Alleghany Backtesting

Alleghany Corporation -- USA Stock  

USD 547.72  3.89  0.71%

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
Investment Horizon     30 Days    Login   to change
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Backtest

Alleghany 'What if' Analysis

September 17, 2017
 0.00 
No Change 0.00  0.0%
In 30 days
October 17, 2017
 0.00 
If you would invest  0.00  in Alleghany on September 17, 2017 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 Chubb Limited, Everest Re, XL Group, Erie Indemnity, and American Financial. It operates through two segments Reinsurance and Insurance

Alleghany Upside/Downside Indicators

  

Alleghany Market Premium Indicators

Alleghany lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Alleghany regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

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.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.55 

Modest predictability

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

 Regressed Prices 
      Timeline 

Alleghany Performance vs DOW

The median price of Alleghany for the period between Sun, Sep 17, 2017 and Tue, Oct 17, 2017 is 555.89 with a coefficient of variation of 1.54. The daily time series for the period is distributed with a sample standard deviation of 8.53, arithmetic mean of 554.89, and mean deviation of 7.12. The Stock did not receive any noticable media coverage during the period.
Price Growth (%)  
      Timeline