資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Estée Lauder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
Estée Lauder Cos. Inc.、月間収益率
| Estée Lauder Cos. Inc. (EL) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格EL,t1 | 配当EL,t1 | REL,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2017/07/31 | $98.99 | 2,470.30 | ||||
| 1. | 2017/08/31 | $106.99 | $0.34 | 8.43% | 2,471.65 | 0.05% |
| 2. | 2017/09/30 | $107.84 | 0.79% | 2,519.36 | 1.93% | |
| 3. | 2017/10/31 | $111.81 | 3.68% | 2,575.26 | 2.22% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023/05/31 | $184.03 | $0.66 | -25.14% | 4,179.83 | 0.25% |
| 71. | 2023/06/30 | $196.38 | 6.71% | 4,376.86 | 4.71% | |
| 平均 (R): | 1.41% | 0.94% | ||||
| 標準偏差： | 8.51% | 5.05% | ||||
| Estée Lauder Cos. Inc. (EL) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格EL,t1 | 配当EL,t1 | REL,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2017/07/31 | $98.99 | 2,470.30 | ||||
| 1. | 2017/08/31 | $106.99 | $0.34 | 8.43% | 2,471.65 | 0.05% |
| 2. | 2017/09/30 | $107.84 | 0.79% | 2,519.36 | 1.93% | |
| 3. | 2017/10/31 | $111.81 | 3.68% | 2,575.26 | 2.22% | |
| 4. | 2017/11/30 | $124.83 | $0.38 | 11.98% | 2,647.58 | 2.81% |
| 5. | 2017/12/31 | $127.24 | 1.93% | 2,673.61 | 0.98% | |
| 6. | 2018/01/31 | $134.96 | 6.07% | 2,823.81 | 5.62% | |
| 7. | 2018/02/28 | $138.44 | $0.38 | 2.86% | 2,713.83 | -3.89% |
| 8. | 2018/03/31 | $149.72 | 8.15% | 2,640.87 | -2.69% | |
| 9. | 2018/04/30 | $148.09 | -1.09% | 2,648.05 | 0.27% | |
| 10. | 2018/05/31 | $149.44 | $0.38 | 1.17% | 2,705.27 | 2.16% |
| 11. | 2018/06/30 | $142.69 | -4.52% | 2,718.37 | 0.48% | |
| 12. | 2018/07/31 | $134.94 | -5.43% | 2,816.29 | 3.60% | |
| 13. | 2018/08/31 | $140.12 | $0.38 | 4.12% | 2,901.52 | 3.03% |
| 14. | 2018/09/30 | $145.32 | 3.71% | 2,913.98 | 0.43% | |
| 15. | 2018/10/31 | $137.44 | -5.42% | 2,711.74 | -6.94% | |
| 16. | 2018/11/30 | $142.66 | $0.43 | 4.11% | 2,760.17 | 1.79% |
| 17. | 2018/12/31 | $130.10 | -8.80% | 2,506.85 | -9.18% | |
| 18. | 2019/01/31 | $136.42 | 4.86% | 2,704.10 | 7.87% | |
| 19. | 2019/02/28 | $156.94 | $0.43 | 15.36% | 2,784.49 | 2.97% |
| 20. | 2019/03/31 | $165.55 | 5.49% | 2,834.40 | 1.79% | |
| 21. | 2019/04/30 | $171.81 | 3.78% | 2,945.83 | 3.93% | |
| 22. | 2019/05/31 | $161.03 | $0.43 | -6.02% | 2,752.06 | -6.58% |
| 23. | 2019/06/30 | $183.11 | 13.71% | 2,941.76 | 6.89% | |
| 24. | 2019/07/31 | $184.19 | 0.59% | 2,980.38 | 1.31% | |
| 25. | 2019/08/31 | $197.99 | $0.43 | 7.73% | 2,926.46 | -1.81% |
| 26. | 2019/09/30 | $198.95 | 0.48% | 2,976.74 | 1.72% | |
| 27. | 2019/10/31 | $186.27 | -6.37% | 3,037.56 | 2.04% | |
| 28. | 2019/11/30 | $195.47 | $0.48 | 5.20% | 3,140.98 | 3.40% |
| 29. | 2019/12/31 | $206.54 | 5.66% | 3,230.78 | 2.86% | |
| 30. | 2020/01/31 | $195.16 | -5.51% | 3,225.52 | -0.16% | |
| 31. | 2020/02/29 | $183.60 | $0.48 | -5.68% | 2,954.22 | -8.41% |
| 32. | 2020/03/31 | $159.34 | -13.21% | 2,584.59 | -12.51% | |
| 33. | 2020/04/30 | $176.40 | 10.71% | 2,912.43 | 12.68% | |
| 34. | 2020/05/31 | $197.47 | 11.94% | 3,044.31 | 4.53% | |
| 35. | 2020/06/30 | $188.68 | -4.45% | 3,100.29 | 1.84% | |
| 36. | 2020/07/31 | $197.54 | 4.70% | 3,271.12 | 5.51% | |
| 37. | 2020/08/31 | $221.72 | $0.48 | 12.48% | 3,500.31 | 7.01% |
| 38. | 2020/09/30 | $218.25 | -1.57% | 3,363.00 | -3.92% | |
| 39. | 2020/10/31 | $219.66 | 0.65% | 3,269.96 | -2.77% | |
| 40. | 2020/11/30 | $245.32 | $0.53 | 11.92% | 3,621.63 | 10.75% |
| 41. | 2020/12/31 | $266.19 | 8.51% | 3,756.07 | 3.71% | |
| 42. | 2021/01/31 | $236.65 | -11.10% | 3,714.24 | -1.11% | |
| 43. | 2021/02/28 | $285.86 | $0.53 | 21.02% | 3,811.15 | 2.61% |
| 44. | 2021/03/31 | $290.85 | 1.75% | 3,972.89 | 4.24% | |
| 45. | 2021/04/30 | $313.80 | 7.89% | 4,181.17 | 5.24% | |
| 46. | 2021/05/31 | $306.52 | $0.53 | -2.15% | 4,204.11 | 0.55% |
| 47. | 2021/06/30 | $318.08 | 3.77% | 4,297.50 | 2.22% | |
| 48. | 2021/07/31 | $333.83 | 4.95% | 4,395.26 | 2.27% | |
| 49. | 2021/08/31 | $340.49 | $0.53 | 2.15% | 4,522.68 | 2.90% |
| 50. | 2021/09/30 | $299.93 | -11.91% | 4,307.54 | -4.76% | |
| 51. | 2021/10/31 | $324.33 | 8.14% | 4,605.38 | 6.91% | |
| 52. | 2021/11/30 | $332.07 | $0.60 | 2.57% | 4,567.00 | -0.83% |
| 53. | 2021/12/31 | $370.20 | 11.48% | 4,766.18 | 4.36% | |
| 54. | 2022/01/31 | $311.79 | -15.78% | 4,515.55 | -5.26% | |
| 55. | 2022/02/28 | $296.33 | $0.60 | -4.77% | 4,373.94 | -3.14% |
| 56. | 2022/03/31 | $272.32 | -8.10% | 4,530.41 | 3.58% | |
| 57. | 2022/04/30 | $264.06 | -3.03% | 4,131.93 | -8.80% | |
| 58. | 2022/05/31 | $254.65 | $0.60 | -3.34% | 4,132.15 | 0.01% |
| 59. | 2022/06/30 | $254.67 | 0.01% | 3,785.38 | -8.39% | |
| 60. | 2022/07/31 | $273.10 | 7.24% | 4,130.29 | 9.11% | |
| 61. | 2022/08/31 | $254.38 | $0.60 | -6.63% | 3,955.00 | -4.24% |
| 62. | 2022/09/30 | $215.90 | -15.13% | 3,585.62 | -9.34% | |
| 63. | 2022/10/31 | $200.49 | -7.14% | 3,871.98 | 7.99% | |
| 64. | 2022/11/30 | $235.79 | $0.66 | 17.94% | 4,080.11 | 5.38% |
| 65. | 2022/12/31 | $248.11 | 5.22% | 3,839.50 | -5.90% | |
| 66. | 2023/01/31 | $277.08 | 11.68% | 4,076.60 | 6.18% | |
| 67. | 2023/02/28 | $243.05 | $0.66 | -12.04% | 3,970.15 | -2.61% |
| 68. | 2023/03/31 | $246.46 | 1.40% | 4,109.31 | 3.51% | |
| 69. | 2023/04/30 | $246.72 | 0.11% | 4,169.48 | 1.46% | |
| 70. | 2023/05/31 | $184.03 | $0.66 | -25.14% | 4,179.83 | 0.25% |
| 71. | 2023/06/30 | $196.38 | 6.71% | 4,376.86 | 4.71% | |
| 平均 (R): | 1.41% | 0.94% | ||||
| 標準偏差： | 8.51% | 5.05% | ||||
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EL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
Estée Lauder Cos. Inc.、分散の計算、および戻り値の共分散
| t | 日付 | REL,t | RS&P 500,t | (REL,t–REL)2 | (RS&P 500,t–RS&P 500)2 | (REL,t–REL)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017/08/31 | 8.43% | 0.05% | 49.15 | 0.78 | -6.18 |
| 2. | 2017/09/30 | 0.79% | 1.93% | 0.38 | 0.99 | -0.62 |
| 3. | 2017/10/31 | 3.68% | 2.22% | 5.14 | 1.65 | 2.91 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023/05/31 | -25.14% | 0.25% | 705.25 | 0.47 | 18.26 |
| 71. | 2023/06/30 | 6.71% | 4.71% | 28.05 | 14.27 | 20.01 |
| トータル (Σ): | 5,074.61 | 1,786.26 | 1,772.52 | |||
| t | 日付 | REL,t | RS&P 500,t | (REL,t–REL)2 | (RS&P 500,t–RS&P 500)2 | (REL,t–REL)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017/08/31 | 8.43% | 0.05% | 49.15 | 0.78 | -6.18 |
| 2. | 2017/09/30 | 0.79% | 1.93% | 0.38 | 0.99 | -0.62 |
| 3. | 2017/10/31 | 3.68% | 2.22% | 5.14 | 1.65 | 2.91 |
| 4. | 2017/11/30 | 11.98% | 2.81% | 111.72 | 3.51 | 19.79 |
| 5. | 2017/12/31 | 1.93% | 0.98% | 0.27 | 0.00 | 0.02 |
| 6. | 2018/01/31 | 6.07% | 5.62% | 21.65 | 21.92 | 21.78 |
| 7. | 2018/02/28 | 2.86% | -3.89% | 2.09 | 23.33 | -6.98 |
| 8. | 2018/03/31 | 8.15% | -2.69% | 45.34 | 13.14 | -24.40 |
| 9. | 2018/04/30 | -1.09% | 0.27% | 6.27 | 0.44 | 1.66 |
| 10. | 2018/05/31 | 1.17% | 2.16% | 0.06 | 1.50 | -0.30 |
| 11. | 2018/06/30 | -4.52% | 0.48% | 35.18 | 0.20 | 2.68 |
| 12. | 2018/07/31 | -5.43% | 3.60% | 46.87 | 7.11 | -18.25 |
| 13. | 2018/08/31 | 4.12% | 3.03% | 7.32 | 4.37 | 5.66 |
| 14. | 2018/09/30 | 3.71% | 0.43% | 5.27 | 0.26 | -1.16 |
| 15. | 2018/10/31 | -5.42% | -6.94% | 46.75 | 62.03 | 53.85 |
| 16. | 2018/11/30 | 4.11% | 1.79% | 7.27 | 0.72 | 2.29 |
| 17. | 2018/12/31 | -8.80% | -9.18% | 104.43 | 102.28 | 103.35 |
| 18. | 2019/01/31 | 4.86% | 7.87% | 11.85 | 48.06 | 23.87 |
| 19. | 2019/02/28 | 15.36% | 2.97% | 194.39 | 4.15 | 28.40 |
| 20. | 2019/03/31 | 5.49% | 1.79% | 16.58 | 0.73 | 3.49 |
| 21. | 2019/04/30 | 3.78% | 3.93% | 5.60 | 8.97 | 7.09 |
| 22. | 2019/05/31 | -6.02% | -6.58% | 55.34 | 56.45 | 55.89 |
| 23. | 2019/06/30 | 13.71% | 6.89% | 151.22 | 35.49 | 73.26 |
| 24. | 2019/07/31 | 0.59% | 1.31% | 0.68 | 0.14 | -0.31 |
| 25. | 2019/08/31 | 7.73% | -1.81% | 39.83 | 7.53 | -17.32 |
| 26. | 2019/09/30 | 0.48% | 1.72% | 0.86 | 0.61 | -0.73 |
| 27. | 2019/10/31 | -6.37% | 2.04% | 60.66 | 1.23 | -8.62 |
| 28. | 2019/11/30 | 5.20% | 3.40% | 14.30 | 6.10 | 9.34 |
| 29. | 2019/12/31 | 5.66% | 2.86% | 18.05 | 3.70 | 8.17 |
| 30. | 2020/01/31 | -5.51% | -0.16% | 47.95 | 1.21 | 7.61 |
| 31. | 2020/02/29 | -5.68% | -8.41% | 50.30 | 87.36 | 66.29 |
| 32. | 2020/03/31 | -13.21% | -12.51% | 213.99 | 180.84 | 196.72 |
| 33. | 2020/04/30 | 10.71% | 12.68% | 86.34 | 138.03 | 109.17 |
| 34. | 2020/05/31 | 11.94% | 4.53% | 110.87 | 12.91 | 37.83 |
| 35. | 2020/06/30 | -4.45% | 1.84% | 34.41 | 0.82 | -5.30 |
| 36. | 2020/07/31 | 4.70% | 5.51% | 10.77 | 20.92 | 15.01 |
| 37. | 2020/08/31 | 12.48% | 7.01% | 122.52 | 36.85 | 67.20 |
| 38. | 2020/09/30 | -1.57% | -3.92% | 8.88 | 23.61 | 14.48 |
| 39. | 2020/10/31 | 0.65% | -2.77% | 0.59 | 13.71 | 2.85 |
| 40. | 2020/11/30 | 11.92% | 10.75% | 110.42 | 96.41 | 103.18 |
| 41. | 2020/12/31 | 8.51% | 3.71% | 50.30 | 7.71 | 19.69 |
| 42. | 2021/01/31 | -11.10% | -1.11% | 156.55 | 4.20 | 25.64 |
| 43. | 2021/02/28 | 21.02% | 2.61% | 384.30 | 2.80 | 32.80 |
| 44. | 2021/03/31 | 1.75% | 4.24% | 0.11 | 10.94 | 1.09 |
| 45. | 2021/04/30 | 7.89% | 5.24% | 41.94 | 18.55 | 27.89 |
| 46. | 2021/05/31 | -2.15% | 0.55% | 12.71 | 0.15 | 1.38 |
| 47. | 2021/06/30 | 3.77% | 2.22% | 5.55 | 1.65 | 3.03 |
| 48. | 2021/07/31 | 4.95% | 2.27% | 12.51 | 1.79 | 4.74 |
| 49. | 2021/08/31 | 2.15% | 2.90% | 0.55 | 3.85 | 1.45 |
| 50. | 2021/09/30 | -11.91% | -4.76% | 177.61 | 32.41 | 75.87 |
| 51. | 2021/10/31 | 8.14% | 6.91% | 45.17 | 35.74 | 40.18 |
| 52. | 2021/11/30 | 2.57% | -0.83% | 1.34 | 3.13 | -2.05 |
| 53. | 2021/12/31 | 11.48% | 4.36% | 101.36 | 11.73 | 34.49 |
| 54. | 2022/01/31 | -15.78% | -5.26% | 295.59 | 38.37 | 106.50 |
| 55. | 2022/02/28 | -4.77% | -3.14% | 38.20 | 16.58 | 25.17 |
| 56. | 2022/03/31 | -8.10% | 3.58% | 90.58 | 6.98 | -25.14 |
| 57. | 2022/04/30 | -3.03% | -8.80% | 19.78 | 94.70 | 43.28 |
| 58. | 2022/05/31 | -3.34% | 0.01% | 22.57 | 0.87 | 4.42 |
| 59. | 2022/06/30 | 0.01% | -8.39% | 1.98 | 87.01 | 13.12 |
| 60. | 2022/07/31 | 7.24% | 9.11% | 33.90 | 66.84 | 47.60 |
| 61. | 2022/08/31 | -6.63% | -4.24% | 64.80 | 26.83 | 41.70 |
| 62. | 2022/09/30 | -15.13% | -9.34% | 273.63 | 105.58 | 169.97 |
| 63. | 2022/10/31 | -7.14% | 7.99% | 73.14 | 49.71 | -60.30 |
| 64. | 2022/11/30 | 17.94% | 5.38% | 272.95 | 19.71 | 73.35 |
| 65. | 2022/12/31 | 5.22% | -5.90% | 14.52 | 46.69 | -26.04 |
| 66. | 2023/01/31 | 11.68% | 6.18% | 105.30 | 27.45 | 53.77 |
| 67. | 2023/02/28 | -12.04% | -2.61% | 181.12 | 12.58 | 47.74 |
| 68. | 2023/03/31 | 1.40% | 3.51% | 0.00 | 6.60 | -0.03 |
| 69. | 2023/04/30 | 0.11% | 1.46% | 1.71 | 0.28 | -0.69 |
| 70. | 2023/05/31 | -25.14% | 0.25% | 705.25 | 0.47 | 18.26 |
| 71. | 2023/06/30 | 6.71% | 4.71% | 28.05 | 14.27 | 20.01 |
| トータル (Σ): | 5,074.61 | 1,786.26 | 1,772.52 | |||
すべて表示
分散EL = Σ(REL,t–REL)2 ÷ (71 – 1)
= 5,074.61 ÷ (71 – 1)
= 72.49
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,786.26 ÷ (71 – 1)
= 25.52
共 分散EL, S&P 500 = Σ(REL,t–REL)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,772.52 ÷ (71 – 1)
= 25.32
システマティックなリスク推定 (β)
| 分散EL | 72.49 |
| 分散S&P 500 | 25.52 |
| 共 分散EL, S&P 500 | 25.32 |
| 相関係数EL, S&P 5001 | 0.59 |
| βEL2 | 0.99 |
| αEL3 | 0.49% |
計算
1 相関係数EL, S&P 500
= 共 分散EL, S&P 500 ÷ (標準偏差EL × 標準偏差S&P 500)
= 25.32 ÷ (8.51% × 5.05%)
= 0.59
2 βEL
= 共 分散EL, S&P 500 ÷ 分散S&P 500
= 25.32 ÷ 25.52
= 0.99
3 αEL
= 平均EL – βEL × 平均S&P 500
= 1.41% – 0.99 × 0.94%
= 0.49%
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 Estée Lauder システマティックリスク | βEL | 0.99 |
| エスティローダー普通株式の期待収益率3 | E(REL) | 14.76% |
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(REL) = RF + βEL [E(RM) – RF]
= 4.91% + 0.99 [14.84% – 4.91%]
= 14.76%