Chubb Limited Backtesting

Chubb Limited -- USA Stock  

USD 150.08  0.24  0.16%

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
Investment Horizon     30 Days    Login   to change

Chubb Limited 'What if' Analysis

September 18, 2017
No Change 0.00  0.0%
In 31 days
October 18, 2017
If you would invest  0.00  in Chubb Limited on September 18, 2017 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 Limiteds North America Commercial PC Insurance segment offers commercial property, marine, general casualty, worke...

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

We consider Chubb Limited not too risky. Chubb Limited secures Sharpe Ratio (or Efficiency) of 0.2794 which signifies that Chubb Limited had 0.2794% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty technical indicators for Chubb Limited which you can use to evaluate future volatility of the firm. Please confirm Chubb Limited Coefficient Of Variation of 349.78, Risk Adjusted Performance of 0.0722 and Mean Deviation of 0.5045 to double-check if risk estimate we provide are consistent with the epected return of 0.1953%. Chubb Limited has performance score of 19 on a scale of 0 to 100. The firm shows Beta (market volatility) of 1.9185 which signifies that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Chubb Limited will likely underperform.. Although it is extremely important to respect Chubb Limited historical returns, it is better to be realistic regarding the information on equity current trending patternss. The philosophy 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 Chubb Limited technical indicators you can presently evaluate if the expected return of 0.1953% will be sustainable into the future. Chubb Limited right now shows a risk of 0.6991%. Please confirm Chubb Limited Treynor Ratio, Downside Variance, Kurtosis, as well as the relationship between Value At Risk and Expected Short fall to decide if Chubb Limited will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.24 

Weak predictability

Chubb Limited has weak predictability. Overlapping area represents the amount of predictability between Chubb Limited time series from September 18, 2017 to October 3, 2017 and October 3, 2017 to October 18, 2017. 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 0.24 indicates that over 24.0% of current Chubb Limited price fluctuation can be explain by its past prices.
Correlation Coefficient 0.24
Spearman Rank Test -0.06
Price Variance 3.85
Lagged Price Variance 1.19

Chubb Limited Lagged Returns

 Regressed Prices 

Chubb Limited Performance vs DOW

The median price of Chubb Limited for the period between Mon, Sep 18, 2017 and Wed, Oct 18, 2017 is 144.75 with a coefficient of variation of 1.77. The daily time series for the period is distributed with a sample standard deviation of 2.57, arithmetic mean of 145.06, and mean deviation of 2.12. The Stock received some media coverage during the period.
September 28, 2017Chubb Limited Dividend Paid
Price Growth (%)  
Needle Action Activity Spotted in Chubb Ltd10/17/2017