Stock Analysis on Net

Vertex Pharmaceuticals Inc. (NASDAQ:VRTX)

資本資産価格モデル (CAPM) 

Microsoft Excel

収益率

Vertex Pharmaceuticals Inc.、月間収益率

Microsoft Excel
Vertex Pharmaceuticals Inc. (VRTX) Standard & Poor’s 500 (S&P 500)
t 日付 価格VRTX,t1 配当VRTX,t1 RVRTX,t2 価格S&P 500,t RS&P 500,t3
2019/01/31 $190.91 2,704.10
1. 2019/02/28 $188.75 -1.13% 2,784.49 2.97%
2. 2019/03/31 $183.95 -2.54% 2,834.40 1.79%
3. 2019/04/30 $168.98 -8.14% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023/11/30 $354.81 -2.02% 4,567.80 8.92%
59. 2023/12/31 $406.89 14.68% 4,769.83 4.42%
平均 (R): 1.58% 1.11%
標準偏差: 7.63% 5.31%
Vertex Pharmaceuticals Inc. (VRTX) Standard & Poor’s 500 (S&P 500)
t 日付 価格VRTX,t1 配当VRTX,t1 RVRTX,t2 価格S&P 500,t RS&P 500,t3
2019/01/31 $190.91 2,704.10
1. 2019/02/28 $188.75 -1.13% 2,784.49 2.97%
2. 2019/03/31 $183.95 -2.54% 2,834.40 1.79%
3. 2019/04/30 $168.98 -8.14% 2,945.83 3.93%
4. 2019/05/31 $166.18 -1.66% 2,752.06 -6.58%
5. 2019/06/30 $183.38 10.35% 2,941.76 6.89%
6. 2019/07/31 $166.62 -9.14% 2,980.38 1.31%
7. 2019/08/31 $180.02 8.04% 2,926.46 -1.81%
8. 2019/09/30 $169.42 -5.89% 2,976.74 1.72%
9. 2019/10/31 $195.48 15.38% 3,037.56 2.04%
10. 2019/11/30 $221.75 13.44% 3,140.98 3.40%
11. 2019/12/31 $218.95 -1.26% 3,230.78 2.86%
12. 2020/01/31 $227.05 3.70% 3,225.52 -0.16%
13. 2020/02/29 $224.03 -1.33% 2,954.22 -8.41%
14. 2020/03/31 $237.95 6.21% 2,584.59 -12.51%
15. 2020/04/30 $251.20 5.57% 2,912.43 12.68%
16. 2020/05/31 $287.96 14.63% 3,044.31 4.53%
17. 2020/06/30 $290.31 0.82% 3,100.29 1.84%
18. 2020/07/31 $272.00 -6.31% 3,271.12 5.51%
19. 2020/08/31 $279.12 2.62% 3,500.31 7.01%
20. 2020/09/30 $272.12 -2.51% 3,363.00 -3.92%
21. 2020/10/31 $208.36 -23.43% 3,269.96 -2.77%
22. 2020/11/30 $227.75 9.31% 3,621.63 10.75%
23. 2020/12/31 $236.34 3.77% 3,756.07 3.71%
24. 2021/01/31 $229.08 -3.07% 3,714.24 -1.11%
25. 2021/02/28 $212.55 -7.22% 3,811.15 2.61%
26. 2021/03/31 $214.89 1.10% 3,972.89 4.24%
27. 2021/04/30 $218.20 1.54% 4,181.17 5.24%
28. 2021/05/31 $208.63 -4.39% 4,204.11 0.55%
29. 2021/06/30 $201.63 -3.36% 4,297.50 2.22%
30. 2021/07/31 $201.58 -0.02% 4,395.26 2.27%
31. 2021/08/31 $200.29 -0.64% 4,522.68 2.90%
32. 2021/09/30 $181.39 -9.44% 4,307.54 -4.76%
33. 2021/10/31 $184.93 1.95% 4,605.38 6.91%
34. 2021/11/30 $186.94 1.09% 4,567.00 -0.83%
35. 2021/12/31 $219.60 17.47% 4,766.18 4.36%
36. 2022/01/31 $243.05 10.68% 4,515.55 -5.26%
37. 2022/02/28 $230.02 -5.36% 4,373.94 -3.14%
38. 2022/03/31 $260.97 13.46% 4,530.41 3.58%
39. 2022/04/30 $273.22 4.69% 4,131.93 -8.80%
40. 2022/05/31 $268.65 -1.67% 4,132.15 0.01%
41. 2022/06/30 $281.79 4.89% 3,785.38 -8.39%
42. 2022/07/31 $280.41 -0.49% 4,130.29 9.11%
43. 2022/08/31 $281.76 0.48% 3,955.00 -4.24%
44. 2022/09/30 $289.54 2.76% 3,585.62 -9.34%
45. 2022/10/31 $312.00 7.76% 3,871.98 7.99%
46. 2022/11/30 $316.40 1.41% 4,080.11 5.38%
47. 2022/12/31 $288.78 -8.73% 3,839.50 -5.90%
48. 2023/01/31 $323.10 11.88% 4,076.60 6.18%
49. 2023/02/28 $290.29 -10.15% 3,970.15 -2.61%
50. 2023/03/31 $315.07 8.54% 4,109.31 3.51%
51. 2023/04/30 $340.73 8.14% 4,169.48 1.46%
52. 2023/05/31 $323.57 -5.04% 4,179.83 0.25%
53. 2023/06/30 $351.91 8.76% 4,376.86 4.71%
54. 2023/07/31 $352.34 0.12% 4,588.96 4.85%
55. 2023/08/31 $348.34 -1.14% 4,507.66 -1.77%
56. 2023/09/30 $347.74 -0.17% 4,288.05 -4.87%
57. 2023/10/31 $362.11 4.13% 4,193.80 -2.20%
58. 2023/11/30 $354.81 -2.02% 4,567.80 8.92%
59. 2023/12/31 $406.89 14.68% 4,769.83 4.42%
平均 (R): 1.58% 1.11%
標準偏差: 7.63% 5.31%

すべて表示

1 普通株式1株当たり米ドルで、分割および株式配当を調整したデータ。

2 期間 t中のVRTX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プロキシ)の収益率。


分散と共分散

Vertex Pharmaceuticals Inc.、分散の計算、および戻り値の共分散

Microsoft Excel
t 日付 RVRTX,t RS&P 500,t (RVRTX,tRVRTX)2 (RS&P 500,tRS&P 500)2 (RVRTX,tRVRTX)×(RS&P 500,tRS&P 500)
1. 2019/02/28 -1.13% 2.97% 7.34 3.49 -5.06
2. 2019/03/31 -2.54% 1.79% 16.99 0.47 -2.83
3. 2019/04/30 -8.14% 3.93% 94.42 7.98 -27.45
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023/11/30 -2.02% 8.92% 12.92 61.03 -28.08
59. 2023/12/31 14.68% 4.42% 171.60 11.00 43.45
トータル (Σ): 3,378.96 1,634.30 577.31
t 日付 RVRTX,t RS&P 500,t (RVRTX,tRVRTX)2 (RS&P 500,tRS&P 500)2 (RVRTX,tRVRTX)×(RS&P 500,tRS&P 500)
1. 2019/02/28 -1.13% 2.97% 7.34 3.49 -5.06
2. 2019/03/31 -2.54% 1.79% 16.99 0.47 -2.83
3. 2019/04/30 -8.14% 3.93% 94.42 7.98 -27.45
4. 2019/05/31 -1.66% -6.58% 10.47 59.04 24.86
5. 2019/06/30 10.35% 6.89% 76.94 33.49 50.76
6. 2019/07/31 -9.14% 1.31% 114.88 0.04 -2.22
7. 2019/08/31 8.04% -1.81% 41.78 8.50 -18.84
8. 2019/09/30 -5.89% 1.72% 55.75 0.37 -4.57
9. 2019/10/31 15.38% 2.04% 190.53 0.88 12.94
10. 2019/11/30 13.44% 3.40% 140.66 5.28 27.26
11. 2019/12/31 -1.26% 2.86% 8.07 3.07 -4.98
12. 2020/01/31 3.70% -0.16% 4.50 1.61 -2.69
13. 2020/02/29 -1.33% -8.41% 8.46 90.57 27.68
14. 2020/03/31 6.21% -12.51% 21.48 185.44 -63.12
15. 2020/04/30 5.57% 12.68% 15.92 134.06 46.20
16. 2020/05/31 14.63% 4.53% 170.43 11.71 44.68
17. 2020/06/30 0.82% 1.84% 0.58 0.54 -0.56
18. 2020/07/31 -6.31% 5.51% 62.18 19.40 -34.73
19. 2020/08/31 2.62% 7.01% 1.08 34.82 6.13
20. 2020/09/30 -2.51% -3.92% 16.70 25.29 20.55
21. 2020/10/31 -23.43% -2.77% 625.48 15.00 96.85
22. 2020/11/30 9.31% 10.75% 59.71 93.10 74.56
23. 2020/12/31 3.77% 3.71% 4.81 6.79 5.72
24. 2021/01/31 -3.07% -1.11% 21.63 4.93 10.32
25. 2021/02/28 -7.22% 2.61% 77.34 2.26 -13.22
26. 2021/03/31 1.10% 4.24% 0.23 9.85 -1.50
27. 2021/04/30 1.54% 5.24% 0.00 17.11 -0.16
28. 2021/05/31 -4.39% 0.55% 35.58 0.31 3.32
29. 2021/06/30 -3.36% 2.22% 24.34 1.24 -5.50
30. 2021/07/31 -0.02% 2.27% 2.57 1.37 -1.87
31. 2021/08/31 -0.64% 2.90% 4.92 3.22 -3.98
32. 2021/09/30 -9.44% -4.76% 121.33 34.37 64.58
33. 2021/10/31 1.95% 6.91% 0.14 33.74 2.17
34. 2021/11/30 1.09% -0.83% 0.24 3.76 0.95
35. 2021/12/31 17.47% 4.36% 252.56 10.60 51.74
36. 2022/01/31 10.68% -5.26% 82.81 40.51 -57.91
37. 2022/02/28 -5.36% -3.14% 48.16 17.99 29.44
38. 2022/03/31 13.46% 3.58% 141.06 6.11 29.35
39. 2022/04/30 4.69% -8.80% 9.71 98.04 -30.85
40. 2022/05/31 -1.67% 0.01% 10.57 1.21 3.58
41. 2022/06/30 4.89% -8.39% 10.97 90.21 -31.46
42. 2022/07/31 -0.49% 9.11% 4.28 64.09 -16.56
43. 2022/08/31 0.48% -4.24% 1.20 28.62 5.87
44. 2022/09/30 2.76% -9.34% 1.40 109.11 -12.35
45. 2022/10/31 7.76% 7.99% 38.17 47.34 42.51
46. 2022/11/30 1.41% 5.38% 0.03 18.23 -0.72
47. 2022/12/31 -8.73% -5.90% 106.26 49.04 72.19
48. 2023/01/31 11.88% 6.18% 106.21 25.70 52.24
49. 2023/02/28 -10.15% -2.61% 137.67 13.82 43.61
50. 2023/03/31 8.54% 3.51% 48.41 5.76 16.69
51. 2023/04/30 8.14% 1.46% 43.11 0.13 2.35
52. 2023/05/31 -5.04% 0.25% 43.76 0.74 5.67
53. 2023/06/30 8.76% 4.71% 51.55 13.02 25.90
54. 2023/07/31 0.12% 4.85% 2.12 13.99 -5.45
55. 2023/08/31 -1.14% -1.77% 7.37 8.28 7.81
56. 2023/09/30 -0.17% -4.87% 3.07 35.73 10.47
57. 2023/10/31 4.13% -2.20% 6.52 10.92 -8.44
58. 2023/11/30 -2.02% 8.92% 12.92 61.03 -28.08
59. 2023/12/31 14.68% 4.42% 171.60 11.00 43.45
トータル (Σ): 3,378.96 1,634.30 577.31

すべて表示

分散VRTX = Σ(RVRTX,tRVRTX)2 ÷ (59 – 1)
= 3,378.96 ÷ (59 – 1)
= 58.26

分散S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18

共 分散VRTX, S&P 500 = Σ(RVRTX,tRVRTX)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 577.31 ÷ (59 – 1)
= 9.95


システマティックリスク推定 (β)

Microsoft Excel
分散VRTX 58.26
分散S&P 500 28.18
共 分散VRTX, S&P 500 9.95
相関係数VRTX, S&P 5001 0.25
βVRTX2 0.35
αVRTX3 1.19%

計算

1 相関係数VRTX, S&P 500
= 共 分散VRTX, S&P 500 ÷ (標準偏差VRTX × 標準偏差S&P 500)
= 9.95 ÷ (7.63% × 5.31%)
= 0.25

2 βVRTX
= 共 分散VRTX, S&P 500 ÷ 分散S&P 500
= 9.95 ÷ 28.18
= 0.35

3 αVRTX
= 平均VRTX – βVRTX × 平均S&P 500
= 1.58%0.35 × 1.11%
= 1.19%


期待収益率

Microsoft Excel
仮定
LT財務省総合の収益率1 RF 4.43%
市場ポートフォリオの期待収益率2 E(RM) 13.60%
普通株式 Vertex システマティックリスク βVRTX 0.35
 
Vertex普通株式の期待収益率3 E(RVRTX) 7.67%

1 10年以内に期限が到来またはコール可能でないすべての固定クーポン米国債の入札利回りの非加重平均(リスクフリー収益率プロキシ)。

2 詳細を見る »

3 E(RVRTX) = RF + βVRTX [E(RM) – RF]
= 4.43% + 0.35 [13.60%4.43%]
= 7.67%