資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Medtronic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
Medtronic PLC、月間収益率
| Medtronic PLC (MDT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格MDT,t1 | 配当MDT,t1 | RMDT,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2019/05/31 | $92.58 | 2,752.06 | ||||
| 1. | 2019/06/30 | $97.39 | 5.20% | 2,941.76 | 6.89% | |
| 2. | 2019/07/31 | $101.94 | $0.54 | 5.23% | 2,980.38 | 1.31% |
| 3. | 2019/08/31 | $107.89 | 5.84% | 2,926.46 | -1.81% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 69. | 2025/02/28 | $92.02 | 1.32% | 5,954.50 | -1.42% | |
| 70. | 2025/03/31 | $89.86 | $0.70 | -1.59% | 5,611.85 | -5.75% |
| 平均 (R): | 0.40% | 1.15% | ||||
| 標準偏差： | 6.45% | 5.00% | ||||
| Medtronic PLC (MDT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格MDT,t1 | 配当MDT,t1 | RMDT,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2019/05/31 | $92.58 | 2,752.06 | ||||
| 1. | 2019/06/30 | $97.39 | 5.20% | 2,941.76 | 6.89% | |
| 2. | 2019/07/31 | $101.94 | $0.54 | 5.23% | 2,980.38 | 1.31% |
| 3. | 2019/08/31 | $107.89 | 5.84% | 2,926.46 | -1.81% | |
| 4. | 2019/09/30 | $108.62 | $0.54 | 1.18% | 2,976.74 | 1.72% |
| 5. | 2019/10/31 | $108.90 | 0.26% | 3,037.56 | 2.04% | |
| 6. | 2019/11/30 | $111.39 | 2.29% | 3,140.98 | 3.40% | |
| 7. | 2019/12/31 | $113.45 | $0.54 | 2.33% | 3,230.78 | 2.86% |
| 8. | 2020/01/31 | $115.44 | 1.75% | 3,225.52 | -0.16% | |
| 9. | 2020/02/29 | $100.67 | -12.79% | 2,954.22 | -8.41% | |
| 10. | 2020/03/31 | $90.18 | $0.54 | -9.88% | 2,584.59 | -12.51% |
| 11. | 2020/04/30 | $97.63 | 8.26% | 2,912.43 | 12.68% | |
| 12. | 2020/05/31 | $98.58 | 0.97% | 3,044.31 | 4.53% | |
| 13. | 2020/06/30 | $91.70 | $0.58 | -6.39% | 3,100.29 | 1.84% |
| 14. | 2020/07/31 | $96.48 | 5.21% | 3,271.12 | 5.51% | |
| 15. | 2020/08/31 | $107.47 | 11.39% | 3,500.31 | 7.01% | |
| 16. | 2020/09/30 | $103.92 | $0.58 | -2.76% | 3,363.00 | -3.92% |
| 17. | 2020/10/31 | $100.57 | -3.22% | 3,269.96 | -2.77% | |
| 18. | 2020/11/30 | $113.70 | 13.06% | 3,621.63 | 10.75% | |
| 19. | 2020/12/31 | $117.14 | $0.58 | 3.54% | 3,756.07 | 3.71% |
| 20. | 2021/01/31 | $111.33 | -4.96% | 3,714.24 | -1.11% | |
| 21. | 2021/02/28 | $116.97 | 5.07% | 3,811.15 | 2.61% | |
| 22. | 2021/03/31 | $118.13 | $0.58 | 1.49% | 3,972.89 | 4.24% |
| 23. | 2021/04/30 | $130.92 | 10.83% | 4,181.17 | 5.24% | |
| 24. | 2021/05/31 | $126.59 | -3.31% | 4,204.11 | 0.55% | |
| 25. | 2021/06/30 | $124.13 | $0.63 | -1.45% | 4,297.50 | 2.22% |
| 26. | 2021/07/31 | $131.31 | 5.78% | 4,395.26 | 2.27% | |
| 27. | 2021/08/31 | $133.48 | 1.65% | 4,522.68 | 2.90% | |
| 28. | 2021/09/30 | $125.35 | $0.63 | -5.62% | 4,307.54 | -4.76% |
| 29. | 2021/10/31 | $119.86 | -4.38% | 4,605.38 | 6.91% | |
| 30. | 2021/11/30 | $106.70 | -10.98% | 4,567.00 | -0.83% | |
| 31. | 2021/12/31 | $103.45 | $0.63 | -2.46% | 4,766.18 | 4.36% |
| 32. | 2022/01/31 | $103.49 | 0.04% | 4,515.55 | -5.26% | |
| 33. | 2022/02/28 | $104.99 | 1.45% | 4,373.94 | -3.14% | |
| 34. | 2022/03/31 | $110.95 | $0.63 | 6.28% | 4,530.41 | 3.58% |
| 35. | 2022/04/30 | $104.36 | -5.94% | 4,131.93 | -8.80% | |
| 36. | 2022/05/31 | $100.15 | -4.03% | 4,132.15 | 0.01% | |
| 37. | 2022/06/30 | $89.75 | $0.68 | -9.71% | 3,785.38 | -8.39% |
| 38. | 2022/07/31 | $92.52 | 3.09% | 4,130.29 | 9.11% | |
| 39. | 2022/08/31 | $87.92 | -4.97% | 3,955.00 | -4.24% | |
| 40. | 2022/09/30 | $80.75 | $0.68 | -7.38% | 3,585.62 | -9.34% |
| 41. | 2022/10/31 | $87.34 | 8.16% | 3,871.98 | 7.99% | |
| 42. | 2022/11/30 | $79.04 | -9.50% | 4,080.11 | 5.38% | |
| 43. | 2022/12/31 | $77.72 | $0.68 | -0.81% | 3,839.50 | -5.90% |
| 44. | 2023/01/31 | $83.69 | 7.68% | 4,076.60 | 6.18% | |
| 45. | 2023/02/28 | $82.80 | -1.06% | 3,970.15 | -2.61% | |
| 46. | 2023/03/31 | $80.62 | $0.68 | -1.81% | 4,109.31 | 3.51% |
| 47. | 2023/04/30 | $90.95 | 12.81% | 4,169.48 | 1.46% | |
| 48. | 2023/05/31 | $82.76 | -9.00% | 4,179.83 | 0.25% | |
| 49. | 2023/06/30 | $88.10 | $0.69 | 7.29% | 4,376.86 | 4.71% |
| 50. | 2023/07/31 | $87.76 | -0.39% | 4,588.96 | 4.85% | |
| 51. | 2023/08/31 | $81.50 | -7.13% | 4,507.66 | -1.77% | |
| 52. | 2023/09/30 | $78.36 | $0.69 | -3.01% | 4,288.05 | -4.87% |
| 53. | 2023/10/31 | $70.56 | -9.95% | 4,193.80 | -2.20% | |
| 54. | 2023/11/30 | $79.27 | 12.34% | 4,567.80 | 8.92% | |
| 55. | 2023/12/31 | $82.38 | $0.69 | 4.79% | 4,769.83 | 4.42% |
| 56. | 2024/01/31 | $87.54 | 6.26% | 4,845.65 | 1.59% | |
| 57. | 2024/02/29 | $83.36 | -4.77% | 5,096.27 | 5.17% | |
| 58. | 2024/03/31 | $87.15 | $0.69 | 5.37% | 5,254.35 | 3.10% |
| 59. | 2024/04/30 | $80.24 | -7.93% | 5,035.69 | -4.16% | |
| 60. | 2024/05/31 | $81.37 | 1.41% | 5,277.51 | 4.80% | |
| 61. | 2024/06/30 | $78.71 | $0.70 | -2.41% | 5,460.48 | 3.47% |
| 62. | 2024/07/31 | $80.32 | 2.05% | 5,522.30 | 1.13% | |
| 63. | 2024/08/31 | $88.58 | 10.28% | 5,648.40 | 2.28% | |
| 64. | 2024/09/30 | $90.03 | $0.70 | 2.43% | 5,762.48 | 2.02% |
| 65. | 2024/10/31 | $89.25 | -0.87% | 5,705.45 | -0.99% | |
| 66. | 2024/11/30 | $86.54 | -3.04% | 6,032.38 | 5.73% | |
| 67. | 2024/12/31 | $79.88 | $0.70 | -6.89% | 5,881.63 | -2.50% |
| 68. | 2025/01/31 | $90.82 | 13.70% | 6,040.53 | 2.70% | |
| 69. | 2025/02/28 | $92.02 | 1.32% | 5,954.50 | -1.42% | |
| 70. | 2025/03/31 | $89.86 | $0.70 | -1.59% | 5,611.85 | -5.75% |
| 平均 (R): | 0.40% | 1.15% | ||||
| 標準偏差： | 6.45% | 5.00% | ||||
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中のMDT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
Medtronic PLC、分散の計算、および戻り値の共分散
| t | 日付 | RMDT,t | RS&P 500,t | (RMDT,t–RMDT)2 | (RS&P 500,t–RS&P 500)2 | (RMDT,t–RMDT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019/06/30 | 5.20% | 6.89% | 23.04 | 33.02 | 27.58 |
| 2. | 2019/07/31 | 5.23% | 1.31% | 23.34 | 0.03 | 0.80 |
| 3. | 2019/08/31 | 5.84% | -1.81% | 29.61 | 8.74 | -16.09 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 69. | 2025/02/28 | 1.32% | -1.42% | 0.86 | 6.61 | -2.38 |
| 70. | 2025/03/31 | -1.59% | -5.75% | 3.93 | 47.63 | 13.68 |
| トータル (Σ): | 2,874.69 | 1,727.94 | 1,387.95 | |||
| t | 日付 | RMDT,t | RS&P 500,t | (RMDT,t–RMDT)2 | (RS&P 500,t–RS&P 500)2 | (RMDT,t–RMDT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019/06/30 | 5.20% | 6.89% | 23.04 | 33.02 | 27.58 |
| 2. | 2019/07/31 | 5.23% | 1.31% | 23.34 | 0.03 | 0.80 |
| 3. | 2019/08/31 | 5.84% | -1.81% | 29.61 | 8.74 | -16.09 |
| 4. | 2019/09/30 | 1.18% | 1.72% | 0.61 | 0.33 | 0.45 |
| 5. | 2019/10/31 | 0.26% | 2.04% | 0.02 | 0.80 | -0.12 |
| 6. | 2019/11/30 | 2.29% | 3.40% | 3.58 | 5.10 | 4.27 |
| 7. | 2019/12/31 | 2.33% | 2.86% | 3.76 | 2.93 | 3.32 |
| 8. | 2020/01/31 | 1.75% | -0.16% | 1.85 | 1.72 | -1.78 |
| 9. | 2020/02/29 | -12.79% | -8.41% | 173.97 | 91.36 | 126.07 |
| 10. | 2020/03/31 | -9.88% | -12.51% | 105.66 | 186.57 | 140.40 |
| 11. | 2020/04/30 | 8.26% | 12.68% | 61.87 | 133.11 | 90.75 |
| 12. | 2020/05/31 | 0.97% | 4.53% | 0.33 | 11.43 | 1.95 |
| 13. | 2020/06/30 | -6.39% | 1.84% | 46.05 | 0.48 | -4.69 |
| 14. | 2020/07/31 | 5.21% | 5.51% | 23.21 | 19.04 | 21.02 |
| 15. | 2020/08/31 | 11.39% | 7.01% | 120.91 | 34.33 | 64.43 |
| 16. | 2020/09/30 | -2.76% | -3.92% | 9.98 | 25.70 | 16.01 |
| 17. | 2020/10/31 | -3.22% | -2.77% | 13.10 | 15.32 | 14.16 |
| 18. | 2020/11/30 | 13.06% | 10.75% | 160.28 | 92.30 | 121.63 |
| 19. | 2020/12/31 | 3.54% | 3.71% | 9.86 | 6.58 | 8.06 |
| 20. | 2021/01/31 | -4.96% | -1.11% | 28.68 | 5.11 | 12.11 |
| 21. | 2021/02/28 | 5.07% | 2.61% | 21.82 | 2.14 | 6.83 |
| 22. | 2021/03/31 | 1.49% | 4.24% | 1.19 | 9.59 | 3.38 |
| 23. | 2021/04/30 | 10.83% | 5.24% | 108.82 | 16.77 | 42.72 |
| 24. | 2021/05/31 | -3.31% | 0.55% | 13.71 | 0.36 | 2.22 |
| 25. | 2021/06/30 | -1.45% | 2.22% | 3.39 | 1.15 | -1.98 |
| 26. | 2021/07/31 | 5.78% | 2.27% | 29.04 | 1.27 | 6.08 |
| 27. | 2021/08/31 | 1.65% | 2.90% | 1.58 | 3.07 | 2.20 |
| 28. | 2021/09/30 | -5.62% | -4.76% | 36.17 | 34.86 | 35.51 |
| 29. | 2021/10/31 | -4.38% | 6.91% | 22.80 | 33.26 | -27.54 |
| 30. | 2021/11/30 | -10.98% | -0.83% | 129.38 | 3.92 | 22.53 |
| 31. | 2021/12/31 | -2.46% | 4.36% | 8.13 | 10.33 | -9.16 |
| 32. | 2022/01/31 | 0.04% | -5.26% | 0.13 | 41.03 | 2.28 |
| 33. | 2022/02/28 | 1.45% | -3.14% | 1.11 | 18.35 | -4.52 |
| 34. | 2022/03/31 | 6.28% | 3.58% | 34.59 | 5.91 | 14.29 |
| 35. | 2022/04/30 | -5.94% | -8.80% | 40.13 | 98.86 | 62.99 |
| 36. | 2022/05/31 | -4.03% | 0.01% | 19.62 | 1.30 | 5.06 |
| 37. | 2022/06/30 | -9.71% | -8.39% | 102.02 | 90.99 | 96.35 |
| 38. | 2022/07/31 | 3.09% | 9.11% | 7.24 | 63.43 | 21.43 |
| 39. | 2022/08/31 | -4.97% | -4.24% | 28.81 | 29.06 | 28.93 |
| 40. | 2022/09/30 | -7.38% | -9.34% | 60.48 | 109.97 | 81.55 |
| 41. | 2022/10/31 | 8.16% | 7.99% | 60.31 | 46.78 | 53.11 |
| 42. | 2022/11/30 | -9.50% | 5.38% | 97.98 | 17.88 | -41.85 |
| 43. | 2022/12/31 | -0.81% | -5.90% | 1.45 | 49.62 | 8.49 |
| 44. | 2023/01/31 | 7.68% | 6.18% | 53.09 | 25.28 | 36.64 |
| 45. | 2023/02/28 | -1.06% | -2.61% | 2.13 | 14.13 | 5.48 |
| 46. | 2023/03/31 | -1.81% | 3.51% | 4.87 | 5.56 | -5.20 |
| 47. | 2023/04/30 | 12.81% | 1.46% | 154.20 | 0.10 | 3.94 |
| 48. | 2023/05/31 | -9.00% | 0.25% | 88.36 | 0.81 | 8.45 |
| 49. | 2023/06/30 | 7.29% | 4.71% | 47.48 | 12.72 | 24.58 |
| 50. | 2023/07/31 | -0.39% | 4.85% | 0.61 | 13.68 | -2.89 |
| 51. | 2023/08/31 | -7.13% | -1.77% | 56.68 | 8.52 | 21.97 |
| 52. | 2023/09/30 | -3.01% | -4.87% | 11.57 | 36.23 | 20.47 |
| 53. | 2023/10/31 | -9.95% | -2.20% | 107.11 | 11.19 | 34.62 |
| 54. | 2023/11/30 | 12.34% | 8.92% | 142.77 | 60.39 | 92.85 |
| 55. | 2023/12/31 | 4.79% | 4.42% | 19.35 | 10.73 | 14.41 |
| 56. | 2024/01/31 | 6.26% | 1.59% | 34.44 | 0.20 | 2.60 |
| 57. | 2024/02/29 | -4.77% | 5.17% | 26.73 | 16.20 | -20.81 |
| 58. | 2024/03/31 | 5.37% | 3.10% | 24.79 | 3.82 | 9.73 |
| 59. | 2024/04/30 | -7.93% | -4.16% | 69.29 | 28.18 | 44.19 |
| 60. | 2024/05/31 | 1.41% | 4.80% | 1.03 | 13.36 | 3.70 |
| 61. | 2024/06/30 | -2.41% | 3.47% | 7.86 | 5.38 | -6.50 |
| 62. | 2024/07/31 | 2.05% | 1.13% | 2.72 | 0.00 | -0.02 |
| 63. | 2024/08/31 | 10.28% | 2.28% | 97.78 | 1.29 | 11.24 |
| 64. | 2024/09/30 | 2.43% | 2.02% | 4.13 | 0.76 | 1.77 |
| 65. | 2024/10/31 | -0.87% | -0.99% | 1.59 | 4.57 | 2.70 |
| 66. | 2024/11/30 | -3.04% | 5.73% | 11.78 | 21.00 | -15.73 |
| 67. | 2024/12/31 | -6.89% | -2.50% | 53.03 | 13.29 | 26.55 |
| 68. | 2025/01/31 | 13.70% | 2.70% | 176.90 | 2.42 | 20.68 |
| 69. | 2025/02/28 | 1.32% | -1.42% | 0.86 | 6.61 | -2.38 |
| 70. | 2025/03/31 | -1.59% | -5.75% | 3.93 | 47.63 | 13.68 |
| トータル (Σ): | 2,874.69 | 1,727.94 | 1,387.95 | |||
すべて表示
分散MDT = Σ(RMDT,t–RMDT)2 ÷ (70 – 1)
= 2,874.69 ÷ (70 – 1)
= 41.66
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (70 – 1)
= 1,727.94 ÷ (70 – 1)
= 25.04
共 分散MDT, S&P 500 = Σ(RMDT,t–RMDT)×(RS&P 500,t–RS&P 500) ÷ (70 – 1)
= 1,387.95 ÷ (70 – 1)
= 20.12
システマティックなリスク推定 (β)
| 分散MDT | 41.66 |
| 分散S&P 500 | 25.04 |
| 共 分散MDT, S&P 500 | 20.12 |
| 相関係数MDT, S&P 5001 | 0.62 |
| βMDT2 | 0.80 |
| αMDT3 | -0.53% |
計算
1 相関係数MDT, S&P 500
= 共 分散MDT, S&P 500 ÷ (標準偏差MDT × 標準偏差S&P 500)
= 20.12 ÷ (6.45% × 5.00%)
= 0.62
2 βMDT
= 共 分散MDT, S&P 500 ÷ 分散S&P 500
= 20.12 ÷ 25.04
= 0.80
3 αMDT
= 平均MDT – βMDT × 平均S&P 500
= 0.40% – 0.80 × 1.15%
= -0.53%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.91% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.72% |
| 普通株式 Medtronic システマティックリスク | βMDT | 0.80 |
| メドトロニックの普通株式の期待収益率3 | E(RMDT) | 12.79% |
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(RMDT) = RF + βMDT [E(RM) – RF]
= 4.91% + 0.80 [14.72% – 4.91%]
= 12.79%