Anthem Backtesting

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ANTM -- USA Stock  

Fiscal Quarter End: March 31, 2020  

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Anthem and determine expected loss or profit from investing in Anthem over given investment horizon. Please continue to Anthem Hype Analysis, Anthem Correlation, Anthem Valuation, Anthem Volatility as well as analyze Anthem Alpha and Beta and Anthem Performance.

Anthem 'What if' Analysis

November 21, 2019
No Change 0.00  0.0 
In 2 months and 31 days
February 19, 2020
If you would invest  0.00  in Anthem on November 21, 2019 and sell it all today you would earn a total of 0.00 from holding Anthem or generate 0.0% return on investment in Anthem over 90 days. Anthem is related to or competes with Cigna, Centene, CVS Health, Triple S, Humana, Molina Healthcare, and Health Insurance. Anthem, Inc., through its subsidiaries, operates as a health benefits company in the United States

Anthem Upside/Downside Indicators

Downside Deviation2.68
Information Ratio0.0045
Maximum Drawdown17.6
Value At Risk(2.34)
Potential Upside4.07

Anthem Market Premium Indicators

Risk Adjusted Performance0.039
Jensen Alpha(0.008381)
Total Risk Alpha(0.14)
Sortino Ratio0.004
Treynor Ratio0.0688

Anthem Backtested Returns

We consider Anthem very steady. Anthem secures Sharpe Ratio (or Efficiency) of 0.0324 which signifies that the organization had 0.0324% of return per unit of risk over the last 3 months. Our philosophy towards foreseeing volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Anthem which you can use to evaluate future volatility of the firm. Please confirm Anthem Risk Adjusted Performance of 0.039, Downside Deviation of 2.68 and Mean Deviation of 1.38 to double-check if risk estimate we provide are consistent with the epected return of 0.076%. Anthem has performance score of 2 on a scale of 0 to 100. The firm shows Beta (market volatility) of 1.2517 which signifies that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Anthem will likely underperform. Although it is extremely important to respect Anthem 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 Anthem technical indicators you can presently evaluate if the expected return of 0.076% will be sustainable into the future. Anthem right now shows a risk of 2.35%. Please confirm Anthem Variance, Value At Risk as well as the relationship between Value At Risk and Skewness to decide if Anthem will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.56) 
correlation synergy

Good reverse predictability

Anthem has good reverse predictability. Overlapping area represents the amount of predictability between Anthem time series from November 21, 2019 to January 5, 2020 and January 5, 2020 to February 19, 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Anthem price movement. The serial correlation of -0.56 indicates that roughly 56.0% of current Anthem price fluctuation can be explain by its past prices. Given that Anthem has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Anthem for similar time interval.
Correlation Coefficient-0.56
Spearman Rank Test-0.58
Residual Average0.0
Price Variance220.76

Anthem lagged returns against current returns

 Current and Lagged Values 

Anthem regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Anthem Lagged Returns

 Regressed Prices 

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Portfolio Holdings

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Anthem Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Anthem and Cigna. 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
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Please continue to Anthem Hype Analysis, Anthem Correlation, Anthem Valuation, Anthem Volatility as well as analyze Anthem Alpha and Beta and Anthem Performance. Please also try Fundamentals Matrix module to view fundamentals matrix and analyze how accounts are interrelated and interconnected with each other.