CVS Health Backtesting

CVS -- USA Stock  

USD 73.68  0.01  0.0136%

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.
 Time Horizon     30 Days    Login   to change
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Backtest

CVS Health 'What if' Analysis

July 23, 2018
0.00
No Change 0.00  0.0%
In 30 days
August 22, 2018
0.00
If you would invest  0.00  in CVS Health on July 23, 2018 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, Centene, Community Health, and DAVITA INC. CVS Health Corporation, together with its subsidiaries, provides integrated pharmacy health care services

CVS Health Upside/Downside Indicators

Information Ratio0.2218
Maximum Drawdown4.95
Value At Risk1.25
Potential Upside2.71
  

CVS Health Market Premium Indicators

Risk Adjusted Performance0.1918
Jensen Alpha0.5049
Total Risk Alpha0.1347
Treynor Ratio2.59

CVS Health Backtested Returns

Macroaxis considers CVS Health not too risky given 1 month investment horizon. CVS Health secures Sharpe Ratio (or Efficiency) of 0.3111 which signifies that CVS Health had 0.3111% 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-one technical indicators for CVS Health Corporation which you can use to evaluate future volatility of the firm. Please makes use of CVS Health Risk Adjusted Performance of 0.1918 and Mean Deviation of 1.02 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 CVS Health holds performance score of 20. The firm shows Beta (market volatility) of -0.1854 which signifies that as returns on market increase, returns on owning CVS Health are expected to decrease at a much smaller rate. During bear market, CVS Health is likely to outperform the market.. Although it is vital to follow to CVS Health historical returns, it is good to be conservative about what you can actually do with the information regarding 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 0.4906% will be sustainable into the future. Please makes use of CVS Health Variance, Value At Risk as well as the relationship between Value At Risk and Skewness to make a quick decision on weather CVS Health price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.62) 

Very good reverse predictability

CVS Health Corporation has very good reverse predictability. Overlapping area represents the amount of predictability between CVS Health time series from July 23, 2018 to August 7, 2018 and August 7, 2018 to August 22, 2018. 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 -0.62 indicates that roughly 62.0% 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 -0.62
Spearman Rank Test -0.57
Price Variance 7.57
Lagged Price Variance 1.15

CVS Health lagged returns against current returns

 Current and Lagged Values 
      Timeline 

CVS Health regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

CVS Health Lagged Returns

 Regressed Prices 
      Timeline 

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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for CVS Health and Laboratory of America. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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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. Please also try Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of macroaxis ideas.