CVS Health Backtesting

CVS -- USA Stock  

USD 71.88  1.49  2.03%

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

October 15, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
December 14, 2018
0.00
If you would invest  0.00  in CVS Health on October 15, 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 60 days. CVS Health is related to or competes with Cigna, Express Scripts, Centene, Humana, Molina Healthcare, and Health Insurance. CVS Health Corporation, together with its subsidiaries, provides integrated pharmacy health care services

CVS Health Upside/Downside Indicators

Information Ratio0.0033
Maximum Drawdown12.16
Value At Risk(3.64)
Potential Upside3.54
  

CVS Health Market Premium Indicators

Risk Adjusted Performance(0.006166)
Jensen Alpha(0.006871)
Total Risk Alpha0.0598
Treynor Ratio(0.05)

CVS Health Backtested Returns

Macroaxis considers CVS Health to be not too risky. CVS Health secures Sharpe Ratio (or Efficiency) of -0.0113 which signifies that CVS Health had -0.0113% 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 (0.006166) and Mean Deviation of 1.7 to double-check risk estimate we provide. Macroaxis gives CVS Health performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.6402 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 expected return of -0.021%. 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 past performance will be repeated at future time.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.74) 
correlation synergy

Almost perfect reverse predictability

CVS Health Corporation has almost perfect reverse predictability. Overlapping area represents the amount of predictability between CVS Health time series from October 15, 2018 to November 14, 2018 and November 14, 2018 to December 14, 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 -0.74 indicates that around 74.0% of current CVS Health price fluctuation can be explain by its past prices. Given that CVS Health Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of CVS Health for similar time interval.
Correlation Coefficient-0.74
Spearman Rank Test-0.05
Residual Average0.0
Price Variance7.67

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 Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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