資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Devon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
Devon Energy Corp.、月間収益率
| Devon Energy Corp. (DVN) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格DVN,t1 | 配当DVN,t1 | RDVN,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2018/01/31 | $41.37 | 2,823.81 | ||||
| 1. | 2018/02/28 | $30.67 | -25.86% | 2,713.83 | -3.89% | |
| 2. | 2018/03/31 | $31.79 | $0.06 | 3.85% | 2,640.87 | -2.69% |
| 3. | 2018/04/30 | $36.33 | 14.28% | 2,648.05 | 0.27% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022/11/30 | $68.52 | -11.42% | 4,080.11 | 5.38% | |
| 59. | 2022/12/31 | $61.51 | $1.35 | -8.26% | 3,839.50 | -5.90% |
| 平均 (R): | 3.10% | 0.67% | ||||
| 標準偏差： | 20.44% | 5.40% | ||||
| Devon Energy Corp. (DVN) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格DVN,t1 | 配当DVN,t1 | RDVN,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2018/01/31 | $41.37 | 2,823.81 | ||||
| 1. | 2018/02/28 | $30.67 | -25.86% | 2,713.83 | -3.89% | |
| 2. | 2018/03/31 | $31.79 | $0.06 | 3.85% | 2,640.87 | -2.69% |
| 3. | 2018/04/30 | $36.33 | 14.28% | 2,648.05 | 0.27% | |
| 4. | 2018/05/31 | $41.57 | 14.42% | 2,705.27 | 2.16% | |
| 5. | 2018/06/30 | $43.96 | $0.08 | 5.94% | 2,718.37 | 0.48% |
| 6. | 2018/07/31 | $45.01 | 2.39% | 2,816.29 | 3.60% | |
| 7. | 2018/08/31 | $42.93 | -4.62% | 2,901.52 | 3.03% | |
| 8. | 2018/09/30 | $39.94 | $0.08 | -6.78% | 2,913.98 | 0.43% |
| 9. | 2018/10/31 | $32.40 | -18.88% | 2,711.74 | -6.94% | |
| 10. | 2018/11/30 | $27.03 | -16.57% | 2,760.17 | 1.79% | |
| 11. | 2018/12/31 | $22.54 | $0.08 | -16.32% | 2,506.85 | -9.18% |
| 12. | 2019/01/31 | $26.65 | 18.23% | 2,704.10 | 7.87% | |
| 13. | 2019/02/28 | $29.51 | 10.73% | 2,784.49 | 2.97% | |
| 14. | 2019/03/31 | $31.56 | $0.08 | 7.22% | 2,834.40 | 1.79% |
| 15. | 2019/04/30 | $32.14 | 1.84% | 2,945.83 | 3.93% | |
| 16. | 2019/05/31 | $25.16 | -21.72% | 2,752.06 | -6.58% | |
| 17. | 2019/06/30 | $28.52 | $0.09 | 13.71% | 2,941.76 | 6.89% |
| 18. | 2019/07/31 | $27.00 | -5.33% | 2,980.38 | 1.31% | |
| 19. | 2019/08/31 | $21.99 | -18.56% | 2,926.46 | -1.81% | |
| 20. | 2019/09/30 | $24.06 | $0.09 | 9.82% | 2,976.74 | 1.72% |
| 21. | 2019/10/31 | $20.28 | -15.71% | 3,037.56 | 2.04% | |
| 22. | 2019/11/30 | $21.89 | 7.94% | 3,140.98 | 3.40% | |
| 23. | 2019/12/31 | $25.97 | $0.09 | 19.05% | 3,230.78 | 2.86% |
| 24. | 2020/01/31 | $21.72 | -16.37% | 3,225.52 | -0.16% | |
| 25. | 2020/02/29 | $16.24 | -25.23% | 2,954.22 | -8.41% | |
| 26. | 2020/03/31 | $6.91 | $0.09 | -56.90% | 2,584.59 | -12.51% |
| 27. | 2020/04/30 | $12.47 | 80.46% | 2,912.43 | 12.68% | |
| 28. | 2020/05/31 | $10.81 | -13.31% | 3,044.31 | 4.53% | |
| 29. | 2020/06/30 | $11.34 | $0.11 | 5.92% | 3,100.29 | 1.84% |
| 30. | 2020/07/31 | $10.49 | -7.50% | 3,271.12 | 5.51% | |
| 31. | 2020/08/31 | $10.87 | $0.26 | 6.10% | 3,500.31 | 7.01% |
| 32. | 2020/09/30 | $9.46 | $0.11 | -11.96% | 3,363.00 | -3.92% |
| 33. | 2020/10/31 | $8.93 | -5.60% | 3,269.96 | -2.77% | |
| 34. | 2020/11/30 | $13.99 | 56.66% | 3,621.63 | 10.75% | |
| 35. | 2020/12/31 | $15.81 | $0.11 | 13.80% | 3,756.07 | 3.71% |
| 36. | 2021/01/31 | $16.46 | 4.11% | 3,714.24 | -1.11% | |
| 37. | 2021/02/28 | $21.54 | 30.86% | 3,811.15 | 2.61% | |
| 38. | 2021/03/31 | $21.85 | $0.30 | 2.83% | 3,972.89 | 4.24% |
| 39. | 2021/04/30 | $23.38 | 7.00% | 4,181.17 | 5.24% | |
| 40. | 2021/05/31 | $26.56 | 13.60% | 4,204.11 | 0.55% | |
| 41. | 2021/06/30 | $29.19 | $0.34 | 11.18% | 4,297.50 | 2.22% |
| 42. | 2021/07/31 | $25.84 | -11.48% | 4,395.26 | 2.27% | |
| 43. | 2021/08/31 | $29.55 | 14.36% | 4,522.68 | 2.90% | |
| 44. | 2021/09/30 | $35.51 | $0.49 | 21.83% | 4,307.54 | -4.76% |
| 45. | 2021/10/31 | $40.08 | 12.87% | 4,605.38 | 6.91% | |
| 46. | 2021/11/30 | $42.06 | 4.94% | 4,567.00 | -0.83% | |
| 47. | 2021/12/31 | $44.05 | $0.84 | 6.73% | 4,766.18 | 4.36% |
| 48. | 2022/01/31 | $50.57 | 14.80% | 4,515.55 | -5.26% | |
| 49. | 2022/02/28 | $59.55 | 17.76% | 4,373.94 | -3.14% | |
| 50. | 2022/03/31 | $59.13 | $1.00 | 0.97% | 4,530.41 | 3.58% |
| 51. | 2022/04/30 | $58.17 | -1.62% | 4,131.93 | -8.80% | |
| 52. | 2022/05/31 | $74.90 | 28.76% | 4,132.15 | 0.01% | |
| 53. | 2022/06/30 | $55.11 | $1.27 | -24.73% | 3,785.38 | -8.39% |
| 54. | 2022/07/31 | $62.85 | 14.04% | 4,130.29 | 9.11% | |
| 55. | 2022/08/31 | $70.62 | 12.36% | 3,955.00 | -4.24% | |
| 56. | 2022/09/30 | $60.13 | $1.55 | -12.66% | 3,585.62 | -9.34% |
| 57. | 2022/10/31 | $77.35 | 28.64% | 3,871.98 | 7.99% | |
| 58. | 2022/11/30 | $68.52 | -11.42% | 4,080.11 | 5.38% | |
| 59. | 2022/12/31 | $61.51 | $1.35 | -8.26% | 3,839.50 | -5.90% |
| 平均 (R): | 3.10% | 0.67% | ||||
| 標準偏差： | 20.44% | 5.40% | ||||
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DVN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
Devon Energy Corp.、分散の計算、および戻り値の共分散
| t | 日付 | RDVN,t | RS&P 500,t | (RDVN,t–RDVN)2 | (RS&P 500,t–RS&P 500)2 | (RDVN,t–RDVN)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018/02/28 | -25.86% | -3.89% | 838.68 | 20.81 | 132.10 |
| 2. | 2018/03/31 | 3.85% | -2.69% | 0.56 | 11.26 | -2.52 |
| 3. | 2018/04/30 | 14.28% | 0.27% | 125.11 | 0.16 | -4.42 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022/11/30 | -11.42% | 5.38% | 210.58 | 22.17 | -68.33 |
| 59. | 2022/12/31 | -8.26% | -5.90% | 128.96 | 43.08 | 74.54 |
| トータル (Σ): | 24,229.28 | 1,691.48 | 4,082.20 | |||
| t | 日付 | RDVN,t | RS&P 500,t | (RDVN,t–RDVN)2 | (RS&P 500,t–RS&P 500)2 | (RDVN,t–RDVN)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018/02/28 | -25.86% | -3.89% | 838.68 | 20.81 | 132.10 |
| 2. | 2018/03/31 | 3.85% | -2.69% | 0.56 | 11.26 | -2.52 |
| 3. | 2018/04/30 | 14.28% | 0.27% | 125.11 | 0.16 | -4.42 |
| 4. | 2018/05/31 | 14.42% | 2.16% | 128.31 | 2.23 | 16.93 |
| 5. | 2018/06/30 | 5.94% | 0.48% | 8.10 | 0.03 | -0.52 |
| 6. | 2018/07/31 | 2.39% | 3.60% | 0.50 | 8.62 | -2.08 |
| 7. | 2018/08/31 | -4.62% | 3.03% | 59.55 | 5.57 | -18.21 |
| 8. | 2018/09/30 | -6.78% | 0.43% | 97.50 | 0.06 | 2.34 |
| 9. | 2018/10/31 | -18.88% | -6.94% | 482.87 | 57.87 | 167.16 |
| 10. | 2018/11/30 | -16.57% | 1.79% | 386.91 | 1.25 | -22.02 |
| 11. | 2018/12/31 | -16.32% | -9.18% | 376.79 | 96.91 | 191.09 |
| 12. | 2019/01/31 | 18.23% | 7.87% | 229.17 | 51.87 | 109.02 |
| 13. | 2019/02/28 | 10.73% | 2.97% | 58.31 | 5.32 | 17.61 |
| 14. | 2019/03/31 | 7.22% | 1.79% | 16.99 | 1.27 | 4.64 |
| 15. | 2019/04/30 | 1.84% | 3.93% | 1.58 | 10.66 | -4.11 |
| 16. | 2019/05/31 | -21.72% | -6.58% | 615.70 | 52.48 | 179.76 |
| 17. | 2019/06/30 | 13.71% | 6.89% | 112.71 | 38.77 | 66.10 |
| 18. | 2019/07/31 | -5.33% | 1.31% | 70.99 | 0.42 | -5.44 |
| 19. | 2019/08/31 | -18.56% | -1.81% | 468.78 | 6.13 | 53.60 |
| 20. | 2019/09/30 | 9.82% | 1.72% | 45.25 | 1.11 | 7.07 |
| 21. | 2019/10/31 | -15.71% | 2.04% | 353.69 | 1.89 | -25.89 |
| 22. | 2019/11/30 | 7.94% | 3.40% | 23.45 | 7.50 | 13.26 |
| 23. | 2019/12/31 | 19.05% | 2.86% | 254.53 | 4.81 | 34.98 |
| 24. | 2020/01/31 | -16.37% | -0.16% | 378.73 | 0.69 | 16.14 |
| 25. | 2020/02/29 | -25.23% | -8.41% | 802.37 | 82.40 | 257.14 |
| 26. | 2020/03/31 | -56.90% | -12.51% | 3,599.09 | 173.67 | 790.61 |
| 27. | 2020/04/30 | 80.46% | 12.68% | 5,985.69 | 144.43 | 929.78 |
| 28. | 2020/05/31 | -13.31% | 4.53% | 269.22 | 14.91 | -63.36 |
| 29. | 2020/06/30 | 5.92% | 1.84% | 7.98 | 1.37 | 3.31 |
| 30. | 2020/07/31 | -7.50% | 5.51% | 112.18 | 23.46 | -51.30 |
| 31. | 2020/08/31 | 6.10% | 7.01% | 9.03 | 40.19 | 19.05 |
| 32. | 2020/09/30 | -11.96% | -3.92% | 226.66 | 21.06 | 69.10 |
| 33. | 2020/10/31 | -5.60% | -2.77% | 75.66 | 11.79 | 29.86 |
| 34. | 2020/11/30 | 56.66% | 10.75% | 2,869.43 | 101.77 | 540.38 |
| 35. | 2020/12/31 | 13.80% | 3.71% | 114.48 | 9.28 | 32.59 |
| 36. | 2021/01/31 | 4.11% | -1.11% | 1.03 | 3.17 | -1.81 |
| 37. | 2021/02/28 | 30.86% | 2.61% | 771.00 | 3.77 | 53.94 |
| 38. | 2021/03/31 | 2.83% | 4.24% | 0.07 | 12.80 | -0.94 |
| 39. | 2021/04/30 | 7.00% | 5.24% | 15.26 | 20.94 | 17.88 |
| 40. | 2021/05/31 | 13.60% | 0.55% | 110.37 | 0.01 | -1.24 |
| 41. | 2021/06/30 | 11.18% | 2.22% | 65.39 | 2.42 | 12.57 |
| 42. | 2021/07/31 | -11.48% | 2.27% | 212.36 | 2.59 | -23.43 |
| 43. | 2021/08/31 | 14.36% | 2.90% | 126.83 | 4.98 | 25.14 |
| 44. | 2021/09/30 | 21.83% | -4.76% | 350.87 | 29.42 | -101.59 |
| 45. | 2021/10/31 | 12.87% | 6.91% | 95.53 | 39.03 | 61.06 |
| 46. | 2021/11/30 | 4.94% | -0.83% | 3.40 | 2.25 | -2.77 |
| 47. | 2021/12/31 | 6.73% | 4.36% | 13.20 | 13.65 | 13.42 |
| 48. | 2022/01/31 | 14.80% | -5.26% | 137.02 | 35.11 | -69.36 |
| 49. | 2022/02/28 | 17.76% | -3.14% | 214.97 | 14.46 | -55.75 |
| 50. | 2022/03/31 | 0.97% | 3.58% | 4.50 | 8.47 | -6.18 |
| 51. | 2022/04/30 | -1.62% | -8.80% | 22.27 | 89.54 | 44.66 |
| 52. | 2022/05/31 | 28.76% | 0.01% | 658.67 | 0.44 | -16.97 |
| 53. | 2022/06/30 | -24.73% | -8.39% | 774.07 | 82.06 | 252.03 |
| 54. | 2022/07/31 | 14.04% | 9.11% | 119.88 | 71.32 | 92.46 |
| 55. | 2022/08/31 | 12.36% | -4.24% | 85.88 | 24.11 | -45.51 |
| 56. | 2022/09/30 | -12.66% | -9.34% | 248.23 | 100.12 | 157.65 |
| 57. | 2022/10/31 | 28.64% | 7.99% | 652.40 | 53.58 | 186.96 |
| 58. | 2022/11/30 | -11.42% | 5.38% | 210.58 | 22.17 | -68.33 |
| 59. | 2022/12/31 | -8.26% | -5.90% | 128.96 | 43.08 | 74.54 |
| トータル (Σ): | 24,229.28 | 1,691.48 | 4,082.20 | |||
すべて表示
分散DVN = Σ(RDVN,t–RDVN)2 ÷ (59 – 1)
= 24,229.28 ÷ (59 – 1)
= 417.75
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16
共 分散DVN, S&P 500 = Σ(RDVN,t–RDVN)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 4,082.20 ÷ (59 – 1)
= 70.38
システマティックなリスク推定 (β)
| 分散DVN | 417.75 |
| 分散S&P 500 | 29.16 |
| 共 分散DVN, S&P 500 | 70.38 |
| 相関係数DVN, S&P 5001 | 0.64 |
| βDVN2 | 2.41 |
| αDVN3 | 1.49% |
計算
1 相関係数DVN, S&P 500
= 共 分散DVN, S&P 500 ÷ (標準偏差DVN × 標準偏差S&P 500)
= 70.38 ÷ (20.44% × 5.40%)
= 0.64
2 βDVN
= 共 分散DVN, S&P 500 ÷ 分散S&P 500
= 70.38 ÷ 29.16
= 2.41
3 αDVN
= 平均DVN – βDVN × 平均S&P 500
= 3.10% – 2.41 × 0.67%
= 1.49%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.91% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.84% |
| 普通株式 Devon システマティックリスク | βDVN | 2.41 |
| デボン普通株の期待収益率3 | E(RDVN) | 28.87% |
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(RDVN) = RF + βDVN [E(RM) – RF]
= 4.91% + 2.41 [14.84% – 4.91%]
= 28.87%