Cigna Backtesting

CI -- USA Stock  

USD 185.48  0.18  0.1%

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

Cigna 'What if' Analysis

July 18, 2018
No Change 0.00  0.0%
In 31 days
August 17, 2018
If you would invest  0.00  in Cigna on July 18, 2018 and sell it all today you would earn a total of 0.00 from holding Cigna Corporation or generate 0.0% return on investment in Cigna over 30 days. Cigna is related to or competes with American Equity, Aetna, Aflac Incorporated, CNO Financial, Humana, and LINCOLN NATL. Cigna Corporation, a health services organization, provides insurance and related products and services in the United St...

Cigna Upside/Downside Indicators

Downside Deviation1.05
Information Ratio0.2189
Maximum Drawdown6.26
Value At Risk1.15
Potential Upside3.26

Cigna Market Premium Indicators

Risk Adjusted Performance0.1547
Jensen Alpha0.3914
Total Risk Alpha0.2321
Sortino Ratio0.3062
Treynor Ratio1.59

Cigna Backtested Returns

Macroaxis considers Cigna not too risky given 1 month investment horizon. Cigna secures Sharpe Ratio (or Efficiency) of 0.1654 which signifies that Cigna had 0.1654% 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-one technical indicators for Cigna Corporation which you can use to evaluate future volatility of the firm. Please makes use of Cigna Downside Deviation of 1.05, Risk Adjusted Performance of 0.1547 and Mean Deviation of 1.1 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Cigna holds performance score of 10. The firm shows Beta (market volatility) of -0.2371 which signifies that as returns on market increase, returns on owning Cigna are expected to decrease at a much smaller rate. During bear market, Cigna is likely to outperform the market.. Although it is extremely important to respect Cigna historical returns, it is better to be realistic regarding the information on equity current trending patterns. 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 Cigna technical indicators you can presently evaluate if the expected return of 0.2007% will be sustainable into the future. Please makes use of Cigna Coefficient Of Variation, Maximum Drawdown, Skewness, as well as the relationship between Information Ratio and Downside Variance to make a quick decision on weather Cigna price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.26) 

Weak reverse predictability

Cigna Corporation has weak reverse predictability. Overlapping area represents the amount of predictability between Cigna time series from July 18, 2018 to August 2, 2018 and August 2, 2018 to August 17, 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 Cigna price movement. The serial correlation of -0.26 indicates that nearly 26.0% of current Cigna price fluctuation can be explain by its past prices. Given that Cigna Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Cigna for similar time interval.
Correlation Coefficient -0.26
Spearman Rank Test -0.01
Price Variance 5.86
Lagged Price Variance 3.26

Cigna lagged returns against current returns

 Current and Lagged Values 

Cigna regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Cigna Lagged Returns

 Regressed Prices 

Current Sentiment - CI

Cigna Investor Sentiment
Larger part of Macroaxis users are currently bullish on Cigna Corporation. What is your opinion about investing in Cigna Corporation? Are you bullish or bearish?
98% Bullish
2% Bearish

Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Cigna and American Equity Inve. 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
Run Pair Correlation  
Check also Cigna Hype Analysis, Cigna Correlation, Cigna Valuation, Cigna Volatility as well as analyze Cigna Alpha and Beta and Cigna Performance. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.