CVS Health Risk Analysis

CVS Health Corporation -- USA Stock  

USD 73.08  2.28  3.22%

Macroaxis considers CVS Health not too risky given 1 month investment horizon. CVS Health secures Sharpe Ratio (or Efficiency) of 0.1003 which signifies that CVS Health had 0.1003% 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 company 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 0.062 and Mean Deviation of 1.45 to double-check if our risk estimates are consistent with your expectations.
Investment Horizon     30 Days    Login   to change

CVS Health Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, CVS Health will likely underperform.
One Month Beta |Analyze CVS Health Demand Trend
Check current 30 days CVS Health correlation with market (DOW)
β = 2.5497
CVS Health Large 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.

Projected Return Density Against Market

Considering 30-days investment horizon, the stock has beta coefficient of 2.5497 . This suggests as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, CVS Health will likely underperform. 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 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of CVS Health is 996.97. The daily returns are destributed with a variance of 4.34 and standard deviation of 2.08. The mean deviation of CVS Health Corporation is currently at 1.53. For similar time horizon, the selected benchmark (DOW) has volatility of 0.47
α
Alpha over DOW
=0.43
βBeta against DOW=2.55
σ
Overall volatility
=2.08
 IrInformation ratio =0.02

Actual Return Volatility

CVS Health Corporation has volatility of 2.0834% on return distribution over 30 days investment horizon. DOW inherits 0.4606% 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

Hypersensitive to market

Total Debt

CVS Health Total Debt History

Total Debt

Largest Trends

CVS Health Largest Period Trend

Investment Outlook

CVS Health Investment Opportunity
CVS Health Corporation has a volatility of 2.08 and is 4.52 times more volatile than DOW. 19% 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 19 (%) of all global equities and portfolios over the last 30 days. Use CVS Health Corporation to enhance returns of your portfolios. The stock experiences unexpected upward trend. Watch out for market signals. Check odds of CVS Health to be traded at $87.7 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, CVS Health will likely underperform.

CVS Health correlation with market

Poor 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.