Alleghany Backtesting

Y -- USA Stock  

USD 641.23  5.76  0.89%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Alleghany Corporation and determine expected loss or profit from investing in Alleghany over given investment horizon. See also Alleghany Hype Analysis, Alleghany Correlation, Alleghany Valuation, Alleghany Volatility as well as analyze Alleghany Alpha and Beta and Alleghany Performance.
Horizon     30 Days    Login   to change

Alleghany 'What if' Analysis

August 23, 2018
No Change 0.00  0.0%
In 31 days
September 22, 2018
If you would invest  0.00  in Alleghany on August 23, 2018 and sell it all today you would earn a total of 0.00 from holding Alleghany Corporation or generate 0.0% return on investment in Alleghany over 30 days. Alleghany is related to or competes with Everest Re, Hanover Insurance, Travelers Companies, W R, Selective Insurance, and Salesforce. Alleghany Corporation provides property and casualty reinsurance and insurance products in the United States and interna...

Alleghany Upside/Downside Indicators

Downside Deviation1.43
Information Ratio0.08
Maximum Drawdown5.19
Value At Risk2.35
Potential Upside2.78

Alleghany Market Premium Indicators

Risk Adjusted Performance0.0244
Jensen Alpha0.13
Total Risk Alpha0.50
Sortino Ratio0.08
Treynor Ratio0.0448

Alleghany Backtested Returns

We consider Alleghany not too risky. Alleghany secures Sharpe Ratio (or Efficiency) of 0.0516 which signifies that Alleghany had 0.0516% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Alleghany Corporation which you can use to evaluate future volatility of the firm. Please confirm Alleghany Downside Deviation of 1.43, Risk Adjusted Performance of 0.0244 and Mean Deviation of 0.9599 to double-check if risk estimate we provide are consistent with the epected return of 0.0872%. Alleghany has performance score of 3 on a scale of 0 to 100. The firm shows Beta (market volatility) of 1.0517 which signifies that Alleghany returns are very sensitive to returns on the market. as market goes up or down, Alleghany is expected to follow.. Although it is extremely important to respect Alleghany historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards foreseeing 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 Alleghany technical indicators you can presently evaluate if the expected return of 0.0872% will be sustainable into the future. Alleghany right now shows a risk of 1.6886%. Please confirm Alleghany Treynor Ratio as well as the relationship between Potential Upside and Expected Short fall to decide if Alleghany will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.30 

Below average predictability

Alleghany Corporation has below average predictability. Overlapping area represents the amount of predictability between Alleghany time series from August 23, 2018 to September 7, 2018 and September 7, 2018 to September 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 Alleghany price movement. The serial correlation of 0.3 indicates that nearly 30.0% of current Alleghany price fluctuation can be explain by its past prices.
Correlation Coefficient0.3
Spearman Rank Test0.31
Residual Average0.0
Price Variance116.01

Alleghany lagged returns against current returns

 Current and Lagged Values 

Alleghany regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Alleghany Lagged Returns

 Regressed Prices 

Current Sentiment - Y

Alleghany Investor Sentiment

More than half of Macroaxis users are at this time bullish on Alleghany Corporation. What is your sentiment towards investing in Alleghany Corporation? Are you bullish or bearish?
98% Bullish
2% Bearish

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See also Alleghany Hype Analysis, Alleghany Correlation, Alleghany Valuation, Alleghany Volatility as well as analyze Alleghany Alpha and Beta and Alleghany Performance. Please also try Fundamental Analysis module to view fundamental data based on most recent published financial statements.