資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 General Mills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
General Mills Inc.、月間収益率
| General Mills Inc. (GIS) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格GIS,t1 | 配当GIS,t1 | RGIS,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2013/06/30 | $48.53 | 1,606.28 | ||||
| 1. | 2013/07/31 | $52.00 | $0.38 | 7.93% | 1,685.73 | 4.95% |
| 2. | 2013/08/31 | $49.32 | -5.15% | 1,632.97 | -3.13% | |
| 3. | 2013/09/30 | $47.92 | -2.84% | 1,681.55 | 2.97% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2019/04/30 | $51.47 | $0.49 | 0.41% | 2,945.83 | 3.93% |
| 71. | 2019/05/31 | $49.44 | -3.94% | 2,752.06 | -6.58% | |
| 平均 (R): | 0.44% | 0.82% | ||||
| 標準偏差： | 5.11% | 3.30% | ||||
| General Mills Inc. (GIS) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格GIS,t1 | 配当GIS,t1 | RGIS,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2013/06/30 | $48.53 | 1,606.28 | ||||
| 1. | 2013/07/31 | $52.00 | $0.38 | 7.93% | 1,685.73 | 4.95% |
| 2. | 2013/08/31 | $49.32 | -5.15% | 1,632.97 | -3.13% | |
| 3. | 2013/09/30 | $47.92 | -2.84% | 1,681.55 | 2.97% | |
| 4. | 2013/10/31 | $50.42 | $0.38 | 6.01% | 1,756.54 | 4.46% |
| 5. | 2013/11/30 | $50.43 | 0.02% | 1,805.81 | 2.80% | |
| 6. | 2013/12/31 | $49.91 | -1.03% | 1,848.36 | 2.36% | |
| 7. | 2014/01/31 | $48.02 | $0.38 | -3.03% | 1,782.59 | -3.56% |
| 8. | 2014/02/28 | $50.03 | 4.19% | 1,859.45 | 4.31% | |
| 9. | 2014/03/31 | $51.82 | 3.58% | 1,872.34 | 0.69% | |
| 10. | 2014/04/30 | $53.02 | $0.41 | 3.11% | 1,883.95 | 0.62% |
| 11. | 2014/05/31 | $54.93 | 3.60% | 1,923.57 | 2.10% | |
| 12. | 2014/06/30 | $52.54 | -4.35% | 1,960.23 | 1.91% | |
| 13. | 2014/07/31 | $50.15 | $0.41 | -3.77% | 1,930.67 | -1.51% |
| 14. | 2014/08/31 | $53.38 | 6.44% | 2,003.37 | 3.77% | |
| 15. | 2014/09/30 | $50.45 | -5.49% | 1,972.29 | -1.55% | |
| 16. | 2014/10/31 | $51.96 | $0.41 | 3.81% | 2,018.05 | 2.32% |
| 17. | 2014/11/30 | $52.75 | 1.52% | 2,067.56 | 2.45% | |
| 18. | 2014/12/31 | $53.33 | 1.10% | 2,058.90 | -0.42% | |
| 19. | 2015/01/31 | $52.48 | $0.41 | -0.83% | 1,994.99 | -3.10% |
| 20. | 2015/02/28 | $53.79 | 2.50% | 2,104.50 | 5.49% | |
| 21. | 2015/03/31 | $56.60 | 5.22% | 2,067.89 | -1.74% | |
| 22. | 2015/04/30 | $55.34 | $0.44 | -1.45% | 2,085.51 | 0.85% |
| 23. | 2015/05/31 | $56.15 | 1.46% | 2,107.39 | 1.05% | |
| 24. | 2015/06/30 | $55.72 | -0.77% | 2,063.11 | -2.10% | |
| 25. | 2015/07/31 | $58.21 | $0.44 | 5.26% | 2,103.84 | 1.97% |
| 26. | 2015/08/31 | $56.76 | -2.49% | 1,972.18 | -6.26% | |
| 27. | 2015/09/30 | $56.13 | -1.11% | 1,920.03 | -2.64% | |
| 28. | 2015/10/31 | $58.11 | $0.44 | 4.31% | 2,079.36 | 8.30% |
| 29. | 2015/11/30 | $57.76 | -0.60% | 2,080.41 | 0.05% | |
| 30. | 2015/12/31 | $57.66 | -0.17% | 2,043.94 | -1.75% | |
| 31. | 2016/01/31 | $56.51 | $0.44 | -1.23% | 1,940.24 | -5.07% |
| 32. | 2016/02/29 | $58.85 | 4.14% | 1,932.23 | -0.41% | |
| 33. | 2016/03/31 | $63.35 | 7.65% | 2,059.74 | 6.60% | |
| 34. | 2016/04/30 | $61.34 | $0.46 | -2.45% | 2,065.30 | 0.27% |
| 35. | 2016/05/31 | $62.78 | 2.35% | 2,096.95 | 1.53% | |
| 36. | 2016/06/30 | $71.32 | 13.60% | 2,098.86 | 0.09% | |
| 37. | 2016/07/31 | $71.89 | $0.48 | 1.47% | 2,173.60 | 3.56% |
| 38. | 2016/08/31 | $70.82 | -1.49% | 2,170.95 | -0.12% | |
| 39. | 2016/09/30 | $63.88 | -9.80% | 2,168.27 | -0.12% | |
| 40. | 2016/10/31 | $61.98 | $0.48 | -2.22% | 2,126.15 | -1.94% |
| 41. | 2016/11/30 | $60.94 | -1.68% | 2,198.81 | 3.42% | |
| 42. | 2016/12/31 | $61.77 | 1.36% | 2,238.83 | 1.82% | |
| 43. | 2017/01/31 | $62.48 | $0.48 | 1.93% | 2,278.87 | 1.79% |
| 44. | 2017/02/28 | $60.37 | -3.38% | 2,363.64 | 3.72% | |
| 45. | 2017/03/31 | $59.01 | -2.25% | 2,362.72 | -0.04% | |
| 46. | 2017/04/30 | $57.51 | $0.48 | -1.73% | 2,384.20 | 0.91% |
| 47. | 2017/05/31 | $56.74 | -1.34% | 2,411.80 | 1.16% | |
| 48. | 2017/06/30 | $55.40 | -2.36% | 2,423.41 | 0.48% | |
| 49. | 2017/07/31 | $55.66 | $0.49 | 1.35% | 2,470.30 | 1.93% |
| 50. | 2017/08/31 | $53.26 | -4.31% | 2,471.65 | 0.05% | |
| 51. | 2017/09/30 | $51.76 | -2.82% | 2,519.36 | 1.93% | |
| 52. | 2017/10/31 | $51.92 | $0.49 | 1.26% | 2,575.26 | 2.22% |
| 53. | 2017/11/30 | $56.56 | 8.94% | 2,647.58 | 2.81% | |
| 54. | 2017/12/31 | $59.29 | 4.83% | 2,673.61 | 0.98% | |
| 55. | 2018/01/31 | $58.49 | $0.49 | -0.52% | 2,823.81 | 5.62% |
| 56. | 2018/02/28 | $50.55 | -13.57% | 2,713.83 | -3.89% | |
| 57. | 2018/03/31 | $45.06 | -10.86% | 2,640.87 | -2.69% | |
| 58. | 2018/04/30 | $43.74 | $0.49 | -1.84% | 2,648.05 | 0.27% |
| 59. | 2018/05/31 | $42.29 | -3.32% | 2,705.27 | 2.16% | |
| 60. | 2018/06/30 | $44.26 | 4.66% | 2,718.37 | 0.48% | |
| 61. | 2018/07/31 | $46.06 | $0.49 | 5.17% | 2,816.29 | 3.60% |
| 62. | 2018/08/31 | $46.01 | -0.11% | 2,901.52 | 3.03% | |
| 63. | 2018/09/30 | $42.92 | -6.72% | 2,913.98 | 0.43% | |
| 64. | 2018/10/31 | $43.80 | $0.49 | 3.19% | 2,711.74 | -6.94% |
| 65. | 2018/11/30 | $42.31 | -3.40% | 2,760.17 | 1.79% | |
| 66. | 2018/12/31 | $38.94 | -7.97% | 2,506.85 | -9.18% | |
| 67. | 2019/01/31 | $44.44 | $0.49 | 15.38% | 2,704.10 | 7.87% |
| 68. | 2019/02/28 | $47.13 | 6.05% | 2,784.49 | 2.97% | |
| 69. | 2019/03/31 | $51.75 | 9.80% | 2,834.40 | 1.79% | |
| 70. | 2019/04/30 | $51.47 | $0.49 | 0.41% | 2,945.83 | 3.93% |
| 71. | 2019/05/31 | $49.44 | -3.94% | 2,752.06 | -6.58% | |
| 平均 (R): | 0.44% | 0.82% | ||||
| 標準偏差： | 5.11% | 3.30% | ||||
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GIS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
General Mills Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RGIS,t | RS&P 500,t | (RGIS,t–RGIS)2 | (RS&P 500,t–RS&P 500)2 | (RGIS,t–RGIS)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2013/07/31 | 7.93% | 4.95% | 56.15 | 17.06 | 30.95 |
| 2. | 2013/08/31 | -5.15% | -3.13% | 31.29 | 15.56 | 22.07 |
| 3. | 2013/09/30 | -2.84% | 2.97% | 10.75 | 4.66 | -7.08 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2019/04/30 | 0.41% | 3.93% | 0.00 | 9.71 | -0.11 |
| 71. | 2019/05/31 | -3.94% | -6.58% | 19.22 | 54.66 | 32.41 |
| トータル (Σ): | 1,827.06 | 764.43 | 604.32 | |||
| t | 日付 | RGIS,t | RS&P 500,t | (RGIS,t–RGIS)2 | (RS&P 500,t–RS&P 500)2 | (RGIS,t–RGIS)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2013/07/31 | 7.93% | 4.95% | 56.15 | 17.06 | 30.95 |
| 2. | 2013/08/31 | -5.15% | -3.13% | 31.29 | 15.56 | 22.07 |
| 3. | 2013/09/30 | -2.84% | 2.97% | 10.75 | 4.66 | -7.08 |
| 4. | 2013/10/31 | 6.01% | 4.46% | 31.03 | 13.28 | 20.30 |
| 5. | 2013/11/30 | 0.02% | 2.80% | 0.18 | 3.96 | -0.84 |
| 6. | 2013/12/31 | -1.03% | 2.36% | 2.16 | 2.37 | -2.27 |
| 7. | 2014/01/31 | -3.03% | -3.56% | 12.01 | 19.13 | 15.16 |
| 8. | 2014/02/28 | 4.19% | 4.31% | 14.03 | 12.22 | 13.10 |
| 9. | 2014/03/31 | 3.58% | 0.69% | 9.85 | 0.01 | -0.38 |
| 10. | 2014/04/30 | 3.11% | 0.62% | 7.11 | 0.04 | -0.52 |
| 11. | 2014/05/31 | 3.60% | 2.10% | 10.00 | 1.66 | 4.07 |
| 12. | 2014/06/30 | -4.35% | 1.91% | 22.95 | 1.19 | -5.22 |
| 13. | 2014/07/31 | -3.77% | -1.51% | 17.71 | 5.40 | 9.78 |
| 14. | 2014/08/31 | 6.44% | 3.77% | 36.01 | 8.70 | 17.70 |
| 15. | 2014/09/30 | -5.49% | -1.55% | 35.15 | 5.60 | 14.03 |
| 16. | 2014/10/31 | 3.81% | 2.32% | 11.33 | 2.26 | 5.07 |
| 17. | 2014/11/30 | 1.52% | 2.45% | 1.17 | 2.68 | 1.77 |
| 18. | 2014/12/31 | 1.10% | -0.42% | 0.44 | 1.52 | -0.81 |
| 19. | 2015/01/31 | -0.83% | -3.10% | 1.60 | 15.36 | 4.96 |
| 20. | 2015/02/28 | 2.50% | 5.49% | 4.23 | 21.85 | 9.61 |
| 21. | 2015/03/31 | 5.22% | -1.74% | 22.89 | 6.53 | -12.22 |
| 22. | 2015/04/30 | -1.45% | 0.85% | 3.57 | 0.00 | -0.07 |
| 23. | 2015/05/31 | 1.46% | 1.05% | 1.05 | 0.05 | 0.24 |
| 24. | 2015/06/30 | -0.77% | -2.10% | 1.45 | 8.51 | 3.52 |
| 25. | 2015/07/31 | 5.26% | 1.97% | 23.22 | 1.34 | 5.58 |
| 26. | 2015/08/31 | -2.49% | -6.26% | 8.59 | 50.03 | 20.73 |
| 27. | 2015/09/30 | -1.11% | -2.64% | 2.40 | 11.97 | 5.36 |
| 28. | 2015/10/31 | 4.31% | 8.30% | 14.99 | 55.99 | 28.97 |
| 29. | 2015/11/30 | -0.60% | 0.05% | 1.09 | 0.59 | 0.80 |
| 30. | 2015/12/31 | -0.17% | -1.75% | 0.38 | 6.60 | 1.57 |
| 31. | 2016/01/31 | -1.23% | -5.07% | 2.79 | 34.68 | 9.84 |
| 32. | 2016/02/29 | 4.14% | -0.41% | 13.70 | 1.51 | -4.55 |
| 33. | 2016/03/31 | 7.65% | 6.60% | 51.94 | 33.45 | 41.68 |
| 34. | 2016/04/30 | -2.45% | 0.27% | 8.33 | 0.30 | 1.57 |
| 35. | 2016/05/31 | 2.35% | 1.53% | 3.64 | 0.51 | 1.37 |
| 36. | 2016/06/30 | 13.60% | 0.09% | 173.27 | 0.52 | -9.53 |
| 37. | 2016/07/31 | 1.47% | 3.56% | 1.07 | 7.54 | 2.83 |
| 38. | 2016/08/31 | -1.49% | -0.12% | 3.72 | 0.88 | 1.81 |
| 39. | 2016/09/30 | -9.80% | -0.12% | 104.84 | 0.88 | 9.61 |
| 40. | 2016/10/31 | -2.22% | -1.94% | 7.09 | 7.61 | 7.34 |
| 41. | 2016/11/30 | -1.68% | 3.42% | 4.48 | 6.77 | -5.51 |
| 42. | 2016/12/31 | 1.36% | 1.82% | 0.85 | 1.01 | 0.93 |
| 43. | 2017/01/31 | 1.93% | 1.79% | 2.21 | 0.95 | 1.45 |
| 44. | 2017/02/28 | -3.38% | 3.72% | 14.57 | 8.44 | -11.09 |
| 45. | 2017/03/31 | -2.25% | -0.04% | 7.25 | 0.73 | 2.30 |
| 46. | 2017/04/30 | -1.73% | 0.91% | 4.70 | 0.01 | -0.20 |
| 47. | 2017/05/31 | -1.34% | 1.16% | 3.16 | 0.12 | -0.61 |
| 48. | 2017/06/30 | -2.36% | 0.48% | 7.85 | 0.11 | 0.94 |
| 49. | 2017/07/31 | 1.35% | 1.93% | 0.84 | 1.25 | 1.02 |
| 50. | 2017/08/31 | -4.31% | 0.05% | 22.58 | 0.58 | 3.61 |
| 51. | 2017/09/30 | -2.82% | 1.93% | 10.60 | 1.24 | -3.63 |
| 52. | 2017/10/31 | 1.26% | 2.22% | 0.67 | 1.97 | 1.15 |
| 53. | 2017/11/30 | 8.94% | 2.81% | 72.20 | 3.97 | 16.93 |
| 54. | 2017/12/31 | 4.83% | 0.98% | 19.25 | 0.03 | 0.74 |
| 55. | 2018/01/31 | -0.52% | 5.62% | 0.93 | 23.06 | -4.62 |
| 56. | 2018/02/28 | -13.57% | -3.89% | 196.41 | 22.19 | 66.01 |
| 57. | 2018/03/31 | -10.86% | -2.69% | 127.70 | 12.28 | 39.59 |
| 58. | 2018/04/30 | -1.84% | 0.27% | 5.21 | 0.30 | 1.24 |
| 59. | 2018/05/31 | -3.32% | 2.16% | 14.10 | 1.81 | -5.05 |
| 60. | 2018/06/30 | 4.66% | 0.48% | 17.80 | 0.11 | -1.40 |
| 61. | 2018/07/31 | 5.17% | 3.60% | 22.41 | 7.77 | 13.19 |
| 62. | 2018/08/31 | -0.11% | 3.03% | 0.30 | 4.89 | -1.21 |
| 63. | 2018/09/30 | -6.72% | 0.43% | 51.20 | 0.15 | 2.76 |
| 64. | 2018/10/31 | 3.19% | -6.94% | 7.58 | 60.15 | -21.35 |
| 65. | 2018/11/30 | -3.40% | 1.79% | 14.76 | 0.94 | -3.73 |
| 66. | 2018/12/31 | -7.97% | -9.18% | 70.64 | 99.86 | 83.99 |
| 67. | 2019/01/31 | 15.38% | 7.87% | 223.29 | 49.75 | 105.39 |
| 68. | 2019/02/28 | 6.05% | 2.97% | 31.51 | 4.65 | 12.11 |
| 69. | 2019/03/31 | 9.80% | 1.79% | 87.67 | 0.95 | 9.15 |
| 70. | 2019/04/30 | 0.41% | 3.93% | 0.00 | 9.71 | -0.11 |
| 71. | 2019/05/31 | -3.94% | -6.58% | 19.22 | 54.66 | 32.41 |
| トータル (Σ): | 1,827.06 | 764.43 | 604.32 | |||
すべて表示
分散GIS = Σ(RGIS,t–RGIS)2 ÷ (71 – 1)
= 1,827.06 ÷ (71 – 1)
= 26.10
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 764.43 ÷ (71 – 1)
= 10.92
共 分散GIS, S&P 500 = Σ(RGIS,t–RGIS)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 604.32 ÷ (71 – 1)
= 8.63
システマティックなリスク推定 (β)
| 分散GIS | 26.10 |
| 分散S&P 500 | 10.92 |
| 共 分散GIS, S&P 500 | 8.63 |
| 相関係数GIS, S&P 5001 | 0.51 |
| βGIS2 | 0.79 |
| αGIS3 | -0.20% |
計算
1 相関係数GIS, S&P 500
= 共 分散GIS, S&P 500 ÷ (標準偏差GIS × 標準偏差S&P 500)
= 8.63 ÷ (5.11% × 3.30%)
= 0.51
2 βGIS
= 共 分散GIS, S&P 500 ÷ 分散S&P 500
= 8.63 ÷ 10.92
= 0.79
3 αGIS
= 平均GIS – βGIS × 平均S&P 500
= 0.44% – 0.79 × 0.82%
= -0.20%
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 General Mills システマティックリスク | βGIS | 0.79 |
| ゼネラル・ミルズの普通株式の期待収益率3 | E(RGIS) | 12.76% |
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(RGIS) = RF + βGIS [E(RM) – RF]
= 4.91% + 0.79 [14.84% – 4.91%]
= 12.76%