資本資産価格モデル (CAPM)
資本資産価格モデル(CAPM)は、 Elevance Healthの普通株式のようなリスク資産に対する期待または必要な収益率を示す。
収益率
Elevance Health Inc.、月次収益率
| 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
| t | 日付 | RELV,t | RS&P 500,t | (RELV,t–RELV)2 | (RS&P 500,t–RS&P 500)2 | (RELV,t–RELV)×(RS&P 500,t–RS&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,t–RELV)2 | (RS&P 500,t–RS&P 500)2 | (RELV,t–RELV)×(RS&P 500,t–RS&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,t–RELV)2 ÷ (59 – 1)
= 3,906.84 ÷ (59 – 1)
= 67.36
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16
共 分散ELV, S&P 500 = Σ(RELV,t–RELV)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,493.58 ÷ (59 – 1)
= 25.75
体系的なリスク推定 (β)
| 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
| 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%