CVS Health Backtesting

CVS -- USA Stock  

Fiscal Quarter End: December 31, 2019  

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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

CVS Health 'What if' Analysis

September 15, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
December 14, 2019
0.00
If you would invest  0.00  in CVS Health on September 15, 2019 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 90 days. CVS Health is related to or competes with Triple S, Centene, Humana, Magellan Health, Molina Healthcare, and Health Insurance. CVS Health Corporation provides health services and plans in the United States

CVS Health Upside/Downside Indicators

Downside Deviation1.25
Information Ratio0.1274
Maximum Drawdown7.78
Value At Risk(1.60)
Potential Upside1.85

CVS Health Market Premium Indicators

Risk Adjusted Performance0.1071
Jensen Alpha0.164
Total Risk Alpha0.1163
Sortino Ratio0.1347
Treynor Ratio0.1923

CVS Health Backtested Returns

Macroaxis considers CVS Health very steady given 3 months investment horizon. CVS Health secures Sharpe Ratio (or Efficiency) of 0.1805 which signifies that the organization had 0.1805% of return per unit of volatility over the last 3 months. Our approach towards foreseeing volatility of a stock is to use all available market data together with stock 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 0.1071 and Mean Deviation of 1.01 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 12. The firm shows Beta (market volatility) of 1.1064 which signifies that CVS Health returns are very sensitive to returns on the market. as market goes up or down, CVS Health is expected to follow. Although it is extremely important to respect CVS Health historical returns, it is better to be realistic regarding the information on 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. By analyzing CVS Health technical indicators you can now evaluate if the expected return of 0.2411% 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 0.05 
correlation synergy

Virtually no predictability

CVS Health Corporation has virtually no predictability. Overlapping area represents the amount of predictability between CVS Health time series from September 15, 2019 to October 30, 2019 and October 30, 2019 to December 14, 2019. 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 0.05 indicates that only as little as 5.0% of current CVS Health price fluctuation can be explain by its past prices.
Correlation Coefficient0.05
Spearman Rank Test0.15
Residual Average0.0
Price Variance7.96

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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CVS Health Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for CVS Health and Triple S Management. 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 Crypto Portfolio Optimizer module to optimize portfolio of digital coins and token across multiple currency and exchanges.
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