資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、普通株式 RTXのようなリスク資産の予想または必要な収益率を示します。
収益率
RTX Corp.、月間収益率
| RTX Corp. (RTX) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格RTX,t1 | 配当RTX,t1 | RRTX,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2021/01/31 | $66.73 | 3,714.24 | ||||
| 1. | 2021/02/28 | $71.99 | $0.475 | 8.59% | 3,811.15 | 2.61% |
| 2. | 2021/03/31 | $77.27 | 7.33% | 3,972.89 | 4.24% | |
| 3. | 2021/04/30 | $83.24 | 7.73% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025/11/30 | $174.91 | $0.68 | -1.63% | 6,849.09 | 0.13% |
| 59. | 2025/12/31 | $183.40 | 4.85% | 6,845.50 | -0.05% | |
| 平均 (R): | 2.13% | 1.14% | ||||
| 標準偏差： | 6.53% | 4.37% | ||||
| RTX Corp. (RTX) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格RTX,t1 | 配当RTX,t1 | RRTX,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2021/01/31 | $66.73 | 3,714.24 | ||||
| 1. | 2021/02/28 | $71.99 | $0.475 | 8.59% | 3,811.15 | 2.61% |
| 2. | 2021/03/31 | $77.27 | 7.33% | 3,972.89 | 4.24% | |
| 3. | 2021/04/30 | $83.24 | 7.73% | 4,181.17 | 5.24% | |
| 4. | 2021/05/31 | $88.71 | $0.51 | 7.18% | 4,204.11 | 0.55% |
| 5. | 2021/06/30 | $85.31 | -3.83% | 4,297.50 | 2.22% | |
| 6. | 2021/07/31 | $86.95 | 1.92% | 4,395.26 | 2.27% | |
| 7. | 2021/08/31 | $84.76 | $0.51 | -1.93% | 4,522.68 | 2.90% |
| 8. | 2021/09/30 | $85.96 | 1.42% | 4,307.54 | -4.76% | |
| 9. | 2021/10/31 | $88.86 | 3.37% | 4,605.38 | 6.91% | |
| 10. | 2021/11/30 | $80.92 | $0.51 | -8.36% | 4,567.00 | -0.83% |
| 11. | 2021/12/31 | $86.06 | 6.35% | 4,766.18 | 4.36% | |
| 12. | 2022/01/31 | $90.19 | 4.80% | 4,515.55 | -5.26% | |
| 13. | 2022/02/28 | $102.70 | $0.51 | 14.44% | 4,373.94 | -3.14% |
| 14. | 2022/03/31 | $99.07 | -3.53% | 4,530.41 | 3.58% | |
| 15. | 2022/04/30 | $94.91 | -4.20% | 4,131.93 | -8.80% | |
| 16. | 2022/05/31 | $95.12 | $0.55 | 0.80% | 4,132.15 | 0.01% |
| 17. | 2022/06/30 | $96.11 | 1.04% | 3,785.38 | -8.39% | |
| 18. | 2022/07/31 | $93.21 | -3.02% | 4,130.29 | 9.11% | |
| 19. | 2022/08/31 | $89.75 | $0.55 | -3.12% | 3,955.00 | -4.24% |
| 20. | 2022/09/30 | $81.86 | -8.79% | 3,585.62 | -9.34% | |
| 21. | 2022/10/31 | $94.82 | 15.83% | 3,871.98 | 7.99% | |
| 22. | 2022/11/30 | $98.72 | $0.55 | 4.69% | 4,080.11 | 5.38% |
| 23. | 2022/12/31 | $100.92 | 2.23% | 3,839.50 | -5.90% | |
| 24. | 2023/01/31 | $99.85 | -1.06% | 4,076.60 | 6.18% | |
| 25. | 2023/02/28 | $98.09 | $0.55 | -1.21% | 3,970.15 | -2.61% |
| 26. | 2023/03/31 | $97.93 | -0.16% | 4,109.31 | 3.51% | |
| 27. | 2023/04/30 | $99.90 | 2.01% | 4,169.48 | 1.46% | |
| 28. | 2023/05/31 | $92.14 | $0.59 | -7.18% | 4,179.83 | 0.25% |
| 29. | 2023/06/30 | $97.96 | 6.32% | 4,376.86 | 4.71% | |
| 30. | 2023/07/31 | $87.93 | -10.24% | 4,588.96 | 4.85% | |
| 31. | 2023/08/31 | $86.04 | $0.59 | -1.48% | 4,507.66 | -1.77% |
| 32. | 2023/09/30 | $71.97 | -16.35% | 4,288.05 | -4.87% | |
| 33. | 2023/10/31 | $81.39 | 13.09% | 4,193.80 | -2.20% | |
| 34. | 2023/11/30 | $81.48 | $0.59 | 0.84% | 4,567.80 | 8.92% |
| 35. | 2023/12/31 | $84.14 | 3.26% | 4,769.83 | 4.42% | |
| 36. | 2024/01/31 | $91.12 | 8.30% | 4,845.65 | 1.59% | |
| 37. | 2024/02/29 | $89.67 | $0.59 | -0.94% | 5,096.27 | 5.17% |
| 38. | 2024/03/31 | $97.53 | 8.77% | 5,254.35 | 3.10% | |
| 39. | 2024/04/30 | $101.52 | 4.09% | 5,035.69 | -4.16% | |
| 40. | 2024/05/31 | $107.81 | $0.63 | 6.82% | 5,277.51 | 4.80% |
| 41. | 2024/06/30 | $100.39 | -6.88% | 5,460.48 | 3.47% | |
| 42. | 2024/07/31 | $117.49 | 17.03% | 5,522.30 | 1.13% | |
| 43. | 2024/08/31 | $123.34 | $0.63 | 5.52% | 5,648.40 | 2.28% |
| 44. | 2024/09/30 | $121.16 | -1.77% | 5,762.48 | 2.02% | |
| 45. | 2024/10/31 | $120.99 | -0.14% | 5,705.45 | -0.99% | |
| 46. | 2024/11/30 | $121.83 | $0.63 | 1.21% | 6,032.38 | 5.73% |
| 47. | 2024/12/31 | $115.72 | -5.02% | 5,881.63 | -2.50% | |
| 48. | 2025/01/31 | $128.95 | 11.43% | 6,040.53 | 2.70% | |
| 49. | 2025/02/28 | $132.99 | $0.63 | 3.62% | 5,954.50 | -1.42% |
| 50. | 2025/03/31 | $132.46 | -0.40% | 5,611.85 | -5.75% | |
| 51. | 2025/04/30 | $126.13 | -4.78% | 5,569.06 | -0.76% | |
| 52. | 2025/05/31 | $136.48 | $0.68 | 8.74% | 5,911.69 | 6.15% |
| 53. | 2025/06/30 | $146.02 | 6.99% | 6,204.95 | 4.96% | |
| 54. | 2025/07/31 | $157.57 | 7.91% | 6,339.39 | 2.17% | |
| 55. | 2025/08/31 | $158.60 | $0.68 | 1.09% | 6,460.26 | 1.91% |
| 56. | 2025/09/30 | $167.33 | 5.50% | 6,688.46 | 3.53% | |
| 57. | 2025/10/31 | $178.50 | 6.68% | 6,840.20 | 2.27% | |
| 58. | 2025/11/30 | $174.91 | $0.68 | -1.63% | 6,849.09 | 0.13% |
| 59. | 2025/12/31 | $183.40 | 4.85% | 6,845.50 | -0.05% | |
| 平均 (R): | 2.13% | 1.14% | ||||
| 標準偏差： | 6.53% | 4.37% | ||||
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RTX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
RTX Corp.、分散の計算、および戻り値の共分散
| t | 日付 | RRTX,t | RS&P 500,t | (RRTX,t–RRTX)2 | (RS&P 500,t–RS&P 500)2 | (RRTX,t–RRTX)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021/02/28 | 8.59% | 2.61% | 41.77 | 2.17 | 9.52 |
| 2. | 2021/03/31 | 7.33% | 4.24% | 27.07 | 9.66 | 16.17 |
| 3. | 2021/04/30 | 7.73% | 5.24% | 31.30 | 16.86 | 22.97 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025/11/30 | -1.63% | 0.13% | 14.15 | 1.01 | 3.79 |
| 59. | 2025/12/31 | 4.85% | -0.05% | 7.41 | 1.41 | -3.24 |
| トータル (Σ): | 2,473.28 | 1,108.23 | 449.60 | |||
| t | 日付 | RRTX,t | RS&P 500,t | (RRTX,t–RRTX)2 | (RS&P 500,t–RS&P 500)2 | (RRTX,t–RRTX)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021/02/28 | 8.59% | 2.61% | 41.77 | 2.17 | 9.52 |
| 2. | 2021/03/31 | 7.33% | 4.24% | 27.07 | 9.66 | 16.17 |
| 3. | 2021/04/30 | 7.73% | 5.24% | 31.30 | 16.86 | 22.97 |
| 4. | 2021/05/31 | 7.18% | 0.55% | 25.53 | 0.35 | -2.97 |
| 5. | 2021/06/30 | -3.83% | 2.22% | 35.57 | 1.18 | -6.47 |
| 6. | 2021/07/31 | 1.92% | 2.27% | 0.04 | 1.30 | -0.24 |
| 7. | 2021/08/31 | -1.93% | 2.90% | 16.51 | 3.11 | -7.16 |
| 8. | 2021/09/30 | 1.42% | -4.76% | 0.51 | 34.73 | 4.22 |
| 9. | 2021/10/31 | 3.37% | 6.91% | 1.54 | 33.39 | 7.18 |
| 10. | 2021/11/30 | -8.36% | -0.83% | 110.11 | 3.88 | 20.67 |
| 11. | 2021/12/31 | 6.35% | 4.36% | 17.81 | 10.40 | 13.61 |
| 12. | 2022/01/31 | 4.80% | -5.26% | 7.11 | 40.89 | -17.06 |
| 13. | 2022/02/28 | 14.44% | -3.14% | 151.40 | 18.25 | -52.57 |
| 14. | 2022/03/31 | -3.53% | 3.58% | 32.11 | 5.96 | -13.83 |
| 15. | 2022/04/30 | -4.20% | -8.80% | 40.08 | 98.64 | 62.88 |
| 16. | 2022/05/31 | 0.80% | 0.01% | 1.77 | 1.28 | 1.51 |
| 17. | 2022/06/30 | 1.04% | -8.39% | 1.19 | 90.79 | 10.39 |
| 18. | 2022/07/31 | -3.02% | 9.11% | 26.51 | 63.61 | -41.07 |
| 19. | 2022/08/31 | -3.12% | -4.24% | 27.60 | 28.95 | 28.27 |
| 20. | 2022/09/30 | -8.79% | -9.34% | 119.31 | 109.74 | 114.42 |
| 21. | 2022/10/31 | 15.83% | 7.99% | 187.70 | 46.93 | 93.85 |
| 22. | 2022/11/30 | 4.69% | 5.38% | 6.56 | 17.97 | 10.86 |
| 23. | 2022/12/31 | 2.23% | -5.90% | 0.01 | 49.47 | -0.68 |
| 24. | 2023/01/31 | -1.06% | 6.18% | 10.19 | 25.39 | -16.08 |
| 25. | 2023/02/28 | -1.21% | -2.61% | 11.18 | 14.04 | 12.53 |
| 26. | 2023/03/31 | -0.16% | 3.51% | 5.27 | 5.61 | -5.44 |
| 27. | 2023/04/30 | 2.01% | 1.46% | 0.01 | 0.11 | -0.04 |
| 28. | 2023/05/31 | -7.18% | 0.25% | 86.66 | 0.79 | 8.27 |
| 29. | 2023/06/30 | 6.32% | 4.71% | 17.51 | 12.80 | 14.97 |
| 30. | 2023/07/31 | -10.24% | 4.85% | 153.03 | 13.76 | -45.89 |
| 31. | 2023/08/31 | -1.48% | -1.77% | 13.03 | 8.46 | 10.50 |
| 32. | 2023/09/30 | -16.35% | -4.87% | 341.68 | 36.10 | 111.06 |
| 33. | 2023/10/31 | 13.09% | -2.20% | 120.06 | 11.12 | -36.53 |
| 34. | 2023/11/30 | 0.84% | 8.92% | 1.68 | 60.56 | -10.09 |
| 35. | 2023/12/31 | 3.26% | 4.42% | 1.28 | 10.80 | 3.72 |
| 36. | 2024/01/31 | 8.30% | 1.59% | 37.99 | 0.21 | 2.80 |
| 37. | 2024/02/29 | -0.94% | 5.17% | 9.46 | 16.29 | -12.41 |
| 38. | 2024/03/31 | 8.77% | 3.10% | 44.01 | 3.86 | 13.04 |
| 39. | 2024/04/30 | 4.09% | -4.16% | 3.84 | 28.06 | -10.38 |
| 40. | 2024/05/31 | 6.82% | 4.80% | 21.95 | 13.44 | 17.17 |
| 41. | 2024/06/30 | -6.88% | 3.47% | 81.26 | 5.43 | -21.01 |
| 42. | 2024/07/31 | 17.03% | 1.13% | 222.07 | 0.00 | -0.06 |
| 43. | 2024/08/31 | 5.52% | 2.28% | 11.45 | 1.32 | 3.88 |
| 44. | 2024/09/30 | -1.77% | 2.02% | 15.20 | 0.78 | -3.45 |
| 45. | 2024/10/31 | -0.14% | -0.99% | 5.16 | 4.52 | 4.83 |
| 46. | 2024/11/30 | 1.21% | 5.73% | 0.84 | 21.10 | -4.21 |
| 47. | 2024/12/31 | -5.02% | -2.50% | 51.08 | 13.21 | 25.98 |
| 48. | 2025/01/31 | 11.43% | 2.70% | 86.51 | 2.45 | 14.56 |
| 49. | 2025/02/28 | 3.62% | -1.42% | 2.22 | 6.56 | -3.81 |
| 50. | 2025/03/31 | -0.40% | -5.75% | 6.40 | 47.48 | 17.43 |
| 51. | 2025/04/30 | -4.78% | -0.76% | 47.76 | 3.60 | 13.12 |
| 52. | 2025/05/31 | 8.74% | 6.15% | 43.73 | 25.16 | 33.17 |
| 53. | 2025/06/30 | 6.99% | 4.96% | 23.60 | 14.63 | 18.58 |
| 54. | 2025/07/31 | 7.91% | 2.17% | 33.39 | 1.06 | 5.95 |
| 55. | 2025/08/31 | 1.09% | 1.91% | 1.10 | 0.59 | -0.81 |
| 56. | 2025/09/30 | 5.50% | 3.53% | 11.38 | 5.74 | 8.08 |
| 57. | 2025/10/31 | 6.68% | 2.27% | 20.65 | 1.28 | 5.15 |
| 58. | 2025/11/30 | -1.63% | 0.13% | 14.15 | 1.01 | 3.79 |
| 59. | 2025/12/31 | 4.85% | -0.05% | 7.41 | 1.41 | -3.24 |
| トータル (Σ): | 2,473.28 | 1,108.23 | 449.60 | |||
すべて表示
分散RTX = Σ(RRTX,t–RRTX)2 ÷ (59 – 1)
= 2,473.28 ÷ (59 – 1)
= 42.64
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
共 分散RTX, S&P 500 = Σ(RRTX,t–RRTX)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 449.60 ÷ (59 – 1)
= 7.75
システマティックなリスク推定 (β)
| 分散RTX | 42.64 |
| 分散S&P 500 | 19.11 |
| 共 分散RTX, S&P 500 | 7.75 |
| 相関係数RTX, S&P 5001 | 0.27 |
| βRTX2 | 0.41 |
| αRTX3 | 1.67% |
計算
1 相関係数RTX, S&P 500
= 共 分散RTX, S&P 500 ÷ (標準偏差RTX × 標準偏差S&P 500)
= 7.75 ÷ (6.53% × 4.37%)
= 0.27
2 βRTX
= 共 分散RTX, S&P 500 ÷ 分散S&P 500
= 7.75 ÷ 19.11
= 0.41
3 αRTX
= 平均RTX – βRTX × 平均S&P 500
= 2.13% – 0.41 × 1.14%
= 1.67%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.54% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 17.37% |
| 普通株式のシステマティックリスクRTX | βRTX | 0.41 |
| RTX普通株式の期待収益率3 | E(RRTX) | 9.74% |
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(RRTX) = RF + βRTX [E(RM) – RF]
= 4.54% + 0.41 [17.37% – 4.54%]
= 9.74%