Alleghany Backtesting

Y -- USA Stock  

Fiscal Quarter End: December 31, 2019  

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 15, 2019
No Change 0.00  0.0 
In 3 months and 1 day
November 13, 2019
If you would invest  0.00  in Alleghany on August 15, 2019 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 90 days. Alleghany is related to or competes with Everest Re, Prudential Financial, Hanover Insurance, Travelers Companies, W R, and Selective Insurance. Alleghany Corporation provides property and casualty reinsurance and insurance products in the United States and interna...

Alleghany Upside/Downside Indicators

Downside Deviation1.38
Information Ratio(0.020162)
Maximum Drawdown4.89
Value At Risk(2.18)
Potential Upside1.92

Alleghany Market Premium Indicators

Risk Adjusted Performance0.059
Jensen Alpha0.0044
Total Risk Alpha(0.07)
Sortino Ratio(0.017814)
Treynor Ratio0.1014

Alleghany Backtested Returns

We consider Alleghany very steady. Alleghany secures Sharpe Ratio (or Efficiency) of 0.0862 which signifies that the organization had 0.0862% of return per unit of risk over the last 3 months. 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-eight technical indicators for Alleghany Corporation which you can use to evaluate future volatility of the firm. Please confirm Alleghany Downside Deviation of 1.38, Mean Deviation of 0.9569 and Risk Adjusted Performance of 0.059 to double-check if risk estimate we provide are consistent with the epected return of 0.1034%. Alleghany has performance score of 5 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.6957 which signifies that as returns on market increase, Alleghany returns are expected to increase less than the market. However during bear market, the loss on holding Alleghany will be expected to be smaller as well. 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 0.1034% will be sustainable into the future. Alleghany right now shows a risk of 1.2001%. Please confirm Alleghany Expected Short fall, Day Median Price and the relationship between Potential Upside and Accumulation Distribution to decide if Alleghany will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.13) 
correlation synergy

Insignificant reverse predictability

Alleghany Corporation has insignificant reverse predictability. Overlapping area represents the amount of predictability between Alleghany time series from August 15, 2019 to September 29, 2019 and September 29, 2019 to November 13, 2019. 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 -0.13 indicates that less than 13.0% 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-0.13
Spearman Rank Test-0.32
Residual Average0.0
Price Variance143.21

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 

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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 Equity Search module to search for activelly-traded equities including funds and etfs from over 30 global markets.