $43.50 | -12.62% | 2,752.06 | -6.58% | |
| 5. | 2019/06/30 | $47.97 | $0.115 | 10.54% | 2,941.76 | 6.89% |
| 6. | 2019/07/31 | $46.66 | -2.73% | 2,980.38 | 1.31% | |
| 7. | 2019/08/31 | $43.77 | -6.19% | 2,926.46 | -1.81% | |
| 8. | 2019/09/30 | $48.25 | $0.125 | 10.52% | 2,976.74 | 1.72% |
| 9. | 2019/10/31 | $50.17 | 3.98% | 3,037.56 | 2.04% | |
| 10. | 2019/11/30 | $52.00 | 3.65% | 3,140.98 | 3.40% | |
| 11. | 2019/12/31 | $54.12 | $0.125 | 4.32% | 3,230.78 | 2.86% |
| 12. | 2020/01/31 | $49.74 | -8.09% | 3,225.52 | -0.16% | |
| 13. | 2020/02/29 | $45.84 | -7.84% | 2,954.22 | -8.41% | |
| 14. | 2020/03/31 | $36.44 | $0.125 | -20.23% | 2,584.59 | -12.51% |
| 15. | 2020/04/30 | $44.13 | 21.10% | 2,912.43 | 12.68% | |
| 16. | 2020/05/31 | $48.28 | 9.40% | 3,044.31 | 4.53% | |
| 17. | 2020/06/30 | $47.90 | $0.125 | -0.53% | 3,100.29 | 1.84% |
| 18. | 2020/07/31 | $52.88 | 10.40% | 3,271.12 | 5.51% | |
| 19. | 2020/08/31 | $54.90 | 3.82% | 3,500.31 | 7.01% | |
| 20. | 2020/09/30 | $54.13 | $0.125 | -1.17% | 3,363.00 | -3.92% |
| 21. | 2020/10/31 | $56.42 | 4.23% | 3,269.96 | -2.77% | |
| 22. | 2020/11/30 | $65.40 | 15.92% | 3,621.63 | 10.75% | |
| 23. | 2020/12/31 | $65.39 | $0.145 | 0.21% | 3,756.07 | 3.71% |
| 24. | 2021/01/31 | $62.44 | -4.51% | 3,714.24 | -1.11% | |
| 25. | 2021/02/28 | $62.84 | 0.64% | 3,811.15 | 2.61% | |
| 26. | 2021/03/31 | $65.97 | $0.145 | 5.21% | 3,972.89 | 4.24% |
| 27. | 2021/04/30 | $67.34 | 2.08% | 4,181.17 | 5.24% | |
| 28. | 2021/05/31 | $67.26 | -0.12% | 4,204.11 | 0.55% | |
| 29. | 2021/06/30 | $68.41 | $0.145 | 1.93% | 4,297.50 | 2.22% |
| 30. | 2021/07/31 | $72.49 | 5.96% | 4,395.26 | 2.27% | |
| 31. | 2021/08/31 | $76.63 | 5.71% | 4,522.68 | 2.90% | |
| 32. | 2021/09/30 | $73.23 | $0.145 | -4.25% | 4,307.54 | -4.76% |
| 33. | 2021/10/31 | $76.77 | 4.83% | 4,605.38 | 6.91% | |
| 34. | 2021/11/30 | $80.58 | 4.96% | 4,567.00 | -0.83% | |
| 35. | 2021/12/31 | $87.46 | $0.20 | 8.79% | 4,766.18 | 4.36% |
| 36. | 2022/01/31 | $79.59 | -9.00% | 4,515.55 | -5.26% | |
| 37. | 2022/02/28 | $76.01 | -4.50% | 4,373.94 | -3.14% | |
| 38. | 2022/03/31 | $75.35 | $0.20 | -0.61% | 4,530.41 | 3.58% |
| 39. | 2022/04/30 | $71.50 | -5.11% | 4,131.93 | -8.80% | |
| 40. | 2022/05/31 | $70.86 | -0.90% | 4,132.15 | 0.01% | |
| 41. | 2022/06/30 | $64.38 | $0.20 | -8.86% | 3,785.38 | -8.39% |
| 42. | 2022/07/31 | $77.13 | 19.80% | 4,130.29 | 9.11% | |
| 43. | 2022/08/31 | $73.53 | -4.67% | 3,955.00 | -4.24% | |
| 44. | 2022/09/30 | $66.96 | $0.20 | -8.66% | 3,585.62 | -9.34% |
| 45. | 2022/10/31 | $75.83 | 13.25% | 3,871.98 | 7.99% | |
| 46. | 2022/11/30 | $80.43 | 6.07% | 4,080.11 | 5.38% | |
| 47. | 2022/12/31 | $76.14 | $0.21 | -5.07% | 3,839.50 | -5.90% |
| 48. | 2023/01/31 | $79.77 | 4.77% | 4,076.60 | 6.18% | |
| 49. | 2023/02/28 | $77.52 | -2.82% | 3,970.15 | -2.61% | |
| 50. | 2023/03/31 | $81.72 | $0.21 | 5.69% | 4,109.31 | 3.51% |
| 51. | 2023/04/30 | $75.47 | -7.65% | 4,169.48 | 1.46% | |
| 52. | 2023/05/31 | $75.45 | -0.03% | 4,179.83 | 0.25% | |
| 53. | 2023/06/30 | $84.95 | $0.21 | 12.87% | 4,376.86 | 4.71% |
| 54. | 2023/07/31 | $88.31 | 3.96% | 4,588.96 | 4.85% | |
| 55. | 2023/08/31 | $88.38 | 0.08% | 4,507.66 | -1.77% | |
| 56. | 2023/09/30 | $83.99 | $0.21 | -4.73% | 4,288.05 | -4.87% |
| 57. | 2023/10/31 | $80.55 | -4.10% | 4,193.80 | -2.20% | |
| 58. | 2023/11/30 | $90.99 | 12.96% | 4,567.80 | 8.92% | |
| 59. | 2023/12/31 | $99.13 | $0.22 | 9.19% | 4,769.83 | 4.42% |
| 平均 (R): | 1.78% | 1.11% | ||||
| 標準偏差： | 7.91% | 5.31% | ||||
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APH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
Amphenol Corp.、分散の計算、および戻り値の共分散
| t | 日付 | RAPH,t | RS&P 500,t | (RAPH,t–RAPH)2 | (RS&P 500,t–RS&P 500)2 | (RAPH,t–RAPH)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019/02/28 | 6.89% | 2.97% | 26.16 | 3.49 | 9.55 |
| 2. | 2019/03/31 | 0.73% | 1.79% | 1.09 | 0.47 | -0.72 |
| 3. | 2019/04/30 | 5.42% | 3.93% | 13.28 | 7.98 | 10.30 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023/11/30 | 12.96% | 8.92% | 125.06 | 61.03 | 87.36 |
| 59. | 2023/12/31 | 9.19% | 4.42% | 54.91 | 11.00 | 24.58 |
| トータル (Σ): | 3,627.09 | 1,634.30 | 2,123.37 | |||
| t | 日付 | RAPH,t | RS&P 500,t | (RAPH,t–RAPH)2 | (RS&P 500,t–RS&P 500)2 | (RAPH,t–RAPH)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019/02/28 | 6.89% | 2.97% | 26.16 | 3.49 | 9.55 |
| 2. | 2019/03/31 | 0.73% | 1.79% | 1.09 | 0.47 | -0.72 |
| 3. | 2019/04/30 | 5.42% | 3.93% | 13.28 | 7.98 | 10.30 |
| 4. | 2019/05/31 | -12.62% | -6.58% | 207.17 | 59.04 | 110.59 |
| 5. | 2019/06/30 | 10.54% | 6.89% | 76.78 | 33.49 | 50.71 |
| 6. | 2019/07/31 | -2.73% | 1.31% | 20.33 | 0.04 | -0.93 |
| 7. | 2019/08/31 | -6.19% | -1.81% | 63.55 | 8.50 | 23.24 |
| 8. | 2019/09/30 | 10.52% | 1.72% | 76.44 | 0.37 | 5.35 |
| 9. | 2019/10/31 | 3.98% | 2.04% | 4.85 | 0.88 | 2.06 |
| 10. | 2019/11/30 | 3.65% | 3.40% | 3.50 | 5.28 | 4.30 |
| 11. | 2019/12/31 | 4.32% | 2.86% | 6.45 | 3.07 | 4.45 |
| 12. | 2020/01/31 | -8.09% | -0.16% | 97.43 | 1.61 | 12.52 |
| 13. | 2020/02/29 | -7.84% | -8.41% | 92.52 | 90.57 | 91.54 |
| 14. | 2020/03/31 | -20.23% | -12.51% | 484.49 | 185.44 | 299.74 |
| 15. | 2020/04/30 | 21.10% | 12.68% | 373.47 | 134.06 | 223.76 |
| 16. | 2020/05/31 | 9.40% | 4.53% | 58.16 | 11.71 | 26.10 |
| 17. | 2020/06/30 | -0.53% | 1.84% | 5.32 | 0.54 | -1.69 |
| 18. | 2020/07/31 | 10.40% | 5.51% | 74.29 | 19.40 | 37.96 |
| 19. | 2020/08/31 | 3.82% | 7.01% | 4.17 | 34.82 | 12.05 |
| 20. | 2020/09/30 | -1.17% | -3.92% | 8.72 | 25.29 | 14.85 |
| 21. | 2020/10/31 | 4.23% | -2.77% | 6.02 | 15.00 | -9.50 |
| 22. | 2020/11/30 | 15.92% | 10.75% | 199.90 | 93.10 | 136.42 |
| 23. | 2020/12/31 | 0.21% | 3.71% | 2.47 | 6.79 | -4.10 |
| 24. | 2021/01/31 | -4.51% | -1.11% | 39.55 | 4.93 | 13.96 |
| 25. | 2021/02/28 | 0.64% | 2.61% | 1.29 | 2.26 | -1.71 |
| 26. | 2021/03/31 | 5.21% | 4.24% | 11.79 | 9.85 | 10.78 |
| 27. | 2021/04/30 | 2.08% | 5.24% | 0.09 | 17.11 | 1.24 |
| 28. | 2021/05/31 | -0.12% | 0.55% | 3.60 | 0.31 | 1.06 |
| 29. | 2021/06/30 | 1.93% | 2.22% | 0.02 | 1.24 | 0.16 |
| 30. | 2021/07/31 | 5.96% | 2.27% | 17.52 | 1.37 | 4.89 |
| 31. | 2021/08/31 | 5.71% | 2.90% | 15.47 | 3.22 | 7.05 |
| 32. | 2021/09/30 | -4.25% | -4.76% | 36.31 | 34.37 | 35.33 |
| 33. | 2021/10/31 | 4.83% | 6.91% | 9.34 | 33.74 | 17.75 |
| 34. | 2021/11/30 | 4.96% | -0.83% | 10.14 | 3.76 | -6.18 |
| 35. | 2021/12/31 | 8.79% | 4.36% | 49.12 | 10.60 | 22.82 |
| 36. | 2022/01/31 | -9.00% | -5.26% | 116.13 | 40.51 | 68.58 |
| 37. | 2022/02/28 | -4.50% | -3.14% | 39.39 | 17.99 | 26.62 |
| 38. | 2022/03/31 | -0.61% | 3.58% | 5.68 | 6.11 | -5.89 |
| 39. | 2022/04/30 | -5.11% | -8.80% | 47.43 | 98.04 | 68.19 |
| 40. | 2022/05/31 | -0.90% | 0.01% | 7.14 | 1.21 | 2.94 |
| 41. | 2022/06/30 | -8.86% | -8.39% | 113.22 | 90.21 | 101.06 |
| 42. | 2022/07/31 | 19.80% | 9.11% | 324.96 | 64.09 | 144.32 |
| 43. | 2022/08/31 | -4.67% | -4.24% | 41.54 | 28.62 | 34.48 |
| 44. | 2022/09/30 | -8.66% | -9.34% | 109.01 | 109.11 | 109.06 |
| 45. | 2022/10/31 | 13.25% | 7.99% | 131.54 | 47.34 | 78.91 |
| 46. | 2022/11/30 | 6.07% | 5.38% | 18.39 | 18.23 | 18.31 |
| 47. | 2022/12/31 | -5.07% | -5.90% | 46.93 | 49.04 | 47.97 |
| 48. | 2023/01/31 | 4.77% | 6.18% | 8.94 | 25.70 | 15.16 |
| 49. | 2023/02/28 | -2.82% | -2.61% | 21.15 | 13.82 | 17.09 |
| 50. | 2023/03/31 | 5.69% | 3.51% | 15.30 | 5.76 | 9.38 |
| 51. | 2023/04/30 | -7.65% | 1.46% | 88.85 | 0.13 | -3.38 |
| 52. | 2023/05/31 | -0.03% | 0.25% | 3.26 | 0.74 | 1.55 |
| 53. | 2023/06/30 | 12.87% | 4.71% | 123.03 | 13.02 | 40.02 |
| 54. | 2023/07/31 | 3.96% | 4.85% | 4.74 | 13.99 | 8.14 |
| 55. | 2023/08/31 | 0.08% | -1.77% | 2.88 | 8.28 | 4.89 |
| 56. | 2023/09/30 | -4.73% | -4.87% | 42.35 | 35.73 | 38.90 |
| 57. | 2023/10/31 | -4.10% | -2.20% | 34.50 | 10.92 | 19.40 |
| 58. | 2023/11/30 | 12.96% | 8.92% | 125.06 | 61.03 | 87.36 |
| 59. | 2023/12/31 | 9.19% | 4.42% | 54.91 | 11.00 | 24.58 |
| トータル (Σ): | 3,627.09 | 1,634.30 | 2,123.37 | |||
すべて表示
分散APH = Σ(RAPH,t–RAPH)2 ÷ (59 – 1)
= 3,627.09 ÷ (59 – 1)
= 62.54
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18
共 分散APH, S&P 500 = Σ(RAPH,t–RAPH)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 2,123.37 ÷ (59 – 1)
= 36.61
システマティックなリスク推定 (β)
| 分散APH | 62.54 |
| 分散S&P 500 | 28.18 |
| 共 分散APH, S&P 500 | 36.61 |
| 相関係数APH, S&P 5001 | 0.87 |
| βAPH2 | 1.30 |
| αAPH3 | 0.34% |
計算
1 相関係数APH, S&P 500
= 共 分散APH, S&P 500 ÷ (標準偏差APH × 標準偏差S&P 500)
= 36.61 ÷ (7.91% × 5.31%)
= 0.87
2 βAPH
= 共 分散APH, S&P 500 ÷ 分散S&P 500
= 36.61 ÷ 28.18
= 1.30
3 αAPH
= 平均APH – βAPH × 平均S&P 500
= 1.78% – 1.30 × 1.11%
= 0.34%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.56% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.87% |
| 普通株式 Amphenol システマティックリスク | βAPH | 1.30 |
| Amphenol普通株式の期待収益率3 | E(RAPH) | 17.96% |
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(RAPH) = RF + βAPH [E(RM) – RF]
= 4.56% + 1.30 [14.87% – 4.56%]
= 17.96%