資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Lockheed Martin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
Lockheed Martin Corp.、月間収益率
| Lockheed Martin Corp. (LMT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格LMT,t1 | 配当LMT,t1 | RLMT,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2020/01/31 | $428.12 | 3,225.52 | ||||
| 1. | 2020/02/29 | $369.87 | $2.40 | -13.05% | 2,954.22 | -8.41% |
| 2. | 2020/03/31 | $338.95 | -8.36% | 2,584.59 | -12.51% | |
| 3. | 2020/04/30 | $389.06 | 14.78% | 2,912.43 | 12.68% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024/11/30 | $529.41 | -3.05% | 6,032.38 | 5.73% | |
| 59. | 2024/12/31 | $485.94 | $3.30 | -7.59% | 5,881.63 | -2.50% |
| 平均 (R): | 0.66% | 1.16% | ||||
| 標準偏差： | 6.84% | 5.28% | ||||
| Lockheed Martin Corp. (LMT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格LMT,t1 | 配当LMT,t1 | RLMT,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2020/01/31 | $428.12 | 3,225.52 | ||||
| 1. | 2020/02/29 | $369.87 | $2.40 | -13.05% | 2,954.22 | -8.41% |
| 2. | 2020/03/31 | $338.95 | -8.36% | 2,584.59 | -12.51% | |
| 3. | 2020/04/30 | $389.06 | 14.78% | 2,912.43 | 12.68% | |
| 4. | 2020/05/31 | $388.44 | $2.40 | 0.46% | 3,044.31 | 4.53% |
| 5. | 2020/06/30 | $364.92 | -6.05% | 3,100.29 | 1.84% | |
| 6. | 2020/07/31 | $378.97 | 3.85% | 3,271.12 | 5.51% | |
| 7. | 2020/08/31 | $390.26 | $2.40 | 3.61% | 3,500.31 | 7.01% |
| 8. | 2020/09/30 | $383.28 | -1.79% | 3,363.00 | -3.92% | |
| 9. | 2020/10/31 | $350.13 | -8.65% | 3,269.96 | -2.77% | |
| 10. | 2020/11/30 | $365.00 | $2.60 | 4.99% | 3,621.63 | 10.75% |
| 11. | 2020/12/31 | $354.98 | -2.75% | 3,756.07 | 3.71% | |
| 12. | 2021/01/31 | $321.82 | -9.34% | 3,714.24 | -1.11% | |
| 13. | 2021/02/28 | $330.25 | $2.60 | 3.43% | 3,811.15 | 2.61% |
| 14. | 2021/03/31 | $369.50 | 11.88% | 3,972.89 | 4.24% | |
| 15. | 2021/04/30 | $380.56 | 2.99% | 4,181.17 | 5.24% | |
| 16. | 2021/05/31 | $382.20 | $2.60 | 1.11% | 4,204.11 | 0.55% |
| 17. | 2021/06/30 | $378.35 | -1.01% | 4,297.50 | 2.22% | |
| 18. | 2021/07/31 | $371.67 | -1.77% | 4,395.26 | 2.27% | |
| 19. | 2021/08/31 | $359.80 | $2.60 | -2.49% | 4,522.68 | 2.90% |
| 20. | 2021/09/30 | $345.10 | -4.09% | 4,307.54 | -4.76% | |
| 21. | 2021/10/31 | $332.32 | -3.70% | 4,605.38 | 6.91% | |
| 22. | 2021/11/30 | $333.32 | $2.80 | 1.14% | 4,567.00 | -0.83% |
| 23. | 2021/12/31 | $355.41 | 6.63% | 4,766.18 | 4.36% | |
| 24. | 2022/01/31 | $389.13 | 9.49% | 4,515.55 | -5.26% | |
| 25. | 2022/02/28 | $433.80 | $2.80 | 12.20% | 4,373.94 | -3.14% |
| 26. | 2022/03/31 | $441.40 | 1.75% | 4,530.41 | 3.58% | |
| 27. | 2022/04/30 | $432.12 | -2.10% | 4,131.93 | -8.80% | |
| 28. | 2022/05/31 | $440.11 | $2.80 | 2.50% | 4,132.15 | 0.01% |
| 29. | 2022/06/30 | $429.96 | -2.31% | 3,785.38 | -8.39% | |
| 30. | 2022/07/31 | $413.81 | -3.76% | 4,130.29 | 9.11% | |
| 31. | 2022/08/31 | $420.11 | $2.80 | 2.20% | 3,955.00 | -4.24% |
| 32. | 2022/09/30 | $386.29 | -8.05% | 3,585.62 | -9.34% | |
| 33. | 2022/10/31 | $486.68 | 25.99% | 3,871.98 | 7.99% | |
| 34. | 2022/11/30 | $485.19 | $3.00 | 0.31% | 4,080.11 | 5.38% |
| 35. | 2022/12/31 | $486.49 | 0.27% | 3,839.50 | -5.90% | |
| 36. | 2023/01/31 | $463.26 | -4.78% | 4,076.60 | 6.18% | |
| 37. | 2023/02/28 | $474.26 | $3.00 | 3.02% | 3,970.15 | -2.61% |
| 38. | 2023/03/31 | $472.73 | -0.32% | 4,109.31 | 3.51% | |
| 39. | 2023/04/30 | $464.45 | -1.75% | 4,169.48 | 1.46% | |
| 40. | 2023/05/31 | $444.01 | $3.00 | -3.75% | 4,179.83 | 0.25% |
| 41. | 2023/06/30 | $460.38 | 3.69% | 4,376.86 | 4.71% | |
| 42. | 2023/07/31 | $446.37 | -3.04% | 4,588.96 | 4.85% | |
| 43. | 2023/08/31 | $448.35 | $3.00 | 1.12% | 4,507.66 | -1.77% |
| 44. | 2023/09/30 | $408.96 | -8.79% | 4,288.05 | -4.87% | |
| 45. | 2023/10/31 | $454.64 | 11.17% | 4,193.80 | -2.20% | |
| 46. | 2023/11/30 | $447.77 | $3.15 | -0.82% | 4,567.80 | 8.92% |
| 47. | 2023/12/31 | $453.24 | 1.22% | 4,769.83 | 4.42% | |
| 48. | 2024/01/31 | $429.41 | -5.26% | 4,845.65 | 1.59% | |
| 49. | 2024/02/29 | $428.24 | $3.15 | 0.46% | 5,096.27 | 5.17% |
| 50. | 2024/03/31 | $454.87 | 6.22% | 5,254.35 | 3.10% | |
| 51. | 2024/04/30 | $464.93 | 2.21% | 5,035.69 | -4.16% | |
| 52. | 2024/05/31 | $470.34 | 1.16% | 5,277.51 | 4.80% | |
| 53. | 2024/06/30 | $467.10 | $3.15 | -0.02% | 5,460.48 | 3.47% |
| 54. | 2024/07/31 | $541.92 | 16.02% | 5,522.30 | 1.13% | |
| 55. | 2024/08/31 | $568.10 | 4.83% | 5,648.40 | 2.28% | |
| 56. | 2024/09/30 | $584.56 | $3.15 | 3.45% | 5,762.48 | 2.02% |
| 57. | 2024/10/31 | $546.05 | -6.59% | 5,705.45 | -0.99% | |
| 58. | 2024/11/30 | $529.41 | -3.05% | 6,032.38 | 5.73% | |
| 59. | 2024/12/31 | $485.94 | $3.30 | -7.59% | 5,881.63 | -2.50% |
| 平均 (R): | 0.66% | 1.16% | ||||
| 標準偏差： | 6.84% | 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LMT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
Lockheed Martin Corp.、分散の計算、および戻り値の共分散
| t | 日付 | RLMT,t | RS&P 500,t | (RLMT,t–RLMT)2 | (RS&P 500,t–RS&P 500)2 | (RLMT,t–RLMT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020/02/29 | -13.05% | -8.41% | 187.94 | 91.63 | 131.23 |
| 2. | 2020/03/31 | -8.36% | -12.51% | 81.42 | 186.96 | 123.38 |
| 3. | 2020/04/30 | 14.78% | 12.68% | 199.38 | 132.78 | 162.71 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024/11/30 | -3.05% | 5.73% | 13.77 | 20.87 | -16.95 |
| 59. | 2024/12/31 | -7.59% | -2.50% | 68.08 | 13.40 | 30.20 |
| トータル (Σ): | 2,713.74 | 1,618.62 | 786.69 | |||
| t | 日付 | RLMT,t | RS&P 500,t | (RLMT,t–RLMT)2 | (RS&P 500,t–RS&P 500)2 | (RLMT,t–RLMT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020/02/29 | -13.05% | -8.41% | 187.94 | 91.63 | 131.23 |
| 2. | 2020/03/31 | -8.36% | -12.51% | 81.42 | 186.96 | 123.38 |
| 3. | 2020/04/30 | 14.78% | 12.68% | 199.38 | 132.78 | 162.71 |
| 4. | 2020/05/31 | 0.46% | 4.53% | 0.04 | 11.34 | -0.69 |
| 5. | 2020/06/30 | -6.05% | 1.84% | 45.14 | 0.46 | -4.55 |
| 6. | 2020/07/31 | 3.85% | 5.51% | 10.15 | 18.91 | 13.86 |
| 7. | 2020/08/31 | 3.61% | 7.01% | 8.70 | 34.17 | 17.24 |
| 8. | 2020/09/30 | -1.79% | -3.92% | 6.01 | 25.85 | 12.47 |
| 9. | 2020/10/31 | -8.65% | -2.77% | 86.72 | 15.43 | 36.58 |
| 10. | 2020/11/30 | 4.99% | 10.75% | 18.71 | 92.03 | 41.50 |
| 11. | 2020/12/31 | -2.75% | 3.71% | 11.62 | 6.51 | -8.70 |
| 12. | 2021/01/31 | -9.34% | -1.11% | 100.10 | 5.18 | 22.76 |
| 13. | 2021/02/28 | 3.43% | 2.61% | 7.64 | 2.10 | 4.00 |
| 14. | 2021/03/31 | 11.88% | 4.24% | 125.92 | 9.50 | 34.59 |
| 15. | 2021/04/30 | 2.99% | 5.24% | 5.43 | 16.66 | 9.51 |
| 16. | 2021/05/31 | 1.11% | 0.55% | 0.20 | 0.38 | -0.28 |
| 17. | 2021/06/30 | -1.01% | 2.22% | 2.79 | 1.12 | -1.77 |
| 18. | 2021/07/31 | -1.77% | 2.27% | 5.90 | 1.24 | -2.70 |
| 19. | 2021/08/31 | -2.49% | 2.90% | 9.97 | 3.02 | -5.49 |
| 20. | 2021/09/30 | -4.09% | -4.76% | 22.55 | 35.02 | 28.11 |
| 21. | 2021/10/31 | -3.70% | 6.91% | 19.07 | 33.10 | -25.12 |
| 22. | 2021/11/30 | 1.14% | -0.83% | 0.23 | 3.98 | -0.96 |
| 23. | 2021/12/31 | 6.63% | 4.36% | 35.57 | 10.24 | 19.08 |
| 24. | 2022/01/31 | 9.49% | -5.26% | 77.86 | 41.21 | -56.65 |
| 25. | 2022/02/28 | 12.20% | -3.14% | 133.07 | 18.47 | -49.57 |
| 26. | 2022/03/31 | 1.75% | 3.58% | 1.18 | 5.84 | 2.63 |
| 27. | 2022/04/30 | -2.10% | -8.80% | 7.65 | 99.14 | 27.54 |
| 28. | 2022/05/31 | 2.50% | 0.01% | 3.36 | 1.34 | -2.12 |
| 29. | 2022/06/30 | -2.31% | -8.39% | 8.82 | 91.26 | 28.37 |
| 30. | 2022/07/31 | -3.76% | 9.11% | 19.53 | 63.21 | -35.14 |
| 31. | 2022/08/31 | 2.20% | -4.24% | 2.36 | 29.22 | -8.30 |
| 32. | 2022/09/30 | -8.05% | -9.34% | 75.93 | 110.27 | 91.50 |
| 33. | 2022/10/31 | 25.99% | 7.99% | 641.34 | 46.58 | 172.84 |
| 34. | 2022/11/30 | 0.31% | 5.38% | 0.12 | 17.76 | -1.49 |
| 35. | 2022/12/31 | 0.27% | -5.90% | 0.16 | 49.82 | 2.79 |
| 36. | 2023/01/31 | -4.78% | 6.18% | 29.58 | 25.14 | -27.27 |
| 37. | 2023/02/28 | 3.02% | -2.61% | 5.56 | 14.23 | -8.90 |
| 38. | 2023/03/31 | -0.32% | 3.51% | 0.97 | 5.49 | -2.31 |
| 39. | 2023/04/30 | -1.75% | 1.46% | 5.83 | 0.09 | -0.73 |
| 40. | 2023/05/31 | -3.75% | 0.25% | 19.52 | 0.83 | 4.03 |
| 41. | 2023/06/30 | 3.69% | 4.71% | 9.14 | 12.62 | 10.74 |
| 42. | 2023/07/31 | -3.04% | 4.85% | 13.74 | 13.58 | -13.66 |
| 43. | 2023/08/31 | 1.12% | -1.77% | 0.20 | 8.60 | -1.33 |
| 44. | 2023/09/30 | -8.79% | -4.87% | 89.29 | 36.40 | 57.01 |
| 45. | 2023/10/31 | 11.17% | -2.20% | 110.38 | 11.28 | -35.29 |
| 46. | 2023/11/30 | -0.82% | 8.92% | 2.20 | 60.17 | -11.49 |
| 47. | 2023/12/31 | 1.22% | 4.42% | 0.31 | 10.64 | 1.82 |
| 48. | 2024/01/31 | -5.26% | 1.59% | 35.06 | 0.18 | -2.54 |
| 49. | 2024/02/29 | 0.46% | 5.17% | 0.04 | 16.09 | -0.81 |
| 50. | 2024/03/31 | 6.22% | 3.10% | 30.86 | 3.77 | 10.78 |
| 51. | 2024/04/30 | 2.21% | -4.16% | 2.40 | 28.33 | -8.24 |
| 52. | 2024/05/31 | 1.16% | 4.80% | 0.25 | 13.26 | 1.82 |
| 53. | 2024/06/30 | -0.02% | 3.47% | 0.47 | 5.32 | -1.57 |
| 54. | 2024/07/31 | 16.02% | 1.13% | 235.76 | 0.00 | -0.45 |
| 55. | 2024/08/31 | 4.83% | 2.28% | 17.37 | 1.26 | 4.68 |
| 56. | 2024/09/30 | 3.45% | 2.02% | 7.77 | 0.74 | 2.39 |
| 57. | 2024/10/31 | -6.59% | -0.99% | 52.58 | 4.63 | 15.60 |
| 58. | 2024/11/30 | -3.05% | 5.73% | 13.77 | 20.87 | -16.95 |
| 59. | 2024/12/31 | -7.59% | -2.50% | 68.08 | 13.40 | 30.20 |
| トータル (Σ): | 2,713.74 | 1,618.62 | 786.69 | |||
すべて表示
分散LMT = Σ(RLMT,t–RLMT)2 ÷ (59 – 1)
= 2,713.74 ÷ (59 – 1)
= 46.79
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91
共 分散LMT, S&P 500 = Σ(RLMT,t–RLMT)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 786.69 ÷ (59 – 1)
= 13.56
システマティックなリスク推定 (β)
| 分散LMT | 46.79 |
| 分散S&P 500 | 27.91 |
| 共 分散LMT, S&P 500 | 13.56 |
| 相関係数LMT, S&P 5001 | 0.38 |
| βLMT2 | 0.49 |
| αLMT3 | 0.10% |
計算
1 相関係数LMT, S&P 500
= 共 分散LMT, S&P 500 ÷ (標準偏差LMT × 標準偏差S&P 500)
= 13.56 ÷ (6.84% × 5.28%)
= 0.38
2 βLMT
= 共 分散LMT, S&P 500 ÷ 分散S&P 500
= 13.56 ÷ 27.91
= 0.49
3 αLMT
= 平均LMT – βLMT × 平均S&P 500
= 0.66% – 0.49 × 1.16%
= 0.10%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.95% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.71% |
| 普通株式 Lockheed Martin システマティックリスク | βLMT | 0.49 |
| ロッキード・マーティンの普通株の期待収益率3 | E(RLMT) | 9.69% |
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(RLMT) = RF + βLMT [E(RM) – RF]
= 4.95% + 0.49 [14.71% – 4.95%]
= 9.69%