資本資産価格モデル (CAPM)
資本資産価格モデル(CAPM)は、 Hessの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
Hess Corp.、月間収益率
| Hess Corp. (HES) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格HES,t1 | 配当HES,t1 | RHES,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2018/01/31 | $50.51 | 2,823.81 | ||||
| 1. | 2018/02/28 | $45.42 | -10.08% | 2,713.83 | -3.89% | |
| 2. | 2018/03/31 | $50.62 | $0.25 | 12.00% | 2,640.87 | -2.69% |
| 3. | 2018/04/30 | $56.99 | 12.58% | 2,648.05 | 0.27% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022/11/30 | $143.91 | 2.01% | 4,080.11 | 5.38% | |
| 59. | 2022/12/31 | $141.82 | $0.375 | -1.19% | 3,839.50 | -5.90% |
| 平均 (R): | 2.91% | 0.67% | ||||
| 標準偏差： | 14.28% | 5.40% | ||||
| Hess Corp. (HES) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格HES,t1 | 配当HES,t1 | RHES,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2018/01/31 | $50.51 | 2,823.81 | ||||
| 1. | 2018/02/28 | $45.42 | -10.08% | 2,713.83 | -3.89% | |
| 2. | 2018/03/31 | $50.62 | $0.25 | 12.00% | 2,640.87 | -2.69% |
| 3. | 2018/04/30 | $56.99 | 12.58% | 2,648.05 | 0.27% | |
| 4. | 2018/05/31 | $60.42 | 6.02% | 2,705.27 | 2.16% | |
| 5. | 2018/06/30 | $66.89 | $0.25 | 11.12% | 2,718.37 | 0.48% |
| 6. | 2018/07/31 | $65.63 | -1.88% | 2,816.29 | 3.60% | |
| 7. | 2018/08/31 | $67.34 | 2.61% | 2,901.52 | 3.03% | |
| 8. | 2018/09/30 | $71.58 | $0.25 | 6.67% | 2,913.98 | 0.43% |
| 9. | 2018/10/31 | $57.40 | -19.81% | 2,711.74 | -6.94% | |
| 10. | 2018/11/30 | $53.89 | -6.11% | 2,760.17 | 1.79% | |
| 11. | 2018/12/31 | $40.50 | $0.25 | -24.38% | 2,506.85 | -9.18% |
| 12. | 2019/01/31 | $54.00 | 33.33% | 2,704.10 | 7.87% | |
| 13. | 2019/02/28 | $57.85 | 7.13% | 2,784.49 | 2.97% | |
| 14. | 2019/03/31 | $60.23 | $0.25 | 4.55% | 2,834.40 | 1.79% |
| 15. | 2019/04/30 | $64.12 | 6.46% | 2,945.83 | 3.93% | |
| 16. | 2019/05/31 | $55.86 | -12.88% | 2,752.06 | -6.58% | |
| 17. | 2019/06/30 | $63.57 | $0.25 | 14.25% | 2,941.76 | 6.89% |
| 18. | 2019/07/31 | $64.84 | 2.00% | 2,980.38 | 1.31% | |
| 19. | 2019/08/31 | $62.95 | -2.91% | 2,926.46 | -1.81% | |
| 20. | 2019/09/30 | $60.48 | $0.25 | -3.53% | 2,976.74 | 1.72% |
| 21. | 2019/10/31 | $65.75 | 8.71% | 3,037.56 | 2.04% | |
| 22. | 2019/11/30 | $62.09 | -5.57% | 3,140.98 | 3.40% | |
| 23. | 2019/12/31 | $66.81 | $0.25 | 8.00% | 3,230.78 | 2.86% |
| 24. | 2020/01/31 | $56.57 | -15.33% | 3,225.52 | -0.16% | |
| 25. | 2020/02/29 | $56.18 | -0.69% | 2,954.22 | -8.41% | |
| 26. | 2020/03/31 | $33.30 | $0.25 | -40.28% | 2,584.59 | -12.51% |
| 27. | 2020/04/30 | $48.64 | 46.07% | 2,912.43 | 12.68% | |
| 28. | 2020/05/31 | $47.47 | -2.41% | 3,044.31 | 4.53% | |
| 29. | 2020/06/30 | $51.81 | $0.25 | 9.67% | 3,100.29 | 1.84% |
| 30. | 2020/07/31 | $49.21 | -5.02% | 3,271.12 | 5.51% | |
| 31. | 2020/08/31 | $46.04 | -6.44% | 3,500.31 | 7.01% | |
| 32. | 2020/09/30 | $40.93 | $0.25 | -10.56% | 3,363.00 | -3.92% |
| 33. | 2020/10/31 | $37.22 | -9.06% | 3,269.96 | -2.77% | |
| 34. | 2020/11/30 | $47.18 | 26.76% | 3,621.63 | 10.75% | |
| 35. | 2020/12/31 | $52.79 | $0.25 | 12.42% | 3,756.07 | 3.71% |
| 36. | 2021/01/31 | $53.98 | 2.25% | 3,714.24 | -1.11% | |
| 37. | 2021/02/28 | $65.53 | 21.40% | 3,811.15 | 2.61% | |
| 38. | 2021/03/31 | $70.76 | $0.25 | 8.36% | 3,972.89 | 4.24% |
| 39. | 2021/04/30 | $74.51 | 5.30% | 4,181.17 | 5.24% | |
| 40. | 2021/05/31 | $83.82 | 12.49% | 4,204.11 | 0.55% | |
| 41. | 2021/06/30 | $87.32 | $0.25 | 4.47% | 4,297.50 | 2.22% |
| 42. | 2021/07/31 | $76.44 | -12.46% | 4,395.26 | 2.27% | |
| 43. | 2021/08/31 | $68.75 | -10.06% | 4,522.68 | 2.90% | |
| 44. | 2021/09/30 | $78.11 | $0.25 | 13.98% | 4,307.54 | -4.76% |
| 45. | 2021/10/31 | $82.57 | 5.71% | 4,605.38 | 6.91% | |
| 46. | 2021/11/30 | $74.52 | -9.75% | 4,567.00 | -0.83% | |
| 47. | 2021/12/31 | $74.03 | $0.25 | -0.32% | 4,766.18 | 4.36% |
| 48. | 2022/01/31 | $92.29 | 24.67% | 4,515.55 | -5.26% | |
| 49. | 2022/02/28 | $101.06 | 9.50% | 4,373.94 | -3.14% | |
| 50. | 2022/03/31 | $107.04 | $0.375 | 6.29% | 4,530.41 | 3.58% |
| 51. | 2022/04/30 | $103.07 | -3.71% | 4,131.93 | -8.80% | |
| 52. | 2022/05/31 | $123.07 | 19.40% | 4,132.15 | 0.01% | |
| 53. | 2022/06/30 | $105.94 | $0.375 | -13.61% | 3,785.38 | -8.39% |
| 54. | 2022/07/31 | $112.47 | 6.16% | 4,130.29 | 9.11% | |
| 55. | 2022/08/31 | $120.78 | 7.39% | 3,955.00 | -4.24% | |
| 56. | 2022/09/30 | $108.99 | $0.375 | -9.45% | 3,585.62 | -9.34% |
| 57. | 2022/10/31 | $141.08 | 29.44% | 3,871.98 | 7.99% | |
| 58. | 2022/11/30 | $143.91 | 2.01% | 4,080.11 | 5.38% | |
| 59. | 2022/12/31 | $141.82 | $0.375 | -1.19% | 3,839.50 | -5.90% |
| 平均 (R): | 2.91% | 0.67% | ||||
| 標準偏差： | 14.28% | 5.40% | ||||
すべて表示
1 普通株式1株当たり米ドルで、分割および株式配当を調整したデータ。
2 期間 t中のHES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プロキシ)の収益率。
分散と共分散
Hess Corp.、分散の計算、および戻り値の共分散
| t | 日付 | RHES,t | RS&P 500,t | (RHES,t–RHES)2 | (RS&P 500,t–RS&P 500)2 | (RHES,t–RHES)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018/02/28 | -10.08% | -3.89% | 168.66 | 20.81 | 59.24 |
| 2. | 2018/03/31 | 12.00% | -2.69% | 82.62 | 11.26 | -30.50 |
| 3. | 2018/04/30 | 12.58% | 0.27% | 93.59 | 0.16 | -3.82 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022/11/30 | 2.01% | 5.38% | 0.82 | 22.17 | -4.26 |
| 59. | 2022/12/31 | -1.19% | -5.90% | 16.82 | 43.08 | 26.92 |
| トータル (Σ): | 11,827.40 | 1,691.48 | 2,654.88 | |||
| t | 日付 | RHES,t | RS&P 500,t | (RHES,t–RHES)2 | (RS&P 500,t–RS&P 500)2 | (RHES,t–RHES)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018/02/28 | -10.08% | -3.89% | 168.66 | 20.81 | 59.24 |
| 2. | 2018/03/31 | 12.00% | -2.69% | 82.62 | 11.26 | -30.50 |
| 3. | 2018/04/30 | 12.58% | 0.27% | 93.59 | 0.16 | -3.82 |
| 4. | 2018/05/31 | 6.02% | 2.16% | 9.66 | 2.23 | 4.65 |
| 5. | 2018/06/30 | 11.12% | 0.48% | 67.44 | 0.03 | -1.50 |
| 6. | 2018/07/31 | -1.88% | 3.60% | 22.98 | 8.62 | -14.07 |
| 7. | 2018/08/31 | 2.61% | 3.03% | 0.09 | 5.57 | -0.72 |
| 8. | 2018/09/30 | 6.67% | 0.43% | 14.12 | 0.06 | -0.89 |
| 9. | 2018/10/31 | -19.81% | -6.94% | 516.19 | 57.87 | 172.83 |
| 10. | 2018/11/30 | -6.11% | 1.79% | 81.45 | 1.25 | -10.10 |
| 11. | 2018/12/31 | -24.38% | -9.18% | 744.90 | 96.91 | 268.68 |
| 12. | 2019/01/31 | 33.33% | 7.87% | 925.59 | 51.87 | 219.10 |
| 13. | 2019/02/28 | 7.13% | 2.97% | 17.81 | 5.32 | 9.73 |
| 14. | 2019/03/31 | 4.55% | 1.79% | 2.68 | 1.27 | 1.84 |
| 15. | 2019/04/30 | 6.46% | 3.93% | 12.59 | 10.66 | 11.59 |
| 16. | 2019/05/31 | -12.88% | -6.58% | 249.38 | 52.48 | 114.40 |
| 17. | 2019/06/30 | 14.25% | 6.89% | 128.60 | 38.77 | 70.61 |
| 18. | 2019/07/31 | 2.00% | 1.31% | 0.83 | 0.42 | -0.59 |
| 19. | 2019/08/31 | -2.91% | -1.81% | 33.93 | 6.13 | 14.42 |
| 20. | 2019/09/30 | -3.53% | 1.72% | 41.43 | 1.11 | -6.77 |
| 21. | 2019/10/31 | 8.71% | 2.04% | 33.68 | 1.89 | 7.99 |
| 22. | 2019/11/30 | -5.57% | 3.40% | 71.85 | 7.50 | -23.21 |
| 23. | 2019/12/31 | 8.00% | 2.86% | 25.96 | 4.81 | 11.17 |
| 24. | 2020/01/31 | -15.33% | -0.16% | 332.58 | 0.69 | 15.13 |
| 25. | 2020/02/29 | -0.69% | -8.41% | 12.95 | 82.40 | 32.67 |
| 26. | 2020/03/31 | -40.28% | -12.51% | 1,865.47 | 173.67 | 569.20 |
| 27. | 2020/04/30 | 46.07% | 12.68% | 1,862.46 | 144.43 | 518.64 |
| 28. | 2020/05/31 | -2.41% | 4.53% | 28.25 | 14.91 | -20.52 |
| 29. | 2020/06/30 | 9.67% | 1.84% | 45.69 | 1.37 | 7.92 |
| 30. | 2020/07/31 | -5.02% | 5.51% | 62.86 | 23.46 | -38.40 |
| 31. | 2020/08/31 | -6.44% | 7.01% | 87.45 | 40.19 | -59.29 |
| 32. | 2020/09/30 | -10.56% | -3.92% | 181.33 | 21.06 | 61.80 |
| 33. | 2020/10/31 | -9.06% | -2.77% | 143.38 | 11.79 | 41.11 |
| 34. | 2020/11/30 | 26.76% | 10.75% | 568.82 | 101.77 | 240.60 |
| 35. | 2020/12/31 | 12.42% | 3.71% | 90.45 | 9.28 | 28.96 |
| 36. | 2021/01/31 | 2.25% | -1.11% | 0.43 | 3.17 | 1.17 |
| 37. | 2021/02/28 | 21.40% | 2.61% | 341.77 | 3.77 | 35.91 |
| 38. | 2021/03/31 | 8.36% | 4.24% | 29.73 | 12.80 | 19.51 |
| 39. | 2021/04/30 | 5.30% | 5.24% | 5.71 | 20.94 | 10.94 |
| 40. | 2021/05/31 | 12.49% | 0.55% | 91.88 | 0.01 | -1.13 |
| 41. | 2021/06/30 | 4.47% | 2.22% | 2.45 | 2.42 | 2.43 |
| 42. | 2021/07/31 | -12.46% | 2.27% | 236.23 | 2.59 | -24.72 |
| 43. | 2021/08/31 | -10.06% | 2.90% | 168.22 | 4.98 | -28.95 |
| 44. | 2021/09/30 | 13.98% | -4.76% | 122.51 | 29.42 | -60.03 |
| 45. | 2021/10/31 | 5.71% | 6.91% | 7.84 | 39.03 | 17.49 |
| 46. | 2021/11/30 | -9.75% | -0.83% | 160.25 | 2.25 | 18.99 |
| 47. | 2021/12/31 | -0.32% | 4.36% | 10.45 | 13.65 | -11.94 |
| 48. | 2022/01/31 | 24.67% | -5.26% | 473.32 | 35.11 | -128.91 |
| 49. | 2022/02/28 | 9.50% | -3.14% | 43.47 | 14.46 | -25.07 |
| 50. | 2022/03/31 | 6.29% | 3.58% | 11.41 | 8.47 | 9.83 |
| 51. | 2022/04/30 | -3.71% | -8.80% | 43.81 | 89.54 | 62.63 |
| 52. | 2022/05/31 | 19.40% | 0.01% | 272.07 | 0.44 | -10.91 |
| 53. | 2022/06/30 | -13.61% | -8.39% | 273.04 | 82.06 | 149.69 |
| 54. | 2022/07/31 | 6.16% | 9.11% | 10.59 | 71.32 | 27.48 |
| 55. | 2022/08/31 | 7.39% | -4.24% | 20.06 | 24.11 | -21.99 |
| 56. | 2022/09/30 | -9.45% | -9.34% | 152.79 | 100.12 | 123.69 |
| 57. | 2022/10/31 | 29.44% | 7.99% | 704.01 | 53.58 | 194.22 |
| 58. | 2022/11/30 | 2.01% | 5.38% | 0.82 | 22.17 | -4.26 |
| 59. | 2022/12/31 | -1.19% | -5.90% | 16.82 | 43.08 | 26.92 |
| トータル (Σ): | 11,827.40 | 1,691.48 | 2,654.88 | |||
すべて表示
分散HES = Σ(RHES,t–RHES)2 ÷ (59 – 1)
= 11,827.40 ÷ (59 – 1)
= 203.92
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16
共 分散HES, S&P 500 = Σ(RHES,t–RHES)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 2,654.88 ÷ (59 – 1)
= 45.77
システマティックリスク推定 (β)
| 分散HES | 203.92 |
| 分散S&P 500 | 29.16 |
| 共 分散HES, S&P 500 | 45.77 |
| 相関係数HES, S&P 5001 | 0.59 |
| βHES2 | 1.57 |
| αHES3 | 1.86% |
計算
1 相関係数HES, S&P 500
= 共 分散HES, S&P 500 ÷ (標準偏差HES × 標準偏差S&P 500)
= 45.77 ÷ (14.28% × 5.40%)
= 0.59
2 βHES
= 共 分散HES, S&P 500 ÷ 分散S&P 500
= 45.77 ÷ 29.16
= 1.57
3 αHES
= 平均HES – βHES × 平均S&P 500
= 2.91% – 1.57 × 0.67%
= 1.86%
期待収益率
| 仮定 | ||
| LT財務省総合の収益率1 | RF | 4.62% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 13.69% |
| 普通株式 Hess システマティックリスク | βHES | 1.57 |
| ヘス普通株式の期待収益率3 | E(RHES) | 18.85% |
1 10年以内に期限が到来またはコール可能でないすべての固定クーポン米国債の入札利回りの非加重平均(リスクフリー収益率プロキシ)。
2 詳細を見る »
3 E(RHES) = RF + βHES [E(RM) – RF]
= 4.62% + 1.57 [13.69% – 4.62%]
= 18.85%