Stock Analysis on Net

Elevance Health Inc. (NYSE:ELV)

Capital Asset Pricing Model (CAPM) 

Microsoft Excel

Rates of Return

Elevance Health Inc., monthly rates of return

Microsoft Excel
Elevance Health Inc. (ELV) Standard & Poor’s 500 (S&P 500)
t Date PriceELV,t1 DividendELV,t1 RELV,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2020 $265.28 3,225.52
1. Feb 29, 2020 $257.09 -3.09% 2,954.22 -8.41%
2. Mar 31, 2020 $227.04 $0.95 -11.32% 2,584.59 -12.51%
3. Apr 30, 2020 $280.73 23.65% 2,912.43 12.68%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2024 $406.96 0.30% 6,032.38 5.73%
59. Dec 31, 2024 $368.90 $1.63 -8.95% 5,881.63 -2.50%
Average (R): 0.96% 1.16%
Standard deviation: 7.82% 5.28%
Elevance Health Inc. (ELV) Standard & Poor’s 500 (S&P 500)
t Date PriceELV,t1 DividendELV,t1 RELV,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2020 $265.28 3,225.52
1. Feb 29, 2020 $257.09 -3.09% 2,954.22 -8.41%
2. Mar 31, 2020 $227.04 $0.95 -11.32% 2,584.59 -12.51%
3. Apr 30, 2020 $280.73 23.65% 2,912.43 12.68%
4. May 31, 2020 $294.11 4.77% 3,044.31 4.53%
5. Jun 30, 2020 $262.98 $0.95 -10.26% 3,100.29 1.84%
6. Jul 31, 2020 $273.80 4.11% 3,271.12 5.51%
7. Aug 31, 2020 $281.52 2.82% 3,500.31 7.01%
8. Sep 30, 2020 $268.59 $0.95 -4.26% 3,363.00 -3.92%
9. Oct 31, 2020 $272.80 1.57% 3,269.96 -2.77%
10. Nov 30, 2020 $311.52 14.19% 3,621.63 10.75%
11. Dec 31, 2020 $321.09 $0.95 3.38% 3,756.07 3.71%
12. Jan 31, 2021 $296.98 -7.51% 3,714.24 -1.11%
13. Feb 28, 2021 $303.19 2.09% 3,811.15 2.61%
14. Mar 31, 2021 $358.95 $1.13 18.76% 3,972.89 4.24%
15. Apr 30, 2021 $379.39 5.69% 4,181.17 5.24%
16. May 31, 2021 $398.22 4.96% 4,204.11 0.55%
17. Jun 30, 2021 $381.80 $1.13 -3.84% 4,297.50 2.22%
18. Jul 31, 2021 $384.01 0.58% 4,395.26 2.27%
19. Aug 31, 2021 $375.13 -2.31% 4,522.68 2.90%
20. Sep 30, 2021 $372.80 $1.13 -0.32% 4,307.54 -4.76%
21. Oct 31, 2021 $435.13 16.72% 4,605.38 6.91%
22. Nov 30, 2021 $406.23 -6.64% 4,567.00 -0.83%
23. Dec 31, 2021 $463.54 $1.13 14.39% 4,766.18 4.36%
24. Jan 31, 2022 $440.99 -4.86% 4,515.55 -5.26%
25. Feb 28, 2022 $451.85 2.46% 4,373.94 -3.14%
26. Mar 31, 2022 $491.22 $1.28 9.00% 4,530.41 3.58%
27. Apr 30, 2022 $501.93 2.18% 4,131.93 -8.80%
28. May 31, 2022 $509.61 1.53% 4,132.15 0.01%
29. Jun 30, 2022 $482.58 $1.28 -5.05% 3,785.38 -8.39%
30. Jul 31, 2022 $477.10 -1.14% 4,130.29 9.11%
31. Aug 31, 2022 $485.11 1.68% 3,955.00 -4.24%
32. Sep 30, 2022 $454.24 $1.28 -6.10% 3,585.62 -9.34%
33. Oct 31, 2022 $546.77 20.37% 3,871.98 7.99%
34. Nov 30, 2022 $532.92 -2.53% 4,080.11 5.38%
35. Dec 31, 2022 $512.97 $1.28 -3.50% 3,839.50 -5.90%
36. Jan 31, 2023 $499.99 -2.53% 4,076.60 6.18%
37. Feb 28, 2023 $469.67 -6.06% 3,970.15 -2.61%
38. Mar 31, 2023 $459.81 $1.48 -1.78% 4,109.31 3.51%
39. Apr 30, 2023 $468.65 1.92% 4,169.48 1.46%
40. May 31, 2023 $447.82 -4.44% 4,179.83 0.25%
41. Jun 30, 2023 $444.29 $1.48 -0.46% 4,376.86 4.71%
42. Jul 31, 2023 $471.63 6.15% 4,588.96 4.85%
43. Aug 31, 2023 $442.01 -6.28% 4,507.66 -1.77%
44. Sep 30, 2023 $435.42 $1.48 -1.16% 4,288.05 -4.87%
45. Oct 31, 2023 $450.09 3.37% 4,193.80 -2.20%
46. Nov 30, 2023 $479.49 6.53% 4,567.80 8.92%
47. Dec 31, 2023 $471.56 $1.48 -1.35% 4,769.83 4.42%
48. Jan 31, 2024 $493.44 4.64% 4,845.65 1.59%
49. Feb 29, 2024 $501.25 1.58% 5,096.27 5.17%
50. Mar 31, 2024 $518.54 $1.63 3.77% 5,254.35 3.10%
51. Apr 30, 2024 $528.58 1.94% 5,035.69 -4.16%
52. May 31, 2024 $538.48 1.87% 5,277.51 4.80%
53. Jun 30, 2024 $541.86 $1.63 0.93% 5,460.48 3.47%
54. Jul 31, 2024 $532.03 -1.81% 5,522.30 1.13%
55. Aug 31, 2024 $556.89 4.67% 5,648.40 2.28%
56. Sep 30, 2024 $520.00 $1.63 -6.33% 5,762.48 2.02%
57. Oct 31, 2024 $405.76 -21.97% 5,705.45 -0.99%
58. Nov 30, 2024 $406.96 0.30% 6,032.38 5.73%
59. Dec 31, 2024 $368.90 $1.63 -8.95% 5,881.63 -2.50%
Average (R): 0.96% 1.16%
Standard deviation: 7.82% 5.28%

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1 Data in US$ per share of common stock, adjusted for splits and stock dividends.

2 Rate of return on common stock of ELV during period t

3 Rate of return on S&P 500 (the market portfolio proxy) during period t


Variance and Covariance

Elevance Health Inc., calculation of variance and covariance of returns

Microsoft Excel
t Date 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. Feb 29, 2020 -3.09% -8.41% 16.39 91.63 38.75
2. Mar 31, 2020 -11.32% -12.51% 150.81 186.96 167.91
3. Apr 30, 2020 23.65% 12.68% 514.68 132.78 261.42
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2024 0.30% 5.73% 0.44 20.87 -3.04
59. Dec 31, 2024 -8.95% -2.50% 98.27 13.40 36.28
Total (Σ): 3,546.92 1,618.62 1,362.42
t Date 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. Feb 29, 2020 -3.09% -8.41% 16.39 91.63 38.75
2. Mar 31, 2020 -11.32% -12.51% 150.81 186.96 167.91
3. Apr 30, 2020 23.65% 12.68% 514.68 132.78 261.42
4. May 31, 2020 4.77% 4.53% 14.48 11.34 12.81
5. Jun 30, 2020 -10.26% 1.84% 125.95 0.46 -7.60
6. Jul 31, 2020 4.11% 5.51% 9.94 18.91 13.71
7. Aug 31, 2020 2.82% 7.01% 3.45 34.17 10.86
8. Sep 30, 2020 -4.26% -3.92% 27.22 25.85 26.52
9. Oct 31, 2020 1.57% -2.77% 0.37 15.43 -2.38
10. Nov 30, 2020 14.19% 10.75% 175.09 92.03 126.94
11. Dec 31, 2020 3.38% 3.71% 5.84 6.51 6.16
12. Jan 31, 2021 -7.51% -1.11% 71.74 5.18 19.27
13. Feb 28, 2021 2.09% 2.61% 1.28 2.10 1.64
14. Mar 31, 2021 18.76% 4.24% 316.93 9.50 54.88
15. Apr 30, 2021 5.69% 5.24% 22.40 16.66 19.32
16. May 31, 2021 4.96% 0.55% 16.02 0.38 -2.45
17. Jun 30, 2021 -3.84% 2.22% 23.05 1.12 -5.09
18. Jul 31, 2021 0.58% 2.27% 0.15 1.24 -0.43
19. Aug 31, 2021 -2.31% 2.90% 10.72 3.02 -5.69
20. Sep 30, 2021 -0.32% -4.76% 1.64 35.02 7.58
21. Oct 31, 2021 16.72% 6.91% 248.32 33.10 90.66
22. Nov 30, 2021 -6.64% -0.83% 57.81 3.98 15.17
23. Dec 31, 2021 14.39% 4.36% 180.22 10.24 42.96
24. Jan 31, 2022 -4.86% -5.26% 33.94 41.21 37.40
25. Feb 28, 2022 2.46% -3.14% 2.25 18.47 -6.45
26. Mar 31, 2022 9.00% 3.58% 64.56 5.84 19.41
27. Apr 30, 2022 2.18% -8.80% 1.49 99.14 -12.14
28. May 31, 2022 1.53% 0.01% 0.32 1.34 -0.66
29. Jun 30, 2022 -5.05% -8.39% 36.17 91.26 57.46
30. Jul 31, 2022 -1.14% 9.11% 4.40 63.21 -16.67
31. Aug 31, 2022 1.68% -4.24% 0.51 29.22 -3.88
32. Sep 30, 2022 -6.10% -9.34% 49.86 110.27 74.15
33. Oct 31, 2022 20.37% 7.99% 376.71 46.58 132.47
34. Nov 30, 2022 -2.53% 5.38% 12.21 17.76 -14.73
35. Dec 31, 2022 -3.50% -5.90% 19.93 49.82 31.51
36. Jan 31, 2023 -2.53% 6.18% 12.19 25.14 -17.51
37. Feb 28, 2023 -6.06% -2.61% 49.36 14.23 26.50
38. Mar 31, 2023 -1.78% 3.51% 7.54 5.49 -6.44
39. Apr 30, 2023 1.92% 1.46% 0.92 0.09 0.29
40. May 31, 2023 -4.44% 0.25% 29.23 0.83 4.94
41. Jun 30, 2023 -0.46% 4.71% 2.01 12.62 -5.04
42. Jul 31, 2023 6.15% 4.85% 26.96 13.58 19.13
43. Aug 31, 2023 -6.28% -1.77% 52.44 8.60 21.24
44. Sep 30, 2023 -1.16% -4.87% 4.48 36.40 12.77
45. Oct 31, 2023 3.37% -2.20% 5.80 11.28 -8.09
46. Nov 30, 2023 6.53% 8.92% 31.03 60.17 43.21
47. Dec 31, 2023 -1.35% 4.42% 5.32 10.64 -7.52
48. Jan 31, 2024 4.64% 1.59% 13.53 0.18 1.58
49. Feb 29, 2024 1.58% 5.17% 0.39 16.09 2.49
50. Mar 31, 2024 3.77% 3.10% 7.91 3.77 5.46
51. Apr 30, 2024 1.94% -4.16% 0.95 28.33 -5.19
52. May 31, 2024 1.87% 4.80% 0.83 13.26 3.32
53. Jun 30, 2024 0.93% 3.47% 0.00 5.32 -0.07
54. Jul 31, 2024 -1.81% 1.13% 7.70 0.00 0.08
55. Aug 31, 2024 4.67% 2.28% 13.77 1.26 4.16
56. Sep 30, 2024 -6.33% 2.02% 53.19 0.74 -6.26
57. Oct 31, 2024 -21.97% -0.99% 525.81 4.63 49.32
58. Nov 30, 2024 0.30% 5.73% 0.44 20.87 -3.04
59. Dec 31, 2024 -8.95% -2.50% 98.27 13.40 36.28
Total (Σ): 3,546.92 1,618.62 1,362.42

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VarianceELV = Σ(RELV,tRELV)2 ÷ (59 – 1)
= 3,546.92 ÷ (59 – 1)
= 61.15

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91

CovarianceELV, S&P 500 = Σ(RELV,tRELV)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,362.42 ÷ (59 – 1)
= 23.49


Systematic Risk (β) Estimation

Microsoft Excel
VarianceELV 61.15
VarianceS&P 500 27.91
CovarianceELV, S&P 500 23.49
Correlation coefficientELV, S&P 5001 0.57
βELV2 0.84
αELV3 -0.02%

Calculations

1 Correlation coefficientELV, S&P 500
= CovarianceELV, S&P 500 ÷ (Standard deviationELV × Standard deviationS&P 500)
= 23.49 ÷ (7.82% × 5.28%)
= 0.57

2 βELV
= CovarianceELV, S&P 500 ÷ VarianceS&P 500
= 23.49 ÷ 27.91
= 0.84

3 αELV
= AverageELV – βELV × AverageS&P 500
= 0.96%0.84 × 1.16%
= -0.02%


Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF 4.64%
Expected rate of return on market portfolio2 E(RM) 14.89%
Systematic risk (β) of Elevance Health Inc. common stock βELV 0.84
 
Expected rate of return on Elevance Health Inc. common stock3 E(RELV) 13.27%

1 Unweighted average of bid yields on all outstanding fixed-coupon U.S. Treasury bonds neither due or callable in less than 10 years (risk-free rate of return proxy).

2 See details »

3 E(RELV) = RF + βELV [E(RM) – RF]
= 4.64% + 0.84 [14.89%4.64%]
= 13.27%