Prayers for TRV investors as it was among the worst performers

TRAVELERS COMPANIES, INC. is a falling knife that can bleed you if you catch it on Tuesday. It delivered -0.53% to close at 119.3. On a day when the overall market breadth was 34%, it closed higher than 10% of the market. In comparison, the benchmark SP500 index closed today at +0.01%.

[Themes containing TRV]

Buy-and-Hold investors in TRV experienced a maximum drawdown of -11.26% over the last three months. It delivered -9.96% during this bearish trending period. There were both Long and Short signals during this period, where the short signals were significantly more profitable than the long signals. The net profit from Short signals was +5.12%.

Trend

Monthly Performance

Alpha (outperformance)

Heatmap

Volatility

Return distribution

TRV has been outperforming the SP500 index in recent time. It showed significant underperformance (compared to the SP500 index) from 12 Feb, 2016 to 12 Sep, 2018. Over the last 2 years 11 months and 14 days, TRV underperformed the SP500 index on 46% days. Which indicates that on days TRV underperforms the SP500 index, it's performance is marginally worse than on the days it outperforms the SP500 index.

During the last three months TRV was mostly loss making and delivered on average -0.16% per day. It's best return during this period (of +2.95%) was on Monday, 26 Nov, 2018. While it's worst loss in the same period (of -3.05%) was on Monday, 12 Nov, 2018. The longest stort-term trend during this period was 8 losing days, which started on 29 Nov, 2018 and ended on 11 Dec, 2018. This bearish trend lost -7.67% of investor capital.

The last 12 months saw TRV's investors making profits in 4 months and incurring losses in 8 months. TRV was less consistent in delivering monthly returs than SP500 index. TRV significantly outperformed SP500 index in Jan 2018, when it returned +13.59% compared to +4.75% returned by SP500 index during it's best month in the last one year - Jan 2018. TRV had a longer winning streak of losing months than SP500 index. It went down in 5 straight months (from Feb 2018 to Jun 2018) during which period it delivered -16.93%. It is interesting to note that both TRV and SP500 index significantly outperform during months when quarterly/annual results are announced.

I'm involved in the stock market, which is fun and, sometimes, very painful.
-- Regis Philbin

TRV is currently seeing overall fall in volatility. In comparison, the SP500 index is seeing increase in volatility. During the last three months, there was a significant surge in TRV's volatility from 21 Sep, 2018 to 11 Dec, 2018. While there was a significant surge in the SP500 index's volatility from 19 Sep, 2018 to 29 Oct, 2018.

Advanced/professional short-term investors should note that TRV has significant positive skewness in it's return distribution. This indicates that investors can expect TRV to recover from drawdowns quickly. Which makes TRV a good candidate for investing on short-term bullish trends or even counter-trends hoping for a pull-back.

SP500 index has more chance of extreme outcomes than TRV. Therefore, SP500 must receive a lower allocation than TRV in your portfolio. SP500 index usually has shorter drawdown period than TRV.

Based on your interest in TRV you may find it interesting to know that RGSE and AMRH have both shown remarkable performance and deserve to be on every investors' watchlist.