Chubb Backtesting

CB -- USA Stock  

USD 130.24  0.72  0.55%

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 over given investment horizon. Check also Chubb Hype Analysis, Chubb Correlation, Chubb Valuation, Chubb Volatility as well as analyze Chubb Alpha and Beta and Chubb Performance.
Horizon     30 Days    Login   to change

Chubb 'What if' Analysis

October 14, 2018
No Change 0.00  0.0%
In 2 months and 2 days
December 13, 2018
If you would invest  0.00  in Chubb on October 14, 2018 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 over 60 days. Chubb is related to or competes with Loews, EMC Insurance, Fairfax Financial, American Financial, Atlas Financial, and Allstate. Chubb Limited, through its subsidiaries, provides insurance and reinsurance products worldwide

Chubb Upside/Downside Indicators

Information Ratio(0.043906)
Maximum Drawdown4.76
Value At Risk(2.31)
Potential Upside1.87

Chubb Market Premium Indicators

Risk Adjusted Performance(0.09)
Jensen Alpha(0.11)
Total Risk Alpha(0.06)
Treynor Ratio0.3697

Chubb Limited Backtested Returns

We consider Chubb not too risky. Chubb Limited secures Sharpe Ratio (or Efficiency) of 0.1074 which signifies that Chubb Limited had 0.1074% of return per unit of risk over the last 2 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 Chubb Limited which you can use to evaluate future volatility of the firm. Please confirm Chubb Limited Risk Adjusted Performance of (0.09) and Mean Deviation of 0.955 to double-check if risk estimate we provide are consistent with the epected return of 0.1156%. Chubb has performance score of 7 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.2766 which signifies that as returns on market increase, returns on owning Chubb are expected to decrease at a much smaller rate. During bear market, Chubb is likely to outperform the market.. Although it is extremely important to respect Chubb Limited 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 Chubb Limited technical indicators you can presently evaluate if the expected return of 0.1156% will be sustainable into the future. Chubb Limited right now shows a risk of 1.0765%. Please confirm Chubb Limited Jensen Alpha, Potential Upside, Skewness, as well as the relationship between Maximum Drawdown and Semi Variance to decide if Chubb Limited will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.26) 
correlation synergy

Weak reverse predictability

Chubb Limited has weak reverse predictability. Overlapping area represents the amount of predictability between Chubb time series from October 14, 2018 to November 13, 2018 and November 13, 2018 to December 13, 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 Chubb Limited price movement. The serial correlation of -0.26 indicates that nearly 26.0% of current Chubb price fluctuation can be explain by its past prices. Given that Chubb Limited has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Chubb for similar time interval.
Correlation Coefficient-0.26
Spearman Rank Test-0.12
Residual Average0.0
Price Variance4.75

Chubb Limited lagged returns against current returns

 Current and Lagged Values 

Chubb regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Chubb Lagged Returns

 Regressed Prices 

Current Sentiment - CB

Chubb Limited Investor Sentiment

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

Chubb Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Chubb 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
Run Pair Correlation  
Check also Chubb Hype Analysis, Chubb Correlation, Chubb Valuation, Chubb Volatility as well as analyze Chubb Alpha and Beta and Chubb Performance. Please also try Fundamental Analysis module to view fundamental data based on most recent published financial statements.