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CVS Health Backtesting

<div class='circular--portrait' style='background:#2A0CD0;color: white;font-size:3em;padding-top: 40px;;'>CVS</div>
CVS -- USA Stock  

Fiscal Quarter End: March 31, 2020  

With this equity back-testing module your can estimate the performance of a buy and hold strategy of CVS Health Corporation and determine expected loss or profit from investing in CVS Health over given investment horizon. Continue to CVS Health Hype Analysis, CVS Health Correlation, CVS Health Valuation, CVS Health Volatility as well as analyze CVS Health Alpha and Beta and CVS Health Performance.
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Backtest

CVS Health 'What if' Analysis

0.00
11/29/2019
No Change 0.00  0.0 
In 3 months and 1 day
02/27/2020
0.00
If you would invest  0.00  in CVS Health on November 29, 2019 and sell it all today you would earn a total of 0.00 from holding CVS Health Corporation or generate 0.0% return on investment in CVS Health over 90 days. CVS Health is related to or competes with Cigna, Centene, Triple S, Humana, Molina Healthcare, and Health Insurance. CVS Health Corporation provides health services and plans in the United States

CVS Health Upside/Downside Indicators

Information Ratio(0.13)
Maximum Drawdown9.2
Value At Risk(2.71)
Potential Upside1.78

CVS Health Market Premium Indicators

Risk Adjusted Performance(0.17)
Jensen Alpha(0.22)
Total Risk Alpha(0.17)
Treynor Ratio(0.34)

CVS Health Backtested Returns

Macroaxis considers CVS Health to be very steady. CVS Health secures Sharpe Ratio (or Efficiency) of -0.2171 which signifies that the organization had -0.2171% of return per unit of volatility over the last 3 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 Mean Deviation of 1.14 and Risk Adjusted Performance of (0.17) to double-check risk estimate we provide. The firm shows Beta (market volatility) of 0.8076, which signifies that 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. Even though it is essential to pay attention to CVS Health historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis approach towards foreseeing future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. CVS Health Corporation exposes twenty-eight different technical indicators, which can help you to evaluate its performance. CVS Health has an expected return of -0.3631%. Please be advised to confirm CVS Health Value At Risk as well as the relationship between Skewness and Day Median Price to decide if CVS Health stock performance from the past will be repeated at future time.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation 0.27 
correlation synergy

Poor predictability

CVS Health Corporation has poor predictability. Overlapping area represents the amount of predictability between CVS Health time series from November 29, 2019 to January 13, 2020 and January 13, 2020 to February 27, 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of CVS Health price movement. The serial correlation of 0.27 indicates that nearly 27.0% of current CVS Health price fluctuation can be explain by its past prices.
Correlation Coefficient0.27
Spearman Rank Test0.41
Residual Average0.0
Price Variance5.28

CVS Health lagged returns against current returns

 Current and Lagged Values 
    
  Timeline 

CVS Health regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
  Timeline 

CVS Health Lagged Returns

 Regressed Prices 
    
  Timeline 

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CVS Health Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for CVS Health and Cigna. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Continue to CVS Health Hype Analysis, CVS Health Correlation, CVS Health Valuation, CVS Health Volatility as well as analyze CVS Health Alpha and Beta and CVS Health Performance. Please also try Money Flow Index module to determine momentum by analyzing money flow index and other technical indicators.