資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Hewlett Packard Enterprise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
Hewlett Packard Enterprise Co.、月間収益率
| Hewlett Packard Enterprise Co. (HPE) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格HPE,t1 | 配当HPE,t1 | RHPE,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2017/11/30 | $13.95 | 2,647.58 | ||||
| 1. | 2017/12/31 | $14.36 | $0.075 | 3.48% | 2,673.61 | 0.98% |
| 2. | 2018/01/31 | $16.40 | 14.21% | 2,823.81 | 5.62% | |
| 3. | 2018/02/28 | $18.59 | 13.35% | 2,713.83 | -3.89% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023/09/30 | $17.37 | $0.12 | 2.94% | 4,288.05 | -4.87% |
| 71. | 2023/10/31 | $15.38 | -11.46% | 4,193.80 | -2.20% | |
| 平均 (R): | 0.82% | 0.78% | ||||
| 標準偏差： | 9.11% | 5.13% | ||||
| Hewlett Packard Enterprise Co. (HPE) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格HPE,t1 | 配当HPE,t1 | RHPE,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2017/11/30 | $13.95 | 2,647.58 | ||||
| 1. | 2017/12/31 | $14.36 | $0.075 | 3.48% | 2,673.61 | 0.98% |
| 2. | 2018/01/31 | $16.40 | 14.21% | 2,823.81 | 5.62% | |
| 3. | 2018/02/28 | $18.59 | 13.35% | 2,713.83 | -3.89% | |
| 4. | 2018/03/31 | $17.54 | $0.075 | -5.24% | 2,640.87 | -2.69% |
| 5. | 2018/04/30 | $17.05 | -2.79% | 2,648.05 | 0.27% | |
| 6. | 2018/05/31 | $15.24 | -10.62% | 2,705.27 | 2.16% | |
| 7. | 2018/06/30 | $14.61 | $0.1125 | -3.40% | 2,718.37 | 0.48% |
| 8. | 2018/07/31 | $15.44 | 5.68% | 2,816.29 | 3.60% | |
| 9. | 2018/08/31 | $16.53 | 7.06% | 2,901.52 | 3.03% | |
| 10. | 2018/09/30 | $16.31 | $0.1125 | -0.65% | 2,913.98 | 0.43% |
| 11. | 2018/10/31 | $15.25 | -6.50% | 2,711.74 | -6.94% | |
| 12. | 2018/11/30 | $15.00 | -1.64% | 2,760.17 | 1.79% | |
| 13. | 2018/12/31 | $13.21 | $0.1125 | -11.18% | 2,506.85 | -9.18% |
| 14. | 2019/01/31 | $15.59 | 18.02% | 2,704.10 | 7.87% | |
| 15. | 2019/02/28 | $16.38 | 5.07% | 2,784.49 | 2.97% | |
| 16. | 2019/03/31 | $15.43 | $0.1125 | -5.11% | 2,834.40 | 1.79% |
| 17. | 2019/04/30 | $15.81 | 2.46% | 2,945.83 | 3.93% | |
| 18. | 2019/05/31 | $13.72 | -13.22% | 2,752.06 | -6.58% | |
| 19. | 2019/06/30 | $14.95 | $0.1125 | 9.78% | 2,941.76 | 6.89% |
| 20. | 2019/07/31 | $14.37 | -3.88% | 2,980.38 | 1.31% | |
| 21. | 2019/08/31 | $13.82 | -3.83% | 2,926.46 | -1.81% | |
| 22. | 2019/09/30 | $15.17 | $0.1125 | 10.58% | 2,976.74 | 1.72% |
| 23. | 2019/10/31 | $16.41 | 8.17% | 3,037.56 | 2.04% | |
| 24. | 2019/11/30 | $15.83 | -3.53% | 3,140.98 | 3.40% | |
| 25. | 2019/12/31 | $15.86 | $0.12 | 0.95% | 3,230.78 | 2.86% |
| 26. | 2020/01/31 | $13.93 | -12.17% | 3,225.52 | -0.16% | |
| 27. | 2020/02/29 | $12.79 | -8.18% | 2,954.22 | -8.41% | |
| 28. | 2020/03/31 | $9.71 | $0.12 | -23.14% | 2,584.59 | -12.51% |
| 29. | 2020/04/30 | $10.06 | 3.60% | 2,912.43 | 12.68% | |
| 30. | 2020/05/31 | $9.71 | -3.48% | 3,044.31 | 4.53% | |
| 31. | 2020/06/30 | $9.73 | $0.12 | 1.44% | 3,100.29 | 1.84% |
| 32. | 2020/07/31 | $9.87 | 1.44% | 3,271.12 | 5.51% | |
| 33. | 2020/08/31 | $9.67 | -2.03% | 3,500.31 | 7.01% | |
| 34. | 2020/09/30 | $9.37 | $0.12 | -1.86% | 3,363.00 | -3.92% |
| 35. | 2020/10/31 | $8.64 | -7.79% | 3,269.96 | -2.77% | |
| 36. | 2020/11/30 | $11.04 | 27.78% | 3,621.63 | 10.75% | |
| 37. | 2020/12/31 | $11.85 | $0.12 | 8.42% | 3,756.07 | 3.71% |
| 38. | 2021/01/31 | $12.34 | 4.14% | 3,714.24 | -1.11% | |
| 39. | 2021/02/28 | $14.56 | 17.99% | 3,811.15 | 2.61% | |
| 40. | 2021/03/31 | $15.74 | $0.12 | 8.93% | 3,972.89 | 4.24% |
| 41. | 2021/04/30 | $16.02 | 1.78% | 4,181.17 | 5.24% | |
| 42. | 2021/05/31 | $15.96 | -0.37% | 4,204.11 | 0.55% | |
| 43. | 2021/06/30 | $14.58 | $0.12 | -7.89% | 4,297.50 | 2.22% |
| 44. | 2021/07/31 | $14.50 | -0.55% | 4,395.26 | 2.27% | |
| 45. | 2021/08/31 | $15.46 | 6.62% | 4,522.68 | 2.90% | |
| 46. | 2021/09/30 | $14.25 | $0.12 | -7.05% | 4,307.54 | -4.76% |
| 47. | 2021/10/31 | $14.65 | 2.81% | 4,605.38 | 6.91% | |
| 48. | 2021/11/30 | $14.35 | -2.05% | 4,567.00 | -0.83% | |
| 49. | 2021/12/31 | $15.77 | $0.12 | 10.73% | 4,766.18 | 4.36% |
| 50. | 2022/01/31 | $16.33 | 3.55% | 4,515.55 | -5.26% | |
| 51. | 2022/02/28 | $15.92 | -2.51% | 4,373.94 | -3.14% | |
| 52. | 2022/03/31 | $16.71 | $0.12 | 5.72% | 4,530.41 | 3.58% |
| 53. | 2022/04/30 | $15.41 | -7.78% | 4,131.93 | -8.80% | |
| 54. | 2022/05/31 | $15.60 | 1.23% | 4,132.15 | 0.01% | |
| 55. | 2022/06/30 | $13.26 | $0.12 | -14.23% | 3,785.38 | -8.39% |
| 56. | 2022/07/31 | $14.24 | 7.39% | 4,130.29 | 9.11% | |
| 57. | 2022/08/31 | $13.60 | -4.49% | 3,955.00 | -4.24% | |
| 58. | 2022/09/30 | $11.98 | $0.12 | -11.03% | 3,585.62 | -9.34% |
| 59. | 2022/10/31 | $14.27 | 19.12% | 3,871.98 | 7.99% | |
| 60. | 2022/11/30 | $16.78 | 17.59% | 4,080.11 | 5.38% | |
| 61. | 2022/12/31 | $15.96 | $0.12 | -4.17% | 3,839.50 | -5.90% |
| 62. | 2023/01/31 | $16.13 | 1.07% | 4,076.60 | 6.18% | |
| 63. | 2023/02/28 | $15.61 | -3.22% | 3,970.15 | -2.61% | |
| 64. | 2023/03/31 | $15.93 | $0.12 | 2.82% | 4,109.31 | 3.51% |
| 65. | 2023/04/30 | $14.32 | -10.11% | 4,169.48 | 1.46% | |
| 66. | 2023/05/31 | $14.42 | 0.70% | 4,179.83 | 0.25% | |
| 67. | 2023/06/30 | $16.80 | $0.12 | 17.34% | 4,376.86 | 4.71% |
| 68. | 2023/07/31 | $17.38 | 3.45% | 4,588.96 | 4.85% | |
| 69. | 2023/08/31 | $16.99 | -2.24% | 4,507.66 | -1.77% | |
| 70. | 2023/09/30 | $17.37 | $0.12 | 2.94% | 4,288.05 | -4.87% |
| 71. | 2023/10/31 | $15.38 | -11.46% | 4,193.80 | -2.20% | |
| 平均 (R): | 0.82% | 0.78% | ||||
| 標準偏差： | 9.11% | 5.13% | ||||
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HPE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
Hewlett Packard Enterprise Co.、分散の計算、および戻り値の共分散
| t | 日付 | RHPE,t | RS&P 500,t | (RHPE,t–RHPE)2 | (RS&P 500,t–RS&P 500)2 | (RHPE,t–RHPE)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017/12/31 | 3.48% | 0.98% | 7.08 | 0.04 | 0.54 |
| 2. | 2018/01/31 | 14.21% | 5.62% | 179.28 | 23.40 | 64.77 |
| 3. | 2018/02/28 | 13.35% | -3.89% | 157.17 | 21.86 | -58.62 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023/09/30 | 2.94% | -4.87% | 4.52 | 31.95 | -12.02 |
| 71. | 2023/10/31 | -11.46% | -2.20% | 150.63 | 8.87 | 36.56 |
| トータル (Σ): | 5,814.07 | 1,843.80 | 2,219.27 | |||
| t | 日付 | RHPE,t | RS&P 500,t | (RHPE,t–RHPE)2 | (RS&P 500,t–RS&P 500)2 | (RHPE,t–RHPE)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017/12/31 | 3.48% | 0.98% | 7.08 | 0.04 | 0.54 |
| 2. | 2018/01/31 | 14.21% | 5.62% | 179.28 | 23.40 | 64.77 |
| 3. | 2018/02/28 | 13.35% | -3.89% | 157.17 | 21.86 | -58.62 |
| 4. | 2018/03/31 | -5.24% | -2.69% | 36.74 | 12.04 | 21.03 |
| 5. | 2018/04/30 | -2.79% | 0.27% | 13.03 | 0.26 | 1.84 |
| 6. | 2018/05/31 | -10.62% | 2.16% | 130.70 | 1.90 | -15.78 |
| 7. | 2018/06/30 | -3.40% | 0.48% | 17.74 | 0.09 | 1.25 |
| 8. | 2018/07/31 | 5.68% | 3.60% | 23.66 | 7.96 | 13.72 |
| 9. | 2018/08/31 | 7.06% | 3.03% | 38.97 | 5.04 | 14.02 |
| 10. | 2018/09/30 | -0.65% | 0.43% | 2.15 | 0.12 | 0.52 |
| 11. | 2018/10/31 | -6.50% | -6.94% | 53.52 | 59.62 | 56.49 |
| 12. | 2018/11/30 | -1.64% | 1.79% | 6.03 | 1.01 | -2.47 |
| 13. | 2018/12/31 | -11.18% | -9.18% | 144.00 | 99.17 | 119.50 |
| 14. | 2019/01/31 | 18.02% | 7.87% | 295.84 | 50.24 | 121.91 |
| 15. | 2019/02/28 | 5.07% | 2.97% | 18.07 | 4.81 | 9.32 |
| 16. | 2019/03/31 | -5.11% | 1.79% | 35.16 | 1.02 | -6.00 |
| 17. | 2019/04/30 | 2.46% | 3.93% | 2.71 | 9.93 | 5.19 |
| 18. | 2019/05/31 | -13.22% | -6.58% | 197.02 | 54.15 | 103.29 |
| 19. | 2019/06/30 | 9.78% | 6.89% | 80.43 | 37.36 | 54.82 |
| 20. | 2019/07/31 | -3.88% | 1.31% | 22.06 | 0.28 | -2.50 |
| 21. | 2019/08/31 | -3.83% | -1.81% | 21.57 | 6.71 | 12.03 |
| 22. | 2019/09/30 | 10.58% | 1.72% | 95.37 | 0.88 | 9.15 |
| 23. | 2019/10/31 | 8.17% | 2.04% | 54.13 | 1.59 | 9.29 |
| 24. | 2019/11/30 | -3.53% | 3.40% | 18.93 | 6.89 | -11.42 |
| 25. | 2019/12/31 | 0.95% | 2.86% | 0.02 | 4.32 | 0.27 |
| 26. | 2020/01/31 | -12.17% | -0.16% | 168.63 | 0.89 | 12.25 |
| 27. | 2020/02/29 | -8.18% | -8.41% | 81.01 | 84.49 | 82.73 |
| 28. | 2020/03/31 | -23.14% | -12.51% | 574.07 | 176.70 | 318.49 |
| 29. | 2020/04/30 | 3.60% | 12.68% | 7.77 | 141.70 | 33.18 |
| 30. | 2020/05/31 | -3.48% | 4.53% | 18.45 | 14.04 | -16.10 |
| 31. | 2020/06/30 | 1.44% | 1.84% | 0.39 | 1.12 | 0.66 |
| 32. | 2020/07/31 | 1.44% | 5.51% | 0.39 | 22.37 | 2.94 |
| 33. | 2020/08/31 | -2.03% | 7.01% | 8.08 | 38.76 | -17.70 |
| 34. | 2020/09/30 | -1.86% | -3.92% | 7.17 | 22.12 | 12.60 |
| 35. | 2020/10/31 | -7.79% | -2.77% | 74.09 | 12.58 | 30.53 |
| 36. | 2020/11/30 | 27.78% | 10.75% | 726.90 | 99.48 | 268.90 |
| 37. | 2020/12/31 | 8.42% | 3.71% | 57.87 | 8.59 | 22.30 |
| 38. | 2021/01/31 | 4.14% | -1.11% | 11.01 | 3.59 | -6.29 |
| 39. | 2021/02/28 | 17.99% | 2.61% | 294.93 | 3.34 | 31.40 |
| 40. | 2021/03/31 | 8.93% | 4.24% | 65.80 | 11.99 | 28.09 |
| 41. | 2021/04/30 | 1.78% | 5.24% | 0.93 | 19.91 | 4.29 |
| 42. | 2021/05/31 | -0.37% | 0.55% | 1.42 | 0.05 | 0.28 |
| 43. | 2021/06/30 | -7.89% | 2.22% | 75.89 | 2.08 | -12.55 |
| 44. | 2021/07/31 | -0.55% | 2.27% | 1.86 | 2.23 | -2.04 |
| 45. | 2021/08/31 | 6.62% | 2.90% | 33.69 | 4.49 | 12.29 |
| 46. | 2021/09/30 | -7.05% | -4.76% | 61.89 | 30.67 | 43.57 |
| 47. | 2021/10/31 | 2.81% | 6.91% | 3.96 | 37.62 | 12.21 |
| 48. | 2021/11/30 | -2.05% | -0.83% | 8.21 | 2.61 | 4.62 |
| 49. | 2021/12/31 | 10.73% | 4.36% | 98.31 | 12.82 | 35.50 |
| 50. | 2022/01/31 | 3.55% | -5.26% | 7.48 | 36.47 | -16.51 |
| 51. | 2022/02/28 | -2.51% | -3.14% | 11.07 | 15.34 | 13.03 |
| 52. | 2022/03/31 | 5.72% | 3.58% | 24.00 | 7.82 | 13.70 |
| 53. | 2022/04/30 | -7.78% | -8.80% | 73.90 | 91.71 | 82.32 |
| 54. | 2022/05/31 | 1.23% | 0.01% | 0.17 | 0.60 | -0.32 |
| 55. | 2022/06/30 | -14.23% | -8.39% | 226.43 | 84.14 | 138.03 |
| 56. | 2022/07/31 | 7.39% | 9.11% | 43.22 | 69.40 | 54.77 |
| 57. | 2022/08/31 | -4.49% | -4.24% | 28.21 | 25.25 | 26.69 |
| 58. | 2022/09/30 | -11.03% | -9.34% | 140.33 | 102.42 | 119.89 |
| 59. | 2022/10/31 | 19.12% | 7.99% | 334.83 | 51.92 | 131.85 |
| 60. | 2022/11/30 | 17.59% | 5.38% | 281.32 | 21.11 | 77.06 |
| 61. | 2022/12/31 | -4.17% | -5.90% | 24.88 | 44.59 | 33.31 |
| 62. | 2023/01/31 | 1.07% | 6.18% | 0.06 | 29.10 | 1.34 |
| 63. | 2023/02/28 | -3.22% | -2.61% | 16.33 | 11.51 | 13.71 |
| 64. | 2023/03/31 | 2.82% | 3.51% | 4.01 | 7.42 | 5.45 |
| 65. | 2023/04/30 | -10.11% | 1.46% | 119.32 | 0.47 | -7.47 |
| 66. | 2023/05/31 | 0.70% | 0.25% | 0.01 | 0.28 | 0.06 |
| 67. | 2023/06/30 | 17.34% | 4.71% | 272.92 | 15.47 | 64.98 |
| 68. | 2023/07/31 | 3.45% | 4.85% | 6.95 | 16.53 | 10.71 |
| 69. | 2023/08/31 | -2.24% | -1.77% | 9.37 | 6.51 | 7.81 |
| 70. | 2023/09/30 | 2.94% | -4.87% | 4.52 | 31.95 | -12.02 |
| 71. | 2023/10/31 | -11.46% | -2.20% | 150.63 | 8.87 | 36.56 |
| トータル (Σ): | 5,814.07 | 1,843.80 | 2,219.27 | |||
すべて表示
分散HPE = Σ(RHPE,t–RHPE)2 ÷ (71 – 1)
= 5,814.07 ÷ (71 – 1)
= 83.06
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,843.80 ÷ (71 – 1)
= 26.34
共 分散HPE, S&P 500 = Σ(RHPE,t–RHPE)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,219.27 ÷ (71 – 1)
= 31.70
システマティックなリスク推定 (β)
| 分散HPE | 83.06 |
| 分散S&P 500 | 26.34 |
| 共 分散HPE, S&P 500 | 31.70 |
| 相関係数HPE, S&P 5001 | 0.68 |
| βHPE2 | 1.20 |
| αHPE3 | -0.12% |
計算
1 相関係数HPE, S&P 500
= 共 分散HPE, S&P 500 ÷ (標準偏差HPE × 標準偏差S&P 500)
= 31.70 ÷ (9.11% × 5.13%)
= 0.68
2 βHPE
= 共 分散HPE, S&P 500 ÷ 分散S&P 500
= 31.70 ÷ 26.34
= 1.20
3 αHPE
= 平均HPE – βHPE × 平均S&P 500
= 0.82% – 1.20 × 0.78%
= -0.12%
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) | 14.73% |
| 普通株式 Hewlett Packard Enterprise システマティックリスク | βHPE | 1.20 |
| ヒューレット・パッカード エンタープライズの普通株式の期待収益率3 | E(RHPE) | 16.76% |
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(RHPE) = RF + βHPE [E(RM) – RF]
= 4.76% + 1.20 [14.73% – 4.76%]
= 16.76%