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 Generac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
Generac Holdings Inc.、月間収益率
| Generac Holdings Inc. (GNRC) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格GNRC,t1 | 配当GNRC,t1 | RGNRC,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2017/01/31 | $40.26 | 2,278.87 | ||||
| 1. | 2017/02/28 | $39.04 | -3.03% | 2,363.64 | 3.72% | |
| 2. | 2017/03/31 | $37.28 | -4.51% | 2,362.72 | -0.04% | |
| 3. | 2017/04/30 | $35.17 | -5.66% | 2,384.20 | 0.91% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2021/11/30 | $421.24 | -15.51% | 4,567.00 | -0.83% | |
| 59. | 2021/12/31 | $351.92 | -16.46% | 4,766.18 | 4.36% | |
| 平均 (R): | 4.25% | 1.36% | ||||
| 標準偏差： | 10.51% | 4.48% | ||||
| Generac Holdings Inc. (GNRC) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格GNRC,t1 | 配当GNRC,t1 | RGNRC,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2017/01/31 | $40.26 | 2,278.87 | ||||
| 1. | 2017/02/28 | $39.04 | -3.03% | 2,363.64 | 3.72% | |
| 2. | 2017/03/31 | $37.28 | -4.51% | 2,362.72 | -0.04% | |
| 3. | 2017/04/30 | $35.17 | -5.66% | 2,384.20 | 0.91% | |
| 4. | 2017/05/31 | $34.65 | -1.48% | 2,411.80 | 1.16% | |
| 5. | 2017/06/30 | $36.13 | 4.27% | 2,423.41 | 0.48% | |
| 6. | 2017/07/31 | $35.97 | -0.44% | 2,470.30 | 1.93% | |
| 7. | 2017/08/31 | $40.38 | 12.26% | 2,471.65 | 0.05% | |
| 8. | 2017/09/30 | $45.93 | 13.74% | 2,519.36 | 1.93% | |
| 9. | 2017/10/31 | $52.09 | 13.41% | 2,575.26 | 2.22% | |
| 10. | 2017/11/30 | $49.17 | -5.61% | 2,647.58 | 2.81% | |
| 11. | 2017/12/31 | $49.52 | 0.71% | 2,673.61 | 0.98% | |
| 12. | 2018/01/31 | $48.93 | -1.19% | 2,823.81 | 5.62% | |
| 13. | 2018/02/28 | $44.48 | -9.09% | 2,713.83 | -3.89% | |
| 14. | 2018/03/31 | $45.91 | 3.21% | 2,640.87 | -2.69% | |
| 15. | 2018/04/30 | $45.01 | -1.96% | 2,648.05 | 0.27% | |
| 16. | 2018/05/31 | $50.09 | 11.29% | 2,705.27 | 2.16% | |
| 17. | 2018/06/30 | $51.73 | 3.27% | 2,718.37 | 0.48% | |
| 18. | 2018/07/31 | $53.75 | 3.90% | 2,816.29 | 3.60% | |
| 19. | 2018/08/31 | $55.49 | 3.24% | 2,901.52 | 3.03% | |
| 20. | 2018/09/30 | $56.41 | 1.66% | 2,913.98 | 0.43% | |
| 21. | 2018/10/31 | $50.73 | -10.07% | 2,711.74 | -6.94% | |
| 22. | 2018/11/30 | $56.92 | 12.20% | 2,760.17 | 1.79% | |
| 23. | 2018/12/31 | $49.70 | -12.68% | 2,506.85 | -9.18% | |
| 24. | 2019/01/31 | $52.93 | 6.50% | 2,704.10 | 7.87% | |
| 25. | 2019/02/28 | $51.56 | -2.59% | 2,784.49 | 2.97% | |
| 26. | 2019/03/31 | $51.23 | -0.64% | 2,834.40 | 1.79% | |
| 27. | 2019/04/30 | $54.99 | 7.34% | 2,945.83 | 3.93% | |
| 28. | 2019/05/31 | $55.15 | 0.29% | 2,752.06 | -6.58% | |
| 29. | 2019/06/30 | $69.41 | 25.86% | 2,941.76 | 6.89% | |
| 30. | 2019/07/31 | $72.30 | 4.16% | 2,980.38 | 1.31% | |
| 31. | 2019/08/31 | $77.99 | 7.87% | 2,926.46 | -1.81% | |
| 32. | 2019/09/30 | $78.34 | 0.45% | 2,976.74 | 1.72% | |
| 33. | 2019/10/31 | $96.58 | 23.28% | 3,037.56 | 2.04% | |
| 34. | 2019/11/30 | $98.50 | 1.99% | 3,140.98 | 3.40% | |
| 35. | 2019/12/31 | $100.59 | 2.12% | 3,230.78 | 2.86% | |
| 36. | 2020/01/31 | $103.59 | 2.98% | 3,225.52 | -0.16% | |
| 37. | 2020/02/29 | $102.99 | -0.58% | 2,954.22 | -8.41% | |
| 38. | 2020/03/31 | $93.17 | -9.53% | 2,584.59 | -12.51% | |
| 39. | 2020/04/30 | $97.44 | 4.58% | 2,912.43 | 12.68% | |
| 40. | 2020/05/31 | $111.27 | 14.19% | 3,044.31 | 4.53% | |
| 41. | 2020/06/30 | $121.93 | 9.58% | 3,100.29 | 1.84% | |
| 42. | 2020/07/31 | $157.58 | 29.24% | 3,271.12 | 5.51% | |
| 43. | 2020/08/31 | $189.98 | 20.56% | 3,500.31 | 7.01% | |
| 44. | 2020/09/30 | $193.64 | 1.93% | 3,363.00 | -3.92% | |
| 45. | 2020/10/31 | $210.15 | 8.53% | 3,269.96 | -2.77% | |
| 46. | 2020/11/30 | $215.60 | 2.59% | 3,621.63 | 10.75% | |
| 47. | 2020/12/31 | $227.41 | 5.48% | 3,756.07 | 3.71% | |
| 48. | 2021/01/31 | $246.42 | 8.36% | 3,714.24 | -1.11% | |
| 49. | 2021/02/28 | $329.56 | 33.74% | 3,811.15 | 2.61% | |
| 50. | 2021/03/31 | $327.45 | -0.64% | 3,972.89 | 4.24% | |
| 51. | 2021/04/30 | $323.95 | -1.07% | 4,181.17 | 5.24% | |
| 52. | 2021/05/31 | $328.72 | 1.47% | 4,204.11 | 0.55% | |
| 53. | 2021/06/30 | $415.15 | 26.29% | 4,297.50 | 2.22% | |
| 54. | 2021/07/31 | $419.36 | 1.01% | 4,395.26 | 2.27% | |
| 55. | 2021/08/31 | $436.98 | 4.20% | 4,522.68 | 2.90% | |
| 56. | 2021/09/30 | $408.67 | -6.48% | 4,307.54 | -4.76% | |
| 57. | 2021/10/31 | $498.56 | 22.00% | 4,605.38 | 6.91% | |
| 58. | 2021/11/30 | $421.24 | -15.51% | 4,567.00 | -0.83% | |
| 59. | 2021/12/31 | $351.92 | -16.46% | 4,766.18 | 4.36% | |
| 平均 (R): | 4.25% | 1.36% | ||||
| 標準偏差： | 10.51% | 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中のGNRC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
Generac Holdings Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RGNRC,t | RS&P 500,t | (RGNRC,t–RGNRC)2 | (RS&P 500,t–RS&P 500)2 | (RGNRC,t–RGNRC)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017/02/28 | -3.03% | 3.72% | 52.95 | 5.58 | -17.19 |
| 2. | 2017/03/31 | -4.51% | -0.04% | 76.65 | 1.95 | 12.23 |
| 3. | 2017/04/30 | -5.66% | 0.91% | 98.14 | 0.20 | 4.45 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2021/11/30 | -15.51% | -0.83% | 390.27 | 4.80 | 43.29 |
| 59. | 2021/12/31 | -16.46% | 4.36% | 428.61 | 9.02 | -62.18 |
| トータル (Σ): | 6,411.30 | 1,164.17 | 1,117.11 | |||
| t | 日付 | RGNRC,t | RS&P 500,t | (RGNRC,t–RGNRC)2 | (RS&P 500,t–RS&P 500)2 | (RGNRC,t–RGNRC)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017/02/28 | -3.03% | 3.72% | 52.95 | 5.58 | -17.19 |
| 2. | 2017/03/31 | -4.51% | -0.04% | 76.65 | 1.95 | 12.23 |
| 3. | 2017/04/30 | -5.66% | 0.91% | 98.14 | 0.20 | 4.45 |
| 4. | 2017/05/31 | -1.48% | 1.16% | 32.78 | 0.04 | 1.15 |
| 5. | 2017/06/30 | 4.27% | 0.48% | 0.00 | 0.77 | -0.02 |
| 6. | 2017/07/31 | -0.44% | 1.93% | 21.99 | 0.33 | -2.71 |
| 7. | 2017/08/31 | 12.26% | 0.05% | 64.22 | 1.70 | -10.44 |
| 8. | 2017/09/30 | 13.74% | 1.93% | 90.21 | 0.33 | 5.44 |
| 9. | 2017/10/31 | 13.41% | 2.22% | 84.00 | 0.74 | 7.89 |
| 10. | 2017/11/30 | -5.61% | 2.81% | 97.07 | 2.10 | -14.29 |
| 11. | 2017/12/31 | 0.71% | 0.98% | 12.50 | 0.14 | 1.32 |
| 12. | 2018/01/31 | -1.19% | 5.62% | 29.57 | 18.15 | -23.17 |
| 13. | 2018/02/28 | -9.09% | -3.89% | 177.99 | 27.59 | 70.08 |
| 14. | 2018/03/31 | 3.21% | -2.69% | 1.06 | 16.37 | 4.17 |
| 15. | 2018/04/30 | -1.96% | 0.27% | 38.53 | 1.18 | 6.74 |
| 16. | 2018/05/31 | 11.29% | 2.16% | 49.56 | 0.64 | 5.65 |
| 17. | 2018/06/30 | 3.27% | 0.48% | 0.95 | 0.76 | 0.85 |
| 18. | 2018/07/31 | 3.90% | 3.60% | 0.12 | 5.04 | -0.77 |
| 19. | 2018/08/31 | 3.24% | 3.03% | 1.02 | 2.78 | -1.68 |
| 20. | 2018/09/30 | 1.66% | 0.43% | 6.70 | 0.86 | 2.40 |
| 21. | 2018/10/31 | -10.07% | -6.94% | 204.94 | 68.86 | 118.80 |
| 22. | 2018/11/30 | 12.20% | 1.79% | 63.28 | 0.18 | 3.41 |
| 23. | 2018/12/31 | -12.68% | -9.18% | 286.66 | 111.00 | 178.38 |
| 24. | 2019/01/31 | 6.50% | 7.87% | 5.07 | 42.39 | 14.66 |
| 25. | 2019/02/28 | -2.59% | 2.97% | 46.72 | 2.61 | -11.04 |
| 26. | 2019/03/31 | -0.64% | 1.79% | 23.88 | 0.19 | -2.12 |
| 27. | 2019/04/30 | 7.34% | 3.93% | 9.57 | 6.62 | 7.96 |
| 28. | 2019/05/31 | 0.29% | -6.58% | 15.65 | 62.97 | 31.39 |
| 29. | 2019/06/30 | 25.86% | 6.89% | 466.99 | 30.64 | 119.61 |
| 30. | 2019/07/31 | 4.16% | 1.31% | 0.01 | 0.00 | 0.00 |
| 31. | 2019/08/31 | 7.87% | -1.81% | 13.13 | 10.03 | -11.48 |
| 32. | 2019/09/30 | 0.45% | 1.72% | 14.42 | 0.13 | -1.37 |
| 33. | 2019/10/31 | 23.28% | 2.04% | 362.39 | 0.47 | 13.05 |
| 34. | 2019/11/30 | 1.99% | 3.40% | 5.10 | 4.19 | -4.62 |
| 35. | 2019/12/31 | 2.12% | 2.86% | 4.52 | 2.25 | -3.19 |
| 36. | 2020/01/31 | 2.98% | -0.16% | 1.60 | 2.31 | 1.92 |
| 37. | 2020/02/29 | -0.58% | -8.41% | 23.29 | 95.43 | 47.14 |
| 38. | 2020/03/31 | -9.53% | -12.51% | 189.93 | 192.37 | 191.15 |
| 39. | 2020/04/30 | 4.58% | 12.68% | 0.11 | 128.29 | 3.81 |
| 40. | 2020/05/31 | 14.19% | 4.53% | 98.94 | 10.05 | 31.53 |
| 41. | 2020/06/30 | 9.58% | 1.84% | 28.45 | 0.23 | 2.57 |
| 42. | 2020/07/31 | 29.24% | 5.51% | 624.57 | 17.24 | 103.77 |
| 43. | 2020/08/31 | 20.56% | 7.01% | 266.16 | 31.91 | 92.15 |
| 44. | 2020/09/30 | 1.93% | -3.92% | 5.38 | 27.89 | 12.25 |
| 45. | 2020/10/31 | 8.53% | -2.77% | 18.31 | 17.01 | -17.65 |
| 46. | 2020/11/30 | 2.59% | 10.75% | 2.73 | 88.30 | -15.54 |
| 47. | 2020/12/31 | 5.48% | 3.71% | 1.52 | 5.54 | 2.90 |
| 48. | 2021/01/31 | 8.36% | -1.11% | 16.91 | 6.11 | -10.16 |
| 49. | 2021/02/28 | 33.74% | 2.61% | 869.80 | 1.57 | 36.90 |
| 50. | 2021/03/31 | -0.64% | 4.24% | 23.88 | 8.33 | -14.10 |
| 51. | 2021/04/30 | -1.07% | 5.24% | 28.26 | 15.09 | -20.65 |
| 52. | 2021/05/31 | 1.47% | 0.55% | 7.70 | 0.65 | 2.25 |
| 53. | 2021/06/30 | 26.29% | 2.22% | 486.03 | 0.75 | 19.04 |
| 54. | 2021/07/31 | 1.01% | 2.27% | 10.45 | 0.84 | -2.96 |
| 55. | 2021/08/31 | 4.20% | 2.90% | 0.00 | 2.38 | -0.07 |
| 56. | 2021/09/30 | -6.48% | -4.76% | 115.03 | 37.39 | 65.58 |
| 57. | 2021/10/31 | 22.00% | 6.91% | 315.03 | 30.87 | 98.62 |
| 58. | 2021/11/30 | -15.51% | -0.83% | 390.27 | 4.80 | 43.29 |
| 59. | 2021/12/31 | -16.46% | 4.36% | 428.61 | 9.02 | -62.18 |
| トータル (Σ): | 6,411.30 | 1,164.17 | 1,117.11 | |||
すべて表示
分散GNRC = Σ(RGNRC,t–RGNRC)2 ÷ (59 – 1)
= 6,411.30 ÷ (59 – 1)
= 110.54
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GNRC, S&P 500 = Σ(RGNRC,t–RGNRC)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,117.11 ÷ (59 – 1)
= 19.26
システマティックなリスク推定 (β)
| 分散GNRC | 110.54 |
| 分散S&P 500 | 20.07 |
| 共 分散GNRC, S&P 500 | 19.26 |
| 相関係数GNRC, S&P 5001 | 0.41 |
| βGNRC2 | 0.96 |
| αGNRC3 | 2.94% |
計算
1 相関係数GNRC, S&P 500
= 共 分散GNRC, S&P 500 ÷ (標準偏差GNRC × 標準偏差S&P 500)
= 19.26 ÷ (10.51% × 4.48%)
= 0.41
2 βGNRC
= 共 分散GNRC, S&P 500 ÷ 分散S&P 500
= 19.26 ÷ 20.07
= 0.96
3 αGNRC
= 平均GNRC – βGNRC × 平均S&P 500
= 4.25% – 0.96 × 1.36%
= 2.94%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.76% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 15.13% |
| 普通株式のシステマティックリスクGenerac | βGNRC | 0.96 |
| Generac普通株式の期待収益率3 | E(RGNRC) | 14.71% |
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(RGNRC) = RF + βGNRC [E(RM) – RF]
= 4.76% + 0.96 [15.13% – 4.76%]
= 14.71%