Stock Analysis on Net

Pioneer Natural Resources Co. (NYSE:PXD)

資本資産価格モデル (CAPM) 

Microsoft Excel

収益率

Pioneer Natural Resources Co.、月次収益率

Microsoft Excel
Pioneer Natural Resources Co. (PXD) Standard & Poor’s 500 (S&P 500)
t 日付 価格PXD,t1 配当PXD,t1 RPXD,t2 価格S&P 500,t RS&P 500,t3
2018/01/31 $182.91 2,823.81
1. 2018/02/28 $170.23 -6.93% 2,713.83 -3.89%
2. 2018/03/31 $171.78 $0.16 1.00% 2,640.87 -2.69%
3. 2018/04/30 $201.55 17.33% 2,648.05 0.27%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2022/11/30 $235.99 $5.71 -5.74% 4,080.11 5.38%
59. 2022/12/31 $228.39 -3.22% 3,839.50 -5.90%
平均 (R): 1.49% 0.67%
標準偏差: 12.51% 5.40%
Pioneer Natural Resources Co. (PXD) Standard & Poor’s 500 (S&P 500)
t 日付 価格PXD,t1 配当PXD,t1 RPXD,t2 価格S&P 500,t RS&P 500,t3
2018/01/31 $182.91 2,823.81
1. 2018/02/28 $170.23 -6.93% 2,713.83 -3.89%
2. 2018/03/31 $171.78 $0.16 1.00% 2,640.87 -2.69%
3. 2018/04/30 $201.55 17.33% 2,648.05 0.27%
4. 2018/05/31 $193.10 -4.19% 2,705.27 2.16%
5. 2018/06/30 $189.24 -2.00% 2,718.37 0.48%
6. 2018/07/31 $189.27 0.02% 2,816.29 3.60%
7. 2018/08/31 $174.70 -7.70% 2,901.52 3.03%
8. 2018/09/30 $174.19 $0.16 -0.20% 2,913.98 0.43%
9. 2018/10/31 $147.27 -15.45% 2,711.74 -6.94%
10. 2018/11/30 $147.75 0.33% 2,760.17 1.79%
11. 2018/12/31 $131.52 -10.98% 2,506.85 -9.18%
12. 2019/01/31 $142.32 8.21% 2,704.10 7.87%
13. 2019/02/28 $140.95 -0.96% 2,784.49 2.97%
14. 2019/03/31 $152.28 $0.32 8.27% 2,834.40 1.79%
15. 2019/04/30 $166.46 9.31% 2,945.83 3.93%
16. 2019/05/31 $141.96 -14.72% 2,752.06 -6.58%
17. 2019/06/30 $153.86 8.38% 2,941.76 6.89%
18. 2019/07/31 $138.04 -10.28% 2,980.38 1.31%
19. 2019/08/31 $123.42 -10.59% 2,926.46 -1.81%
20. 2019/09/30 $125.77 $0.44 2.26% 2,976.74 1.72%
21. 2019/10/31 $123.02 -2.19% 3,037.56 2.04%
22. 2019/11/30 $127.84 3.92% 3,140.98 3.40%
23. 2019/12/31 $151.37 $0.44 18.75% 3,230.78 2.86%
24. 2020/01/31 $135.00 -10.81% 3,225.52 -0.16%
25. 2020/02/29 $122.78 -9.05% 2,954.22 -8.41%
26. 2020/03/31 $70.15 $0.55 -42.42% 2,584.59 -12.51%
27. 2020/04/30 $89.31 27.31% 2,912.43 12.68%
28. 2020/05/31 $91.60 2.56% 3,044.31 4.53%
29. 2020/06/30 $97.70 $0.55 7.26% 3,100.29 1.84%
30. 2020/07/31 $96.92 -0.80% 3,271.12 5.51%
31. 2020/08/31 $103.93 7.23% 3,500.31 7.01%
32. 2020/09/30 $85.99 $0.55 -16.73% 3,363.00 -3.92%
33. 2020/10/31 $79.56 -7.48% 3,269.96 -2.77%
34. 2020/11/30 $100.58 26.42% 3,621.63 10.75%
35. 2020/12/31 $113.89 $0.55 13.78% 3,756.07 3.71%
36. 2021/01/31 $120.90 6.16% 3,714.24 -1.11%
37. 2021/02/28 $148.57 22.89% 3,811.15 2.61%
38. 2021/03/31 $158.82 $0.56 7.28% 3,972.89 4.24%
39. 2021/04/30 $153.83 -3.14% 4,181.17 5.24%
40. 2021/05/31 $152.19 -1.07% 4,204.11 0.55%
41. 2021/06/30 $162.52 $0.56 7.16% 4,297.50 2.22%
42. 2021/07/31 $145.37 -10.55% 4,395.26 2.27%
43. 2021/08/31 $149.67 2.96% 4,522.68 2.90%
44. 2021/09/30 $166.51 $2.07 12.63% 4,307.54 -4.76%
45. 2021/10/31 $186.98 12.29% 4,605.38 6.91%
46. 2021/11/30 $178.32 $3.02 -3.02% 4,567.00 -0.83%
47. 2021/12/31 $181.88 $0.62 2.34% 4,766.18 4.36%
48. 2022/01/31 $218.89 20.35% 4,515.55 -5.26%
49. 2022/02/28 $239.60 $3.78 11.19% 4,373.94 -3.14%
50. 2022/03/31 $250.03 4.35% 4,530.41 3.58%
51. 2022/04/30 $232.47 -7.02% 4,131.93 -8.80%
52. 2022/05/31 $277.94 $7.38 22.73% 4,132.15 0.01%
53. 2022/06/30 $223.08 -19.74% 3,785.38 -8.39%
54. 2022/07/31 $236.95 6.22% 4,130.29 9.11%
55. 2022/08/31 $253.22 6.87% 3,955.00 -4.24%
56. 2022/09/30 $216.53 $8.57 -11.10% 3,585.62 -9.34%
57. 2022/10/31 $256.41 18.42% 3,871.98 7.99%
58. 2022/11/30 $235.99 $5.71 -5.74% 4,080.11 5.38%
59. 2022/12/31 $228.39 -3.22% 3,839.50 -5.90%
平均 (R): 1.49% 0.67%
標準偏差: 12.51% 5.40%

すべて表示

1 普通株式1株当たり米ドルのデータ(分割および株式配当調整後)

2 期間tにおけるPXD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

Pioneer Natural Resources Co.、リターンの差異と共分散の計算

Microsoft Excel
t 日付 RPXD,t RS&P 500,t (RPXD,tRPXD)2 (RS&P 500,tRS&P 500)2 (RPXD,tRPXD)×(RS&P 500,tRS&P 500)
1. 2018/02/28 -6.93% -3.89% 70.99 20.81 38.43
2. 2018/03/31 1.00% -2.69% 0.24 11.26 1.64
3. 2018/04/30 17.33% 0.27% 250.82 0.16 -6.25
. . . . . . .
. . . . . . .
. . . . . . .
58. 2022/11/30 -5.74% 5.38% 52.27 22.17 -34.04
59. 2022/12/31 -3.22% -5.90% 22.22 43.08 30.94
トータル (Σ): 9,071.39 1,691.48 2,405.59
t 日付 RPXD,t RS&P 500,t (RPXD,tRPXD)2 (RS&P 500,tRS&P 500)2 (RPXD,tRPXD)×(RS&P 500,tRS&P 500)
1. 2018/02/28 -6.93% -3.89% 70.99 20.81 38.43
2. 2018/03/31 1.00% -2.69% 0.24 11.26 1.64
3. 2018/04/30 17.33% 0.27% 250.82 0.16 -6.25
4. 2018/05/31 -4.19% 2.16% 32.32 2.23 -8.50
5. 2018/06/30 -2.00% 0.48% 12.19 0.03 0.64
6. 2018/07/31 0.02% 3.60% 2.18 8.62 -4.34
7. 2018/08/31 -7.70% 3.03% 84.47 5.57 -21.69
8. 2018/09/30 -0.20% 0.43% 2.87 0.06 0.40
9. 2018/10/31 -15.45% -6.94% 287.21 57.87 128.92
10. 2018/11/30 0.33% 1.79% 1.36 1.25 -1.31
11. 2018/12/31 -10.98% -9.18% 155.69 96.91 122.83
12. 2019/01/31 8.21% 7.87% 45.14 51.87 48.39
13. 2019/02/28 -0.96% 2.97% 6.03 5.32 -5.66
14. 2019/03/31 8.27% 1.79% 45.87 1.27 7.62
15. 2019/04/30 9.31% 3.93% 61.14 10.66 25.53
16. 2019/05/31 -14.72% -6.58% 262.80 52.48 117.44
17. 2019/06/30 8.38% 6.89% 47.47 38.77 42.90
18. 2019/07/31 -10.28% 1.31% 138.65 0.42 -7.61
19. 2019/08/31 -10.59% -1.81% 146.02 6.13 29.92
20. 2019/09/30 2.26% 1.72% 0.59 1.11 0.81
21. 2019/10/31 -2.19% 2.04% 13.54 1.89 -5.06
22. 2019/11/30 3.92% 3.40% 5.88 7.50 6.64
23. 2019/12/31 18.75% 2.86% 297.81 4.81 37.83
24. 2020/01/31 -10.81% -0.16% 151.47 0.69 10.21
25. 2020/02/29 -9.05% -8.41% 111.19 82.40 95.72
26. 2020/03/31 -42.42% -12.51% 1,928.11 173.67 578.67
27. 2020/04/30 27.31% 12.68% 666.67 144.43 310.30
28. 2020/05/31 2.56% 4.53% 1.15 14.91 4.14
29. 2020/06/30 7.26% 1.84% 33.26 1.37 6.76
30. 2020/07/31 -0.80% 5.51% 5.25 23.46 -11.10
31. 2020/08/31 7.23% 7.01% 32.95 40.19 36.39
32. 2020/09/30 -16.73% -3.92% 332.16 21.06 83.64
33. 2020/10/31 -7.48% -2.77% 80.47 11.79 30.80
34. 2020/11/30 26.42% 10.75% 621.38 101.77 251.47
35. 2020/12/31 13.78% 3.71% 150.97 9.28 37.42
36. 2021/01/31 6.16% -1.11% 21.74 3.17 -8.30
37. 2021/02/28 22.89% 2.61% 457.69 3.77 41.56
38. 2021/03/31 7.28% 4.24% 33.44 12.80 20.69
39. 2021/04/30 -3.14% 5.24% 21.48 20.94 -21.21
40. 2021/05/31 -1.07% 0.55% 6.55 0.01 0.30
41. 2021/06/30 7.16% 2.22% 32.07 2.42 8.80
42. 2021/07/31 -10.55% 2.27% 145.09 2.59 -19.37
43. 2021/08/31 2.96% 2.90% 2.15 4.98 3.27
44. 2021/09/30 12.63% -4.76% 124.13 29.42 -60.43
45. 2021/10/31 12.29% 6.91% 116.65 39.03 67.48
46. 2021/11/30 -3.02% -0.83% 20.33 2.25 6.76
47. 2021/12/31 2.34% 4.36% 0.72 13.65 3.14
48. 2022/01/31 20.35% -5.26% 355.54 35.11 -111.72
49. 2022/02/28 11.19% -3.14% 94.00 14.46 -36.87
50. 2022/03/31 4.35% 3.58% 8.18 8.47 8.33
51. 2022/04/30 -7.02% -8.80% 72.52 89.54 80.58
52. 2022/05/31 22.73% 0.01% 451.19 0.44 -14.05
53. 2022/06/30 -19.74% -8.39% 450.75 82.06 192.32
54. 2022/07/31 6.22% 9.11% 22.32 71.32 39.90
55. 2022/08/31 6.87% -4.24% 28.87 24.11 -26.39
56. 2022/09/30 -11.10% -9.34% 158.71 100.12 126.06
57. 2022/10/31 18.42% 7.99% 286.45 53.58 123.88
58. 2022/11/30 -5.74% 5.38% 52.27 22.17 -34.04
59. 2022/12/31 -3.22% -5.90% 22.22 43.08 30.94
トータル (Σ): 9,071.39 1,691.48 2,405.59

すべて表示

分散PXD = Σ(RPXD,tRPXD)2 ÷ (59 – 1)
= 9,071.39 ÷ (59 – 1)
= 156.40

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PXD, S&P 500 = Σ(RPXD,tRPXD)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 2,405.59 ÷ (59 – 1)
= 41.48


体系的なリスク推定 (β)

Microsoft Excel
分散PXD 156.40
分散S&P 500 29.16
共 分散PXD, S&P 500 41.48
相関係数PXD, S&P 5001 0.61
βPXD2 1.42
αPXD3 0.54%

計算

1 相関係数PXD, S&P 500
= 共 分散PXD, S&P 500 ÷ (標準偏差PXD × 標準偏差S&P 500)
= 41.48 ÷ (12.51% × 5.40%)
= 0.61

2 βPXD
= 共 分散PXD, S&P 500 ÷ 分散S&P 500
= 41.48 ÷ 29.16
= 1.42

3 αPXD
= 平均PXD – βPXD × 平均S&P 500
= 1.49%1.42 × 0.67%
= 0.54%


期待収益率

Microsoft Excel
仮定
LT財務省コンポジットの収益率1 RF 4.08%
市場ポートフォリオの期待収益率2 E(RM) 13.78%
普通株式の Pioneer のシステマティックリスク βPXD 1.42
 
パイオニア普通株式の予想収益率3 E(RPXD) 17.87%

1 10年以内に期限も呼び出もできないすべての未払いの固定クーポン米国債の入札利回りの加重平均(リスクフリーの収益率プロキシ)。

2 詳細を見る »

3 E(RPXD) = RF + βPXD [E(RM) – RF]
= 4.08% + 1.42 [13.78%4.08%]
= 17.87%