자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 IQVIA의 보통주와 같은 위험 자산에 대한 기대 또는 필요한 수익률을 나타냅니다.
수익률
IQVIA Holdings Inc., 월별 수익률
| IQVIA Holdings Inc. (IQV) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값IQV,t1 | 피제수IQV,t1 | RIQV,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 1. 31. | $102.19 | 2,823.81 | ||||
| 1. | 2018. 2. 28. | $98.33 | -3.78% | 2,713.83 | -3.89% | |
| 2. | 2018. 3. 31. | $98.11 | -0.22% | 2,640.87 | -2.69% | |
| 3. | 2018. 4. 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% | |
| 평균의 (R): | 1.59% | 0.67% | ||||
| 표준 편차: | 9.20% | 5.40% | ||||
| IQVIA Holdings Inc. (IQV) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값IQV,t1 | 피제수IQV,t1 | RIQV,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 1. 31. | $102.19 | 2,823.81 | ||||
| 1. | 2018. 2. 28. | $98.33 | -3.78% | 2,713.83 | -3.89% | |
| 2. | 2018. 3. 31. | $98.11 | -0.22% | 2,640.87 | -2.69% | |
| 3. | 2018. 4. 30. | $95.76 | -2.40% | 2,648.05 | 0.27% | |
| 4. | 2018. 5. 31. | $98.93 | 3.31% | 2,705.27 | 2.16% | |
| 5. | 2018. 6. 30. | $99.82 | 0.90% | 2,718.37 | 0.48% | |
| 6. | 2018. 7. 31. | $121.94 | 22.16% | 2,816.29 | 3.60% | |
| 7. | 2018. 8. 31. | $127.09 | 4.22% | 2,901.52 | 3.03% | |
| 8. | 2018. 9. 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. 1. 31. | $129.01 | 11.05% | 2,704.10 | 7.87% | |
| 13. | 2019. 2. 28. | $140.10 | 8.60% | 2,784.49 | 2.97% | |
| 14. | 2019. 3. 31. | $143.85 | 2.68% | 2,834.40 | 1.79% | |
| 15. | 2019. 4. 30. | $138.90 | -3.44% | 2,945.83 | 3.93% | |
| 16. | 2019. 5. 31. | $135.85 | -2.20% | 2,752.06 | -6.58% | |
| 17. | 2019. 6. 30. | $160.90 | 18.44% | 2,941.76 | 6.89% | |
| 18. | 2019. 7. 31. | $159.17 | -1.08% | 2,980.38 | 1.31% | |
| 19. | 2019. 8. 31. | $155.15 | -2.53% | 2,926.46 | -1.81% | |
| 20. | 2019. 9. 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. 1. 31. | $155.25 | 0.48% | 3,225.52 | -0.16% | |
| 25. | 2020. 2. 29. | $139.49 | -10.15% | 2,954.22 | -8.41% | |
| 26. | 2020. 3. 31. | $107.86 | -22.68% | 2,584.59 | -12.51% | |
| 27. | 2020. 4. 30. | $142.59 | 32.20% | 2,912.43 | 12.68% | |
| 28. | 2020. 5. 31. | $149.52 | 4.86% | 3,044.31 | 4.53% | |
| 29. | 2020. 6. 30. | $141.88 | -5.11% | 3,100.29 | 1.84% | |
| 30. | 2020. 7. 31. | $158.39 | 11.64% | 3,271.12 | 5.51% | |
| 31. | 2020. 8. 31. | $163.75 | 3.38% | 3,500.31 | 7.01% | |
| 32. | 2020. 9. 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. 1. 31. | $177.80 | -0.76% | 3,714.24 | -1.11% | |
| 37. | 2021. 2. 28. | $192.79 | 8.43% | 3,811.15 | 2.61% | |
| 38. | 2021. 3. 31. | $193.14 | 0.18% | 3,972.89 | 4.24% | |
| 39. | 2021. 4. 30. | $234.69 | 21.51% | 4,181.17 | 5.24% | |
| 40. | 2021. 5. 31. | $240.16 | 2.33% | 4,204.11 | 0.55% | |
| 41. | 2021. 6. 30. | $242.32 | 0.90% | 4,297.50 | 2.22% | |
| 42. | 2021. 7. 31. | $247.70 | 2.22% | 4,395.26 | 2.27% | |
| 43. | 2021. 8. 31. | $259.73 | 4.86% | 4,522.68 | 2.90% | |
| 44. | 2021. 9. 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. 1. 31. | $244.90 | -13.20% | 4,515.55 | -5.26% | |
| 49. | 2022. 2. 28. | $230.12 | -6.04% | 4,373.94 | -3.14% | |
| 50. | 2022. 3. 31. | $231.21 | 0.47% | 4,530.41 | 3.58% | |
| 51. | 2022. 4. 30. | $217.99 | -5.72% | 4,131.93 | -8.80% | |
| 52. | 2022. 5. 31. | $215.25 | -1.26% | 4,132.15 | 0.01% | |
| 53. | 2022. 6. 30. | $216.99 | 0.81% | 3,785.38 | -8.39% | |
| 54. | 2022. 7. 31. | $240.27 | 10.73% | 4,130.29 | 9.11% | |
| 55. | 2022. 8. 31. | $212.66 | -11.49% | 3,955.00 | -4.24% | |
| 56. | 2022. 9. 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% | |
| 평균의 (R): | 1.59% | 0.67% | ||||
| 표준 편차: | 9.20% | 5.40% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 IQV의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
IQVIA Holdings Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | 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. 2. 28. | -3.78% | -3.89% | 28.78 | 20.81 | 24.47 |
| 2. | 2018. 3. 31. | -0.22% | -2.69% | 3.28 | 11.26 | 6.08 |
| 3. | 2018. 4. 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 |
| 합계 (Σ): | 4,912.14 | 1,691.48 | 2,339.53 | |||
| t | 날짜 | 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. 2. 28. | -3.78% | -3.89% | 28.78 | 20.81 | 24.47 |
| 2. | 2018. 3. 31. | -0.22% | -2.69% | 3.28 | 11.26 | 6.08 |
| 3. | 2018. 4. 30. | -2.40% | 0.27% | 15.86 | 0.16 | 1.57 |
| 4. | 2018. 5. 31. | 3.31% | 2.16% | 2.97 | 2.23 | 2.57 |
| 5. | 2018. 6. 30. | 0.90% | 0.48% | 0.47 | 0.03 | 0.13 |
| 6. | 2018. 7. 31. | 22.16% | 3.60% | 423.24 | 8.62 | 60.39 |
| 7. | 2018. 8. 31. | 4.22% | 3.03% | 6.95 | 5.57 | 6.22 |
| 8. | 2018. 9. 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. 1. 31. | 11.05% | 7.87% | 89.60 | 51.87 | 68.17 |
| 13. | 2019. 2. 28. | 8.60% | 2.97% | 49.13 | 5.32 | 16.16 |
| 14. | 2019. 3. 31. | 2.68% | 1.79% | 1.19 | 1.27 | 1.23 |
| 15. | 2019. 4. 30. | -3.44% | 3.93% | 25.28 | 10.66 | -16.42 |
| 16. | 2019. 5. 31. | -2.20% | -6.58% | 14.31 | 52.48 | 27.41 |
| 17. | 2019. 6. 30. | 18.44% | 6.89% | 284.00 | 38.77 | 104.93 |
| 18. | 2019. 7. 31. | -1.08% | 1.31% | 7.09 | 0.42 | -1.72 |
| 19. | 2019. 8. 31. | -2.53% | -1.81% | 16.91 | 6.13 | 10.18 |
| 20. | 2019. 9. 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. 1. 31. | 0.48% | -0.16% | 1.23 | 0.69 | 0.92 |
| 25. | 2020. 2. 29. | -10.15% | -8.41% | 137.79 | 82.40 | 106.56 |
| 26. | 2020. 3. 31. | -22.68% | -12.51% | 588.67 | 173.67 | 319.75 |
| 27. | 2020. 4. 30. | 32.20% | 12.68% | 937.10 | 144.43 | 367.89 |
| 28. | 2020. 5. 31. | 4.86% | 4.53% | 10.71 | 14.91 | 12.64 |
| 29. | 2020. 6. 30. | -5.11% | 1.84% | 44.85 | 1.37 | -7.85 |
| 30. | 2020. 7. 31. | 11.64% | 5.51% | 100.99 | 23.46 | 48.67 |
| 31. | 2020. 8. 31. | 3.38% | 7.01% | 3.23 | 40.19 | 11.39 |
| 32. | 2020. 9. 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. 1. 31. | -0.76% | -1.11% | 5.53 | 3.17 | 4.19 |
| 37. | 2021. 2. 28. | 8.43% | 2.61% | 46.84 | 3.77 | 13.29 |
| 38. | 2021. 3. 31. | 0.18% | 4.24% | 1.98 | 12.80 | -5.03 |
| 39. | 2021. 4. 30. | 21.51% | 5.24% | 397.04 | 20.94 | 91.18 |
| 40. | 2021. 5. 31. | 2.33% | 0.55% | 0.55 | 0.01 | -0.09 |
| 41. | 2021. 6. 30. | 0.90% | 2.22% | 0.47 | 2.42 | -1.07 |
| 42. | 2021. 7. 31. | 2.22% | 2.27% | 0.40 | 2.59 | 1.02 |
| 43. | 2021. 8. 31. | 4.86% | 2.90% | 10.69 | 4.98 | 7.30 |
| 44. | 2021. 9. 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. 1. 31. | -13.20% | -5.26% | 218.63 | 35.11 | 87.61 |
| 49. | 2022. 2. 28. | -6.04% | -3.14% | 58.10 | 14.46 | 28.99 |
| 50. | 2022. 3. 31. | 0.47% | 3.58% | 1.24 | 8.47 | -3.24 |
| 51. | 2022. 4. 30. | -5.72% | -8.80% | 53.36 | 89.54 | 69.12 |
| 52. | 2022. 5. 31. | -1.26% | 0.01% | 8.09 | 0.44 | 1.88 |
| 53. | 2022. 6. 30. | 0.81% | -8.39% | 0.61 | 82.06 | 7.05 |
| 54. | 2022. 7. 31. | 10.73% | 9.11% | 83.57 | 71.32 | 77.20 |
| 55. | 2022. 8. 31. | -11.49% | -4.24% | 171.04 | 24.11 | 64.22 |
| 56. | 2022. 9. 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 |
| 합계 (Σ): | 4,912.14 | 1,691.48 | 2,339.53 | |||
모두 보기
분산IQV = Σ(RIQV,t–RIQV)2 ÷ (59 – 1)
= 4,912.14 ÷ (59 – 1)
= 84.69
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16
공분산IQV, S&P 500 = Σ(RIQV,t–RIQV)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 2,339.53 ÷ (59 – 1)
= 40.34
체계적인 위험 추정 (β)
| 분산IQV | 84.69 |
| 분산S&P 500 | 29.16 |
| 공분산IQV, S&P 500 | 40.34 |
| 상관 계수IQV, S&P 5001 | 0.81 |
| βIQV2 | 1.38 |
| αIQV3 | 0.67% |
계산
1 상관 계수IQV, S&P 500
= 공분산IQV, S&P 500 ÷ (표준 편차IQV × 표준 편차S&P 500)
= 40.34 ÷ (9.20% × 5.40%)
= 0.81
2 βIQV
= 공분산IQV, S&P 500 ÷ 분산S&P 500
= 40.34 ÷ 29.16
= 1.38
3 αIQV
= 평균의IQV – βIQV × 평균의S&P 500
= 1.59% – 1.38 × 0.67%
= 0.67%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.94% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.84% |
| 보통주의 체계적 위험IQVIA | βIQV | 1.38 |
| IQVIA 보통주에 대한 기대 수익률3 | E(RIQV) | 18.63% |
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(RIQV) = RF + βIQV [E(RM) – RF]
= 4.94% + 1.38 [14.84% – 4.94%]
= 18.63%