Loews Backtesting

Loews Corporation -- USA Stock  

USD 51.57  0.05  0.097%

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.
 Time Horizon     30 Days    Login   to change
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Backtest

Loews 'What if' Analysis

February 21, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
April 22, 2018
0.00
If you would invest  0.00  in Loews on February 21, 2018 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 60 days. Loews is related to or competes with Berkshire Hathaway, Icahn Enterprises, Leucadia National, Valhi, Alleghany, and CHUBB CP. Loews Corporation, through its subsidiaries, provides commercial property and casualty insurance in the United States, C...

Loews Upside/Downside Indicators

Downside Deviation1.37
Information Ratio0.1298
Maximum Drawdown5.79
Value At Risk2.24
Potential Upside1.69
  

Loews Market Premium Indicators

Risk Adjusted Performance0.0967
Jensen Alpha0.0671
Total Risk Alpha0.136
Sortino Ratio0.1176
Treynor Ratio2.18

Loews Backtested Returns

We consider Loews not too risky. Loews has Sharpe Ratio of 0.0728 which conveys that Loews had 0.0728% of return per unit of risk over the last 2 months. Our philosophy towards estimating volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Loews which you can use to evaluate future volatility of the firm. Please verify Loews Corporation Downside Deviation of 1.37, Mean Deviation of 0.9466 and Risk Adjusted Performance of 0.0967 to check out if risk estimate we provide are consistent with the epected return of 0.0913%. Loews has performance score of 4 on a scale of 0 to 100. The company secures Beta (Market Risk) of 0.0295 which conveys that as returns on market increase, Loews returns are expected to increase less than the market. However during bear market, the loss on holding Loews will be expected to be smaller as well.. 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 0.0913% will be sustainable into the future. Loews right now secures a risk of 1.253%. Please verify Loews Corporation Variance as well as the relationship between Value At Risk and Skewness to decide if Loews Corporation will be following its current price movements.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.60 

Good predictability

Loews Corporation has good predictability. Overlapping area represents the amount of predictability between Loews time series from February 21, 2018 to March 23, 2018 and March 23, 2018 to April 22, 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 Loews price movement. The serial correlation of 0.6 indicates that roughly 60.0% of current Loews price fluctuation can be explain by its past prices.
Correlation Coefficient 0.6
Spearman Rank Test 0.62
Price Variance 0.72
Lagged Price Variance 0.77

Loews lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Loews regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Loews Lagged Returns

 Regressed Prices 
      Timeline 

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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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .