Marsh McLennan Backtesting

MMC -- USA Stock  

USD 80.35  1.35  1.71%

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

Marsh McLennan 'What if' Analysis

September 16, 2018
0.00
No Change 0.00  0.0%
In 31 days
October 16, 2018
0.00
If you would invest  0.00  in Marsh McLennan on September 16, 2018 and sell it all today you would earn a total of 0.00 from holding Marsh McLennan Companies or generate 0.0% return on investment in Marsh McLennan over 30 days. Marsh McLennan is related to or competes with eHealth, Erie Indemnity, Fanhua, Arthur J, Aon plc, Brown Brown, and Marsh McLennan. Marsh McLennan Companies, Inc., a professional services firm, provides advice and solutions in the areas of risk, strate...

Marsh McLennan Upside/Downside Indicators

Information Ratio0.20
Maximum Drawdown5.24
Value At Risk2.67
Potential Upside1.71
  

Marsh McLennan Market Premium Indicators

Risk Adjusted Performance0.26
Jensen Alpha0.32
Total Risk Alpha0.26
Treynor Ratio0.80

Marsh McLennan Compa Backtested Returns

Macroaxis considers Marsh McLennan to be not too risky. Marsh McLennan Compa has Sharpe Ratio of -0.242 which conveys that Marsh McLennan Compa had -0.242% 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. Marsh McLennan exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Marsh McLennan Companies Mean Deviation of 0.9436 and Risk Adjusted Performance of 0.26 to check out risk estimate we provide. Macroaxis gives Marsh McLennan performance score of 0 on a scale of 0 to 100. The company secures Beta (Market Risk) of 0.4261 which conveys that as returns on market increase, Marsh McLennan returns are expected to increase less than the market. However during bear market, the loss on holding Marsh McLennan will be expected to be smaller as well.. Even though it is essential to pay attention to Marsh McLennan Compa 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. Marsh McLennan exposes twenty-one different technical indicators which can help you to evaluate its performance. Marsh McLennan Compa has expected return of -0.3324%. Please be advised to verify Marsh McLennan Companies Variance, Maximum Drawdown as well as the relationship between Maximum Drawdown and Semi Variance to decide if Marsh McLennan Compa past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.68 

Good predictability

Marsh McLennan Companies has good predictability. Overlapping area represents the amount of predictability between Marsh McLennan time series from September 16, 2018 to October 1, 2018 and October 1, 2018 to October 16, 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 Marsh McLennan Compa price movement. The serial correlation of 0.68 indicates that around 68.0% of current Marsh McLennan price fluctuation can be explain by its past prices.
Correlation Coefficient0.68
Spearman Rank Test0.41
Residual Average0.0
Price Variance2.62

Marsh McLennan Compa lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Marsh McLennan regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Marsh McLennan Lagged Returns

 Regressed Prices 
      Timeline 

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Please see also Marsh McLennan Hype Analysis, Marsh McLennan Correlation, Marsh McLennan Valuation, Marsh McLennan Volatility as well as analyze Marsh McLennan Alpha and Beta and Marsh McLennan Performance. Please also try Equity Search module to search for activelly-traded equities including funds and etfs from over 30 global markets.
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