Loews Backtesting

L -- USA Stock  

USD 46.80  1.32  2.74%

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
SymbolX
Backtest

Loews 'What if' Analysis

September 15, 2018
0.00
No Change 0.00  0.0%
In 31 days
October 15, 2018
0.00
If you would invest  0.00  in Loews on September 15, 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 30 days. Loews is related to or competes with Chubb, EMC Insurance, Fairfax Financial, American Financial, Atlas Financial, and Allstate. Loews Corporation, through its subsidiaries, provides commercial property and casualty insurance in the United States, C...

Loews Upside/Downside Indicators

Information Ratio0.1351
Maximum Drawdown2.99
Value At Risk1.41
Potential Upside1.49
  

Loews Market Premium Indicators

Risk Adjusted Performance0.024312
Jensen Alpha0.06
Total Risk Alpha0.0985
Treynor Ratio0.1441

Loews Backtested Returns

Macroaxis considers Loews to be not too risky. Loews has Sharpe Ratio of -0.2977 which conveys that Loews had -0.2977% of return per unit of risk over the last 1 month. Macroaxis philosophy towards estimating 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. Loews exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Loews Corporation Mean Deviation of 0.5975 and Risk Adjusted Performance of 0.024312 to check out risk estimate we provide. Macroaxis gives Loews performance score of 0 on a scale of 0 to 100. The company secures Beta (Market Risk) of -0.2051 which conveys that as returns on market increase, returns on owning Loews are expected to decrease at a much smaller rate. During bear market, Loews is likely to outperform the market.. Even though it is essential to pay attention to Loews price patterns, it is always good to be careful when utilizing equity historical price patterns. Macroaxis philosophy towards estimating 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. Loews exposes twenty-one different technical indicators which can help you to evaluate its performance. Loews has expected return of -0.3803%. Please be advised to verify Loews Corporation Variance as well as the relationship between Value At Risk and Skewness to decide if Loews past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.71 

Good predictability

Loews Corporation has good predictability. Overlapping area represents the amount of predictability between Loews time series from September 15, 2018 to September 30, 2018 and September 30, 2018 to October 15, 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 0.71 indicates that around 71.0% of current Loews price fluctuation can be explain by its past prices.
Correlation Coefficient0.71
Spearman Rank Test0.46
Residual Average0.0
Price Variance1.8

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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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