Stock Analysis on Net

Chevron Corp. (NYSE:CVX)

資本資産価格モデル (CAPM) 

Microsoft Excel

収益率

Chevron Corp.、月間収益率

Microsoft Excel
Chevron Corp. (CVX) Standard & Poor’s 500 (S&P 500)
t 日付 価格CVX,t1 配当CVX,t1 RCVX,t2 価格S&P 500,t RS&P 500,t3
2019/01/31 $114.65 2,704.10
1. 2019/02/28 $119.58 $1.19 5.34% 2,784.49 2.97%
2. 2019/03/31 $123.18 3.01% 2,834.40 1.79%
3. 2019/04/30 $120.06 -2.53% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023/11/30 $143.60 $1.51 -0.43% 4,567.80 8.92%
59. 2023/12/31 $149.16 3.87% 4,769.83 4.42%
平均 (R): 1.27% 1.11%
標準偏差: 9.69% 5.31%
Chevron Corp. (CVX) Standard & Poor’s 500 (S&P 500)
t 日付 価格CVX,t1 配当CVX,t1 RCVX,t2 価格S&P 500,t RS&P 500,t3
2019/01/31 $114.65 2,704.10
1. 2019/02/28 $119.58 $1.19 5.34% 2,784.49 2.97%
2. 2019/03/31 $123.18 3.01% 2,834.40 1.79%
3. 2019/04/30 $120.06 -2.53% 2,945.83 3.93%
4. 2019/05/31 $113.85 $1.19 -4.18% 2,752.06 -6.58%
5. 2019/06/30 $124.44 9.30% 2,941.76 6.89%
6. 2019/07/31 $123.11 -1.07% 2,980.38 1.31%
7. 2019/08/31 $117.72 $1.19 -3.41% 2,926.46 -1.81%
8. 2019/09/30 $118.60 0.75% 2,976.74 1.72%
9. 2019/10/31 $116.14 -2.07% 3,037.56 2.04%
10. 2019/11/30 $117.13 $1.19 1.88% 3,140.98 3.40%
11. 2019/12/31 $120.51 2.89% 3,230.78 2.86%
12. 2020/01/31 $107.14 -11.09% 3,225.52 -0.16%
13. 2020/02/29 $93.34 $1.29 -11.68% 2,954.22 -8.41%
14. 2020/03/31 $72.46 -22.37% 2,584.59 -12.51%
15. 2020/04/30 $92.00 26.97% 2,912.43 12.68%
16. 2020/05/31 $91.70 $1.29 1.08% 3,044.31 4.53%
17. 2020/06/30 $89.23 -2.69% 3,100.29 1.84%
18. 2020/07/31 $83.94 -5.93% 3,271.12 5.51%
19. 2020/08/31 $83.93 $1.29 1.52% 3,500.31 7.01%
20. 2020/09/30 $72.00 -14.21% 3,363.00 -3.92%
21. 2020/10/31 $69.50 -3.47% 3,269.96 -2.77%
22. 2020/11/30 $87.18 $1.29 27.29% 3,621.63 10.75%
23. 2020/12/31 $84.45 -3.13% 3,756.07 3.71%
24. 2021/01/31 $85.20 0.89% 3,714.24 -1.11%
25. 2021/02/28 $100.00 $1.29 18.88% 3,811.15 2.61%
26. 2021/03/31 $104.79 4.79% 3,972.89 4.24%
27. 2021/04/30 $103.07 -1.64% 4,181.17 5.24%
28. 2021/05/31 $103.79 $1.34 2.00% 4,204.11 0.55%
29. 2021/06/30 $104.74 0.92% 4,297.50 2.22%
30. 2021/07/31 $101.81 -2.80% 4,395.26 2.27%
31. 2021/08/31 $96.77 $1.34 -3.63% 4,522.68 2.90%
32. 2021/09/30 $101.45 4.84% 4,307.54 -4.76%
33. 2021/10/31 $114.49 12.85% 4,605.38 6.91%
34. 2021/11/30 $112.87 $1.34 -0.24% 4,567.00 -0.83%
35. 2021/12/31 $117.35 3.97% 4,766.18 4.36%
36. 2022/01/31 $131.33 11.91% 4,515.55 -5.26%
37. 2022/02/28 $144.00 $1.42 10.73% 4,373.94 -3.14%
38. 2022/03/31 $162.83 13.08% 4,530.41 3.58%
39. 2022/04/30 $156.67 -3.78% 4,131.93 -8.80%
40. 2022/05/31 $174.66 $1.42 12.39% 4,132.15 0.01%
41. 2022/06/30 $144.78 -17.11% 3,785.38 -8.39%
42. 2022/07/31 $163.78 13.12% 4,130.29 9.11%
43. 2022/08/31 $158.06 $1.42 -2.63% 3,955.00 -4.24%
44. 2022/09/30 $143.67 -9.10% 3,585.62 -9.34%
45. 2022/10/31 $180.90 25.91% 3,871.98 7.99%
46. 2022/11/30 $183.31 $1.42 2.12% 4,080.11 5.38%
47. 2022/12/31 $179.49 -2.08% 3,839.50 -5.90%
48. 2023/01/31 $174.02 -3.05% 4,076.60 6.18%
49. 2023/02/28 $160.77 $1.51 -6.75% 3,970.15 -2.61%
50. 2023/03/31 $163.16 1.49% 4,109.31 3.51%
51. 2023/04/30 $168.58 3.32% 4,169.48 1.46%
52. 2023/05/31 $150.62 $1.51 -9.76% 4,179.83 0.25%
53. 2023/06/30 $157.35 4.47% 4,376.86 4.71%
54. 2023/07/31 $163.66 4.01% 4,588.96 4.85%
55. 2023/08/31 $161.10 $1.51 -0.64% 4,507.66 -1.77%
56. 2023/09/30 $168.62 4.67% 4,288.05 -4.87%
57. 2023/10/31 $145.73 -13.57% 4,193.80 -2.20%
58. 2023/11/30 $143.60 $1.51 -0.43% 4,567.80 8.92%
59. 2023/12/31 $149.16 3.87% 4,769.83 4.42%
平均 (R): 1.27% 1.11%
標準偏差: 9.69% 5.31%

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CVX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

Chevron Corp.、分散の計算、および戻り値の共分散

Microsoft Excel
t 日付 RCVX,t RS&P 500,t (RCVX,tRCVX)2 (RS&P 500,tRS&P 500)2 (RCVX,tRCVX)×(RS&P 500,tRS&P 500)
1. 2019/02/28 5.34% 2.97% 16.51 3.49 7.59
2. 2019/03/31 3.01% 1.79% 3.01 0.47 1.19
3. 2019/04/30 -2.53% 3.93% 14.49 7.98 -10.76
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023/11/30 -0.43% 8.92% 2.89 61.03 -13.28
59. 2023/12/31 3.87% 4.42% 6.75 11.00 8.62
トータル (Σ): 5,448.65 1,634.30 1,855.33
t 日付 RCVX,t RS&P 500,t (RCVX,tRCVX)2 (RS&P 500,tRS&P 500)2 (RCVX,tRCVX)×(RS&P 500,tRS&P 500)
1. 2019/02/28 5.34% 2.97% 16.51 3.49 7.59
2. 2019/03/31 3.01% 1.79% 3.01 0.47 1.19
3. 2019/04/30 -2.53% 3.93% 14.49 7.98 -10.76
4. 2019/05/31 -4.18% -6.58% 29.76 59.04 41.92
5. 2019/06/30 9.30% 6.89% 64.44 33.49 46.46
6. 2019/07/31 -1.07% 1.31% 5.49 0.04 -0.48
7. 2019/08/31 -3.41% -1.81% 21.96 8.50 13.66
8. 2019/09/30 0.75% 1.72% 0.28 0.37 -0.32
9. 2019/10/31 -2.07% 2.04% 11.21 0.88 -3.14
10. 2019/11/30 1.88% 3.40% 0.36 5.28 1.39
11. 2019/12/31 2.89% 2.86% 2.60 3.07 2.83
12. 2020/01/31 -11.09% -0.16% 152.99 1.61 15.69
13. 2020/02/29 -11.68% -8.41% 167.72 90.57 123.25
14. 2020/03/31 -22.37% -12.51% 559.04 185.44 321.98
15. 2020/04/30 26.97% 12.68% 660.10 134.06 297.48
16. 2020/05/31 1.08% 4.53% 0.04 11.71 -0.68
17. 2020/06/30 -2.69% 1.84% 15.74 0.54 -2.91
18. 2020/07/31 -5.93% 5.51% 51.88 19.40 -31.72
19. 2020/08/31 1.52% 7.01% 0.06 34.82 1.48
20. 2020/09/30 -14.21% -3.92% 239.89 25.29 77.89
21. 2020/10/31 -3.47% -2.77% 22.53 15.00 18.38
22. 2020/11/30 27.29% 10.75% 677.08 93.10 251.07
23. 2020/12/31 -3.13% 3.71% 19.41 6.79 -11.48
24. 2021/01/31 0.89% -1.11% 0.15 4.93 0.86
25. 2021/02/28 18.88% 2.61% 310.14 2.26 26.47
26. 2021/03/31 4.79% 4.24% 12.36 9.85 11.03
27. 2021/04/30 -1.64% 5.24% 8.50 17.11 -12.06
28. 2021/05/31 2.00% 0.55% 0.52 0.31 -0.40
29. 2021/06/30 0.92% 2.22% 0.13 1.24 -0.40
30. 2021/07/31 -2.80% 2.27% 16.58 1.37 -4.76
31. 2021/08/31 -3.63% 2.90% 24.09 3.22 -8.80
32. 2021/09/30 4.84% -4.76% 12.69 34.37 -20.88
33. 2021/10/31 12.85% 6.91% 134.08 33.74 67.26
34. 2021/11/30 -0.24% -0.83% 2.31 3.76 2.95
35. 2021/12/31 3.97% 4.36% 7.26 10.60 8.77
36. 2022/01/31 11.91% -5.26% 113.18 40.51 -67.71
37. 2022/02/28 10.73% -3.14% 89.39 17.99 -40.10
38. 2022/03/31 13.08% 3.58% 139.29 6.11 29.17
39. 2022/04/30 -3.78% -8.80% 25.58 98.04 50.08
40. 2022/05/31 12.39% 0.01% 123.54 1.21 -12.23
41. 2022/06/30 -17.11% -8.39% 337.89 90.21 174.59
42. 2022/07/31 13.12% 9.11% 140.40 64.09 94.86
43. 2022/08/31 -2.63% -4.24% 15.21 28.62 20.86
44. 2022/09/30 -9.10% -9.34% 107.71 109.11 108.41
45. 2022/10/31 25.91% 7.99% 607.09 47.34 169.53
46. 2022/11/30 2.12% 5.38% 0.71 18.23 3.60
47. 2022/12/31 -2.08% -5.90% 11.28 49.04 23.52
48. 2023/01/31 -3.05% 6.18% 18.68 25.70 -21.91
49. 2023/02/28 -6.75% -2.61% 64.33 13.82 29.81
50. 2023/03/31 1.49% 3.51% 0.05 5.76 0.51
51. 2023/04/30 3.32% 1.46% 4.19 0.13 0.73
52. 2023/05/31 -9.76% 0.25% 121.71 0.74 9.46
53. 2023/06/30 4.47% 4.71% 10.20 13.02 11.52
54. 2023/07/31 4.01% 4.85% 7.49 13.99 10.23
55. 2023/08/31 -0.64% -1.77% 3.67 8.28 5.51
56. 2023/09/30 4.67% -4.87% 11.52 35.73 -20.29
57. 2023/10/31 -13.57% -2.20% 220.50 10.92 49.06
58. 2023/11/30 -0.43% 8.92% 2.89 61.03 -13.28
59. 2023/12/31 3.87% 4.42% 6.75 11.00 8.62
トータル (Σ): 5,448.65 1,634.30 1,855.33

すべて表示

分散CVX = Σ(RCVX,tRCVX)2 ÷ (59 – 1)
= 5,448.65 ÷ (59 – 1)
= 93.94

分散S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18

共 分散CVX, S&P 500 = Σ(RCVX,tRCVX)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,855.33 ÷ (59 – 1)
= 31.99


システマティックリスク推定 (β)

Microsoft Excel
分散CVX 93.94
分散S&P 500 28.18
共 分散CVX, S&P 500 31.99
相関係数CVX, S&P 5001 0.62
βCVX2 1.14
αCVX3 0.02%

計算

1 相関係数CVX, S&P 500
= 共 分散CVX, S&P 500 ÷ (標準偏差CVX × 標準偏差S&P 500)
= 31.99 ÷ (9.69% × 5.31%)
= 0.62

2 βCVX
= 共 分散CVX, S&P 500 ÷ 分散S&P 500
= 31.99 ÷ 28.18
= 1.14

3 αCVX
= 平均CVX – βCVX × 平均S&P 500
= 1.27%1.14 × 1.11%
= 0.02%


期待収益率

Microsoft Excel
仮定
LT財務省総合の収益率1 RF 4.43%
市場ポートフォリオの期待収益率2 E(RM) 13.61%
普通株式 Chevron システマティックリスク βCVX 1.14
 
シェブロン普通株式の期待収益率3 E(RCVX) 14.85%

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(RCVX) = RF + βCVX [E(RM) – RF]
= 4.43% + 1.14 [13.61%4.43%]
= 14.85%