資本資産価格モデル (CAPM)
資本資産価格モデル(CAPM)は、 Royal Caribbeanの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
Royal Caribbean Cruises Ltd.、月間収益率
| Royal Caribbean Cruises Ltd. (RCL) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格RCL,t1 | 配当RCL,t1 | RRCL,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2017/01/31 | $93.63 | 2,278.87 | ||||
| 1. | 2017/02/28 | $96.10 | 2.64% | 2,363.64 | 3.72% | |
| 2. | 2017/03/31 | $98.11 | $0.48 | 2.59% | 2,362.72 | -0.04% |
| 3. | 2017/04/30 | $106.60 | 8.65% | 2,384.20 | 0.91% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2021/11/30 | $69.82 | -17.30% | 4,567.00 | -0.83% | |
| 59. | 2021/12/31 | $76.90 | 10.14% | 4,766.18 | 4.36% | |
| 平均 (R): | 1.25% | 1.36% | ||||
| 標準偏差： | 16.31% | 4.48% | ||||
| Royal Caribbean Cruises Ltd. (RCL) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格RCL,t1 | 配当RCL,t1 | RRCL,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2017/01/31 | $93.63 | 2,278.87 | ||||
| 1. | 2017/02/28 | $96.10 | 2.64% | 2,363.64 | 3.72% | |
| 2. | 2017/03/31 | $98.11 | $0.48 | 2.59% | 2,362.72 | -0.04% |
| 3. | 2017/04/30 | $106.60 | 8.65% | 2,384.20 | 0.91% | |
| 4. | 2017/05/31 | $110.18 | $0.48 | 3.81% | 2,411.80 | 1.16% |
| 5. | 2017/06/30 | $109.23 | -0.86% | 2,423.41 | 0.48% | |
| 6. | 2017/07/31 | $113.07 | 3.52% | 2,470.30 | 1.93% | |
| 7. | 2017/08/31 | $124.46 | 10.07% | 2,471.65 | 0.05% | |
| 8. | 2017/09/30 | $118.54 | $0.60 | -4.27% | 2,519.36 | 1.93% |
| 9. | 2017/10/31 | $123.77 | 4.41% | 2,575.26 | 2.22% | |
| 10. | 2017/11/30 | $123.88 | 0.09% | 2,647.58 | 2.81% | |
| 11. | 2017/12/31 | $119.28 | $0.60 | -3.23% | 2,673.61 | 0.98% |
| 12. | 2018/01/31 | $133.55 | 11.96% | 2,823.81 | 5.62% | |
| 13. | 2018/02/28 | $126.60 | -5.20% | 2,713.83 | -3.89% | |
| 14. | 2018/03/31 | $117.74 | $0.60 | -6.52% | 2,640.87 | -2.69% |
| 15. | 2018/04/30 | $108.19 | -8.11% | 2,648.05 | 0.27% | |
| 16. | 2018/05/31 | $104.98 | -2.97% | 2,705.27 | 2.16% | |
| 17. | 2018/06/30 | $103.60 | $0.60 | -0.74% | 2,718.37 | 0.48% |
| 18. | 2018/07/31 | $112.76 | 8.84% | 2,816.29 | 3.60% | |
| 19. | 2018/08/31 | $122.58 | 8.71% | 2,901.52 | 3.03% | |
| 20. | 2018/09/30 | $129.94 | $0.70 | 6.58% | 2,913.98 | 0.43% |
| 21. | 2018/10/31 | $104.73 | -19.40% | 2,711.74 | -6.94% | |
| 22. | 2018/11/30 | $113.07 | 7.96% | 2,760.17 | 1.79% | |
| 23. | 2018/12/31 | $97.79 | $0.70 | -12.89% | 2,506.85 | -9.18% |
| 24. | 2019/01/31 | $120.05 | 22.76% | 2,704.10 | 7.87% | |
| 25. | 2019/02/28 | $118.48 | -1.31% | 2,784.49 | 2.97% | |
| 26. | 2019/03/31 | $114.62 | $0.70 | -2.67% | 2,834.40 | 1.79% |
| 27. | 2019/04/30 | $120.94 | 5.51% | 2,945.83 | 3.93% | |
| 28. | 2019/05/31 | $121.76 | 0.68% | 2,752.06 | -6.58% | |
| 29. | 2019/06/30 | $121.21 | $0.70 | 0.12% | 2,941.76 | 6.89% |
| 30. | 2019/07/31 | $116.34 | -4.02% | 2,980.38 | 1.31% | |
| 31. | 2019/08/31 | $104.28 | -10.37% | 2,926.46 | -1.81% | |
| 32. | 2019/09/30 | $108.33 | $0.78 | 4.63% | 2,976.74 | 1.72% |
| 33. | 2019/10/31 | $108.83 | 0.46% | 3,037.56 | 2.04% | |
| 34. | 2019/11/30 | $120.02 | 10.28% | 3,140.98 | 3.40% | |
| 35. | 2019/12/31 | $133.51 | $0.78 | 11.89% | 3,230.78 | 2.86% |
| 36. | 2020/01/31 | $117.08 | -12.31% | 3,225.52 | -0.16% | |
| 37. | 2020/02/29 | $80.41 | -31.32% | 2,954.22 | -8.41% | |
| 38. | 2020/03/31 | $32.17 | $0.78 | -59.02% | 2,584.59 | -12.51% |
| 39. | 2020/04/30 | $46.77 | 45.38% | 2,912.43 | 12.68% | |
| 40. | 2020/05/31 | $51.87 | 10.90% | 3,044.31 | 4.53% | |
| 41. | 2020/06/30 | $50.30 | -3.03% | 3,100.29 | 1.84% | |
| 42. | 2020/07/31 | $48.71 | -3.16% | 3,271.12 | 5.51% | |
| 43. | 2020/08/31 | $68.84 | 41.33% | 3,500.31 | 7.01% | |
| 44. | 2020/09/30 | $64.73 | -5.97% | 3,363.00 | -3.92% | |
| 45. | 2020/10/31 | $56.42 | -12.84% | 3,269.96 | -2.77% | |
| 46. | 2020/11/30 | $78.81 | 39.68% | 3,621.63 | 10.75% | |
| 47. | 2020/12/31 | $74.69 | -5.23% | 3,756.07 | 3.71% | |
| 48. | 2021/01/31 | $65.00 | -12.97% | 3,714.24 | -1.11% | |
| 49. | 2021/02/28 | $93.27 | 43.49% | 3,811.15 | 2.61% | |
| 50. | 2021/03/31 | $85.61 | -8.21% | 3,972.89 | 4.24% | |
| 51. | 2021/04/30 | $86.95 | 1.57% | 4,181.17 | 5.24% | |
| 52. | 2021/05/31 | $93.27 | 7.27% | 4,204.11 | 0.55% | |
| 53. | 2021/06/30 | $85.28 | -8.57% | 4,297.50 | 2.22% | |
| 54. | 2021/07/31 | $76.87 | -9.86% | 4,395.26 | 2.27% | |
| 55. | 2021/08/31 | $82.73 | 7.62% | 4,522.68 | 2.90% | |
| 56. | 2021/09/30 | $88.95 | 7.52% | 4,307.54 | -4.76% | |
| 57. | 2021/10/31 | $84.43 | -5.08% | 4,605.38 | 6.91% | |
| 58. | 2021/11/30 | $69.82 | -17.30% | 4,567.00 | -0.83% | |
| 59. | 2021/12/31 | $76.90 | 10.14% | 4,766.18 | 4.36% | |
| 平均 (R): | 1.25% | 1.36% | ||||
| 標準偏差： | 16.31% | 4.48% | ||||
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RCL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
Royal Caribbean Cruises Ltd.、分散の計算、および戻り値の共分散
| t | 日付 | RRCL,t | RS&P 500,t | (RRCL,t–RRCL)2 | (RS&P 500,t–RS&P 500)2 | (RRCL,t–RRCL)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017/02/28 | 2.64% | 3.72% | 1.93 | 5.58 | 3.28 |
| 2. | 2017/03/31 | 2.59% | -0.04% | 1.80 | 1.95 | -1.88 |
| 3. | 2017/04/30 | 8.65% | 0.91% | 54.84 | 0.20 | -3.32 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2021/11/30 | -17.30% | -0.83% | 344.19 | 4.80 | 40.65 |
| 59. | 2021/12/31 | 10.14% | 4.36% | 79.07 | 9.02 | 26.71 |
| トータル (Σ): | 15,435.70 | 1,164.17 | 3,067.23 | |||
| t | 日付 | RRCL,t | RS&P 500,t | (RRCL,t–RRCL)2 | (RS&P 500,t–RS&P 500)2 | (RRCL,t–RRCL)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017/02/28 | 2.64% | 3.72% | 1.93 | 5.58 | 3.28 |
| 2. | 2017/03/31 | 2.59% | -0.04% | 1.80 | 1.95 | -1.88 |
| 3. | 2017/04/30 | 8.65% | 0.91% | 54.84 | 0.20 | -3.32 |
| 4. | 2017/05/31 | 3.81% | 1.16% | 6.56 | 0.04 | -0.51 |
| 5. | 2017/06/30 | -0.86% | 0.48% | 4.45 | 0.77 | 1.85 |
| 6. | 2017/07/31 | 3.52% | 1.93% | 5.14 | 0.33 | 1.31 |
| 7. | 2017/08/31 | 10.07% | 0.05% | 77.89 | 1.70 | -11.50 |
| 8. | 2017/09/30 | -4.27% | 1.93% | 30.50 | 0.33 | -3.16 |
| 9. | 2017/10/31 | 4.41% | 2.22% | 10.01 | 0.74 | 2.72 |
| 10. | 2017/11/30 | 0.09% | 2.81% | 1.34 | 2.10 | -1.68 |
| 11. | 2017/12/31 | -3.23% | 0.98% | 20.04 | 0.14 | 1.68 |
| 12. | 2018/01/31 | 11.96% | 5.62% | 114.82 | 18.15 | 45.65 |
| 13. | 2018/02/28 | -5.20% | -3.89% | 41.63 | 27.59 | 33.89 |
| 14. | 2018/03/31 | -6.52% | -2.69% | 60.41 | 16.37 | 31.45 |
| 15. | 2018/04/30 | -8.11% | 0.27% | 87.60 | 1.18 | 10.16 |
| 16. | 2018/05/31 | -2.97% | 2.16% | 17.77 | 0.64 | -3.38 |
| 17. | 2018/06/30 | -0.74% | 0.48% | 3.96 | 0.76 | 1.74 |
| 18. | 2018/07/31 | 8.84% | 3.60% | 57.66 | 5.04 | 17.04 |
| 19. | 2018/08/31 | 8.71% | 3.03% | 55.66 | 2.78 | 12.45 |
| 20. | 2018/09/30 | 6.58% | 0.43% | 28.38 | 0.86 | -4.95 |
| 21. | 2018/10/31 | -19.40% | -6.94% | 426.40 | 68.86 | 171.35 |
| 22. | 2018/11/30 | 7.96% | 1.79% | 45.09 | 0.18 | 2.87 |
| 23. | 2018/12/31 | -12.89% | -9.18% | 200.02 | 111.00 | 149.00 |
| 24. | 2019/01/31 | 22.76% | 7.87% | 462.89 | 42.39 | 140.07 |
| 25. | 2019/02/28 | -1.31% | 2.97% | 6.53 | 2.61 | -4.13 |
| 26. | 2019/03/31 | -2.67% | 1.79% | 15.33 | 0.19 | -1.70 |
| 27. | 2019/04/30 | 5.51% | 3.93% | 18.20 | 6.62 | 10.98 |
| 28. | 2019/05/31 | 0.68% | -6.58% | 0.33 | 62.97 | 4.52 |
| 29. | 2019/06/30 | 0.12% | 6.89% | 1.27 | 30.64 | -6.23 |
| 30. | 2019/07/31 | -4.02% | 1.31% | 27.73 | 0.00 | 0.24 |
| 31. | 2019/08/31 | -10.37% | -1.81% | 134.89 | 10.03 | 36.78 |
| 32. | 2019/09/30 | 4.63% | 1.72% | 11.45 | 0.13 | 1.22 |
| 33. | 2019/10/31 | 0.46% | 2.04% | 0.62 | 0.47 | -0.54 |
| 34. | 2019/11/30 | 10.28% | 3.40% | 81.61 | 4.19 | 18.49 |
| 35. | 2019/12/31 | 11.89% | 2.86% | 113.24 | 2.25 | 15.97 |
| 36. | 2020/01/31 | -12.31% | -0.16% | 183.72 | 2.31 | 20.61 |
| 37. | 2020/02/29 | -31.32% | -8.41% | 1,060.71 | 95.43 | 318.16 |
| 38. | 2020/03/31 | -59.02% | -12.51% | 3,632.55 | 192.37 | 835.94 |
| 39. | 2020/04/30 | 45.38% | 12.68% | 1,947.96 | 128.29 | 499.90 |
| 40. | 2020/05/31 | 10.90% | 4.53% | 93.24 | 10.05 | 30.61 |
| 41. | 2020/06/30 | -3.03% | 1.84% | 18.28 | 0.23 | -2.06 |
| 42. | 2020/07/31 | -3.16% | 5.51% | 19.44 | 17.24 | -18.31 |
| 43. | 2020/08/31 | 41.33% | 7.01% | 1,606.25 | 31.91 | 226.38 |
| 44. | 2020/09/30 | -5.97% | -3.92% | 52.11 | 27.89 | 38.12 |
| 45. | 2020/10/31 | -12.84% | -2.77% | 198.42 | 17.01 | 58.10 |
| 46. | 2020/11/30 | 39.68% | 10.75% | 1,477.35 | 88.30 | 361.17 |
| 47. | 2020/12/31 | -5.23% | 3.71% | 41.94 | 5.54 | -15.25 |
| 48. | 2021/01/31 | -12.97% | -1.11% | 202.26 | 6.11 | 35.15 |
| 49. | 2021/02/28 | 43.49% | 2.61% | 1,784.57 | 1.57 | 52.86 |
| 50. | 2021/03/31 | -8.21% | 4.24% | 89.51 | 8.33 | -27.30 |
| 51. | 2021/04/30 | 1.57% | 5.24% | 0.10 | 15.09 | 1.23 |
| 52. | 2021/05/31 | 7.27% | 0.55% | 36.25 | 0.65 | -4.87 |
| 53. | 2021/06/30 | -8.57% | 2.22% | 96.33 | 0.75 | -8.47 |
| 54. | 2021/07/31 | -9.86% | 2.27% | 123.43 | 0.84 | -10.19 |
| 55. | 2021/08/31 | 7.62% | 2.90% | 40.64 | 2.38 | 9.82 |
| 56. | 2021/09/30 | 7.52% | -4.76% | 39.32 | 37.39 | -38.34 |
| 57. | 2021/10/31 | -5.08% | 6.91% | 40.06 | 30.87 | -35.17 |
| 58. | 2021/11/30 | -17.30% | -0.83% | 344.19 | 4.80 | 40.65 |
| 59. | 2021/12/31 | 10.14% | 4.36% | 79.07 | 9.02 | 26.71 |
| トータル (Σ): | 15,435.70 | 1,164.17 | 3,067.23 | |||
すべて表示
分散RCL = Σ(RRCL,t–RRCL)2 ÷ (59 – 1)
= 15,435.70 ÷ (59 – 1)
= 266.13
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,164.17 ÷ (59 – 1)
= 20.07
共 分散RCL, S&P 500 = Σ(RRCL,t–RRCL)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 3,067.23 ÷ (59 – 1)
= 52.88
システマティックリスク推定 (β)
| 分散RCL | 266.13 |
| 分散S&P 500 | 20.07 |
| 共 分散RCL, S&P 500 | 52.88 |
| 相関係数RCL, S&P 5001 | 0.72 |
| βRCL2 | 2.63 |
| αRCL3 | -2.33% |
計算
1 相関係数RCL, S&P 500
= 共 分散RCL, S&P 500 ÷ (標準偏差RCL × 標準偏差S&P 500)
= 52.88 ÷ (16.31% × 4.48%)
= 0.72
2 βRCL
= 共 分散RCL, S&P 500 ÷ 分散S&P 500
= 52.88 ÷ 20.07
= 2.63
3 αRCL
= 平均RCL – βRCL × 平均S&P 500
= 1.25% – 2.63 × 1.36%
= -2.33%
期待収益率
| 仮定 | ||
| LT財務省総合の収益率1 | RF | 4.79% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 13.53% |
| 普通株式 Royal Caribbean システマティックリスク | βRCL | 2.63 |
| ロイヤル・カリビアン普通株式の期待収益率3 | E(RRCL) | 27.82% |
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(RRCL) = RF + βRCL [E(RM) – RF]
= 4.79% + 2.63 [13.53% – 4.79%]
= 27.82%