Marsh McLennan Compa Backtested Returns
Macroaxis considers Marsh McLennan to be not too risky. Marsh McLennan Compa
has Sharpe Ratio of -0.0231 which conveys that Marsh McLennan Compa
had -0.0231% 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-eight different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Marsh McLennan Companies Inc Mean Deviation
of 0.632 and Risk Adjusted Performance
of (0.039205) 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 0.2696 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-eight different technical indicators which can help you to evaluate its performance. Marsh McLennan Compa has expected return of -0.0193%. Please be advised to verify Marsh McLennan Companies Inc Semi Variance, and the relationship between Maximum Drawdown and Accumulation Distribution to decide if Marsh McLennan Compa past performance will be repeated at some point in the near future.
|15 days auto-correlation||(0.29) |
Weak reverse predictability
Marsh McLennan Companies Inc has weak reverse predictability. Overlapping area represents the amount of predictability between Marsh McLennan time series from December 20, 2017 to January 4, 2018 and January 4, 2018 to January 19, 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 -0.29 indicates that nearly 29.0% of current Marsh McLennan price fluctuation can be explain by its past prices. Given that Marsh McLennan Companies Inc 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|| -0.29|
|Spearman Rank Test|| 0.07|
|Price Variance|| 0.29|
|Lagged Price Variance|| 0.41|
Marsh McLennan Lagged Returns