Chubb Limited Backtesting

Chubb Limited -- USA Stock  

USD 143.07  0.65  0.45%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Chubb Limited and determine expected loss or profit from investing in Chubb Limited over given investment horizon. Check also Chubb Limited Hype Analysis, Chubb Limited Correlation, Chubb Limited Valuation, Chubb Limited Volatility as well as analyze Chubb Limited Alpha and Beta and Chubb Limited Performance
 Time Horizon     30 Days    Login   to change

Chubb Limited 'What if' Analysis

January 24, 2018
No Change 0.00  0.0%
In 31 days
February 23, 2018
If you would invest  0.00  in Chubb Limited on January 24, 2018 and sell it all today you would earn a total of 0.00 from holding Chubb Limited or generate 0.0% return on investment in Chubb Limited over 30 days. Chubb Limited is related to or competes with Alleghany, Everest Re, XL Group, Erie Indemnity, and American Financial. Chubb Limited, through its subsidiaries, provides insurance and reinsurance products worldwide

Chubb Limited Upside/Downside Indicators


Chubb Limited Market Premium Indicators

Chubb Limited lagged returns against current returns

 Current and Lagged Values 

Chubb Limited regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Chubb Limited Backtested Returns

Macroaxis considers Chubb Limited to be not too risky. Chubb Limited secures Sharpe Ratio (or Efficiency) of -0.2066 which signifies that Chubb Limited had -0.2066% of return per unit of risk over the last 1 month. Macroaxis philosophy 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. Chubb Limited exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Chubb Limited Risk Adjusted Performance of 0.30 and Mean Deviation of 1.18 to double-check risk estimate we provide. Macroaxis gives Chubb Limited performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.7664 which signifies that as returns on market increase, Chubb Limited returns are expected to increase less than the market. However during bear market, the loss on holding Chubb Limited will be expected to be smaller as well.. Even though it is essential to pay attention to Chubb Limited historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy 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. Chubb Limited exposes twenty-one different technical indicators which can help you to evaluate its performance. Chubb Limited has expected return of -0.349%. Please be advised to confirm Chubb Limited Jensen Alpha, Potential Upside, Skewness, as well as the relationship between Maximum Drawdown and Semi Variance to decide if Chubb Limited past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.39 

Below average predictability

Chubb Limited has below average predictability. Overlapping area represents the amount of predictability between Chubb Limited time series from January 24, 2018 to February 8, 2018 and February 8, 2018 to February 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 Chubb Limited price movement. The serial correlation of 0.39 indicates that just about 39.0% of current Chubb Limited price fluctuation can be explain by its past prices.
Correlation Coefficient 0.39
Spearman Rank Test 0.1
Price Variance 3.93
Lagged Price Variance 13.01

Chubb Limited Lagged Returns

 Regressed Prices 

Chubb Limited Performance vs DOW

The median price of Chubb Limited for the period between Wed, Jan 24, 2018 and Fri, Feb 23, 2018 is 147.35 with a coefficient of variation of 3.33. The daily time series for the period is distributed with a sample standard deviation of 4.96, arithmetic mean of 149.09, and mean deviation of 4.47. The Stock received some media coverage during the period.
Price Growth (%)  
Chubb Limited exotic insider transaction detected02/01/2018
Klingenstein Fields and Co. LLC Acquires 455 Shares of Chubb...02/22/2018