Chubb Limited Backtested Returns
Macroaxis considers Chubb Limited to be not too risky. Chubb Limited
secures Sharpe Ratio (or Efficiency) of -0.0841 which signifies that Chubb Limited
had -0.0841% of return per unit of risk over the last 1 month. 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
. Chubb Limited exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Chubb Limited Risk Adjusted Performance
of (0.026736) and Mean Deviation of 0.673 to double-check risk estimate we provide. Macroaxis gives Chubb Limited performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.3229 which signifies that as returns on market increase, Chubb Limited returns are expected to increase less than the market. However during bear market, the loss on holding Chubb Limited will be expected to be smaller as well.. Even though it is essential to pay attention to Chubb Limited 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. Chubb Limited exposes twenty-one different technical indicators which can help you to evaluate its performance. Chubb Limited has expected return of -0.0712%. Please be advised to confirm Chubb Limited Jensen Alpha, Potential Upside, Skewness, as well as the relationship between Maximum Drawdown and Semi Variance to decide if Chubb Limited past performance will be repeated at some point in the near future.
|15 days auto-correlation||(0.61) |
Very good reverse predictability
Chubb Limited has very good reverse predictability. Overlapping area represents the amount of predictability between Chubb Limited time series from December 18, 2017 to January 2, 2018 and January 2, 2018 to January 17, 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 -0.61 indicates that roughly 61.0% of current Chubb Limited 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 Limited for similar time interval.
|Correlation Coefficient|| -0.61|
|Spearman Rank Test|| -0.15|
|Price Variance|| 1.23|
|Lagged Price Variance|| 2.14|
Chubb Limited Lagged Returns