資本資産価格モデル(CAPM)は、 SLB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
Schlumberger Ltd. (SLB) | Standard & Poor’s 500 (S&P 500) | |||||
---|---|---|---|---|---|---|
t | 日付 | 価格SLB,t1 | 配当SLB,t1 | RSLB,t2 | 価格S&P 500,t | RS&P 500,t3 |
2019/01/31 | $44.21 | 2,704.10 | ||||
1. | 2019/02/28 | $44.06 | $0.50 | 0.79% | 2,784.49 | 2.97% |
2. | 2019/03/31 | $43.57 | -1.11% | 2,834.40 | 1.79% | |
3. | 2019/04/30 | $42.68 | -2.04% | 2,945.83 | 3.93% | |
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
58. | 2023/11/30 | $52.04 | -6.50% | 4,567.80 | 8.92% | |
59. | 2023/12/31 | $52.04 | $0.25 | 0.48% | 4,769.83 | 4.42% |
平均 (R): | 1.67% | 1.11% | ||||
標準偏差: | 14.99% | 5.31% |
Schlumberger Ltd. (SLB) | Standard & Poor’s 500 (S&P 500) | |||||
---|---|---|---|---|---|---|
t | 日付 | 価格SLB,t1 | 配当SLB,t1 | RSLB,t2 | 価格S&P 500,t | RS&P 500,t3 |
2019/01/31 | $44.21 | 2,704.10 | ||||
1. | 2019/02/28 | $44.06 | $0.50 | 0.79% | 2,784.49 | 2.97% |
2. | 2019/03/31 | $43.57 | -1.11% | 2,834.40 | 1.79% | |
3. | 2019/04/30 | $42.68 | -2.04% | 2,945.83 | 3.93% | |
4. | 2019/05/31 | $34.69 | -18.72% | 2,752.06 | -6.58% | |
5. | 2019/06/30 | $39.74 | $0.50 | 16.00% | 2,941.76 | 6.89% |
6. | 2019/07/31 | $39.97 | 0.58% | 2,980.38 | 1.31% | |
7. | 2019/08/31 | $32.43 | -18.86% | 2,926.46 | -1.81% | |
8. | 2019/09/30 | $34.17 | $0.50 | 6.91% | 2,976.74 | 1.72% |
9. | 2019/10/31 | $32.69 | -4.33% | 3,037.56 | 2.04% | |
10. | 2019/11/30 | $36.20 | 10.74% | 3,140.98 | 3.40% | |
11. | 2019/12/31 | $40.20 | $0.50 | 12.43% | 3,230.78 | 2.86% |
12. | 2020/01/31 | $33.51 | -16.64% | 3,225.52 | -0.16% | |
13. | 2020/02/29 | $27.09 | $0.50 | -17.67% | 2,954.22 | -8.41% |
14. | 2020/03/31 | $13.49 | -50.20% | 2,584.59 | -12.51% | |
15. | 2020/04/30 | $16.82 | 24.68% | 2,912.43 | 12.68% | |
16. | 2020/05/31 | $18.47 | 9.81% | 3,044.31 | 4.53% | |
17. | 2020/06/30 | $18.39 | $0.125 | 0.24% | 3,100.29 | 1.84% |
18. | 2020/07/31 | $18.14 | -1.36% | 3,271.12 | 5.51% | |
19. | 2020/08/31 | $19.01 | 4.80% | 3,500.31 | 7.01% | |
20. | 2020/09/30 | $15.56 | $0.125 | -17.49% | 3,363.00 | -3.92% |
21. | 2020/10/31 | $14.94 | -3.98% | 3,269.96 | -2.77% | |
22. | 2020/11/30 | $20.79 | 39.16% | 3,621.63 | 10.75% | |
23. | 2020/12/31 | $21.83 | $0.125 | 5.60% | 3,756.07 | 3.71% |
24. | 2021/01/31 | $22.21 | 1.74% | 3,714.24 | -1.11% | |
25. | 2021/02/28 | $27.91 | $0.125 | 26.23% | 3,811.15 | 2.61% |
26. | 2021/03/31 | $27.19 | -2.58% | 3,972.89 | 4.24% | |
27. | 2021/04/30 | $27.05 | -0.51% | 4,181.17 | 5.24% | |
28. | 2021/05/31 | $31.33 | 15.82% | 4,204.11 | 0.55% | |
29. | 2021/06/30 | $32.01 | $0.125 | 2.57% | 4,297.50 | 2.22% |
30. | 2021/07/31 | $28.83 | -9.93% | 4,395.26 | 2.27% | |
31. | 2021/08/31 | $28.04 | $0.125 | -2.31% | 4,522.68 | 2.90% |
32. | 2021/09/30 | $29.64 | 5.71% | 4,307.54 | -4.76% | |
33. | 2021/10/31 | $32.26 | 8.84% | 4,605.38 | 6.91% | |
34. | 2021/11/30 | $28.68 | $0.125 | -10.71% | 4,567.00 | -0.83% |
35. | 2021/12/31 | $29.95 | 4.43% | 4,766.18 | 4.36% | |
36. | 2022/01/31 | $39.07 | 30.45% | 4,515.55 | -5.26% | |
37. | 2022/02/28 | $39.24 | $0.125 | 0.76% | 4,373.94 | -3.14% |
38. | 2022/03/31 | $41.31 | 5.28% | 4,530.41 | 3.58% | |
39. | 2022/04/30 | $39.01 | -5.57% | 4,131.93 | -8.80% | |
40. | 2022/05/31 | $45.96 | $0.175 | 18.26% | 4,132.15 | 0.01% |
41. | 2022/06/30 | $35.76 | -22.19% | 3,785.38 | -8.39% | |
42. | 2022/07/31 | $37.03 | 3.55% | 4,130.29 | 9.11% | |
43. | 2022/08/31 | $38.15 | 3.02% | 3,955.00 | -4.24% | |
44. | 2022/09/30 | $35.90 | $0.175 | -5.44% | 3,585.62 | -9.34% |
45. | 2022/10/31 | $52.03 | 44.93% | 3,871.98 | 7.99% | |
46. | 2022/11/30 | $51.55 | -0.92% | 4,080.11 | 5.38% | |
47. | 2022/12/31 | $53.46 | $0.175 | 4.04% | 3,839.50 | -5.90% |
48. | 2023/01/31 | $56.98 | 6.58% | 4,076.60 | 6.18% | |
49. | 2023/02/28 | $53.21 | $0.25 | -6.18% | 3,970.15 | -2.61% |
50. | 2023/03/31 | $49.10 | -7.72% | 4,109.31 | 3.51% | |
51. | 2023/04/30 | $49.35 | 0.51% | 4,169.48 | 1.46% | |
52. | 2023/05/31 | $42.83 | -13.21% | 4,179.83 | 0.25% | |
53. | 2023/06/30 | $49.12 | $0.25 | 15.27% | 4,376.86 | 4.71% |
54. | 2023/07/31 | $58.34 | 18.77% | 4,588.96 | 4.85% | |
55. | 2023/08/31 | $58.96 | 1.06% | 4,507.66 | -1.77% | |
56. | 2023/09/30 | $58.30 | $0.25 | -0.70% | 4,288.05 | -4.87% |
57. | 2023/10/31 | $55.66 | -4.53% | 4,193.80 | -2.20% | |
58. | 2023/11/30 | $52.04 | -6.50% | 4,567.80 | 8.92% | |
59. | 2023/12/31 | $52.04 | $0.25 | 0.48% | 4,769.83 | 4.42% |
平均 (R): | 1.67% | 1.11% | ||||
標準偏差: | 14.99% | 5.31% |
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SLB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
t | 日付 | RSLB,t | RS&P 500,t | (RSLB,t–RSLB)2 | (RS&P 500,t–RS&P 500)2 | (RSLB,t–RSLB)×(RS&P 500,t–RS&P 500) |
---|---|---|---|---|---|---|
1. | 2019/02/28 | 0.79% | 2.97% | 0.77 | 3.49 | -1.64 |
2. | 2019/03/31 | -1.11% | 1.79% | 7.75 | 0.47 | -1.91 |
3. | 2019/04/30 | -2.04% | 3.93% | 13.80 | 7.98 | -10.49 |
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
58. | 2023/11/30 | -6.50% | 8.92% | 66.84 | 61.03 | -63.87 |
59. | 2023/12/31 | 0.48% | 4.42% | 1.42 | 11.00 | -3.95 |
トータル (Σ): | 13,036.39 | 1,634.30 | 2,649.68 |
t | 日付 | RSLB,t | RS&P 500,t | (RSLB,t–RSLB)2 | (RS&P 500,t–RS&P 500)2 | (RSLB,t–RSLB)×(RS&P 500,t–RS&P 500) |
---|---|---|---|---|---|---|
1. | 2019/02/28 | 0.79% | 2.97% | 0.77 | 3.49 | -1.64 |
2. | 2019/03/31 | -1.11% | 1.79% | 7.75 | 0.47 | -1.91 |
3. | 2019/04/30 | -2.04% | 3.93% | 13.80 | 7.98 | -10.49 |
4. | 2019/05/31 | -18.72% | -6.58% | 415.84 | 59.04 | 156.69 |
5. | 2019/06/30 | 16.00% | 6.89% | 205.27 | 33.49 | 82.91 |
6. | 2019/07/31 | 0.58% | 1.31% | 1.19 | 0.04 | -0.23 |
7. | 2019/08/31 | -18.86% | -1.81% | 421.71 | 8.50 | 59.86 |
8. | 2019/09/30 | 6.91% | 1.72% | 27.41 | 0.37 | 3.21 |
9. | 2019/10/31 | -4.33% | 2.04% | 36.03 | 0.88 | -5.63 |
10. | 2019/11/30 | 10.74% | 3.40% | 82.19 | 5.28 | 20.84 |
11. | 2019/12/31 | 12.43% | 2.86% | 115.76 | 3.07 | 18.86 |
12. | 2020/01/31 | -16.64% | -0.16% | 335.38 | 1.61 | 23.23 |
13. | 2020/02/29 | -17.67% | -8.41% | 373.95 | 90.57 | 184.04 |
14. | 2020/03/31 | -50.20% | -12.51% | 2,690.97 | 185.44 | 706.42 |
15. | 2020/04/30 | 24.68% | 12.68% | 529.62 | 134.06 | 266.46 |
16. | 2020/05/31 | 9.81% | 4.53% | 66.23 | 11.71 | 27.85 |
17. | 2020/06/30 | 0.24% | 1.84% | 2.04 | 0.54 | -1.05 |
18. | 2020/07/31 | -1.36% | 5.51% | 9.19 | 19.40 | -13.35 |
19. | 2020/08/31 | 4.80% | 7.01% | 9.76 | 34.82 | 18.44 |
20. | 2020/09/30 | -17.49% | -3.92% | 367.19 | 25.29 | 96.36 |
21. | 2020/10/31 | -3.98% | -2.77% | 31.99 | 15.00 | 21.90 |
22. | 2020/11/30 | 39.16% | 10.75% | 1,405.13 | 93.10 | 361.68 |
23. | 2020/12/31 | 5.60% | 3.71% | 15.46 | 6.79 | 10.25 |
24. | 2021/01/31 | 1.74% | -1.11% | 0.00 | 4.93 | -0.15 |
25. | 2021/02/28 | 26.23% | 2.61% | 602.97 | 2.26 | 36.91 |
26. | 2021/03/31 | -2.58% | 4.24% | 18.07 | 9.85 | -13.34 |
27. | 2021/04/30 | -0.51% | 5.24% | 4.78 | 17.11 | -9.04 |
28. | 2021/05/31 | 15.82% | 0.55% | 200.25 | 0.31 | -7.88 |
29. | 2021/06/30 | 2.57% | 2.22% | 0.81 | 1.24 | 1.00 |
30. | 2021/07/31 | -9.93% | 2.27% | 134.70 | 1.37 | -13.57 |
31. | 2021/08/31 | -2.31% | 2.90% | 15.83 | 3.22 | -7.13 |
32. | 2021/09/30 | 5.71% | -4.76% | 16.28 | 34.37 | -23.65 |
33. | 2021/10/31 | 8.84% | 6.91% | 51.38 | 33.74 | 41.63 |
34. | 2021/11/30 | -10.71% | -0.83% | 153.30 | 3.76 | 24.01 |
35. | 2021/12/31 | 4.43% | 4.36% | 7.60 | 10.60 | 8.97 |
36. | 2022/01/31 | 30.45% | -5.26% | 828.24 | 40.51 | -183.16 |
37. | 2022/02/28 | 0.76% | -3.14% | 0.84 | 17.99 | 3.89 |
38. | 2022/03/31 | 5.28% | 3.58% | 12.99 | 6.11 | 8.91 |
39. | 2022/04/30 | -5.57% | -8.80% | 52.41 | 98.04 | 71.68 |
40. | 2022/05/31 | 18.26% | 0.01% | 275.33 | 1.21 | -18.26 |
41. | 2022/06/30 | -22.19% | -8.39% | 569.53 | 90.21 | 226.66 |
42. | 2022/07/31 | 3.55% | 9.11% | 3.53 | 64.09 | 15.05 |
43. | 2022/08/31 | 3.02% | -4.24% | 1.83 | 28.62 | -7.24 |
44. | 2022/09/30 | -5.44% | -9.34% | 50.56 | 109.11 | 74.27 |
45. | 2022/10/31 | 44.93% | 7.99% | 1,871.33 | 47.34 | 297.64 |
46. | 2022/11/30 | -0.92% | 5.38% | 6.73 | 18.23 | -11.08 |
47. | 2022/12/31 | 4.04% | -5.90% | 5.63 | 49.04 | -16.62 |
48. | 2023/01/31 | 6.58% | 6.18% | 24.14 | 25.70 | 24.91 |
49. | 2023/02/28 | -6.18% | -2.61% | 61.61 | 13.82 | 29.18 |
50. | 2023/03/31 | -7.72% | 3.51% | 88.28 | 5.76 | -22.54 |
51. | 2023/04/30 | 0.51% | 1.46% | 1.35 | 0.13 | -0.42 |
52. | 2023/05/31 | -13.21% | 0.25% | 221.51 | 0.74 | 12.76 |
53. | 2023/06/30 | 15.27% | 4.71% | 184.91 | 13.02 | 49.06 |
54. | 2023/07/31 | 18.77% | 4.85% | 292.37 | 13.99 | 63.95 |
55. | 2023/08/31 | 1.06% | -1.77% | 0.37 | 8.28 | 1.75 |
56. | 2023/09/30 | -0.70% | -4.87% | 5.60 | 35.73 | 14.15 |
57. | 2023/10/31 | -4.53% | -2.20% | 38.44 | 10.92 | 20.48 |
58. | 2023/11/30 | -6.50% | 8.92% | 66.84 | 61.03 | -63.87 |
59. | 2023/12/31 | 0.48% | 4.42% | 1.42 | 11.00 | -3.95 |
トータル (Σ): | 13,036.39 | 1,634.30 | 2,649.68 |
すべて表示
分散SLB = Σ(RSLB,t–RSLB)2 ÷ (59 – 1)
= 13,036.39 ÷ (59 – 1)
= 224.77
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18
共 分散SLB, S&P 500 = Σ(RSLB,t–RSLB)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 2,649.68 ÷ (59 – 1)
= 45.68
システマティックリスク推定 (β)
分散SLB | 224.77 |
分散S&P 500 | 28.18 |
共 分散SLB, S&P 500 | 45.68 |
相関係数SLB, S&P 5001 | 0.57 |
βSLB2 | 1.62 |
αSLB3 | -0.12% |
計算
1 相関係数SLB, S&P 500
= 共 分散SLB, S&P 500 ÷ (標準偏差SLB × 標準偏差S&P 500)
= 45.68 ÷ (14.99% × 5.31%)
= 0.57
2 βSLB
= 共 分散SLB, S&P 500 ÷ 分散S&P 500
= 45.68 ÷ 28.18
= 1.62
3 αSLB
= 平均SLB – βSLB × 平均S&P 500
= 1.67% – 1.62 × 1.11%
= -0.12%
期待収益率
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 SLB システマティックリスク | βSLB | 1.62 |
SLB普通株式の期待収益率3 | E(RSLB) | 19.30% |
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(RSLB) = RF + βSLB [E(RM) – RF]
= 4.43% + 1.62 [13.60% – 4.43%]
= 19.30%