CVS Health Backtested Returns
Macroaxis considers CVS Health to be not too risky. CVS Health
secures Sharpe Ratio (or Efficiency) of -0.162 which signifies that CVS Health
had -0.162% 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 (0.035353) and Mean Deviation of 1.37 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 0.6316 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 -0.3204%. 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.
|15 days auto-correlation||(0.85) |
Excellent reverse predictability
CVS Health Corporation has excellent reverse predictability. Overlapping area represents the amount of predictability between CVS Health time series from October 21, 2017 to November 5, 2017 and November 5, 2017 to November 20, 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 -0.85 indicates that around 85.0% 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|| -0.85|
|Spearman Rank Test|| -0.23|
|Price Variance|| 1.58|
|Lagged Price Variance|| 10.82|
CVS Health Lagged Returns