Stock Analysis on Net

Schlumberger Ltd. (NYSE:SLB)

資本資産価格モデル (CAPM) 

Microsoft Excel

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.、月間収益率

Microsoft Excel
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

Schlumberger Ltd.、分散の計算、および戻り値の共分散

Microsoft Excel
t 日付 RSLB,t RS&P 500,t (RSLB,tRSLB)2 (RS&P 500,tRS&P 500)2 (RSLB,tRSLB)×(RS&P 500,tRS&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,tRSLB)2 (RS&P 500,tRS&P 500)2 (RSLB,tRSLB)×(RS&P 500,tRS&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,tRSLB)2 ÷ (59 – 1)
= 13,036.39 ÷ (59 – 1)
= 224.77

分散S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18

共 分散SLB, S&P 500 = Σ(RSLB,tRSLB)×(RS&P 500,tRS&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)

Microsoft Excel
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

Microsoft Excel
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%