CVS Health Backtesting

CVS -- USA Stock  

USD 74.18  0.35  0.47%

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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

CVS Health 'What if' Analysis

September 22, 2018
0.00
No Change 0.00  0.0%
In 30 days
October 22, 2018
0.00
If you would invest  0.00  in CVS Health on September 22, 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 Cigna, Express Scripts, Aetna, Centene, Humana, and Molina Healthcare. CVS Health Corporation, together with its subsidiaries, provides integrated pharmacy health care services

CVS Health Upside/Downside Indicators

Information Ratio0.022011
Maximum Drawdown12.9
Value At Risk4.38
Potential Upside2.37
  

CVS Health Market Premium Indicators

Risk Adjusted Performance0.07
Jensen Alpha0.19
Total Risk Alpha0.2657
Treynor Ratio0.85

CVS Health Backtested Returns

Macroaxis considers CVS Health to be not too volatile. CVS Health secures Sharpe Ratio (or Efficiency) of -0.0776 which signifies that CVS Health had -0.0776% of return per unit of volatility over the last 1 month. Macroaxis approach towards foreseeing risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. CVS Health Corporation exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm CVS Health Risk Adjusted Performance of 0.07 and Mean Deviation of 1.77 to double-check risk estimate we provide. Macroaxis gives CVS Health performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.2862 which signifies that as returns on market increase, CVS Health returns are expected to increase less than the market. However during bear market, the loss on holding CVS Health will be expected to be smaller as well.. Even though it is essential to pay attention to CVS Health historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis approach towards foreseeing future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. CVS Health Corporation exposes twenty-one different technical indicators which can help you to evaluate its performance. CVS Health has expected return of -0.254%. Please be advised to confirm CVS Health Variance, Value At Risk as well as the relationship between Value At Risk and Skewness to decide if CVS Health past performance will be repeated at future time.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.38) 

Poor reverse predictability

CVS Health Corporation has poor reverse predictability. Overlapping area represents the amount of predictability between CVS Health time series from September 22, 2018 to October 7, 2018 and October 7, 2018 to October 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 -0.38 indicates that just about 38.0% 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-0.38
Spearman Rank Test-0.36
Residual Average0.0
Price Variance10.12

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 

Current Sentiment - CVS

CVS Health Investor Sentiment

Predominant part of Macroaxis users are currently bullish on CVS Health Corporation. What is your opinion about investing in CVS Health Corporation? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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CVS Health Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for CVS Health and Cigna. 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
Run Pair Correlation  
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 Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.
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