資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 CBI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
Constellation Brands Inc.、月間収益率
| Constellation Brands Inc. (STZ) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格STZ,t1 | 配当STZ,t1 | RSTZ,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2016/03/31 | $151.09 | 2,059.74 | ||||
| 1. | 2016/04/30 | $156.06 | 3.29% | 2,065.30 | 0.27% | |
| 2. | 2016/05/31 | $153.15 | $0.40 | -1.61% | 2,096.95 | 1.53% |
| 3. | 2016/06/30 | $165.40 | 8.00% | 2,098.86 | 0.09% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2022/01/31 | $237.75 | -5.27% | 4,515.55 | -5.26% | |
| 71. | 2022/02/28 | $215.62 | $0.76 | -8.99% | 4,373.94 | -3.14% |
| 平均 (R): | 0.88% | 1.16% | ||||
| 標準偏差： | 7.34% | 4.23% | ||||
| Constellation Brands Inc. (STZ) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格STZ,t1 | 配当STZ,t1 | RSTZ,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2016/03/31 | $151.09 | 2,059.74 | ||||
| 1. | 2016/04/30 | $156.06 | 3.29% | 2,065.30 | 0.27% | |
| 2. | 2016/05/31 | $153.15 | $0.40 | -1.61% | 2,096.95 | 1.53% |
| 3. | 2016/06/30 | $165.40 | 8.00% | 2,098.86 | 0.09% | |
| 4. | 2016/07/31 | $164.63 | -0.47% | 2,173.60 | 3.56% | |
| 5. | 2016/08/31 | $164.05 | $0.40 | -0.11% | 2,170.95 | -0.12% |
| 6. | 2016/09/30 | $166.49 | 1.49% | 2,168.27 | -0.12% | |
| 7. | 2016/10/31 | $167.12 | 0.38% | 2,126.15 | -1.94% | |
| 8. | 2016/11/30 | $151.14 | $0.40 | -9.32% | 2,198.81 | 3.42% |
| 9. | 2016/12/31 | $153.31 | 1.44% | 2,238.83 | 1.82% | |
| 10. | 2017/01/31 | $149.76 | -2.32% | 2,278.87 | 1.79% | |
| 11. | 2017/02/28 | $158.81 | $0.40 | 6.31% | 2,363.64 | 3.72% |
| 12. | 2017/03/31 | $162.07 | 2.05% | 2,362.72 | -0.04% | |
| 13. | 2017/04/30 | $172.54 | 6.46% | 2,384.20 | 0.91% | |
| 14. | 2017/05/31 | $182.75 | $0.52 | 6.22% | 2,411.80 | 1.16% |
| 15. | 2017/06/30 | $193.73 | 6.01% | 2,423.41 | 0.48% | |
| 16. | 2017/07/31 | $193.35 | -0.20% | 2,470.30 | 1.93% | |
| 17. | 2017/08/31 | $200.10 | $0.52 | 3.76% | 2,471.65 | 0.05% |
| 18. | 2017/09/30 | $199.45 | -0.32% | 2,519.36 | 1.93% | |
| 19. | 2017/10/31 | $219.09 | 9.85% | 2,575.26 | 2.22% | |
| 20. | 2017/11/30 | $217.59 | $0.52 | -0.45% | 2,647.58 | 2.81% |
| 21. | 2017/12/31 | $228.57 | 5.05% | 2,673.61 | 0.98% | |
| 22. | 2018/01/31 | $219.47 | -3.98% | 2,823.81 | 5.62% | |
| 23. | 2018/02/28 | $215.48 | $0.52 | -1.58% | 2,713.83 | -3.89% |
| 24. | 2018/03/31 | $227.92 | 5.77% | 2,640.87 | -2.69% | |
| 25. | 2018/04/30 | $233.13 | 2.29% | 2,648.05 | 0.27% | |
| 26. | 2018/05/31 | $223.08 | $0.74 | -3.99% | 2,705.27 | 2.16% |
| 27. | 2018/06/30 | $218.87 | -1.89% | 2,718.37 | 0.48% | |
| 28. | 2018/07/31 | $210.23 | -3.95% | 2,816.29 | 3.60% | |
| 29. | 2018/08/31 | $208.20 | $0.74 | -0.61% | 2,901.52 | 3.03% |
| 30. | 2018/09/30 | $215.62 | 3.56% | 2,913.98 | 0.43% | |
| 31. | 2018/10/31 | $199.23 | -7.60% | 2,711.74 | -6.94% | |
| 32. | 2018/11/30 | $195.76 | $0.74 | -1.37% | 2,760.17 | 1.79% |
| 33. | 2018/12/31 | $160.82 | -17.85% | 2,506.85 | -9.18% | |
| 34. | 2019/01/31 | $173.66 | 7.98% | 2,704.10 | 7.87% | |
| 35. | 2019/02/28 | $169.16 | $0.74 | -2.17% | 2,784.49 | 2.97% |
| 36. | 2019/03/31 | $175.33 | 3.65% | 2,834.40 | 1.79% | |
| 37. | 2019/04/30 | $211.67 | 20.73% | 2,945.83 | 3.93% | |
| 38. | 2019/05/31 | $176.45 | $0.75 | -16.28% | 2,752.06 | -6.58% |
| 39. | 2019/06/30 | $196.94 | 11.61% | 2,941.76 | 6.89% | |
| 40. | 2019/07/31 | $196.82 | -0.06% | 2,980.38 | 1.31% | |
| 41. | 2019/08/31 | $204.35 | $0.75 | 4.21% | 2,926.46 | -1.81% |
| 42. | 2019/09/30 | $207.28 | 1.43% | 2,976.74 | 1.72% | |
| 43. | 2019/10/31 | $190.33 | -8.18% | 3,037.56 | 2.04% | |
| 44. | 2019/11/30 | $186.06 | $0.75 | -1.85% | 3,140.98 | 3.40% |
| 45. | 2019/12/31 | $189.75 | 1.98% | 3,230.78 | 2.86% | |
| 46. | 2020/01/31 | $188.30 | -0.76% | 3,225.52 | -0.16% | |
| 47. | 2020/02/29 | $172.38 | $0.75 | -8.06% | 2,954.22 | -8.41% |
| 48. | 2020/03/31 | $143.36 | -16.83% | 2,584.59 | -12.51% | |
| 49. | 2020/04/30 | $164.69 | 14.88% | 2,912.43 | 12.68% | |
| 50. | 2020/05/31 | $172.70 | $0.75 | 5.32% | 3,044.31 | 4.53% |
| 51. | 2020/06/30 | $174.95 | 1.30% | 3,100.29 | 1.84% | |
| 52. | 2020/07/31 | $178.20 | 1.86% | 3,271.12 | 5.51% | |
| 53. | 2020/08/31 | $184.48 | $0.75 | 3.95% | 3,500.31 | 7.01% |
| 54. | 2020/09/30 | $189.51 | 2.73% | 3,363.00 | -3.92% | |
| 55. | 2020/10/31 | $165.23 | -12.81% | 3,269.96 | -2.77% | |
| 56. | 2020/11/30 | $205.84 | $0.75 | 25.03% | 3,621.63 | 10.75% |
| 57. | 2020/12/31 | $219.05 | 6.42% | 3,756.07 | 3.71% | |
| 58. | 2021/01/31 | $210.93 | -3.71% | 3,714.24 | -1.11% | |
| 59. | 2021/02/28 | $214.14 | $0.75 | 1.88% | 3,811.15 | 2.61% |
| 60. | 2021/03/31 | $228.00 | 6.47% | 3,972.89 | 4.24% | |
| 61. | 2021/04/30 | $240.32 | 5.40% | 4,181.17 | 5.24% | |
| 62. | 2021/05/31 | $239.72 | $0.76 | 0.07% | 4,204.11 | 0.55% |
| 63. | 2021/06/30 | $233.89 | -2.43% | 4,297.50 | 2.22% | |
| 64. | 2021/07/31 | $224.34 | -4.08% | 4,395.26 | 2.27% | |
| 65. | 2021/08/31 | $211.14 | $0.76 | -5.55% | 4,522.68 | 2.90% |
| 66. | 2021/09/30 | $210.69 | -0.21% | 4,307.54 | -4.76% | |
| 67. | 2021/10/31 | $216.81 | 2.90% | 4,605.38 | 6.91% | |
| 68. | 2021/11/30 | $225.33 | $0.76 | 4.28% | 4,567.00 | -0.83% |
| 69. | 2021/12/31 | $250.97 | 11.38% | 4,766.18 | 4.36% | |
| 70. | 2022/01/31 | $237.75 | -5.27% | 4,515.55 | -5.26% | |
| 71. | 2022/02/28 | $215.62 | $0.76 | -8.99% | 4,373.94 | -3.14% |
| 平均 (R): | 0.88% | 1.16% | ||||
| 標準偏差： | 7.34% | 4.23% | ||||
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におけるSTZ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
Constellation Brands Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RSTZ,t | RS&P 500,t | (RSTZ,t–RSTZ)2 | (RS&P 500,t–RS&P 500)2 | (RSTZ,t–RSTZ)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2016/04/30 | 3.29% | 0.27% | 5.80 | 0.78 | -2.13 |
| 2. | 2016/05/31 | -1.61% | 1.53% | 6.19 | 0.14 | -0.94 |
| 3. | 2016/06/30 | 8.00% | 0.09% | 50.67 | 1.13 | -7.57 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2022/01/31 | -5.27% | -5.26% | 37.80 | 41.13 | 39.43 |
| 71. | 2022/02/28 | -8.99% | -3.14% | 97.40 | 18.41 | 42.35 |
| トータル (Σ): | 3,770.51 | 1,252.81 | 1,429.54 | |||
| t | 日付 | RSTZ,t | RS&P 500,t | (RSTZ,t–RSTZ)2 | (RS&P 500,t–RS&P 500)2 | (RSTZ,t–RSTZ)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2016/04/30 | 3.29% | 0.27% | 5.80 | 0.78 | -2.13 |
| 2. | 2016/05/31 | -1.61% | 1.53% | 6.19 | 0.14 | -0.94 |
| 3. | 2016/06/30 | 8.00% | 0.09% | 50.67 | 1.13 | -7.57 |
| 4. | 2016/07/31 | -0.47% | 3.56% | 1.81 | 5.79 | -3.24 |
| 5. | 2016/08/31 | -0.11% | -0.12% | 0.98 | 1.63 | 1.26 |
| 6. | 2016/09/30 | 1.49% | -0.12% | 0.37 | 1.63 | -0.78 |
| 7. | 2016/10/31 | 0.38% | -1.94% | 0.25 | 9.60 | 1.56 |
| 8. | 2016/11/30 | -9.32% | 3.42% | 104.10 | 5.12 | -23.08 |
| 9. | 2016/12/31 | 1.44% | 1.82% | 0.31 | 0.44 | 0.37 |
| 10. | 2017/01/31 | -2.32% | 1.79% | 10.22 | 0.40 | -2.02 |
| 11. | 2017/02/28 | 6.31% | 3.72% | 29.48 | 6.58 | 13.93 |
| 12. | 2017/03/31 | 2.05% | -0.04% | 1.37 | 1.43 | -1.40 |
| 13. | 2017/04/30 | 6.46% | 0.91% | 31.13 | 0.06 | -1.37 |
| 14. | 2017/05/31 | 6.22% | 1.16% | 28.50 | 0.00 | 0.01 |
| 15. | 2017/06/30 | 6.01% | 0.48% | 26.29 | 0.45 | -3.45 |
| 16. | 2017/07/31 | -0.20% | 1.93% | 1.16 | 0.61 | -0.84 |
| 17. | 2017/08/31 | 3.76% | 0.05% | 8.29 | 1.21 | -3.17 |
| 18. | 2017/09/30 | -0.32% | 1.93% | 1.45 | 0.60 | -0.93 |
| 19. | 2017/10/31 | 9.85% | 2.22% | 80.40 | 1.13 | 9.54 |
| 20. | 2017/11/30 | -0.45% | 2.81% | 1.76 | 2.73 | -2.20 |
| 21. | 2017/12/31 | 5.05% | 0.98% | 17.35 | 0.03 | -0.72 |
| 22. | 2018/01/31 | -3.98% | 5.62% | 23.64 | 19.92 | -21.70 |
| 23. | 2018/02/28 | -1.58% | -3.89% | 6.06 | 25.50 | 12.43 |
| 24. | 2018/03/31 | 5.77% | -2.69% | 23.94 | 14.77 | -18.81 |
| 25. | 2018/04/30 | 2.29% | 0.27% | 1.98 | 0.78 | -1.24 |
| 26. | 2018/05/31 | -3.99% | 2.16% | 23.76 | 1.01 | -4.90 |
| 27. | 2018/06/30 | -1.89% | 0.48% | 7.66 | 0.45 | 1.86 |
| 28. | 2018/07/31 | -3.95% | 3.60% | 23.31 | 5.99 | -11.81 |
| 29. | 2018/08/31 | -0.61% | 3.03% | 2.23 | 3.50 | -2.80 |
| 30. | 2018/09/30 | 3.56% | 0.43% | 7.20 | 0.53 | -1.95 |
| 31. | 2018/10/31 | -7.60% | -6.94% | 71.94 | 65.54 | 68.66 |
| 32. | 2018/11/30 | -1.37% | 1.79% | 5.07 | 0.40 | -1.42 |
| 33. | 2018/12/31 | -17.85% | -9.18% | 350.77 | 106.77 | 193.52 |
| 34. | 2019/01/31 | 7.98% | 7.87% | 50.46 | 45.07 | 47.69 |
| 35. | 2019/02/28 | -2.17% | 2.97% | 9.28 | 3.30 | -5.54 |
| 36. | 2019/03/31 | 3.65% | 1.79% | 7.66 | 0.41 | 1.76 |
| 37. | 2019/04/30 | 20.73% | 3.93% | 393.87 | 7.71 | 55.10 |
| 38. | 2019/05/31 | -16.28% | -6.58% | 294.65 | 59.80 | 132.74 |
| 39. | 2019/06/30 | 11.61% | 6.89% | 115.17 | 32.92 | 61.58 |
| 40. | 2019/07/31 | -0.06% | 1.31% | 0.89 | 0.02 | -0.15 |
| 41. | 2019/08/31 | 4.21% | -1.81% | 11.06 | 8.79 | -9.86 |
| 42. | 2019/09/30 | 1.43% | 1.72% | 0.31 | 0.32 | 0.31 |
| 43. | 2019/10/31 | -8.18% | 2.04% | 82.05 | 0.79 | -8.04 |
| 44. | 2019/11/30 | -1.85% | 3.40% | 7.45 | 5.06 | -6.14 |
| 45. | 2019/12/31 | 1.98% | 2.86% | 1.22 | 2.90 | 1.88 |
| 46. | 2020/01/31 | -0.76% | -0.16% | 2.71 | 1.74 | 2.17 |
| 47. | 2020/02/29 | -8.06% | -8.41% | 79.87 | 91.51 | 85.49 |
| 48. | 2020/03/31 | -16.83% | -12.51% | 313.84 | 186.79 | 242.12 |
| 49. | 2020/04/30 | 14.88% | 12.68% | 195.95 | 132.92 | 161.39 |
| 50. | 2020/05/31 | 5.32% | 4.53% | 19.70 | 11.38 | 14.97 |
| 51. | 2020/06/30 | 1.30% | 1.84% | 0.18 | 0.47 | 0.29 |
| 52. | 2020/07/31 | 1.86% | 5.51% | 0.95 | 18.97 | 4.26 |
| 53. | 2020/08/31 | 3.95% | 7.01% | 9.39 | 34.24 | 17.93 |
| 54. | 2020/09/30 | 2.73% | -3.92% | 3.41 | 25.79 | -9.37 |
| 55. | 2020/10/31 | -12.81% | -2.77% | 187.49 | 15.38 | 53.70 |
| 56. | 2020/11/30 | 25.03% | 10.75% | 583.28 | 92.15 | 231.84 |
| 57. | 2020/12/31 | 6.42% | 3.71% | 30.66 | 6.54 | 14.16 |
| 58. | 2021/01/31 | -3.71% | -1.11% | 21.04 | 5.15 | 10.41 |
| 59. | 2021/02/28 | 1.88% | 2.61% | 0.99 | 2.11 | 1.45 |
| 60. | 2021/03/31 | 6.47% | 4.24% | 31.27 | 9.54 | 17.27 |
| 61. | 2021/04/30 | 5.40% | 5.24% | 20.46 | 16.71 | 18.49 |
| 62. | 2021/05/31 | 0.07% | 0.55% | 0.66 | 0.37 | 0.49 |
| 63. | 2021/06/30 | -2.43% | 2.22% | 10.97 | 1.14 | -3.53 |
| 64. | 2021/07/31 | -4.08% | 2.27% | 24.64 | 1.25 | -5.56 |
| 65. | 2021/08/31 | -5.55% | 2.90% | 41.29 | 3.04 | -11.21 |
| 66. | 2021/09/30 | -0.21% | -4.76% | 1.20 | 34.95 | 6.47 |
| 67. | 2021/10/31 | 2.90% | 6.91% | 4.10 | 33.17 | 11.66 |
| 68. | 2021/11/30 | 4.28% | -0.83% | 11.56 | 3.95 | -6.76 |
| 69. | 2021/12/31 | 11.38% | 4.36% | 110.21 | 10.28 | 33.66 |
| 70. | 2022/01/31 | -5.27% | -5.26% | 37.80 | 41.13 | 39.43 |
| 71. | 2022/02/28 | -8.99% | -3.14% | 97.40 | 18.41 | 42.35 |
| トータル (Σ): | 3,770.51 | 1,252.81 | 1,429.54 | |||
すべて表示
分散STZ = Σ(RSTZ,t–RSTZ)2 ÷ (71 – 1)
= 3,770.51 ÷ (71 – 1)
= 53.86
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,252.81 ÷ (71 – 1)
= 17.90
共 分散STZ, S&P 500 = Σ(RSTZ,t–RSTZ)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,429.54 ÷ (71 – 1)
= 20.42
システマティックなリスク推定 (β)
| 分散STZ | 53.86 |
| 分散S&P 500 | 17.90 |
| 共 分散STZ, S&P 500 | 20.42 |
| 相関係数STZ, S&P 5001 | 0.66 |
| βSTZ2 | 1.14 |
| αSTZ3 | -0.44% |
計算
1 相関係数STZ, S&P 500
= 共 分散STZ, S&P 500 ÷ (標準偏差STZ × 標準偏差S&P 500)
= 20.42 ÷ (7.34% × 4.23%)
= 0.66
2 βSTZ
= 共 分散STZ, S&P 500 ÷ 分散S&P 500
= 20.42 ÷ 17.90
= 1.14
3 αSTZ
= 平均STZ – βSTZ × 平均S&P 500
= 0.88% – 1.14 × 1.16%
= -0.44%
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 CBI システマティックリスク | βSTZ | 1.14 |
| CBI普通株式の期待収益率3 | E(RSTZ) | 16.33% |
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(RSTZ) = RF + βSTZ [E(RM) – RF]
= 4.56% + 1.14 [14.87% – 4.56%]
= 16.33%