CVS Health Backtesting

CVS -- USA Stock  

USD 66.14  0.88  1.35%

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

June 22, 2018
0.00
No Change 0.00  0.0%
In 31 days
July 22, 2018
0.00
If you would invest  0.00  in CVS Health on June 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 Ratio0.27
Maximum Drawdown7.64
Value At Risk2.59
Potential Upside1.74
  

CVS Health Market Premium Indicators

Risk Adjusted Performance0.1
Jensen Alpha0.20
Total Risk Alpha0.79
Treynor Ratio0.1847

CVS Health Backtested Returns

Macroaxis considers CVS Health to be not too risky. CVS Health secures Sharpe Ratio (or Efficiency) of -0.2497 which signifies that CVS Health had -0.2497% 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 0.1 and Mean Deviation of 1.38 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 -2.2399 which signifies that as returns on market increase, returns on owning CVS Health are expected to decrease by larger amounts. On the other hand, during market turmoil, CVS Health is expected to significantly outperform it.. 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 -0.4621%. 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 0.09 

Virtually no predictability

CVS Health Corporation has virtually no predictability. Overlapping area represents the amount of predictability between CVS Health time series from June 22, 2018 to July 7, 2018 and July 7, 2018 to July 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 0.09 indicates that less than 9.0% of current CVS Health price fluctuation can be explain by its past prices.
Correlation Coefficient 0.09
Spearman Rank Test 0.48
Price Variance 1.32
Lagged Price Variance 7.58

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 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
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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 Pair Correlation module to compare performance and examine historical correlation between any two equity instruments.
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