資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、普通株式 EQT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
EQT Corp.、月間収益率
| EQT Corp. (EQT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格EQT,t1 | 配当EQT,t1 | REQT,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2017/01/31 | $60.63 | 2,278.87 | ||||
| 1. | 2017/02/28 | $59.89 | $0.03 | -1.17% | 2,363.64 | 3.72% |
| 2. | 2017/03/31 | $61.10 | 2.02% | 2,362.72 | -0.04% | |
| 3. | 2017/04/30 | $58.14 | -4.84% | 2,384.20 | 0.91% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2021/11/30 | $19.43 | -2.41% | 4,567.00 | -0.83% | |
| 59. | 2021/12/31 | $21.81 | 12.25% | 4,766.18 | 4.36% | |
| 平均 (R): | 0.82% | 1.36% | ||||
| 標準偏差： | 18.95% | 4.48% | ||||
| EQT Corp. (EQT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格EQT,t1 | 配当EQT,t1 | REQT,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2017/01/31 | $60.63 | 2,278.87 | ||||
| 1. | 2017/02/28 | $59.89 | $0.03 | -1.17% | 2,363.64 | 3.72% |
| 2. | 2017/03/31 | $61.10 | 2.02% | 2,362.72 | -0.04% | |
| 3. | 2017/04/30 | $58.14 | -4.84% | 2,384.20 | 0.91% | |
| 4. | 2017/05/31 | $55.27 | $0.03 | -4.88% | 2,411.80 | 1.16% |
| 5. | 2017/06/30 | $58.59 | 6.01% | 2,423.41 | 0.48% | |
| 6. | 2017/07/31 | $63.70 | 8.72% | 2,470.30 | 1.93% | |
| 7. | 2017/08/31 | $62.34 | $0.03 | -2.09% | 2,471.65 | 0.05% |
| 8. | 2017/09/30 | $65.24 | 4.65% | 2,519.36 | 1.93% | |
| 9. | 2017/10/31 | $62.54 | -4.14% | 2,575.26 | 2.22% | |
| 10. | 2017/11/30 | $59.60 | $0.03 | -4.65% | 2,647.58 | 2.81% |
| 11. | 2017/12/31 | $56.92 | -4.50% | 2,673.61 | 0.98% | |
| 12. | 2018/01/31 | $54.29 | -4.62% | 2,823.81 | 5.62% | |
| 13. | 2018/02/28 | $50.31 | $0.03 | -7.28% | 2,713.83 | -3.89% |
| 14. | 2018/03/31 | $47.51 | -5.57% | 2,640.87 | -2.69% | |
| 15. | 2018/04/30 | $50.19 | 5.64% | 2,648.05 | 0.27% | |
| 16. | 2018/05/31 | $51.54 | $0.03 | 2.75% | 2,705.27 | 2.16% |
| 17. | 2018/06/30 | $55.18 | 7.06% | 2,718.37 | 0.48% | |
| 18. | 2018/07/31 | $49.68 | -9.97% | 2,816.29 | 3.60% | |
| 19. | 2018/08/31 | $51.02 | $0.03 | 2.76% | 2,901.52 | 3.03% |
| 20. | 2018/09/30 | $44.23 | -13.31% | 2,913.98 | 0.43% | |
| 21. | 2018/10/31 | $33.97 | -23.20% | 2,711.74 | -6.94% | |
| 22. | 2018/11/30 | $18.71 | $15.91 | 1.91% | 2,760.17 | 1.79% |
| 23. | 2018/12/31 | $18.89 | 0.96% | 2,506.85 | -9.18% | |
| 24. | 2019/01/31 | $19.47 | 3.07% | 2,704.10 | 7.87% | |
| 25. | 2019/02/28 | $18.12 | $0.03 | -6.78% | 2,784.49 | 2.97% |
| 26. | 2019/03/31 | $20.74 | 14.46% | 2,834.40 | 1.79% | |
| 27. | 2019/04/30 | $20.45 | -1.40% | 2,945.83 | 3.93% | |
| 28. | 2019/05/31 | $18.30 | $0.03 | -10.37% | 2,752.06 | -6.58% |
| 29. | 2019/06/30 | $15.81 | -13.61% | 2,941.76 | 6.89% | |
| 30. | 2019/07/31 | $15.11 | -4.43% | 2,980.38 | 1.31% | |
| 31. | 2019/08/31 | $10.17 | $0.03 | -32.50% | 2,926.46 | -1.81% |
| 32. | 2019/09/30 | $10.64 | 4.62% | 2,976.74 | 1.72% | |
| 33. | 2019/10/31 | $10.74 | 0.94% | 3,037.56 | 2.04% | |
| 34. | 2019/11/30 | $8.73 | $0.03 | -18.44% | 3,140.98 | 3.40% |
| 35. | 2019/12/31 | $10.90 | 24.86% | 3,230.78 | 2.86% | |
| 36. | 2020/01/31 | $6.05 | -44.50% | 3,225.52 | -0.16% | |
| 37. | 2020/02/29 | $5.87 | $0.03 | -2.48% | 2,954.22 | -8.41% |
| 38. | 2020/03/31 | $7.07 | 20.44% | 2,584.59 | -12.51% | |
| 39. | 2020/04/30 | $14.59 | 106.36% | 2,912.43 | 12.68% | |
| 40. | 2020/05/31 | $13.34 | -8.57% | 3,044.31 | 4.53% | |
| 41. | 2020/06/30 | $11.90 | -10.79% | 3,100.29 | 1.84% | |
| 42. | 2020/07/31 | $14.52 | 22.02% | 3,271.12 | 5.51% | |
| 43. | 2020/08/31 | $15.87 | 9.30% | 3,500.31 | 7.01% | |
| 44. | 2020/09/30 | $12.93 | -18.53% | 3,363.00 | -3.92% | |
| 45. | 2020/10/31 | $15.14 | 17.09% | 3,269.96 | -2.77% | |
| 46. | 2020/11/30 | $14.88 | -1.72% | 3,621.63 | 10.75% | |
| 47. | 2020/12/31 | $12.71 | -14.58% | 3,756.07 | 3.71% | |
| 48. | 2021/01/31 | $16.31 | 28.32% | 3,714.24 | -1.11% | |
| 49. | 2021/02/28 | $17.79 | 9.07% | 3,811.15 | 2.61% | |
| 50. | 2021/03/31 | $18.58 | 4.44% | 3,972.89 | 4.24% | |
| 51. | 2021/04/30 | $19.10 | 2.80% | 4,181.17 | 5.24% | |
| 52. | 2021/05/31 | $20.88 | 9.32% | 4,204.11 | 0.55% | |
| 53. | 2021/06/30 | $22.26 | 6.61% | 4,297.50 | 2.22% | |
| 54. | 2021/07/31 | $18.39 | -17.39% | 4,395.26 | 2.27% | |
| 55. | 2021/08/31 | $18.33 | -0.33% | 4,522.68 | 2.90% | |
| 56. | 2021/09/30 | $20.46 | 11.62% | 4,307.54 | -4.76% | |
| 57. | 2021/10/31 | $19.91 | -2.69% | 4,605.38 | 6.91% | |
| 58. | 2021/11/30 | $19.43 | -2.41% | 4,567.00 | -0.83% | |
| 59. | 2021/12/31 | $21.81 | 12.25% | 4,766.18 | 4.36% | |
| 平均 (R): | 0.82% | 1.36% | ||||
| 標準偏差： | 18.95% | 4.48% | ||||
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EQT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
EQT Corp.、分散の計算、および戻り値の共分散
| t | 日付 | REQT,t | RS&P 500,t | (REQT,t–REQT)2 | (RS&P 500,t–RS&P 500)2 | (REQT,t–REQT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017/02/28 | -1.17% | 3.72% | 3.96 | 5.58 | -4.70 |
| 2. | 2017/03/31 | 2.02% | -0.04% | 1.44 | 1.95 | -1.68 |
| 3. | 2017/04/30 | -4.84% | 0.91% | 32.09 | 0.20 | 2.54 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2021/11/30 | -2.41% | -0.83% | 10.44 | 4.80 | 7.08 |
| 59. | 2021/12/31 | 12.25% | 4.36% | 130.62 | 9.02 | 34.33 |
| トータル (Σ): | 20,818.66 | 1,164.17 | 1,330.87 | |||
| t | 日付 | REQT,t | RS&P 500,t | (REQT,t–REQT)2 | (RS&P 500,t–RS&P 500)2 | (REQT,t–REQT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017/02/28 | -1.17% | 3.72% | 3.96 | 5.58 | -4.70 |
| 2. | 2017/03/31 | 2.02% | -0.04% | 1.44 | 1.95 | -1.68 |
| 3. | 2017/04/30 | -4.84% | 0.91% | 32.09 | 0.20 | 2.54 |
| 4. | 2017/05/31 | -4.88% | 1.16% | 32.55 | 0.04 | 1.14 |
| 5. | 2017/06/30 | 6.01% | 0.48% | 26.90 | 0.77 | -4.55 |
| 6. | 2017/07/31 | 8.72% | 1.93% | 62.43 | 0.33 | 4.56 |
| 7. | 2017/08/31 | -2.09% | 0.05% | 8.46 | 1.70 | 3.79 |
| 8. | 2017/09/30 | 4.65% | 1.93% | 14.68 | 0.33 | 2.19 |
| 9. | 2017/10/31 | -4.14% | 2.22% | 24.59 | 0.74 | -4.27 |
| 10. | 2017/11/30 | -4.65% | 2.81% | 29.96 | 2.10 | -7.94 |
| 11. | 2017/12/31 | -4.50% | 0.98% | 28.27 | 0.14 | 1.99 |
| 12. | 2018/01/31 | -4.62% | 5.62% | 29.60 | 18.15 | -23.18 |
| 13. | 2018/02/28 | -7.28% | -3.89% | 65.54 | 27.59 | 42.52 |
| 14. | 2018/03/31 | -5.57% | -2.69% | 40.78 | 16.37 | 25.84 |
| 15. | 2018/04/30 | 5.64% | 0.27% | 23.24 | 1.18 | -5.24 |
| 16. | 2018/05/31 | 2.75% | 2.16% | 3.72 | 0.64 | 1.55 |
| 17. | 2018/06/30 | 7.06% | 0.48% | 38.97 | 0.76 | -5.45 |
| 18. | 2018/07/31 | -9.97% | 3.60% | 116.37 | 5.04 | -24.21 |
| 19. | 2018/08/31 | 2.76% | 3.03% | 3.75 | 2.78 | 3.23 |
| 20. | 2018/09/30 | -13.31% | 0.43% | 199.62 | 0.86 | 13.12 |
| 21. | 2018/10/31 | -23.20% | -6.94% | 576.82 | 68.86 | 199.30 |
| 22. | 2018/11/30 | 1.91% | 1.79% | 1.20 | 0.18 | 0.47 |
| 23. | 2018/12/31 | 0.96% | -9.18% | 0.02 | 111.00 | -1.49 |
| 24. | 2019/01/31 | 3.07% | 7.87% | 5.06 | 42.39 | 14.65 |
| 25. | 2019/02/28 | -6.78% | 2.97% | 57.76 | 2.61 | -12.27 |
| 26. | 2019/03/31 | 14.46% | 1.79% | 186.02 | 0.19 | 5.93 |
| 27. | 2019/04/30 | -1.40% | 3.93% | 4.92 | 6.62 | -5.71 |
| 28. | 2019/05/31 | -10.37% | -6.58% | 125.15 | 62.97 | 88.78 |
| 29. | 2019/06/30 | -13.61% | 6.89% | 208.13 | 30.64 | -79.85 |
| 30. | 2019/07/31 | -4.43% | 1.31% | 27.54 | 0.00 | 0.24 |
| 31. | 2019/08/31 | -32.50% | -1.81% | 1,109.90 | 10.03 | 105.51 |
| 32. | 2019/09/30 | 4.62% | 1.72% | 14.45 | 0.13 | 1.37 |
| 33. | 2019/10/31 | 0.94% | 2.04% | 0.01 | 0.47 | 0.08 |
| 34. | 2019/11/30 | -18.44% | 3.40% | 370.79 | 4.19 | -39.41 |
| 35. | 2019/12/31 | 24.86% | 2.86% | 577.76 | 2.25 | 36.08 |
| 36. | 2020/01/31 | -44.50% | -0.16% | 2,053.50 | 2.31 | 68.91 |
| 37. | 2020/02/29 | -2.48% | -8.41% | 10.89 | 95.43 | 32.23 |
| 38. | 2020/03/31 | 20.44% | -12.51% | 385.05 | 192.37 | -272.16 |
| 39. | 2020/04/30 | 106.36% | 12.68% | 11,139.69 | 128.29 | 1,195.45 |
| 40. | 2020/05/31 | -8.57% | 4.53% | 88.13 | 10.05 | -29.76 |
| 41. | 2020/06/30 | -10.79% | 1.84% | 134.90 | 0.23 | -5.59 |
| 42. | 2020/07/31 | 22.02% | 5.51% | 449.30 | 17.24 | 88.01 |
| 43. | 2020/08/31 | 9.30% | 7.01% | 71.87 | 31.91 | 47.88 |
| 44. | 2020/09/30 | -18.53% | -3.92% | 374.26 | 27.89 | 102.16 |
| 45. | 2020/10/31 | 17.09% | -2.77% | 264.77 | 17.01 | -67.11 |
| 46. | 2020/11/30 | -1.72% | 10.75% | 6.44 | 88.30 | -23.84 |
| 47. | 2020/12/31 | -14.58% | 3.71% | 237.27 | 5.54 | -36.26 |
| 48. | 2021/01/31 | 28.32% | -1.11% | 756.47 | 6.11 | -67.98 |
| 49. | 2021/02/28 | 9.07% | 2.61% | 68.13 | 1.57 | 10.33 |
| 50. | 2021/03/31 | 4.44% | 4.24% | 13.11 | 8.33 | 10.45 |
| 51. | 2021/04/30 | 2.80% | 5.24% | 3.91 | 15.09 | 7.69 |
| 52. | 2021/05/31 | 9.32% | 0.55% | 72.24 | 0.65 | -6.88 |
| 53. | 2021/06/30 | 6.61% | 2.22% | 33.51 | 0.75 | 5.00 |
| 54. | 2021/07/31 | -17.39% | 2.27% | 331.44 | 0.84 | -16.69 |
| 55. | 2021/08/31 | -0.33% | 2.90% | 1.31 | 2.38 | -1.77 |
| 56. | 2021/09/30 | 11.62% | -4.76% | 116.64 | 37.39 | -66.04 |
| 57. | 2021/10/31 | -2.69% | 6.91% | 12.31 | 30.87 | -19.49 |
| 58. | 2021/11/30 | -2.41% | -0.83% | 10.44 | 4.80 | 7.08 |
| 59. | 2021/12/31 | 12.25% | 4.36% | 130.62 | 9.02 | 34.33 |
| トータル (Σ): | 20,818.66 | 1,164.17 | 1,330.87 | |||
すべて表示
分散EQT = Σ(REQT,t–REQT)2 ÷ (59 – 1)
= 20,818.66 ÷ (59 – 1)
= 358.94
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,164.17 ÷ (59 – 1)
= 20.07
共 分散EQT, S&P 500 = Σ(REQT,t–REQT)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,330.87 ÷ (59 – 1)
= 22.95
システマティックなリスク推定 (β)
| 分散EQT | 358.94 |
| 分散S&P 500 | 20.07 |
| 共 分散EQT, S&P 500 | 22.95 |
| 相関係数EQT, S&P 5001 | 0.27 |
| βEQT2 | 1.14 |
| αEQT3 | -0.73% |
計算
1 相関係数EQT, S&P 500
= 共 分散EQT, S&P 500 ÷ (標準偏差EQT × 標準偏差S&P 500)
= 22.95 ÷ (18.95% × 4.48%)
= 0.27
2 βEQT
= 共 分散EQT, S&P 500 ÷ 分散S&P 500
= 22.95 ÷ 20.07
= 1.14
3 αEQT
= 平均EQT – βEQT × 平均S&P 500
= 0.82% – 1.14 × 1.36%
= -0.73%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.69% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 13.79% |
| 普通株式のシステマティックリスクEQT | βEQT | 1.14 |
| EQT普通株式の期待収益率3 | E(REQT) | 15.09% |
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(REQT) = RF + βEQT [E(RM) – RF]
= 4.69% + 1.14 [13.79% – 4.69%]
= 15.09%