Alleghany Backtesting

Y -- USA Stock  

USD 580.75  5.74  0.98%

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.
 Time Horizon     30 Days    Login   to change

Alleghany 'What if' Analysis

May 21, 2018
No Change 0.00  0.0%
In 31 days
June 20, 2018
If you would invest  0.00  in Alleghany on May 21, 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 Chubb, Everest Re, , Erie Indemnity, American Financial, and AMER INTL. Alleghany Corporation provides property and casualty reinsurance and insurance products in the United States and interna...

Alleghany Upside/Downside Indicators

Information Ratio0.006521
Maximum Drawdown2.85
Value At Risk1.21
Potential Upside1.64

Alleghany Market Premium Indicators

Risk Adjusted Performance0.01

Alleghany Backtested Returns

We consider Alleghany not too risky. Alleghany secures Sharpe Ratio (or Efficiency) of 0.0097 which signifies that Alleghany had 0.0097% 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 company 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 Risk Adjusted Performance of 0.01 and Mean Deviation of 0.698 to double-check if risk estimate we provide are consistent with the epected return of 0.0089%. Alleghany has performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and Alleghany are completely uncorrelated. 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 0.0089% will be sustainable into the future. Alleghany right now shows a risk of 0.9197%. 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(0.19) 

Insignificant reverse predictability

Alleghany Corporation has insignificant reverse predictability. Overlapping area represents the amount of predictability between Alleghany time series from May 21, 2018 to June 5, 2018 and June 5, 2018 to June 20, 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 -0.19 indicates that over 19.0% of current Alleghany price fluctuation can be explain by its past prices. Given that Alleghany Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Alleghany for similar time interval.
Correlation Coefficient -0.19
Spearman Rank Test 0.25
Price Variance 24.14
Lagged Price Variance 23.3

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
Also Currentnly Active
Purchased over 100 shares of
six days ago
Traded for 10.44
Purchased over 300 shares of
six days ago
Traded for 6.24
Purchased over 70 shares of
six days ago
Traded for 23.42
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.