Alleghany Backtesting

Alleghany Corporation -- USA Stock  

USD 603.78  0.45  0.0746%

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

December 24, 2017
No Change 0.00  0.0%
In 31 days
January 23, 2018
If you would invest  0.00  in Alleghany on December 24, 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 

Alleghany regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Alleghany Backtested Returns

We consider Alleghany not too risky. Alleghany secures Sharpe Ratio (or Efficiency) of 0.1163 which signifies that Alleghany had 0.1163% 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-eight technical indicators for Alleghany Corporation which you can use to evaluate future volatility of the firm. Please confirm Alleghany Downside Deviation of 0.959, Risk Adjusted Performance of 0.0986 and Mean Deviation of 0.7343 to double-check if risk estimate we provide are consistent with the epected return of 0.118%. Alleghany has performance score of 7 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.3346 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.. 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 0.118% will be sustainable into the future. Alleghany right now shows a risk of 1.0141%. 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(0.3) 

Weak reverse predictability

Alleghany Corporation has weak reverse predictability. Overlapping area represents the amount of predictability between Alleghany time series from December 24, 2017 to January 8, 2018 and January 8, 2018 to January 23, 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 -0.3 indicates that nearly 30.0% 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 -0.3
Spearman Rank Test 0.3
Price Variance 23.87
Lagged Price Variance 21.69

Alleghany Lagged Returns

 Regressed Prices 

Alleghany Performance vs DOW

The median price of Alleghany for the period between Sun, Dec 24, 2017 and Tue, Jan 23, 2018 is 588.86 with a coefficient of variation of 1.08. The daily time series for the period is distributed with a sample standard deviation of 6.35, arithmetic mean of 588.15, and mean deviation of 5.08. The Stock received some media coverage during the period.
Price Growth (%)  
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