Stock Analysis on Net

Northrop Grumman Corp. (NYSE:NOC)

この会社は アーカイブに移されました! 財務データは2023年4月27日以降更新されていません。

資本資産価格モデル (CAPM) 

Microsoft Excel

収益率

Northrop Grumman Corp.、月間収益率

Microsoft Excel
Northrop Grumman Corp. (NOC) Standard & Poor’s 500 (S&P 500)
t 日付 価格NOC,t1 配当NOC,t1 RNOC,t2 価格S&P 500,t RS&P 500,t3
2018/01/31 $340.53 2,823.81
1. 2018/02/28 $350.04 2.79% 2,713.83 -3.89%
2. 2018/03/31 $349.12 $1.10 0.05% 2,640.87 -2.69%
3. 2018/04/30 $322.04 -7.76% 2,648.05 0.27%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2022/11/30 $533.29 $1.73 -2.55% 4,080.11 5.38%
59. 2022/12/31 $545.61 2.31% 3,839.50 -5.90%
平均 (R): 1.17% 0.67%
標準偏差: 6.86% 5.40%
Northrop Grumman Corp. (NOC) Standard & Poor’s 500 (S&P 500)
t 日付 価格NOC,t1 配当NOC,t1 RNOC,t2 価格S&P 500,t RS&P 500,t3
2018/01/31 $340.53 2,823.81
1. 2018/02/28 $350.04 2.79% 2,713.83 -3.89%
2. 2018/03/31 $349.12 $1.10 0.05% 2,640.87 -2.69%
3. 2018/04/30 $322.04 -7.76% 2,648.05 0.27%
4. 2018/05/31 $327.25 1.62% 2,705.27 2.16%
5. 2018/06/30 $307.70 $1.20 -5.61% 2,718.37 0.48%
6. 2018/07/31 $300.49 -2.34% 2,816.29 3.60%
7. 2018/08/31 $298.49 $1.20 -0.27% 2,901.52 3.03%
8. 2018/09/30 $317.37 6.33% 2,913.98 0.43%
9. 2018/10/31 $261.95 -17.46% 2,711.74 -6.94%
10. 2018/11/30 $259.88 $1.20 -0.33% 2,760.17 1.79%
11. 2018/12/31 $244.90 -5.76% 2,506.85 -9.18%
12. 2019/01/31 $275.55 12.52% 2,704.10 7.87%
13. 2019/02/28 $289.96 $1.20 5.67% 2,784.49 2.97%
14. 2019/03/31 $269.60 -7.02% 2,834.40 1.79%
15. 2019/04/30 $289.91 7.53% 2,945.83 3.93%
16. 2019/05/31 $303.25 $1.32 5.06% 2,752.06 -6.58%
17. 2019/06/30 $323.11 6.55% 2,941.76 6.89%
18. 2019/07/31 $345.57 6.95% 2,980.38 1.31%
19. 2019/08/31 $367.87 6.45% 2,926.46 -1.81%
20. 2019/09/30 $374.79 $1.32 2.24% 2,976.74 1.72%
21. 2019/10/31 $352.48 -5.95% 3,037.56 2.04%
22. 2019/11/30 $351.77 $1.32 0.17% 3,140.98 3.40%
23. 2019/12/31 $343.97 -2.22% 3,230.78 2.86%
24. 2020/01/31 $374.57 8.90% 3,225.52 -0.16%
25. 2020/02/29 $328.84 $1.32 -11.86% 2,954.22 -8.41%
26. 2020/03/31 $302.55 -7.99% 2,584.59 -12.51%
27. 2020/04/30 $330.67 9.29% 2,912.43 12.68%
28. 2020/05/31 $335.20 $1.45 1.81% 3,044.31 4.53%
29. 2020/06/30 $307.44 -8.28% 3,100.29 1.84%
30. 2020/07/31 $325.01 5.71% 3,271.12 5.51%
31. 2020/08/31 $342.61 $1.45 5.86% 3,500.31 7.01%
32. 2020/09/30 $315.49 -7.92% 3,363.00 -3.92%
33. 2020/10/31 $289.82 -8.14% 3,269.96 -2.77%
34. 2020/11/30 $302.26 $1.45 4.79% 3,621.63 10.75%
35. 2020/12/31 $304.72 0.81% 3,756.07 3.71%
36. 2021/01/31 $286.61 -5.94% 3,714.24 -1.11%
37. 2021/02/28 $291.66 $1.45 2.27% 3,811.15 2.61%
38. 2021/03/31 $323.64 10.96% 3,972.89 4.24%
39. 2021/04/30 $354.44 9.52% 4,181.17 5.24%
40. 2021/05/31 $365.87 $1.57 3.67% 4,204.11 0.55%
41. 2021/06/30 $363.43 -0.67% 4,297.50 2.22%
42. 2021/07/31 $363.02 -0.11% 4,395.26 2.27%
43. 2021/08/31 $367.70 $1.57 1.72% 4,522.68 2.90%
44. 2021/09/30 $360.15 -2.05% 4,307.54 -4.76%
45. 2021/10/31 $357.22 -0.81% 4,605.38 6.91%
46. 2021/11/30 $348.80 $1.57 -1.92% 4,567.00 -0.83%
47. 2021/12/31 $387.07 10.97% 4,766.18 4.36%
48. 2022/01/31 $369.90 -4.44% 4,515.55 -5.26%
49. 2022/02/28 $442.14 $1.57 19.95% 4,373.94 -3.14%
50. 2022/03/31 $447.22 1.15% 4,530.41 3.58%
51. 2022/04/30 $439.40 -1.75% 4,131.93 -8.80%
52. 2022/05/31 $467.97 $1.73 6.90% 4,132.15 0.01%
53. 2022/06/30 $478.57 2.27% 3,785.38 -8.39%
54. 2022/07/31 $478.90 0.07% 4,130.29 9.11%
55. 2022/08/31 $477.99 $1.73 0.17% 3,955.00 -4.24%
56. 2022/09/30 $470.32 -1.60% 3,585.62 -9.34%
57. 2022/10/31 $549.01 16.73% 3,871.98 7.99%
58. 2022/11/30 $533.29 $1.73 -2.55% 4,080.11 5.38%
59. 2022/12/31 $545.61 2.31% 3,839.50 -5.90%
平均 (R): 1.17% 0.67%
標準偏差: 6.86% 5.40%

すべて表示

1 普通株式1株当たり米ドルで、分割および株式配当を調整したデータ。

2 期間 t中のNOC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プロキシ)の収益率。


分散と共分散

Northrop Grumman Corp.、分散の計算、および戻り値の共分散

Microsoft Excel
t 日付 RNOC,t RS&P 500,t (RNOC,tRNOC)2 (RS&P 500,tRS&P 500)2 (RNOC,tRNOC)×(RS&P 500,tRS&P 500)
1. 2018/02/28 2.79% -3.89% 2.63 20.81 -7.40
2. 2018/03/31 0.05% -2.69% 1.25 11.26 3.75
3. 2018/04/30 -7.76% 0.27% 79.68 0.16 3.52
. . . . . . .
. . . . . . .
. . . . . . .
58. 2022/11/30 -2.55% 5.38% 13.82 22.17 -17.51
59. 2022/12/31 2.31% -5.90% 1.30 43.08 -7.49
トータル (Σ): 2,731.47 1,691.48 976.36
t 日付 RNOC,t RS&P 500,t (RNOC,tRNOC)2 (RS&P 500,tRS&P 500)2 (RNOC,tRNOC)×(RS&P 500,tRS&P 500)
1. 2018/02/28 2.79% -3.89% 2.63 20.81 -7.40
2. 2018/03/31 0.05% -2.69% 1.25 11.26 3.75
3. 2018/04/30 -7.76% 0.27% 79.68 0.16 3.52
4. 2018/05/31 1.62% 2.16% 0.20 2.23 0.67
5. 2018/06/30 -5.61% 0.48% 45.93 0.03 1.24
6. 2018/07/31 -2.34% 3.60% 12.34 8.62 -10.31
7. 2018/08/31 -0.27% 3.03% 2.06 5.57 -3.39
8. 2018/09/30 6.33% 0.43% 26.58 0.06 -1.22
9. 2018/10/31 -17.46% -6.94% 347.15 57.87 141.73
10. 2018/11/30 -0.33% 1.79% 2.26 1.25 -1.68
11. 2018/12/31 -5.76% -9.18% 48.08 96.91 68.26
12. 2019/01/31 12.52% 7.87% 128.72 51.87 81.71
13. 2019/02/28 5.67% 2.97% 20.21 5.32 10.37
14. 2019/03/31 -7.02% 1.79% 67.10 1.27 -9.22
15. 2019/04/30 7.53% 3.93% 40.50 10.66 20.78
16. 2019/05/31 5.06% -6.58% 15.11 52.48 -28.16
17. 2019/06/30 6.55% 6.89% 28.94 38.77 33.49
18. 2019/07/31 6.95% 1.31% 33.43 0.42 3.74
19. 2019/08/31 6.45% -1.81% 27.92 6.13 -13.08
20. 2019/09/30 2.24% 1.72% 1.15 1.11 1.13
21. 2019/10/31 -5.95% 2.04% 50.73 1.89 -9.80
22. 2019/11/30 0.17% 3.40% 0.99 7.50 -2.73
23. 2019/12/31 -2.22% 2.86% 11.47 4.81 -7.43
24. 2020/01/31 8.90% -0.16% 59.70 0.69 -6.41
25. 2020/02/29 -11.86% -8.41% 169.67 82.40 118.25
26. 2020/03/31 -7.99% -12.51% 83.99 173.67 120.77
27. 2020/04/30 9.29% 12.68% 66.01 144.43 97.64
28. 2020/05/31 1.81% 4.53% 0.41 14.91 2.47
29. 2020/06/30 -8.28% 1.84% 89.33 1.37 -11.08
30. 2020/07/31 5.71% 5.51% 20.66 23.46 22.02
31. 2020/08/31 5.86% 7.01% 22.01 40.19 29.74
32. 2020/09/30 -7.92% -3.92% 82.54 21.06 41.70
33. 2020/10/31 -8.14% -2.77% 86.61 11.79 31.95
34. 2020/11/30 4.79% 10.75% 13.13 101.77 36.55
35. 2020/12/31 0.81% 3.71% 0.13 9.28 -1.08
36. 2021/01/31 -5.94% -1.11% 50.59 3.17 12.66
37. 2021/02/28 2.27% 2.61% 1.21 3.77 2.13
38. 2021/03/31 10.96% 4.24% 95.95 12.80 35.04
39. 2021/04/30 9.52% 5.24% 69.67 20.94 38.20
40. 2021/05/31 3.67% 0.55% 6.24 0.01 -0.29
41. 2021/06/30 -0.67% 2.22% 3.37 2.42 -2.86
42. 2021/07/31 -0.11% 2.27% 1.64 2.59 -2.06
43. 2021/08/31 1.72% 2.90% 0.30 4.98 1.23
44. 2021/09/30 -2.05% -4.76% 10.39 29.42 17.48
45. 2021/10/31 -0.81% 6.91% 3.93 39.03 -12.39
46. 2021/11/30 -1.92% -0.83% 9.53 2.25 4.63
47. 2021/12/31 10.97% 4.36% 96.08 13.65 36.22
48. 2022/01/31 -4.44% -5.26% 31.42 35.11 33.21
49. 2022/02/28 19.95% -3.14% 352.85 14.46 -71.43
50. 2022/03/31 1.15% 3.58% 0.00 8.47 -0.06
51. 2022/04/30 -1.75% -8.80% 8.52 89.54 27.61
52. 2022/05/31 6.90% 0.01% 32.79 0.44 -3.79
53. 2022/06/30 2.27% -8.39% 1.20 82.06 -9.92
54. 2022/07/31 0.07% 9.11% 1.21 71.32 -9.30
55. 2022/08/31 0.17% -4.24% 1.00 24.11 4.90
56. 2022/09/30 -1.60% -9.34% 7.70 100.12 27.76
57. 2022/10/31 16.73% 7.99% 242.16 53.58 113.91
58. 2022/11/30 -2.55% 5.38% 13.82 22.17 -17.51
59. 2022/12/31 2.31% -5.90% 1.30 43.08 -7.49
トータル (Σ): 2,731.47 1,691.48 976.36

すべて表示

分散NOC = Σ(RNOC,tRNOC)2 ÷ (59 – 1)
= 2,731.47 ÷ (59 – 1)
= 47.09

分散S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16

共 分散NOC, S&P 500 = Σ(RNOC,tRNOC)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 976.36 ÷ (59 – 1)
= 16.83


システマティックリスク推定 (β)

Microsoft Excel
分散NOC 47.09
分散S&P 500 29.16
共 分散NOC, S&P 500 16.83
相関係数NOC, S&P 5001 0.45
βNOC2 0.58
αNOC3 0.78%

計算

1 相関係数NOC, S&P 500
= 共 分散NOC, S&P 500 ÷ (標準偏差NOC × 標準偏差S&P 500)
= 16.83 ÷ (6.86% × 5.40%)
= 0.45

2 βNOC
= 共 分散NOC, S&P 500 ÷ 分散S&P 500
= 16.83 ÷ 29.16
= 0.58

3 αNOC
= 平均NOC – βNOC × 平均S&P 500
= 1.17%0.58 × 0.67%
= 0.78%


期待収益率

Microsoft Excel
仮定
LT財務省総合の収益率1 RF 4.43%
市場ポートフォリオの期待収益率2 E(RM) 13.60%
普通株式 Northrop Grumman システマティックリスク βNOC 0.58
 
ノースロップ・グラマンの普通株の期待収益率3 E(RNOC) 9.73%

1 10年以内に期限が到来またはコール可能でないすべての固定クーポン米国債の入札利回りの非加重平均(リスクフリー収益率プロキシ)。

2 詳細を見る »

3 E(RNOC) = RF + βNOC [E(RM) – RF]
= 4.43% + 0.58 [13.60%4.43%]
= 9.73%