資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、普通株式 IQVIAのようなリスク資産の予想または必要な収益率を示します。
収益率
IQVIA Holdings Inc.、月間収益率
| IQVIA Holdings Inc. (IQV) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格IQV,t1 | 配当IQV,t1 | RIQV,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2018/01/31 | $102.19 | 2,823.81 | ||||
| 1. | 2018/02/28 | $98.33 | -3.78% | 2,713.83 | -3.89% | |
| 2. | 2018/03/31 | $98.11 | -0.22% | 2,640.87 | -2.69% | |
| 3. | 2018/04/30 | $95.76 | -2.40% | 2,648.05 | 0.27% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022/11/30 | $218.02 | 3.98% | 4,080.11 | 5.38% | |
| 59. | 2022/12/31 | $204.89 | -6.02% | 3,839.50 | -5.90% | |
| 平均 (R): | 1.59% | 0.67% | ||||
| 標準偏差： | 9.20% | 5.40% | ||||
| IQVIA Holdings Inc. (IQV) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格IQV,t1 | 配当IQV,t1 | RIQV,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2018/01/31 | $102.19 | 2,823.81 | ||||
| 1. | 2018/02/28 | $98.33 | -3.78% | 2,713.83 | -3.89% | |
| 2. | 2018/03/31 | $98.11 | -0.22% | 2,640.87 | -2.69% | |
| 3. | 2018/04/30 | $95.76 | -2.40% | 2,648.05 | 0.27% | |
| 4. | 2018/05/31 | $98.93 | 3.31% | 2,705.27 | 2.16% | |
| 5. | 2018/06/30 | $99.82 | 0.90% | 2,718.37 | 0.48% | |
| 6. | 2018/07/31 | $121.94 | 22.16% | 2,816.29 | 3.60% | |
| 7. | 2018/08/31 | $127.09 | 4.22% | 2,901.52 | 3.03% | |
| 8. | 2018/09/30 | $129.74 | 2.09% | 2,913.98 | 0.43% | |
| 9. | 2018/10/31 | $122.93 | -5.25% | 2,711.74 | -6.94% | |
| 10. | 2018/11/30 | $125.07 | 1.74% | 2,760.17 | 1.79% | |
| 11. | 2018/12/31 | $116.17 | -7.12% | 2,506.85 | -9.18% | |
| 12. | 2019/01/31 | $129.01 | 11.05% | 2,704.10 | 7.87% | |
| 13. | 2019/02/28 | $140.10 | 8.60% | 2,784.49 | 2.97% | |
| 14. | 2019/03/31 | $143.85 | 2.68% | 2,834.40 | 1.79% | |
| 15. | 2019/04/30 | $138.90 | -3.44% | 2,945.83 | 3.93% | |
| 16. | 2019/05/31 | $135.85 | -2.20% | 2,752.06 | -6.58% | |
| 17. | 2019/06/30 | $160.90 | 18.44% | 2,941.76 | 6.89% | |
| 18. | 2019/07/31 | $159.17 | -1.08% | 2,980.38 | 1.31% | |
| 19. | 2019/08/31 | $155.15 | -2.53% | 2,926.46 | -1.81% | |
| 20. | 2019/09/30 | $149.38 | -3.72% | 2,976.74 | 1.72% | |
| 21. | 2019/10/31 | $144.42 | -3.32% | 3,037.56 | 2.04% | |
| 22. | 2019/11/30 | $145.98 | 1.08% | 3,140.98 | 3.40% | |
| 23. | 2019/12/31 | $154.51 | 5.84% | 3,230.78 | 2.86% | |
| 24. | 2020/01/31 | $155.25 | 0.48% | 3,225.52 | -0.16% | |
| 25. | 2020/02/29 | $139.49 | -10.15% | 2,954.22 | -8.41% | |
| 26. | 2020/03/31 | $107.86 | -22.68% | 2,584.59 | -12.51% | |
| 27. | 2020/04/30 | $142.59 | 32.20% | 2,912.43 | 12.68% | |
| 28. | 2020/05/31 | $149.52 | 4.86% | 3,044.31 | 4.53% | |
| 29. | 2020/06/30 | $141.88 | -5.11% | 3,100.29 | 1.84% | |
| 30. | 2020/07/31 | $158.39 | 11.64% | 3,271.12 | 5.51% | |
| 31. | 2020/08/31 | $163.75 | 3.38% | 3,500.31 | 7.01% | |
| 32. | 2020/09/30 | $157.63 | -3.74% | 3,363.00 | -3.92% | |
| 33. | 2020/10/31 | $153.99 | -2.31% | 3,269.96 | -2.77% | |
| 34. | 2020/11/30 | $168.99 | 9.74% | 3,621.63 | 10.75% | |
| 35. | 2020/12/31 | $179.17 | 6.02% | 3,756.07 | 3.71% | |
| 36. | 2021/01/31 | $177.80 | -0.76% | 3,714.24 | -1.11% | |
| 37. | 2021/02/28 | $192.79 | 8.43% | 3,811.15 | 2.61% | |
| 38. | 2021/03/31 | $193.14 | 0.18% | 3,972.89 | 4.24% | |
| 39. | 2021/04/30 | $234.69 | 21.51% | 4,181.17 | 5.24% | |
| 40. | 2021/05/31 | $240.16 | 2.33% | 4,204.11 | 0.55% | |
| 41. | 2021/06/30 | $242.32 | 0.90% | 4,297.50 | 2.22% | |
| 42. | 2021/07/31 | $247.70 | 2.22% | 4,395.26 | 2.27% | |
| 43. | 2021/08/31 | $259.73 | 4.86% | 4,522.68 | 2.90% | |
| 44. | 2021/09/30 | $239.54 | -7.77% | 4,307.54 | -4.76% | |
| 45. | 2021/10/31 | $261.42 | 9.13% | 4,605.38 | 6.91% | |
| 46. | 2021/11/30 | $259.13 | -0.88% | 4,567.00 | -0.83% | |
| 47. | 2021/12/31 | $282.14 | 8.88% | 4,766.18 | 4.36% | |
| 48. | 2022/01/31 | $244.90 | -13.20% | 4,515.55 | -5.26% | |
| 49. | 2022/02/28 | $230.12 | -6.04% | 4,373.94 | -3.14% | |
| 50. | 2022/03/31 | $231.21 | 0.47% | 4,530.41 | 3.58% | |
| 51. | 2022/04/30 | $217.99 | -5.72% | 4,131.93 | -8.80% | |
| 52. | 2022/05/31 | $215.25 | -1.26% | 4,132.15 | 0.01% | |
| 53. | 2022/06/30 | $216.99 | 0.81% | 3,785.38 | -8.39% | |
| 54. | 2022/07/31 | $240.27 | 10.73% | 4,130.29 | 9.11% | |
| 55. | 2022/08/31 | $212.66 | -11.49% | 3,955.00 | -4.24% | |
| 56. | 2022/09/30 | $181.14 | -14.82% | 3,585.62 | -9.34% | |
| 57. | 2022/10/31 | $209.67 | 15.75% | 3,871.98 | 7.99% | |
| 58. | 2022/11/30 | $218.02 | 3.98% | 4,080.11 | 5.38% | |
| 59. | 2022/12/31 | $204.89 | -6.02% | 3,839.50 | -5.90% | |
| 平均 (R): | 1.59% | 0.67% | ||||
| 標準偏差： | 9.20% | 5.40% | ||||
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IQV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
IQVIA Holdings Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RIQV,t | RS&P 500,t | (RIQV,t–RIQV)2 | (RS&P 500,t–RS&P 500)2 | (RIQV,t–RIQV)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018/02/28 | -3.78% | -3.89% | 28.78 | 20.81 | 24.47 |
| 2. | 2018/03/31 | -0.22% | -2.69% | 3.28 | 11.26 | 6.08 |
| 3. | 2018/04/30 | -2.40% | 0.27% | 15.86 | 0.16 | 1.57 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022/11/30 | 3.98% | 5.38% | 5.74 | 22.17 | 11.28 |
| 59. | 2022/12/31 | -6.02% | -5.90% | 57.90 | 43.08 | 49.95 |
| トータル (Σ): | 4,912.14 | 1,691.48 | 2,339.53 | |||
| t | 日付 | RIQV,t | RS&P 500,t | (RIQV,t–RIQV)2 | (RS&P 500,t–RS&P 500)2 | (RIQV,t–RIQV)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018/02/28 | -3.78% | -3.89% | 28.78 | 20.81 | 24.47 |
| 2. | 2018/03/31 | -0.22% | -2.69% | 3.28 | 11.26 | 6.08 |
| 3. | 2018/04/30 | -2.40% | 0.27% | 15.86 | 0.16 | 1.57 |
| 4. | 2018/05/31 | 3.31% | 2.16% | 2.97 | 2.23 | 2.57 |
| 5. | 2018/06/30 | 0.90% | 0.48% | 0.47 | 0.03 | 0.13 |
| 6. | 2018/07/31 | 22.16% | 3.60% | 423.24 | 8.62 | 60.39 |
| 7. | 2018/08/31 | 4.22% | 3.03% | 6.95 | 5.57 | 6.22 |
| 8. | 2018/09/30 | 2.09% | 0.43% | 0.25 | 0.06 | -0.12 |
| 9. | 2018/10/31 | -5.25% | -6.94% | 46.73 | 57.87 | 52.00 |
| 10. | 2018/11/30 | 1.74% | 1.79% | 0.02 | 1.25 | 0.17 |
| 11. | 2018/12/31 | -7.12% | -9.18% | 75.74 | 96.91 | 85.68 |
| 12. | 2019/01/31 | 11.05% | 7.87% | 89.60 | 51.87 | 68.17 |
| 13. | 2019/02/28 | 8.60% | 2.97% | 49.13 | 5.32 | 16.16 |
| 14. | 2019/03/31 | 2.68% | 1.79% | 1.19 | 1.27 | 1.23 |
| 15. | 2019/04/30 | -3.44% | 3.93% | 25.28 | 10.66 | -16.42 |
| 16. | 2019/05/31 | -2.20% | -6.58% | 14.31 | 52.48 | 27.41 |
| 17. | 2019/06/30 | 18.44% | 6.89% | 284.00 | 38.77 | 104.93 |
| 18. | 2019/07/31 | -1.08% | 1.31% | 7.09 | 0.42 | -1.72 |
| 19. | 2019/08/31 | -2.53% | -1.81% | 16.91 | 6.13 | 10.18 |
| 20. | 2019/09/30 | -3.72% | 1.72% | 28.15 | 1.11 | -5.58 |
| 21. | 2019/10/31 | -3.32% | 2.04% | 24.08 | 1.89 | -6.76 |
| 22. | 2019/11/30 | 1.08% | 3.40% | 0.26 | 7.50 | -1.39 |
| 23. | 2019/12/31 | 5.84% | 2.86% | 18.11 | 4.81 | 9.33 |
| 24. | 2020/01/31 | 0.48% | -0.16% | 1.23 | 0.69 | 0.92 |
| 25. | 2020/02/29 | -10.15% | -8.41% | 137.79 | 82.40 | 106.56 |
| 26. | 2020/03/31 | -22.68% | -12.51% | 588.67 | 173.67 | 319.75 |
| 27. | 2020/04/30 | 32.20% | 12.68% | 937.10 | 144.43 | 367.89 |
| 28. | 2020/05/31 | 4.86% | 4.53% | 10.71 | 14.91 | 12.64 |
| 29. | 2020/06/30 | -5.11% | 1.84% | 44.85 | 1.37 | -7.85 |
| 30. | 2020/07/31 | 11.64% | 5.51% | 100.99 | 23.46 | 48.67 |
| 31. | 2020/08/31 | 3.38% | 7.01% | 3.23 | 40.19 | 11.39 |
| 32. | 2020/09/30 | -3.74% | -3.92% | 28.35 | 21.06 | 24.44 |
| 33. | 2020/10/31 | -2.31% | -2.77% | 15.18 | 11.79 | 13.38 |
| 34. | 2020/11/30 | 9.74% | 10.75% | 66.48 | 101.77 | 82.25 |
| 35. | 2020/12/31 | 6.02% | 3.71% | 19.69 | 9.28 | 13.51 |
| 36. | 2021/01/31 | -0.76% | -1.11% | 5.53 | 3.17 | 4.19 |
| 37. | 2021/02/28 | 8.43% | 2.61% | 46.84 | 3.77 | 13.29 |
| 38. | 2021/03/31 | 0.18% | 4.24% | 1.98 | 12.80 | -5.03 |
| 39. | 2021/04/30 | 21.51% | 5.24% | 397.04 | 20.94 | 91.18 |
| 40. | 2021/05/31 | 2.33% | 0.55% | 0.55 | 0.01 | -0.09 |
| 41. | 2021/06/30 | 0.90% | 2.22% | 0.47 | 2.42 | -1.07 |
| 42. | 2021/07/31 | 2.22% | 2.27% | 0.40 | 2.59 | 1.02 |
| 43. | 2021/08/31 | 4.86% | 2.90% | 10.69 | 4.98 | 7.30 |
| 44. | 2021/09/30 | -7.77% | -4.76% | 87.62 | 29.42 | 50.77 |
| 45. | 2021/10/31 | 9.13% | 6.91% | 56.96 | 39.03 | 47.15 |
| 46. | 2021/11/30 | -0.88% | -0.83% | 6.07 | 2.25 | 3.69 |
| 47. | 2021/12/31 | 8.88% | 4.36% | 53.18 | 13.65 | 26.94 |
| 48. | 2022/01/31 | -13.20% | -5.26% | 218.63 | 35.11 | 87.61 |
| 49. | 2022/02/28 | -6.04% | -3.14% | 58.10 | 14.46 | 28.99 |
| 50. | 2022/03/31 | 0.47% | 3.58% | 1.24 | 8.47 | -3.24 |
| 51. | 2022/04/30 | -5.72% | -8.80% | 53.36 | 89.54 | 69.12 |
| 52. | 2022/05/31 | -1.26% | 0.01% | 8.09 | 0.44 | 1.88 |
| 53. | 2022/06/30 | 0.81% | -8.39% | 0.61 | 82.06 | 7.05 |
| 54. | 2022/07/31 | 10.73% | 9.11% | 83.57 | 71.32 | 77.20 |
| 55. | 2022/08/31 | -11.49% | -4.24% | 171.04 | 24.11 | 64.22 |
| 56. | 2022/09/30 | -14.82% | -9.34% | 269.25 | 100.12 | 164.19 |
| 57. | 2022/10/31 | 15.75% | 7.99% | 200.59 | 53.58 | 103.67 |
| 58. | 2022/11/30 | 3.98% | 5.38% | 5.74 | 22.17 | 11.28 |
| 59. | 2022/12/31 | -6.02% | -5.90% | 57.90 | 43.08 | 49.95 |
| トータル (Σ): | 4,912.14 | 1,691.48 | 2,339.53 | |||
すべて表示
分散IQV = Σ(RIQV,t–RIQV)2 ÷ (59 – 1)
= 4,912.14 ÷ (59 – 1)
= 84.69
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IQV, S&P 500 = Σ(RIQV,t–RIQV)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 2,339.53 ÷ (59 – 1)
= 40.34
システマティックなリスク推定 (β)
| 分散IQV | 84.69 |
| 分散S&P 500 | 29.16 |
| 共 分散IQV, S&P 500 | 40.34 |
| 相関係数IQV, S&P 5001 | 0.81 |
| βIQV2 | 1.38 |
| αIQV3 | 0.67% |
計算
1 相関係数IQV, S&P 500
= 共 分散IQV, S&P 500 ÷ (標準偏差IQV × 標準偏差S&P 500)
= 40.34 ÷ (9.20% × 5.40%)
= 0.81
2 βIQV
= 共 分散IQV, S&P 500 ÷ 分散S&P 500
= 40.34 ÷ 29.16
= 1.38
3 αIQV
= 平均IQV – βIQV × 平均S&P 500
= 1.59% – 1.38 × 0.67%
= 0.67%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.94% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.84% |
| 普通株式のシステマティックリスクIQVIA | βIQV | 1.38 |
| IQVIA普通株式の期待収益率3 | E(RIQV) | 18.63% |
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(RIQV) = RF + βIQV [E(RM) – RF]
= 4.94% + 1.38 [14.84% – 4.94%]
= 18.63%