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 |
| 2020/01/31 | $150.20 | 3,225.52 | ||||
| 1. | 2020/02/29 | $130.59 | $0.735 | -12.57% | 2,954.22 | -8.41% |
| 2. | 2020/03/31 | $94.33 | $35.50 | -0.58% | 2,584.59 | -12.51% |
| 3. | 2020/04/30 | $64.81 | -31.29% | 2,912.43 | 12.68% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024/11/30 | $121.83 | $0.63 | 1.21% | 6,032.38 | 5.73% |
| 59. | 2024/12/31 | $115.72 | -5.02% | 5,881.63 | -2.50% | |
| 平均 (R): | 0.72% | 1.16% | ||||
| 標準偏差： | 9.04% | 5.28% | ||||
| 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 |
| 2020/01/31 | $150.20 | 3,225.52 | ||||
| 1. | 2020/02/29 | $130.59 | $0.735 | -12.57% | 2,954.22 | -8.41% |
| 2. | 2020/03/31 | $94.33 | $35.50 | -0.58% | 2,584.59 | -12.51% |
| 3. | 2020/04/30 | $64.81 | -31.29% | 2,912.43 | 12.68% | |
| 4. | 2020/05/31 | $64.52 | $0.475 | 0.29% | 3,044.31 | 4.53% |
| 5. | 2020/06/30 | $61.62 | -4.49% | 3,100.29 | 1.84% | |
| 6. | 2020/07/31 | $56.68 | -8.02% | 3,271.12 | 5.51% | |
| 7. | 2020/08/31 | $61.00 | $0.475 | 8.46% | 3,500.31 | 7.01% |
| 8. | 2020/09/30 | $57.54 | -5.67% | 3,363.00 | -3.92% | |
| 9. | 2020/10/31 | $54.32 | -5.60% | 3,269.96 | -2.77% | |
| 10. | 2020/11/30 | $71.72 | $0.475 | 32.91% | 3,621.63 | 10.75% |
| 11. | 2020/12/31 | $71.51 | -0.29% | 3,756.07 | 3.71% | |
| 12. | 2021/01/31 | $66.73 | -6.68% | 3,714.24 | -1.11% | |
| 13. | 2021/02/28 | $71.99 | $0.475 | 8.59% | 3,811.15 | 2.61% |
| 14. | 2021/03/31 | $77.27 | 7.33% | 3,972.89 | 4.24% | |
| 15. | 2021/04/30 | $83.24 | 7.73% | 4,181.17 | 5.24% | |
| 16. | 2021/05/31 | $88.71 | $0.51 | 7.18% | 4,204.11 | 0.55% |
| 17. | 2021/06/30 | $85.31 | -3.83% | 4,297.50 | 2.22% | |
| 18. | 2021/07/31 | $86.95 | 1.92% | 4,395.26 | 2.27% | |
| 19. | 2021/08/31 | $84.76 | $0.51 | -1.93% | 4,522.68 | 2.90% |
| 20. | 2021/09/30 | $85.96 | 1.42% | 4,307.54 | -4.76% | |
| 21. | 2021/10/31 | $88.86 | 3.37% | 4,605.38 | 6.91% | |
| 22. | 2021/11/30 | $80.92 | $0.51 | -8.36% | 4,567.00 | -0.83% |
| 23. | 2021/12/31 | $86.06 | 6.35% | 4,766.18 | 4.36% | |
| 24. | 2022/01/31 | $90.19 | 4.80% | 4,515.55 | -5.26% | |
| 25. | 2022/02/28 | $102.70 | $0.51 | 14.44% | 4,373.94 | -3.14% |
| 26. | 2022/03/31 | $99.07 | -3.53% | 4,530.41 | 3.58% | |
| 27. | 2022/04/30 | $94.91 | -4.20% | 4,131.93 | -8.80% | |
| 28. | 2022/05/31 | $95.12 | $0.55 | 0.80% | 4,132.15 | 0.01% |
| 29. | 2022/06/30 | $96.11 | 1.04% | 3,785.38 | -8.39% | |
| 30. | 2022/07/31 | $93.21 | -3.02% | 4,130.29 | 9.11% | |
| 31. | 2022/08/31 | $89.75 | $0.55 | -3.12% | 3,955.00 | -4.24% |
| 32. | 2022/09/30 | $81.86 | -8.79% | 3,585.62 | -9.34% | |
| 33. | 2022/10/31 | $94.82 | 15.83% | 3,871.98 | 7.99% | |
| 34. | 2022/11/30 | $98.72 | $0.55 | 4.69% | 4,080.11 | 5.38% |
| 35. | 2022/12/31 | $100.92 | 2.23% | 3,839.50 | -5.90% | |
| 36. | 2023/01/31 | $99.85 | -1.06% | 4,076.60 | 6.18% | |
| 37. | 2023/02/28 | $98.09 | $0.55 | -1.21% | 3,970.15 | -2.61% |
| 38. | 2023/03/31 | $97.93 | -0.16% | 4,109.31 | 3.51% | |
| 39. | 2023/04/30 | $99.90 | 2.01% | 4,169.48 | 1.46% | |
| 40. | 2023/05/31 | $92.14 | $0.59 | -7.18% | 4,179.83 | 0.25% |
| 41. | 2023/06/30 | $97.96 | 6.32% | 4,376.86 | 4.71% | |
| 42. | 2023/07/31 | $87.93 | -10.24% | 4,588.96 | 4.85% | |
| 43. | 2023/08/31 | $86.04 | $0.59 | -1.48% | 4,507.66 | -1.77% |
| 44. | 2023/09/30 | $71.97 | -16.35% | 4,288.05 | -4.87% | |
| 45. | 2023/10/31 | $81.39 | 13.09% | 4,193.80 | -2.20% | |
| 46. | 2023/11/30 | $81.48 | $0.59 | 0.84% | 4,567.80 | 8.92% |
| 47. | 2023/12/31 | $84.14 | 3.26% | 4,769.83 | 4.42% | |
| 48. | 2024/01/31 | $91.12 | 8.30% | 4,845.65 | 1.59% | |
| 49. | 2024/02/29 | $89.67 | $0.59 | -0.94% | 5,096.27 | 5.17% |
| 50. | 2024/03/31 | $97.53 | 8.77% | 5,254.35 | 3.10% | |
| 51. | 2024/04/30 | $101.52 | 4.09% | 5,035.69 | -4.16% | |
| 52. | 2024/05/31 | $107.81 | $0.63 | 6.82% | 5,277.51 | 4.80% |
| 53. | 2024/06/30 | $100.39 | -6.88% | 5,460.48 | 3.47% | |
| 54. | 2024/07/31 | $117.49 | 17.03% | 5,522.30 | 1.13% | |
| 55. | 2024/08/31 | $123.34 | $0.63 | 5.52% | 5,648.40 | 2.28% |
| 56. | 2024/09/30 | $121.16 | -1.77% | 5,762.48 | 2.02% | |
| 57. | 2024/10/31 | $120.99 | -0.14% | 5,705.45 | -0.99% | |
| 58. | 2024/11/30 | $121.83 | $0.63 | 1.21% | 6,032.38 | 5.73% |
| 59. | 2024/12/31 | $115.72 | -5.02% | 5,881.63 | -2.50% | |
| 平均 (R): | 0.72% | 1.16% | ||||
| 標準偏差： | 9.04% | 5.28% | ||||
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. | 2020/02/29 | -12.57% | -8.41% | 176.41 | 91.63 | 127.14 |
| 2. | 2020/03/31 | -0.58% | -12.51% | 1.68 | 186.96 | 17.74 |
| 3. | 2020/04/30 | -31.29% | 12.68% | 1,024.63 | 132.78 | -368.85 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024/11/30 | 1.21% | 5.73% | 0.25 | 20.87 | 2.28 |
| 59. | 2024/12/31 | -5.02% | -2.50% | 32.84 | 13.40 | 20.98 |
| トータル (Σ): | 4,739.05 | 1,618.62 | 492.14 | |||
| 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. | 2020/02/29 | -12.57% | -8.41% | 176.41 | 91.63 | 127.14 |
| 2. | 2020/03/31 | -0.58% | -12.51% | 1.68 | 186.96 | 17.74 |
| 3. | 2020/04/30 | -31.29% | 12.68% | 1,024.63 | 132.78 | -368.85 |
| 4. | 2020/05/31 | 0.29% | 4.53% | 0.18 | 11.34 | -1.45 |
| 5. | 2020/06/30 | -4.49% | 1.84% | 27.15 | 0.46 | -3.53 |
| 6. | 2020/07/31 | -8.02% | 5.51% | 76.25 | 18.91 | -37.98 |
| 7. | 2020/08/31 | 8.46% | 7.01% | 59.97 | 34.17 | 45.27 |
| 8. | 2020/09/30 | -5.67% | -3.92% | 40.80 | 25.85 | 32.47 |
| 9. | 2020/10/31 | -5.60% | -2.77% | 39.84 | 15.43 | 24.79 |
| 10. | 2020/11/30 | 32.91% | 10.75% | 1,036.29 | 92.03 | 308.82 |
| 11. | 2020/12/31 | -0.29% | 3.71% | 1.02 | 6.51 | -2.57 |
| 12. | 2021/01/31 | -6.68% | -1.11% | 54.76 | 5.18 | 16.83 |
| 13. | 2021/02/28 | 8.59% | 2.61% | 62.08 | 2.10 | 11.41 |
| 14. | 2021/03/31 | 7.33% | 4.24% | 43.81 | 9.50 | 20.40 |
| 15. | 2021/04/30 | 7.73% | 5.24% | 49.15 | 16.66 | 28.61 |
| 16. | 2021/05/31 | 7.18% | 0.55% | 41.84 | 0.38 | -3.96 |
| 17. | 2021/06/30 | -3.83% | 2.22% | 20.69 | 1.12 | -4.82 |
| 18. | 2021/07/31 | 1.92% | 2.27% | 1.46 | 1.24 | 1.34 |
| 19. | 2021/08/31 | -1.93% | 2.90% | 7.01 | 3.02 | -4.60 |
| 20. | 2021/09/30 | 1.42% | -4.76% | 0.49 | 35.02 | -4.14 |
| 21. | 2021/10/31 | 3.37% | 6.91% | 7.07 | 33.10 | 15.29 |
| 22. | 2021/11/30 | -8.36% | -0.83% | 82.39 | 3.98 | 18.11 |
| 23. | 2021/12/31 | 6.35% | 4.36% | 31.77 | 10.24 | 18.04 |
| 24. | 2022/01/31 | 4.80% | -5.26% | 16.68 | 41.21 | -26.22 |
| 25. | 2022/02/28 | 14.44% | -3.14% | 188.26 | 18.47 | -58.96 |
| 26. | 2022/03/31 | -3.53% | 3.58% | 18.06 | 5.84 | -10.27 |
| 27. | 2022/04/30 | -4.20% | -8.80% | 24.15 | 99.14 | 48.93 |
| 28. | 2022/05/31 | 0.80% | 0.01% | 0.01 | 1.34 | -0.10 |
| 29. | 2022/06/30 | 1.04% | -8.39% | 0.11 | 91.26 | -3.11 |
| 30. | 2022/07/31 | -3.02% | 9.11% | 13.93 | 63.21 | -29.68 |
| 31. | 2022/08/31 | -3.12% | -4.24% | 14.73 | 29.22 | 20.74 |
| 32. | 2022/09/30 | -8.79% | -9.34% | 90.37 | 110.27 | 99.83 |
| 33. | 2022/10/31 | 15.83% | 7.99% | 228.51 | 46.58 | 103.17 |
| 34. | 2022/11/30 | 4.69% | 5.38% | 15.82 | 17.76 | 16.76 |
| 35. | 2022/12/31 | 2.23% | -5.90% | 2.29 | 49.82 | -10.68 |
| 36. | 2023/01/31 | -1.06% | 6.18% | 3.15 | 25.14 | -8.90 |
| 37. | 2023/02/28 | -1.21% | -2.61% | 3.71 | 14.23 | 7.27 |
| 38. | 2023/03/31 | -0.16% | 3.51% | 0.77 | 5.49 | -2.06 |
| 39. | 2023/04/30 | 2.01% | 1.46% | 1.68 | 0.09 | 0.39 |
| 40. | 2023/05/31 | -7.18% | 0.25% | 62.29 | 0.83 | 7.21 |
| 41. | 2023/06/30 | 6.32% | 4.71% | 31.37 | 12.62 | 19.90 |
| 42. | 2023/07/31 | -10.24% | 4.85% | 120.00 | 13.58 | -40.36 |
| 43. | 2023/08/31 | -1.48% | -1.77% | 4.81 | 8.60 | 6.43 |
| 44. | 2023/09/30 | -16.35% | -4.87% | 291.33 | 36.40 | 102.98 |
| 45. | 2023/10/31 | 13.09% | -2.20% | 153.10 | 11.28 | -41.56 |
| 46. | 2023/11/30 | 0.84% | 8.92% | 0.01 | 60.17 | 0.93 |
| 47. | 2023/12/31 | 3.26% | 4.42% | 6.50 | 10.64 | 8.31 |
| 48. | 2024/01/31 | 8.30% | 1.59% | 57.46 | 0.18 | 3.25 |
| 49. | 2024/02/29 | -0.94% | 5.17% | 2.75 | 16.09 | -6.65 |
| 50. | 2024/03/31 | 8.77% | 3.10% | 64.80 | 3.77 | 15.62 |
| 51. | 2024/04/30 | 4.09% | -4.16% | 11.39 | 28.33 | -17.97 |
| 52. | 2024/05/31 | 6.82% | 4.80% | 37.22 | 13.26 | 22.21 |
| 53. | 2024/06/30 | -6.88% | 3.47% | 57.73 | 5.32 | -17.52 |
| 54. | 2024/07/31 | 17.03% | 1.13% | 266.28 | 0.00 | -0.48 |
| 55. | 2024/08/31 | 5.52% | 2.28% | 23.04 | 1.26 | 5.39 |
| 56. | 2024/09/30 | -1.77% | 2.02% | 6.16 | 0.74 | -2.13 |
| 57. | 2024/10/31 | -0.14% | -0.99% | 0.73 | 4.63 | 1.84 |
| 58. | 2024/11/30 | 1.21% | 5.73% | 0.25 | 20.87 | 2.28 |
| 59. | 2024/12/31 | -5.02% | -2.50% | 32.84 | 13.40 | 20.98 |
| トータル (Σ): | 4,739.05 | 1,618.62 | 492.14 | |||
すべて表示
分散RTX = Σ(RRTX,t–RRTX)2 ÷ (59 – 1)
= 4,739.05 ÷ (59 – 1)
= 81.71
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91
共 分散RTX, S&P 500 = Σ(RRTX,t–RRTX)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 492.14 ÷ (59 – 1)
= 8.49
システマティックなリスク推定 (β)
| 分散RTX | 81.71 |
| 分散S&P 500 | 27.91 |
| 共 分散RTX, S&P 500 | 8.49 |
| 相関係数RTX, S&P 5001 | 0.18 |
| βRTX2 | 0.30 |
| αRTX3 | 0.36% |
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)
= 8.49 ÷ (9.04% × 5.28%)
= 0.18
2 βRTX
= 共 分散RTX, S&P 500 ÷ 分散S&P 500
= 8.49 ÷ 27.91
= 0.30
3 αRTX
= 平均RTX – βRTX × 平均S&P 500
= 0.72% – 0.30 × 1.16%
= 0.36%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.60% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.89% |
| 普通株式のシステマティックリスクRTX | βRTX | 0.30 |
| RTX普通株式の期待収益率3 | E(RRTX) | 7.73% |
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]
= 4.60% + 0.30 [14.89% – 4.60%]
= 7.73%