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. (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
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. | 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 |
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
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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,t–RCMG)2 | (RS&P 500,t–RS&P 500)2 | (RCMG,t–RCMG)×(RS&P 500,t–RS&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,t–RCMG)2 ÷ (59 – 1)
= 5,758.72 ÷ (59 – 1)
= 99.29
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91
共 分散CMG, S&P 500 = Σ(RCMG,t–RCMG)×(RS&P 500,t–RS&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)
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
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%