Alleghany Backtesting

Alleghany Corporation -- USA Stock  

USD 585.06  0.06  0.0103%

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
SymbolX
Backtest

Alleghany 'What if' Analysis

February 24, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
April 25, 2018
0.00
If you would invest  0.00  in Alleghany on February 24, 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 60 days. Alleghany is related to or competes with Chubb Limited, 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 Ratio0.027408
Maximum Drawdown7.79
Value At Risk2.64
Potential Upside2.75
  

Alleghany Market Premium Indicators

Risk Adjusted Performance0.067198
Jensen Alpha0.074391
Total Risk Alpha0.045422
Treynor Ratio0.68

Alleghany Backtested Returns

Macroaxis considers Alleghany to be not too risky. Alleghany secures Sharpe Ratio (or Efficiency) of -0.0526 which signifies that Alleghany had -0.0526% of return per unit of risk over the last 2 months. 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 0.067198 and Mean Deviation of 1.14 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 0.114 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.. 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 -0.0896%. 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 0.04 

Virtually no predictability

Alleghany Corporation has virtually no predictability. Overlapping area represents the amount of predictability between Alleghany time series from February 24, 2018 to March 26, 2018 and March 26, 2018 to April 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 0.04 indicates that only as little as 4.0% of current Alleghany price fluctuation can be explain by its past prices.
Correlation Coefficient 0.04
Spearman Rank Test -0.01
Price Variance 71.5
Lagged Price Variance 232.39

Alleghany lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Alleghany regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Alleghany Lagged Returns

 Regressed Prices 
      Timeline 

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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 Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.