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Microsoft Excel LibreOffice Calc

General Electric Co. (NYSE:GE)

資本資産価格モデル (CAPM)

中程度の難易度

資本資産価格モデル(CAPM)は、ゼネラルエレクトリックの普通株などのリスクのある資産の期待収益率または必要収益率を示します。


収益率

General Electric Co.、毎月の収益率

Microsoft Excel LibreOffice Calc
General Electric Co. (GE) Standard & Poor’s 500 (S&P 500)
t Date 価格GE,t1 配当GE,t1 RGE,t2 価格S&P 500,t RS&P 500,t3
2016/01/31 $29.10 1,940.24
1. 2016/02/29 $29.14 $0.23 0.93% 1,932.23 -0.41%
2. 2016/03/31 $31.79 9.09% 2,059.74 6.60%
3. 2016/04/30 $30.75 -3.27% 2,065.30 0.27%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2020/11/30 $10.18 37.20% 3,621.63 10.75%
59. 2020/12/31 $10.80 $0.01 6.19% 3,756.07 3.71%
平均 (R): -0.90% 1.22%
Standard deviation: 11.14% 4.36%

ソース: General Electric Co. (NYSE:GE) | CAPM (www.stock-analysis-on.net)

General Electric Co. (GE) Standard & Poor’s 500 (S&P 500)
t Date 価格GE,t1 配当GE,t1 RGE,t2 価格S&P 500,t RS&P 500,t3
2016/01/31 $29.10 1,940.24
1. 2016/02/29 $29.14 $0.23 0.93% 1,932.23 -0.41%
2. 2016/03/31 $31.79 9.09% 2,059.74 6.60%
3. 2016/04/30 $30.75 -3.27% 2,065.30 0.27%
4. 2016/05/31 $30.23 -1.69% 2,096.95 1.53%
5. 2016/06/30 $31.48 $0.23 4.90% 2,098.86 0.09%
6. 2016/07/31 $31.14 -1.08% 2,173.60 3.56%
7. 2016/08/31 $31.24 0.32% 2,170.95 -0.12%
8. 2016/09/30 $29.62 $0.23 -4.45% 2,168.27 -0.12%
9. 2016/10/31 $29.10 -1.76% 2,126.15 -1.94%
10. 2016/11/30 $30.76 5.70% 2,198.81 3.42%
11. 2016/12/31 $31.60 $0.24 3.51% 2,238.83 1.82%
12. 2017/01/31 $29.70 -6.01% 2,278.87 1.79%
13. 2017/02/28 $29.81 $0.24 1.18% 2,363.64 3.72%
14. 2017/03/31 $29.80 -0.03% 2,362.72 -0.04%
15. 2017/04/30 $28.99 -2.72% 2,384.20 0.91%
16. 2017/05/31 $27.38 -5.55% 2,411.80 1.16%
17. 2017/06/30 $27.01 $0.24 -0.47% 2,423.41 0.48%
18. 2017/07/31 $25.61 -5.18% 2,470.30 1.93%
19. 2017/08/31 $24.55 -4.14% 2,471.65 0.05%
20. 2017/09/30 $24.18 $0.24 -0.53% 2,519.36 1.93%
21. 2017/10/31 $20.16 -16.63% 2,575.26 2.22%
22. 2017/11/30 $18.29 -9.28% 2,647.58 2.81%
23. 2017/12/31 $17.45 $0.12 -3.94% 2,673.61 0.98%
24. 2018/01/31 $16.17 -7.34% 2,823.81 5.62%
25. 2018/02/28 $14.11 $0.12 -12.00% 2,713.83 -3.89%
26. 2018/03/31 $13.48 -4.46% 2,640.87 -2.69%
27. 2018/04/30 $14.07 4.38% 2,648.05 0.27%
28. 2018/05/31 $14.08 0.07% 2,705.27 2.16%
29. 2018/06/30 $13.61 $0.12 -2.49% 2,718.37 0.48%
30. 2018/07/31 $13.63 0.15% 2,816.29 3.60%
31. 2018/08/31 $12.94 -5.06% 2,901.52 3.03%
32. 2018/09/30 $11.29 $0.12 -11.82% 2,913.98 0.43%
33. 2018/10/31 $10.10 -10.54% 2,711.74 -6.94%
34. 2018/11/30 $7.50 -25.74% 2,760.17 1.79%
35. 2018/12/31 $7.57 $0.01 1.07% 2,506.85 -9.18%
36. 2019/01/31 $10.16 34.21% 2,704.10 7.87%
37. 2019/02/28 $10.39 2.26% 2,784.49 2.97%
38. 2019/03/31 $9.99 $0.01 -3.75% 2,834.40 1.79%
39. 2019/04/30 $10.17 1.80% 2,945.83 3.93%
40. 2019/05/31 $9.44 -7.18% 2,752.06 -6.58%
41. 2019/06/30 $10.50 $0.01 11.33% 2,941.76 6.89%
42. 2019/07/31 $10.45 -0.48% 2,980.38 1.31%
43. 2019/08/31 $8.25 -21.05% 2,926.46 -1.81%
44. 2019/09/30 $8.94 $0.01 8.48% 2,976.74 1.72%
45. 2019/10/31 $9.98 11.63% 3,037.56 2.04%
46. 2019/11/30 $11.27 12.93% 3,140.98 3.40%
47. 2019/12/31 $11.16 $0.01 -0.89% 3,230.78 2.86%
48. 2020/01/31 $12.45 11.56% 3,225.52 -0.16%
49. 2020/02/29 $10.88 -12.61% 2,954.22 -8.41%
50. 2020/03/31 $7.94 $0.01 -26.93% 2,584.59 -12.51%
51. 2020/04/30 $6.80 -14.36% 2,912.43 12.68%
52. 2020/05/31 $6.57 -3.38% 3,044.31 4.53%
53. 2020/06/30 $6.83 $0.01 4.11% 3,100.29 1.84%
54. 2020/07/31 $6.07 -11.13% 3,271.12 5.51%
55. 2020/08/31 $6.34 4.45% 3,500.31 7.01%
56. 2020/09/30 $6.23 $0.01 -1.58% 3,363.00 -3.92%
57. 2020/10/31 $7.42 19.10% 3,269.96 -2.77%
58. 2020/11/30 $10.18 37.20% 3,621.63 10.75%
59. 2020/12/31 $10.80 $0.01 6.19% 3,756.07 3.71%
平均 (R): -0.90% 1.22%
Standard deviation: 11.14% 4.36%

ソース: General Electric Co. (NYSE:GE) | 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におけるGE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

General Electric Co.、リターンの分散と共分散の計算

Microsoft Excel LibreOffice Calc
t Date RGE,t RS&P 500,t (RGE,tRGE)2 (RS&P 500,tRS&P 500)2 (RGE,tRGE)×(RS&P 500,tRS&P 500)
1. 2016/02/29 0.93% -0.41% 3.33 2.67 -2.98
2. 2016/03/31 9.09% 6.60% 99.83 28.93 53.75
3. 2016/04/30 -3.27% 0.27% 5.64 0.90 2.26
. . . . . . .
. . . . . . .
. . . . . . .
58. 2020/11/30 37.20% 10.75% 1,451.18 90.91 363.21
59. 2020/12/31 6.19% 3.71% 50.21 6.21 17.66
合計 (Σ): 7,201.05 1,103.45 1,185.16
t Date RGE,t RS&P 500,t (RGE,tRGE)2 (RS&P 500,tRS&P 500)2 (RGE,tRGE)×(RS&P 500,tRS&P 500)
1. 2016/02/29 0.93% -0.41% 3.33 2.67 -2.98
2. 2016/03/31 9.09% 6.60% 99.83 28.93 53.75
3. 2016/04/30 -3.27% 0.27% 5.64 0.90 2.26
4. 2016/05/31 -1.69% 1.53% 0.63 0.10 -0.25
5. 2016/06/30 4.90% 0.09% 33.56 1.27 -6.54
6. 2016/07/31 -1.08% 3.56% 0.03 5.48 -0.43
7. 2016/08/31 0.32% -0.12% 1.49 1.80 -1.64
8. 2016/09/30 -4.45% -0.12% 12.62 1.81 4.77
9. 2016/10/31 -1.76% -1.94% 0.74 10.00 2.71
10. 2016/11/30 5.70% 3.42% 43.59 4.83 14.51
11. 2016/12/31 3.51% 1.82% 19.44 0.36 2.65
12. 2017/01/31 -6.01% 1.79% 26.16 0.32 -2.91
13. 2017/02/28 1.18% 3.72% 4.31 6.25 5.19
14. 2017/03/31 -0.03% -0.04% 0.75 1.59 -1.09
15. 2017/04/30 -2.72% 0.91% 3.31 0.10 0.57
16. 2017/05/31 -5.55% 1.16% 21.68 0.00 0.29
17. 2017/06/30 -0.47% 0.48% 0.18 0.55 -0.31
18. 2017/07/31 -5.18% 1.93% 18.37 0.51 -3.06
19. 2017/08/31 -4.14% 0.05% 10.51 1.36 3.78
20. 2017/09/30 -0.53% 1.93% 0.14 0.50 0.26
21. 2017/10/31 -16.63% 2.22% 247.36 1.00 -15.71
22. 2017/11/30 -9.28% 2.81% 70.19 2.52 -13.31
23. 2017/12/31 -3.94% 0.98% 9.24 0.06 0.72
24. 2018/01/31 -7.34% 5.62% 41.44 19.34 -28.31
25. 2018/02/28 -12.00% -3.89% 123.21 26.16 56.77
26. 2018/03/31 -4.46% -2.69% 12.73 15.28 13.94
27. 2018/04/30 4.38% 0.27% 27.82 0.90 -5.00
28. 2018/05/31 0.07% 2.16% 0.94 0.89 0.91
29. 2018/06/30 -2.49% 0.48% 2.52 0.54 1.17
30. 2018/07/31 0.15% 3.60% 1.09 5.67 2.49
31. 2018/08/31 -5.06% 3.03% 17.35 3.26 -7.52
32. 2018/09/30 -11.82% 0.43% 119.38 0.63 8.64
33. 2018/10/31 -10.54% -6.94% 92.98 66.59 78.69
34. 2018/11/30 -25.74% 1.79% 617.27 0.32 -14.06
35. 2018/12/31 1.07% -9.18% 3.86 108.11 -20.42
36. 2019/01/31 34.21% 7.87% 1,232.83 44.20 233.44
37. 2019/02/28 2.26% 2.97% 9.99 3.07 5.54
38. 2019/03/31 -3.75% 1.79% 8.16 0.33 -1.63
39. 2019/04/30 1.80% 3.93% 7.29 7.35 7.32
40. 2019/05/31 -7.18% -6.58% 39.44 60.81 48.97
41. 2019/06/30 11.33% 6.89% 149.63 32.18 69.39
42. 2019/07/31 -0.48% 1.31% 0.18 0.01 0.04
43. 2019/08/31 -21.05% -1.81% 406.22 9.18 61.05
44. 2019/09/30 8.48% 1.72% 88.03 0.25 4.67
45. 2019/10/31 11.63% 2.04% 157.02 0.68 10.31
46. 2019/11/30 12.93% 3.40% 191.09 4.77 30.20
47. 2019/12/31 -0.89% 2.86% 0.00 2.69 0.02
48. 2020/01/31 11.56% -0.16% 155.17 1.91 -17.23
49. 2020/02/29 -12.61% -8.41% 137.19 92.76 112.81
50. 2020/03/31 -26.93% -12.51% 677.69 188.57 357.48
51. 2020/04/30 -14.36% 12.68% 181.17 131.43 -154.31
52. 2020/05/31 -3.38% 4.53% 6.17 10.94 -8.22
53. 2020/06/30 4.11% 1.84% 25.07 0.38 3.10
54. 2020/07/31 -11.13% 5.51% 104.65 18.40 -43.89
55. 2020/08/31 4.45% 7.01% 28.58 33.48 30.93
56. 2020/09/30 -1.58% -3.92% 0.46 26.45 3.50
57. 2020/10/31 19.10% -2.77% 399.95 15.89 -79.73
58. 2020/11/30 37.20% 10.75% 1,451.18 90.91 363.21
59. 2020/12/31 6.19% 3.71% 50.21 6.21 17.66
合計 (Σ): 7,201.05 1,103.45 1,185.16

Show all

VarianceGE = Σ(RGE,tRGE)2 ÷ (59 – 1)
= 7,201.05 ÷ (59 – 1)
= 124.16

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,103.45 ÷ (59 – 1)
= 19.02

CovarianceGE, S&P 500 = Σ(RGE,tRGE)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,185.16 ÷ (59 – 1)
= 20.43


体系的なリスク推定 (β)

Microsoft Excel LibreOffice Calc
VarianceGE 124.16
VarianceS&P 500 19.02
CovarianceGE, S&P 500 20.43
相関係数GE, S&P 5001 0.42
βGE2 1.07
αGE3 -2.21%

ソース: General Electric Co. (NYSE:GE) | CAPM (www.stock-analysis-on.net)

計算

1 相関係数GE, S&P 500
= CovarianceGE, S&P 500 ÷ (Standard deviationGE × Standard deviationS&P 500)
= 20.43 ÷ (11.14% × 4.36%)
= 0.42

2 βGE
= CovarianceGE, S&P 500 ÷ VarianceS&P 500
= 20.43 ÷ 19.02
= 1.07

3 αGE
= 平均GE – βGE × 平均S&P 500
= -0.90%1.07 × 1.22%
= -2.21%


期待収益率

Microsoft Excel LibreOffice Calc
仮定
LT Treasury Compositeの収益率1 RF 2.16%
市場ポートフォリオの期待収益率2 E(RM) 11.73%
ゼネラルエレクトリックの普通株の体系的なリスク βGE 1.07
 
ゼネラルエレクトリックの普通株式の期待収益率3 E(RGE) 12.43%

ソース: General Electric Co. (NYSE:GE) | 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(RGE) = RF + βGE [E(RM) – RF]
= 2.16% + 1.07 [11.73%2.16%]
= 12.43%