Alleghany Backtesting

Alleghany Corporation -- USA Stock  

USD 605.66  0.80  0.13%

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

January 26, 2018
No Change 0.00  0.0%
In 31 days
February 25, 2018
If you would invest  0.00  in Alleghany on January 26, 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 Limited, Everest Re, XL Group, Erie Indemnity, and American Financial. Alleghany Corporation, together with its subsidiaries, provides property and casualty reinsurance and insurance products...

Alleghany Upside/Downside Indicators


Alleghany Market Premium Indicators

Alleghany lagged returns against current returns

 Current and Lagged Values 

Alleghany regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Alleghany Backtested Returns

Macroaxis considers Alleghany to be not too risky. Alleghany secures Sharpe Ratio (or Efficiency) of -0.0788 which signifies that Alleghany had -0.0788% 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 0.10 and Mean Deviation of 1.21 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 -0.3386 which signifies that as returns on market increase, returns on owning Alleghany are expected to decrease at a much smaller rate. During bear market, Alleghany is likely to outperform the market.. Even though it is essential to pay attention to Alleghany historical returns, it is always good to be careful when utilizing equity current trending patterns. 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 -0.1283%. 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(0.72) 

Almost perfect reverse predictability

Alleghany Corporation has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Alleghany time series from January 26, 2018 to February 10, 2018 and February 10, 2018 to February 25, 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 -0.72 indicates that around 72.0% 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 -0.72
Spearman Rank Test -0.75
Price Variance 118.48
Lagged Price Variance 459.47

Alleghany Lagged Returns

 Regressed Prices 

Alleghany Performance vs DOW

The median price of Alleghany for the period between Fri, Jan 26, 2018 and Sun, Feb 25, 2018 is 595.88 with a coefficient of variation of 3.45. The daily time series for the period is distributed with a sample standard deviation of 20.72, arithmetic mean of 600.8, and mean deviation of 17.84. The Stock did not receive any noticable media coverage during the period.
Price Growth (%)