Stock Analysis on Net

General Motors Co. (NYSE:GM)

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、 General Motors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 Motors Co.、月間収益率

Microsoft Excel
General Motors Co. (GM) Standard & Poor’s 500 (S&P 500)
t 日付 価格GM,t1 配当GM,t1 RGM,t2 価格S&P 500,t RS&P 500,t3
2020/01/31 $33.39 3,225.52
1. 2020/02/29 $30.50 -8.66% 2,954.22 -8.41%
2. 2020/03/31 $20.78 $0.38 -30.62% 2,584.59 -12.51%
3. 2020/04/30 $22.29 7.27% 2,912.43 12.68%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2024/11/30 $55.59 9.52% 6,032.38 5.73%
59. 2024/12/31 $53.27 $0.12 -3.96% 5,881.63 -2.50%
平均 (R): 1.54% 1.16%
標準偏差: 11.64% 5.28%
General Motors Co. (GM) Standard & Poor’s 500 (S&P 500)
t 日付 価格GM,t1 配当GM,t1 RGM,t2 価格S&P 500,t RS&P 500,t3
2020/01/31 $33.39 3,225.52
1. 2020/02/29 $30.50 -8.66% 2,954.22 -8.41%
2. 2020/03/31 $20.78 $0.38 -30.62% 2,584.59 -12.51%
3. 2020/04/30 $22.29 7.27% 2,912.43 12.68%
4. 2020/05/31 $25.88 16.11% 3,044.31 4.53%
5. 2020/06/30 $25.30 -2.24% 3,100.29 1.84%
6. 2020/07/31 $24.89 -1.62% 3,271.12 5.51%
7. 2020/08/31 $29.63 19.04% 3,500.31 7.01%
8. 2020/09/30 $29.59 -0.13% 3,363.00 -3.92%
9. 2020/10/31 $34.53 16.69% 3,269.96 -2.77%
10. 2020/11/30 $43.84 26.96% 3,621.63 10.75%
11. 2020/12/31 $41.64 -5.02% 3,756.07 3.71%
12. 2021/01/31 $50.68 21.71% 3,714.24 -1.11%
13. 2021/02/28 $51.33 1.28% 3,811.15 2.61%
14. 2021/03/31 $57.46 11.94% 3,972.89 4.24%
15. 2021/04/30 $57.22 -0.42% 4,181.17 5.24%
16. 2021/05/31 $59.31 3.65% 4,204.11 0.55%
17. 2021/06/30 $59.17 -0.24% 4,297.50 2.22%
18. 2021/07/31 $56.84 -3.94% 4,395.26 2.27%
19. 2021/08/31 $49.01 -13.78% 4,522.68 2.90%
20. 2021/09/30 $52.71 7.55% 4,307.54 -4.76%
21. 2021/10/31 $54.43 3.26% 4,605.38 6.91%
22. 2021/11/30 $57.87 6.32% 4,567.00 -0.83%
23. 2021/12/31 $58.63 1.31% 4,766.18 4.36%
24. 2022/01/31 $52.73 -10.06% 4,515.55 -5.26%
25. 2022/02/28 $46.72 -11.40% 4,373.94 -3.14%
26. 2022/03/31 $43.74 -6.38% 4,530.41 3.58%
27. 2022/04/30 $37.91 -13.33% 4,131.93 -8.80%
28. 2022/05/31 $38.68 2.03% 4,132.15 0.01%
29. 2022/06/30 $31.76 -17.89% 3,785.38 -8.39%
30. 2022/07/31 $36.26 14.17% 4,130.29 9.11%
31. 2022/08/31 $38.21 $0.09 5.63% 3,955.00 -4.24%
32. 2022/09/30 $32.09 -16.02% 3,585.62 -9.34%
33. 2022/10/31 $39.25 22.31% 3,871.98 7.99%
34. 2022/11/30 $40.56 3.34% 4,080.11 5.38%
35. 2022/12/31 $33.64 $0.09 -16.84% 3,839.50 -5.90%
36. 2023/01/31 $39.32 16.88% 4,076.60 6.18%
37. 2023/02/28 $38.74 -1.48% 3,970.15 -2.61%
38. 2023/03/31 $36.68 $0.09 -5.09% 4,109.31 3.51%
39. 2023/04/30 $33.04 -9.92% 4,169.48 1.46%
40. 2023/05/31 $32.41 -1.91% 4,179.83 0.25%
41. 2023/06/30 $38.56 $0.09 19.25% 4,376.86 4.71%
42. 2023/07/31 $38.37 -0.49% 4,588.96 4.85%
43. 2023/08/31 $33.51 $0.09 -12.43% 4,507.66 -1.77%
44. 2023/09/30 $32.97 -1.61% 4,288.05 -4.87%
45. 2023/10/31 $28.20 -14.47% 4,193.80 -2.20%
46. 2023/11/30 $31.60 $0.09 12.38% 4,567.80 8.92%
47. 2023/12/31 $35.92 13.67% 4,769.83 4.42%
48. 2024/01/31 $38.80 8.02% 4,845.65 1.59%
49. 2024/02/29 $40.98 $0.12 5.93% 5,096.27 5.17%
50. 2024/03/31 $45.35 10.66% 5,254.35 3.10%
51. 2024/04/30 $44.53 -1.81% 5,035.69 -4.16%
52. 2024/05/31 $44.99 1.03% 5,277.51 4.80%
53. 2024/06/30 $46.46 $0.12 3.53% 5,460.48 3.47%
54. 2024/07/31 $44.32 -4.61% 5,522.30 1.13%
55. 2024/08/31 $49.78 12.32% 5,648.40 2.28%
56. 2024/09/30 $44.84 $0.12 -9.68% 5,762.48 2.02%
57. 2024/10/31 $50.76 13.20% 5,705.45 -0.99%
58. 2024/11/30 $55.59 9.52% 6,032.38 5.73%
59. 2024/12/31 $53.27 $0.12 -3.96% 5,881.63 -2.50%
平均 (R): 1.54% 1.16%
標準偏差: 11.64% 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GM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 Motors Co.、分散の計算、および戻り値の共分散

Microsoft Excel
t 日付 RGM,t RS&P 500,t (RGM,tRGM)2 (RS&P 500,tRS&P 500)2 (RGM,tRGM)×(RS&P 500,tRS&P 500)
1. 2020/02/29 -8.66% -8.41% 103.98 91.63 97.61
2. 2020/03/31 -30.62% -12.51% 1,034.56 186.96 439.79
3. 2020/04/30 7.27% 12.68% 32.78 132.78 65.97
. . . . . . .
. . . . . . .
. . . . . . .
58. 2024/11/30 9.52% 5.73% 63.58 20.87 36.43
59. 2024/12/31 -3.96% -2.50% 30.24 13.40 20.13
トータル (Σ): 7,854.66 1,618.62 2,264.42
t 日付 RGM,t RS&P 500,t (RGM,tRGM)2 (RS&P 500,tRS&P 500)2 (RGM,tRGM)×(RS&P 500,tRS&P 500)
1. 2020/02/29 -8.66% -8.41% 103.98 91.63 97.61
2. 2020/03/31 -30.62% -12.51% 1,034.56 186.96 439.79
3. 2020/04/30 7.27% 12.68% 32.78 132.78 65.97
4. 2020/05/31 16.11% 4.53% 212.12 11.34 49.04
5. 2020/06/30 -2.24% 1.84% 14.31 0.46 -2.56
6. 2020/07/31 -1.62% 5.51% 10.00 18.91 -13.75
7. 2020/08/31 19.04% 7.01% 306.32 34.17 102.30
8. 2020/09/30 -0.13% -3.92% 2.81 25.85 8.52
9. 2020/10/31 16.69% -2.77% 229.62 15.43 -59.52
10. 2020/11/30 26.96% 10.75% 646.20 92.03 243.87
11. 2020/12/31 -5.02% 3.71% 43.03 6.51 -16.73
12. 2021/01/31 21.71% -1.11% 406.76 5.18 -45.88
13. 2021/02/28 1.28% 2.61% 0.07 2.10 -0.38
14. 2021/03/31 11.94% 4.24% 108.17 9.50 32.06
15. 2021/04/30 -0.42% 5.24% 3.84 16.66 -8.00
16. 2021/05/31 3.65% 0.55% 4.46 0.38 -1.29
17. 2021/06/30 -0.24% 2.22% 3.16 1.12 -1.88
18. 2021/07/31 -3.94% 2.27% 30.02 1.24 -6.10
19. 2021/08/31 -13.78% 2.90% 234.62 3.02 -26.62
20. 2021/09/30 7.55% -4.76% 36.09 35.02 -35.56
21. 2021/10/31 3.26% 6.91% 2.96 33.10 9.90
22. 2021/11/30 6.32% -0.83% 22.83 3.98 -9.53
23. 2021/12/31 1.31% 4.36% 0.05 10.24 -0.73
24. 2022/01/31 -10.06% -5.26% 134.67 41.21 74.50
25. 2022/02/28 -11.40% -3.14% 167.43 18.47 55.60
26. 2022/03/31 -6.38% 3.58% 62.73 5.84 -19.14
27. 2022/04/30 -13.33% -8.80% 221.13 99.14 148.06
28. 2022/05/31 2.03% 0.01% 0.24 1.34 -0.57
29. 2022/06/30 -17.89% -8.39% 377.60 91.26 185.64
30. 2022/07/31 14.17% 9.11% 159.44 63.21 100.39
31. 2022/08/31 5.63% -4.24% 16.68 29.22 -22.08
32. 2022/09/30 -16.02% -9.34% 308.30 110.27 184.38
33. 2022/10/31 22.31% 7.99% 431.42 46.58 141.76
34. 2022/11/30 3.34% 5.38% 3.23 17.76 7.57
35. 2022/12/31 -16.84% -5.90% 337.86 49.82 129.74
36. 2023/01/31 16.88% 6.18% 235.41 25.14 76.93
37. 2023/02/28 -1.48% -2.61% 9.10 14.23 11.38
38. 2023/03/31 -5.09% 3.51% 43.91 5.49 -15.53
39. 2023/04/30 -9.92% 1.46% 131.45 0.09 -3.47
40. 2023/05/31 -1.91% 0.25% 11.89 0.83 3.15
41. 2023/06/30 19.25% 4.71% 313.70 12.62 62.92
42. 2023/07/31 -0.49% 4.85% 4.14 13.58 -7.50
43. 2023/08/31 -12.43% -1.77% 195.25 8.60 40.98
44. 2023/09/30 -1.61% -4.87% 9.94 36.40 19.02
45. 2023/10/31 -14.47% -2.20% 256.30 11.28 53.78
46. 2023/11/30 12.38% 8.92% 117.38 60.17 84.04
47. 2023/12/31 13.67% 4.42% 147.12 10.64 39.56
48. 2024/01/31 8.02% 1.59% 41.94 0.18 2.77
49. 2024/02/29 5.93% 5.17% 19.24 16.09 17.59
50. 2024/03/31 10.66% 3.10% 83.21 3.77 17.70
51. 2024/04/30 -1.81% -4.16% 11.22 28.33 17.83
52. 2024/05/31 1.03% 4.80% 0.26 13.26 -1.85
53. 2024/06/30 3.53% 3.47% 3.97 5.32 4.59
54. 2024/07/31 -4.61% 1.13% 37.80 0.00 0.18
55. 2024/08/31 12.32% 2.28% 116.16 1.26 12.09
56. 2024/09/30 -9.68% 2.02% 125.98 0.74 -9.64
57. 2024/10/31 13.20% -0.99% 135.98 4.63 -25.08
58. 2024/11/30 9.52% 5.73% 63.58 20.87 36.43
59. 2024/12/31 -3.96% -2.50% 30.24 13.40 20.13
トータル (Σ): 7,854.66 1,618.62 2,264.42

すべて表示

分散GM = Σ(RGM,tRGM)2 ÷ (59 – 1)
= 7,854.66 ÷ (59 – 1)
= 135.43

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GM, S&P 500 = Σ(RGM,tRGM)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 2,264.42 ÷ (59 – 1)
= 39.04


システマティックなリスク推定 (β)

Microsoft Excel
分散GM 135.43
分散S&P 500 27.91
共 分散GM, S&P 500 39.04
相関係数GM, S&P 5001 0.64
βGM2 1.40
αGM3 -0.08%

計算

1 相関係数GM, S&P 500
= 共 分散GM, S&P 500 ÷ (標準偏差GM × 標準偏差S&P 500)
= 39.04 ÷ (11.64% × 5.28%)
= 0.64

2 βGM
= 共 分散GM, S&P 500 ÷ 分散S&P 500
= 39.04 ÷ 27.91
= 1.40

3 αGM
= 平均GM – βGM × 平均S&P 500
= 1.54%1.40 × 1.16%
= -0.08%


期待収益率

Microsoft Excel
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) 14.72%
普通株式 General Motors システマティックリスク βGM 1.40
 
ゼネラルモーターズの普通株式の期待収益率3 E(RGM) 18.70%

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(RGM) = RF + βGM [E(RM) – RF]
= 4.76% + 1.40 [14.72%4.76%]
= 18.70%