CVS Health Risk Analysis And Volatility Evaluation

CVS -- USA Stock  

USD 72.82  1.27  1.71%

Macroaxis considers CVS Health to be not too risky. CVS Health secures Sharpe Ratio (or Efficiency) of -0.0285 which signifies that CVS Health had -0.0285% 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-eight 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 (0.045216) and Mean Deviation of 1.82 to double-check risk estimate we provide.
Interest Expense
Horizon     30 Days    Login   to change

CVS Health Market Sensitivity

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.
2 Months Beta |Analyze CVS Health Demand Trend
Check current 30 days CVS Health correlation with market (DOW)
β = 0.7085

CVS Health Central Daily Price Deviation

CVS Health Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. 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.

CVS Health Projected Return Density Against Market

Considering 30-days investment horizon, CVS Health has beta of 0.7085 . This suggests as returns on market go up, CVS Health average returns are expected to increase less than the benchmark. However during bear market, the loss on holding CVS Health Corporation will be expected to be much smaller as well. Moreover, CVS Health Corporation has an alpha of 0.0167 implying that it can potentially generate 0.0167% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of CVS Health is -3510.07. The daily returns are destributed with a variance of 7.95 and standard deviation of 2.82. The mean deviation of CVS Health Corporation is currently at 1.76. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.0167
β
Beta against DOW=0.71
σ
Overall volatility
=2.82
Ir
Information ratio =0.0248

CVS Health Return Volatility

CVS Health Corporation has volatility of 2.8199% on return distribution over 30 days investment horizon. DOW inherits 1.3173% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

CVS Health Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Follows market closely

Investment Outlook

CVS Health Investment Opportunity

CVS Health Corporation has a volatility of 2.82 and is 2.14 times more volatile than DOW. 25% 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 25 (%) of all global equities and portfolios over the last 30 days. Use CVS Health Corporation to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of CVS Health to be traded at $70.64 in 30 days. 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.

CVS Health correlation with market

correlation synergy
Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding CVS Health Corp. and equity matching DJI index in the same portfolio.

CVS Health Volatility Indicators

CVS Health Corporation Current Risk Indicators

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