CVS Health Backtesting

CVS -- USA Stock  

USD 78.96  0.63  0.79%

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. Check also 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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

CVS Health 'What if' Analysis

August 24, 2018
0.00
No Change 0.00  0.0%
In 30 days
September 23, 2018
0.00
If you would invest  0.00  in CVS Health on August 24, 2018 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 30 days. CVS Health is related to or competes with Cigna, Express Scripts, Aetna, Centene, Humana, and Molina Healthcare. CVS Health Corporation, together with its subsidiaries, provides integrated pharmacy health care services

CVS Health Upside/Downside Indicators

Downside Deviation1.8
Information Ratio0.1134
Maximum Drawdown6.68
Value At Risk2.13
Potential Upside2.1
  

CVS Health Market Premium Indicators

Risk Adjusted Performance0.1114
Jensen Alpha0.3017
Total Risk Alpha0.22
Sortino Ratio0.0954
Treynor Ratio1.55

CVS Health Backtested Returns

Macroaxis considers CVS Health not too risky given 1 month investment horizon. CVS Health secures Sharpe Ratio (or Efficiency) of 0.2416 which signifies that CVS Health had 0.2416% 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. On a scale of 0 to 100 CVS Health holds performance score of 16. The firm shows Beta (market volatility) of 0.2186 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.. Although it is vital to follow to CVS Health historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patterns. The approach towards foreseeing future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing CVS Health technical indicators you can now evaluate if the expected return of 0.3828% will be sustainable into the future. Please makes use of CVS Health Variance, Value At Risk as well as the relationship between Value At Risk and Skewness to make a quick decision on weather CVS Health price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.39 

Below average predictability

CVS Health Corporation has below average predictability. Overlapping area represents the amount of predictability between CVS Health time series from August 24, 2018 to September 8, 2018 and September 8, 2018 to September 23, 2018. 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 0.39 indicates that just about 39.0% of current CVS Health price fluctuation can be explain by its past prices.
Correlation Coefficient0.39
Spearman Rank Test0.58
Residual Average0.0
Price Variance1.61

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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Check also 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 Cryptocurrency Arbitrage module to find pairs of digital assets on multiple exchanges that are traded at a risk free arbitrage.
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