資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Target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
Target Corp.、月間収益率
| Target Corp. (TGT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格TGT,t1 | 配当TGT,t1 | RTGT,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2019/02/28 | $72.64 | 2,784.49 | ||||
| 1. | 2019/03/31 | $80.26 | 10.49% | 2,834.40 | 1.79% | |
| 2. | 2019/04/30 | $77.42 | -3.54% | 2,945.83 | 3.93% | |
| 3. | 2019/05/31 | $80.45 | $0.64 | 4.74% | 2,752.06 | -6.58% |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024/12/31 | $135.18 | 2.17% | 5,881.63 | -2.50% | |
| 71. | 2025/01/31 | $137.91 | 2.02% | 6,040.53 | 2.70% | |
| 平均 (R): | 1.58% | 1.22% | ||||
| 標準偏差： | 9.88% | 4.99% | ||||
| Target Corp. (TGT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格TGT,t1 | 配当TGT,t1 | RTGT,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2019/02/28 | $72.64 | 2,784.49 | ||||
| 1. | 2019/03/31 | $80.26 | 10.49% | 2,834.40 | 1.79% | |
| 2. | 2019/04/30 | $77.42 | -3.54% | 2,945.83 | 3.93% | |
| 3. | 2019/05/31 | $80.45 | $0.64 | 4.74% | 2,752.06 | -6.58% |
| 4. | 2019/06/30 | $86.61 | 7.66% | 2,941.76 | 6.89% | |
| 5. | 2019/07/31 | $86.40 | -0.24% | 2,980.38 | 1.31% | |
| 6. | 2019/08/31 | $107.04 | $0.66 | 24.65% | 2,926.46 | -1.81% |
| 7. | 2019/09/30 | $106.91 | -0.12% | 2,976.74 | 1.72% | |
| 8. | 2019/10/31 | $106.91 | 0.00% | 3,037.56 | 2.04% | |
| 9. | 2019/11/30 | $125.01 | $0.66 | 17.55% | 3,140.98 | 3.40% |
| 10. | 2019/12/31 | $128.21 | 2.56% | 3,230.78 | 2.86% | |
| 11. | 2020/01/31 | $110.74 | -13.63% | 3,225.52 | -0.16% | |
| 12. | 2020/02/29 | $103.00 | $0.66 | -6.39% | 2,954.22 | -8.41% |
| 13. | 2020/03/31 | $92.97 | -9.74% | 2,584.59 | -12.51% | |
| 14. | 2020/04/30 | $109.74 | 18.04% | 2,912.43 | 12.68% | |
| 15. | 2020/05/31 | $122.33 | $0.66 | 12.07% | 3,044.31 | 4.53% |
| 16. | 2020/06/30 | $119.93 | -1.96% | 3,100.29 | 1.84% | |
| 17. | 2020/07/31 | $125.88 | 4.96% | 3,271.12 | 5.51% | |
| 18. | 2020/08/31 | $151.21 | $0.68 | 20.66% | 3,500.31 | 7.01% |
| 19. | 2020/09/30 | $157.42 | 4.11% | 3,363.00 | -3.92% | |
| 20. | 2020/10/31 | $152.22 | -3.30% | 3,269.96 | -2.77% | |
| 21. | 2020/11/30 | $179.53 | $0.68 | 18.39% | 3,621.63 | 10.75% |
| 22. | 2020/12/31 | $176.53 | -1.67% | 3,756.07 | 3.71% | |
| 23. | 2021/01/31 | $181.17 | 2.63% | 3,714.24 | -1.11% | |
| 24. | 2021/02/28 | $183.44 | $0.68 | 1.63% | 3,811.15 | 2.61% |
| 25. | 2021/03/31 | $198.07 | 7.98% | 3,972.89 | 4.24% | |
| 26. | 2021/04/30 | $207.26 | 4.64% | 4,181.17 | 5.24% | |
| 27. | 2021/05/31 | $226.92 | $0.68 | 9.81% | 4,204.11 | 0.55% |
| 28. | 2021/06/30 | $241.74 | 6.53% | 4,297.50 | 2.22% | |
| 29. | 2021/07/31 | $261.05 | 7.99% | 4,395.26 | 2.27% | |
| 30. | 2021/08/31 | $246.98 | $0.90 | -5.05% | 4,522.68 | 2.90% |
| 31. | 2021/09/30 | $228.77 | -7.37% | 4,307.54 | -4.76% | |
| 32. | 2021/10/31 | $259.62 | 13.49% | 4,605.38 | 6.91% | |
| 33. | 2021/11/30 | $243.84 | $0.90 | -5.73% | 4,567.00 | -0.83% |
| 34. | 2021/12/31 | $231.44 | -5.09% | 4,766.18 | 4.36% | |
| 35. | 2022/01/31 | $220.43 | -4.76% | 4,515.55 | -5.26% | |
| 36. | 2022/02/28 | $199.77 | $0.90 | -8.96% | 4,373.94 | -3.14% |
| 37. | 2022/03/31 | $212.22 | 6.23% | 4,530.41 | 3.58% | |
| 38. | 2022/04/30 | $228.65 | 7.74% | 4,131.93 | -8.80% | |
| 39. | 2022/05/31 | $161.88 | $0.90 | -28.81% | 4,132.15 | 0.01% |
| 40. | 2022/06/30 | $141.23 | -12.76% | 3,785.38 | -8.39% | |
| 41. | 2022/07/31 | $163.38 | 15.68% | 4,130.29 | 9.11% | |
| 42. | 2022/08/31 | $160.34 | $1.08 | -1.20% | 3,955.00 | -4.24% |
| 43. | 2022/09/30 | $148.39 | -7.45% | 3,585.62 | -9.34% | |
| 44. | 2022/10/31 | $164.25 | 10.69% | 3,871.98 | 7.99% | |
| 45. | 2022/11/30 | $167.07 | $1.08 | 2.37% | 4,080.11 | 5.38% |
| 46. | 2022/12/31 | $149.04 | -10.79% | 3,839.50 | -5.90% | |
| 47. | 2023/01/31 | $172.14 | 15.50% | 4,076.60 | 6.18% | |
| 48. | 2023/02/28 | $168.50 | $1.08 | -1.49% | 3,970.15 | -2.61% |
| 49. | 2023/03/31 | $165.63 | -1.70% | 4,109.31 | 3.51% | |
| 50. | 2023/04/30 | $157.75 | -4.76% | 4,169.48 | 1.46% | |
| 51. | 2023/05/31 | $130.93 | $1.08 | -16.32% | 4,179.83 | 0.25% |
| 52. | 2023/06/30 | $131.90 | 0.74% | 4,376.86 | 4.71% | |
| 53. | 2023/07/31 | $136.47 | 3.46% | 4,588.96 | 4.85% | |
| 54. | 2023/08/31 | $126.55 | $1.10 | -6.46% | 4,507.66 | -1.77% |
| 55. | 2023/09/30 | $110.57 | -12.63% | 4,288.05 | -4.87% | |
| 56. | 2023/10/31 | $110.79 | 0.20% | 4,193.80 | -2.20% | |
| 57. | 2023/11/30 | $133.81 | $1.10 | 21.77% | 4,567.80 | 8.92% |
| 58. | 2023/12/31 | $142.42 | 6.43% | 4,769.83 | 4.42% | |
| 59. | 2024/01/31 | $139.08 | -2.35% | 4,845.65 | 1.59% | |
| 60. | 2024/02/29 | $152.92 | $1.10 | 10.74% | 5,096.27 | 5.17% |
| 61. | 2024/03/31 | $177.21 | 15.88% | 5,254.35 | 3.10% | |
| 62. | 2024/04/30 | $160.98 | -9.16% | 5,035.69 | -4.16% | |
| 63. | 2024/05/31 | $156.16 | $1.10 | -2.31% | 5,277.51 | 4.80% |
| 64. | 2024/06/30 | $148.04 | -5.20% | 5,460.48 | 3.47% | |
| 65. | 2024/07/31 | $150.41 | 1.60% | 5,522.30 | 1.13% | |
| 66. | 2024/08/31 | $153.62 | $1.12 | 2.88% | 5,648.40 | 2.28% |
| 67. | 2024/09/30 | $155.86 | 1.46% | 5,762.48 | 2.02% | |
| 68. | 2024/10/31 | $150.04 | -3.73% | 5,705.45 | -0.99% | |
| 69. | 2024/11/30 | $132.31 | $1.12 | -11.07% | 6,032.38 | 5.73% |
| 70. | 2024/12/31 | $135.18 | 2.17% | 5,881.63 | -2.50% | |
| 71. | 2025/01/31 | $137.91 | 2.02% | 6,040.53 | 2.70% | |
| 平均 (R): | 1.58% | 1.22% | ||||
| 標準偏差： | 9.88% | 4.99% | ||||
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中のTGT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
Target Corp.、分散の計算、および戻り値の共分散
| t | 日付 | RTGT,t | RS&P 500,t | (RTGT,t–RTGT)2 | (RS&P 500,t–RS&P 500)2 | (RTGT,t–RTGT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019/03/31 | 10.49% | 1.79% | 79.33 | 0.33 | 5.10 |
| 2. | 2019/04/30 | -3.54% | 3.93% | 26.23 | 7.35 | -13.89 |
| 3. | 2019/05/31 | 4.74% | -6.58% | 9.97 | 60.81 | -24.62 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024/12/31 | 2.17% | -2.50% | 0.34 | 13.83 | -2.18 |
| 71. | 2025/01/31 | 2.02% | 2.70% | 0.19 | 2.20 | 0.65 |
| トータル (Σ): | 6,827.25 | 1,741.16 | 1,872.85 | |||
| t | 日付 | RTGT,t | RS&P 500,t | (RTGT,t–RTGT)2 | (RS&P 500,t–RS&P 500)2 | (RTGT,t–RTGT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019/03/31 | 10.49% | 1.79% | 79.33 | 0.33 | 5.10 |
| 2. | 2019/04/30 | -3.54% | 3.93% | 26.23 | 7.35 | -13.89 |
| 3. | 2019/05/31 | 4.74% | -6.58% | 9.97 | 60.81 | -24.62 |
| 4. | 2019/06/30 | 7.66% | 6.89% | 36.89 | 32.18 | 34.46 |
| 5. | 2019/07/31 | -0.24% | 1.31% | 3.33 | 0.01 | -0.17 |
| 6. | 2019/08/31 | 24.65% | -1.81% | 532.20 | 9.18 | -69.88 |
| 7. | 2019/09/30 | -0.12% | 1.72% | 2.91 | 0.25 | -0.85 |
| 8. | 2019/10/31 | 0.00% | 2.04% | 2.51 | 0.68 | -1.30 |
| 9. | 2019/11/30 | 17.55% | 3.40% | 254.85 | 4.77 | 34.88 |
| 10. | 2019/12/31 | 2.56% | 2.86% | 0.95 | 2.69 | 1.60 |
| 11. | 2020/01/31 | -13.63% | -0.16% | 231.33 | 1.91 | 21.03 |
| 12. | 2020/02/29 | -6.39% | -8.41% | 63.63 | 92.76 | 76.82 |
| 13. | 2020/03/31 | -9.74% | -12.51% | 128.17 | 188.57 | 155.46 |
| 14. | 2020/04/30 | 18.04% | 12.68% | 270.76 | 131.43 | 188.64 |
| 15. | 2020/05/31 | 12.07% | 4.53% | 110.05 | 10.94 | 34.70 |
| 16. | 2020/06/30 | -1.96% | 1.84% | 12.57 | 0.38 | -2.19 |
| 17. | 2020/07/31 | 4.96% | 5.51% | 11.41 | 18.41 | 14.49 |
| 18. | 2020/08/31 | 20.66% | 7.01% | 364.02 | 33.48 | 110.40 |
| 19. | 2020/09/30 | 4.11% | -3.92% | 6.37 | 26.45 | -12.98 |
| 20. | 2020/10/31 | -3.30% | -2.77% | 23.88 | 15.89 | 19.48 |
| 21. | 2020/11/30 | 18.39% | 10.75% | 282.39 | 90.91 | 160.22 |
| 22. | 2020/12/31 | -1.67% | 3.71% | 10.59 | 6.21 | -8.11 |
| 23. | 2021/01/31 | 2.63% | -1.11% | 1.09 | 5.45 | -2.44 |
| 24. | 2021/02/28 | 1.63% | 2.61% | 0.00 | 1.93 | 0.06 |
| 25. | 2021/03/31 | 7.98% | 4.24% | 40.86 | 9.14 | 19.33 |
| 26. | 2021/04/30 | 4.64% | 5.24% | 9.34 | 16.18 | 12.29 |
| 27. | 2021/05/31 | 9.81% | 0.55% | 67.74 | 0.45 | -5.53 |
| 28. | 2021/06/30 | 6.53% | 2.22% | 24.48 | 1.00 | 4.95 |
| 29. | 2021/07/31 | 7.99% | 2.27% | 41.02 | 1.11 | 6.76 |
| 30. | 2021/08/31 | -5.05% | 2.90% | 43.93 | 2.82 | -11.13 |
| 31. | 2021/09/30 | -7.37% | -4.76% | 80.22 | 35.72 | 53.53 |
| 32. | 2021/10/31 | 13.49% | 6.91% | 141.65 | 32.43 | 67.77 |
| 33. | 2021/11/30 | -5.73% | -0.83% | 53.51 | 4.22 | 15.02 |
| 34. | 2021/12/31 | -5.09% | 4.36% | 44.47 | 9.87 | -20.95 |
| 35. | 2022/01/31 | -4.76% | -5.26% | 40.20 | 41.97 | 41.08 |
| 36. | 2022/02/28 | -8.96% | -3.14% | 111.25 | 18.98 | 45.95 |
| 37. | 2022/03/31 | 6.23% | 3.58% | 21.61 | 5.56 | 10.96 |
| 38. | 2022/04/30 | 7.74% | -8.80% | 37.93 | 100.31 | -61.68 |
| 39. | 2022/05/31 | -28.81% | 0.01% | 923.64 | 1.48 | 36.92 |
| 40. | 2022/06/30 | -12.76% | -8.39% | 205.63 | 92.39 | 137.83 |
| 41. | 2022/07/31 | 15.68% | 9.11% | 198.82 | 62.28 | 111.27 |
| 42. | 2022/08/31 | -1.20% | -4.24% | 7.74 | 29.86 | 15.21 |
| 43. | 2022/09/30 | -7.45% | -9.34% | 81.65 | 111.50 | 95.42 |
| 44. | 2022/10/31 | 10.69% | 7.99% | 82.90 | 45.78 | 61.61 |
| 45. | 2022/11/30 | 2.37% | 5.38% | 0.63 | 17.27 | 3.29 |
| 46. | 2022/12/31 | -10.79% | -5.90% | 153.15 | 50.65 | 88.08 |
| 47. | 2023/01/31 | 15.50% | 6.18% | 193.65 | 24.55 | 68.96 |
| 48. | 2023/02/28 | -1.49% | -2.61% | 9.43 | 14.68 | 11.76 |
| 49. | 2023/03/31 | -1.70% | 3.51% | 10.80 | 5.22 | -7.51 |
| 50. | 2023/04/30 | -4.76% | 1.46% | 40.21 | 0.06 | -1.55 |
| 51. | 2023/05/31 | -16.32% | 0.25% | 320.42 | 0.94 | 17.40 |
| 52. | 2023/06/30 | 0.74% | 4.71% | 0.71 | 12.21 | -2.94 |
| 53. | 2023/07/31 | 3.46% | 4.85% | 3.54 | 13.15 | 6.82 |
| 54. | 2023/08/31 | -6.46% | -1.77% | 64.74 | 8.95 | 24.07 |
| 55. | 2023/09/30 | -12.63% | -4.87% | 201.94 | 37.11 | 86.57 |
| 56. | 2023/10/31 | 0.20% | -2.20% | 1.92 | 11.68 | 4.73 |
| 57. | 2023/11/30 | 21.77% | 8.92% | 407.54 | 59.26 | 155.40 |
| 58. | 2023/12/31 | 6.43% | 4.42% | 23.53 | 10.26 | 15.54 |
| 59. | 2024/01/31 | -2.35% | 1.59% | 15.43 | 0.14 | -1.45 |
| 60. | 2024/02/29 | 10.74% | 5.17% | 83.88 | 15.62 | 36.20 |
| 61. | 2024/03/31 | 15.88% | 3.10% | 204.51 | 3.54 | 26.91 |
| 62. | 2024/04/30 | -9.16% | -4.16% | 115.39 | 28.96 | 57.81 |
| 63. | 2024/05/31 | -2.31% | 4.80% | 15.16 | 12.83 | -13.95 |
| 64. | 2024/06/30 | -5.20% | 3.47% | 46.01 | 5.05 | -15.24 |
| 65. | 2024/07/31 | 1.60% | 1.13% | 0.00 | 0.01 | 0.00 |
| 66. | 2024/08/31 | 2.88% | 2.28% | 1.68 | 1.13 | 1.38 |
| 67. | 2024/09/30 | 1.46% | 2.02% | 0.02 | 0.64 | -0.10 |
| 68. | 2024/10/31 | -3.73% | -0.99% | 28.27 | 4.88 | 11.75 |
| 69. | 2024/11/30 | -11.07% | 5.73% | 160.12 | 20.34 | -57.07 |
| 70. | 2024/12/31 | 2.17% | -2.50% | 0.34 | 13.83 | -2.18 |
| 71. | 2025/01/31 | 2.02% | 2.70% | 0.19 | 2.20 | 0.65 |
| トータル (Σ): | 6,827.25 | 1,741.16 | 1,872.85 | |||
すべて表示
分散TGT = Σ(RTGT,t–RTGT)2 ÷ (71 – 1)
= 6,827.25 ÷ (71 – 1)
= 97.53
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,741.16 ÷ (71 – 1)
= 24.87
共 分散TGT, S&P 500 = Σ(RTGT,t–RTGT)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,872.85 ÷ (71 – 1)
= 26.75
システマティックなリスク推定 (β)
| 分散TGT | 97.53 |
| 分散S&P 500 | 24.87 |
| 共 分散TGT, S&P 500 | 26.75 |
| 相関係数TGT, S&P 5001 | 0.54 |
| βTGT2 | 1.08 |
| αTGT3 | 0.27% |
計算
1 相関係数TGT, S&P 500
= 共 分散TGT, S&P 500 ÷ (標準偏差TGT × 標準偏差S&P 500)
= 26.75 ÷ (9.88% × 4.99%)
= 0.54
2 βTGT
= 共 分散TGT, S&P 500 ÷ 分散S&P 500
= 26.75 ÷ 24.87
= 1.08
3 αTGT
= 平均TGT – βTGT × 平均S&P 500
= 1.58% – 1.08 × 1.22%
= 0.27%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.60% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.89% |
| 普通株式 Target システマティックリスク | βTGT | 1.08 |
| 対象普通株式の期待収益率3 | E(RTGT) | 15.67% |
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(RTGT) = RF + βTGT [E(RM) – RF]
= 4.60% + 1.08 [14.89% – 4.60%]
= 15.67%