Alleghany Backtesting

Y -- USA Stock  

USD 619.59  0.60  0.001%

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
SymbolX
Backtest

Alleghany 'What if' Analysis

November 25, 2018
0.00
No Change 0.00  0.0%
In 2 months and 1 day
January 24, 2019
0.00
If you would invest  0.00  in Alleghany on November 25, 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 Everest Re, Prudential Financial, Hanover Insurance, Travelers Companies, W R, and AmTrust Financial. Alleghany Corporation provides property and casualty reinsurance and insurance products in the United States and interna...

Alleghany Upside/Downside Indicators

Downside Deviation1.09
Information Ratio0.0632
Maximum Drawdown5.21
Value At Risk(1.70)
Potential Upside2.43
  

Alleghany Market Premium Indicators

Risk Adjusted Performance0.0472
Jensen Alpha0.033
Total Risk Alpha0.063
Sortino Ratio0.0752
Treynor Ratio0.1742

Alleghany Backtested Returns

Macroaxis considers Alleghany to be not too risky. Alleghany secures Sharpe Ratio (or Efficiency) of -0.025 which signifies that the organization had -0.025% 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 0.0472, Downside Deviation of 1.09 and Mean Deviation of 0.9656 to double-check risk estimate we provide. The firm shows Beta (market volatility) of 0.1426 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 -0.0323%. 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(0.30) 
correlation synergy

Weak reverse predictability

Alleghany Corporation has weak reverse predictability. Overlapping area represents the amount of predictability between Alleghany time series from November 25, 2018 to December 25, 2018 and December 25, 2018 to January 24, 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 -0.3 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-0.14
Residual Average0.0
Price Variance16.72

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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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