Stock Analysis on Net

Cummins Inc. (NYSE:CMI)

この会社は アーカイブに移されました! 財務データは2024年5月2日以降更新されていません。

資本資産価格モデル (CAPM) 

Microsoft Excel

収益率

Cummins Inc.、月間収益率

Microsoft Excel
Cummins Inc. (CMI) Standard & Poor’s 500 (S&P 500)
t 日付 価格CMI,t1 配当CMI,t1 RCMI,t2 価格S&P 500,t RS&P 500,t3
2019/01/31 $147.11 2,704.10
1. 2019/02/28 $154.09 $1.14 5.52% 2,784.49 2.97%
2. 2019/03/31 $157.87 2.45% 2,834.40 1.79%
3. 2019/04/30 $166.29 5.33% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023/11/30 $224.16 $1.68 4.41% 4,567.80 8.92%
59. 2023/12/31 $239.57 6.87% 4,769.83 4.42%
平均 (R): 1.36% 1.11%
標準偏差: 7.89% 5.31%
Cummins Inc. (CMI) Standard & Poor’s 500 (S&P 500)
t 日付 価格CMI,t1 配当CMI,t1 RCMI,t2 価格S&P 500,t RS&P 500,t3
2019/01/31 $147.11 2,704.10
1. 2019/02/28 $154.09 $1.14 5.52% 2,784.49 2.97%
2. 2019/03/31 $157.87 2.45% 2,834.40 1.79%
3. 2019/04/30 $166.29 5.33% 2,945.83 3.93%
4. 2019/05/31 $150.76 $1.14 -8.65% 2,752.06 -6.58%
5. 2019/06/30 $171.34 13.65% 2,941.76 6.89%
6. 2019/07/31 $164.00 -4.28% 2,980.38 1.31%
7. 2019/08/31 $149.27 $1.311 -8.18% 2,926.46 -1.81%
8. 2019/09/30 $162.67 8.98% 2,976.74 1.72%
9. 2019/10/31 $172.48 6.03% 3,037.56 2.04%
10. 2019/11/30 $182.86 $1.311 6.78% 3,140.98 3.40%
11. 2019/12/31 $178.96 -2.13% 3,230.78 2.86%
12. 2020/01/31 $159.97 -10.61% 3,225.52 -0.16%
13. 2020/02/29 $151.29 $1.311 -4.61% 2,954.22 -8.41%
14. 2020/03/31 $135.32 -10.56% 2,584.59 -12.51%
15. 2020/04/30 $163.50 20.82% 2,912.43 12.68%
16. 2020/05/31 $169.60 $1.311 4.53% 3,044.31 4.53%
17. 2020/06/30 $173.26 2.16% 3,100.29 1.84%
18. 2020/07/31 $193.26 11.54% 3,271.12 5.51%
19. 2020/08/31 $207.25 $1.311 7.92% 3,500.31 7.01%
20. 2020/09/30 $211.16 1.89% 3,363.00 -3.92%
21. 2020/10/31 $219.89 4.13% 3,269.96 -2.77%
22. 2020/11/30 $231.17 $1.35 5.74% 3,621.63 10.75%
23. 2020/12/31 $227.10 -1.76% 3,756.07 3.71%
24. 2021/01/31 $234.42 3.22% 3,714.24 -1.11%
25. 2021/02/28 $253.20 $1.35 8.59% 3,811.15 2.61%
26. 2021/03/31 $259.11 2.33% 3,972.89 4.24%
27. 2021/04/30 $252.04 -2.73% 4,181.17 5.24%
28. 2021/05/31 $257.28 $1.35 2.61% 4,204.11 0.55%
29. 2021/06/30 $243.81 -5.24% 4,297.50 2.22%
30. 2021/07/31 $232.10 -4.80% 4,395.26 2.27%
31. 2021/08/31 $235.98 $1.45 2.30% 4,522.68 2.90%
32. 2021/09/30 $224.56 -4.84% 4,307.54 -4.76%
33. 2021/10/31 $239.84 6.80% 4,605.38 6.91%
34. 2021/11/30 $209.75 $1.45 -11.94% 4,567.00 -0.83%
35. 2021/12/31 $218.14 4.00% 4,766.18 4.36%
36. 2022/01/31 $220.88 1.26% 4,515.55 -5.26%
37. 2022/02/28 $204.12 $1.45 -6.93% 4,373.94 -3.14%
38. 2022/03/31 $205.11 0.49% 4,530.41 3.58%
39. 2022/04/30 $189.19 -7.76% 4,131.93 -8.80%
40. 2022/05/31 $209.12 $1.45 11.30% 4,132.15 0.01%
41. 2022/06/30 $193.53 -7.46% 3,785.38 -8.39%
42. 2022/07/31 $221.31 14.35% 4,130.29 9.11%
43. 2022/08/31 $215.37 $1.57 -1.97% 3,955.00 -4.24%
44. 2022/09/30 $203.51 -5.51% 3,585.62 -9.34%
45. 2022/10/31 $244.51 20.15% 3,871.98 7.99%
46. 2022/11/30 $251.16 $1.57 3.36% 4,080.11 5.38%
47. 2022/12/31 $242.29 -3.53% 3,839.50 -5.90%
48. 2023/01/31 $249.54 2.99% 4,076.60 6.18%
49. 2023/02/28 $243.08 $1.57 -1.96% 3,970.15 -2.61%
50. 2023/03/31 $238.88 -1.73% 4,109.31 3.51%
51. 2023/04/30 $235.04 -1.61% 4,169.48 1.46%
52. 2023/05/31 $204.41 $1.57 -12.36% 4,179.83 0.25%
53. 2023/06/30 $245.16 19.94% 4,376.86 4.71%
54. 2023/07/31 $260.80 6.38% 4,588.96 4.85%
55. 2023/08/31 $230.04 $1.68 -11.15% 4,507.66 -1.77%
56. 2023/09/30 $228.46 -0.69% 4,288.05 -4.87%
57. 2023/10/31 $216.30 -5.32% 4,193.80 -2.20%
58. 2023/11/30 $224.16 $1.68 4.41% 4,567.80 8.92%
59. 2023/12/31 $239.57 6.87% 4,769.83 4.42%
平均 (R): 1.36% 1.11%
標準偏差: 7.89% 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CMI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

Cummins Inc.、分散の計算、および戻り値の共分散

Microsoft Excel
t 日付 RCMI,t RS&P 500,t (RCMI,tRCMI)2 (RS&P 500,tRS&P 500)2 (RCMI,tRCMI)×(RS&P 500,tRS&P 500)
1. 2019/02/28 5.52% 2.97% 17.26 3.49 7.76
2. 2019/03/31 2.45% 1.79% 1.18 0.47 0.75
3. 2019/04/30 5.33% 3.93% 15.75 7.98 11.21
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023/11/30 4.41% 8.92% 9.28 61.03 23.79
59. 2023/12/31 6.87% 4.42% 30.36 11.00 18.28
トータル (Σ): 3,606.22 1,634.30 1,651.43
t 日付 RCMI,t RS&P 500,t (RCMI,tRCMI)2 (RS&P 500,tRS&P 500)2 (RCMI,tRCMI)×(RS&P 500,tRS&P 500)
1. 2019/02/28 5.52% 2.97% 17.26 3.49 7.76
2. 2019/03/31 2.45% 1.79% 1.18 0.47 0.75
3. 2019/04/30 5.33% 3.93% 15.75 7.98 11.21
4. 2019/05/31 -8.65% -6.58% 100.37 59.04 76.98
5. 2019/06/30 13.65% 6.89% 150.95 33.49 71.10
6. 2019/07/31 -4.28% 1.31% 31.91 0.04 -1.17
7. 2019/08/31 -8.18% -1.81% 91.15 8.50 27.83
8. 2019/09/30 8.98% 1.72% 57.95 0.37 4.66
9. 2019/10/31 6.03% 2.04% 21.77 0.88 4.37
10. 2019/11/30 6.78% 3.40% 29.30 5.28 12.44
11. 2019/12/31 -2.13% 2.86% 12.23 3.07 -6.13
12. 2020/01/31 -10.61% -0.16% 143.43 1.61 15.19
13. 2020/02/29 -4.61% -8.41% 35.66 90.57 56.83
14. 2020/03/31 -10.56% -12.51% 142.10 185.44 162.33
15. 2020/04/30 20.82% 12.68% 378.69 134.06 225.32
16. 2020/05/31 4.53% 4.53% 10.04 11.71 10.84
17. 2020/06/30 2.16% 1.84% 0.63 0.54 0.58
18. 2020/07/31 11.54% 5.51% 103.60 19.40 44.83
19. 2020/08/31 7.92% 7.01% 42.93 34.82 38.66
20. 2020/09/30 1.89% -3.92% 0.27 25.29 -2.62
21. 2020/10/31 4.13% -2.77% 7.67 15.00 -10.72
22. 2020/11/30 5.74% 10.75% 19.17 93.10 42.25
23. 2020/12/31 -1.76% 3.71% 9.77 6.79 -8.15
24. 2021/01/31 3.22% -1.11% 3.45 4.93 -4.12
25. 2021/02/28 8.59% 2.61% 52.16 2.26 10.86
26. 2021/03/31 2.33% 4.24% 0.94 9.85 3.04
27. 2021/04/30 -2.73% 5.24% 16.76 17.11 -16.93
28. 2021/05/31 2.61% 0.55% 1.56 0.31 -0.70
29. 2021/06/30 -5.24% 2.22% 43.57 1.24 -7.36
30. 2021/07/31 -4.80% 2.27% 38.04 1.37 -7.21
31. 2021/08/31 2.30% 2.90% 0.87 3.22 1.67
32. 2021/09/30 -4.84% -4.76% 38.49 34.37 36.37
33. 2021/10/31 6.80% 6.91% 29.59 33.74 31.60
34. 2021/11/30 -11.94% -0.83% 177.05 3.76 25.80
35. 2021/12/31 4.00% 4.36% 6.94 10.60 8.58
36. 2022/01/31 1.26% -5.26% 0.01 40.51 0.69
37. 2022/02/28 -6.93% -3.14% 68.83 17.99 35.19
38. 2022/03/31 0.49% 3.58% 0.77 6.11 -2.17
39. 2022/04/30 -7.76% -8.80% 83.29 98.04 90.37
40. 2022/05/31 11.30% 0.01% 98.72 1.21 -10.93
41. 2022/06/30 -7.46% -8.39% 77.79 90.21 83.77
42. 2022/07/31 14.35% 9.11% 168.73 64.09 103.99
43. 2022/08/31 -1.97% -4.24% 11.15 28.62 17.87
44. 2022/09/30 -5.51% -9.34% 47.22 109.11 71.78
45. 2022/10/31 20.15% 7.99% 352.75 47.34 129.23
46. 2022/11/30 3.36% 5.38% 3.99 18.23 8.53
47. 2022/12/31 -3.53% -5.90% 23.98 49.04 34.29
48. 2023/01/31 2.99% 6.18% 2.65 25.70 8.25
49. 2023/02/28 -1.96% -2.61% 11.05 13.82 12.36
50. 2023/03/31 -1.73% 3.51% 9.56 5.76 -7.42
51. 2023/04/30 -1.61% 1.46% 8.83 0.13 -1.07
52. 2023/05/31 -12.36% 0.25% 188.48 0.74 11.77
53. 2023/06/30 19.94% 4.71% 344.87 13.02 67.00
54. 2023/07/31 6.38% 4.85% 25.15 13.99 18.76
55. 2023/08/31 -11.15% -1.77% 156.63 8.28 36.01
56. 2023/09/30 -0.69% -4.87% 4.21 35.73 12.26
57. 2023/10/31 -5.32% -2.20% 44.72 10.92 22.09
58. 2023/11/30 4.41% 8.92% 9.28 61.03 23.79
59. 2023/12/31 6.87% 4.42% 30.36 11.00 18.28
トータル (Σ): 3,606.22 1,634.30 1,651.43

すべて表示

分散CMI = Σ(RCMI,tRCMI)2 ÷ (59 – 1)
= 3,606.22 ÷ (59 – 1)
= 62.18

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CMI, S&P 500 = Σ(RCMI,tRCMI)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,651.43 ÷ (59 – 1)
= 28.47


システマティックリスク推定 (β)

Microsoft Excel
分散CMI 62.18
分散S&P 500 28.18
共 分散CMI, S&P 500 28.47
相関係数CMI, S&P 5001 0.68
βCMI2 1.01
αCMI3 0.25%

計算

1 相関係数CMI, S&P 500
= 共 分散CMI, S&P 500 ÷ (標準偏差CMI × 標準偏差S&P 500)
= 28.47 ÷ (7.89% × 5.31%)
= 0.68

2 βCMI
= 共 分散CMI, S&P 500 ÷ 分散S&P 500
= 28.47 ÷ 28.18
= 1.01

3 αCMI
= 平均CMI – βCMI × 平均S&P 500
= 1.36%1.01 × 1.11%
= 0.25%


期待収益率

Microsoft Excel
仮定
LT財務省総合の収益率1 RF 4.62%
市場ポートフォリオの期待収益率2 E(RM) 13.48%
普通株式 Cummins システマティックリスク βCMI 1.01
 
カミンズ普通株式の期待収益率3 E(RCMI) 13.57%

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(RCMI) = RF + βCMI [E(RM) – RF]
= 4.62% + 1.01 [13.48%4.62%]
= 13.57%