CVS Health Backtesting

CVS -- USA Stock  

USD 61.39  1.11  1.84%

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

June 20, 2019
0.00
No Change 0.00  0.0%
In 2 months and 2 days
August 19, 2019
0.00
If you would invest  0.00  in CVS Health on June 20, 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 60 days. CVS Health is related to or competes with Anthem, Health Insurance, COMPREHENSIVE CARE, Cisco Systems, Magellan Health, Molina Healthcare, and Humana. CVS Health Corporation provides health services and plans in the United States

CVS Health Upside/Downside Indicators

Downside Deviation1.19
Information Ratio0.1693
Maximum Drawdown9.61
Value At Risk(2.00)
Potential Upside2.45

CVS Health Market Premium Indicators

Risk Adjusted Performance0.1467
Jensen Alpha0.2886
Total Risk Alpha0.3241
Sortino Ratio0.2463
Treynor Ratio0.3012

CVS Health Backtested Returns

Macroaxis considers CVS Health very steady given 2 months investment horizon. CVS Health secures Sharpe Ratio (or Efficiency) of 0.185 which signifies that the organization had 0.185% of return per unit of volatility over the last 2 months. 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 Mean Deviation of 1.19 and Risk Adjusted Performance of 0.1467 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 12. The firm shows Beta (market volatility) of 0.8598 which signifies that CVS Health returns are very sensitive to returns on the market. as market goes up or down, CVS Health is expected to follow. 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 0.3185% 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 0.65 
correlation synergy

Good predictability

CVS Health Corporation has good predictability. Overlapping area represents the amount of predictability between CVS Health time series from June 20, 2019 to July 20, 2019 and July 20, 2019 to August 19, 2019. 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 0.65 indicates that roughly 65.0% of current CVS Health price fluctuation can be explain by its past prices.
Correlation Coefficient0.65
Spearman Rank Test0.63
Residual Average0.0
Price Variance4.11

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 Anthem. 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 Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.
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