Cigna Backtesting

CI -- USA Stock  

USD 211.20  1.20  0.57%

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

Cigna 'What if' Analysis

September 20, 2018
No Change 0.00  0.0%
In 30 days
October 20, 2018
If you would invest  0.00  in Cigna on September 20, 2018 and sell it all today you would earn a total of 0.00 from holding Cigna Corporation or generate 0.0% return on investment in Cigna over 30 days. Cigna is related to or competes with Express Scripts, Aetna, Centene, CVS Health, Humana, and Molina Healthcare. Cigna Corporation, a health services organization, provides insurance and related products and services in the United St...

Cigna Upside/Downside Indicators

Downside Deviation1.56
Information Ratio0.2522
Maximum Drawdown4.53
Value At Risk1.90
Potential Upside1.94

Cigna Market Premium Indicators

Risk Adjusted Performance0.1543
Jensen Alpha0.326
Total Risk Alpha0.4213
Sortino Ratio0.2341
Treynor Ratio0.2467

Cigna Backtested Returns

Macroaxis considers Cigna not too risky given 1 month investment horizon. Cigna secures Sharpe Ratio (or Efficiency) of 0.1396 which signifies that Cigna had 0.1396% 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 Cigna Corporation which you can use to evaluate future volatility of the firm. Please makes use of Cigna Downside Deviation of 1.56, Risk Adjusted Performance of 0.1543 and Mean Deviation of 1.08 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Cigna holds performance score of 9. The firm shows Beta (market volatility) of 0.7773 which signifies that as returns on market increase, Cigna returns are expected to increase less than the market. However during bear market, the loss on holding Cigna will be expected to be smaller as well.. Although it is extremely important to respect Cigna 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 Cigna technical indicators you can presently evaluate if the expected return of 0.2018% will be sustainable into the future. Please makes use of Cigna Coefficient Of Variation, Maximum Drawdown, Skewness, as well as the relationship between Information Ratio and Downside Variance to make a quick decision on weather Cigna price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.08) 

Very weak reverse predictability

Cigna Corporation has very weak reverse predictability. Overlapping area represents the amount of predictability between Cigna time series from September 20, 2018 to October 5, 2018 and October 5, 2018 to October 20, 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 Cigna price movement. The serial correlation of -0.08 indicates that barely 8.0% of current Cigna price fluctuation can be explain by its past prices. Given that Cigna Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Cigna for similar time interval.
Correlation Coefficient-0.08
Spearman Rank Test-0.43
Residual Average0.0
Price Variance13.11

Cigna lagged returns against current returns

 Current and Lagged Values 

Cigna regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Cigna Lagged Returns

 Regressed Prices 

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Cigna Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Cigna and Express Scripts Holding. 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 Cigna Hype Analysis, Cigna Correlation, Cigna Valuation, Cigna Volatility as well as analyze Cigna Alpha and Beta and Cigna Performance. Please also try Pair Correlation module to compare performance and examine historical correlation between any two equity instruments.