Cigna Backtesting

Cigna Corporation -- USA Stock  

USD 169.94  1.79  1.04%

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
SymbolX
Backtest

Cigna 'What if' Analysis

February 22, 2018
0.00
No Change 0.00  0.0%
In 2 months and 1 day
April 23, 2018
0.00
If you would invest  0.00  in Cigna on February 22, 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 60 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

Information Ratio0.088552
Maximum Drawdown12.96
Value At Risk1.99
Potential Upside1.94
  

Cigna Market Premium Indicators

Risk Adjusted Performance0.21
Jensen Alpha0.24
Total Risk Alpha0.16
Treynor Ratio0.68

Cigna Backtested Returns

Macroaxis considers Cigna to be not too risky. Cigna secures Sharpe Ratio (or Efficiency) of -0.1217 which signifies that Cigna had -0.1217% of return per unit of risk over the last 2 months. 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. Cigna Corporation exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Cigna Risk Adjusted Performance of 0.21 and Mean Deviation of 1.23 to double-check risk estimate we provide. Macroaxis gives Cigna performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.4172 which signifies that as returns on market increase, Cigna returns are expected to increase less than the market. However during bear market, the loss on holding Cigna will be expected to be smaller as well.. Even though it is essential to pay attention to Cigna 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. Cigna Corporation exposes twenty-one different technical indicators which can help you to evaluate its performance. Cigna has expected return of -0.2646%. Please be advised to confirm Cigna Coefficient Of Variation, Maximum Drawdown, Skewness, as well as the relationship between Information Ratio and Downside Variance to decide if Cigna past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.77) 

Almost perfect reverse predictability

Cigna Corporation has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Cigna time series from February 22, 2018 to March 24, 2018 and March 24, 2018 to April 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 Cigna price movement. The serial correlation of -0.77 indicates that around 77.0% 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 -0.77
Spearman Rank Test -0.73
Price Variance 7.57
Lagged Price Variance 179.75

Cigna lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Cigna regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Cigna Lagged Returns

 Regressed Prices 
      Timeline 

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?
Bullish
Bearish
98% Bullish
2% Bearish
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BATS Exchange Efficient Frontier

Diversify in USA Market
The main assumption in equity investing is that a higher degree of volatility (or risk) means a higher potential (or expected) return on investment. Conversely, investors who take on a low degree of risk have a low expection for return.
Diversify Portfolios
You can create optimal portfolios in USA market or optimize your existing portfolio in one of two ways: 1) For any level of risk, select the one which has the highest expected return. 2) For any expected return, select the one which has the lowest volatility.
Diversify Portfolios
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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.