Stock Analysis on Net
Microsoft Excel LibreOffice Calc

Estée Lauder Cos. Inc. (NYSE:EL)

資本資産価格モデル (CAPM)

中程度の難易度

資本資産価格設定モデル(CAPM)は、エスティローダーの普通株式のようなリスク資産の期待収益率または必要収益率を示します。


収益率

Estée Lauder Cos. Inc.、毎月の収益率

Microsoft Excel LibreOffice Calc
Estée Lauder Cos. Inc. (EL) Standard & Poor’s 500 (S&P 500)
t Date 価格EL,t1 配当EL,t1 REL,t2 価格S&P 500,t RS&P 500,t3
2014/07/31 $73.46 1,930.67
1. 2014/08/31 $76.83 $0.20 4.86% 2,003.37 3.77%
2. 2014/09/30 $74.72 -2.75% 1,972.29 -1.55%
3. 2014/10/31 $75.18 0.62% 2,018.05 2.32%
. . . . . . .
. . . . . . .
. . . . . . .
70. 2020/05/31 $197.47 11.94% 3,044.31 4.53%
71. 2020/06/30 $188.68 -4.45% 3,100.29 1.84%
平均 (R): 1.62% 0.75%
Standard deviation: 6.05% 4.04%

ソース: Estée Lauder Cos. Inc. (NYSE:EL) | CAPM (www.stock-analysis-on.net)

Estée Lauder Cos. Inc. (EL) Standard & Poor’s 500 (S&P 500)
t Date 価格EL,t1 配当EL,t1 REL,t2 価格S&P 500,t RS&P 500,t3
2014/07/31 $73.46 1,930.67
1. 2014/08/31 $76.83 $0.20 4.86% 2,003.37 3.77%
2. 2014/09/30 $74.72 -2.75% 1,972.29 -1.55%
3. 2014/10/31 $75.18 0.62% 2,018.05 2.32%
4. 2014/11/30 $74.14 $0.24 -1.06% 2,067.56 2.45%
5. 2014/12/31 $76.20 2.78% 2,058.90 -0.42%
6. 2015/01/31 $70.59 -7.36% 1,994.99 -3.10%
7. 2015/02/28 $82.67 $0.24 17.45% 2,104.50 5.49%
8. 2015/03/31 $83.16 0.59% 2,067.89 -1.74%
9. 2015/04/30 $81.29 -2.25% 2,085.51 0.85%
10. 2015/05/31 $87.43 $0.24 7.85% 2,107.39 1.05%
11. 2015/06/30 $86.66 -0.88% 2,063.11 -2.10%
12. 2015/07/31 $89.11 2.83% 2,103.84 1.97%
13. 2015/08/31 $79.77 $0.24 -10.21% 1,972.18 -6.26%
14. 2015/09/30 $80.68 1.14% 1,920.03 -2.64%
15. 2015/10/31 $80.46 -0.27% 2,079.36 8.30%
16. 2015/11/30 $84.12 $0.30 4.92% 2,080.41 0.05%
17. 2015/12/31 $88.06 4.68% 2,043.94 -1.75%
18. 2016/01/31 $85.25 -3.19% 1,940.24 -5.07%
19. 2016/02/29 $91.33 $0.30 7.48% 1,932.23 -0.41%
20. 2016/03/31 $94.31 3.26% 2,059.74 6.60%
21. 2016/04/30 $95.87 1.65% 2,065.30 0.27%
22. 2016/05/31 $91.78 $0.30 -3.95% 2,096.95 1.53%
23. 2016/06/30 $91.02 -0.83% 2,098.86 0.09%
24. 2016/07/31 $92.90 2.07% 2,173.60 3.56%
25. 2016/08/31 $89.23 $0.30 -3.63% 2,170.95 -0.12%
26. 2016/09/30 $88.56 -0.75% 2,168.27 -0.12%
27. 2016/10/31 $87.13 -1.61% 2,126.15 -1.94%
28. 2016/11/30 $77.70 $0.34 -10.43% 2,198.81 3.42%
29. 2016/12/31 $76.49 -1.56% 2,238.83 1.82%
30. 2017/01/31 $81.21 6.17% 2,278.87 1.79%
31. 2017/02/28 $82.85 $0.34 2.44% 2,363.64 3.72%
32. 2017/03/31 $84.79 2.34% 2,362.72 -0.04%
33. 2017/04/30 $87.14 2.77% 2,384.20 0.91%
34. 2017/05/31 $94.14 $0.34 8.42% 2,411.80 1.16%
35. 2017/06/30 $95.98 1.95% 2,423.41 0.48%
36. 2017/07/31 $98.99 3.14% 2,470.30 1.93%
37. 2017/08/31 $106.99 $0.34 8.43% 2,471.65 0.05%
38. 2017/09/30 $107.84 0.79% 2,519.36 1.93%
39. 2017/10/31 $111.81 3.68% 2,575.26 2.22%
40. 2017/11/30 $124.83 $0.38 11.98% 2,647.58 2.81%
41. 2017/12/31 $127.24 1.93% 2,673.61 0.98%
42. 2018/01/31 $134.96 6.07% 2,823.81 5.62%
43. 2018/02/28 $138.44 $0.38 2.86% 2,713.83 -3.89%
44. 2018/03/31 $149.72 8.15% 2,640.87 -2.69%
45. 2018/04/30 $148.09 -1.09% 2,648.05 0.27%
46. 2018/05/31 $149.44 $0.38 1.17% 2,705.27 2.16%
47. 2018/06/30 $142.69 -4.52% 2,718.37 0.48%
48. 2018/07/31 $134.94 -5.43% 2,816.29 3.60%
49. 2018/08/31 $140.12 $0.38 4.12% 2,901.52 3.03%
50. 2018/09/30 $145.32 3.71% 2,913.98 0.43%
51. 2018/10/31 $137.44 -5.42% 2,711.74 -6.94%
52. 2018/11/30 $142.66 $0.43 4.11% 2,760.17 1.79%
53. 2018/12/31 $130.10 -8.80% 2,506.85 -9.18%
54. 2019/01/31 $136.42 4.86% 2,704.10 7.87%
55. 2019/02/28 $156.94 $0.43 15.36% 2,784.49 2.97%
56. 2019/03/31 $165.55 5.49% 2,834.40 1.79%
57. 2019/04/30 $171.81 3.78% 2,945.83 3.93%
58. 2019/05/31 $161.03 $0.43 -6.02% 2,752.06 -6.58%
59. 2019/06/30 $183.11 13.71% 2,941.76 6.89%
60. 2019/07/31 $184.19 0.59% 2,980.38 1.31%
61. 2019/08/31 $197.99 $0.43 7.73% 2,926.46 -1.81%
62. 2019/09/30 $198.95 0.48% 2,976.74 1.72%
63. 2019/10/31 $186.27 -6.37% 3,037.56 2.04%
64. 2019/11/30 $195.47 $0.48 5.20% 3,140.98 3.40%
65. 2019/12/31 $206.54 5.66% 3,230.78 2.86%
66. 2020/01/31 $195.16 -5.51% 3,225.52 -0.16%
67. 2020/02/29 $183.60 $0.48 -5.68% 2,954.22 -8.41%
68. 2020/03/31 $159.34 -13.21% 2,584.59 -12.51%
69. 2020/04/30 $176.40 10.71% 2,912.43 12.68%
70. 2020/05/31 $197.47 11.94% 3,044.31 4.53%
71. 2020/06/30 $188.68 -4.45% 3,100.29 1.84%
平均 (R): 1.62% 0.75%
Standard deviation: 6.05% 4.04%

ソース: Estée Lauder Cos. Inc. (NYSE:EL) | CAPM (www.stock-analysis-on.net)

すべて表示する

1 分割および株式配当を調整した、1株当たりの米ドルでのデータ。

2 期間t中のELの普通株の収益率。

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

Estée Lauder Cos. Inc.、リターンの分散と共分散の計算

Microsoft Excel LibreOffice Calc
t Date REL,t RS&P 500,t (REL,tREL)2 (RS&P 500,tRS&P 500)2 (REL,tREL)×(RS&P 500,tRS&P 500)
1. 2014/08/31 4.86% 3.77% 10.53 9.09 9.78
2. 2014/09/30 -2.75% -1.55% 19.02 5.30 10.04
3. 2014/10/31 0.62% 2.32% 1.00 2.46 -1.57
. . . . . . .
. . . . . . .
. . . . . . .
70. 2020/05/31 11.94% 4.53% 106.69 14.27 39.02
71. 2020/06/30 -4.45% 1.84% 36.80 1.18 -6.60
合計 (Σ): 2,564.45 1,144.26 970.92
t Date REL,t RS&P 500,t (REL,tREL)2 (RS&P 500,tRS&P 500)2 (REL,tREL)×(RS&P 500,tRS&P 500)
1. 2014/08/31 4.86% 3.77% 10.53 9.09 9.78
2. 2014/09/30 -2.75% -1.55% 19.02 5.30 10.04
3. 2014/10/31 0.62% 2.32% 1.00 2.46 -1.57
4. 2014/11/30 -1.06% 2.45% 7.18 2.90 -4.56
5. 2014/12/31 2.78% -0.42% 1.35 1.37 -1.36
6. 2015/01/31 -7.36% -3.10% 80.59 14.86 34.61
7. 2015/02/28 17.45% 5.49% 250.83 22.45 75.05
8. 2015/03/31 0.59% -1.74% 1.05 6.20 2.55
9. 2015/04/30 -2.25% 0.85% 14.93 0.01 -0.39
10. 2015/05/31 7.85% 1.05% 38.85 0.09 1.86
11. 2015/06/30 -0.88% -2.10% 6.23 8.13 7.12
12. 2015/07/31 2.83% 1.97% 1.47 1.50 1.48
13. 2015/08/31 -10.21% -6.26% 139.88 49.12 82.89
14. 2015/09/30 1.14% -2.64% 0.23 11.53 1.61
15. 2015/10/31 -0.27% 8.30% 3.56 56.97 -14.25
16. 2015/11/30 4.92% 0.05% 10.93 0.49 -2.32
17. 2015/12/31 4.68% -1.75% 9.42 6.27 -7.68
18. 2016/01/31 -3.19% -5.07% 23.10 33.92 27.99
19. 2016/02/29 7.48% -0.41% 34.44 1.35 -6.83
20. 2016/03/31 3.26% 6.60% 2.72 34.20 9.64
21. 2016/04/30 1.65% 0.27% 0.00 0.23 -0.02
22. 2016/05/31 -3.95% 1.53% 31.01 0.61 -4.35
23. 2016/06/30 -0.83% 0.09% 5.97 0.44 1.61
24. 2016/07/31 2.07% 3.56% 0.20 7.90 1.27
25. 2016/08/31 -3.63% -0.12% 27.49 0.76 4.57
26. 2016/09/30 -0.75% -0.12% 5.60 0.76 2.07
27. 2016/10/31 -1.61% -1.94% 10.43 7.25 8.70
28. 2016/11/30 -10.43% 3.42% 145.15 7.11 -32.13
29. 2016/12/31 -1.56% 1.82% 10.06 1.14 -3.39
30. 2017/01/31 6.17% 1.79% 20.75 1.08 4.73
31. 2017/02/28 2.44% 3.72% 0.68 8.82 2.44
32. 2017/03/31 2.34% -0.04% 0.53 0.62 -0.57
33. 2017/04/30 2.77% 0.91% 1.34 0.03 0.18
34. 2017/05/31 8.42% 1.16% 46.35 0.17 2.77
35. 2017/06/30 1.95% 0.48% 0.12 0.07 -0.09
36. 2017/07/31 3.14% 1.93% 2.31 1.40 1.80
37. 2017/08/31 8.43% 0.05% 46.38 0.48 -4.74
38. 2017/09/30 0.79% 1.93% 0.67 1.39 -0.97
39. 2017/10/31 3.68% 2.22% 4.27 2.16 3.03
40. 2017/11/30 11.98% 2.81% 107.53 4.23 21.34
41. 2017/12/31 1.93% 0.98% 0.10 0.05 0.07
42. 2018/01/31 6.07% 5.62% 19.82 23.69 21.67
43. 2018/02/28 2.86% -3.89% 1.55 21.58 -5.78
44. 2018/03/31 8.15% -2.69% 42.68 11.83 -22.47
45. 2018/04/30 -1.09% 0.27% 7.31 0.23 1.29
46. 2018/05/31 1.17% 2.16% 0.20 1.99 -0.63
47. 2018/06/30 -4.52% 0.48% 37.60 0.07 1.63
48. 2018/07/31 -5.43% 3.60% 49.65 8.13 -20.09
49. 2018/08/31 4.12% 3.03% 6.28 5.18 5.70
50. 2018/09/30 3.71% 0.43% 4.39 0.10 -0.67
51. 2018/10/31 -5.42% -6.94% 49.53 59.15 54.13
52. 2018/11/30 4.11% 1.79% 6.23 1.07 2.58
53. 2018/12/31 -8.80% -9.18% 108.56 98.57 103.45
54. 2019/01/31 4.86% 7.87% 10.51 50.66 23.08
55. 2019/02/28 15.36% 2.97% 188.84 4.94 30.54
56. 2019/03/31 5.49% 1.79% 14.98 1.09 4.03
57. 2019/04/30 3.78% 3.93% 4.69 10.12 6.89
58. 2019/05/31 -6.02% -6.58% 58.36 53.71 55.98
59. 2019/06/30 13.71% 6.89% 146.33 37.73 74.30
60. 2019/07/31 0.59% 1.31% 1.05 0.32 -0.58
61. 2019/08/31 7.73% -1.81% 37.34 6.55 -15.64
62. 2019/09/30 0.48% 1.72% 1.28 0.94 -1.09
63. 2019/10/31 -6.37% 2.04% 63.82 1.67 -10.33
64. 2019/11/30 5.20% 3.40% 12.83 7.04 9.51
65. 2019/12/31 5.66% 2.86% 16.39 4.44 8.53
66. 2020/01/31 -5.51% -0.16% 50.77 0.83 6.51
67. 2020/02/29 -5.68% -8.41% 53.18 83.94 66.81
68. 2020/03/31 -13.21% -12.51% 219.89 175.90 196.67
69. 2020/04/30 10.71% 12.68% 82.66 142.41 108.50
70. 2020/05/31 11.94% 4.53% 106.69 14.27 39.02
71. 2020/06/30 -4.45% 1.84% 36.80 1.18 -6.60
合計 (Σ): 2,564.45 1,144.26 970.92

Show all

VarianceEL = Σ(REL,tREL)2 ÷ (71 – 1)
= 2,564.45 ÷ (71 – 1)
= 36.63

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,144.26 ÷ (71 – 1)
= 16.35

CovarianceEL, S&P 500 = Σ(REL,tREL)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 970.92 ÷ (71 – 1)
= 13.87


体系的なリスク推定 (β)

Microsoft Excel LibreOffice Calc
VarianceEL 36.63
VarianceS&P 500 16.35
CovarianceEL, S&P 500 13.87
相関係数EL, S&P 5001 0.57
βEL2 0.85
αEL3 0.98%

ソース: Estée Lauder Cos. Inc. (NYSE:EL) | CAPM (www.stock-analysis-on.net)

計算

1 相関係数EL, S&P 500
= CovarianceEL, S&P 500 ÷ (Standard deviationEL × Standard deviationS&P 500)
= 13.87 ÷ (6.05% × 4.04%)
= 0.57

2 βEL
= CovarianceEL, S&P 500 ÷ VarianceS&P 500
= 13.87 ÷ 16.35
= 0.85

3 αEL
= 平均EL – βEL × 平均S&P 500
= 1.62%0.85 × 0.75%
= 0.98%


期待収益率

Microsoft Excel LibreOffice Calc
仮定
LT Treasury Compositeの収益率1 RF 1.66%
市場ポートフォリオの期待収益率2 E(RM) 12.16%
エスティローダーの普通株式の体系的なリスク βEL 0.85
 
エスティローダーの普通株式の期待収益率3 E(REL) 10.57%

ソース: Estée Lauder Cos. Inc. (NYSE:EL) | CAPM (www.stock-analysis-on.net)

1 すべての未処理の固定クーポン米国財務省証券の10年未満で返済されない、または呼び出すことができない、加重されていない入札利回りの平均(リスクなしの収益率)。

2 詳細を見る »

3 E(REL) = RF + βEL [E(RM) – RF]
= 1.66% + 0.85 [12.16%1.66%]
= 10.57%