Alleghany Backtested Returns
Macroaxis considers Alleghany to be not too risky. Alleghany
secures Sharpe Ratio (or Efficiency) of -0.196 which signifies that Alleghany
had -0.196% of return per unit of risk over the last 1 month. Macroaxis philosophy towards foreseeing 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
. Alleghany Corporation exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Alleghany Risk Adjusted Performance
of (0.034088) and Mean Deviation of 0.5308 to double-check risk estimate we provide. Macroaxis gives Alleghany performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.9832 which signifies that Alleghany returns are very sensitive to returns on the market. as market goes up or down, Alleghany is expected to follow.. Even though it is essential to pay attention to Alleghany historical returns, it is always good to be careful when utilizing equity current trending patternss. Macroaxis philosophy towards foreseeing 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. Alleghany Corporation exposes twenty-one different technical indicators which can help you to evaluate its performance. Alleghany has expected return of -0.1396%. Please be advised to confirm Alleghany Treynor Ratio as well as the relationship between Potential Upside and Expected Short fall to decide if Alleghany past performance will be repeated at some point in the near future.
|15 days auto-correlation|| 0.55 |
Alleghany Corporation has modest predictability. Overlapping area represents the amount of predictability between Alleghany time series from September 17, 2017 to October 2, 2017 and October 2, 2017 to October 17, 2017. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Alleghany price movement. The serial correlation of 0.55 indicates that about 55.0% of current Alleghany price fluctuation can be explain by its past prices.
|Correlation Coefficient|| 0.55|
|Spearman Rank Test|| 0.67|
|Price Variance|| 32.59|
|Lagged Price Variance|| 40.32|
Alleghany Lagged Returns