CVS CVS Health

Fundamental Data

Get detailed Fundamental insights of CVS Health and compare it to the S&P500.
YTD Return
CVS -26.76%
vs.
SPY +18.46%
1-Year Return
CVS -18.40%
vs.
SPY +27.00%
3-Year Return
CVS -8.92%
vs.
SPY +5.68%

Worst 10 Drawdowns of CVS

Started Recovered Drawdown Days
Jul 30, 2015 Sep 17, 2024 -54.05% 3338
Mar 24, 2015 Jun 17, 2015 -5.57% 86
Jan 27, 2015 Feb 9, 2015 -2.82% 14
Mar 3, 2015 Mar 13, 2015 -2.55% 11
Jun 24, 2015 Jul 9, 2015 -2.14% 16
Feb 19, 2015 Feb 25, 2015 -1.42% 7
Mar 17, 2015 Mar 20, 2015 -1.31% 4
Jul 23, 2015 Jul 27, 2015 -1.09% 5
Jul 21, 2015 Jul 21, 2015 -0.83% 1
Jan 9, 2015 Jan 15, 2015 -0.82% 7

CVS vs. S&P500

Comparison of company stats against the S&P500 Index.

Time Period between January 5, 2015 - September 17, 2024

Annual Return (%)

CVS
S&P500
Metric CVS S&P500
Cumulative Return -39.19% +174.09%
Compound Annual Growth Rate (CAGR) -3.48% +7.44%
Sharpe -0.06 0.67
Sortino -0.08 0.94
Max Drawdown -54.05% -34.1%
Longest Drawdown Days 3338 745
Volatility (ann.) 26.69% 17.83%
Correlation 48.24% -
R^2 0.23 -
Calmar -0.06 0.22
Skew -0.84 -0.55
Kurtosis 10.50 12.49
Expected Daily -0.02% +0.04%
Expected Monthly -0.42% +0.87%
Expected Yearly -4.85% +10.61%
Kelly Criterion -2.24% 5.11%
Risk of Ruin 0% 0%
Daily Value-at-Risk -2.77% -1.80%
Expected Shortfall (cVaR) -2.77% -1.80%
Max Consecutive Wins 12 10
Max Consecutive Losses 10 8
Gain/Pain Ratio -0.01 0.14
Gain/Pain (1M) -0.05 0.78
Payoff Ratio 0.94 0.93
Profit Factor 0.99 1.14
Outlier Win Ratio 3.11 4.88
Outlier Loss Ratio 3.40 5.25
MTD +1.03% -0.11%
3M -3.97% +3.74%
6M -25.28% +10.44%
Best Day +10.90% +9.06%
Worst Day -16.84% -10.94%
Best Month +20.86% +12.70%
Worst Month -18.30% -13.00%
Best Year +51.04% +28.79%
Worst Year -26.76% -19.48%
Avg. Drawdown -5.28% -1.83%
Avg. Drawdown Days 250 22
Recovery Factor 0.27 3.41
Ulcer Index 0.33 0.08
Avg. Up Month +6.03% +3.81%
Avg. Down Month -6.19% -4.11%
Win Days 50.45% 54.39%
Win Month 47.86% 66.67%
Win Quarter 53.85% 76.92%
Win Year 30.00% 70.00%