資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 TJX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
TJX Cos. Inc.、月間収益率
| TJX Cos. Inc. (TJX) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格TJX,t1 | 配当TJX,t1 | RTJX,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2020/02/29 | $59.80 | 2,954.22 | ||||
| 1. | 2020/03/31 | $47.81 | -20.05% | 2,584.59 | -12.51% | |
| 2. | 2020/04/30 | $49.05 | 2.59% | 2,912.43 | 12.68% | |
| 3. | 2020/05/31 | $52.76 | 7.56% | 3,044.31 | 4.53% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025/12/31 | $153.61 | 1.11% | 6,845.50 | -0.05% | |
| 71. | 2026/01/31 | $149.81 | -2.47% | 6,939.03 | 1.37% | |
| 平均 (R): | 1.63% | 1.33% | ||||
| 標準偏差： | 6.82% | 4.83% | ||||
| TJX Cos. Inc. (TJX) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格TJX,t1 | 配当TJX,t1 | RTJX,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2020/02/29 | $59.80 | 2,954.22 | ||||
| 1. | 2020/03/31 | $47.81 | -20.05% | 2,584.59 | -12.51% | |
| 2. | 2020/04/30 | $49.05 | 2.59% | 2,912.43 | 12.68% | |
| 3. | 2020/05/31 | $52.76 | 7.56% | 3,044.31 | 4.53% | |
| 4. | 2020/06/30 | $50.56 | -4.17% | 3,100.29 | 1.84% | |
| 5. | 2020/07/31 | $51.99 | 2.83% | 3,271.12 | 5.51% | |
| 6. | 2020/08/31 | $54.79 | 5.39% | 3,500.31 | 7.01% | |
| 7. | 2020/09/30 | $55.65 | 1.57% | 3,363.00 | -3.92% | |
| 8. | 2020/10/31 | $50.80 | -8.72% | 3,269.96 | -2.77% | |
| 9. | 2020/11/30 | $63.51 | 25.02% | 3,621.63 | 10.75% | |
| 10. | 2020/12/31 | $68.29 | 7.53% | 3,756.07 | 3.71% | |
| 11. | 2021/01/31 | $64.04 | -6.22% | 3,714.24 | -1.11% | |
| 12. | 2021/02/28 | $65.99 | $0.26 | 3.45% | 3,811.15 | 2.61% |
| 13. | 2021/03/31 | $66.15 | 0.24% | 3,972.89 | 4.24% | |
| 14. | 2021/04/30 | $71.00 | 7.33% | 4,181.17 | 5.24% | |
| 15. | 2021/05/31 | $67.54 | $0.26 | -4.51% | 4,204.11 | 0.55% |
| 16. | 2021/06/30 | $67.42 | -0.18% | 4,297.50 | 2.22% | |
| 17. | 2021/07/31 | $68.81 | 2.06% | 4,395.26 | 2.27% | |
| 18. | 2021/08/31 | $72.72 | $0.26 | 6.06% | 4,522.68 | 2.90% |
| 19. | 2021/09/30 | $65.98 | -9.27% | 4,307.54 | -4.76% | |
| 20. | 2021/10/31 | $65.49 | -0.74% | 4,605.38 | 6.91% | |
| 21. | 2021/11/30 | $69.40 | $0.26 | 6.37% | 4,567.00 | -0.83% |
| 22. | 2021/12/31 | $75.92 | 9.39% | 4,766.18 | 4.36% | |
| 23. | 2022/01/31 | $71.97 | -5.20% | 4,515.55 | -5.26% | |
| 24. | 2022/02/28 | $66.10 | $0.26 | -7.79% | 4,373.94 | -3.14% |
| 25. | 2022/03/31 | $60.58 | -8.35% | 4,530.41 | 3.58% | |
| 26. | 2022/04/30 | $61.28 | 1.16% | 4,131.93 | -8.80% | |
| 27. | 2022/05/31 | $63.57 | $0.295 | 4.22% | 4,132.15 | 0.01% |
| 28. | 2022/06/30 | $55.85 | -12.14% | 3,785.38 | -8.39% | |
| 29. | 2022/07/31 | $61.16 | 9.51% | 4,130.29 | 9.11% | |
| 30. | 2022/08/31 | $62.35 | $0.295 | 2.43% | 3,955.00 | -4.24% |
| 31. | 2022/09/30 | $62.12 | -0.37% | 3,585.62 | -9.34% | |
| 32. | 2022/10/31 | $72.10 | 16.07% | 3,871.98 | 7.99% | |
| 33. | 2022/11/30 | $80.05 | $0.295 | 11.44% | 4,080.11 | 5.38% |
| 34. | 2022/12/31 | $79.60 | -0.56% | 3,839.50 | -5.90% | |
| 35. | 2023/01/31 | $81.86 | 2.84% | 4,076.60 | 6.18% | |
| 36. | 2023/02/28 | $76.60 | $0.295 | -6.07% | 3,970.15 | -2.61% |
| 37. | 2023/03/31 | $78.36 | 2.30% | 4,109.31 | 3.51% | |
| 38. | 2023/04/30 | $78.82 | 0.59% | 4,169.48 | 1.46% | |
| 39. | 2023/05/31 | $76.79 | $0.3325 | -2.15% | 4,179.83 | 0.25% |
| 40. | 2023/06/30 | $84.79 | 10.42% | 4,376.86 | 4.71% | |
| 41. | 2023/07/31 | $86.53 | 2.05% | 4,588.96 | 4.85% | |
| 42. | 2023/08/31 | $92.48 | $0.3325 | 7.26% | 4,507.66 | -1.77% |
| 43. | 2023/09/30 | $88.88 | -3.89% | 4,288.05 | -4.87% | |
| 44. | 2023/10/31 | $88.07 | -0.91% | 4,193.80 | -2.20% | |
| 45. | 2023/11/30 | $88.11 | $0.3325 | 0.42% | 4,567.80 | 8.92% |
| 46. | 2023/12/31 | $93.81 | 6.47% | 4,769.83 | 4.42% | |
| 47. | 2024/01/31 | $94.91 | 1.17% | 4,845.65 | 1.59% | |
| 48. | 2024/02/29 | $99.14 | $0.3325 | 4.81% | 5,096.27 | 5.17% |
| 49. | 2024/03/31 | $101.42 | 2.30% | 5,254.35 | 3.10% | |
| 50. | 2024/04/30 | $94.09 | -7.23% | 5,035.69 | -4.16% | |
| 51. | 2024/05/31 | $103.10 | $0.375 | 9.97% | 5,277.51 | 4.80% |
| 52. | 2024/06/30 | $110.10 | 6.79% | 5,460.48 | 3.47% | |
| 53. | 2024/07/31 | $113.02 | 2.65% | 5,522.30 | 1.13% | |
| 54. | 2024/08/31 | $117.27 | $0.375 | 4.09% | 5,648.40 | 2.28% |
| 55. | 2024/09/30 | $117.54 | 0.23% | 5,762.48 | 2.02% | |
| 56. | 2024/10/31 | $113.03 | -3.84% | 5,705.45 | -0.99% | |
| 57. | 2024/11/30 | $125.69 | $0.375 | 11.53% | 6,032.38 | 5.73% |
| 58. | 2024/12/31 | $120.81 | -3.88% | 5,881.63 | -2.50% | |
| 59. | 2025/01/31 | $124.79 | 3.29% | 6,040.53 | 2.70% | |
| 60. | 2025/02/28 | $124.76 | $0.375 | 0.28% | 5,954.50 | -1.42% |
| 61. | 2025/03/31 | $121.80 | -2.37% | 5,611.85 | -5.75% | |
| 62. | 2025/04/30 | $128.68 | 5.65% | 5,569.06 | -0.76% | |
| 63. | 2025/05/31 | $126.90 | $0.425 | -1.05% | 5,911.69 | 6.15% |
| 64. | 2025/06/30 | $123.49 | -2.69% | 6,204.95 | 4.96% | |
| 65. | 2025/07/31 | $124.53 | 0.84% | 6,339.39 | 2.17% | |
| 66. | 2025/08/31 | $136.61 | $0.425 | 10.04% | 6,460.26 | 1.91% |
| 67. | 2025/09/30 | $144.54 | 5.80% | 6,688.46 | 3.53% | |
| 68. | 2025/10/31 | $140.14 | -3.04% | 6,840.20 | 2.27% | |
| 69. | 2025/11/30 | $151.92 | $0.425 | 8.71% | 6,849.09 | 0.13% |
| 70. | 2025/12/31 | $153.61 | 1.11% | 6,845.50 | -0.05% | |
| 71. | 2026/01/31 | $149.81 | -2.47% | 6,939.03 | 1.37% | |
| 平均 (R): | 1.63% | 1.33% | ||||
| 標準偏差： | 6.82% | 4.83% | ||||
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TJX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
TJX Cos. Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RTJX,t | RS&P 500,t | (RTJX,t–RTJX)2 | (RS&P 500,t–RS&P 500)2 | (RTJX,t–RTJX)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020/03/31 | -20.05% | -12.51% | 470.17 | 191.48 | 300.04 |
| 2. | 2020/04/30 | 2.59% | 12.68% | 0.92 | 129.02 | 10.91 |
| 3. | 2020/05/31 | 7.56% | 4.53% | 35.17 | 10.26 | 18.99 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025/12/31 | 1.11% | -0.05% | 0.27 | 1.90 | 0.72 |
| 71. | 2026/01/31 | -2.47% | 1.37% | 16.87 | 0.00 | -0.17 |
| トータル (Σ): | 3,260.16 | 1,636.00 | 1,460.27 | |||
| t | 日付 | RTJX,t | RS&P 500,t | (RTJX,t–RTJX)2 | (RS&P 500,t–RS&P 500)2 | (RTJX,t–RTJX)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020/03/31 | -20.05% | -12.51% | 470.17 | 191.48 | 300.04 |
| 2. | 2020/04/30 | 2.59% | 12.68% | 0.92 | 129.02 | 10.91 |
| 3. | 2020/05/31 | 7.56% | 4.53% | 35.17 | 10.26 | 18.99 |
| 4. | 2020/06/30 | -4.17% | 1.84% | 33.67 | 0.26 | -2.98 |
| 5. | 2020/07/31 | 2.83% | 5.51% | 1.43 | 17.51 | 5.00 |
| 6. | 2020/08/31 | 5.39% | 7.01% | 14.08 | 32.27 | 21.32 |
| 7. | 2020/09/30 | 1.57% | -3.92% | 0.00 | 27.55 | 0.33 |
| 8. | 2020/10/31 | -8.72% | -2.77% | 107.09 | 16.75 | 42.35 |
| 9. | 2020/11/30 | 25.02% | 10.75% | 546.93 | 88.91 | 220.51 |
| 10. | 2020/12/31 | 7.53% | 3.71% | 34.73 | 5.70 | 14.06 |
| 11. | 2021/01/31 | -6.22% | -1.11% | 61.73 | 5.95 | 19.16 |
| 12. | 2021/02/28 | 3.45% | 2.61% | 3.30 | 1.65 | 2.33 |
| 13. | 2021/03/31 | 0.24% | 4.24% | 1.93 | 8.52 | -4.06 |
| 14. | 2021/04/30 | 7.33% | 5.24% | 32.47 | 15.34 | 22.32 |
| 15. | 2021/05/31 | -4.51% | 0.55% | 37.70 | 0.60 | 4.77 |
| 16. | 2021/06/30 | -0.18% | 2.22% | 3.28 | 0.80 | -1.62 |
| 17. | 2021/07/31 | 2.06% | 2.27% | 0.18 | 0.90 | 0.41 |
| 18. | 2021/08/31 | 6.06% | 2.90% | 19.60 | 2.48 | 6.97 |
| 19. | 2021/09/30 | -9.27% | -4.76% | 118.84 | 37.00 | 66.31 |
| 20. | 2021/10/31 | -0.74% | 6.91% | 5.64 | 31.23 | -13.28 |
| 21. | 2021/11/30 | 6.37% | -0.83% | 22.41 | 4.66 | -10.22 |
| 22. | 2021/12/31 | 9.39% | 4.36% | 60.24 | 9.22 | 23.56 |
| 23. | 2022/01/31 | -5.20% | -5.26% | 46.73 | 43.35 | 45.01 |
| 24. | 2022/02/28 | -7.79% | -3.14% | 88.89 | 19.91 | 42.06 |
| 25. | 2022/03/31 | -8.35% | 3.58% | 99.68 | 5.07 | -22.48 |
| 26. | 2022/04/30 | 1.16% | -8.80% | 0.23 | 102.44 | 4.83 |
| 27. | 2022/05/31 | 4.22% | 0.01% | 6.68 | 1.74 | -3.41 |
| 28. | 2022/06/30 | -12.14% | -8.39% | 189.81 | 94.43 | 133.88 |
| 29. | 2022/07/31 | 9.51% | 9.11% | 62.01 | 60.62 | 61.31 |
| 30. | 2022/08/31 | 2.43% | -4.24% | 0.63 | 31.02 | -4.43 |
| 31. | 2022/09/30 | -0.37% | -9.34% | 4.01 | 113.75 | 21.35 |
| 32. | 2022/10/31 | 16.07% | 7.99% | 208.30 | 44.37 | 96.13 |
| 33. | 2022/11/30 | 11.44% | 5.38% | 96.09 | 16.40 | 39.70 |
| 34. | 2022/12/31 | -0.56% | -5.90% | 4.82 | 52.17 | 15.86 |
| 35. | 2023/01/31 | 2.84% | 6.18% | 1.45 | 23.52 | 5.85 |
| 36. | 2023/02/28 | -6.07% | -2.61% | 59.27 | 15.50 | 30.31 |
| 37. | 2023/03/31 | 2.30% | 3.51% | 0.44 | 4.75 | 1.45 |
| 38. | 2023/04/30 | 0.59% | 1.46% | 1.09 | 0.02 | -0.15 |
| 39. | 2023/05/31 | -2.15% | 0.25% | 14.34 | 1.16 | 4.08 |
| 40. | 2023/06/30 | 10.42% | 4.71% | 77.17 | 11.48 | 29.77 |
| 41. | 2023/07/31 | 2.05% | 4.85% | 0.18 | 12.39 | 1.47 |
| 42. | 2023/08/31 | 7.26% | -1.77% | 31.67 | 9.59 | -17.43 |
| 43. | 2023/09/30 | -3.89% | -4.87% | 30.54 | 38.41 | 34.25 |
| 44. | 2023/10/31 | -0.91% | -2.20% | 6.47 | 12.42 | 8.97 |
| 45. | 2023/11/30 | 0.42% | 8.92% | 1.46 | 57.64 | -9.19 |
| 46. | 2023/12/31 | 6.47% | 4.42% | 23.39 | 9.59 | 14.98 |
| 47. | 2024/01/31 | 1.17% | 1.59% | 0.21 | 0.07 | -0.12 |
| 48. | 2024/02/29 | 4.81% | 5.17% | 10.07 | 14.80 | 12.21 |
| 49. | 2024/03/31 | 2.30% | 3.10% | 0.44 | 3.16 | 1.18 |
| 50. | 2024/04/30 | -7.23% | -4.16% | 78.51 | 30.11 | 48.62 |
| 51. | 2024/05/31 | 9.97% | 4.80% | 69.58 | 12.09 | 29.00 |
| 52. | 2024/06/30 | 6.79% | 3.47% | 26.59 | 4.59 | 11.04 |
| 53. | 2024/07/31 | 2.65% | 1.13% | 1.04 | 0.04 | -0.20 |
| 54. | 2024/08/31 | 4.09% | 2.28% | 6.05 | 0.92 | 2.36 |
| 55. | 2024/09/30 | 0.23% | 2.02% | 1.97 | 0.48 | -0.97 |
| 56. | 2024/10/31 | -3.84% | -0.99% | 29.92 | 5.36 | 12.66 |
| 57. | 2024/11/30 | 11.53% | 5.73% | 97.99 | 19.40 | 43.60 |
| 58. | 2024/12/31 | -3.88% | -2.50% | 30.42 | 14.63 | 21.10 |
| 59. | 2025/01/31 | 3.29% | 2.70% | 2.76 | 1.89 | 2.29 |
| 60. | 2025/02/28 | 0.28% | -1.42% | 1.84 | 7.56 | 3.73 |
| 61. | 2025/03/31 | -2.37% | -5.75% | 16.05 | 50.13 | 28.36 |
| 62. | 2025/04/30 | 5.65% | -0.76% | 16.12 | 4.36 | -8.38 |
| 63. | 2025/05/31 | -1.05% | 6.15% | 7.22 | 23.30 | -12.97 |
| 64. | 2025/06/30 | -2.69% | 4.96% | 18.67 | 13.21 | -15.70 |
| 65. | 2025/07/31 | 0.84% | 2.17% | 0.63 | 0.71 | -0.67 |
| 66. | 2025/08/31 | 10.04% | 1.91% | 70.70 | 0.34 | 4.89 |
| 67. | 2025/09/30 | 5.80% | 3.53% | 17.40 | 4.87 | 9.21 |
| 68. | 2025/10/31 | -3.04% | 2.27% | 21.88 | 0.89 | -4.41 |
| 69. | 2025/11/30 | 8.71% | 0.13% | 50.07 | 1.43 | -8.46 |
| 70. | 2025/12/31 | 1.11% | -0.05% | 0.27 | 1.90 | 0.72 |
| 71. | 2026/01/31 | -2.47% | 1.37% | 16.87 | 0.00 | -0.17 |
| トータル (Σ): | 3,260.16 | 1,636.00 | 1,460.27 | |||
すべて表示
分散TJX = Σ(RTJX,t–RTJX)2 ÷ (71 – 1)
= 3,260.16 ÷ (71 – 1)
= 46.57
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,636.00 ÷ (71 – 1)
= 23.37
共 分散TJX, S&P 500 = Σ(RTJX,t–RTJX)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,460.27 ÷ (71 – 1)
= 20.86
システマティックなリスク推定 (β)
| 分散TJX | 46.57 |
| 分散S&P 500 | 23.37 |
| 共 分散TJX, S&P 500 | 20.86 |
| 相関係数TJX, S&P 5001 | 0.63 |
| βTJX2 | 0.89 |
| αTJX3 | 0.45% |
計算
1 相関係数TJX, S&P 500
= 共 分散TJX, S&P 500 ÷ (標準偏差TJX × 標準偏差S&P 500)
= 20.86 ÷ (6.82% × 4.83%)
= 0.63
2 βTJX
= 共 分散TJX, S&P 500 ÷ 分散S&P 500
= 20.86 ÷ 23.37
= 0.89
3 αTJX
= 平均TJX – βTJX × 平均S&P 500
= 1.63% – 0.89 × 1.33%
= 0.45%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.94% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 17.36% |
| 普通株式 TJX システマティックリスク | βTJX | 0.89 |
| TJX普通株式の期待収益率3 | E(RTJX) | 16.03% |
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(RTJX) = RF + βTJX [E(RM) – RF]
= 4.94% + 0.89 [17.36% – 4.94%]
= 16.03%