CVS Health Risk Analysis

CVS Health Corporation -- USA Stock  

USD 65.86  0.21  0.32%

Macroaxis considers CVS Health to be not too risky. CVS Health secures Sharpe Ratio (or Efficiency) of -0.3994 which signifies that CVS Health had -0.3994% 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 0.26 and Mean Deviation of 0.9503 to double-check risk estimate we provide.
 Time Horizon     30 Days    Login   to change

CVS Health Market Sensitivity

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.
One Month Beta |Analyze CVS Health Demand Trend
Check current 30 days CVS Health correlation with market (DOW)
β = -0.0014
CVS Health Almost negative betaCVS Health Beta Legend

CVS Health Technical Analysis

The output start index for this execution was zero with a total number of output elements of seventeen. CVS Health Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Considering 30-days investment horizon, CVS Health Corporation has beta of -0.0014 . This suggests as returns on benchmark increase, returns on holding CVS Health are expected to decrease at a much smaller rate. During bear market, however, CVS Health Corporation is likely to outperform the market. Additionally, CVS Health Corporation has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
Considering 30-days investment horizon, the coefficient of variation of CVS Health is -250.35. The daily returns are destributed with a variance of 1.14 and standard deviation of 1.07. The mean deviation of CVS Health Corporation is currently at 0.85. For similar time horizon, the selected benchmark (DOW) has volatility of 1.17
Alpha over DOW
Beta against DOW=0.0014
Overall volatility
Information ratio =0.24

Actual Return Volatility

CVS Health Corporation has volatility of 1.0681% on return distribution over 30 days investment horizon. DOW inherits 0.9584% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

Market Risk Breakdown

CVS Health Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Indifferent to market move

Total Debt

CVS Health Total Debt History

Total Debt

Largest Trends

CVS Health Largest Period Trend
0.44  0.67%
Lowest period price (30 days)
0.50  0.73%
Highest period price (30 days)

Investment Outlook

CVS Health Investment Opportunity
CVS Health Corporation has a volatility of 1.07 and is 1.11 times more volatile than DOW. 9% of all equities and portfolios are less risky than CVS Health. Compared to the overall equity markets, volatility of historical daily returns of CVS Health Corporation is lower than 9 (%) of all global equities and portfolios over the last 30 days.