Chubb Backtesting

CB -- USA Stock  

USD 126.71  1.33  1.06%

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.
 Time Horizon     30 Days    Login   to change
SymbolX
Backtest

Chubb 'What if' Analysis

May 24, 2018
0.00
No Change 0.00  0.0%
In 31 days
June 23, 2018
0.00
If you would invest  0.00  in Chubb on May 24, 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 Alleghany, Everest Re, , Erie Indemnity, American Financial, and AMER INTL. Chubb Limited, through its subsidiaries, provides insurance and reinsurance products worldwide

Chubb Upside/Downside Indicators

Information Ratio0.26
Maximum Drawdown4.11
Value At Risk2.27
Potential Upside0.9756
  

Chubb Market Premium Indicators

Risk Adjusted Performance0.01

Chubb Limited Backtested Returns

Macroaxis considers Chubb to be not too risky. Chubb Limited secures Sharpe Ratio (or Efficiency) of -0.2547 which signifies that Chubb Limited had -0.2547% 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 0.01 and Mean Deviation of 0.8687 to double-check risk estimate we provide. Macroaxis gives Chubb performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and Chubb are completely uncorrelated. 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 -0.29%. 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.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.04) 

Very weak reverse predictability

Chubb Limited has very weak reverse predictability. Overlapping area represents the amount of predictability between Chubb time series from May 24, 2018 to June 8, 2018 and June 8, 2018 to June 23, 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 -0.04 indicates that only as little as 4.0% 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 -0.04
Spearman Rank Test -0.03
Price Variance 8.45
Lagged Price Variance 1.42

Chubb Limited lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Chubb regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Chubb Lagged Returns

 Regressed Prices 
      Timeline 

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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Chubb and Alleghany. 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 Portfolio Manager module to state of the art portfolio manager to monitor and improve performance of your invested capital.