Marsh McLennan Backtesting

Marsh McLennan Companies -- USA Stock  

USD 82.57  0.91  1.09%

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
SymbolX
Backtest

Marsh McLennan 'What if' Analysis

February 24, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
April 25, 2018
0.00
If you would invest  0.00  in Marsh McLennan on February 24, 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 60 days. Marsh McLennan is related to or competes with AECOM, Accenture plc, Booz Allen, HR Block, Royal Gold, and CORVUS GOLD. Marsh McLennan Companies, Inc., a professional services firm, provides advice and solutions in the areas of risk, strate...

Marsh McLennan Upside/Downside Indicators

Downside Deviation1.25
Information Ratio0.0331
Maximum Drawdown4.48
Value At Risk1.96
Potential Upside1.92
  

Marsh McLennan Market Premium Indicators

Risk Adjusted Performance0.00318
Jensen Alpha0.009204
Total Risk Alpha0.0226
Sortino Ratio0.03
Treynor Ratio1.95

Marsh McLennan Compa Backtested Returns

Macroaxis considers Marsh McLennan to be not too risky. Marsh McLennan Compa has Sharpe Ratio of -0.0507 which conveys that Marsh McLennan Compa had -0.0507% of return per unit of risk over the last 2 months. 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 Downside Deviation of 1.25, Mean Deviation of 0.9075 and Risk Adjusted Performance of 0.00318 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 -0.0046 which conveys that as returns on market increase, returns on owning Marsh McLennan are expected to decrease at a much smaller rate. During bear market, Marsh McLennan is likely to outperform the market.. 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 -0.0547%. 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(0.23) 

Weak reverse predictability

Marsh McLennan Companies has weak reverse predictability. Overlapping area represents the amount of predictability between Marsh McLennan time series from February 24, 2018 to March 26, 2018 and March 26, 2018 to April 25, 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 -0.23 indicates that over 23.0% of current Marsh McLennan price fluctuation can be explain by its past prices. Given that Marsh McLennan Companies has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Marsh McLennan for similar time interval.
Correlation Coefficient -0.23
Spearman Rank Test 0.33
Price Variance 1.01
Lagged Price Variance 1.5

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 Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.