資本資産価格設定モデル (CAPM)
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
| 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 |
| 2021/01/31 | $29.60 | 3,714.24 | ||||
| 1. | 2021/02/28 | $28.84 | -2.57% | 3,811.15 | 2.61% | |
| 2. | 2021/03/31 | $28.42 | -1.46% | 3,972.89 | 4.24% | |
| 3. | 2021/04/30 | $29.84 | 5.00% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025/11/30 | $34.52 | 8.93% | 6,849.09 | 0.13% | |
| 59. | 2025/12/31 | $37.00 | 7.18% | 6,845.50 | -0.05% | |
| 平均 (R): | 0.83% | 1.14% | ||||
| 標準偏差： | 9.53% | 4.37% | ||||
| 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 |
| 2021/01/31 | $29.60 | 3,714.24 | ||||
| 1. | 2021/02/28 | $28.84 | -2.57% | 3,811.15 | 2.61% | |
| 2. | 2021/03/31 | $28.42 | -1.46% | 3,972.89 | 4.24% | |
| 3. | 2021/04/30 | $29.84 | 5.00% | 4,181.17 | 5.24% | |
| 4. | 2021/05/31 | $27.44 | -8.04% | 4,204.11 | 0.55% | |
| 5. | 2021/06/30 | $31.01 | 13.01% | 4,297.50 | 2.22% | |
| 6. | 2021/07/31 | $37.27 | 20.19% | 4,395.26 | 2.27% | |
| 7. | 2021/08/31 | $38.07 | 2.15% | 4,522.68 | 2.90% | |
| 8. | 2021/09/30 | $36.35 | -4.52% | 4,307.54 | -4.76% | |
| 9. | 2021/10/31 | $35.58 | -2.12% | 4,605.38 | 6.91% | |
| 10. | 2021/11/30 | $32.87 | -7.62% | 4,567.00 | -0.83% | |
| 11. | 2021/12/31 | $34.97 | 6.39% | 4,766.18 | 4.36% | |
| 12. | 2022/01/31 | $29.71 | -15.04% | 4,515.55 | -5.26% | |
| 13. | 2022/02/28 | $30.47 | 2.56% | 4,373.94 | -3.14% | |
| 14. | 2022/03/31 | $31.64 | 3.84% | 4,530.41 | 3.58% | |
| 15. | 2022/04/30 | $29.11 | -8.00% | 4,131.93 | -8.80% | |
| 16. | 2022/05/31 | $28.05 | -3.64% | 4,132.15 | 0.01% | |
| 17. | 2022/06/30 | $26.15 | -6.77% | 3,785.38 | -8.39% | |
| 18. | 2022/07/31 | $31.28 | 19.62% | 4,130.29 | 9.11% | |
| 19. | 2022/08/31 | $31.94 | 2.11% | 3,955.00 | -4.24% | |
| 20. | 2022/09/30 | $30.06 | -5.89% | 3,585.62 | -9.34% | |
| 21. | 2022/10/31 | $29.97 | -0.30% | 3,871.98 | 7.99% | |
| 22. | 2022/11/30 | $32.54 | 8.58% | 4,080.11 | 5.38% | |
| 23. | 2022/12/31 | $27.75 | -14.72% | 3,839.50 | -5.90% | |
| 24. | 2023/01/31 | $32.93 | 18.67% | 4,076.60 | 6.18% | |
| 25. | 2023/02/28 | $29.82 | -9.44% | 3,970.15 | -2.61% | |
| 26. | 2023/03/31 | $34.17 | 14.59% | 4,109.31 | 3.51% | |
| 27. | 2023/04/30 | $41.35 | 21.01% | 4,169.48 | 1.46% | |
| 28. | 2023/05/31 | $41.53 | 0.44% | 4,179.83 | 0.25% | |
| 29. | 2023/06/30 | $42.78 | 3.01% | 4,376.86 | 4.71% | |
| 30. | 2023/07/31 | $39.25 | -8.25% | 4,588.96 | 4.85% | |
| 31. | 2023/08/31 | $38.53 | -1.83% | 4,507.66 | -1.77% | |
| 32. | 2023/09/30 | $36.64 | -4.91% | 4,288.05 | -4.87% | |
| 33. | 2023/10/31 | $38.84 | 6.00% | 4,193.80 | -2.20% | |
| 34. | 2023/11/30 | $44.05 | 13.41% | 4,567.80 | 8.92% | |
| 35. | 2023/12/31 | $45.74 | 3.84% | 4,769.83 | 4.42% | |
| 36. | 2024/01/31 | $48.18 | 5.33% | 4,845.65 | 1.59% | |
| 37. | 2024/02/29 | $53.78 | 11.62% | 5,096.27 | 5.17% | |
| 38. | 2024/03/31 | $58.14 | 8.11% | 5,254.35 | 3.10% | |
| 39. | 2024/04/30 | $63.19 | 8.69% | 5,035.69 | -4.16% | |
| 40. | 2024/05/31 | $62.59 | -0.95% | 5,277.51 | 4.80% | |
| 41. | 2024/06/30 | $62.65 | 0.10% | 5,460.48 | 3.47% | |
| 42. | 2024/07/31 | $54.32 | -13.30% | 5,522.30 | 1.13% | |
| 43. | 2024/08/31 | $56.08 | 3.24% | 5,648.40 | 2.28% | |
| 44. | 2024/09/30 | $57.62 | 2.75% | 5,762.48 | 2.02% | |
| 45. | 2024/10/31 | $55.77 | -3.21% | 5,705.45 | -0.99% | |
| 46. | 2024/11/30 | $61.52 | 10.31% | 6,032.38 | 5.73% | |
| 47. | 2024/12/31 | $60.30 | -1.98% | 5,881.63 | -2.50% | |
| 48. | 2025/01/31 | $58.35 | -3.23% | 6,040.53 | 2.70% | |
| 49. | 2025/02/28 | $53.97 | -7.51% | 5,954.50 | -1.42% | |
| 50. | 2025/03/31 | $50.21 | -6.97% | 5,611.85 | -5.75% | |
| 51. | 2025/04/30 | $50.52 | 0.62% | 5,569.06 | -0.76% | |
| 52. | 2025/05/31 | $50.08 | -0.87% | 5,911.69 | 6.15% | |
| 53. | 2025/06/30 | $56.15 | 12.12% | 6,204.95 | 4.96% | |
| 54. | 2025/07/31 | $42.88 | -23.63% | 6,339.39 | 2.17% | |
| 55. | 2025/08/31 | $42.14 | -1.73% | 6,460.26 | 1.91% | |
| 56. | 2025/09/30 | $39.19 | -7.00% | 6,688.46 | 3.53% | |
| 57. | 2025/10/31 | $31.69 | -19.14% | 6,840.20 | 2.27% | |
| 58. | 2025/11/30 | $34.52 | 8.93% | 6,849.09 | 0.13% | |
| 59. | 2025/12/31 | $37.00 | 7.18% | 6,845.50 | -0.05% | |
| 平均 (R): | 0.83% | 1.14% | ||||
| 標準偏差： | 9.53% | 4.37% | ||||
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
| t | 日付 | RCMG,t | RS&P 500,t | (RCMG,t–RCMG)2 | (RS&P 500,t–RS&P 500)2 | (RCMG,t–RCMG)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021/02/28 | -2.57% | 2.61% | 11.52 | 2.17 | -5.00 |
| 2. | 2021/03/31 | -1.46% | 4.24% | 5.21 | 9.66 | -7.09 |
| 3. | 2021/04/30 | 5.00% | 5.24% | 17.39 | 16.86 | 17.12 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025/11/30 | 8.93% | 0.13% | 65.67 | 1.01 | -8.15 |
| 59. | 2025/12/31 | 7.18% | -0.05% | 40.42 | 1.41 | -7.56 |
| トータル (Σ): | 5,268.00 | 1,108.23 | 1,082.49 | |||
| t | 日付 | RCMG,t | RS&P 500,t | (RCMG,t–RCMG)2 | (RS&P 500,t–RS&P 500)2 | (RCMG,t–RCMG)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021/02/28 | -2.57% | 2.61% | 11.52 | 2.17 | -5.00 |
| 2. | 2021/03/31 | -1.46% | 4.24% | 5.21 | 9.66 | -7.09 |
| 3. | 2021/04/30 | 5.00% | 5.24% | 17.39 | 16.86 | 17.12 |
| 4. | 2021/05/31 | -8.04% | 0.55% | 78.67 | 0.35 | 5.21 |
| 5. | 2021/06/30 | 13.01% | 2.22% | 148.44 | 1.18 | 13.22 |
| 6. | 2021/07/31 | 20.19% | 2.27% | 374.83 | 1.30 | 22.05 |
| 7. | 2021/08/31 | 2.15% | 2.90% | 1.74 | 3.11 | 2.33 |
| 8. | 2021/09/30 | -4.52% | -4.76% | 28.56 | 34.73 | 31.50 |
| 9. | 2021/10/31 | -2.12% | 6.91% | 8.67 | 33.39 | -17.02 |
| 10. | 2021/11/30 | -7.62% | -0.83% | 71.29 | 3.88 | 16.63 |
| 11. | 2021/12/31 | 6.39% | 4.36% | 30.94 | 10.40 | 17.94 |
| 12. | 2022/01/31 | -15.04% | -5.26% | 251.79 | 40.89 | 101.47 |
| 13. | 2022/02/28 | 2.56% | -3.14% | 3.00 | 18.25 | -7.40 |
| 14. | 2022/03/31 | 3.84% | 3.58% | 9.08 | 5.96 | 7.36 |
| 15. | 2022/04/30 | -8.00% | -8.80% | 77.84 | 98.64 | 87.63 |
| 16. | 2022/05/31 | -3.64% | 0.01% | 19.96 | 1.28 | 5.05 |
| 17. | 2022/06/30 | -6.77% | -8.39% | 57.76 | 90.79 | 72.42 |
| 18. | 2022/07/31 | 19.62% | 9.11% | 353.10 | 63.61 | 149.87 |
| 19. | 2022/08/31 | 2.11% | -4.24% | 1.65 | 28.95 | -6.91 |
| 20. | 2022/09/30 | -5.89% | -9.34% | 45.06 | 109.74 | 70.32 |
| 21. | 2022/10/31 | -0.30% | 7.99% | 1.27 | 46.93 | -7.71 |
| 22. | 2022/11/30 | 8.58% | 5.38% | 60.04 | 17.97 | 32.85 |
| 23. | 2022/12/31 | -14.72% | -5.90% | 241.70 | 49.47 | 109.35 |
| 24. | 2023/01/31 | 18.67% | 6.18% | 318.27 | 25.39 | 89.90 |
| 25. | 2023/02/28 | -9.44% | -2.61% | 105.49 | 14.04 | 38.49 |
| 26. | 2023/03/31 | 14.59% | 3.51% | 189.37 | 5.61 | 32.60 |
| 27. | 2023/04/30 | 21.01% | 1.46% | 407.48 | 0.11 | 6.62 |
| 28. | 2023/05/31 | 0.44% | 0.25% | 0.15 | 0.79 | 0.35 |
| 29. | 2023/06/30 | 3.01% | 4.71% | 4.77 | 12.80 | 7.81 |
| 30. | 2023/07/31 | -8.25% | 4.85% | 82.41 | 13.76 | -33.68 |
| 31. | 2023/08/31 | -1.83% | -1.77% | 7.08 | 8.46 | 7.74 |
| 32. | 2023/09/30 | -4.91% | -4.87% | 32.85 | 36.10 | 34.44 |
| 33. | 2023/10/31 | 6.00% | -2.20% | 26.81 | 11.12 | -17.26 |
| 34. | 2023/11/30 | 13.41% | 8.92% | 158.45 | 60.56 | 97.95 |
| 35. | 2023/12/31 | 3.84% | 4.42% | 9.06 | 10.80 | 9.89 |
| 36. | 2024/01/31 | 5.33% | 1.59% | 20.32 | 0.21 | 2.04 |
| 37. | 2024/02/29 | 11.62% | 5.17% | 116.57 | 16.29 | 43.57 |
| 38. | 2024/03/31 | 8.11% | 3.10% | 53.01 | 3.86 | 14.31 |
| 39. | 2024/04/30 | 8.69% | -4.16% | 61.77 | 28.06 | -41.64 |
| 40. | 2024/05/31 | -0.95% | 4.80% | 3.15 | 13.44 | -6.51 |
| 41. | 2024/06/30 | 0.10% | 3.47% | 0.53 | 5.43 | -1.70 |
| 42. | 2024/07/31 | -13.30% | 1.13% | 199.45 | 0.00 | 0.06 |
| 43. | 2024/08/31 | 3.24% | 2.28% | 5.83 | 1.32 | 2.77 |
| 44. | 2024/09/30 | 2.75% | 2.02% | 3.68 | 0.78 | 1.70 |
| 45. | 2024/10/31 | -3.21% | -0.99% | 16.30 | 4.52 | 8.58 |
| 46. | 2024/11/30 | 10.31% | 5.73% | 89.94 | 21.10 | 43.57 |
| 47. | 2024/12/31 | -1.98% | -2.50% | 7.89 | 13.21 | 10.21 |
| 48. | 2025/01/31 | -3.23% | 2.70% | 16.49 | 2.45 | -6.36 |
| 49. | 2025/02/28 | -7.51% | -1.42% | 69.44 | 6.56 | 21.34 |
| 50. | 2025/03/31 | -6.97% | -5.75% | 60.74 | 47.48 | 53.70 |
| 51. | 2025/04/30 | 0.62% | -0.76% | 0.04 | 3.60 | 0.40 |
| 52. | 2025/05/31 | -0.87% | 6.15% | 2.88 | 25.16 | -8.51 |
| 53. | 2025/06/30 | 12.12% | 4.96% | 127.56 | 14.63 | 43.19 |
| 54. | 2025/07/31 | -23.63% | 2.17% | 598.27 | 1.06 | -25.21 |
| 55. | 2025/08/31 | -1.73% | 1.91% | 6.51 | 0.59 | -1.97 |
| 56. | 2025/09/30 | -7.00% | 3.53% | 61.26 | 5.74 | -18.76 |
| 57. | 2025/10/31 | -19.14% | 2.27% | 398.56 | 1.28 | -22.61 |
| 58. | 2025/11/30 | 8.93% | 0.13% | 65.67 | 1.01 | -8.15 |
| 59. | 2025/12/31 | 7.18% | -0.05% | 40.42 | 1.41 | -7.56 |
| トータル (Σ): | 5,268.00 | 1,108.23 | 1,082.49 | |||
すべて表示
分散CMG = Σ(RCMG,t–RCMG)2 ÷ (59 – 1)
= 5,268.00 ÷ (59 – 1)
= 90.83
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
共 分散CMG, S&P 500 = Σ(RCMG,t–RCMG)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,082.49 ÷ (59 – 1)
= 18.66
システマティックなリスク推定 (β)
| 分散CMG | 90.83 |
| 分散S&P 500 | 19.11 |
| 共 分散CMG, S&P 500 | 18.66 |
| 相関係数CMG, S&P 5001 | 0.45 |
| βCMG2 | 0.98 |
| αCMG3 | -0.28% |
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)
= 18.66 ÷ (9.53% × 4.37%)
= 0.45
2 βCMG
= 共 分散CMG, S&P 500 ÷ 分散S&P 500
= 18.66 ÷ 19.11
= 0.98
3 αCMG
= 平均CMG – βCMG × 平均S&P 500
= 0.83% – 0.98 × 1.14%
= -0.28%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.54% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 17.37% |
| 普通株式のシステマティックリスクChipotle | βCMG | 0.98 |
| チポトレ普通株式の期待収益率3 | E(RCMG) | 17.07% |
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]
= 4.54% + 0.98 [17.37% – 4.54%]
= 17.07%