資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Thermo Fisher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
Thermo Fisher Scientific Inc.、月間収益率
| Thermo Fisher Scientific Inc. (TMO) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格TMO,t1 | 配当TMO,t1 | RTMO,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2021/01/31 | $509.70 | 3,714.24 | ||||
| 1. | 2021/02/28 | $450.08 | -11.70% | 3,811.15 | 2.61% | |
| 2. | 2021/03/31 | $456.38 | $0.26 | 1.46% | 3,972.89 | 4.24% |
| 3. | 2021/04/30 | $470.23 | 3.03% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025/11/30 | $590.83 | 4.13% | 6,849.09 | 0.13% | |
| 59. | 2025/12/31 | $579.45 | $0.43 | -1.85% | 6,845.50 | -0.05% |
| 平均 (R): | 0.51% | 1.14% | ||||
| 標準偏差： | 7.41% | 4.37% | ||||
| Thermo Fisher Scientific Inc. (TMO) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格TMO,t1 | 配当TMO,t1 | RTMO,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2021/01/31 | $509.70 | 3,714.24 | ||||
| 1. | 2021/02/28 | $450.08 | -11.70% | 3,811.15 | 2.61% | |
| 2. | 2021/03/31 | $456.38 | $0.26 | 1.46% | 3,972.89 | 4.24% |
| 3. | 2021/04/30 | $470.23 | 3.03% | 4,181.17 | 5.24% | |
| 4. | 2021/05/31 | $469.50 | -0.16% | 4,204.11 | 0.55% | |
| 5. | 2021/06/30 | $504.47 | $0.26 | 7.50% | 4,297.50 | 2.22% |
| 6. | 2021/07/31 | $540.01 | 7.05% | 4,395.26 | 2.27% | |
| 7. | 2021/08/31 | $554.95 | 2.77% | 4,522.68 | 2.90% | |
| 8. | 2021/09/30 | $571.33 | $0.26 | 3.00% | 4,307.54 | -4.76% |
| 9. | 2021/10/31 | $633.07 | 10.81% | 4,605.38 | 6.91% | |
| 10. | 2021/11/30 | $632.83 | -0.04% | 4,567.00 | -0.83% | |
| 11. | 2021/12/31 | $667.24 | $0.26 | 5.48% | 4,766.18 | 4.36% |
| 12. | 2022/01/31 | $581.30 | -12.88% | 4,515.55 | -5.26% | |
| 13. | 2022/02/28 | $544.00 | -6.42% | 4,373.94 | -3.14% | |
| 14. | 2022/03/31 | $590.65 | $0.30 | 8.63% | 4,530.41 | 3.58% |
| 15. | 2022/04/30 | $552.92 | -6.39% | 4,131.93 | -8.80% | |
| 16. | 2022/05/31 | $567.57 | 2.65% | 4,132.15 | 0.01% | |
| 17. | 2022/06/30 | $543.28 | $0.30 | -4.23% | 3,785.38 | -8.39% |
| 18. | 2022/07/31 | $598.41 | 10.15% | 4,130.29 | 9.11% | |
| 19. | 2022/08/31 | $545.32 | -8.87% | 3,955.00 | -4.24% | |
| 20. | 2022/09/30 | $507.19 | $0.30 | -6.94% | 3,585.62 | -9.34% |
| 21. | 2022/10/31 | $513.97 | 1.34% | 3,871.98 | 7.99% | |
| 22. | 2022/11/30 | $560.22 | 9.00% | 4,080.11 | 5.38% | |
| 23. | 2022/12/31 | $550.69 | $0.30 | -1.65% | 3,839.50 | -5.90% |
| 24. | 2023/01/31 | $570.33 | 3.57% | 4,076.60 | 6.18% | |
| 25. | 2023/02/28 | $541.76 | -5.01% | 3,970.15 | -2.61% | |
| 26. | 2023/03/31 | $576.37 | $0.35 | 6.45% | 4,109.31 | 3.51% |
| 27. | 2023/04/30 | $554.90 | -3.73% | 4,169.48 | 1.46% | |
| 28. | 2023/05/31 | $508.46 | -8.37% | 4,179.83 | 0.25% | |
| 29. | 2023/06/30 | $521.75 | $0.35 | 2.68% | 4,376.86 | 4.71% |
| 30. | 2023/07/31 | $548.66 | 5.16% | 4,588.96 | 4.85% | |
| 31. | 2023/08/31 | $557.10 | 1.54% | 4,507.66 | -1.77% | |
| 32. | 2023/09/30 | $506.17 | $0.35 | -9.08% | 4,288.05 | -4.87% |
| 33. | 2023/10/31 | $444.77 | -12.13% | 4,193.80 | -2.20% | |
| 34. | 2023/11/30 | $495.76 | 11.46% | 4,567.80 | 8.92% | |
| 35. | 2023/12/31 | $530.79 | $0.35 | 7.14% | 4,769.83 | 4.42% |
| 36. | 2024/01/31 | $538.98 | 1.54% | 4,845.65 | 1.59% | |
| 37. | 2024/02/29 | $570.18 | 5.79% | 5,096.27 | 5.17% | |
| 38. | 2024/03/31 | $581.21 | $0.39 | 2.00% | 5,254.35 | 3.10% |
| 39. | 2024/04/30 | $568.72 | -2.15% | 5,035.69 | -4.16% | |
| 40. | 2024/05/31 | $567.98 | -0.13% | 5,277.51 | 4.80% | |
| 41. | 2024/06/30 | $553.00 | $0.39 | -2.57% | 5,460.48 | 3.47% |
| 42. | 2024/07/31 | $613.34 | 10.91% | 5,522.30 | 1.13% | |
| 43. | 2024/08/31 | $615.07 | 0.28% | 5,648.40 | 2.28% | |
| 44. | 2024/09/30 | $618.57 | $0.39 | 0.63% | 5,762.48 | 2.02% |
| 45. | 2024/10/31 | $546.32 | -11.68% | 5,705.45 | -0.99% | |
| 46. | 2024/11/30 | $529.63 | -3.05% | 6,032.38 | 5.73% | |
| 47. | 2024/12/31 | $520.23 | $0.39 | -1.70% | 5,881.63 | -2.50% |
| 48. | 2025/01/31 | $597.75 | 14.90% | 6,040.53 | 2.70% | |
| 49. | 2025/02/28 | $528.96 | -11.51% | 5,954.50 | -1.42% | |
| 50. | 2025/03/31 | $497.60 | $0.43 | -5.85% | 5,611.85 | -5.75% |
| 51. | 2025/04/30 | $429.00 | -13.79% | 5,569.06 | -0.76% | |
| 52. | 2025/05/31 | $402.82 | -6.10% | 5,911.69 | 6.15% | |
| 53. | 2025/06/30 | $405.46 | $0.43 | 0.76% | 6,204.95 | 4.96% |
| 54. | 2025/07/31 | $467.68 | 15.35% | 6,339.39 | 2.17% | |
| 55. | 2025/08/31 | $492.72 | 5.35% | 6,460.26 | 1.91% | |
| 56. | 2025/09/30 | $485.02 | $0.43 | -1.48% | 6,688.46 | 3.53% |
| 57. | 2025/10/31 | $567.39 | 16.98% | 6,840.20 | 2.27% | |
| 58. | 2025/11/30 | $590.83 | 4.13% | 6,849.09 | 0.13% | |
| 59. | 2025/12/31 | $579.45 | $0.43 | -1.85% | 6,845.50 | -0.05% |
| 平均 (R): | 0.51% | 1.14% | ||||
| 標準偏差： | 7.41% | 4.37% | ||||
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TMO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
Thermo Fisher Scientific Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RTMO,t | RS&P 500,t | (RTMO,t–RTMO)2 | (RS&P 500,t–RS&P 500)2 | (RTMO,t–RTMO)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021/02/28 | -11.70% | 2.61% | 149.00 | 2.17 | -17.98 |
| 2. | 2021/03/31 | 1.46% | 4.24% | 0.90 | 9.66 | 2.95 |
| 3. | 2021/04/30 | 3.03% | 5.24% | 6.38 | 16.86 | 10.37 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025/11/30 | 4.13% | 0.13% | 13.12 | 1.01 | -3.64 |
| 59. | 2025/12/31 | -1.85% | -0.05% | 5.58 | 1.41 | 2.81 |
| トータル (Σ): | 3,187.36 | 1,108.23 | 1,041.35 | |||
| t | 日付 | RTMO,t | RS&P 500,t | (RTMO,t–RTMO)2 | (RS&P 500,t–RS&P 500)2 | (RTMO,t–RTMO)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021/02/28 | -11.70% | 2.61% | 149.00 | 2.17 | -17.98 |
| 2. | 2021/03/31 | 1.46% | 4.24% | 0.90 | 9.66 | 2.95 |
| 3. | 2021/04/30 | 3.03% | 5.24% | 6.38 | 16.86 | 10.37 |
| 4. | 2021/05/31 | -0.16% | 0.55% | 0.44 | 0.35 | 0.39 |
| 5. | 2021/06/30 | 7.50% | 2.22% | 48.92 | 1.18 | 7.59 |
| 6. | 2021/07/31 | 7.05% | 2.27% | 42.71 | 1.30 | 7.44 |
| 7. | 2021/08/31 | 2.77% | 2.90% | 5.09 | 3.11 | 3.98 |
| 8. | 2021/09/30 | 3.00% | -4.76% | 6.19 | 34.73 | -14.67 |
| 9. | 2021/10/31 | 10.81% | 6.91% | 106.02 | 33.39 | 59.50 |
| 10. | 2021/11/30 | -0.04% | -0.83% | 0.30 | 3.88 | 1.08 |
| 11. | 2021/12/31 | 5.48% | 4.36% | 24.69 | 10.40 | 16.03 |
| 12. | 2022/01/31 | -12.88% | -5.26% | 179.28 | 40.89 | 85.62 |
| 13. | 2022/02/28 | -6.42% | -3.14% | 47.97 | 18.25 | 29.59 |
| 14. | 2022/03/31 | 8.63% | 3.58% | 65.95 | 5.96 | 19.82 |
| 15. | 2022/04/30 | -6.39% | -8.80% | 47.57 | 98.64 | 68.50 |
| 16. | 2022/05/31 | 2.65% | 0.01% | 4.58 | 1.28 | -2.42 |
| 17. | 2022/06/30 | -4.23% | -8.39% | 22.43 | 90.79 | 45.13 |
| 18. | 2022/07/31 | 10.15% | 9.11% | 92.89 | 63.61 | 76.87 |
| 19. | 2022/08/31 | -8.87% | -4.24% | 88.01 | 28.95 | 50.47 |
| 20. | 2022/09/30 | -6.94% | -9.34% | 55.45 | 109.74 | 78.01 |
| 21. | 2022/10/31 | 1.34% | 7.99% | 0.68 | 46.93 | 5.67 |
| 22. | 2022/11/30 | 9.00% | 5.38% | 72.06 | 17.97 | 35.99 |
| 23. | 2022/12/31 | -1.65% | -5.90% | 4.65 | 49.47 | 15.17 |
| 24. | 2023/01/31 | 3.57% | 6.18% | 9.34 | 25.39 | 15.40 |
| 25. | 2023/02/28 | -5.01% | -2.61% | 30.46 | 14.04 | 20.68 |
| 26. | 2023/03/31 | 6.45% | 3.51% | 35.33 | 5.61 | 14.08 |
| 27. | 2023/04/30 | -3.73% | 1.46% | 17.93 | 0.11 | -1.39 |
| 28. | 2023/05/31 | -8.37% | 0.25% | 78.83 | 0.79 | 7.88 |
| 29. | 2023/06/30 | 2.68% | 4.71% | 4.72 | 12.80 | 7.77 |
| 30. | 2023/07/31 | 5.16% | 4.85% | 21.60 | 13.76 | 17.24 |
| 31. | 2023/08/31 | 1.54% | -1.77% | 1.06 | 8.46 | -2.99 |
| 32. | 2023/09/30 | -9.08% | -4.87% | 91.94 | 36.10 | 57.61 |
| 33. | 2023/10/31 | -12.13% | -2.20% | 159.77 | 11.12 | 42.14 |
| 34. | 2023/11/30 | 11.46% | 8.92% | 120.01 | 60.56 | 85.25 |
| 35. | 2023/12/31 | 7.14% | 4.42% | 43.92 | 10.80 | 21.78 |
| 36. | 2024/01/31 | 1.54% | 1.59% | 1.07 | 0.21 | 0.47 |
| 37. | 2024/02/29 | 5.79% | 5.17% | 27.87 | 16.29 | 21.31 |
| 38. | 2024/03/31 | 2.00% | 3.10% | 2.23 | 3.86 | 2.94 |
| 39. | 2024/04/30 | -2.15% | -4.16% | 7.07 | 28.06 | 14.08 |
| 40. | 2024/05/31 | -0.13% | 4.80% | 0.41 | 13.44 | -2.34 |
| 41. | 2024/06/30 | -2.57% | 3.47% | 9.48 | 5.43 | -7.17 |
| 42. | 2024/07/31 | 10.91% | 1.13% | 108.20 | 0.00 | -0.04 |
| 43. | 2024/08/31 | 0.28% | 2.28% | 0.05 | 1.32 | -0.26 |
| 44. | 2024/09/30 | 0.63% | 2.02% | 0.02 | 0.78 | 0.11 |
| 45. | 2024/10/31 | -11.68% | -0.99% | 148.59 | 4.52 | 25.91 |
| 46. | 2024/11/30 | -3.05% | 5.73% | 12.71 | 21.10 | -16.38 |
| 47. | 2024/12/31 | -1.70% | -2.50% | 4.89 | 13.21 | 8.04 |
| 48. | 2025/01/31 | 14.90% | 2.70% | 207.12 | 2.45 | 22.53 |
| 49. | 2025/02/28 | -11.51% | -1.42% | 144.42 | 6.56 | 30.77 |
| 50. | 2025/03/31 | -5.85% | -5.75% | 40.41 | 47.48 | 43.80 |
| 51. | 2025/04/30 | -13.79% | -0.76% | 204.37 | 3.60 | 27.14 |
| 52. | 2025/05/31 | -6.10% | 6.15% | 43.72 | 25.16 | -33.17 |
| 53. | 2025/06/30 | 0.76% | 4.96% | 0.06 | 14.63 | 0.97 |
| 54. | 2025/07/31 | 15.35% | 2.17% | 220.11 | 1.06 | 15.29 |
| 55. | 2025/08/31 | 5.35% | 1.91% | 23.47 | 0.59 | 3.73 |
| 56. | 2025/09/30 | -1.48% | 3.53% | 3.94 | 5.74 | -4.76 |
| 57. | 2025/10/31 | 16.98% | 2.27% | 271.37 | 1.28 | 18.66 |
| 58. | 2025/11/30 | 4.13% | 0.13% | 13.12 | 1.01 | -3.64 |
| 59. | 2025/12/31 | -1.85% | -0.05% | 5.58 | 1.41 | 2.81 |
| トータル (Σ): | 3,187.36 | 1,108.23 | 1,041.35 | |||
すべて表示
分散TMO = Σ(RTMO,t–RTMO)2 ÷ (59 – 1)
= 3,187.36 ÷ (59 – 1)
= 54.95
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
共 分散TMO, S&P 500 = Σ(RTMO,t–RTMO)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,041.35 ÷ (59 – 1)
= 17.95
システマティックなリスク推定 (β)
| 分散TMO | 54.95 |
| 分散S&P 500 | 19.11 |
| 共 分散TMO, S&P 500 | 17.95 |
| 相関係数TMO, S&P 5001 | 0.55 |
| βTMO2 | 0.94 |
| αTMO3 | -0.56% |
計算
1 相関係数TMO, S&P 500
= 共 分散TMO, S&P 500 ÷ (標準偏差TMO × 標準偏差S&P 500)
= 17.95 ÷ (7.41% × 4.37%)
= 0.55
2 βTMO
= 共 分散TMO, S&P 500 ÷ 分散S&P 500
= 17.95 ÷ 19.11
= 0.94
3 αTMO
= 平均TMO – βTMO × 平均S&P 500
= 0.51% – 0.94 × 1.14%
= -0.56%
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 Thermo Fisher システマティックリスク | βTMO | 0.94 |
| サーモフィッシャー普通株式の期待収益率3 | E(RTMO) | 16.61% |
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(RTMO) = RF + βTMO [E(RM) – RF]
= 4.94% + 0.94 [17.36% – 4.94%]
= 16.61%