CVS Health Backtesting

CVS Health Corporation -- USA Stock  

USD 79.63  0.070000  0.090000%

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
SymbolX
Backtest

CVS Health 'What if' Analysis

August 26, 2017
 0.00 
No Change 0.00  0.0%
In 30 days
September 25, 2017
 0.00 
If you would invest  0.00  in CVS Health on August 26, 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, Alere, 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 
      Timeline 

CVS Health regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

CVS Health Backtested Returns

Macroaxis considers CVS Health not too risky given 1 month investment horizon. CVS Health secures Sharpe Ratio (or Efficiency) of 0.2289 which signifies that CVS Health had 0.2289% 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 0.0423 and Mean Deviation of 0.9111 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 15. The firm shows Beta (market volatility) of 0.3131 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.. 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 patternss. 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 0.2911% 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(0.20) 

Insignificant reverse predictability

CVS Health Corporation has insignificant reverse predictability. Overlapping area represents the amount of predictability between CVS Health time series from August 26, 2017 to September 10, 2017 and September 10, 2017 to September 25, 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 -0.2 indicates that over 20.0% 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 -0.2
Spearman Rank Test -0.3
Price Variance 2.38
Lagged Price Variance 2.86

CVS Health Lagged Returns

 Regressed Prices 
      Timeline 

CVS Health Performance vs DOW

The median price of CVS Health for the period between Sat, Aug 26, 2017 and Mon, Sep 25, 2017 is 79.72 with a coefficient of variation of 3.45. The daily time series for the period is distributed with a sample standard deviation of 2.74, arithmetic mean of 79.44, and mean deviation of 2.24. The Stock received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
CVS Health Corporation is down -5.29 percent on its 30-day h...09/22/2017