Stock Analysis on Net

Elevance Health Inc. (NYSE:ELV)

資本資産価格モデル (CAPM) 

Microsoft Excel

収益率

Elevance Health Inc.、月次収益率

Microsoft Excel
Elevance Health Inc. (ELV) Standard & Poor’s 500 (S&P 500)
t 日付 価格ELV,t1 配当ELV,t1 RELV,t2 価格S&P 500,t RS&P 500,t3
2018/01/31 $247.85 2,823.81
1. 2018/02/28 $235.38 -5.03% 2,713.83 -3.89%
2. 2018/03/31 $219.70 $0.75 -6.34% 2,640.87 -2.69%
3. 2018/04/30 $235.99 7.41% 2,648.05 0.27%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2022/11/30 $532.92 -2.53% 4,080.11 5.38%
59. 2022/12/31 $512.97 $1.28 -3.50% 3,839.50 -5.90%
平均 (R): 1.66% 0.67%
標準偏差: 8.21% 5.40%
Elevance Health Inc. (ELV) Standard & Poor’s 500 (S&P 500)
t 日付 価格ELV,t1 配当ELV,t1 RELV,t2 価格S&P 500,t RS&P 500,t3
2018/01/31 $247.85 2,823.81
1. 2018/02/28 $235.38 -5.03% 2,713.83 -3.89%
2. 2018/03/31 $219.70 $0.75 -6.34% 2,640.87 -2.69%
3. 2018/04/30 $235.99 7.41% 2,648.05 0.27%
4. 2018/05/31 $221.42 -6.17% 2,705.27 2.16%
5. 2018/06/30 $238.03 $0.75 7.84% 2,718.37 0.48%
6. 2018/07/31 $253.00 6.29% 2,816.29 3.60%
7. 2018/08/31 $264.73 4.64% 2,901.52 3.03%
8. 2018/09/30 $274.05 $0.75 3.80% 2,913.98 0.43%
9. 2018/10/31 $275.57 0.55% 2,711.74 -6.94%
10. 2018/11/30 $290.07 5.26% 2,760.17 1.79%
11. 2018/12/31 $262.63 $0.75 -9.20% 2,506.85 -9.18%
12. 2019/01/31 $303.00 15.37% 2,704.10 7.87%
13. 2019/02/28 $300.73 -0.75% 2,784.49 2.97%
14. 2019/03/31 $286.98 $0.80 -4.31% 2,834.40 1.79%
15. 2019/04/30 $263.03 -8.35% 2,945.83 3.93%
16. 2019/05/31 $277.98 5.68% 2,752.06 -6.58%
17. 2019/06/30 $282.21 $0.80 1.81% 2,941.76 6.89%
18. 2019/07/31 $294.61 4.39% 2,980.38 1.31%
19. 2019/08/31 $261.52 -11.23% 2,926.46 -1.81%
20. 2019/09/30 $240.10 $0.80 -7.88% 2,976.74 1.72%
21. 2019/10/31 $269.08 12.07% 3,037.56 2.04%
22. 2019/11/30 $288.66 7.28% 3,140.98 3.40%
23. 2019/12/31 $302.03 $0.80 4.91% 3,230.78 2.86%
24. 2020/01/31 $265.28 -12.17% 3,225.52 -0.16%
25. 2020/02/29 $257.09 -3.09% 2,954.22 -8.41%
26. 2020/03/31 $227.04 $0.95 -11.32% 2,584.59 -12.51%
27. 2020/04/30 $280.73 23.65% 2,912.43 12.68%
28. 2020/05/31 $294.11 4.77% 3,044.31 4.53%
29. 2020/06/30 $262.98 $0.95 -10.26% 3,100.29 1.84%
30. 2020/07/31 $273.80 4.11% 3,271.12 5.51%
31. 2020/08/31 $281.52 2.82% 3,500.31 7.01%
32. 2020/09/30 $268.59 $0.95 -4.26% 3,363.00 -3.92%
33. 2020/10/31 $272.80 1.57% 3,269.96 -2.77%
34. 2020/11/30 $311.52 14.19% 3,621.63 10.75%
35. 2020/12/31 $321.09 $0.95 3.38% 3,756.07 3.71%
36. 2021/01/31 $296.98 -7.51% 3,714.24 -1.11%
37. 2021/02/28 $303.19 2.09% 3,811.15 2.61%
38. 2021/03/31 $358.95 $1.13 18.76% 3,972.89 4.24%
39. 2021/04/30 $379.39 5.69% 4,181.17 5.24%
40. 2021/05/31 $398.22 4.96% 4,204.11 0.55%
41. 2021/06/30 $381.80 $1.13 -3.84% 4,297.50 2.22%
42. 2021/07/31 $384.01 0.58% 4,395.26 2.27%
43. 2021/08/31 $375.13 -2.31% 4,522.68 2.90%
44. 2021/09/30 $372.80 $1.13 -0.32% 4,307.54 -4.76%
45. 2021/10/31 $435.13 16.72% 4,605.38 6.91%
46. 2021/11/30 $406.23 -6.64% 4,567.00 -0.83%
47. 2021/12/31 $463.54 $1.13 14.39% 4,766.18 4.36%
48. 2022/01/31 $440.99 -4.86% 4,515.55 -5.26%
49. 2022/02/28 $451.85 2.46% 4,373.94 -3.14%
50. 2022/03/31 $491.22 $1.28 9.00% 4,530.41 3.58%
51. 2022/04/30 $501.93 2.18% 4,131.93 -8.80%
52. 2022/05/31 $509.61 1.53% 4,132.15 0.01%
53. 2022/06/30 $482.58 $1.28 -5.05% 3,785.38 -8.39%
54. 2022/07/31 $477.10 -1.14% 4,130.29 9.11%
55. 2022/08/31 $485.11 1.68% 3,955.00 -4.24%
56. 2022/09/30 $454.24 $1.28 -6.10% 3,585.62 -9.34%
57. 2022/10/31 $546.77 20.37% 3,871.98 7.99%
58. 2022/11/30 $532.92 -2.53% 4,080.11 5.38%
59. 2022/12/31 $512.97 $1.28 -3.50% 3,839.50 -5.90%
平均 (R): 1.66% 0.67%
標準偏差: 8.21% 5.40%

すべて表示

1 普通株式1株当たり米ドルのデータ(分割および株式配当調整後)

2 期間 tにおけるELV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

Elevance Health Inc.、リターンの差異と共分散の計算

Microsoft Excel
t 日付 RELV,t RS&P 500,t (RELV,tRELV)2 (RS&P 500,tRS&P 500)2 (RELV,tRELV)×(RS&P 500,tRS&P 500)
1. 2018/02/28 -5.03% -3.89% 44.80 20.81 30.53
2. 2018/03/31 -6.34% -2.69% 64.08 11.26 26.86
3. 2018/04/30 7.41% 0.27% 33.10 0.16 -2.27
. . . . . . .
. . . . . . .
. . . . . . .
58. 2022/11/30 -2.53% 5.38% 17.60 22.17 -19.75
59. 2022/12/31 -3.50% -5.90% 26.68 43.08 33.90
トータル (Σ): 3,906.84 1,691.48 1,493.58
t 日付 RELV,t RS&P 500,t (RELV,tRELV)2 (RS&P 500,tRS&P 500)2 (RELV,tRELV)×(RS&P 500,tRS&P 500)
1. 2018/02/28 -5.03% -3.89% 44.80 20.81 30.53
2. 2018/03/31 -6.34% -2.69% 64.08 11.26 26.86
3. 2018/04/30 7.41% 0.27% 33.10 0.16 -2.27
4. 2018/05/31 -6.17% 2.16% 61.40 2.23 -11.71
5. 2018/06/30 7.84% 0.48% 38.17 0.03 -1.13
6. 2018/07/31 6.29% 3.60% 21.41 8.62 13.58
7. 2018/08/31 4.64% 3.03% 8.85 5.57 7.02
8. 2018/09/30 3.80% 0.43% 4.59 0.06 -0.51
9. 2018/10/31 0.55% -6.94% 1.23 57.87 8.42
10. 2018/11/30 5.26% 1.79% 12.96 1.25 4.03
11. 2018/12/31 -9.20% -9.18% 118.01 96.91 106.94
12. 2019/01/31 15.37% 7.87% 187.95 51.87 98.73
13. 2019/02/28 -0.75% 2.97% 5.81 5.32 -5.56
14. 2019/03/31 -4.31% 1.79% 35.62 1.27 -6.72
15. 2019/04/30 -8.35% 3.93% 100.15 10.66 -32.67
16. 2019/05/31 5.68% -6.58% 16.18 52.48 -29.14
17. 2019/06/30 1.81% 6.89% 0.02 38.77 0.92
18. 2019/07/31 4.39% 1.31% 7.46 0.42 1.77
19. 2019/08/31 -11.23% -1.81% 166.25 6.13 31.92
20. 2019/09/30 -7.88% 1.72% 91.14 1.11 -10.04
21. 2019/10/31 12.07% 2.04% 108.33 1.89 14.33
22. 2019/11/30 7.28% 3.40% 31.53 7.50 15.37
23. 2019/12/31 4.91% 2.86% 10.54 4.81 7.12
24. 2020/01/31 -12.17% -0.16% 191.25 0.69 11.47
25. 2020/02/29 -3.09% -8.41% 22.55 82.40 43.11
26. 2020/03/31 -11.32% -12.51% 168.50 173.67 171.07
27. 2020/04/30 23.65% 12.68% 483.38 144.43 264.22
28. 2020/05/31 4.77% 4.53% 9.64 14.91 11.99
29. 2020/06/30 -10.26% 1.84% 142.16 1.37 -13.98
30. 2020/07/31 4.11% 5.51% 6.02 23.46 11.88
31. 2020/08/31 2.82% 7.01% 1.34 40.19 7.34
32. 2020/09/30 -4.26% -3.92% 35.01 21.06 27.16
33. 2020/10/31 1.57% -2.77% 0.01 11.79 0.32
34. 2020/11/30 14.19% 10.75% 157.04 101.77 126.42
35. 2020/12/31 3.38% 3.71% 2.94 9.28 5.22
36. 2021/01/31 -7.51% -1.11% 84.10 3.17 16.33
37. 2021/02/28 2.09% 2.61% 0.18 3.77 0.83
38. 2021/03/31 18.76% 4.24% 292.48 12.80 61.18
39. 2021/04/30 5.69% 5.24% 16.26 20.94 18.45
40. 2021/05/31 4.96% 0.55% 10.90 0.01 -0.39
41. 2021/06/30 -3.84% 2.22% 30.27 2.42 -8.55
42. 2021/07/31 0.58% 2.27% 1.17 2.59 -1.74
43. 2021/08/31 -2.31% 2.90% 15.79 4.98 -8.87
44. 2021/09/30 -0.32% -4.76% 3.93 29.42 10.75
45. 2021/10/31 16.72% 6.91% 226.73 39.03 94.08
46. 2021/11/30 -6.64% -0.83% 68.95 2.25 12.46
47. 2021/12/31 14.39% 4.36% 161.90 13.65 47.01
48. 2022/01/31 -4.86% -5.26% 42.60 35.11 38.67
49. 2022/02/28 2.46% -3.14% 0.64 14.46 -3.05
50. 2022/03/31 9.00% 3.58% 53.80 8.47 21.35
51. 2022/04/30 2.18% -8.80% 0.27 89.54 -4.91
52. 2022/05/31 1.53% 0.01% 0.02 0.44 0.09
53. 2022/06/30 -5.05% -8.39% 45.09 82.06 60.83
54. 2022/07/31 -1.14% 9.11% 7.83 71.32 -23.62
55. 2022/08/31 1.68% -4.24% 0.00 24.11 -0.08
56. 2022/09/30 -6.10% -9.34% 60.24 100.12 77.66
57. 2022/10/31 20.37% 7.99% 350.01 53.58 136.94
58. 2022/11/30 -2.53% 5.38% 17.60 22.17 -19.75
59. 2022/12/31 -3.50% -5.90% 26.68 43.08 33.90
トータル (Σ): 3,906.84 1,691.48 1,493.58

すべて表示

分散ELV = Σ(RELV,tRELV)2 ÷ (59 – 1)
= 3,906.84 ÷ (59 – 1)
= 67.36

分散S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16

共 分散ELV, S&P 500 = Σ(RELV,tRELV)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,493.58 ÷ (59 – 1)
= 25.75


体系的なリスク推定 (β)

Microsoft Excel
分散ELV 67.36
分散S&P 500 29.16
共 分散ELV, S&P 500 25.75
相関係数ELV, S&P 5001 0.58
βELV2 0.88
αELV3 1.07%

計算

1 相関係数ELV, S&P 500
= 共 分散ELV, S&P 500 ÷ (標準偏差ELV × 標準偏差S&P 500)
= 25.75 ÷ (8.21% × 5.40%)
= 0.58

2 βELV
= 共 分散ELV, S&P 500 ÷ 分散S&P 500
= 25.75 ÷ 29.16
= 0.88

3 αELV
= 平均ELV – βELV × 平均S&P 500
= 1.66%0.88 × 0.67%
= 1.07%


期待収益率

Microsoft Excel
仮定
LT財務省コンポジットの収益率1 RF 3.85%
市場ポートフォリオの期待収益率2 E(RM) 13.71%
普通株式の Elevance Health のシステマティックリスク βELV 0.88
 
Elevance Healthの普通株式の期待収益率3 E(RELV) 12.56%

1 10年以内に期限も呼び出もできないすべての未払いの固定クーポン米国債の入札利回りの加重平均(リスクフリーの収益率プロキシ)。

2 詳細を見る »

3 E(RELV) = RF + βELV [E(RM) – RF]
= 3.85% + 0.88 [13.71%3.85%]
= 12.56%