Stock Analysis on Net

Chipotle Mexican Grill Inc. (NYSE:CMG)

資本資産価格設定モデル (CAPM) 

Microsoft Excel

資本資産価格モデル(CAPM)は、普通株式 Chipotleのようなリスク資産の予想または必要な収益率を示します。


収益率

Chipotle Mexican Grill Inc.、月間収益率

Microsoft Excel
Chipotle Mexican Grill Inc. (CMG) Standard & Poor’s 500 (S&P 500)
t 日付 価格CMG,t1 配当CMG,t1 RCMG,t2 価格S&P 500,t RS&P 500,t3
2020/01/31 $17.34 3,225.52
1. 2020/02/29 $15.47 -10.78% 2,954.22 -8.41%
2. 2020/03/31 $13.09 -15.38% 2,584.59 -12.51%
3. 2020/04/30 $17.57 34.22% 2,912.43 12.68%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2024/11/30 $61.52 10.31% 6,032.38 5.73%
59. 2024/12/31 $60.30 -1.98% 5,881.63 -2.50%
平均 (R): 2.60% 1.16%
標準偏差: 9.96% 5.28%
Chipotle Mexican Grill Inc. (CMG) Standard & Poor’s 500 (S&P 500)
t 日付 価格CMG,t1 配当CMG,t1 RCMG,t2 価格S&P 500,t RS&P 500,t3
2020/01/31 $17.34 3,225.52
1. 2020/02/29 $15.47 -10.78% 2,954.22 -8.41%
2. 2020/03/31 $13.09 -15.38% 2,584.59 -12.51%
3. 2020/04/30 $17.57 34.22% 2,912.43 12.68%
4. 2020/05/31 $20.08 14.29% 3,044.31 4.53%
5. 2020/06/30 $21.05 4.83% 3,100.29 1.84%
6. 2020/07/31 $23.10 9.74% 3,271.12 5.51%
7. 2020/08/31 $26.21 13.46% 3,500.31 7.01%
8. 2020/09/30 $24.87 -5.11% 3,363.00 -3.92%
9. 2020/10/31 $24.03 -3.38% 3,269.96 -2.77%
10. 2020/11/30 $25.79 7.32% 3,621.63 10.75%
11. 2020/12/31 $27.73 7.52% 3,756.07 3.71%
12. 2021/01/31 $29.60 6.74% 3,714.24 -1.11%
13. 2021/02/28 $28.84 -2.57% 3,811.15 2.61%
14. 2021/03/31 $28.42 -1.46% 3,972.89 4.24%
15. 2021/04/30 $29.84 5.00% 4,181.17 5.24%
16. 2021/05/31 $27.44 -8.04% 4,204.11 0.55%
17. 2021/06/30 $31.01 13.01% 4,297.50 2.22%
18. 2021/07/31 $37.27 20.19% 4,395.26 2.27%
19. 2021/08/31 $38.07 2.15% 4,522.68 2.90%
20. 2021/09/30 $36.35 -4.52% 4,307.54 -4.76%
21. 2021/10/31 $35.58 -2.12% 4,605.38 6.91%
22. 2021/11/30 $32.87 -7.62% 4,567.00 -0.83%
23. 2021/12/31 $34.97 6.39% 4,766.18 4.36%
24. 2022/01/31 $29.71 -15.04% 4,515.55 -5.26%
25. 2022/02/28 $30.47 2.56% 4,373.94 -3.14%
26. 2022/03/31 $31.64 3.84% 4,530.41 3.58%
27. 2022/04/30 $29.11 -8.00% 4,131.93 -8.80%
28. 2022/05/31 $28.05 -3.64% 4,132.15 0.01%
29. 2022/06/30 $26.15 -6.77% 3,785.38 -8.39%
30. 2022/07/31 $31.28 19.62% 4,130.29 9.11%
31. 2022/08/31 $31.94 2.11% 3,955.00 -4.24%
32. 2022/09/30 $30.06 -5.89% 3,585.62 -9.34%
33. 2022/10/31 $29.97 -0.30% 3,871.98 7.99%
34. 2022/11/30 $32.54 8.58% 4,080.11 5.38%
35. 2022/12/31 $27.75 -14.72% 3,839.50 -5.90%
36. 2023/01/31 $32.93 18.67% 4,076.60 6.18%
37. 2023/02/28 $29.82 -9.44% 3,970.15 -2.61%
38. 2023/03/31 $34.17 14.59% 4,109.31 3.51%
39. 2023/04/30 $41.35 21.01% 4,169.48 1.46%
40. 2023/05/31 $41.53 0.44% 4,179.83 0.25%
41. 2023/06/30 $42.78 3.01% 4,376.86 4.71%
42. 2023/07/31 $39.25 -8.25% 4,588.96 4.85%
43. 2023/08/31 $38.53 -1.83% 4,507.66 -1.77%
44. 2023/09/30 $36.64 -4.91% 4,288.05 -4.87%
45. 2023/10/31 $38.84 6.00% 4,193.80 -2.20%
46. 2023/11/30 $44.05 13.41% 4,567.80 8.92%
47. 2023/12/31 $45.74 3.84% 4,769.83 4.42%
48. 2024/01/31 $48.18 5.33% 4,845.65 1.59%
49. 2024/02/29 $53.78 11.62% 5,096.27 5.17%
50. 2024/03/31 $58.14 8.11% 5,254.35 3.10%
51. 2024/04/30 $63.19 8.69% 5,035.69 -4.16%
52. 2024/05/31 $62.59 -0.95% 5,277.51 4.80%
53. 2024/06/30 $62.65 0.10% 5,460.48 3.47%
54. 2024/07/31 $54.32 -13.30% 5,522.30 1.13%
55. 2024/08/31 $56.08 3.24% 5,648.40 2.28%
56. 2024/09/30 $57.62 2.75% 5,762.48 2.02%
57. 2024/10/31 $55.77 -3.21% 5,705.45 -0.99%
58. 2024/11/30 $61.52 10.31% 6,032.38 5.73%
59. 2024/12/31 $60.30 -1.98% 5,881.63 -2.50%
平均 (R): 2.60% 1.16%
標準偏差: 9.96% 5.28%

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CMG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

Chipotle Mexican Grill Inc.、分散の計算、および戻り値の共分散

Microsoft Excel
t 日付 RCMG,t RS&P 500,t (RCMG,tRCMG)2 (RS&P 500,tRS&P 500)2 (RCMG,tRCMG)×(RS&P 500,tRS&P 500)
1. 2020/02/29 -10.78% -8.41% 179.17 91.63 128.13
2. 2020/03/31 -15.38% -12.51% 323.48 186.96 245.92
3. 2020/04/30 34.22% 12.68% 1,000.05 132.78 364.40
. . . . . . .
. . . . . . .
. . . . . . .
58. 2024/11/30 10.31% 5.73% 59.43 20.87 35.22
59. 2024/12/31 -1.98% -2.50% 21.01 13.40 16.78
トータル (Σ): 5,758.72 1,618.62 2,052.66
t 日付 RCMG,t RS&P 500,t (RCMG,tRCMG)2 (RS&P 500,tRS&P 500)2 (RCMG,tRCMG)×(RS&P 500,tRS&P 500)
1. 2020/02/29 -10.78% -8.41% 179.17 91.63 128.13
2. 2020/03/31 -15.38% -12.51% 323.48 186.96 245.92
3. 2020/04/30 34.22% 12.68% 1,000.05 132.78 364.40
4. 2020/05/31 14.29% 4.53% 136.53 11.34 39.34
5. 2020/06/30 4.83% 1.84% 4.97 0.46 1.51
6. 2020/07/31 9.74% 5.51% 50.95 18.91 31.04
7. 2020/08/31 13.46% 7.01% 117.99 34.17 63.49
8. 2020/09/30 -5.11% -3.92% 59.50 25.85 39.22
9. 2020/10/31 -3.38% -2.77% 35.74 15.43 23.48
10. 2020/11/30 7.32% 10.75% 22.31 92.03 45.31
11. 2020/12/31 7.52% 3.71% 24.22 6.51 12.55
12. 2021/01/31 6.74% -1.11% 17.16 5.18 -9.42
13. 2021/02/28 -2.57% 2.61% 26.71 2.10 -7.48
14. 2021/03/31 -1.46% 4.24% 16.46 9.50 -12.51
15. 2021/04/30 5.00% 5.24% 5.74 16.66 9.78
16. 2021/05/31 -8.04% 0.55% 113.29 0.38 6.52
17. 2021/06/30 13.01% 2.22% 108.35 1.12 11.04
18. 2021/07/31 20.19% 2.27% 309.27 1.24 19.58
19. 2021/08/31 2.15% 2.90% 0.21 3.02 -0.79
20. 2021/09/30 -4.52% -4.76% 50.68 35.02 42.13
21. 2021/10/31 -2.12% 6.91% 22.27 33.10 -27.15
22. 2021/11/30 -7.62% -0.83% 104.40 3.98 20.38
23. 2021/12/31 6.39% 4.36% 14.35 10.24 12.12
24. 2022/01/31 -15.04% -5.26% 311.26 41.21 113.26
25. 2022/02/28 2.56% -3.14% 0.00 18.47 0.18
26. 2022/03/31 3.84% 3.58% 1.53 5.84 2.99
27. 2022/04/30 -8.00% -8.80% 112.30 99.14 105.52
28. 2022/05/31 -3.64% 0.01% 38.97 1.34 7.22
29. 2022/06/30 -6.77% -8.39% 87.88 91.26 89.56
30. 2022/07/31 19.62% 9.11% 289.56 63.21 135.29
31. 2022/08/31 2.11% -4.24% 0.24 29.22 2.65
32. 2022/09/30 -5.89% -9.34% 72.03 110.27 89.12
33. 2022/10/31 -0.30% 7.99% 8.41 46.58 -19.80
34. 2022/11/30 8.58% 5.38% 35.69 17.76 25.18
35. 2022/12/31 -14.72% -5.90% 300.03 49.82 122.26
36. 2023/01/31 18.67% 6.18% 258.10 25.14 80.55
37. 2023/02/28 -9.44% -2.61% 145.09 14.23 45.44
38. 2023/03/31 14.59% 3.51% 143.68 5.49 28.09
39. 2023/04/30 21.01% 1.46% 338.99 0.09 5.58
40. 2023/05/31 0.44% 0.25% 4.69 0.83 1.98
41. 2023/06/30 3.01% 4.71% 0.17 12.62 1.45
42. 2023/07/31 -8.25% 4.85% 117.78 13.58 -39.99
43. 2023/08/31 -1.83% -1.77% 19.67 8.60 13.01
44. 2023/09/30 -4.91% -4.87% 56.34 36.40 45.29
45. 2023/10/31 6.00% -2.20% 11.58 11.28 -11.43
46. 2023/11/30 13.41% 8.92% 116.92 60.17 83.87
47. 2023/12/31 3.84% 4.42% 1.53 10.64 4.03
48. 2024/01/31 5.33% 1.59% 7.47 0.18 1.17
49. 2024/02/29 11.62% 5.17% 81.40 16.09 36.19
50. 2024/03/31 8.11% 3.10% 30.32 3.77 10.69
51. 2024/04/30 8.69% -4.16% 37.03 28.33 -32.39
52. 2024/05/31 -0.95% 4.80% 12.61 13.26 -12.93
53. 2024/06/30 0.10% 3.47% 6.28 5.32 -5.78
54. 2024/07/31 -13.30% 1.13% 252.72 0.00 0.46
55. 2024/08/31 3.24% 2.28% 0.41 1.26 0.72
56. 2024/09/30 2.75% 2.02% 0.02 0.74 0.12
57. 2024/10/31 -3.21% -0.99% 33.78 4.63 12.50
58. 2024/11/30 10.31% 5.73% 59.43 20.87 35.22
59. 2024/12/31 -1.98% -2.50% 21.01 13.40 16.78
トータル (Σ): 5,758.72 1,618.62 2,052.66

すべて表示

分散CMG = Σ(RCMG,tRCMG)2 ÷ (59 – 1)
= 5,758.72 ÷ (59 – 1)
= 99.29

分散S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91

共 分散CMG, S&P 500 = Σ(RCMG,tRCMG)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 2,052.66 ÷ (59 – 1)
= 35.39


システマティックなリスク推定 (β)

Microsoft Excel
分散CMG 99.29
分散S&P 500 27.91
共 分散CMG, S&P 500 35.39
相関係数CMG, S&P 5001 0.67
βCMG2 1.27
αCMG3 1.13%

計算

1 相関係数CMG, S&P 500
= 共 分散CMG, S&P 500 ÷ (標準偏差CMG × 標準偏差S&P 500)
= 35.39 ÷ (9.96% × 5.28%)
= 0.67

2 βCMG
= 共 分散CMG, S&P 500 ÷ 分散S&P 500
= 35.39 ÷ 27.91
= 1.27

3 αCMG
= 平均CMG – βCMG × 平均S&P 500
= 2.60%1.27 × 1.16%
= 1.13%


期待収益率

Microsoft Excel
仮定
LT国債総合の収益率1 RF 4.77%
市場ポートフォリオの期待収益率2 E(RM) 14.42%
普通株式のシステマティックリスクChipotle βCMG 1.27
 
チポトレ普通株式の期待収益率3 E(RCMG) 17.01%

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(RCMG) = RF + βCMG [E(RM) – RF]
= 4.77% + 1.27 [14.42%4.77%]
= 17.01%