Stock Analysis on Net

Ford Motor Co. (NYSE:F)

資本資産価格設定モデル (CAPM) 

Microsoft Excel

資本資産価格モデル(CAPM)は、 Ford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

Ford Motor Co.、月間収益率

Microsoft Excel
Ford Motor Co. (F) Standard & Poor’s 500 (S&P 500)
t 日付 価格F,t1 配当F,t1 RF,t2 価格S&P 500,t RS&P 500,t3
2020/01/31 $8.82 3,225.52
1. 2020/02/29 $6.96 -21.09% 2,954.22 -8.41%
2. 2020/03/31 $4.83 -30.60% 2,584.59 -12.51%
3. 2020/04/30 $5.09 5.38% 2,912.43 12.68%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2024/11/30 $11.13 $0.15 9.62% 6,032.38 5.73%
59. 2024/12/31 $9.90 -11.05% 5,881.63 -2.50%
平均 (R): 1.42% 1.16%
標準偏差: 13.21% 5.28%
Ford Motor Co. (F) Standard & Poor’s 500 (S&P 500)
t 日付 価格F,t1 配当F,t1 RF,t2 価格S&P 500,t RS&P 500,t3
2020/01/31 $8.82 3,225.52
1. 2020/02/29 $6.96 -21.09% 2,954.22 -8.41%
2. 2020/03/31 $4.83 -30.60% 2,584.59 -12.51%
3. 2020/04/30 $5.09 5.38% 2,912.43 12.68%
4. 2020/05/31 $5.71 12.18% 3,044.31 4.53%
5. 2020/06/30 $6.08 6.48% 3,100.29 1.84%
6. 2020/07/31 $6.61 8.72% 3,271.12 5.51%
7. 2020/08/31 $6.82 3.18% 3,500.31 7.01%
8. 2020/09/30 $6.66 -2.35% 3,363.00 -3.92%
9. 2020/10/31 $7.73 16.07% 3,269.96 -2.77%
10. 2020/11/30 $9.08 17.46% 3,621.63 10.75%
11. 2020/12/31 $8.79 -3.19% 3,756.07 3.71%
12. 2021/01/31 $10.53 19.80% 3,714.24 -1.11%
13. 2021/02/28 $11.70 11.11% 3,811.15 2.61%
14. 2021/03/31 $12.25 4.70% 3,972.89 4.24%
15. 2021/04/30 $11.54 -5.80% 4,181.17 5.24%
16. 2021/05/31 $14.53 25.91% 4,204.11 0.55%
17. 2021/06/30 $14.86 2.27% 4,297.50 2.22%
18. 2021/07/31 $13.95 -6.12% 4,395.26 2.27%
19. 2021/08/31 $13.03 -6.59% 4,522.68 2.90%
20. 2021/09/30 $14.16 8.67% 4,307.54 -4.76%
21. 2021/10/31 $17.08 20.62% 4,605.38 6.91%
22. 2021/11/30 $19.19 $0.10 12.94% 4,567.00 -0.83%
23. 2021/12/31 $20.77 8.23% 4,766.18 4.36%
24. 2022/01/31 $20.30 $0.10 -1.78% 4,515.55 -5.26%
25. 2022/02/28 $17.56 -13.50% 4,373.94 -3.14%
26. 2022/03/31 $16.91 -3.70% 4,530.41 3.58%
27. 2022/04/30 $14.16 $0.10 -15.67% 4,131.93 -8.80%
28. 2022/05/31 $13.68 -3.39% 4,132.15 0.01%
29. 2022/06/30 $11.13 -18.64% 3,785.38 -8.39%
30. 2022/07/31 $14.69 31.99% 4,130.29 9.11%
31. 2022/08/31 $15.24 $0.15 4.77% 3,955.00 -4.24%
32. 2022/09/30 $11.20 -26.51% 3,585.62 -9.34%
33. 2022/10/31 $13.37 19.38% 3,871.98 7.99%
34. 2022/11/30 $13.90 $0.15 5.09% 4,080.11 5.38%
35. 2022/12/31 $11.63 -16.33% 3,839.50 -5.90%
36. 2023/01/31 $13.51 16.17% 4,076.60 6.18%
37. 2023/02/28 $12.07 $0.80 -4.74% 3,970.15 -2.61%
38. 2023/03/31 $12.60 4.39% 4,109.31 3.51%
39. 2023/04/30 $11.88 $0.15 -4.52% 4,169.48 1.46%
40. 2023/05/31 $12.00 1.01% 4,179.83 0.25%
41. 2023/06/30 $15.13 26.08% 4,376.86 4.71%
42. 2023/07/31 $13.21 $0.15 -11.70% 4,588.96 4.85%
43. 2023/08/31 $12.13 -8.18% 4,507.66 -1.77%
44. 2023/09/30 $12.42 2.39% 4,288.05 -4.87%
45. 2023/10/31 $9.75 $0.15 -20.29% 4,193.80 -2.20%
46. 2023/11/30 $10.26 5.23% 4,567.80 8.92%
47. 2023/12/31 $12.19 18.81% 4,769.83 4.42%
48. 2024/01/31 $11.72 -3.86% 4,845.65 1.59%
49. 2024/02/29 $12.44 $0.33 8.96% 5,096.27 5.17%
50. 2024/03/31 $13.28 6.75% 5,254.35 3.10%
51. 2024/04/30 $12.15 -8.51% 5,035.69 -4.16%
52. 2024/05/31 $12.13 $0.15 1.07% 5,277.51 4.80%
53. 2024/06/30 $12.54 3.38% 5,460.48 3.47%
54. 2024/07/31 $10.82 -13.72% 5,522.30 1.13%
55. 2024/08/31 $11.19 $0.15 4.81% 5,648.40 2.28%
56. 2024/09/30 $10.56 -5.63% 5,762.48 2.02%
57. 2024/10/31 $10.29 -2.56% 5,705.45 -0.99%
58. 2024/11/30 $11.13 $0.15 9.62% 6,032.38 5.73%
59. 2024/12/31 $9.90 -11.05% 5,881.63 -2.50%
平均 (R): 1.42% 1.16%
標準偏差: 13.21% 5.28%

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F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

Ford Motor Co.、分散の計算、および戻り値の共分散

Microsoft Excel
t 日付 RF,t RS&P 500,t (RF,tRF)2 (RS&P 500,tRS&P 500)2 (RF,tRF)×(RS&P 500,tRS&P 500)
1. 2020/02/29 -21.09% -8.41% 506.49 91.63 215.43
2. 2020/03/31 -30.60% -12.51% 1,025.30 186.96 437.82
3. 2020/04/30 5.38% 12.68% 15.73 132.78 45.70
. . . . . . .
. . . . . . .
. . . . . . .
58. 2024/11/30 9.62% 5.73% 67.31 20.87 37.48
59. 2024/12/31 -11.05% -2.50% 155.45 13.40 45.64
トータル (Σ): 10,128.34 1,618.62 2,596.17
t 日付 RF,t RS&P 500,t (RF,tRF)2 (RS&P 500,tRS&P 500)2 (RF,tRF)×(RS&P 500,tRS&P 500)
1. 2020/02/29 -21.09% -8.41% 506.49 91.63 215.43
2. 2020/03/31 -30.60% -12.51% 1,025.30 186.96 437.82
3. 2020/04/30 5.38% 12.68% 15.73 132.78 45.70
4. 2020/05/31 12.18% 4.53% 115.86 11.34 36.24
5. 2020/06/30 6.48% 1.84% 25.63 0.46 3.43
6. 2020/07/31 8.72% 5.51% 53.29 18.91 31.75
7. 2020/08/31 3.18% 7.01% 3.10 34.17 10.29
8. 2020/09/30 -2.35% -3.92% 14.16 25.85 19.13
9. 2020/10/31 16.07% -2.77% 214.60 15.43 -57.54
10. 2020/11/30 17.46% 10.75% 257.53 92.03 153.95
11. 2020/12/31 -3.19% 3.71% 21.26 6.51 -11.76
12. 2021/01/31 19.80% -1.11% 337.77 5.18 -41.81
13. 2021/02/28 11.11% 2.61% 93.98 2.10 14.04
14. 2021/03/31 4.70% 4.24% 10.78 9.50 10.12
15. 2021/04/30 -5.80% 5.24% 52.02 16.66 -29.44
16. 2021/05/31 25.91% 0.55% 599.91 0.38 -15.00
17. 2021/06/30 2.27% 2.22% 0.73 1.12 0.91
18. 2021/07/31 -6.12% 2.27% 56.86 1.24 -8.40
19. 2021/08/31 -6.59% 2.90% 64.19 3.02 -13.92
20. 2021/09/30 8.67% -4.76% 52.64 35.02 -42.94
21. 2021/10/31 20.62% 6.91% 368.82 33.10 110.49
22. 2021/11/30 12.94% -0.83% 132.76 3.98 -22.98
23. 2021/12/31 8.23% 4.36% 46.47 10.24 21.81
24. 2022/01/31 -1.78% -5.26% 10.23 41.21 20.53
25. 2022/02/28 -13.50% -3.14% 222.44 18.47 64.09
26. 2022/03/31 -3.70% 3.58% 26.20 5.84 -12.37
27. 2022/04/30 -15.67% -8.80% 292.00 99.14 170.14
28. 2022/05/31 -3.39% 0.01% 23.10 1.34 5.56
29. 2022/06/30 -18.64% -8.39% 402.29 91.26 191.61
30. 2022/07/31 31.99% 9.11% 934.45 63.21 243.03
31. 2022/08/31 4.77% -4.24% 11.21 29.22 -18.10
32. 2022/09/30 -26.51% -9.34% 779.86 110.27 293.25
33. 2022/10/31 19.38% 7.99% 322.50 46.58 122.57
34. 2022/11/30 5.09% 5.38% 13.46 17.76 15.46
35. 2022/12/31 -16.33% -5.90% 314.98 49.82 125.27
36. 2023/01/31 16.17% 6.18% 217.51 25.14 73.95
37. 2023/02/28 -4.74% -2.61% 37.87 14.23 23.22
38. 2023/03/31 4.39% 3.51% 8.85 5.49 6.97
39. 2023/04/30 -4.52% 1.46% 35.29 0.09 -1.80
40. 2023/05/31 1.01% 0.25% 0.17 0.83 0.37
41. 2023/06/30 26.08% 4.71% 608.44 12.62 87.63
42. 2023/07/31 -11.70% 4.85% 172.01 13.58 -48.33
43. 2023/08/31 -8.18% -1.77% 92.02 8.60 28.13
44. 2023/09/30 2.39% -4.87% 0.95 36.40 -5.88
45. 2023/10/31 -20.29% -2.20% 471.18 11.28 72.92
46. 2023/11/30 5.23% 8.92% 14.55 60.17 29.58
47. 2023/12/31 18.81% 4.42% 302.55 10.64 56.73
48. 2024/01/31 -3.86% 1.59% 27.80 0.18 -2.26
49. 2024/02/29 8.96% 5.17% 56.89 16.09 30.25
50. 2024/03/31 6.75% 3.10% 28.47 3.77 10.35
51. 2024/04/30 -8.51% -4.16% 98.52 28.33 52.83
52. 2024/05/31 1.07% 4.80% 0.12 13.26 -1.26
53. 2024/06/30 3.38% 3.47% 3.85 5.32 4.53
54. 2024/07/31 -13.72% 1.13% 229.01 0.00 0.44
55. 2024/08/31 4.81% 2.28% 11.49 1.26 3.80
56. 2024/09/30 -5.63% 2.02% 49.66 0.74 -6.05
57. 2024/10/31 -2.56% -0.99% 15.79 4.63 8.55
58. 2024/11/30 9.62% 5.73% 67.31 20.87 37.48
59. 2024/12/31 -11.05% -2.50% 155.45 13.40 45.64
トータル (Σ): 10,128.34 1,618.62 2,596.17

すべて表示

分散F = Σ(RF,tRF)2 ÷ (59 – 1)
= 10,128.34 ÷ (59 – 1)
= 174.63

分散S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91

共 分散F, S&P 500 = Σ(RF,tRF)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 2,596.17 ÷ (59 – 1)
= 44.76


システマティックなリスク推定 (β)

Microsoft Excel
分散F 174.63
分散S&P 500 27.91
共 分散F, S&P 500 44.76
相関係数F, S&P 5001 0.64
βF2 1.60
αF3 -0.45%

計算

1 相関係数F, S&P 500
= 共 分散F, S&P 500 ÷ (標準偏差F × 標準偏差S&P 500)
= 44.76 ÷ (13.21% × 5.28%)
= 0.64

2 βF
= 共 分散F, S&P 500 ÷ 分散S&P 500
= 44.76 ÷ 27.91
= 1.60

3 αF
= 平均F – βF × 平均S&P 500
= 1.42%1.60 × 1.16%
= -0.45%


期待収益率

Microsoft Excel
仮定
LT国債総合の収益率1 RF 4.95%
市場ポートフォリオの期待収益率2 E(RM) 14.71%
普通株式 Ford システマティックリスク βF 1.60
 
フォードの普通株の期待収益率3 E(RF) 20.60%

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(RF) = RF + βF [E(RM) – RF]
= 4.95% + 1.60 [14.71%4.95%]
= 20.60%