CVS Health Risk Analysis And Volatility Evaluation

CVS -- USA Stock  

USD 79.59  0.63  0.80%

Macroaxis considers CVS Health not too risky given 1 month investment horizon. CVS Health secures Sharpe Ratio (or Efficiency) of 0.2357 which signifies that CVS Health had 0.2357% of return per unit of volatility over the last 1 month. 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 0.1114 and Mean Deviation of 1.01 to double-check if our risk estimates are consistent with your expectations.
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.
One Month Beta |Analyze CVS Health Demand Trend
Check current 30 days CVS Health correlation with market (DOW)
β = 0.2186
CVS Health Small BetaCVS Health Beta Legend

CVS Health Technical Analysis

Transformation
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.

CVS Health Projected Return Density Against Market

Considering 30-days investment horizon, CVS Health has beta of 0.2186 . 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 0.3017 implying that it can potentially generate 0.3017% 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 424.28. The daily returns are destributed with a variance of 2.39 and standard deviation of 1.55. The mean deviation of CVS Health Corporation is currently at 1.04. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.30
β
Beta against DOW=0.22
σ
Overall volatility
=1.55
Ir
Information ratio =0.11

CVS Health Return Volatility

CVS Health Corporation has volatility of 1.5466% on return distribution over 30 days investment horizon. DOW inherits 0.4487% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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

Slowly supersedes market

Investment Outlook

CVS Health Investment Opportunity

CVS Health Corporation has a volatility of 1.55 and is 3.44 times more volatile than DOW. 14% 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 14 (%) of all global equities and portfolios over the last 30 days. Use CVS Health Corporation to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of CVS Health to be traded at $87.55 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

Significant 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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