資本資産価格モデル (CAPM)
資本資産価格モデル(CAPM)は、 Elevance Healthの普通株式などのリスク資産の期待収益率または必要収益率を示します。
収益率
Elevance Health Inc.、月間収益率
| 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 |
| 2019/01/31 | $303.00 | 2,704.10 | ||||
| 1. | 2019/02/28 | $300.73 | -0.75% | 2,784.49 | 2.97% | |
| 2. | 2019/03/31 | $286.98 | $0.80 | -4.31% | 2,834.40 | 1.79% |
| 3. | 2019/04/30 | $263.03 | -8.35% | 2,945.83 | 3.93% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023/11/30 | $479.49 | 6.53% | 4,567.80 | 8.92% | |
| 59. | 2023/12/31 | $471.56 | $1.48 | -1.35% | 4,769.83 | 4.42% |
| 平均 (R): | 1.14% | 1.11% | ||||
| 標準偏差： | 7.83% | 5.31% | ||||
| 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 |
| 2019/01/31 | $303.00 | 2,704.10 | ||||
| 1. | 2019/02/28 | $300.73 | -0.75% | 2,784.49 | 2.97% | |
| 2. | 2019/03/31 | $286.98 | $0.80 | -4.31% | 2,834.40 | 1.79% |
| 3. | 2019/04/30 | $263.03 | -8.35% | 2,945.83 | 3.93% | |
| 4. | 2019/05/31 | $277.98 | 5.68% | 2,752.06 | -6.58% | |
| 5. | 2019/06/30 | $282.21 | $0.80 | 1.81% | 2,941.76 | 6.89% |
| 6. | 2019/07/31 | $294.61 | 4.39% | 2,980.38 | 1.31% | |
| 7. | 2019/08/31 | $261.52 | -11.23% | 2,926.46 | -1.81% | |
| 8. | 2019/09/30 | $240.10 | $0.80 | -7.88% | 2,976.74 | 1.72% |
| 9. | 2019/10/31 | $269.08 | 12.07% | 3,037.56 | 2.04% | |
| 10. | 2019/11/30 | $288.66 | 7.28% | 3,140.98 | 3.40% | |
| 11. | 2019/12/31 | $302.03 | $0.80 | 4.91% | 3,230.78 | 2.86% |
| 12. | 2020/01/31 | $265.28 | -12.17% | 3,225.52 | -0.16% | |
| 13. | 2020/02/29 | $257.09 | -3.09% | 2,954.22 | -8.41% | |
| 14. | 2020/03/31 | $227.04 | $0.95 | -11.32% | 2,584.59 | -12.51% |
| 15. | 2020/04/30 | $280.73 | 23.65% | 2,912.43 | 12.68% | |
| 16. | 2020/05/31 | $294.11 | 4.77% | 3,044.31 | 4.53% | |
| 17. | 2020/06/30 | $262.98 | $0.95 | -10.26% | 3,100.29 | 1.84% |
| 18. | 2020/07/31 | $273.80 | 4.11% | 3,271.12 | 5.51% | |
| 19. | 2020/08/31 | $281.52 | 2.82% | 3,500.31 | 7.01% | |
| 20. | 2020/09/30 | $268.59 | $0.95 | -4.26% | 3,363.00 | -3.92% |
| 21. | 2020/10/31 | $272.80 | 1.57% | 3,269.96 | -2.77% | |
| 22. | 2020/11/30 | $311.52 | 14.19% | 3,621.63 | 10.75% | |
| 23. | 2020/12/31 | $321.09 | $0.95 | 3.38% | 3,756.07 | 3.71% |
| 24. | 2021/01/31 | $296.98 | -7.51% | 3,714.24 | -1.11% | |
| 25. | 2021/02/28 | $303.19 | 2.09% | 3,811.15 | 2.61% | |
| 26. | 2021/03/31 | $358.95 | $1.13 | 18.76% | 3,972.89 | 4.24% |
| 27. | 2021/04/30 | $379.39 | 5.69% | 4,181.17 | 5.24% | |
| 28. | 2021/05/31 | $398.22 | 4.96% | 4,204.11 | 0.55% | |
| 29. | 2021/06/30 | $381.80 | $1.13 | -3.84% | 4,297.50 | 2.22% |
| 30. | 2021/07/31 | $384.01 | 0.58% | 4,395.26 | 2.27% | |
| 31. | 2021/08/31 | $375.13 | -2.31% | 4,522.68 | 2.90% | |
| 32. | 2021/09/30 | $372.80 | $1.13 | -0.32% | 4,307.54 | -4.76% |
| 33. | 2021/10/31 | $435.13 | 16.72% | 4,605.38 | 6.91% | |
| 34. | 2021/11/30 | $406.23 | -6.64% | 4,567.00 | -0.83% | |
| 35. | 2021/12/31 | $463.54 | $1.13 | 14.39% | 4,766.18 | 4.36% |
| 36. | 2022/01/31 | $440.99 | -4.86% | 4,515.55 | -5.26% | |
| 37. | 2022/02/28 | $451.85 | 2.46% | 4,373.94 | -3.14% | |
| 38. | 2022/03/31 | $491.22 | $1.28 | 9.00% | 4,530.41 | 3.58% |
| 39. | 2022/04/30 | $501.93 | 2.18% | 4,131.93 | -8.80% | |
| 40. | 2022/05/31 | $509.61 | 1.53% | 4,132.15 | 0.01% | |
| 41. | 2022/06/30 | $482.58 | $1.28 | -5.05% | 3,785.38 | -8.39% |
| 42. | 2022/07/31 | $477.10 | -1.14% | 4,130.29 | 9.11% | |
| 43. | 2022/08/31 | $485.11 | 1.68% | 3,955.00 | -4.24% | |
| 44. | 2022/09/30 | $454.24 | $1.28 | -6.10% | 3,585.62 | -9.34% |
| 45. | 2022/10/31 | $546.77 | 20.37% | 3,871.98 | 7.99% | |
| 46. | 2022/11/30 | $532.92 | -2.53% | 4,080.11 | 5.38% | |
| 47. | 2022/12/31 | $512.97 | $1.28 | -3.50% | 3,839.50 | -5.90% |
| 48. | 2023/01/31 | $499.99 | -2.53% | 4,076.60 | 6.18% | |
| 49. | 2023/02/28 | $469.67 | -6.06% | 3,970.15 | -2.61% | |
| 50. | 2023/03/31 | $459.81 | $1.48 | -1.78% | 4,109.31 | 3.51% |
| 51. | 2023/04/30 | $468.65 | 1.92% | 4,169.48 | 1.46% | |
| 52. | 2023/05/31 | $447.82 | -4.44% | 4,179.83 | 0.25% | |
| 53. | 2023/06/30 | $444.29 | $1.48 | -0.46% | 4,376.86 | 4.71% |
| 54. | 2023/07/31 | $471.63 | 6.15% | 4,588.96 | 4.85% | |
| 55. | 2023/08/31 | $442.01 | -6.28% | 4,507.66 | -1.77% | |
| 56. | 2023/09/30 | $435.42 | $1.48 | -1.16% | 4,288.05 | -4.87% |
| 57. | 2023/10/31 | $450.09 | 3.37% | 4,193.80 | -2.20% | |
| 58. | 2023/11/30 | $479.49 | 6.53% | 4,567.80 | 8.92% | |
| 59. | 2023/12/31 | $471.56 | $1.48 | -1.35% | 4,769.83 | 4.42% |
| 平均 (R): | 1.14% | 1.11% | ||||
| 標準偏差： | 7.83% | 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プロキシ)の収益率。
分散と共分散
Elevance Health Inc.、分散の計算、および戻り値の共分散
| 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. | 2019/02/28 | -0.75% | 2.97% | 3.59 | 3.49 | -3.54 |
| 2. | 2019/03/31 | -4.31% | 1.79% | 29.71 | 0.47 | -3.74 |
| 3. | 2019/04/30 | -8.35% | 3.93% | 90.06 | 7.98 | -26.81 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023/11/30 | 6.53% | 8.92% | 29.02 | 61.03 | 42.09 |
| 59. | 2023/12/31 | -1.35% | 4.42% | 6.20 | 11.00 | -8.26 |
| トータル (Σ): | 3,552.39 | 1,634.30 | 1,290.86 | |||
| 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. | 2019/02/28 | -0.75% | 2.97% | 3.59 | 3.49 | -3.54 |
| 2. | 2019/03/31 | -4.31% | 1.79% | 29.71 | 0.47 | -3.74 |
| 3. | 2019/04/30 | -8.35% | 3.93% | 90.06 | 7.98 | -26.81 |
| 4. | 2019/05/31 | 5.68% | -6.58% | 20.60 | 59.04 | -34.88 |
| 5. | 2019/06/30 | 1.81% | 6.89% | 0.44 | 33.49 | 3.85 |
| 6. | 2019/07/31 | 4.39% | 1.31% | 10.56 | 0.04 | 0.67 |
| 7. | 2019/08/31 | -11.23% | -1.81% | 153.18 | 8.50 | 36.08 |
| 8. | 2019/09/30 | -7.88% | 1.72% | 81.53 | 0.37 | -5.53 |
| 9. | 2019/10/31 | 12.07% | 2.04% | 119.36 | 0.88 | 10.24 |
| 10. | 2019/11/30 | 7.28% | 3.40% | 37.60 | 5.28 | 14.10 |
| 11. | 2019/12/31 | 4.91% | 2.86% | 14.17 | 3.07 | 6.60 |
| 12. | 2020/01/31 | -12.17% | -0.16% | 177.22 | 1.61 | 16.89 |
| 13. | 2020/02/29 | -3.09% | -8.41% | 17.91 | 90.57 | 40.28 |
| 14. | 2020/03/31 | -11.32% | -12.51% | 155.34 | 185.44 | 169.73 |
| 15. | 2020/04/30 | 23.65% | 12.68% | 506.39 | 134.06 | 260.55 |
| 16. | 2020/05/31 | 4.77% | 4.53% | 13.11 | 11.71 | 12.39 |
| 17. | 2020/06/30 | -10.26% | 1.84% | 130.10 | 0.54 | -8.36 |
| 18. | 2020/07/31 | 4.11% | 5.51% | 8.82 | 19.40 | 13.08 |
| 19. | 2020/08/31 | 2.82% | 7.01% | 2.81 | 34.82 | 9.88 |
| 20. | 2020/09/30 | -4.26% | -3.92% | 29.16 | 25.29 | 27.16 |
| 21. | 2020/10/31 | 1.57% | -2.77% | 0.18 | 15.00 | -1.64 |
| 22. | 2020/11/30 | 14.19% | 10.75% | 170.27 | 93.10 | 125.90 |
| 23. | 2020/12/31 | 3.38% | 3.71% | 4.98 | 6.79 | 5.82 |
| 24. | 2021/01/31 | -7.51% | -1.11% | 74.88 | 4.93 | 19.21 |
| 25. | 2021/02/28 | 2.09% | 2.61% | 0.90 | 2.26 | 1.42 |
| 26. | 2021/03/31 | 18.76% | 4.24% | 310.43 | 9.85 | 55.29 |
| 27. | 2021/04/30 | 5.69% | 5.24% | 20.70 | 17.11 | 18.82 |
| 28. | 2021/05/31 | 4.96% | 0.55% | 14.58 | 0.31 | -2.13 |
| 29. | 2021/06/30 | -3.84% | 2.22% | 24.84 | 1.24 | -5.56 |
| 30. | 2021/07/31 | 0.58% | 2.27% | 0.32 | 1.37 | -0.66 |
| 31. | 2021/08/31 | -2.31% | 2.90% | 11.95 | 3.22 | -6.20 |
| 32. | 2021/09/30 | -0.32% | -4.76% | 2.15 | 34.37 | 8.59 |
| 33. | 2021/10/31 | 16.72% | 6.91% | 242.57 | 33.74 | 90.47 |
| 34. | 2021/11/30 | -6.64% | -0.83% | 60.63 | 3.76 | 15.10 |
| 35. | 2021/12/31 | 14.39% | 4.36% | 175.33 | 10.60 | 43.11 |
| 36. | 2022/01/31 | -4.86% | -5.26% | 36.11 | 40.51 | 38.25 |
| 37. | 2022/02/28 | 2.46% | -3.14% | 1.74 | 17.99 | -5.59 |
| 38. | 2022/03/31 | 9.00% | 3.58% | 61.65 | 6.11 | 19.41 |
| 39. | 2022/04/30 | 2.18% | -8.80% | 1.07 | 98.04 | -10.25 |
| 40. | 2022/05/31 | 1.53% | 0.01% | 0.15 | 1.21 | -0.42 |
| 41. | 2022/06/30 | -5.05% | -8.39% | 38.41 | 90.21 | 58.86 |
| 42. | 2022/07/31 | -1.14% | 9.11% | 5.20 | 64.09 | -18.26 |
| 43. | 2022/08/31 | 1.68% | -4.24% | 0.29 | 28.62 | -2.86 |
| 44. | 2022/09/30 | -6.10% | -9.34% | 52.48 | 109.11 | 75.67 |
| 45. | 2022/10/31 | 20.37% | 7.99% | 369.62 | 47.34 | 132.28 |
| 46. | 2022/11/30 | -2.53% | 5.38% | 13.53 | 18.23 | -15.70 |
| 47. | 2022/12/31 | -3.50% | -5.90% | 21.60 | 49.04 | 32.55 |
| 48. | 2023/01/31 | -2.53% | 6.18% | 13.51 | 25.70 | -18.63 |
| 49. | 2023/02/28 | -6.06% | -2.61% | 51.97 | 13.82 | 26.80 |
| 50. | 2023/03/31 | -1.78% | 3.51% | 8.58 | 5.76 | -7.03 |
| 51. | 2023/04/30 | 1.92% | 1.46% | 0.60 | 0.13 | 0.28 |
| 52. | 2023/05/31 | -4.44% | 0.25% | 31.24 | 0.74 | 4.79 |
| 53. | 2023/06/30 | -0.46% | 4.71% | 2.57 | 13.02 | -5.78 |
| 54. | 2023/07/31 | 6.15% | 4.85% | 25.09 | 13.99 | 18.73 |
| 55. | 2023/08/31 | -6.28% | -1.77% | 55.13 | 8.28 | 21.37 |
| 56. | 2023/09/30 | -1.16% | -4.87% | 5.29 | 35.73 | 13.75 |
| 57. | 2023/10/31 | 3.37% | -2.20% | 4.95 | 10.92 | -7.35 |
| 58. | 2023/11/30 | 6.53% | 8.92% | 29.02 | 61.03 | 42.09 |
| 59. | 2023/12/31 | -1.35% | 4.42% | 6.20 | 11.00 | -8.26 |
| トータル (Σ): | 3,552.39 | 1,634.30 | 1,290.86 | |||
すべて表示
分散ELV = Σ(RELV,t–RELV)2 ÷ (59 – 1)
= 3,552.39 ÷ (59 – 1)
= 61.25
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18
共 分散ELV, S&P 500 = Σ(RELV,t–RELV)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,290.86 ÷ (59 – 1)
= 22.26
システマティックリスク推定 (β)
| 分散ELV | 61.25 |
| 分散S&P 500 | 28.18 |
| 共 分散ELV, S&P 500 | 22.26 |
| 相関係数ELV, S&P 5001 | 0.54 |
| βELV2 | 0.79 |
| αELV3 | 0.27% |
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)
= 22.26 ÷ (7.83% × 5.31%)
= 0.54
2 βELV
= 共 分散ELV, S&P 500 ÷ 分散S&P 500
= 22.26 ÷ 28.18
= 0.79
3 αELV
= 平均ELV – βELV × 平均S&P 500
= 1.14% – 0.79 × 1.11%
= 0.27%
期待収益率
| 仮定 | ||
| LT財務省総合の収益率1 | RF | 4.79% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 13.48% |
| 普通株式 Elevance Health システマティックリスク | βELV | 0.79 |
| エレバンスヘルス普通株式の予想収益率3 | E(RELV) | 11.65% |
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(RELV) = RF + βELV [E(RM) – RF]
= 4.79% + 0.79 [13.48% – 4.79%]
= 11.65%