資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 McKesson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
McKesson Corp.、月間収益率
| McKesson Corp. (MCK) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格MCK,t1 | 配当MCK,t1 | RMCK,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2010/04/30 | $64.81 | 1,186.69 | ||||
| 1. | 2010/05/31 | $70.00 | 8.01% | 1,089.41 | -8.20% | |
| 2. | 2010/06/30 | $67.16 | $0.18 | -3.80% | 1,030.71 | -5.39% |
| 3. | 2010/07/31 | $62.82 | -6.46% | 1,101.60 | 6.88% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2016/02/29 | $155.62 | $0.28 | -3.16% | 1,932.23 | -0.41% |
| 71. | 2016/03/31 | $157.25 | 1.05% | 2,059.74 | 6.60% | |
| 平均 (R): | 1.50% | 0.85% | ||||
| 標準偏差： | 6.06% | 3.85% | ||||
| McKesson Corp. (MCK) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格MCK,t1 | 配当MCK,t1 | RMCK,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2010/04/30 | $64.81 | 1,186.69 | ||||
| 1. | 2010/05/31 | $70.00 | 8.01% | 1,089.41 | -8.20% | |
| 2. | 2010/06/30 | $67.16 | $0.18 | -3.80% | 1,030.71 | -5.39% |
| 3. | 2010/07/31 | $62.82 | -6.46% | 1,101.60 | 6.88% | |
| 4. | 2010/08/31 | $58.05 | $0.18 | -7.31% | 1,049.33 | -4.74% |
| 5. | 2010/09/30 | $61.78 | 6.43% | 1,141.20 | 8.76% | |
| 6. | 2010/10/31 | $65.98 | 6.80% | 1,183.26 | 3.69% | |
| 7. | 2010/11/30 | $63.90 | $0.18 | -2.88% | 1,180.55 | -0.23% |
| 8. | 2010/12/31 | $70.38 | 10.14% | 1,257.64 | 6.53% | |
| 9. | 2011/01/31 | $75.17 | 6.81% | 1,286.12 | 2.26% | |
| 10. | 2011/02/28 | $79.28 | $0.18 | 5.71% | 1,327.22 | 3.20% |
| 11. | 2011/03/31 | $79.05 | -0.29% | 1,325.83 | -0.10% | |
| 12. | 2011/04/30 | $83.01 | 5.01% | 1,363.61 | 2.85% | |
| 13. | 2011/05/31 | $85.61 | 3.13% | 1,345.20 | -1.35% | |
| 14. | 2011/06/30 | $83.65 | $0.20 | -2.06% | 1,320.64 | -1.83% |
| 15. | 2011/07/31 | $81.12 | -3.02% | 1,292.28 | -2.15% | |
| 16. | 2011/08/31 | $79.93 | $0.20 | -1.22% | 1,218.89 | -5.68% |
| 17. | 2011/09/30 | $72.70 | -9.05% | 1,131.42 | -7.18% | |
| 18. | 2011/10/31 | $81.55 | 12.17% | 1,253.30 | 10.77% | |
| 19. | 2011/11/30 | $81.31 | $0.20 | -0.05% | 1,246.96 | -0.51% |
| 20. | 2011/12/31 | $77.91 | -4.18% | 1,257.60 | 0.85% | |
| 21. | 2012/01/31 | $81.72 | 4.89% | 1,312.41 | 4.36% | |
| 22. | 2012/02/29 | $83.51 | $0.20 | 2.44% | 1,365.68 | 4.06% |
| 23. | 2012/03/31 | $87.77 | 5.10% | 1,408.47 | 3.13% | |
| 24. | 2012/04/30 | $91.41 | 4.15% | 1,397.91 | -0.75% | |
| 25. | 2012/05/31 | $87.28 | -4.52% | 1,310.33 | -6.27% | |
| 26. | 2012/06/30 | $93.75 | $0.20 | 7.64% | 1,362.16 | 3.96% |
| 27. | 2012/07/31 | $90.73 | -3.22% | 1,379.32 | 1.26% | |
| 28. | 2012/08/31 | $87.11 | $0.20 | -3.77% | 1,406.58 | 1.98% |
| 29. | 2012/09/30 | $86.03 | -1.24% | 1,440.67 | 2.42% | |
| 30. | 2012/10/31 | $93.31 | 8.46% | 1,412.16 | -1.98% | |
| 31. | 2012/11/30 | $94.47 | $0.20 | 1.46% | 1,416.18 | 0.28% |
| 32. | 2012/12/31 | $96.96 | 2.64% | 1,426.19 | 0.71% | |
| 33. | 2013/01/31 | $105.23 | 8.53% | 1,498.11 | 5.04% | |
| 34. | 2013/02/28 | $106.13 | $0.20 | 1.05% | 1,514.68 | 1.11% |
| 35. | 2013/03/31 | $107.96 | 1.72% | 1,569.19 | 3.60% | |
| 36. | 2013/04/30 | $105.82 | -1.98% | 1,597.57 | 1.81% | |
| 37. | 2013/05/31 | $113.86 | 7.60% | 1,630.74 | 2.08% | |
| 38. | 2013/06/30 | $114.50 | $0.20 | 0.74% | 1,606.28 | -1.50% |
| 39. | 2013/07/31 | $122.66 | 7.13% | 1,685.73 | 4.95% | |
| 40. | 2013/08/31 | $121.41 | $0.24 | -0.82% | 1,632.97 | -3.13% |
| 41. | 2013/09/30 | $128.30 | 5.67% | 1,681.55 | 2.97% | |
| 42. | 2013/10/31 | $156.34 | 21.86% | 1,756.54 | 4.46% | |
| 43. | 2013/11/30 | $165.89 | $0.24 | 6.26% | 1,805.81 | 2.80% |
| 44. | 2013/12/31 | $161.40 | -2.71% | 1,848.36 | 2.36% | |
| 45. | 2014/01/31 | $174.41 | 8.06% | 1,782.59 | -3.56% | |
| 46. | 2014/02/28 | $177.05 | $0.24 | 1.65% | 1,859.45 | 4.31% |
| 47. | 2014/03/31 | $176.57 | -0.27% | 1,872.34 | 0.69% | |
| 48. | 2014/04/30 | $169.19 | -4.18% | 1,883.95 | 0.62% | |
| 49. | 2014/05/31 | $189.64 | 12.09% | 1,923.57 | 2.10% | |
| 50. | 2014/06/30 | $186.21 | $0.24 | -1.68% | 1,960.23 | 1.91% |
| 51. | 2014/07/31 | $191.86 | 3.03% | 1,930.67 | -1.51% | |
| 52. | 2014/08/31 | $195.03 | $0.24 | 1.78% | 2,003.37 | 3.77% |
| 53. | 2014/09/30 | $194.67 | -0.18% | 1,972.29 | -1.55% | |
| 54. | 2014/10/31 | $203.41 | 4.49% | 2,018.05 | 2.32% | |
| 55. | 2014/11/30 | $210.76 | $0.24 | 3.73% | 2,067.56 | 2.45% |
| 56. | 2014/12/31 | $207.58 | -1.51% | 2,058.90 | -0.42% | |
| 57. | 2015/01/31 | $212.65 | 2.44% | 1,994.99 | -3.10% | |
| 58. | 2015/02/28 | $228.70 | $0.24 | 7.66% | 2,104.50 | 5.49% |
| 59. | 2015/03/31 | $226.20 | -1.09% | 2,067.89 | -1.74% | |
| 60. | 2015/04/30 | $223.40 | -1.24% | 2,085.51 | 0.85% | |
| 61. | 2015/05/31 | $237.23 | 6.19% | 2,107.39 | 1.05% | |
| 62. | 2015/06/30 | $224.81 | $0.24 | -5.13% | 2,063.11 | -2.10% |
| 63. | 2015/07/31 | $220.57 | -1.89% | 2,103.84 | 1.97% | |
| 64. | 2015/08/31 | $197.58 | $0.28 | -10.30% | 1,972.18 | -6.26% |
| 65. | 2015/09/30 | $185.03 | -6.35% | 1,920.03 | -2.64% | |
| 66. | 2015/10/31 | $178.80 | -3.37% | 2,079.36 | 8.30% | |
| 67. | 2015/11/30 | $189.35 | $0.28 | 6.06% | 2,080.41 | 0.05% |
| 68. | 2015/12/31 | $197.23 | 4.16% | 2,043.94 | -1.75% | |
| 69. | 2016/01/31 | $160.98 | -18.38% | 1,940.24 | -5.07% | |
| 70. | 2016/02/29 | $155.62 | $0.28 | -3.16% | 1,932.23 | -0.41% |
| 71. | 2016/03/31 | $157.25 | 1.05% | 2,059.74 | 6.60% | |
| 平均 (R): | 1.50% | 0.85% | ||||
| 標準偏差： | 6.06% | 3.85% | ||||
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MCK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
McKesson Corp.、分散の計算、および戻り値の共分散
| t | 日付 | RMCK,t | RS&P 500,t | (RMCK,t–RMCK)2 | (RS&P 500,t–RS&P 500)2 | (RMCK,t–RMCK)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2010/05/31 | 8.01% | -8.20% | 42.33 | 81.90 | -58.88 |
| 2. | 2010/06/30 | -3.80% | -5.39% | 28.11 | 38.94 | 33.08 |
| 3. | 2010/07/31 | -6.46% | 6.88% | 63.42 | 36.31 | -47.99 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2016/02/29 | -3.16% | -0.41% | 21.69 | 1.60 | 5.89 |
| 71. | 2016/03/31 | 1.05% | 6.60% | 0.21 | 33.03 | -2.61 |
| トータル (Σ): | 2,573.16 | 1,034.99 | 771.36 | |||
| t | 日付 | RMCK,t | RS&P 500,t | (RMCK,t–RMCK)2 | (RS&P 500,t–RS&P 500)2 | (RMCK,t–RMCK)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2010/05/31 | 8.01% | -8.20% | 42.33 | 81.90 | -58.88 |
| 2. | 2010/06/30 | -3.80% | -5.39% | 28.11 | 38.94 | 33.08 |
| 3. | 2010/07/31 | -6.46% | 6.88% | 63.42 | 36.31 | -47.99 |
| 4. | 2010/08/31 | -7.31% | -4.74% | 77.58 | 31.33 | 49.30 |
| 5. | 2010/09/30 | 6.43% | 8.76% | 24.24 | 62.46 | 38.91 |
| 6. | 2010/10/31 | 6.80% | 3.69% | 28.06 | 8.03 | 15.01 |
| 7. | 2010/11/30 | -2.88% | -0.23% | 19.20 | 1.17 | 4.74 |
| 8. | 2010/12/31 | 10.14% | 6.53% | 74.64 | 32.24 | 49.05 |
| 9. | 2011/01/31 | 6.81% | 2.26% | 28.14 | 1.99 | 7.49 |
| 10. | 2011/02/28 | 5.71% | 3.20% | 17.69 | 5.49 | 9.86 |
| 11. | 2011/03/31 | -0.29% | -0.10% | 3.21 | 0.92 | 1.71 |
| 12. | 2011/04/30 | 5.01% | 2.85% | 12.31 | 3.99 | 7.01 |
| 13. | 2011/05/31 | 3.13% | -1.35% | 2.66 | 4.85 | -3.59 |
| 14. | 2011/06/30 | -2.06% | -1.83% | 12.66 | 7.17 | 9.53 |
| 15. | 2011/07/31 | -3.02% | -2.15% | 20.49 | 9.00 | 13.58 |
| 16. | 2011/08/31 | -1.22% | -5.68% | 7.41 | 42.66 | 17.78 |
| 17. | 2011/09/30 | -9.05% | -7.18% | 111.24 | 64.46 | 84.68 |
| 18. | 2011/10/31 | 12.17% | 10.77% | 113.89 | 98.41 | 105.86 |
| 19. | 2011/11/30 | -0.05% | -0.51% | 2.40 | 1.84 | 2.11 |
| 20. | 2011/12/31 | -4.18% | 0.85% | 32.30 | 0.00 | -0.01 |
| 21. | 2012/01/31 | 4.89% | 4.36% | 11.48 | 12.29 | 11.88 |
| 22. | 2012/02/29 | 2.44% | 4.06% | 0.87 | 10.28 | 2.99 |
| 23. | 2012/03/31 | 5.10% | 3.13% | 12.96 | 5.20 | 8.21 |
| 24. | 2012/04/30 | 4.15% | -0.75% | 7.00 | 2.57 | -4.24 |
| 25. | 2012/05/31 | -4.52% | -6.27% | 36.24 | 50.66 | 42.84 |
| 26. | 2012/06/30 | 7.64% | 3.96% | 37.71 | 9.63 | 19.06 |
| 27. | 2012/07/31 | -3.22% | 1.26% | 22.31 | 0.17 | -1.92 |
| 28. | 2012/08/31 | -3.77% | 1.98% | 27.78 | 1.26 | -5.93 |
| 29. | 2012/09/30 | -1.24% | 2.42% | 7.52 | 2.47 | -4.31 |
| 30. | 2012/10/31 | 8.46% | -1.98% | 48.45 | 8.02 | -19.71 |
| 31. | 2012/11/30 | 1.46% | 0.28% | 0.00 | 0.32 | 0.03 |
| 32. | 2012/12/31 | 2.64% | 0.71% | 1.29 | 0.02 | -0.16 |
| 33. | 2013/01/31 | 8.53% | 5.04% | 49.39 | 17.56 | 29.45 |
| 34. | 2013/02/28 | 1.05% | 1.11% | 0.21 | 0.06 | -0.12 |
| 35. | 2013/03/31 | 1.72% | 3.60% | 0.05 | 7.54 | 0.61 |
| 36. | 2013/04/30 | -1.98% | 1.81% | 12.14 | 0.91 | -3.33 |
| 37. | 2013/05/31 | 7.60% | 2.08% | 37.16 | 1.50 | 7.46 |
| 38. | 2013/06/30 | 0.74% | -1.50% | 0.58 | 5.53 | 1.80 |
| 39. | 2013/07/31 | 7.13% | 4.95% | 31.64 | 16.76 | 23.03 |
| 40. | 2013/08/31 | -0.82% | -3.13% | 5.41 | 15.86 | 9.26 |
| 41. | 2013/09/30 | 5.67% | 2.97% | 17.42 | 4.51 | 8.86 |
| 42. | 2013/10/31 | 21.86% | 4.46% | 414.26 | 13.01 | 73.42 |
| 43. | 2013/11/30 | 6.26% | 2.80% | 22.66 | 3.81 | 9.30 |
| 44. | 2013/12/31 | -2.71% | 2.36% | 17.71 | 2.26 | -6.33 |
| 45. | 2014/01/31 | 8.06% | -3.56% | 43.02 | 19.45 | -28.93 |
| 46. | 2014/02/28 | 1.65% | 4.31% | 0.02 | 11.97 | 0.52 |
| 47. | 2014/03/31 | -0.27% | 0.69% | 3.14 | 0.03 | 0.28 |
| 48. | 2014/04/30 | -4.18% | 0.62% | 32.28 | 0.05 | 1.32 |
| 49. | 2014/05/31 | 12.09% | 2.10% | 112.05 | 1.56 | 13.24 |
| 50. | 2014/06/30 | -1.68% | 1.91% | 10.14 | 1.11 | -3.35 |
| 51. | 2014/07/31 | 3.03% | -1.51% | 2.35 | 5.57 | -3.62 |
| 52. | 2014/08/31 | 1.78% | 3.77% | 0.08 | 8.49 | 0.80 |
| 53. | 2014/09/30 | -0.18% | -1.55% | 2.84 | 5.78 | 4.05 |
| 54. | 2014/10/31 | 4.49% | 2.32% | 8.93 | 2.15 | 4.39 |
| 55. | 2014/11/30 | 3.73% | 2.45% | 4.97 | 2.56 | 3.57 |
| 56. | 2014/12/31 | -1.51% | -0.42% | 9.06 | 1.62 | 3.83 |
| 57. | 2015/01/31 | 2.44% | -3.10% | 0.89 | 15.65 | -3.72 |
| 58. | 2015/02/28 | 7.66% | 5.49% | 37.93 | 21.50 | 28.56 |
| 59. | 2015/03/31 | -1.09% | -1.74% | 6.73 | 6.72 | 6.72 |
| 60. | 2015/04/30 | -1.24% | 0.85% | 7.50 | 0.00 | 0.00 |
| 61. | 2015/05/31 | 6.19% | 1.05% | 21.99 | 0.04 | 0.92 |
| 62. | 2015/06/30 | -5.13% | -2.10% | 44.03 | 8.72 | 19.60 |
| 63. | 2015/07/31 | -1.89% | 1.97% | 11.48 | 1.26 | -3.80 |
| 64. | 2015/08/31 | -10.30% | -6.26% | 139.18 | 50.56 | 83.88 |
| 65. | 2015/09/30 | -6.35% | -2.64% | 61.68 | 12.23 | 27.46 |
| 66. | 2015/10/31 | -3.37% | 8.30% | 23.70 | 55.44 | -36.25 |
| 67. | 2015/11/30 | 6.06% | 0.05% | 20.75 | 0.64 | -3.65 |
| 68. | 2015/12/31 | 4.16% | -1.75% | 7.08 | 6.79 | -6.93 |
| 69. | 2016/01/31 | -18.38% | -5.07% | 395.26 | 35.11 | 117.81 |
| 70. | 2016/02/29 | -3.16% | -0.41% | 21.69 | 1.60 | 5.89 |
| 71. | 2016/03/31 | 1.05% | 6.60% | 0.21 | 33.03 | -2.61 |
| トータル (Σ): | 2,573.16 | 1,034.99 | 771.36 | |||
すべて表示
分散MCK = Σ(RMCK,t–RMCK)2 ÷ (71 – 1)
= 2,573.16 ÷ (71 – 1)
= 36.76
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,034.99 ÷ (71 – 1)
= 14.79
共 分散MCK, S&P 500 = Σ(RMCK,t–RMCK)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 771.36 ÷ (71 – 1)
= 11.02
システマティックなリスク推定 (β)
| 分散MCK | 36.76 |
| 分散S&P 500 | 14.79 |
| 共 分散MCK, S&P 500 | 11.02 |
| 相関係数MCK, S&P 5001 | 0.47 |
| βMCK2 | 0.75 |
| αMCK3 | 0.87% |
計算
1 相関係数MCK, S&P 500
= 共 分散MCK, S&P 500 ÷ (標準偏差MCK × 標準偏差S&P 500)
= 11.02 ÷ (6.06% × 3.85%)
= 0.47
2 βMCK
= 共 分散MCK, S&P 500 ÷ 分散S&P 500
= 11.02 ÷ 14.79
= 0.75
3 αMCK
= 平均MCK – βMCK × 平均S&P 500
= 1.50% – 0.75 × 0.85%
= 0.87%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.60% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 15.13% |
| 普通株式 McKesson システマティックリスク | βMCK | 0.75 |
| マッケソン普通株の期待収益率3 | E(RMCK) | 12.45% |
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(RMCK) = RF + βMCK [E(RM) – RF]
= 4.60% + 0.75 [15.13% – 4.60%]
= 12.45%