자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Elevance Health의 보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Elevance Health Inc., 월별 수익률
| Elevance Health Inc. (ELV) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ELV,t1 | 피제수ELV,t1 | RELV,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 1. 31. | $265.28 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $257.09 | -3.09% | 2,954.22 | -8.41% | |
| 2. | 2020. 3. 31. | $227.04 | $0.95 | -11.32% | 2,584.59 | -12.51% |
| 3. | 2020. 4. 30. | $280.73 | 23.65% | 2,912.43 | 12.68% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | $406.96 | 0.30% | 6,032.38 | 5.73% | |
| 59. | 2024. 12. 31. | $368.90 | $1.63 | -8.95% | 5,881.63 | -2.50% |
| 평균의 (R): | 0.96% | 1.16% | ||||
| 표준 편차: | 7.82% | 5.28% | ||||
| Elevance Health Inc. (ELV) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ELV,t1 | 피제수ELV,t1 | RELV,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 1. 31. | $265.28 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $257.09 | -3.09% | 2,954.22 | -8.41% | |
| 2. | 2020. 3. 31. | $227.04 | $0.95 | -11.32% | 2,584.59 | -12.51% |
| 3. | 2020. 4. 30. | $280.73 | 23.65% | 2,912.43 | 12.68% | |
| 4. | 2020. 5. 31. | $294.11 | 4.77% | 3,044.31 | 4.53% | |
| 5. | 2020. 6. 30. | $262.98 | $0.95 | -10.26% | 3,100.29 | 1.84% |
| 6. | 2020. 7. 31. | $273.80 | 4.11% | 3,271.12 | 5.51% | |
| 7. | 2020. 8. 31. | $281.52 | 2.82% | 3,500.31 | 7.01% | |
| 8. | 2020. 9. 30. | $268.59 | $0.95 | -4.26% | 3,363.00 | -3.92% |
| 9. | 2020. 10. 31. | $272.80 | 1.57% | 3,269.96 | -2.77% | |
| 10. | 2020. 11. 30. | $311.52 | 14.19% | 3,621.63 | 10.75% | |
| 11. | 2020. 12. 31. | $321.09 | $0.95 | 3.38% | 3,756.07 | 3.71% |
| 12. | 2021. 1. 31. | $296.98 | -7.51% | 3,714.24 | -1.11% | |
| 13. | 2021. 2. 28. | $303.19 | 2.09% | 3,811.15 | 2.61% | |
| 14. | 2021. 3. 31. | $358.95 | $1.13 | 18.76% | 3,972.89 | 4.24% |
| 15. | 2021. 4. 30. | $379.39 | 5.69% | 4,181.17 | 5.24% | |
| 16. | 2021. 5. 31. | $398.22 | 4.96% | 4,204.11 | 0.55% | |
| 17. | 2021. 6. 30. | $381.80 | $1.13 | -3.84% | 4,297.50 | 2.22% |
| 18. | 2021. 7. 31. | $384.01 | 0.58% | 4,395.26 | 2.27% | |
| 19. | 2021. 8. 31. | $375.13 | -2.31% | 4,522.68 | 2.90% | |
| 20. | 2021. 9. 30. | $372.80 | $1.13 | -0.32% | 4,307.54 | -4.76% |
| 21. | 2021. 10. 31. | $435.13 | 16.72% | 4,605.38 | 6.91% | |
| 22. | 2021. 11. 30. | $406.23 | -6.64% | 4,567.00 | -0.83% | |
| 23. | 2021. 12. 31. | $463.54 | $1.13 | 14.39% | 4,766.18 | 4.36% |
| 24. | 2022. 1. 31. | $440.99 | -4.86% | 4,515.55 | -5.26% | |
| 25. | 2022. 2. 28. | $451.85 | 2.46% | 4,373.94 | -3.14% | |
| 26. | 2022. 3. 31. | $491.22 | $1.28 | 9.00% | 4,530.41 | 3.58% |
| 27. | 2022. 4. 30. | $501.93 | 2.18% | 4,131.93 | -8.80% | |
| 28. | 2022. 5. 31. | $509.61 | 1.53% | 4,132.15 | 0.01% | |
| 29. | 2022. 6. 30. | $482.58 | $1.28 | -5.05% | 3,785.38 | -8.39% |
| 30. | 2022. 7. 31. | $477.10 | -1.14% | 4,130.29 | 9.11% | |
| 31. | 2022. 8. 31. | $485.11 | 1.68% | 3,955.00 | -4.24% | |
| 32. | 2022. 9. 30. | $454.24 | $1.28 | -6.10% | 3,585.62 | -9.34% |
| 33. | 2022. 10. 31. | $546.77 | 20.37% | 3,871.98 | 7.99% | |
| 34. | 2022. 11. 30. | $532.92 | -2.53% | 4,080.11 | 5.38% | |
| 35. | 2022. 12. 31. | $512.97 | $1.28 | -3.50% | 3,839.50 | -5.90% |
| 36. | 2023. 1. 31. | $499.99 | -2.53% | 4,076.60 | 6.18% | |
| 37. | 2023. 2. 28. | $469.67 | -6.06% | 3,970.15 | -2.61% | |
| 38. | 2023. 3. 31. | $459.81 | $1.48 | -1.78% | 4,109.31 | 3.51% |
| 39. | 2023. 4. 30. | $468.65 | 1.92% | 4,169.48 | 1.46% | |
| 40. | 2023. 5. 31. | $447.82 | -4.44% | 4,179.83 | 0.25% | |
| 41. | 2023. 6. 30. | $444.29 | $1.48 | -0.46% | 4,376.86 | 4.71% |
| 42. | 2023. 7. 31. | $471.63 | 6.15% | 4,588.96 | 4.85% | |
| 43. | 2023. 8. 31. | $442.01 | -6.28% | 4,507.66 | -1.77% | |
| 44. | 2023. 9. 30. | $435.42 | $1.48 | -1.16% | 4,288.05 | -4.87% |
| 45. | 2023. 10. 31. | $450.09 | 3.37% | 4,193.80 | -2.20% | |
| 46. | 2023. 11. 30. | $479.49 | 6.53% | 4,567.80 | 8.92% | |
| 47. | 2023. 12. 31. | $471.56 | $1.48 | -1.35% | 4,769.83 | 4.42% |
| 48. | 2024. 1. 31. | $493.44 | 4.64% | 4,845.65 | 1.59% | |
| 49. | 2024. 2. 29. | $501.25 | 1.58% | 5,096.27 | 5.17% | |
| 50. | 2024. 3. 31. | $518.54 | $1.63 | 3.77% | 5,254.35 | 3.10% |
| 51. | 2024. 4. 30. | $528.58 | 1.94% | 5,035.69 | -4.16% | |
| 52. | 2024. 5. 31. | $538.48 | 1.87% | 5,277.51 | 4.80% | |
| 53. | 2024. 6. 30. | $541.86 | $1.63 | 0.93% | 5,460.48 | 3.47% |
| 54. | 2024. 7. 31. | $532.03 | -1.81% | 5,522.30 | 1.13% | |
| 55. | 2024. 8. 31. | $556.89 | 4.67% | 5,648.40 | 2.28% | |
| 56. | 2024. 9. 30. | $520.00 | $1.63 | -6.33% | 5,762.48 | 2.02% |
| 57. | 2024. 10. 31. | $405.76 | -21.97% | 5,705.45 | -0.99% | |
| 58. | 2024. 11. 30. | $406.96 | 0.30% | 6,032.38 | 5.73% | |
| 59. | 2024. 12. 31. | $368.90 | $1.63 | -8.95% | 5,881.63 | -2.50% |
| 평균의 (R): | 0.96% | 1.16% | ||||
| 표준 편차: | 7.82% | 5.28% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 ELV의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Elevance Health Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | 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. | 2020. 2. 29. | -3.09% | -8.41% | 16.39 | 91.63 | 38.75 |
| 2. | 2020. 3. 31. | -11.32% | -12.51% | 150.81 | 186.96 | 167.91 |
| 3. | 2020. 4. 30. | 23.65% | 12.68% | 514.68 | 132.78 | 261.42 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | 0.30% | 5.73% | 0.44 | 20.87 | -3.04 |
| 59. | 2024. 12. 31. | -8.95% | -2.50% | 98.27 | 13.40 | 36.28 |
| 합계 (Σ): | 3,546.92 | 1,618.62 | 1,362.42 | |||
| t | 날짜 | 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. | 2020. 2. 29. | -3.09% | -8.41% | 16.39 | 91.63 | 38.75 |
| 2. | 2020. 3. 31. | -11.32% | -12.51% | 150.81 | 186.96 | 167.91 |
| 3. | 2020. 4. 30. | 23.65% | 12.68% | 514.68 | 132.78 | 261.42 |
| 4. | 2020. 5. 31. | 4.77% | 4.53% | 14.48 | 11.34 | 12.81 |
| 5. | 2020. 6. 30. | -10.26% | 1.84% | 125.95 | 0.46 | -7.60 |
| 6. | 2020. 7. 31. | 4.11% | 5.51% | 9.94 | 18.91 | 13.71 |
| 7. | 2020. 8. 31. | 2.82% | 7.01% | 3.45 | 34.17 | 10.86 |
| 8. | 2020. 9. 30. | -4.26% | -3.92% | 27.22 | 25.85 | 26.52 |
| 9. | 2020. 10. 31. | 1.57% | -2.77% | 0.37 | 15.43 | -2.38 |
| 10. | 2020. 11. 30. | 14.19% | 10.75% | 175.09 | 92.03 | 126.94 |
| 11. | 2020. 12. 31. | 3.38% | 3.71% | 5.84 | 6.51 | 6.16 |
| 12. | 2021. 1. 31. | -7.51% | -1.11% | 71.74 | 5.18 | 19.27 |
| 13. | 2021. 2. 28. | 2.09% | 2.61% | 1.28 | 2.10 | 1.64 |
| 14. | 2021. 3. 31. | 18.76% | 4.24% | 316.93 | 9.50 | 54.88 |
| 15. | 2021. 4. 30. | 5.69% | 5.24% | 22.40 | 16.66 | 19.32 |
| 16. | 2021. 5. 31. | 4.96% | 0.55% | 16.02 | 0.38 | -2.45 |
| 17. | 2021. 6. 30. | -3.84% | 2.22% | 23.05 | 1.12 | -5.09 |
| 18. | 2021. 7. 31. | 0.58% | 2.27% | 0.15 | 1.24 | -0.43 |
| 19. | 2021. 8. 31. | -2.31% | 2.90% | 10.72 | 3.02 | -5.69 |
| 20. | 2021. 9. 30. | -0.32% | -4.76% | 1.64 | 35.02 | 7.58 |
| 21. | 2021. 10. 31. | 16.72% | 6.91% | 248.32 | 33.10 | 90.66 |
| 22. | 2021. 11. 30. | -6.64% | -0.83% | 57.81 | 3.98 | 15.17 |
| 23. | 2021. 12. 31. | 14.39% | 4.36% | 180.22 | 10.24 | 42.96 |
| 24. | 2022. 1. 31. | -4.86% | -5.26% | 33.94 | 41.21 | 37.40 |
| 25. | 2022. 2. 28. | 2.46% | -3.14% | 2.25 | 18.47 | -6.45 |
| 26. | 2022. 3. 31. | 9.00% | 3.58% | 64.56 | 5.84 | 19.41 |
| 27. | 2022. 4. 30. | 2.18% | -8.80% | 1.49 | 99.14 | -12.14 |
| 28. | 2022. 5. 31. | 1.53% | 0.01% | 0.32 | 1.34 | -0.66 |
| 29. | 2022. 6. 30. | -5.05% | -8.39% | 36.17 | 91.26 | 57.46 |
| 30. | 2022. 7. 31. | -1.14% | 9.11% | 4.40 | 63.21 | -16.67 |
| 31. | 2022. 8. 31. | 1.68% | -4.24% | 0.51 | 29.22 | -3.88 |
| 32. | 2022. 9. 30. | -6.10% | -9.34% | 49.86 | 110.27 | 74.15 |
| 33. | 2022. 10. 31. | 20.37% | 7.99% | 376.71 | 46.58 | 132.47 |
| 34. | 2022. 11. 30. | -2.53% | 5.38% | 12.21 | 17.76 | -14.73 |
| 35. | 2022. 12. 31. | -3.50% | -5.90% | 19.93 | 49.82 | 31.51 |
| 36. | 2023. 1. 31. | -2.53% | 6.18% | 12.19 | 25.14 | -17.51 |
| 37. | 2023. 2. 28. | -6.06% | -2.61% | 49.36 | 14.23 | 26.50 |
| 38. | 2023. 3. 31. | -1.78% | 3.51% | 7.54 | 5.49 | -6.44 |
| 39. | 2023. 4. 30. | 1.92% | 1.46% | 0.92 | 0.09 | 0.29 |
| 40. | 2023. 5. 31. | -4.44% | 0.25% | 29.23 | 0.83 | 4.94 |
| 41. | 2023. 6. 30. | -0.46% | 4.71% | 2.01 | 12.62 | -5.04 |
| 42. | 2023. 7. 31. | 6.15% | 4.85% | 26.96 | 13.58 | 19.13 |
| 43. | 2023. 8. 31. | -6.28% | -1.77% | 52.44 | 8.60 | 21.24 |
| 44. | 2023. 9. 30. | -1.16% | -4.87% | 4.48 | 36.40 | 12.77 |
| 45. | 2023. 10. 31. | 3.37% | -2.20% | 5.80 | 11.28 | -8.09 |
| 46. | 2023. 11. 30. | 6.53% | 8.92% | 31.03 | 60.17 | 43.21 |
| 47. | 2023. 12. 31. | -1.35% | 4.42% | 5.32 | 10.64 | -7.52 |
| 48. | 2024. 1. 31. | 4.64% | 1.59% | 13.53 | 0.18 | 1.58 |
| 49. | 2024. 2. 29. | 1.58% | 5.17% | 0.39 | 16.09 | 2.49 |
| 50. | 2024. 3. 31. | 3.77% | 3.10% | 7.91 | 3.77 | 5.46 |
| 51. | 2024. 4. 30. | 1.94% | -4.16% | 0.95 | 28.33 | -5.19 |
| 52. | 2024. 5. 31. | 1.87% | 4.80% | 0.83 | 13.26 | 3.32 |
| 53. | 2024. 6. 30. | 0.93% | 3.47% | 0.00 | 5.32 | -0.07 |
| 54. | 2024. 7. 31. | -1.81% | 1.13% | 7.70 | 0.00 | 0.08 |
| 55. | 2024. 8. 31. | 4.67% | 2.28% | 13.77 | 1.26 | 4.16 |
| 56. | 2024. 9. 30. | -6.33% | 2.02% | 53.19 | 0.74 | -6.26 |
| 57. | 2024. 10. 31. | -21.97% | -0.99% | 525.81 | 4.63 | 49.32 |
| 58. | 2024. 11. 30. | 0.30% | 5.73% | 0.44 | 20.87 | -3.04 |
| 59. | 2024. 12. 31. | -8.95% | -2.50% | 98.27 | 13.40 | 36.28 |
| 합계 (Σ): | 3,546.92 | 1,618.62 | 1,362.42 | |||
모두 보기
분산ELV = Σ(RELV,t–RELV)2 ÷ (59 – 1)
= 3,546.92 ÷ (59 – 1)
= 61.15
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91
공분산ELV, S&P 500 = Σ(RELV,t–RELV)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,362.42 ÷ (59 – 1)
= 23.49
체계적인 위험 추정 (β)
| 분산ELV | 61.15 |
| 분산S&P 500 | 27.91 |
| 공분산ELV, S&P 500 | 23.49 |
| 상관 계수ELV, S&P 5001 | 0.57 |
| βELV2 | 0.84 |
| αELV3 | -0.02% |
계산
1 상관 계수ELV, S&P 500
= 공분산ELV, S&P 500 ÷ (표준 편차ELV × 표준 편차S&P 500)
= 23.49 ÷ (7.82% × 5.28%)
= 0.57
2 βELV
= 공분산ELV, S&P 500 ÷ 분산S&P 500
= 23.49 ÷ 27.91
= 0.84
3 αELV
= 평균의ELV – βELV × 평균의S&P 500
= 0.96% – 0.84 × 1.16%
= -0.02%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.56% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.87% |
| 보통주의 체계적 위험Elevance Health | βELV | 0.84 |
| Elevance Health 보통주에 대한 예상 수익률3 | E(RELV) | 13.24% |
1 10년 이내에 만기가 도래하거나 콜링할 수 없는 모든 미결제 고정 쿠폰 미국 국채에 대한 입찰 수익률의 비가중 평균(무위험 수익률 대리).
2 자세히 보기 »
3 E(RELV) = RF + βELV [E(RM) – RF]
= 4.56% + 0.84 [14.87% – 4.56%]
= 13.24%