Marsh McLennan Backtesting

MMC -- USA Stock  

USD 87.13  0.35  0.40%

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.
 Time Horizon     30 Days    Login   to change

Marsh McLennan 'What if' Analysis

June 22, 2018
No Change 0.00  0.0%
In 31 days
July 22, 2018
If you would invest  0.00  in Marsh McLennan on June 22, 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

Downside Deviation0.8494
Information Ratio0.3033
Maximum Drawdown2.8
Value At Risk0.83
Potential Upside1.2

Marsh McLennan Market Premium Indicators

Risk Adjusted Performance0.2119
Jensen Alpha0.3096
Total Risk Alpha0.1791
Sortino Ratio0.2888
Treynor Ratio1.03

Marsh McLennan Compa Backtested Returns

Macroaxis considers Marsh McLennan not too risky given 1 month investment horizon. Marsh McLennan Compa has Sharpe Ratio of 0.4171 which conveys that Marsh McLennan Compa had 0.4171% of return per unit of risk over the last 1 month. 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 Marsh McLennan which you can use to evaluate future volatility of the firm. Please exercise Marsh McLennan Companies Downside Deviation of 0.8494, Mean Deviation of 0.6364 and Risk Adjusted Performance of 0.2119 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Marsh McLennan holds performance score of 27. The company secures Beta (Market Risk) of 0.33 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.. Although it is vital to follow to Marsh McLennan Compa price patterns, it is good to be conservative about what you can actually do with the information regarding 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 Marsh McLennan Compa technical indicators you can presently evaluate if the expected return of 0.335% will be sustainable into the future. Please exercises Marsh McLennan Companies Variance, Maximum Drawdown as well as the relationship between Maximum Drawdown and Semi Variance to make a quick decision on weather Marsh McLennan Compa current price movements will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.66 

Good predictability

Marsh McLennan Companies has good predictability. Overlapping area represents the amount of predictability between Marsh McLennan time series from June 22, 2018 to July 7, 2018 and July 7, 2018 to July 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 Marsh McLennan Compa price movement. The serial correlation of 0.66 indicates that around 66.0% of current Marsh McLennan price fluctuation can be explain by its past prices.
Correlation Coefficient 0.66
Spearman Rank Test 0.8
Price Variance 0.84
Lagged Price Variance 2.3

Marsh McLennan Compa lagged returns against current returns

 Current and Lagged Values 

Marsh McLennan regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Marsh McLennan Lagged Returns

 Regressed Prices 

Current Sentiment - MMC

Marsh McLennan Compa Investor Sentiment
Greater number of Macroaxis users are now bullish on Marsh McLennan Companies. What is your trading attitude regarding investing in Marsh McLennan Companies? Are you bullish or bearish?
98% Bullish
2% Bearish

Build Optimal Portfolios

Align your risk with return expectations
Fix your portfolio
By capturing your risk tolerance and investment horizon Macroaxis technology of instant portfolio optimization will compute exactly how much risk is acceptable for your desired return expectations
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 Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.