CVS Health Backtesting

CVS Health Corporation -- USA Stock  

USD 65.12  0.74  1.12%

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
SymbolX
Backtest

CVS Health 'What if' Analysis

February 21, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
April 22, 2018
0.00
If you would invest  0.00  in CVS Health on February 21, 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 60 days. CVS Health is related to or competes with Laboratory of, MEDNAX, Envision Healthcare, Concord Medical, Centene, Community Health, and DAVITA INC. CVS Health Corporation, together with its subsidiaries, provides integrated pharmacy health care services

CVS Health Upside/Downside Indicators

Information Ratio0.079834
Maximum Drawdown5.46
Value At Risk1.98
Potential Upside2.72
  

CVS Health Market Premium Indicators

Risk Adjusted Performance0.23
Jensen Alpha0.23
Total Risk Alpha0.13
Treynor Ratio3.65

CVS Health Backtested Returns

Macroaxis considers CVS Health to be not too risky. CVS Health secures Sharpe Ratio (or Efficiency) of -0.0753 which signifies that CVS Health had -0.0753% of return per unit of volatility over the last 2 months. 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 0.23 and Mean Deviation of 1.24 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 -0.061 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.. 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 -0.1151%. 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(0.59) 

Good reverse predictability

CVS Health Corporation has good reverse predictability. Overlapping area represents the amount of predictability between CVS Health time series from February 21, 2018 to March 23, 2018 and March 23, 2018 to April 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 -0.59 indicates that roughly 59.0% 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 -0.59
Spearman Rank Test -0.41
Price Variance 3.35
Lagged Price Variance 3.61

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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Diversify in USA Market
The main assumption in equity investing is that a higher degree of volatility (or risk) means a higher potential (or expected) return on investment. Conversely, investors who take on a low degree of risk have a low expection for return.
Diversify Portfolios
You can create optimal portfolios in USA market or optimize your existing portfolio in one of two ways: 1) For any level of risk, select the one which has the highest expected return. 2) For any expected return, select the one which has the lowest volatility.
Diversify Portfolios
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 Bollinger Bands module to use bollinger bands indicator to analyze target price for a given investing horizon.