資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Nike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
Nike Inc.、月間収益率
| Nike Inc. (NKE) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格NKE,t1 | 配当NKE,t1 | RNKE,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2018/06/30 | $79.68 | 2,718.37 | ||||
| 1. | 2018/07/31 | $76.91 | -3.48% | 2,816.29 | 3.60% | |
| 2. | 2018/08/31 | $82.20 | $0.20 | 7.14% | 2,901.52 | 3.03% |
| 3. | 2018/09/30 | $84.72 | 3.07% | 2,913.98 | 0.43% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024/04/30 | $92.26 | -1.83% | 5,035.69 | -4.16% | |
| 71. | 2024/05/31 | $95.05 | 3.02% | 5,277.51 | 4.80% | |
| 平均 (R): | 0.68% | 1.08% | ||||
| 標準偏差： | 8.29% | 5.24% | ||||
| Nike Inc. (NKE) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格NKE,t1 | 配当NKE,t1 | RNKE,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2018/06/30 | $79.68 | 2,718.37 | ||||
| 1. | 2018/07/31 | $76.91 | -3.48% | 2,816.29 | 3.60% | |
| 2. | 2018/08/31 | $82.20 | $0.20 | 7.14% | 2,901.52 | 3.03% |
| 3. | 2018/09/30 | $84.72 | 3.07% | 2,913.98 | 0.43% | |
| 4. | 2018/10/31 | $75.04 | -11.43% | 2,711.74 | -6.94% | |
| 5. | 2018/11/30 | $75.12 | $0.22 | 0.40% | 2,760.17 | 1.79% |
| 6. | 2018/12/31 | $74.14 | -1.30% | 2,506.85 | -9.18% | |
| 7. | 2019/01/31 | $81.88 | 10.44% | 2,704.10 | 7.87% | |
| 8. | 2019/02/28 | $85.73 | 4.70% | 2,784.49 | 2.97% | |
| 9. | 2019/03/31 | $84.21 | $0.22 | -1.52% | 2,834.40 | 1.79% |
| 10. | 2019/04/30 | $87.83 | 4.30% | 2,945.83 | 3.93% | |
| 11. | 2019/05/31 | $77.14 | $0.22 | -11.92% | 2,752.06 | -6.58% |
| 12. | 2019/06/30 | $83.95 | 8.83% | 2,941.76 | 6.89% | |
| 13. | 2019/07/31 | $86.03 | 2.48% | 2,980.38 | 1.31% | |
| 14. | 2019/08/31 | $84.50 | $0.22 | -1.52% | 2,926.46 | -1.81% |
| 15. | 2019/09/30 | $93.92 | 11.15% | 2,976.74 | 1.72% | |
| 16. | 2019/10/31 | $89.55 | -4.65% | 3,037.56 | 2.04% | |
| 17. | 2019/11/30 | $93.49 | $0.245 | 4.67% | 3,140.98 | 3.40% |
| 18. | 2019/12/31 | $101.31 | 8.36% | 3,230.78 | 2.86% | |
| 19. | 2020/01/31 | $96.30 | -4.95% | 3,225.52 | -0.16% | |
| 20. | 2020/02/29 | $89.38 | $0.245 | -6.93% | 2,954.22 | -8.41% |
| 21. | 2020/03/31 | $82.74 | -7.43% | 2,584.59 | -12.51% | |
| 22. | 2020/04/30 | $87.18 | 5.37% | 2,912.43 | 12.68% | |
| 23. | 2020/05/31 | $98.58 | $0.245 | 13.36% | 3,044.31 | 4.53% |
| 24. | 2020/06/30 | $98.05 | -0.54% | 3,100.29 | 1.84% | |
| 25. | 2020/07/31 | $97.61 | -0.45% | 3,271.12 | 5.51% | |
| 26. | 2020/08/31 | $111.89 | $0.245 | 14.88% | 3,500.31 | 7.01% |
| 27. | 2020/09/30 | $125.54 | 12.20% | 3,363.00 | -3.92% | |
| 28. | 2020/10/31 | $120.08 | -4.35% | 3,269.96 | -2.77% | |
| 29. | 2020/11/30 | $134.70 | 12.18% | 3,621.63 | 10.75% | |
| 30. | 2020/12/31 | $141.47 | $0.275 | 5.23% | 3,756.07 | 3.71% |
| 31. | 2021/01/31 | $133.59 | -5.57% | 3,714.24 | -1.11% | |
| 32. | 2021/02/28 | $134.78 | $0.275 | 1.10% | 3,811.15 | 2.61% |
| 33. | 2021/03/31 | $132.89 | -1.40% | 3,972.89 | 4.24% | |
| 34. | 2021/04/30 | $132.62 | -0.20% | 4,181.17 | 5.24% | |
| 35. | 2021/05/31 | $136.46 | $0.275 | 3.10% | 4,204.11 | 0.55% |
| 36. | 2021/06/30 | $154.49 | 13.21% | 4,297.50 | 2.22% | |
| 37. | 2021/07/31 | $167.51 | 8.43% | 4,395.26 | 2.27% | |
| 38. | 2021/08/31 | $164.74 | $0.275 | -1.49% | 4,522.68 | 2.90% |
| 39. | 2021/09/30 | $145.23 | -11.84% | 4,307.54 | -4.76% | |
| 40. | 2021/10/31 | $167.29 | 15.19% | 4,605.38 | 6.91% | |
| 41. | 2021/11/30 | $169.24 | 1.17% | 4,567.00 | -0.83% | |
| 42. | 2021/12/31 | $166.67 | $0.305 | -1.34% | 4,766.18 | 4.36% |
| 43. | 2022/01/31 | $148.07 | -11.16% | 4,515.55 | -5.26% | |
| 44. | 2022/02/28 | $136.55 | -7.78% | 4,373.94 | -3.14% | |
| 45. | 2022/03/31 | $134.56 | $0.305 | -1.23% | 4,530.41 | 3.58% |
| 46. | 2022/04/30 | $124.70 | -7.33% | 4,131.93 | -8.80% | |
| 47. | 2022/05/31 | $118.85 | -4.69% | 4,132.15 | 0.01% | |
| 48. | 2022/06/30 | $102.20 | $0.305 | -13.75% | 3,785.38 | -8.39% |
| 49. | 2022/07/31 | $114.92 | 12.45% | 4,130.29 | 9.11% | |
| 50. | 2022/08/31 | $106.45 | -7.37% | 3,955.00 | -4.24% | |
| 51. | 2022/09/30 | $83.12 | $0.305 | -21.63% | 3,585.62 | -9.34% |
| 52. | 2022/10/31 | $92.68 | 11.50% | 3,871.98 | 7.99% | |
| 53. | 2022/11/30 | $109.69 | 18.35% | 4,080.11 | 5.38% | |
| 54. | 2022/12/31 | $117.01 | $0.34 | 6.98% | 3,839.50 | -5.90% |
| 55. | 2023/01/31 | $127.33 | 8.82% | 4,076.60 | 6.18% | |
| 56. | 2023/02/28 | $118.79 | -6.71% | 3,970.15 | -2.61% | |
| 57. | 2023/03/31 | $122.64 | $0.34 | 3.53% | 4,109.31 | 3.51% |
| 58. | 2023/04/30 | $126.72 | 3.33% | 4,169.48 | 1.46% | |
| 59. | 2023/05/31 | $105.26 | -16.93% | 4,179.83 | 0.25% | |
| 60. | 2023/06/30 | $110.37 | $0.34 | 5.18% | 4,376.86 | 4.71% |
| 61. | 2023/07/31 | $110.39 | 0.02% | 4,588.96 | 4.85% | |
| 62. | 2023/08/31 | $101.71 | -7.86% | 4,507.66 | -1.77% | |
| 63. | 2023/09/30 | $95.62 | $0.34 | -5.65% | 4,288.05 | -4.87% |
| 64. | 2023/10/31 | $102.77 | 7.48% | 4,193.80 | -2.20% | |
| 65. | 2023/11/30 | $110.27 | 7.30% | 4,567.80 | 8.92% | |
| 66. | 2023/12/31 | $108.57 | $0.37 | -1.21% | 4,769.83 | 4.42% |
| 67. | 2024/01/31 | $101.53 | -6.48% | 4,845.65 | 1.59% | |
| 68. | 2024/02/29 | $103.93 | 2.36% | 5,096.27 | 5.17% | |
| 69. | 2024/03/31 | $93.98 | $0.37 | -9.22% | 5,254.35 | 3.10% |
| 70. | 2024/04/30 | $92.26 | -1.83% | 5,035.69 | -4.16% | |
| 71. | 2024/05/31 | $95.05 | 3.02% | 5,277.51 | 4.80% | |
| 平均 (R): | 0.68% | 1.08% | ||||
| 標準偏差： | 8.29% | 5.24% | ||||
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NKE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
Nike Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RNKE,t | RS&P 500,t | (RNKE,t–RNKE)2 | (RS&P 500,t–RS&P 500)2 | (RNKE,t–RNKE)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018/07/31 | -3.48% | 3.60% | 17.26 | 6.39 | -10.50 |
| 2. | 2018/08/31 | 7.14% | 3.03% | 41.74 | 3.81 | 12.61 |
| 3. | 2018/09/30 | 3.07% | 0.43% | 5.70 | 0.42 | -1.54 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024/04/30 | -1.83% | -4.16% | 6.29 | 27.42 | 13.13 |
| 71. | 2024/05/31 | 3.02% | 4.80% | 5.51 | 13.89 | 8.75 |
| トータル (Σ): | 4,812.14 | 1,923.46 | 1,998.44 | |||
| t | 日付 | RNKE,t | RS&P 500,t | (RNKE,t–RNKE)2 | (RS&P 500,t–RS&P 500)2 | (RNKE,t–RNKE)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018/07/31 | -3.48% | 3.60% | 17.26 | 6.39 | -10.50 |
| 2. | 2018/08/31 | 7.14% | 3.03% | 41.74 | 3.81 | 12.61 |
| 3. | 2018/09/30 | 3.07% | 0.43% | 5.70 | 0.42 | -1.54 |
| 4. | 2018/10/31 | -11.43% | -6.94% | 146.49 | 64.25 | 97.02 |
| 5. | 2018/11/30 | 0.40% | 1.79% | 0.08 | 0.51 | -0.20 |
| 6. | 2018/12/31 | -1.30% | -9.18% | 3.93 | 105.12 | 20.32 |
| 7. | 2019/01/31 | 10.44% | 7.87% | 95.30 | 46.15 | 66.32 |
| 8. | 2019/02/28 | 4.70% | 2.97% | 16.20 | 3.60 | 7.64 |
| 9. | 2019/03/31 | -1.52% | 1.79% | 4.81 | 0.51 | -1.57 |
| 10. | 2019/04/30 | 4.30% | 3.93% | 13.11 | 8.16 | 10.34 |
| 11. | 2019/05/31 | -11.92% | -6.58% | 158.72 | 58.57 | 96.42 |
| 12. | 2019/06/30 | 8.83% | 6.89% | 66.43 | 33.85 | 47.42 |
| 13. | 2019/07/31 | 2.48% | 1.31% | 3.24 | 0.06 | 0.43 |
| 14. | 2019/08/31 | -1.52% | -1.81% | 4.84 | 8.32 | 6.35 |
| 15. | 2019/09/30 | 11.15% | 1.72% | 109.63 | 0.41 | 6.73 |
| 16. | 2019/10/31 | -4.65% | 2.04% | 28.41 | 0.94 | -5.16 |
| 17. | 2019/11/30 | 4.67% | 3.40% | 15.97 | 5.43 | 9.31 |
| 18. | 2019/12/31 | 8.36% | 2.86% | 59.09 | 3.18 | 13.71 |
| 19. | 2020/01/31 | -4.95% | -0.16% | 31.62 | 1.53 | 6.96 |
| 20. | 2020/02/29 | -6.93% | -8.41% | 57.90 | 89.99 | 72.18 |
| 21. | 2020/03/31 | -7.43% | -12.51% | 65.72 | 184.61 | 110.15 |
| 22. | 2020/04/30 | 5.37% | 12.68% | 21.98 | 134.77 | 54.43 |
| 23. | 2020/05/31 | 13.36% | 4.53% | 160.78 | 11.92 | 43.78 |
| 24. | 2020/06/30 | -0.54% | 1.84% | 1.48 | 0.58 | -0.93 |
| 25. | 2020/07/31 | -0.45% | 5.51% | 1.27 | 19.67 | -5.00 |
| 26. | 2020/08/31 | 14.88% | 7.01% | 201.73 | 35.18 | 84.24 |
| 27. | 2020/09/30 | 12.20% | -3.92% | 132.75 | 24.98 | -57.59 |
| 28. | 2020/10/31 | -4.35% | -2.77% | 25.27 | 14.76 | 19.31 |
| 29. | 2020/11/30 | 12.18% | 10.75% | 132.20 | 93.69 | 111.29 |
| 30. | 2020/12/31 | 5.23% | 3.71% | 20.73 | 6.95 | 12.00 |
| 31. | 2021/01/31 | -5.57% | -1.11% | 39.03 | 4.79 | 13.68 |
| 32. | 2021/02/28 | 1.10% | 2.61% | 0.18 | 2.35 | 0.64 |
| 33. | 2021/03/31 | -1.40% | 4.24% | 4.33 | 10.04 | -6.59 |
| 34. | 2021/04/30 | -0.20% | 5.24% | 0.78 | 17.37 | -3.67 |
| 35. | 2021/05/31 | 3.10% | 0.55% | 5.88 | 0.28 | -1.28 |
| 36. | 2021/06/30 | 13.21% | 2.22% | 157.13 | 1.31 | 14.37 |
| 37. | 2021/07/31 | 8.43% | 2.27% | 60.06 | 1.44 | 9.30 |
| 38. | 2021/08/31 | -1.49% | 2.90% | 4.70 | 3.33 | -3.95 |
| 39. | 2021/09/30 | -11.84% | -4.76% | 156.76 | 34.01 | 73.02 |
| 40. | 2021/10/31 | 15.19% | 6.91% | 210.60 | 34.10 | 84.74 |
| 41. | 2021/11/30 | 1.17% | -0.83% | 0.24 | 3.64 | -0.93 |
| 42. | 2021/12/31 | -1.34% | 4.36% | 4.06 | 10.80 | -6.62 |
| 43. | 2022/01/31 | -11.16% | -5.26% | 140.12 | 40.12 | 74.98 |
| 44. | 2022/02/28 | -7.78% | -3.14% | 71.53 | 17.74 | 35.62 |
| 45. | 2022/03/31 | -1.23% | 3.58% | 3.65 | 6.26 | -4.78 |
| 46. | 2022/04/30 | -7.33% | -8.80% | 64.08 | 97.44 | 79.02 |
| 47. | 2022/05/31 | -4.69% | 0.01% | 28.82 | 1.14 | 5.74 |
| 48. | 2022/06/30 | -13.75% | -8.39% | 208.23 | 89.63 | 136.61 |
| 49. | 2022/07/31 | 12.45% | 9.11% | 138.50 | 64.58 | 94.58 |
| 50. | 2022/08/31 | -7.37% | -4.24% | 64.77 | 28.29 | 42.81 |
| 51. | 2022/09/30 | -21.63% | -9.34% | 497.62 | 108.47 | 232.33 |
| 52. | 2022/10/31 | 11.50% | 7.99% | 117.16 | 47.76 | 74.80 |
| 53. | 2022/11/30 | 18.35% | 5.38% | 312.44 | 18.49 | 76.01 |
| 54. | 2022/12/31 | 6.98% | -5.90% | 39.76 | 48.61 | -43.97 |
| 55. | 2023/01/31 | 8.82% | 6.18% | 66.30 | 26.01 | 41.53 |
| 56. | 2023/02/28 | -6.71% | -2.61% | 54.53 | 13.59 | 27.22 |
| 57. | 2023/03/31 | 3.53% | 3.51% | 8.12 | 5.90 | 6.92 |
| 58. | 2023/04/30 | 3.33% | 1.46% | 7.02 | 0.15 | 1.03 |
| 59. | 2023/05/31 | -16.93% | 0.25% | 310.20 | 0.68 | 14.57 |
| 60. | 2023/06/30 | 5.18% | 4.71% | 20.25 | 13.24 | 16.37 |
| 61. | 2023/07/31 | 0.02% | 4.85% | 0.43 | 14.22 | -2.49 |
| 62. | 2023/08/31 | -7.86% | -1.77% | 72.94 | 8.10 | 24.31 |
| 63. | 2023/09/30 | -5.65% | -4.87% | 40.08 | 35.37 | 37.65 |
| 64. | 2023/10/31 | 7.48% | -2.20% | 46.24 | 10.71 | -22.26 |
| 65. | 2023/11/30 | 7.30% | 8.92% | 43.83 | 61.51 | 51.92 |
| 66. | 2023/12/31 | -1.21% | 4.42% | 3.55 | 11.21 | -6.31 |
| 67. | 2024/01/31 | -6.48% | 1.59% | 51.29 | 0.26 | -3.68 |
| 68. | 2024/02/29 | 2.36% | 5.17% | 2.84 | 16.78 | 6.91 |
| 69. | 2024/03/31 | -9.22% | 3.10% | 97.92 | 4.11 | -20.05 |
| 70. | 2024/04/30 | -1.83% | -4.16% | 6.29 | 27.42 | 13.13 |
| 71. | 2024/05/31 | 3.02% | 4.80% | 5.51 | 13.89 | 8.75 |
| トータル (Σ): | 4,812.14 | 1,923.46 | 1,998.44 | |||
すべて表示
分散NKE = Σ(RNKE,t–RNKE)2 ÷ (71 – 1)
= 4,812.14 ÷ (71 – 1)
= 68.74
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,923.46 ÷ (71 – 1)
= 27.48
共 分散NKE, S&P 500 = Σ(RNKE,t–RNKE)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,998.44 ÷ (71 – 1)
= 28.55
システマティックなリスク推定 (β)
| 分散NKE | 68.74 |
| 分散S&P 500 | 27.48 |
| 共 分散NKE, S&P 500 | 28.55 |
| 相関係数NKE, S&P 5001 | 0.66 |
| βNKE2 | 1.04 |
| αNKE3 | -0.44% |
計算
1 相関係数NKE, S&P 500
= 共 分散NKE, S&P 500 ÷ (標準偏差NKE × 標準偏差S&P 500)
= 28.55 ÷ (8.29% × 5.24%)
= 0.66
2 βNKE
= 共 分散NKE, S&P 500 ÷ 分散S&P 500
= 28.55 ÷ 27.48
= 1.04
3 αNKE
= 平均NKE – βNKE × 平均S&P 500
= 0.68% – 1.04 × 1.08%
= -0.44%
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 Nike システマティックリスク | βNKE | 1.04 |
| ナイキ普通株の期待収益率3 | E(RNKE) | 15.09% |
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(RNKE) = RF + βNKE [E(RM) – RF]
= 4.95% + 1.04 [14.71% – 4.95%]
= 15.09%