Chubb Backtesting

CB -- USA Stock  

USD 138.34  1.78  1.27%

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

August 22, 2018
No Change 0.00  0.0%
In 31 days
September 21, 2018
If you would invest  0.00  in Chubb on August 22, 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 30 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

Downside Deviation0.8133
Information Ratio0.0833
Maximum Drawdown2.36
Value At Risk0.91
Potential Upside1.34

Chubb Market Premium Indicators

Risk Adjusted Performance0.0931
Jensen Alpha0.1278
Total Risk Alpha0.016923
Sortino Ratio0.0742
Treynor Ratio0.5651

Chubb Limited Backtested Returns

Macroaxis considers Chubb not too risky given 1 month investment horizon. Chubb Limited secures Sharpe Ratio (or Efficiency) of 0.3491 which signifies that Chubb Limited had 0.3491% 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 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 makes use of Chubb Limited Downside Deviation of 0.8133, Risk Adjusted Performance of 0.0931 and Mean Deviation of 0.5736 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Chubb holds performance score of 23. The firm shows Beta (market volatility) of 0.2703 which signifies that as returns on market increase, Chubb returns are expected to increase less than the market. However during bear market, the loss on holding Chubb will be expected to be smaller as well.. 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 0.2463% will be sustainable into the future. Please makes use of Chubb Limited Jensen Alpha, Potential Upside, Skewness, as well as the relationship between Maximum Drawdown and Semi Variance to make a quick decision on weather Chubb price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.29 

Poor predictability

Chubb Limited has poor predictability. Overlapping area represents the amount of predictability between Chubb time series from August 22, 2018 to September 6, 2018 and September 6, 2018 to September 21, 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 0.29 indicates that nearly 29.0% of current Chubb price fluctuation can be explain by its past prices.
Correlation Coefficient0.29
Spearman Rank Test0.31
Residual Average0.0
Price Variance3.06

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 

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Balance Of Power

Check stock momentum by analyzing Balance Of Power indicator and other technical ratios
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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
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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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.