CVS Health Backtesting

CVS Health Corporation -- USA Stock  

USD 80.35  0.6  0.74%

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

CVS Health 'What if' Analysis

December 24, 2017
No Change 0.00  0.0%
In 31 days
January 23, 2018
If you would invest  0.00  in CVS Health on December 24, 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, Centene, and . 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

Macroaxis considers CVS Health not too risky given 1 month investment horizon. CVS Health secures Sharpe Ratio (or Efficiency) of 0.3665 which signifies that CVS Health had 0.3665% 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. By analyzing CVS Health technical indicators you can now evaluate if the expected return of 0.5053% is justified by implied risk. Please makes use of CVS Health Risk Adjusted Performance of 0.1725 and Mean Deviation of 1.08 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 24. The firm shows Beta (market volatility) of -0.3451 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. We have found twenty-seven technical indicators for CVS Health Corporation which you can use to evaluate performance of the firm. Please makes use of CVS Health Potential Upside as well as the relationship between Kurtosis and Day Typical Price to make a quick decision on weather CVS Health price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.6 

Good predictability

CVS Health Corporation has good predictability. Overlapping area represents the amount of predictability between CVS Health time series from December 24, 2017 to January 8, 2018 and January 8, 2018 to January 23, 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 0.6 indicates that roughly 60.0% of current CVS Health price fluctuation can be explain by its past prices.
Correlation Coefficient 0.6
Spearman Rank Test 0.48
Price Variance 0.72
Lagged Price Variance 4.35

CVS Health Lagged Returns

 Regressed Prices 

CVS Health Performance vs DOW

The median price of CVS Health for the period between Sun, Dec 24, 2017 and Tue, Jan 23, 2018 is 77.44 with a coefficient of variation of 3.89. The daily time series for the period is distributed with a sample standard deviation of 2.96, arithmetic mean of 76.18, and mean deviation of 2.75. The Stock received some media coverage during the period.
Price Growth (%)  
CVS Health Dividend Will Keep Growing Sharply01/22/2018