Modèle d’évaluation des immobilisations (CAPM)
Le modèle d’évaluation des immobilisations (MEDAF) indique quel devrait être le taux de rendement attendu ou requis sur les actifs risqués comme les actions ordinaires de Regeneron.
Taux de rendement
Regeneron Pharmaceuticals Inc., taux de rendement mensuels
| Regeneron Pharmaceuticals Inc. (REGN) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Date | PrixREGN,t1 | DividendeREGN,t1 | RREGN,t2 | PrixS&P 500,t | RS&P 500,t3 |
| 31 janv. 2018 | $366.65 | 2,823.81 | ||||
| 1. | 28 févr. 2018 | $320.44 | -12.60% | 2,713.83 | -3.89% | |
| 2. | 31 mars 2018 | $344.36 | 7.46% | 2,640.87 | -2.69% | |
| 3. | 30 avr. 2018 | $303.68 | -11.81% | 2,648.05 | 0.27% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 30 nov. 2022 | $751.70 | 0.39% | 4,080.11 | 5.38% | |
| 59. | 31 déc. 2022 | $721.49 | -4.02% | 3,839.50 | -5.90% | |
| Moyenne (R): | 1.59% | 0.67% | ||||
| Écart type: | 9.63% | 5.40% | ||||
| Regeneron Pharmaceuticals Inc. (REGN) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Date | PrixREGN,t1 | DividendeREGN,t1 | RREGN,t2 | PrixS&P 500,t | RS&P 500,t3 |
| 31 janv. 2018 | $366.65 | 2,823.81 | ||||
| 1. | 28 févr. 2018 | $320.44 | -12.60% | 2,713.83 | -3.89% | |
| 2. | 31 mars 2018 | $344.36 | 7.46% | 2,640.87 | -2.69% | |
| 3. | 30 avr. 2018 | $303.68 | -11.81% | 2,648.05 | 0.27% | |
| 4. | 31 mai 2018 | $300.32 | -1.11% | 2,705.27 | 2.16% | |
| 5. | 30 juin 2018 | $344.99 | 14.87% | 2,718.37 | 0.48% | |
| 6. | 31 juil. 2018 | $368.01 | 6.67% | 2,816.29 | 3.60% | |
| 7. | 31 août 2018 | $406.75 | 10.53% | 2,901.52 | 3.03% | |
| 8. | 30 sept. 2018 | $404.04 | -0.67% | 2,913.98 | 0.43% | |
| 9. | 31 oct. 2018 | $339.24 | -16.04% | 2,711.74 | -6.94% | |
| 10. | 30 nov. 2018 | $365.65 | 7.79% | 2,760.17 | 1.79% | |
| 11. | 31 déc. 2018 | $373.50 | 2.15% | 2,506.85 | -9.18% | |
| 12. | 31 janv. 2019 | $429.27 | 14.93% | 2,704.10 | 7.87% | |
| 13. | 28 févr. 2019 | $430.74 | 0.34% | 2,784.49 | 2.97% | |
| 14. | 31 mars 2019 | $410.62 | -4.67% | 2,834.40 | 1.79% | |
| 15. | 30 avr. 2019 | $343.14 | -16.43% | 2,945.83 | 3.93% | |
| 16. | 31 mai 2019 | $301.72 | -12.07% | 2,752.06 | -6.58% | |
| 17. | 30 juin 2019 | $313.00 | 3.74% | 2,941.76 | 6.89% | |
| 18. | 31 juil. 2019 | $304.76 | -2.63% | 2,980.38 | 1.31% | |
| 19. | 31 août 2019 | $290.05 | -4.83% | 2,926.46 | -1.81% | |
| 20. | 30 sept. 2019 | $277.40 | -4.36% | 2,976.74 | 1.72% | |
| 21. | 31 oct. 2019 | $306.28 | 10.41% | 3,037.56 | 2.04% | |
| 22. | 30 nov. 2019 | $369.00 | 20.48% | 3,140.98 | 3.40% | |
| 23. | 31 déc. 2019 | $375.48 | 1.76% | 3,230.78 | 2.86% | |
| 24. | 31 janv. 2020 | $337.94 | -10.00% | 3,225.52 | -0.16% | |
| 25. | 29 févr. 2020 | $444.57 | 31.55% | 2,954.22 | -8.41% | |
| 26. | 31 mars 2020 | $488.29 | 9.83% | 2,584.59 | -12.51% | |
| 27. | 30 avr. 2020 | $525.88 | 7.70% | 2,912.43 | 12.68% | |
| 28. | 31 mai 2020 | $612.81 | 16.53% | 3,044.31 | 4.53% | |
| 29. | 30 juin 2020 | $623.65 | 1.77% | 3,100.29 | 1.84% | |
| 30. | 31 juil. 2020 | $632.07 | 1.35% | 3,271.12 | 5.51% | |
| 31. | 31 août 2020 | $619.93 | -1.92% | 3,500.31 | 7.01% | |
| 32. | 30 sept. 2020 | $559.78 | -9.70% | 3,363.00 | -3.92% | |
| 33. | 31 oct. 2020 | $543.56 | -2.90% | 3,269.96 | -2.77% | |
| 34. | 30 nov. 2020 | $516.03 | -5.06% | 3,621.63 | 10.75% | |
| 35. | 31 déc. 2020 | $483.11 | -6.38% | 3,756.07 | 3.71% | |
| 36. | 31 janv. 2021 | $503.84 | 4.29% | 3,714.24 | -1.11% | |
| 37. | 28 févr. 2021 | $450.57 | -10.57% | 3,811.15 | 2.61% | |
| 38. | 31 mars 2021 | $473.14 | 5.01% | 3,972.89 | 4.24% | |
| 39. | 30 avr. 2021 | $481.30 | 1.72% | 4,181.17 | 5.24% | |
| 40. | 31 mai 2021 | $502.43 | 4.39% | 4,204.11 | 0.55% | |
| 41. | 30 juin 2021 | $558.54 | 11.17% | 4,297.50 | 2.22% | |
| 42. | 31 juil. 2021 | $574.61 | 2.88% | 4,395.26 | 2.27% | |
| 43. | 31 août 2021 | $673.40 | 17.19% | 4,522.68 | 2.90% | |
| 44. | 30 sept. 2021 | $605.18 | -10.13% | 4,307.54 | -4.76% | |
| 45. | 31 oct. 2021 | $639.94 | 5.74% | 4,605.38 | 6.91% | |
| 46. | 30 nov. 2021 | $636.53 | -0.53% | 4,567.00 | -0.83% | |
| 47. | 31 déc. 2021 | $631.52 | -0.79% | 4,766.18 | 4.36% | |
| 48. | 31 janv. 2022 | $608.59 | -3.63% | 4,515.55 | -5.26% | |
| 49. | 28 févr. 2022 | $618.36 | 1.61% | 4,373.94 | -3.14% | |
| 50. | 31 mars 2022 | $698.42 | 12.95% | 4,530.41 | 3.58% | |
| 51. | 30 avr. 2022 | $659.11 | -5.63% | 4,131.93 | -8.80% | |
| 52. | 31 mai 2022 | $664.74 | 0.85% | 4,132.15 | 0.01% | |
| 53. | 30 juin 2022 | $591.13 | -11.07% | 3,785.38 | -8.39% | |
| 54. | 31 juil. 2022 | $581.69 | -1.60% | 4,130.29 | 9.11% | |
| 55. | 31 août 2022 | $581.06 | -0.11% | 3,955.00 | -4.24% | |
| 56. | 30 sept. 2022 | $688.87 | 18.55% | 3,585.62 | -9.34% | |
| 57. | 31 oct. 2022 | $748.75 | 8.69% | 3,871.98 | 7.99% | |
| 58. | 30 nov. 2022 | $751.70 | 0.39% | 4,080.11 | 5.38% | |
| 59. | 31 déc. 2022 | $721.49 | -4.02% | 3,839.50 | -5.90% | |
| Moyenne (R): | 1.59% | 0.67% | ||||
| Écart type: | 9.63% | 5.40% | ||||
Afficher tout
1 Données en $ US par action ordinaire, ajustées pour tenir compte des fractionnements et des dividendes en actions.
2 Taux de rendement des actions ordinaires de REGN au cours de la période t.
3 Taux de rendement du S&P 500 (l’indicateur du portefeuille de marché) au cours de la période t.
Variance et covariance
Regeneron Pharmaceuticals Inc., calcul de la variance et de la covariance des rendements
| t | Date | RREGN,t | RS&P 500,t | (RREGN,t–RREGN)2 | (RS&P 500,t–RS&P 500)2 | (RREGN,t–RREGN)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 28 févr. 2018 | -12.60% | -3.89% | 201.56 | 20.81 | 64.76 |
| 2. | 31 mars 2018 | 7.46% | -2.69% | 34.47 | 11.26 | -19.70 |
| 3. | 30 avr. 2018 | -11.81% | 0.27% | 179.75 | 0.16 | 5.29 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 30 nov. 2022 | 0.39% | 5.38% | 1.44 | 22.17 | -5.65 |
| 59. | 31 déc. 2022 | -4.02% | -5.90% | 31.50 | 43.08 | 36.84 |
| Total (Σ): | 5,381.67 | 1,691.48 | 401.52 | |||
| t | Date | RREGN,t | RS&P 500,t | (RREGN,t–RREGN)2 | (RS&P 500,t–RS&P 500)2 | (RREGN,t–RREGN)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 28 févr. 2018 | -12.60% | -3.89% | 201.56 | 20.81 | 64.76 |
| 2. | 31 mars 2018 | 7.46% | -2.69% | 34.47 | 11.26 | -19.70 |
| 3. | 30 avr. 2018 | -11.81% | 0.27% | 179.75 | 0.16 | 5.29 |
| 4. | 31 mai 2018 | -1.11% | 2.16% | 7.29 | 2.23 | -4.03 |
| 5. | 30 juin 2018 | 14.87% | 0.48% | 176.36 | 0.03 | -2.42 |
| 6. | 31 juil. 2018 | 6.67% | 3.60% | 25.79 | 8.62 | 14.91 |
| 7. | 31 août 2018 | 10.53% | 3.03% | 79.80 | 5.57 | 21.08 |
| 8. | 30 sept. 2018 | -0.67% | 0.43% | 5.11 | 0.06 | 0.54 |
| 9. | 31 oct. 2018 | -16.04% | -6.94% | 310.88 | 57.87 | 134.13 |
| 10. | 30 nov. 2018 | 7.79% | 1.79% | 38.33 | 1.25 | 6.93 |
| 11. | 31 déc. 2018 | 2.15% | -9.18% | 0.31 | 96.91 | -5.44 |
| 12. | 31 janv. 2019 | 14.93% | 7.87% | 177.90 | 51.87 | 96.06 |
| 13. | 28 févr. 2019 | 0.34% | 2.97% | 1.57 | 5.32 | -2.89 |
| 14. | 31 mars 2019 | -4.67% | 1.79% | 39.25 | 1.27 | -7.05 |
| 15. | 30 avr. 2019 | -16.43% | 3.93% | 324.99 | 10.66 | -58.85 |
| 16. | 31 mai 2019 | -12.07% | -6.58% | 186.73 | 52.48 | 98.99 |
| 17. | 30 juin 2019 | 3.74% | 6.89% | 4.60 | 38.77 | 13.35 |
| 18. | 31 juil. 2019 | -2.63% | 1.31% | 17.86 | 0.42 | -2.73 |
| 19. | 31 août 2019 | -4.83% | -1.81% | 41.22 | 6.13 | 15.90 |
| 20. | 30 sept. 2019 | -4.36% | 1.72% | 35.46 | 1.11 | -6.26 |
| 21. | 31 oct. 2019 | 10.41% | 2.04% | 77.74 | 1.89 | 12.14 |
| 22. | 30 nov. 2019 | 20.48% | 3.40% | 356.61 | 7.50 | 51.71 |
| 23. | 31 déc. 2019 | 1.76% | 2.86% | 0.03 | 4.81 | 0.36 |
| 24. | 31 janv. 2020 | -10.00% | -0.16% | 134.37 | 0.69 | 9.61 |
| 25. | 29 févr. 2020 | 31.55% | -8.41% | 897.54 | 82.40 | -271.96 |
| 26. | 31 mars 2020 | 9.83% | -12.51% | 67.90 | 173.67 | -108.60 |
| 27. | 30 avr. 2020 | 7.70% | 12.68% | 37.26 | 144.43 | 73.36 |
| 28. | 31 mai 2020 | 16.53% | 4.53% | 223.10 | 14.91 | 57.68 |
| 29. | 30 juin 2020 | 1.77% | 1.84% | 0.03 | 1.37 | 0.21 |
| 30. | 31 juil. 2020 | 1.35% | 5.51% | 0.06 | 23.46 | -1.18 |
| 31. | 31 août 2020 | -1.92% | 7.01% | 12.35 | 40.19 | -22.28 |
| 32. | 30 sept. 2020 | -9.70% | -3.92% | 127.61 | 21.06 | 51.85 |
| 33. | 31 oct. 2020 | -2.90% | -2.77% | 20.17 | 11.79 | 15.42 |
| 34. | 30 nov. 2020 | -5.06% | 10.75% | 44.34 | 101.77 | -67.17 |
| 35. | 31 déc. 2020 | -6.38% | 3.71% | 63.57 | 9.28 | -24.28 |
| 36. | 31 janv. 2021 | 4.29% | -1.11% | 7.27 | 3.17 | -4.80 |
| 37. | 28 févr. 2021 | -10.57% | 2.61% | 148.03 | 3.77 | -23.63 |
| 38. | 31 mars 2021 | 5.01% | 4.24% | 11.66 | 12.80 | 12.22 |
| 39. | 30 avr. 2021 | 1.72% | 5.24% | 0.02 | 20.94 | 0.60 |
| 40. | 31 mai 2021 | 4.39% | 0.55% | 7.82 | 0.01 | -0.33 |
| 41. | 30 juin 2021 | 11.17% | 2.22% | 91.66 | 2.42 | 14.88 |
| 42. | 31 juil. 2021 | 2.88% | 2.27% | 1.65 | 2.59 | 2.06 |
| 43. | 31 août 2021 | 17.19% | 2.90% | 243.32 | 4.98 | 34.82 |
| 44. | 30 sept. 2021 | -10.13% | -4.76% | 137.47 | 29.42 | 63.59 |
| 45. | 31 oct. 2021 | 5.74% | 6.91% | 17.22 | 39.03 | 25.93 |
| 46. | 30 nov. 2021 | -0.53% | -0.83% | 4.52 | 2.25 | 3.19 |
| 47. | 31 déc. 2021 | -0.79% | 4.36% | 5.67 | 13.65 | -8.80 |
| 48. | 31 janv. 2022 | -3.63% | -5.26% | 27.30 | 35.11 | 30.96 |
| 49. | 28 févr. 2022 | 1.61% | -3.14% | 0.00 | 14.46 | -0.04 |
| 50. | 31 mars 2022 | 12.95% | 3.58% | 128.90 | 8.47 | 33.05 |
| 51. | 30 avr. 2022 | -5.63% | -8.80% | 52.16 | 89.54 | 68.34 |
| 52. | 31 mai 2022 | 0.85% | 0.01% | 0.55 | 0.44 | 0.49 |
| 53. | 30 juin 2022 | -11.07% | -8.39% | 160.46 | 82.06 | 114.75 |
| 54. | 31 juil. 2022 | -1.60% | 9.11% | 10.18 | 71.32 | -26.95 |
| 55. | 31 août 2022 | -0.11% | -4.24% | 2.90 | 24.11 | 8.36 |
| 56. | 30 sept. 2022 | 18.55% | -9.34% | 287.65 | 100.12 | -169.71 |
| 57. | 31 oct. 2022 | 8.69% | 7.99% | 50.39 | 53.58 | 51.96 |
| 58. | 30 nov. 2022 | 0.39% | 5.38% | 1.44 | 22.17 | -5.65 |
| 59. | 31 déc. 2022 | -4.02% | -5.90% | 31.50 | 43.08 | 36.84 |
| Total (Σ): | 5,381.67 | 1,691.48 | 401.52 | |||
Afficher tout
VarianceREGN = Σ(RREGN,t–RREGN)2 ÷ (59 – 1)
= 5,381.67 ÷ (59 – 1)
= 92.79
VarianceS&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16
CovarianceREGN, S&P 500 = Σ(RREGN,t–RREGN)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 401.52 ÷ (59 – 1)
= 6.92
Estimation systématique des risques (β)
| VarianceREGN | 92.79 |
| VarianceS&P 500 | 29.16 |
| CovarianceREGN, S&P 500 | 6.92 |
| Coefficient de corrélationREGN, S&P 5001 | 0.13 |
| βREGN2 | 0.24 |
| αREGN3 | 1.44% |
Calculs
1 Coefficient de corrélationREGN, S&P 500
= CovarianceREGN, S&P 500 ÷ (Écart typeREGN × Écart typeS&P 500)
= 6.92 ÷ (9.63% × 5.40%)
= 0.13
2 βREGN
= CovarianceREGN, S&P 500 ÷ VarianceS&P 500
= 6.92 ÷ 29.16
= 0.24
3 αREGN
= MoyenneREGN – βREGN × MoyenneS&P 500
= 1.59% – 0.24 × 0.67%
= 1.44%
Taux de rendement attendu
| Hypothèses | ||
| Taux de rendement de l’indice composé LT Treasury1 | RF | 4.96% |
| Taux de rendement attendu sur le portefeuille de marché2 | E(RM) | 13.51% |
| Risque systématique d’ Regeneron actions ordinaires | βREGN | 0.24 |
| Taux de rendement attendu des actions ordinaires de Regeneron3 | E(RREGN) | 6.99% |
1 Moyenne non pondérée des rendements acheteurs de toutes les obligations du Trésor américain à coupon fixe en circulation qui ne sont ni exigibles ni exigibles depuis moins de 10 ans (approximation du taux de rendement sans risque).
3 E(RREGN) = RF + βREGN [E(RM) – RF]
= 4.96% + 0.24 [13.51% – 4.96%]
= 6.99%