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 Sysco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
Sysco Corp.、月間収益率
| Sysco Corp. (SYY) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格SYY,t1 | 配当SYY,t1 | RSYY,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2018/07/31 | $67.21 | 2,816.29 | ||||
| 1. | 2018/08/31 | $74.82 | 11.32% | 2,901.52 | 3.03% | |
| 2. | 2018/09/30 | $73.25 | -2.10% | 2,913.98 | 0.43% | |
| 3. | 2018/10/31 | $71.33 | $0.36 | -2.13% | 2,711.74 | -6.94% |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024/05/31 | $72.82 | -2.02% | 5,277.51 | 4.80% | |
| 71. | 2024/06/30 | $71.39 | -1.96% | 5,460.48 | 3.47% | |
| 平均 (R): | 0.69% | 1.07% | ||||
| 標準偏差： | 9.02% | 5.24% | ||||
| Sysco Corp. (SYY) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格SYY,t1 | 配当SYY,t1 | RSYY,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2018/07/31 | $67.21 | 2,816.29 | ||||
| 1. | 2018/08/31 | $74.82 | 11.32% | 2,901.52 | 3.03% | |
| 2. | 2018/09/30 | $73.25 | -2.10% | 2,913.98 | 0.43% | |
| 3. | 2018/10/31 | $71.33 | $0.36 | -2.13% | 2,711.74 | -6.94% |
| 4. | 2018/11/30 | $67.40 | -5.51% | 2,760.17 | 1.79% | |
| 5. | 2018/12/31 | $62.66 | -7.03% | 2,506.85 | -9.18% | |
| 6. | 2019/01/31 | $63.85 | $0.39 | 2.52% | 2,704.10 | 7.87% |
| 7. | 2019/02/28 | $67.55 | 5.79% | 2,784.49 | 2.97% | |
| 8. | 2019/03/31 | $66.76 | -1.17% | 2,834.40 | 1.79% | |
| 9. | 2019/04/30 | $70.37 | $0.39 | 5.99% | 2,945.83 | 3.93% |
| 10. | 2019/05/31 | $68.82 | -2.20% | 2,752.06 | -6.58% | |
| 11. | 2019/06/30 | $70.72 | 2.76% | 2,941.76 | 6.89% | |
| 12. | 2019/07/31 | $68.57 | $0.39 | -2.49% | 2,980.38 | 1.31% |
| 13. | 2019/08/31 | $74.33 | 8.40% | 2,926.46 | -1.81% | |
| 14. | 2019/09/30 | $79.40 | 6.82% | 2,976.74 | 1.72% | |
| 15. | 2019/10/31 | $79.87 | $0.39 | 1.08% | 3,037.56 | 2.04% |
| 16. | 2019/11/30 | $80.55 | 0.85% | 3,140.98 | 3.40% | |
| 17. | 2019/12/31 | $85.54 | 6.19% | 3,230.78 | 2.86% | |
| 18. | 2020/01/31 | $82.14 | $0.45 | -3.45% | 3,225.52 | -0.16% |
| 19. | 2020/02/29 | $66.65 | -18.86% | 2,954.22 | -8.41% | |
| 20. | 2020/03/31 | $45.63 | -31.54% | 2,584.59 | -12.51% | |
| 21. | 2020/04/30 | $56.27 | $0.45 | 24.30% | 2,912.43 | 12.68% |
| 22. | 2020/05/31 | $55.16 | -1.97% | 3,044.31 | 4.53% | |
| 23. | 2020/06/30 | $54.66 | -0.91% | 3,100.29 | 1.84% | |
| 24. | 2020/07/31 | $52.85 | $0.45 | -2.49% | 3,271.12 | 5.51% |
| 25. | 2020/08/31 | $60.14 | 13.79% | 3,500.31 | 7.01% | |
| 26. | 2020/09/30 | $62.22 | 3.46% | 3,363.00 | -3.92% | |
| 27. | 2020/10/31 | $55.31 | $0.45 | -10.38% | 3,269.96 | -2.77% |
| 28. | 2020/11/30 | $71.29 | 28.89% | 3,621.63 | 10.75% | |
| 29. | 2020/12/31 | $74.26 | 4.17% | 3,756.07 | 3.71% | |
| 30. | 2021/01/31 | $71.51 | $0.45 | -3.10% | 3,714.24 | -1.11% |
| 31. | 2021/02/28 | $79.63 | 11.36% | 3,811.15 | 2.61% | |
| 32. | 2021/03/31 | $78.74 | $0.45 | -0.55% | 3,972.89 | 4.24% |
| 33. | 2021/04/30 | $84.73 | 7.61% | 4,181.17 | 5.24% | |
| 34. | 2021/05/31 | $81.00 | -4.40% | 4,204.11 | 0.55% | |
| 35. | 2021/06/30 | $77.75 | -4.01% | 4,297.50 | 2.22% | |
| 36. | 2021/07/31 | $74.20 | $0.47 | -3.96% | 4,395.26 | 2.27% |
| 37. | 2021/08/31 | $79.65 | 7.35% | 4,522.68 | 2.90% | |
| 38. | 2021/09/30 | $78.50 | $0.47 | -0.85% | 4,307.54 | -4.76% |
| 39. | 2021/10/31 | $76.90 | -2.04% | 4,605.38 | 6.91% | |
| 40. | 2021/11/30 | $70.04 | -8.92% | 4,567.00 | -0.83% | |
| 41. | 2021/12/31 | $78.55 | 12.15% | 4,766.18 | 4.36% | |
| 42. | 2022/01/31 | $78.15 | $0.47 | 0.09% | 4,515.55 | -5.26% |
| 43. | 2022/02/28 | $87.10 | 11.45% | 4,373.94 | -3.14% | |
| 44. | 2022/03/31 | $81.65 | $0.47 | -5.72% | 4,530.41 | 3.58% |
| 45. | 2022/04/30 | $85.48 | 4.69% | 4,131.93 | -8.80% | |
| 46. | 2022/05/31 | $84.18 | -1.52% | 4,132.15 | 0.01% | |
| 47. | 2022/06/30 | $84.71 | $0.49 | 1.21% | 3,785.38 | -8.39% |
| 48. | 2022/07/31 | $84.90 | 0.22% | 4,130.29 | 9.11% | |
| 49. | 2022/08/31 | $82.22 | -3.16% | 3,955.00 | -4.24% | |
| 50. | 2022/09/30 | $70.71 | -14.00% | 3,585.62 | -9.34% | |
| 51. | 2022/10/31 | $86.56 | $0.49 | 23.11% | 3,871.98 | 7.99% |
| 52. | 2022/11/30 | $86.51 | -0.06% | 4,080.11 | 5.38% | |
| 53. | 2022/12/31 | $76.45 | -11.63% | 3,839.50 | -5.90% | |
| 54. | 2023/01/31 | $77.46 | $0.49 | 1.96% | 4,076.60 | 6.18% |
| 55. | 2023/02/28 | $74.57 | -3.73% | 3,970.15 | -2.61% | |
| 56. | 2023/03/31 | $77.23 | 3.57% | 4,109.31 | 3.51% | |
| 57. | 2023/04/30 | $76.74 | $0.49 | 0.00% | 4,169.48 | 1.46% |
| 58. | 2023/05/31 | $69.95 | -8.85% | 4,179.83 | 0.25% | |
| 59. | 2023/06/30 | $74.20 | 6.08% | 4,376.86 | 4.71% | |
| 60. | 2023/07/31 | $76.31 | $0.50 | 3.52% | 4,588.96 | 4.85% |
| 61. | 2023/08/31 | $69.65 | -8.73% | 4,507.66 | -1.77% | |
| 62. | 2023/09/30 | $66.05 | -5.17% | 4,288.05 | -4.87% | |
| 63. | 2023/10/31 | $66.49 | $0.50 | 1.42% | 4,193.80 | -2.20% |
| 64. | 2023/11/30 | $72.17 | 8.54% | 4,567.80 | 8.92% | |
| 65. | 2023/12/31 | $73.13 | 1.33% | 4,769.83 | 4.42% | |
| 66. | 2024/01/31 | $80.93 | $0.50 | 11.35% | 4,845.65 | 1.59% |
| 67. | 2024/02/29 | $80.97 | 0.05% | 5,096.27 | 5.17% | |
| 68. | 2024/03/31 | $81.18 | 0.26% | 5,254.35 | 3.10% | |
| 69. | 2024/04/30 | $74.32 | $0.50 | -7.83% | 5,035.69 | -4.16% |
| 70. | 2024/05/31 | $72.82 | -2.02% | 5,277.51 | 4.80% | |
| 71. | 2024/06/30 | $71.39 | -1.96% | 5,460.48 | 3.47% | |
| 平均 (R): | 0.69% | 1.07% | ||||
| 標準偏差： | 9.02% | 5.24% | ||||
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SYY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
Sysco Corp.、分散の計算、および戻り値の共分散
| t | 日付 | RSYY,t | RS&P 500,t | (RSYY,t–RSYY)2 | (RS&P 500,t–RS&P 500)2 | (RSYY,t–RSYY)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018/08/31 | 11.32% | 3.03% | 112.98 | 3.81 | 20.76 |
| 2. | 2018/09/30 | -2.10% | 0.43% | 7.79 | 0.41 | 1.80 |
| 3. | 2018/10/31 | -2.13% | -6.94% | 7.97 | 64.22 | 22.62 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024/05/31 | -2.02% | 4.80% | 7.35 | 13.90 | -10.11 |
| 71. | 2024/06/30 | -1.96% | 3.47% | 7.06 | 5.73 | -6.36 |
| トータル (Σ): | 5,696.62 | 1,922.79 | 2,079.20 | |||
| t | 日付 | RSYY,t | RS&P 500,t | (RSYY,t–RSYY)2 | (RS&P 500,t–RS&P 500)2 | (RSYY,t–RSYY)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018/08/31 | 11.32% | 3.03% | 112.98 | 3.81 | 20.76 |
| 2. | 2018/09/30 | -2.10% | 0.43% | 7.79 | 0.41 | 1.80 |
| 3. | 2018/10/31 | -2.13% | -6.94% | 7.97 | 64.22 | 22.62 |
| 4. | 2018/11/30 | -5.51% | 1.79% | 38.48 | 0.51 | -4.42 |
| 5. | 2018/12/31 | -7.03% | -9.18% | 59.69 | 105.08 | 79.20 |
| 6. | 2019/01/31 | 2.52% | 7.87% | 3.34 | 46.17 | 12.42 |
| 7. | 2019/02/28 | 5.79% | 2.97% | 26.02 | 3.61 | 9.69 |
| 8. | 2019/03/31 | -1.17% | 1.79% | 3.47 | 0.52 | -1.34 |
| 9. | 2019/04/30 | 5.99% | 3.93% | 28.07 | 8.17 | 15.14 |
| 10. | 2019/05/31 | -2.20% | -6.58% | 8.39 | 58.54 | 22.16 |
| 11. | 2019/06/30 | 2.76% | 6.89% | 4.27 | 33.87 | 12.03 |
| 12. | 2019/07/31 | -2.49% | 1.31% | 10.13 | 0.06 | -0.76 |
| 13. | 2019/08/31 | 8.40% | -1.81% | 59.39 | 8.31 | -22.21 |
| 14. | 2019/09/30 | 6.82% | 1.72% | 37.55 | 0.42 | 3.95 |
| 15. | 2019/10/31 | 1.08% | 2.04% | 0.15 | 0.94 | 0.38 |
| 16. | 2019/11/30 | 0.85% | 3.40% | 0.02 | 5.44 | 0.37 |
| 17. | 2019/12/31 | 6.19% | 2.86% | 30.27 | 3.19 | 9.82 |
| 18. | 2020/01/31 | -3.45% | -0.16% | 17.16 | 1.53 | 5.12 |
| 19. | 2020/02/29 | -18.86% | -8.41% | 382.26 | 89.95 | 185.43 |
| 20. | 2020/03/31 | -31.54% | -12.51% | 1,038.86 | 184.56 | 437.87 |
| 21. | 2020/04/30 | 24.30% | 12.68% | 557.47 | 134.82 | 274.15 |
| 22. | 2020/05/31 | -1.97% | 4.53% | 7.11 | 11.94 | -9.21 |
| 23. | 2020/06/30 | -0.91% | 1.84% | 2.56 | 0.59 | -1.22 |
| 24. | 2020/07/31 | -2.49% | 5.51% | 10.12 | 19.68 | -14.12 |
| 25. | 2020/08/31 | 13.79% | 7.01% | 171.62 | 35.20 | 77.73 |
| 26. | 2020/09/30 | 3.46% | -3.92% | 7.65 | 24.96 | -13.82 |
| 27. | 2020/10/31 | -10.38% | -2.77% | 122.68 | 14.75 | 42.53 |
| 28. | 2020/11/30 | 28.89% | 10.75% | 795.14 | 93.73 | 272.99 |
| 29. | 2020/12/31 | 4.17% | 3.71% | 12.06 | 6.96 | 9.16 |
| 30. | 2021/01/31 | -3.10% | -1.11% | 14.37 | 4.78 | 8.29 |
| 31. | 2021/02/28 | 11.36% | 2.61% | 113.67 | 2.36 | 16.37 |
| 32. | 2021/03/31 | -0.55% | 4.24% | 1.55 | 10.05 | -3.95 |
| 33. | 2021/04/30 | 7.61% | 5.24% | 47.80 | 17.38 | 28.83 |
| 34. | 2021/05/31 | -4.40% | 0.55% | 25.97 | 0.28 | 2.67 |
| 35. | 2021/06/30 | -4.01% | 2.22% | 22.14 | 1.32 | -5.40 |
| 36. | 2021/07/31 | -3.96% | 2.27% | 21.67 | 1.44 | -5.59 |
| 37. | 2021/08/31 | 7.35% | 2.90% | 44.24 | 3.33 | 12.14 |
| 38. | 2021/09/30 | -0.85% | -4.76% | 2.39 | 33.99 | 9.02 |
| 39. | 2021/10/31 | -2.04% | 6.91% | 7.46 | 34.12 | -15.96 |
| 40. | 2021/11/30 | -8.92% | -0.83% | 92.43 | 3.64 | 18.33 |
| 41. | 2021/12/31 | 12.15% | 4.36% | 131.26 | 10.81 | 37.67 |
| 42. | 2022/01/31 | 0.09% | -5.26% | 0.37 | 40.09 | 3.83 |
| 43. | 2022/02/28 | 11.45% | -3.14% | 115.75 | 17.72 | -45.29 |
| 44. | 2022/03/31 | -5.72% | 3.58% | 41.10 | 6.27 | -16.05 |
| 45. | 2022/04/30 | 4.69% | -8.80% | 15.98 | 97.40 | -39.45 |
| 46. | 2022/05/31 | -1.52% | 0.01% | 4.90 | 1.14 | 2.36 |
| 47. | 2022/06/30 | 1.21% | -8.39% | 0.27 | 89.59 | -4.91 |
| 48. | 2022/07/31 | 0.22% | 9.11% | 0.22 | 64.61 | -3.77 |
| 49. | 2022/08/31 | -3.16% | -4.24% | 14.82 | 28.27 | 20.47 |
| 50. | 2022/09/30 | -14.00% | -9.34% | 215.87 | 108.43 | 152.99 |
| 51. | 2022/10/31 | 23.11% | 7.99% | 502.44 | 47.79 | 154.96 |
| 52. | 2022/11/30 | -0.06% | 5.38% | 0.56 | 18.51 | -3.23 |
| 53. | 2022/12/31 | -11.63% | -5.90% | 151.83 | 48.59 | 85.89 |
| 54. | 2023/01/31 | 1.96% | 6.18% | 1.61 | 26.03 | 6.47 |
| 55. | 2023/02/28 | -3.73% | -2.61% | 19.57 | 13.58 | 16.30 |
| 56. | 2023/03/31 | 3.57% | 3.51% | 8.26 | 5.91 | 6.99 |
| 57. | 2023/04/30 | 0.00% | 1.46% | 0.48 | 0.15 | -0.27 |
| 58. | 2023/05/31 | -8.85% | 0.25% | 91.04 | 0.68 | 7.87 |
| 59. | 2023/06/30 | 6.08% | 4.71% | 28.97 | 13.25 | 19.59 |
| 60. | 2023/07/31 | 3.52% | 4.85% | 7.98 | 14.23 | 10.65 |
| 61. | 2023/08/31 | -8.73% | -1.77% | 88.75 | 8.09 | 26.80 |
| 62. | 2023/09/30 | -5.17% | -4.87% | 34.36 | 35.35 | 34.85 |
| 63. | 2023/10/31 | 1.42% | -2.20% | 0.53 | 10.70 | -2.39 |
| 64. | 2023/11/30 | 8.54% | 8.92% | 61.61 | 61.54 | 61.57 |
| 65. | 2023/12/31 | 1.33% | 4.42% | 0.41 | 11.22 | 2.13 |
| 66. | 2024/01/31 | 11.35% | 1.59% | 113.56 | 0.27 | 5.50 |
| 67. | 2024/02/29 | 0.05% | 5.17% | 0.41 | 16.80 | -2.64 |
| 68. | 2024/03/31 | 0.26% | 3.10% | 0.19 | 4.11 | -0.88 |
| 69. | 2024/04/30 | -7.83% | -4.16% | 72.72 | 27.40 | 44.64 |
| 70. | 2024/05/31 | -2.02% | 4.80% | 7.35 | 13.90 | -10.11 |
| 71. | 2024/06/30 | -1.96% | 3.47% | 7.06 | 5.73 | -6.36 |
| トータル (Σ): | 5,696.62 | 1,922.79 | 2,079.20 | |||
すべて表示
分散SYY = Σ(RSYY,t–RSYY)2 ÷ (71 – 1)
= 5,696.62 ÷ (71 – 1)
= 81.38
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,922.79 ÷ (71 – 1)
= 27.47
共 分散SYY, S&P 500 = Σ(RSYY,t–RSYY)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,079.20 ÷ (71 – 1)
= 29.70
システマティックなリスク推定 (β)
| 分散SYY | 81.38 |
| 分散S&P 500 | 27.47 |
| 共 分散SYY, S&P 500 | 29.70 |
| 相関係数SYY, S&P 5001 | 0.63 |
| βSYY2 | 1.08 |
| αSYY3 | -0.47% |
計算
1 相関係数SYY, S&P 500
= 共 分散SYY, S&P 500 ÷ (標準偏差SYY × 標準偏差S&P 500)
= 29.70 ÷ (9.02% × 5.24%)
= 0.63
2 βSYY
= 共 分散SYY, S&P 500 ÷ 分散S&P 500
= 29.70 ÷ 27.47
= 1.08
3 αSYY
= 平均SYY – βSYY × 平均S&P 500
= 0.69% – 1.08 × 1.07%
= -0.47%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.56% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.87% |
| 普通株式のシステマティックリスクSysco | βSYY | 1.08 |
| Syscoの普通株式の予想収益率3 | E(RSYY) | 15.71% |
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(RSYY) = RF + βSYY [E(RM) – RF]
= 4.56% + 1.08 [14.87% – 4.56%]
= 15.71%