Stock Analysis on Net

Elevance Health Inc. (NYSE:ELV)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

수익률

Elevance Health Inc., 월별 수익률

Microsoft Excel
Elevance Health Inc. (ELV) Standard & Poor’s 500 (S&P 500)
t 날짜 ELV,t1 피제수ELV,t1 RELV,t2 S&P 500,t RS&P 500,t3
2019. 1. 31. $303.00 2,704.10
1. 2019. 2. 28. $300.73 -0.75% 2,784.49 2.97%
2. 2019. 3. 31. $286.98 $0.80 -4.31% 2,834.40 1.79%
3. 2019. 4. 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%
평균의 (R): 1.14% 1.11%
표준 편차: 7.83% 5.31%
Elevance Health Inc. (ELV) Standard & Poor’s 500 (S&P 500)
t 날짜 ELV,t1 피제수ELV,t1 RELV,t2 S&P 500,t RS&P 500,t3
2019. 1. 31. $303.00 2,704.10
1. 2019. 2. 28. $300.73 -0.75% 2,784.49 2.97%
2. 2019. 3. 31. $286.98 $0.80 -4.31% 2,834.40 1.79%
3. 2019. 4. 30. $263.03 -8.35% 2,945.83 3.93%
4. 2019. 5. 31. $277.98 5.68% 2,752.06 -6.58%
5. 2019. 6. 30. $282.21 $0.80 1.81% 2,941.76 6.89%
6. 2019. 7. 31. $294.61 4.39% 2,980.38 1.31%
7. 2019. 8. 31. $261.52 -11.23% 2,926.46 -1.81%
8. 2019. 9. 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. 1. 31. $265.28 -12.17% 3,225.52 -0.16%
13. 2020. 2. 29. $257.09 -3.09% 2,954.22 -8.41%
14. 2020. 3. 31. $227.04 $0.95 -11.32% 2,584.59 -12.51%
15. 2020. 4. 30. $280.73 23.65% 2,912.43 12.68%
16. 2020. 5. 31. $294.11 4.77% 3,044.31 4.53%
17. 2020. 6. 30. $262.98 $0.95 -10.26% 3,100.29 1.84%
18. 2020. 7. 31. $273.80 4.11% 3,271.12 5.51%
19. 2020. 8. 31. $281.52 2.82% 3,500.31 7.01%
20. 2020. 9. 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. 1. 31. $296.98 -7.51% 3,714.24 -1.11%
25. 2021. 2. 28. $303.19 2.09% 3,811.15 2.61%
26. 2021. 3. 31. $358.95 $1.13 18.76% 3,972.89 4.24%
27. 2021. 4. 30. $379.39 5.69% 4,181.17 5.24%
28. 2021. 5. 31. $398.22 4.96% 4,204.11 0.55%
29. 2021. 6. 30. $381.80 $1.13 -3.84% 4,297.50 2.22%
30. 2021. 7. 31. $384.01 0.58% 4,395.26 2.27%
31. 2021. 8. 31. $375.13 -2.31% 4,522.68 2.90%
32. 2021. 9. 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. 1. 31. $440.99 -4.86% 4,515.55 -5.26%
37. 2022. 2. 28. $451.85 2.46% 4,373.94 -3.14%
38. 2022. 3. 31. $491.22 $1.28 9.00% 4,530.41 3.58%
39. 2022. 4. 30. $501.93 2.18% 4,131.93 -8.80%
40. 2022. 5. 31. $509.61 1.53% 4,132.15 0.01%
41. 2022. 6. 30. $482.58 $1.28 -5.05% 3,785.38 -8.39%
42. 2022. 7. 31. $477.10 -1.14% 4,130.29 9.11%
43. 2022. 8. 31. $485.11 1.68% 3,955.00 -4.24%
44. 2022. 9. 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. 1. 31. $499.99 -2.53% 4,076.60 6.18%
49. 2023. 2. 28. $469.67 -6.06% 3,970.15 -2.61%
50. 2023. 3. 31. $459.81 $1.48 -1.78% 4,109.31 3.51%
51. 2023. 4. 30. $468.65 1.92% 4,169.48 1.46%
52. 2023. 5. 31. $447.82 -4.44% 4,179.83 0.25%
53. 2023. 6. 30. $444.29 $1.48 -0.46% 4,376.86 4.71%
54. 2023. 7. 31. $471.63 6.15% 4,588.96 4.85%
55. 2023. 8. 31. $442.01 -6.28% 4,507.66 -1.77%
56. 2023. 9. 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%
평균의 (R): 1.14% 1.11%
표준 편차: 7.83% 5.31%

모두 표시

1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.

2 기간 t 동안 ELV의 보통주에 대한 수익률.

3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.


분산과 공분산

Elevance Health Inc., 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 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. 2019. 2. 28. -0.75% 2.97% 3.59 3.49 -3.54
2. 2019. 3. 31. -4.31% 1.79% 29.71 0.47 -3.74
3. 2019. 4. 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
합계 (Σ): 3,552.39 1,634.30 1,290.86
t 날짜 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. 2019. 2. 28. -0.75% 2.97% 3.59 3.49 -3.54
2. 2019. 3. 31. -4.31% 1.79% 29.71 0.47 -3.74
3. 2019. 4. 30. -8.35% 3.93% 90.06 7.98 -26.81
4. 2019. 5. 31. 5.68% -6.58% 20.60 59.04 -34.88
5. 2019. 6. 30. 1.81% 6.89% 0.44 33.49 3.85
6. 2019. 7. 31. 4.39% 1.31% 10.56 0.04 0.67
7. 2019. 8. 31. -11.23% -1.81% 153.18 8.50 36.08
8. 2019. 9. 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. 1. 31. -12.17% -0.16% 177.22 1.61 16.89
13. 2020. 2. 29. -3.09% -8.41% 17.91 90.57 40.28
14. 2020. 3. 31. -11.32% -12.51% 155.34 185.44 169.73
15. 2020. 4. 30. 23.65% 12.68% 506.39 134.06 260.55
16. 2020. 5. 31. 4.77% 4.53% 13.11 11.71 12.39
17. 2020. 6. 30. -10.26% 1.84% 130.10 0.54 -8.36
18. 2020. 7. 31. 4.11% 5.51% 8.82 19.40 13.08
19. 2020. 8. 31. 2.82% 7.01% 2.81 34.82 9.88
20. 2020. 9. 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. 1. 31. -7.51% -1.11% 74.88 4.93 19.21
25. 2021. 2. 28. 2.09% 2.61% 0.90 2.26 1.42
26. 2021. 3. 31. 18.76% 4.24% 310.43 9.85 55.29
27. 2021. 4. 30. 5.69% 5.24% 20.70 17.11 18.82
28. 2021. 5. 31. 4.96% 0.55% 14.58 0.31 -2.13
29. 2021. 6. 30. -3.84% 2.22% 24.84 1.24 -5.56
30. 2021. 7. 31. 0.58% 2.27% 0.32 1.37 -0.66
31. 2021. 8. 31. -2.31% 2.90% 11.95 3.22 -6.20
32. 2021. 9. 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. 1. 31. -4.86% -5.26% 36.11 40.51 38.25
37. 2022. 2. 28. 2.46% -3.14% 1.74 17.99 -5.59
38. 2022. 3. 31. 9.00% 3.58% 61.65 6.11 19.41
39. 2022. 4. 30. 2.18% -8.80% 1.07 98.04 -10.25
40. 2022. 5. 31. 1.53% 0.01% 0.15 1.21 -0.42
41. 2022. 6. 30. -5.05% -8.39% 38.41 90.21 58.86
42. 2022. 7. 31. -1.14% 9.11% 5.20 64.09 -18.26
43. 2022. 8. 31. 1.68% -4.24% 0.29 28.62 -2.86
44. 2022. 9. 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. 1. 31. -2.53% 6.18% 13.51 25.70 -18.63
49. 2023. 2. 28. -6.06% -2.61% 51.97 13.82 26.80
50. 2023. 3. 31. -1.78% 3.51% 8.58 5.76 -7.03
51. 2023. 4. 30. 1.92% 1.46% 0.60 0.13 0.28
52. 2023. 5. 31. -4.44% 0.25% 31.24 0.74 4.79
53. 2023. 6. 30. -0.46% 4.71% 2.57 13.02 -5.78
54. 2023. 7. 31. 6.15% 4.85% 25.09 13.99 18.73
55. 2023. 8. 31. -6.28% -1.77% 55.13 8.28 21.37
56. 2023. 9. 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
합계 (Σ): 3,552.39 1,634.30 1,290.86

모두 표시

분산ELV = Σ(RELV,tRELV)2 ÷ (59 – 1)
= 3,552.39 ÷ (59 – 1)
= 61.25

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18

공분산ELV, S&P 500 = Σ(RELV,tRELV)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,290.86 ÷ (59 – 1)
= 22.26


체계적인 위험 추정 (β)

Microsoft Excel
분산ELV 61.25
분산S&P 500 28.18
공분산ELV, S&P 500 22.26
상관 계수ELV, S&P 5001 0.54
βELV2 0.79
αELV3 0.27%

계산

1 상관 계수ELV, S&P 500
= 공분산ELV, S&P 500 ÷ (표준 편차ELV × 표준 편차S&P 500)
= 22.26 ÷ (7.83% × 5.31%)
= 0.54

2 βELV
= 공분산ELV, S&P 500 ÷ 분산S&P 500
= 22.26 ÷ 28.18
= 0.79

3 αELV
= 평균의ELV – βELV × 평균의S&P 500
= 1.14%0.79 × 1.11%
= 0.27%


예상 수익률

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.70%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 13.52%
보통주 Elevance Health 의 체계적인 리스크 βELV 0.79
 
Elevance Health 보통주에 대한 예상 수익률3 E(RELV) 11.67%

1 10년 이내에 만기가 되지 않거나 콜 가능하지 않은 모든 미결제 고정 쿠폰 미국 재무부 채권에 대한 입찰 수익률의 가중 평균(무위험 수익률 프록시).

2 자세히 보기 »

3 E(RELV) = RF + βELV [E(RM) – RF]
= 4.70% + 0.79 [13.52%4.70%]
= 11.67%