Axis Capital Backtesting

AXS -- USA Stock  

Earning Report: October 29, 2019  

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

Axis Capital 'What if' Analysis

July 22, 2019
No Change 0.00  0.0 
In 2 months and 31 days
October 20, 2019
If you would invest  0.00  in Axis Capital on July 22, 2019 and sell it all today you would earn a total of 0.00 from holding Axis Capital Holdings Limited or generate 0.0% return on investment in Axis Capital over 90 days. Axis Capital is related to or competes with Loews, Chubb, EMC Insurance, FAIRFAX FINANCIAL, American Financial, Atlas Financial, and Allstate. AXIS Capital Holdings Limited, through its subsidiaries, provides various specialty insurance and reinsurance products w...

Axis Capital Upside/Downside Indicators

Downside Deviation1.15
Information Ratio0.1002
Maximum Drawdown6.95
Value At Risk(1.89)
Potential Upside1.67

Axis Capital Market Premium Indicators

Risk Adjusted Performance0.0808
Jensen Alpha0.089
Total Risk Alpha0.1149
Sortino Ratio0.0967
Treynor Ratio0.2778

Axis Capital Holdings Backtested Returns

We consider Axis Capital very steady. Axis Capital Holdings secures Sharpe Ratio (or Efficiency) of 0.0833 which signifies that the organization had 0.0833% 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 Axis Capital Holdings Limited which you can use to evaluate future volatility of the firm. Please confirm Axis Capital Holdings Risk Adjusted Performance of 0.0808, Downside Deviation of 1.15 and Mean Deviation of 0.7759 to double-check if risk estimate we provide are consistent with the epected return of 0.0928%. Axis Capital has performance score of 5 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.2885 which signifies that as returns on market increase, Axis Capital returns are expected to increase less than the market. However during bear market, the loss on holding Axis Capital will be expected to be smaller as well. Although it is extremely important to respect Axis Capital Holdings 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 Axis Capital Holdings technical indicators you can presently evaluate if the expected return of 0.0928% will be sustainable into the future. Axis Capital Holdings right now shows a risk of 1.1148%. Please confirm Axis Capital Holdings Information Ratio as well as the relationship between Potential Upside and Kurtosis to decide if Axis Capital Holdings will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.24 
correlation synergy

Weak predictability

Axis Capital Holdings Limited has weak predictability. Overlapping area represents the amount of predictability between Axis Capital time series from July 22, 2019 to September 5, 2019 and September 5, 2019 to October 20, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Axis Capital Holdings price movement. The serial correlation of 0.24 indicates that over 24.0% of current Axis Capital price fluctuation can be explain by its past prices.
Correlation Coefficient0.24
Spearman Rank Test-0.54
Residual Average0.0
Price Variance2.17

Axis Capital Holdings lagged returns against current returns

 Current and Lagged Values 

Axis Capital regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Axis Capital Lagged Returns

 Regressed Prices 

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Axis Capital Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Axis Capital and Loews. 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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Check also Axis Capital Hype Analysis, Axis Capital Correlation, Axis Capital Valuation, Axis Capital Volatility as well as analyze Axis Capital Alpha and Beta and Axis Capital Performance. Please also try Theme Ratings module to determine theme ratings based on digital equity recommendations. macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.