CVS Health Backtesting

CVS Health Corporation -- USA Stock  

USD 71.31  1.54  2.11%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of CVS Health Corporation and determine expected loss or profit from investing in CVS Health over given investment horizon. Check also CVS Health Hype Analysis, CVS Health Correlation, CVS Health Valuation, CVS Health Volatility as well as analyze CVS Health Alpha and Beta and CVS Health Performance
Investment Horizon     30 Days    Login   to change

CVS Health 'What if' Analysis

November 13, 2017
No Change 0.00  0.0%
In 31 days
December 13, 2017
If you would invest  0.00  in CVS Health on November 13, 2017 and sell it all today you would earn a total of 0.00 from holding CVS Health Corporation or generate 0.0% return on investment in CVS Health over 30 days. CVS Health is related to or competes with Laboratory of, MEDNAX, Envision Healthcare, Concord Medical, and Centene. It operates through Pharmacy Services and RetailLTC segments

CVS Health Upside/Downside Indicators


CVS Health Market Premium Indicators

CVS Health lagged returns against current returns

 Current and Lagged Values 

CVS Health regressed lagged prices vs. current prices

 Current vs Lagged Prices 

CVS Health Backtested Returns

We consider CVS Health not too risky. CVS Health secures Sharpe Ratio (or Efficiency) of 0.0035 which signifies that CVS Health had 0.0035% of return per unit of volatility over the last 1 month. Our approach towards foreseeing volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for CVS Health Corporation which you can use to evaluate future volatility of the firm. Please confirm CVS Health Risk Adjusted Performance of 0.043 and Mean Deviation of 1.3 to double-check if risk estimate we provide are consistent with the epected return of 0.0067%. CVS Health has performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 2.3084 which signifies that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, CVS Health will likely underperform.. Although it is extremely important to respect CVS Health historical returns, it is better to be realistic regarding the information on equity current trending patterns. The approach towards foreseeing future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing CVS Health technical indicators you can now evaluate if the expected return of 0.0067% will be sustainable into the future. CVS Health currently shows a risk of 1.9172%. Please confirm CVS Health Value At Risk as well as the relationship between Skewness and Day Median Price to decide if CVS Health will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.48) 

Modest reverse predictability

CVS Health Corporation has modest reverse predictability. Overlapping area represents the amount of predictability between CVS Health time series from November 13, 2017 to November 28, 2017 and November 28, 2017 to December 13, 2017. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of CVS Health price movement. The serial correlation of -0.48 indicates that about 48.0% of current CVS Health price fluctuation can be explain by its past prices. Given that CVS Health Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of CVS Health for similar time interval.
Correlation Coefficient -0.48
Spearman Rank Test -0.15
Price Variance 2.69
Lagged Price Variance 0.62

CVS Health Lagged Returns

 Regressed Prices 

CVS Health Performance vs DOW

The median price of CVS Health for the period between Mon, Nov 13, 2017 and Wed, Dec 13, 2017 is 71.48 with a coefficient of variation of 2.34. The daily time series for the period is distributed with a sample standard deviation of 1.68, arithmetic mean of 71.82, and mean deviation of 1.28. The Stock received some media coverage during the period.
Price Growth (%)  
CVS Health exotic insider transaction detected12/12/2017