資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Newmont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
Newmont Corp.、月間収益率
| Newmont Corp. (NEM) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格NEM,t1 | 配当NEM,t1 | RNEM,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2019/01/31 | $34.11 | 2,704.10 | ||||
| 1. | 2019/02/28 | $34.12 | 0.03% | 2,784.49 | 2.97% | |
| 2. | 2019/03/31 | $35.77 | $0.14 | 5.25% | 2,834.40 | 1.79% |
| 3. | 2019/04/30 | $31.06 | $0.88 | -10.71% | 2,945.83 | 3.93% |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023/11/30 | $40.19 | $0.40 | 8.33% | 4,567.80 | 8.92% |
| 59. | 2023/12/31 | $41.39 | 2.99% | 4,769.83 | 4.42% | |
| 平均 (R): | 1.09% | 1.11% | ||||
| 標準偏差： | 9.83% | 5.31% | ||||
| Newmont Corp. (NEM) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格NEM,t1 | 配当NEM,t1 | RNEM,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2019/01/31 | $34.11 | 2,704.10 | ||||
| 1. | 2019/02/28 | $34.12 | 0.03% | 2,784.49 | 2.97% | |
| 2. | 2019/03/31 | $35.77 | $0.14 | 5.25% | 2,834.40 | 1.79% |
| 3. | 2019/04/30 | $31.06 | $0.88 | -10.71% | 2,945.83 | 3.93% |
| 4. | 2019/05/31 | $33.09 | 6.54% | 2,752.06 | -6.58% | |
| 5. | 2019/06/30 | $38.47 | $0.14 | 16.68% | 2,941.76 | 6.89% |
| 6. | 2019/07/31 | $36.52 | -5.07% | 2,980.38 | 1.31% | |
| 7. | 2019/08/31 | $39.89 | 9.23% | 2,926.46 | -1.81% | |
| 8. | 2019/09/30 | $37.92 | $0.14 | -4.59% | 2,976.74 | 1.72% |
| 9. | 2019/10/31 | $39.73 | 4.77% | 3,037.56 | 2.04% | |
| 10. | 2019/11/30 | $38.40 | -3.35% | 3,140.98 | 3.40% | |
| 11. | 2019/12/31 | $43.45 | $0.14 | 13.52% | 3,230.78 | 2.86% |
| 12. | 2020/01/31 | $45.06 | 3.71% | 3,225.52 | -0.16% | |
| 13. | 2020/02/29 | $44.63 | -0.95% | 2,954.22 | -8.41% | |
| 14. | 2020/03/31 | $45.28 | $0.14 | 1.77% | 2,584.59 | -12.51% |
| 15. | 2020/04/30 | $59.48 | 31.36% | 2,912.43 | 12.68% | |
| 16. | 2020/05/31 | $58.47 | -1.70% | 3,044.31 | 4.53% | |
| 17. | 2020/06/30 | $61.74 | $0.25 | 6.02% | 3,100.29 | 1.84% |
| 18. | 2020/07/31 | $69.20 | 12.08% | 3,271.12 | 5.51% | |
| 19. | 2020/08/31 | $67.28 | -2.77% | 3,500.31 | 7.01% | |
| 20. | 2020/09/30 | $63.45 | $0.25 | -5.32% | 3,363.00 | -3.92% |
| 21. | 2020/10/31 | $62.84 | -0.96% | 3,269.96 | -2.77% | |
| 22. | 2020/11/30 | $58.82 | -6.40% | 3,621.63 | 10.75% | |
| 23. | 2020/12/31 | $59.89 | $0.40 | 2.50% | 3,756.07 | 3.71% |
| 24. | 2021/01/31 | $59.60 | -0.48% | 3,714.24 | -1.11% | |
| 25. | 2021/02/28 | $54.38 | -8.76% | 3,811.15 | 2.61% | |
| 26. | 2021/03/31 | $60.27 | $0.55 | 11.84% | 3,972.89 | 4.24% |
| 27. | 2021/04/30 | $62.41 | 3.55% | 4,181.17 | 5.24% | |
| 28. | 2021/05/31 | $73.48 | 17.74% | 4,204.11 | 0.55% | |
| 29. | 2021/06/30 | $63.38 | $0.55 | -13.00% | 4,297.50 | 2.22% |
| 30. | 2021/07/31 | $62.82 | -0.88% | 4,395.26 | 2.27% | |
| 31. | 2021/08/31 | $57.99 | -7.69% | 4,522.68 | 2.90% | |
| 32. | 2021/09/30 | $54.30 | $0.55 | -5.41% | 4,307.54 | -4.76% |
| 33. | 2021/10/31 | $54.00 | -0.55% | 4,605.38 | 6.91% | |
| 34. | 2021/11/30 | $54.92 | 1.70% | 4,567.00 | -0.83% | |
| 35. | 2021/12/31 | $62.02 | $0.55 | 13.93% | 4,766.18 | 4.36% |
| 36. | 2022/01/31 | $61.17 | -1.37% | 4,515.55 | -5.26% | |
| 37. | 2022/02/28 | $66.20 | 8.22% | 4,373.94 | -3.14% | |
| 38. | 2022/03/31 | $79.45 | $0.55 | 20.85% | 4,530.41 | 3.58% |
| 39. | 2022/04/30 | $72.85 | -8.31% | 4,131.93 | -8.80% | |
| 40. | 2022/05/31 | $67.85 | -6.86% | 4,132.15 | 0.01% | |
| 41. | 2022/06/30 | $59.67 | $0.55 | -11.25% | 3,785.38 | -8.39% |
| 42. | 2022/07/31 | $45.28 | -24.12% | 4,130.29 | 9.11% | |
| 43. | 2022/08/31 | $41.36 | -8.66% | 3,955.00 | -4.24% | |
| 44. | 2022/09/30 | $42.03 | $0.55 | 2.95% | 3,585.62 | -9.34% |
| 45. | 2022/10/31 | $42.32 | 0.69% | 3,871.98 | 7.99% | |
| 46. | 2022/11/30 | $47.47 | 12.17% | 4,080.11 | 5.38% | |
| 47. | 2022/12/31 | $47.20 | $0.55 | 0.59% | 3,839.50 | -5.90% |
| 48. | 2023/01/31 | $52.93 | 12.14% | 4,076.60 | 6.18% | |
| 49. | 2023/02/28 | $43.61 | -17.61% | 3,970.15 | -2.61% | |
| 50. | 2023/03/31 | $49.02 | $0.40 | 13.32% | 4,109.31 | 3.51% |
| 51. | 2023/04/30 | $47.40 | -3.30% | 4,169.48 | 1.46% | |
| 52. | 2023/05/31 | $40.55 | $0.40 | -13.61% | 4,179.83 | 0.25% |
| 53. | 2023/06/30 | $42.66 | 5.20% | 4,376.86 | 4.71% | |
| 54. | 2023/07/31 | $42.92 | 0.61% | 4,588.96 | 4.85% | |
| 55. | 2023/08/31 | $39.42 | -8.15% | 4,507.66 | -1.77% | |
| 56. | 2023/09/30 | $36.95 | $0.40 | -5.25% | 4,288.05 | -4.87% |
| 57. | 2023/10/31 | $37.47 | 1.41% | 4,193.80 | -2.20% | |
| 58. | 2023/11/30 | $40.19 | $0.40 | 8.33% | 4,567.80 | 8.92% |
| 59. | 2023/12/31 | $41.39 | 2.99% | 4,769.83 | 4.42% | |
| 平均 (R): | 1.09% | 1.11% | ||||
| 標準偏差： | 9.83% | 5.31% | ||||
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NEM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
Newmont Corp.、分散の計算、および戻り値の共分散
| t | 日付 | RNEM,t | RS&P 500,t | (RNEM,t–RNEM)2 | (RS&P 500,t–RS&P 500)2 | (RNEM,t–RNEM)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019/02/28 | 0.03% | 2.97% | 1.14 | 3.49 | -1.99 |
| 2. | 2019/03/31 | 5.25% | 1.79% | 17.23 | 0.47 | 2.85 |
| 3. | 2019/04/30 | -10.71% | 3.93% | 139.29 | 7.98 | -33.35 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023/11/30 | 8.33% | 8.92% | 52.30 | 61.03 | 56.50 |
| 59. | 2023/12/31 | 2.99% | 4.42% | 3.58 | 11.00 | 6.27 |
| トータル (Σ): | 5,604.79 | 1,634.30 | 847.32 | |||
| t | 日付 | RNEM,t | RS&P 500,t | (RNEM,t–RNEM)2 | (RS&P 500,t–RS&P 500)2 | (RNEM,t–RNEM)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019/02/28 | 0.03% | 2.97% | 1.14 | 3.49 | -1.99 |
| 2. | 2019/03/31 | 5.25% | 1.79% | 17.23 | 0.47 | 2.85 |
| 3. | 2019/04/30 | -10.71% | 3.93% | 139.29 | 7.98 | -33.35 |
| 4. | 2019/05/31 | 6.54% | -6.58% | 29.60 | 59.04 | -41.81 |
| 5. | 2019/06/30 | 16.68% | 6.89% | 242.95 | 33.49 | 90.20 |
| 6. | 2019/07/31 | -5.07% | 1.31% | 37.99 | 0.04 | -1.28 |
| 7. | 2019/08/31 | 9.23% | -1.81% | 66.15 | 8.50 | -23.71 |
| 8. | 2019/09/30 | -4.59% | 1.72% | 32.29 | 0.37 | -3.48 |
| 9. | 2019/10/31 | 4.77% | 2.04% | 13.53 | 0.88 | 3.45 |
| 10. | 2019/11/30 | -3.35% | 3.40% | 19.73 | 5.28 | -10.21 |
| 11. | 2019/12/31 | 13.52% | 2.86% | 154.28 | 3.07 | 21.78 |
| 12. | 2020/01/31 | 3.71% | -0.16% | 6.82 | 1.61 | -3.31 |
| 13. | 2020/02/29 | -0.95% | -8.41% | 4.20 | 90.57 | 19.50 |
| 14. | 2020/03/31 | 1.77% | -12.51% | 0.46 | 185.44 | -9.20 |
| 15. | 2020/04/30 | 31.36% | 12.68% | 916.01 | 134.06 | 350.43 |
| 16. | 2020/05/31 | -1.70% | 4.53% | 7.80 | 11.71 | -9.56 |
| 17. | 2020/06/30 | 6.02% | 1.84% | 24.26 | 0.54 | 3.61 |
| 18. | 2020/07/31 | 12.08% | 5.51% | 120.74 | 19.40 | 48.39 |
| 19. | 2020/08/31 | -2.77% | 7.01% | 14.97 | 34.82 | -22.83 |
| 20. | 2020/09/30 | -5.32% | -3.92% | 41.16 | 25.29 | 32.26 |
| 21. | 2020/10/31 | -0.96% | -2.77% | 4.23 | 15.00 | 7.96 |
| 22. | 2020/11/30 | -6.40% | 10.75% | 56.13 | 93.10 | -72.29 |
| 23. | 2020/12/31 | 2.50% | 3.71% | 1.97 | 6.79 | 3.66 |
| 24. | 2021/01/31 | -0.48% | -1.11% | 2.49 | 4.93 | 3.50 |
| 25. | 2021/02/28 | -8.76% | 2.61% | 97.08 | 2.26 | -14.81 |
| 26. | 2021/03/31 | 11.84% | 4.24% | 115.52 | 9.85 | 33.73 |
| 27. | 2021/04/30 | 3.55% | 5.24% | 6.03 | 17.11 | 10.16 |
| 28. | 2021/05/31 | 17.74% | 0.55% | 276.98 | 0.31 | -9.27 |
| 29. | 2021/06/30 | -13.00% | 2.22% | 198.57 | 1.24 | -15.72 |
| 30. | 2021/07/31 | -0.88% | 2.27% | 3.91 | 1.37 | -2.31 |
| 31. | 2021/08/31 | -7.69% | 2.90% | 77.15 | 3.22 | -15.75 |
| 32. | 2021/09/30 | -5.41% | -4.76% | 42.37 | 34.37 | 38.16 |
| 33. | 2021/10/31 | -0.55% | 6.91% | 2.71 | 33.74 | -9.57 |
| 34. | 2021/11/30 | 1.70% | -0.83% | 0.37 | 3.76 | -1.18 |
| 35. | 2021/12/31 | 13.93% | 4.36% | 164.73 | 10.60 | 41.78 |
| 36. | 2022/01/31 | -1.37% | -5.26% | 6.08 | 40.51 | 15.69 |
| 37. | 2022/02/28 | 8.22% | -3.14% | 50.81 | 17.99 | -30.24 |
| 38. | 2022/03/31 | 20.85% | 3.58% | 390.11 | 6.11 | 48.81 |
| 39. | 2022/04/30 | -8.31% | -8.80% | 88.40 | 98.04 | 93.09 |
| 40. | 2022/05/31 | -6.86% | 0.01% | 63.33 | 1.21 | 8.76 |
| 41. | 2022/06/30 | -11.25% | -8.39% | 152.28 | 90.21 | 117.21 |
| 42. | 2022/07/31 | -24.12% | 9.11% | 635.58 | 64.09 | -201.83 |
| 43. | 2022/08/31 | -8.66% | -4.24% | 95.10 | 28.62 | 52.17 |
| 44. | 2022/09/30 | 2.95% | -9.34% | 3.44 | 109.11 | -19.38 |
| 45. | 2022/10/31 | 0.69% | 7.99% | 0.16 | 47.34 | -2.79 |
| 46. | 2022/11/30 | 12.17% | 5.38% | 122.64 | 18.23 | 47.28 |
| 47. | 2022/12/31 | 0.59% | -5.90% | 0.25 | 49.04 | 3.54 |
| 48. | 2023/01/31 | 12.14% | 6.18% | 121.99 | 25.70 | 55.99 |
| 49. | 2023/02/28 | -17.61% | -2.61% | 349.80 | 13.82 | 69.52 |
| 50. | 2023/03/31 | 13.32% | 3.51% | 149.52 | 5.76 | 29.34 |
| 51. | 2023/04/30 | -3.30% | 1.46% | 19.36 | 0.13 | -1.58 |
| 52. | 2023/05/31 | -13.61% | 0.25% | 216.16 | 0.74 | 12.61 |
| 53. | 2023/06/30 | 5.20% | 4.71% | 16.88 | 13.02 | 14.82 |
| 54. | 2023/07/31 | 0.61% | 4.85% | 0.24 | 13.99 | -1.82 |
| 55. | 2023/08/31 | -8.15% | -1.77% | 85.55 | 8.28 | 26.62 |
| 56. | 2023/09/30 | -5.25% | -4.87% | 40.27 | 35.73 | 37.93 |
| 57. | 2023/10/31 | 1.41% | -2.20% | 0.10 | 10.92 | -1.03 |
| 58. | 2023/11/30 | 8.33% | 8.92% | 52.30 | 61.03 | 56.50 |
| 59. | 2023/12/31 | 2.99% | 4.42% | 3.58 | 11.00 | 6.27 |
| トータル (Σ): | 5,604.79 | 1,634.30 | 847.32 | |||
すべて表示
分散NEM = Σ(RNEM,t–RNEM)2 ÷ (59 – 1)
= 5,604.79 ÷ (59 – 1)
= 96.63
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18
共 分散NEM, S&P 500 = Σ(RNEM,t–RNEM)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 847.32 ÷ (59 – 1)
= 14.61
システマティックなリスク推定 (β)
| 分散NEM | 96.63 |
| 分散S&P 500 | 28.18 |
| 共 分散NEM, S&P 500 | 14.61 |
| 相関係数NEM, S&P 5001 | 0.28 |
| βNEM2 | 0.52 |
| αNEM3 | 0.52% |
計算
1 相関係数NEM, S&P 500
= 共 分散NEM, S&P 500 ÷ (標準偏差NEM × 標準偏差S&P 500)
= 14.61 ÷ (9.83% × 5.31%)
= 0.28
2 βNEM
= 共 分散NEM, S&P 500 ÷ 分散S&P 500
= 14.61 ÷ 28.18
= 0.52
3 αNEM
= 平均NEM – βNEM × 平均S&P 500
= 1.09% – 0.52 × 1.11%
= 0.52%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.62% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.86% |
| 普通株式 Newmont システマティックリスク | βNEM | 0.52 |
| ニューモント普通株式の期待収益率3 | E(RNEM) | 9.93% |
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(RNEM) = RF + βNEM [E(RM) – RF]
= 4.62% + 0.52 [14.86% – 4.62%]
= 9.93%