Macroaxis considers CVS Health to be not too risky. CVS Health secures Sharpe Ratio (or Efficiency) of -0.0817 which signifies that CVS Health had -0.0817% 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
(0.038434) and Mean Deviation of 1.35 to double-check risk estimate we provide.
|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 TrendCheck current 30 days CVS Health correlation with market (DOW)|
β = 0.8445
CVS Health Central Daily Price Deviation
CVS Health Technical Analysis
CVS Health Projected Return Density Against MarketConsidering 30-days investment horizon, CVS Health has beta of 0.8445 . 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 0.0701 implying that it can potentially generate 0.0701% excess return over DOW after adjusting for the inherited market risk (beta).
Predicted Return Density
Considering 30-days investment horizon, the coefficient of variation of CVS Health is -1224.03. The daily returns are destributed with a variance of 3.79 and standard deviation of 1.95. The mean deviation of CVS Health Corporation is currently at 1.45. For similar time horizon, the selected benchmark (DOW) has volatility of 1.32
|Alpha over DOW||=||0.07|
|Beta against DOW||=||0.84|
CVS Health Return VolatilityCVS Health Corporation has volatility of 1.9468% on return distribution over 30 days investment horizon. DOW inherits 1.3328% risk (volatility on return distribution) over the 30 days horizon.
CVS Health Corporation has a volatility of 1.95 and is 1.47 times more volatile than DOW. 17% 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 17 (%) of all global equities and portfolios over the last 30 days. Use CVS Health Corporation to protect against small markets fluctuations. The stock experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of CVS Health to be traded at $66.21 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