CVS Health Information Ratio

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CVS Health Corporation has current Information Ratio of (0.11). The Information Ratio is the ratio of the alpha component of total returns to the standard deviation of these excess alpha returns. The alpha component is the return that is attributable to the manager skill to time the market and is the residual after taking out the risk free return and the beta components from the total returns. While the Sharpe ratio considers the standard deviation of the total returns, the information ratio considers the variability of only the alpha component of the return (which also forms the numerator). In other words, the information ratio is merely Jensen alpha divided by its standard deviation.
CVS Health 
INFOR 
 = 
ER[a] - ER[b] 
STD[a] 
 = 
(0.11)
ER[a] =   Expected return on investing in CVS Health
ER[b] =   Expected return on market index or selected benchmark
STD[a] =   Standard Deviation of returns on CVS Health

Information Ratio Comparison

CVS Health Corporation is rated fourth in information ratio category among related companies. It is currently under evaluation in maximum drawdown category among related companies .
The higher the information ratio, the greater the chances of the manager to make money in the future. The information ratio only looks to compute the return per unit of risk undertaken for the alpha component. This is important because alpha returns are risky, as they represent a zero sum game for the market as a whole. In fact, average alpha for the market as a whole is in practice slightly less than zero because of transaction and other costs. Therefore it is easy for a manager to take on ?alpha risk? and lose money that will bite into the beta returns.
Compare CVS Health to competition
CVS Health Corporationration, together with its subsidiaries, offer integrated pharmacy health care services. more
NameCVS Health Corporation
Analyst Consensus
Piotroski F Score
Macroaxis Advice
Bond Rating
BBB+Good
InstrumentUSA Stock
RegionNorth America
ExchangeNew York Stock Exchange
CIK Number00064803.0
ISINUS1266501006
CUSIP126650100
CurrencyUSD - US Dollar