資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Danaher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
Danaher Corp.、月間収益率
| Danaher Corp. (DHR) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格DHR,t1 | 配当DHR,t1 | RDHR,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2021/01/31 | $237.84 | 3,714.24 | ||||
| 1. | 2021/02/28 | $219.67 | -7.64% | 3,811.15 | 2.61% | |
| 2. | 2021/03/31 | $225.08 | $0.21 | 2.56% | 3,972.89 | 4.24% |
| 3. | 2021/04/30 | $253.94 | 12.82% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025/11/30 | $226.78 | 5.29% | 6,849.09 | 0.13% | |
| 59. | 2025/12/31 | $228.92 | $0.32 | 1.08% | 6,845.50 | -0.05% |
| 平均 (R): | 0.23% | 1.14% | ||||
| 標準偏差： | 7.16% | 4.37% | ||||
| Danaher Corp. (DHR) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格DHR,t1 | 配当DHR,t1 | RDHR,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2021/01/31 | $237.84 | 3,714.24 | ||||
| 1. | 2021/02/28 | $219.67 | -7.64% | 3,811.15 | 2.61% | |
| 2. | 2021/03/31 | $225.08 | $0.21 | 2.56% | 3,972.89 | 4.24% |
| 3. | 2021/04/30 | $253.94 | 12.82% | 4,181.17 | 5.24% | |
| 4. | 2021/05/31 | $256.14 | 0.87% | 4,204.11 | 0.55% | |
| 5. | 2021/06/30 | $268.36 | $0.21 | 4.85% | 4,297.50 | 2.22% |
| 6. | 2021/07/31 | $297.49 | 10.85% | 4,395.26 | 2.27% | |
| 7. | 2021/08/31 | $324.16 | 8.97% | 4,522.68 | 2.90% | |
| 8. | 2021/09/30 | $304.44 | $0.21 | -6.02% | 4,307.54 | -4.76% |
| 9. | 2021/10/31 | $311.77 | 2.41% | 4,605.38 | 6.91% | |
| 10. | 2021/11/30 | $321.64 | 3.17% | 4,567.00 | -0.83% | |
| 11. | 2021/12/31 | $329.01 | $0.21 | 2.36% | 4,766.18 | 4.36% |
| 12. | 2022/01/31 | $285.79 | -13.14% | 4,515.55 | -5.26% | |
| 13. | 2022/02/28 | $274.41 | -3.98% | 4,373.94 | -3.14% | |
| 14. | 2022/03/31 | $293.33 | $0.25 | 6.99% | 4,530.41 | 3.58% |
| 15. | 2022/04/30 | $251.13 | -14.39% | 4,131.93 | -8.80% | |
| 16. | 2022/05/31 | $263.82 | 5.05% | 4,132.15 | 0.01% | |
| 17. | 2022/06/30 | $253.52 | $0.25 | -3.81% | 3,785.38 | -8.39% |
| 18. | 2022/07/31 | $291.47 | 14.97% | 4,130.29 | 9.11% | |
| 19. | 2022/08/31 | $269.91 | -7.40% | 3,955.00 | -4.24% | |
| 20. | 2022/09/30 | $258.29 | $0.25 | -4.21% | 3,585.62 | -9.34% |
| 21. | 2022/10/31 | $251.67 | -2.56% | 3,871.98 | 7.99% | |
| 22. | 2022/11/30 | $273.41 | 8.64% | 4,080.11 | 5.38% | |
| 23. | 2022/12/31 | $265.42 | $0.25 | -2.83% | 3,839.50 | -5.90% |
| 24. | 2023/01/31 | $264.38 | -0.39% | 4,076.60 | 6.18% | |
| 25. | 2023/02/28 | $247.53 | -6.37% | 3,970.15 | -2.61% | |
| 26. | 2023/03/31 | $252.04 | $0.27 | 1.93% | 4,109.31 | 3.51% |
| 27. | 2023/04/30 | $236.91 | -6.00% | 4,169.48 | 1.46% | |
| 28. | 2023/05/31 | $229.62 | -3.08% | 4,179.83 | 0.25% | |
| 29. | 2023/06/30 | $240.00 | $0.27 | 4.64% | 4,376.86 | 4.71% |
| 30. | 2023/07/31 | $255.06 | 6.28% | 4,588.96 | 4.85% | |
| 31. | 2023/08/31 | $265.00 | 3.90% | 4,507.66 | -1.77% | |
| 32. | 2023/09/30 | $248.10 | -6.38% | 4,288.05 | -4.87% | |
| 33. | 2023/10/31 | $192.02 | $0.27 | -22.49% | 4,193.80 | -2.20% |
| 34. | 2023/11/30 | $223.31 | 16.30% | 4,567.80 | 8.92% | |
| 35. | 2023/12/31 | $231.34 | $0.24 | 3.70% | 4,769.83 | 4.42% |
| 36. | 2024/01/31 | $239.91 | 3.70% | 4,845.65 | 1.59% | |
| 37. | 2024/02/29 | $253.14 | 5.51% | 5,096.27 | 5.17% | |
| 38. | 2024/03/31 | $249.72 | $0.27 | -1.24% | 5,254.35 | 3.10% |
| 39. | 2024/04/30 | $246.62 | -1.24% | 5,035.69 | -4.16% | |
| 40. | 2024/05/31 | $256.80 | 4.13% | 5,277.51 | 4.80% | |
| 41. | 2024/06/30 | $249.85 | $0.27 | -2.60% | 5,460.48 | 3.47% |
| 42. | 2024/07/31 | $277.08 | 10.90% | 5,522.30 | 1.13% | |
| 43. | 2024/08/31 | $269.31 | -2.80% | 5,648.40 | 2.28% | |
| 44. | 2024/09/30 | $278.02 | $0.27 | 3.33% | 5,762.48 | 2.02% |
| 45. | 2024/10/31 | $245.66 | -11.64% | 5,705.45 | -0.99% | |
| 46. | 2024/11/30 | $239.69 | -2.43% | 6,032.38 | 5.73% | |
| 47. | 2024/12/31 | $229.55 | $0.27 | -4.12% | 5,881.63 | -2.50% |
| 48. | 2025/01/31 | $222.74 | -2.97% | 6,040.53 | 2.70% | |
| 49. | 2025/02/28 | $207.76 | -6.73% | 5,954.50 | -1.42% | |
| 50. | 2025/03/31 | $205.00 | $0.32 | -1.17% | 5,611.85 | -5.75% |
| 51. | 2025/04/30 | $199.33 | -2.77% | 5,569.06 | -0.76% | |
| 52. | 2025/05/31 | $189.90 | -4.73% | 5,911.69 | 6.15% | |
| 53. | 2025/06/30 | $197.54 | $0.32 | 4.19% | 6,204.95 | 4.96% |
| 54. | 2025/07/31 | $197.16 | -0.19% | 6,339.39 | 2.17% | |
| 55. | 2025/08/31 | $205.82 | 4.39% | 6,460.26 | 1.91% | |
| 56. | 2025/09/30 | $198.26 | $0.32 | -3.52% | 6,688.46 | 3.53% |
| 57. | 2025/10/31 | $215.38 | 8.64% | 6,840.20 | 2.27% | |
| 58. | 2025/11/30 | $226.78 | 5.29% | 6,849.09 | 0.13% | |
| 59. | 2025/12/31 | $228.92 | $0.32 | 1.08% | 6,845.50 | -0.05% |
| 平均 (R): | 0.23% | 1.14% | ||||
| 標準偏差： | 7.16% | 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におけるDHR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
Danaher Corp.、分散の計算、および戻り値の共分散
| t | 日付 | RDHR,t | RS&P 500,t | (RDHR,t–RDHR)2 | (RS&P 500,t–RS&P 500)2 | (RDHR,t–RDHR)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021/02/28 | -7.64% | 2.61% | 61.93 | 2.17 | -11.59 |
| 2. | 2021/03/31 | 2.56% | 4.24% | 5.42 | 9.66 | 7.24 |
| 3. | 2021/04/30 | 12.82% | 5.24% | 158.56 | 16.86 | 51.71 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025/11/30 | 5.29% | 0.13% | 25.63 | 1.01 | -5.09 |
| 59. | 2025/12/31 | 1.08% | -0.05% | 0.73 | 1.41 | -1.02 |
| トータル (Σ): | 2,973.90 | 1,108.23 | 1,056.43 | |||
| t | 日付 | RDHR,t | RS&P 500,t | (RDHR,t–RDHR)2 | (RS&P 500,t–RS&P 500)2 | (RDHR,t–RDHR)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021/02/28 | -7.64% | 2.61% | 61.93 | 2.17 | -11.59 |
| 2. | 2021/03/31 | 2.56% | 4.24% | 5.42 | 9.66 | 7.24 |
| 3. | 2021/04/30 | 12.82% | 5.24% | 158.56 | 16.86 | 51.71 |
| 4. | 2021/05/31 | 0.87% | 0.55% | 0.40 | 0.35 | -0.37 |
| 5. | 2021/06/30 | 4.85% | 2.22% | 21.37 | 1.18 | 5.02 |
| 6. | 2021/07/31 | 10.85% | 2.27% | 112.89 | 1.30 | 12.10 |
| 7. | 2021/08/31 | 8.97% | 2.90% | 76.30 | 3.11 | 15.40 |
| 8. | 2021/09/30 | -6.02% | -4.76% | 39.04 | 34.73 | 36.82 |
| 9. | 2021/10/31 | 2.41% | 6.91% | 4.74 | 33.39 | 12.58 |
| 10. | 2021/11/30 | 3.17% | -0.83% | 8.62 | 3.88 | -5.78 |
| 11. | 2021/12/31 | 2.36% | 4.36% | 4.52 | 10.40 | 6.86 |
| 12. | 2022/01/31 | -13.14% | -5.26% | 178.66 | 40.89 | 85.47 |
| 13. | 2022/02/28 | -3.98% | -3.14% | 17.74 | 18.25 | 17.99 |
| 14. | 2022/03/31 | 6.99% | 3.58% | 45.64 | 5.96 | 16.49 |
| 15. | 2022/04/30 | -14.39% | -8.80% | 213.64 | 98.64 | 145.17 |
| 16. | 2022/05/31 | 5.05% | 0.01% | 23.26 | 1.28 | -5.45 |
| 17. | 2022/06/30 | -3.81% | -8.39% | 16.32 | 90.79 | 38.49 |
| 18. | 2022/07/31 | 14.97% | 9.11% | 217.25 | 63.61 | 117.55 |
| 19. | 2022/08/31 | -7.40% | -4.24% | 58.17 | 28.95 | 41.03 |
| 20. | 2022/09/30 | -4.21% | -9.34% | 19.74 | 109.74 | 46.54 |
| 21. | 2022/10/31 | -2.56% | 7.99% | 7.80 | 46.93 | -19.13 |
| 22. | 2022/11/30 | 8.64% | 5.38% | 70.70 | 17.97 | 35.64 |
| 23. | 2022/12/31 | -2.83% | -5.90% | 9.37 | 49.47 | 21.53 |
| 24. | 2023/01/31 | -0.39% | 6.18% | 0.39 | 25.39 | -3.13 |
| 25. | 2023/02/28 | -6.37% | -2.61% | 43.60 | 14.04 | 24.75 |
| 26. | 2023/03/31 | 1.93% | 3.51% | 2.89 | 5.61 | 4.03 |
| 27. | 2023/04/30 | -6.00% | 1.46% | 38.85 | 0.11 | -2.05 |
| 28. | 2023/05/31 | -3.08% | 0.25% | 10.94 | 0.79 | 2.94 |
| 29. | 2023/06/30 | 4.64% | 4.71% | 19.43 | 12.80 | 15.77 |
| 30. | 2023/07/31 | 6.28% | 4.85% | 36.54 | 13.76 | 22.43 |
| 31. | 2023/08/31 | 3.90% | -1.77% | 13.45 | 8.46 | -10.66 |
| 32. | 2023/09/30 | -6.38% | -4.87% | 43.66 | 36.10 | 39.70 |
| 33. | 2023/10/31 | -22.49% | -2.20% | 516.42 | 11.12 | 75.77 |
| 34. | 2023/11/30 | 16.30% | 8.92% | 258.09 | 60.56 | 125.02 |
| 35. | 2023/12/31 | 3.70% | 4.42% | 12.06 | 10.80 | 11.42 |
| 36. | 2024/01/31 | 3.70% | 1.59% | 12.07 | 0.21 | 1.58 |
| 37. | 2024/02/29 | 5.51% | 5.17% | 27.93 | 16.29 | 21.33 |
| 38. | 2024/03/31 | -1.24% | 3.10% | 2.17 | 3.86 | -2.90 |
| 39. | 2024/04/30 | -1.24% | -4.16% | 2.16 | 28.06 | 7.79 |
| 40. | 2024/05/31 | 4.13% | 4.80% | 15.19 | 13.44 | 14.29 |
| 41. | 2024/06/30 | -2.60% | 3.47% | 8.02 | 5.43 | -6.60 |
| 42. | 2024/07/31 | 10.90% | 1.13% | 113.82 | 0.00 | -0.04 |
| 43. | 2024/08/31 | -2.80% | 2.28% | 9.21 | 1.32 | -3.48 |
| 44. | 2024/09/30 | 3.33% | 2.02% | 9.64 | 0.78 | 2.74 |
| 45. | 2024/10/31 | -11.64% | -0.99% | 140.88 | 4.52 | 25.23 |
| 46. | 2024/11/30 | -2.43% | 5.73% | 7.08 | 21.10 | -12.22 |
| 47. | 2024/12/31 | -4.12% | -2.50% | 18.90 | 13.21 | 15.80 |
| 48. | 2025/01/31 | -2.97% | 2.70% | 10.22 | 2.45 | -5.00 |
| 49. | 2025/02/28 | -6.73% | -1.42% | 48.38 | 6.56 | 17.81 |
| 50. | 2025/03/31 | -1.17% | -5.75% | 1.97 | 47.48 | 9.68 |
| 51. | 2025/04/30 | -2.77% | -0.76% | 8.97 | 3.60 | 5.69 |
| 52. | 2025/05/31 | -4.73% | 6.15% | 24.61 | 25.16 | -24.88 |
| 53. | 2025/06/30 | 4.19% | 4.96% | 15.70 | 14.63 | 15.15 |
| 54. | 2025/07/31 | -0.19% | 2.17% | 0.18 | 1.06 | -0.44 |
| 55. | 2025/08/31 | 4.39% | 1.91% | 17.33 | 0.59 | 3.21 |
| 56. | 2025/09/30 | -3.52% | 3.53% | 14.04 | 5.74 | -8.98 |
| 57. | 2025/10/31 | 8.64% | 2.27% | 70.65 | 1.28 | 9.52 |
| 58. | 2025/11/30 | 5.29% | 0.13% | 25.63 | 1.01 | -5.09 |
| 59. | 2025/12/31 | 1.08% | -0.05% | 0.73 | 1.41 | -1.02 |
| トータル (Σ): | 2,973.90 | 1,108.23 | 1,056.43 | |||
すべて表示
分散DHR = Σ(RDHR,t–RDHR)2 ÷ (59 – 1)
= 2,973.90 ÷ (59 – 1)
= 51.27
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DHR, S&P 500 = Σ(RDHR,t–RDHR)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,056.43 ÷ (59 – 1)
= 18.21
システマティックなリスク推定 (β)
| 分散DHR | 51.27 |
| 分散S&P 500 | 19.11 |
| 共 分散DHR, S&P 500 | 18.21 |
| 相関係数DHR, S&P 5001 | 0.58 |
| βDHR2 | 0.95 |
| αDHR3 | -0.85% |
計算
1 相関係数DHR, S&P 500
= 共 分散DHR, S&P 500 ÷ (標準偏差DHR × 標準偏差S&P 500)
= 18.21 ÷ (7.16% × 4.37%)
= 0.58
2 βDHR
= 共 分散DHR, S&P 500 ÷ 分散S&P 500
= 18.21 ÷ 19.11
= 0.95
3 αDHR
= 平均DHR – βDHR × 平均S&P 500
= 0.23% – 0.95 × 1.14%
= -0.85%
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) | 17.38% |
| 普通株式 Danaher システマティックリスク | βDHR | 0.95 |
| ダナハー普通株の期待収益率3 | E(RDHR) | 16.78% |
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(RDHR) = RF + βDHR [E(RM) – RF]
= 4.54% + 0.95 [17.38% – 4.54%]
= 16.78%