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 |
| 2020/01/31 | $313.19 | 3,225.52 | ||||
| 1. | 2020/02/29 | $290.80 | -7.15% | 2,954.22 | -8.41% | |
| 2. | 2020/03/31 | $283.60 | $0.22 | -2.40% | 2,584.59 | -12.51% |
| 3. | 2020/04/30 | $334.68 | 18.01% | 2,912.43 | 12.68% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024/11/30 | $529.63 | -3.05% | 6,032.38 | 5.73% | |
| 59. | 2024/12/31 | $520.23 | $0.39 | -1.70% | 5,881.63 | -2.50% |
| 平均 (R): | 1.11% | 1.16% | ||||
| 標準偏差： | 6.85% | 5.28% | ||||
| 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 |
| 2020/01/31 | $313.19 | 3,225.52 | ||||
| 1. | 2020/02/29 | $290.80 | -7.15% | 2,954.22 | -8.41% | |
| 2. | 2020/03/31 | $283.60 | $0.22 | -2.40% | 2,584.59 | -12.51% |
| 3. | 2020/04/30 | $334.68 | 18.01% | 2,912.43 | 12.68% | |
| 4. | 2020/05/31 | $349.19 | 4.34% | 3,044.31 | 4.53% | |
| 5. | 2020/06/30 | $362.34 | $0.22 | 3.83% | 3,100.29 | 1.84% |
| 6. | 2020/07/31 | $413.95 | 14.24% | 3,271.12 | 5.51% | |
| 7. | 2020/08/31 | $428.98 | 3.63% | 3,500.31 | 7.01% | |
| 8. | 2020/09/30 | $441.52 | $0.22 | 2.97% | 3,363.00 | -3.92% |
| 9. | 2020/10/31 | $473.12 | 7.16% | 3,269.96 | -2.77% | |
| 10. | 2020/11/30 | $464.98 | -1.72% | 3,621.63 | 10.75% | |
| 11. | 2020/12/31 | $465.78 | $0.22 | 0.22% | 3,756.07 | 3.71% |
| 12. | 2021/01/31 | $509.70 | 9.43% | 3,714.24 | -1.11% | |
| 13. | 2021/02/28 | $450.08 | -11.70% | 3,811.15 | 2.61% | |
| 14. | 2021/03/31 | $456.38 | $0.26 | 1.46% | 3,972.89 | 4.24% |
| 15. | 2021/04/30 | $470.23 | 3.03% | 4,181.17 | 5.24% | |
| 16. | 2021/05/31 | $469.50 | -0.16% | 4,204.11 | 0.55% | |
| 17. | 2021/06/30 | $504.47 | $0.26 | 7.50% | 4,297.50 | 2.22% |
| 18. | 2021/07/31 | $540.01 | 7.05% | 4,395.26 | 2.27% | |
| 19. | 2021/08/31 | $554.95 | 2.77% | 4,522.68 | 2.90% | |
| 20. | 2021/09/30 | $571.33 | $0.26 | 3.00% | 4,307.54 | -4.76% |
| 21. | 2021/10/31 | $633.07 | 10.81% | 4,605.38 | 6.91% | |
| 22. | 2021/11/30 | $632.83 | -0.04% | 4,567.00 | -0.83% | |
| 23. | 2021/12/31 | $667.24 | $0.26 | 5.48% | 4,766.18 | 4.36% |
| 24. | 2022/01/31 | $581.30 | -12.88% | 4,515.55 | -5.26% | |
| 25. | 2022/02/28 | $544.00 | -6.42% | 4,373.94 | -3.14% | |
| 26. | 2022/03/31 | $590.65 | $0.30 | 8.63% | 4,530.41 | 3.58% |
| 27. | 2022/04/30 | $552.92 | -6.39% | 4,131.93 | -8.80% | |
| 28. | 2022/05/31 | $567.57 | 2.65% | 4,132.15 | 0.01% | |
| 29. | 2022/06/30 | $543.28 | $0.30 | -4.23% | 3,785.38 | -8.39% |
| 30. | 2022/07/31 | $598.41 | 10.15% | 4,130.29 | 9.11% | |
| 31. | 2022/08/31 | $545.32 | -8.87% | 3,955.00 | -4.24% | |
| 32. | 2022/09/30 | $507.19 | $0.30 | -6.94% | 3,585.62 | -9.34% |
| 33. | 2022/10/31 | $513.97 | 1.34% | 3,871.98 | 7.99% | |
| 34. | 2022/11/30 | $560.22 | 9.00% | 4,080.11 | 5.38% | |
| 35. | 2022/12/31 | $550.69 | $0.30 | -1.65% | 3,839.50 | -5.90% |
| 36. | 2023/01/31 | $570.33 | 3.57% | 4,076.60 | 6.18% | |
| 37. | 2023/02/28 | $541.76 | -5.01% | 3,970.15 | -2.61% | |
| 38. | 2023/03/31 | $576.37 | $0.35 | 6.45% | 4,109.31 | 3.51% |
| 39. | 2023/04/30 | $554.90 | -3.73% | 4,169.48 | 1.46% | |
| 40. | 2023/05/31 | $508.46 | -8.37% | 4,179.83 | 0.25% | |
| 41. | 2023/06/30 | $521.75 | $0.35 | 2.68% | 4,376.86 | 4.71% |
| 42. | 2023/07/31 | $548.66 | 5.16% | 4,588.96 | 4.85% | |
| 43. | 2023/08/31 | $557.10 | 1.54% | 4,507.66 | -1.77% | |
| 44. | 2023/09/30 | $506.17 | $0.35 | -9.08% | 4,288.05 | -4.87% |
| 45. | 2023/10/31 | $444.77 | -12.13% | 4,193.80 | -2.20% | |
| 46. | 2023/11/30 | $495.76 | 11.46% | 4,567.80 | 8.92% | |
| 47. | 2023/12/31 | $530.79 | $0.35 | 7.14% | 4,769.83 | 4.42% |
| 48. | 2024/01/31 | $538.98 | 1.54% | 4,845.65 | 1.59% | |
| 49. | 2024/02/29 | $570.18 | 5.79% | 5,096.27 | 5.17% | |
| 50. | 2024/03/31 | $581.21 | $0.39 | 2.00% | 5,254.35 | 3.10% |
| 51. | 2024/04/30 | $568.72 | -2.15% | 5,035.69 | -4.16% | |
| 52. | 2024/05/31 | $567.98 | -0.13% | 5,277.51 | 4.80% | |
| 53. | 2024/06/30 | $553.00 | $0.39 | -2.57% | 5,460.48 | 3.47% |
| 54. | 2024/07/31 | $613.34 | 10.91% | 5,522.30 | 1.13% | |
| 55. | 2024/08/31 | $615.07 | 0.28% | 5,648.40 | 2.28% | |
| 56. | 2024/09/30 | $618.57 | $0.39 | 0.63% | 5,762.48 | 2.02% |
| 57. | 2024/10/31 | $546.32 | -11.68% | 5,705.45 | -0.99% | |
| 58. | 2024/11/30 | $529.63 | -3.05% | 6,032.38 | 5.73% | |
| 59. | 2024/12/31 | $520.23 | $0.39 | -1.70% | 5,881.63 | -2.50% |
| 平均 (R): | 1.11% | 1.16% | ||||
| 標準偏差： | 6.85% | 5.28% | ||||
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. | 2020/02/29 | -7.15% | -8.41% | 68.28 | 91.63 | 79.10 |
| 2. | 2020/03/31 | -2.40% | -12.51% | 12.35 | 186.96 | 48.05 |
| 3. | 2020/04/30 | 18.01% | 12.68% | 285.52 | 132.78 | 194.71 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024/11/30 | -3.05% | 5.73% | 17.38 | 20.87 | -19.05 |
| 59. | 2024/12/31 | -1.70% | -2.50% | 7.92 | 13.40 | 10.30 |
| トータル (Σ): | 2,720.47 | 1,618.62 | 1,244.30 | |||
| 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. | 2020/02/29 | -7.15% | -8.41% | 68.28 | 91.63 | 79.10 |
| 2. | 2020/03/31 | -2.40% | -12.51% | 12.35 | 186.96 | 48.05 |
| 3. | 2020/04/30 | 18.01% | 12.68% | 285.52 | 132.78 | 194.71 |
| 4. | 2020/05/31 | 4.34% | 4.53% | 10.38 | 11.34 | 10.85 |
| 5. | 2020/06/30 | 3.83% | 1.84% | 7.37 | 0.46 | 1.84 |
| 6. | 2020/07/31 | 14.24% | 5.51% | 172.39 | 18.91 | 57.10 |
| 7. | 2020/08/31 | 3.63% | 7.01% | 6.34 | 34.17 | 14.71 |
| 8. | 2020/09/30 | 2.97% | -3.92% | 3.46 | 25.85 | -9.46 |
| 9. | 2020/10/31 | 7.16% | -2.77% | 36.52 | 15.43 | -23.74 |
| 10. | 2020/11/30 | -1.72% | 10.75% | 8.03 | 92.03 | -27.19 |
| 11. | 2020/12/31 | 0.22% | 3.71% | 0.80 | 6.51 | -2.28 |
| 12. | 2021/01/31 | 9.43% | -1.11% | 69.15 | 5.18 | -18.92 |
| 13. | 2021/02/28 | -11.70% | 2.61% | 164.12 | 2.10 | -18.55 |
| 14. | 2021/03/31 | 1.46% | 4.24% | 0.12 | 9.50 | 1.06 |
| 15. | 2021/04/30 | 3.03% | 5.24% | 3.69 | 16.66 | 7.84 |
| 16. | 2021/05/31 | -0.16% | 0.55% | 1.61 | 0.38 | 0.78 |
| 17. | 2021/06/30 | 7.50% | 2.22% | 40.83 | 1.12 | 6.77 |
| 18. | 2021/07/31 | 7.05% | 2.27% | 35.18 | 1.24 | 6.60 |
| 19. | 2021/08/31 | 2.77% | 2.90% | 2.73 | 3.02 | 2.87 |
| 20. | 2021/09/30 | 3.00% | -4.76% | 3.55 | 35.02 | -11.15 |
| 21. | 2021/10/31 | 10.81% | 6.91% | 93.94 | 33.10 | 55.76 |
| 22. | 2021/11/30 | -0.04% | -0.83% | 1.33 | 3.98 | 2.30 |
| 23. | 2021/12/31 | 5.48% | 4.36% | 19.05 | 10.24 | 13.97 |
| 24. | 2022/01/31 | -12.88% | -5.26% | 195.83 | 41.21 | 89.84 |
| 25. | 2022/02/28 | -6.42% | -3.14% | 56.71 | 18.47 | 32.36 |
| 26. | 2022/03/31 | 8.63% | 3.58% | 56.50 | 5.84 | 18.16 |
| 27. | 2022/04/30 | -6.39% | -8.80% | 56.28 | 99.14 | 74.69 |
| 28. | 2022/05/31 | 2.65% | 0.01% | 2.36 | 1.34 | -1.78 |
| 29. | 2022/06/30 | -4.23% | -8.39% | 28.52 | 91.26 | 51.02 |
| 30. | 2022/07/31 | 10.15% | 9.11% | 81.61 | 63.21 | 71.82 |
| 31. | 2022/08/31 | -8.87% | -4.24% | 99.71 | 29.22 | 53.98 |
| 32. | 2022/09/30 | -6.94% | -9.34% | 64.82 | 110.27 | 84.54 |
| 33. | 2022/10/31 | 1.34% | 7.99% | 0.05 | 46.58 | 1.52 |
| 34. | 2022/11/30 | 9.00% | 5.38% | 62.17 | 17.76 | 33.23 |
| 35. | 2022/12/31 | -1.65% | -5.90% | 7.63 | 49.82 | 19.49 |
| 36. | 2023/01/31 | 3.57% | 6.18% | 6.02 | 25.14 | 12.30 |
| 37. | 2023/02/28 | -5.01% | -2.61% | 37.49 | 14.23 | 23.10 |
| 38. | 2023/03/31 | 6.45% | 3.51% | 28.51 | 5.49 | 12.51 |
| 39. | 2023/04/30 | -3.73% | 1.46% | 23.42 | 0.09 | -1.47 |
| 40. | 2023/05/31 | -8.37% | 0.25% | 89.93 | 0.83 | 8.66 |
| 41. | 2023/06/30 | 2.68% | 4.71% | 2.46 | 12.62 | 5.57 |
| 42. | 2023/07/31 | 5.16% | 4.85% | 16.35 | 13.58 | 14.90 |
| 43. | 2023/08/31 | 1.54% | -1.77% | 0.18 | 8.60 | -1.24 |
| 44. | 2023/09/30 | -9.08% | -4.87% | 103.90 | 36.40 | 61.50 |
| 45. | 2023/10/31 | -12.13% | -2.20% | 175.41 | 11.28 | 44.49 |
| 46. | 2023/11/30 | 11.46% | 8.92% | 107.13 | 60.17 | 80.29 |
| 47. | 2023/12/31 | 7.14% | 4.42% | 36.27 | 10.64 | 19.64 |
| 48. | 2024/01/31 | 1.54% | 1.59% | 0.18 | 0.18 | 0.18 |
| 49. | 2024/02/29 | 5.79% | 5.17% | 21.85 | 16.09 | 18.75 |
| 50. | 2024/03/31 | 2.00% | 3.10% | 0.79 | 3.77 | 1.73 |
| 51. | 2024/04/30 | -2.15% | -4.16% | 10.65 | 28.33 | 17.37 |
| 52. | 2024/05/31 | -0.13% | 4.80% | 1.55 | 13.26 | -4.53 |
| 53. | 2024/06/30 | -2.57% | 3.47% | 13.56 | 5.32 | -8.49 |
| 54. | 2024/07/31 | 10.91% | 1.13% | 95.99 | 0.00 | -0.29 |
| 55. | 2024/08/31 | 0.28% | 2.28% | 0.69 | 1.26 | -0.93 |
| 56. | 2024/09/30 | 0.63% | 2.02% | 0.23 | 0.74 | -0.41 |
| 57. | 2024/10/31 | -11.68% | -0.99% | 163.69 | 4.63 | 27.52 |
| 58. | 2024/11/30 | -3.05% | 5.73% | 17.38 | 20.87 | -19.05 |
| 59. | 2024/12/31 | -1.70% | -2.50% | 7.92 | 13.40 | 10.30 |
| トータル (Σ): | 2,720.47 | 1,618.62 | 1,244.30 | |||
すべて表示
分散TMO = Σ(RTMO,t–RTMO)2 ÷ (59 – 1)
= 2,720.47 ÷ (59 – 1)
= 46.90
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91
共 分散TMO, S&P 500 = Σ(RTMO,t–RTMO)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,244.30 ÷ (59 – 1)
= 21.45
システマティックなリスク推定 (β)
| 分散TMO | 46.90 |
| 分散S&P 500 | 27.91 |
| 共 分散TMO, S&P 500 | 21.45 |
| 相関係数TMO, S&P 5001 | 0.59 |
| βTMO2 | 0.77 |
| αTMO3 | 0.22% |
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)
= 21.45 ÷ (6.85% × 5.28%)
= 0.59
2 βTMO
= 共 分散TMO, S&P 500 ÷ 分散S&P 500
= 21.45 ÷ 27.91
= 0.77
3 αTMO
= 平均TMO – βTMO × 平均S&P 500
= 1.11% – 0.77 × 1.16%
= 0.22%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.61% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.88% |
| 普通株式 Thermo Fisher システマティックリスク | βTMO | 0.77 |
| サーモフィッシャー普通株式の期待収益率3 | E(RTMO) | 12.51% |
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]
= 4.61% + 0.77 [14.88% – 4.61%]
= 12.51%