Loews Backtesting

L -- USA Stock  

Fiscal Quarter End: December 31, 2019  

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

Loews 'What if' Analysis

September 9, 2019
No Change 0.00  0.0 
In 2 months and 31 days
December 8, 2019
If you would invest  0.00  in Loews on September 9, 2019 and sell it all today you would earn a total of 0.00 from holding Loews Corporation or generate 0.0% return on investment in Loews over 90 days. Loews is related to or competes with Chubb, FAIRFAX FINANCIAL, American Financial, Atlas Financial, Allstate, and Axis Capital. Loews Corporation, through its subsidiaries, provides commercial property and casualty insurance in the United States an...

Loews Upside/Downside Indicators

Downside Deviation1.35
Information Ratio(0.028965)
Maximum Drawdown5.23
Value At Risk(2.49)
Potential Upside1.61

Loews Market Premium Indicators

Risk Adjusted Performance0.0284
Jensen Alpha(0.038308)
Total Risk Alpha(0.08)
Sortino Ratio(0.022849)
Treynor Ratio0.0289

Loews Backtested Returns

We consider Loews very steady. Loews has Sharpe Ratio of 0.0212 which conveys that the firm had 0.0212% of return per unit of risk over the last 3 months. Our philosophy towards estimating 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-eight technical indicators for Loews which you can use to evaluate future volatility of the firm. Please verify Loews Corporation Mean Deviation of 0.7555, Risk Adjusted Performance of 0.0284 and Downside Deviation of 1.35 to check out if risk estimate we provide are consistent with the epected return of 0.0226%. Loews has performance score of 1 on a scale of 0 to 100. The company secures Beta (Market Risk) of 1.1194 which conveys that Loews returns are very sensitive to returns on the market. as market goes up or down, Loews is expected to follow. Although it is extremely important to respect Loews price patterns, it is better to be realistic regarding the information on equity historical price patterns. The philosophy towards estimating 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 Loews technical indicators you can presently evaluate if the expected return of 0.0226% will be sustainable into the future. Loews right now secures a risk of 1.07%. Please verify Loews Corporation Value At Risk, and the relationship between Jensen Alpha and Skewness to decide if Loews Corporation will be following its current price movements.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.19) 
correlation synergy

Insignificant reverse predictability

Loews Corporation has insignificant reverse predictability. Overlapping area represents the amount of predictability between Loews time series from September 9, 2019 to October 24, 2019 and October 24, 2019 to December 8, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Loews price movement. The serial correlation of -0.19 indicates that over 19.0% of current Loews price fluctuation can be explain by its past prices. Given that Loews Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Loews for similar time interval.
Correlation Coefficient-0.19
Spearman Rank Test0.3
Residual Average0.0
Price Variance0.47

Loews lagged returns against current returns

 Current and Lagged Values 

Loews regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Loews Lagged Returns

 Regressed Prices 

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Please see also Loews Hype Analysis, Loews Correlation, Loews Valuation, Loews Volatility as well as analyze Loews Alpha and Beta and Loews Performance. Please also try Focused Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
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