Alleghany Backtesting

Y -- USA Stock  

USD 594.67  8.73  1.45%

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

June 17, 2018
No Change 0.00  0.0%
In 30 days
July 17, 2018
If you would invest  0.00  in Alleghany on June 17, 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 XL Group, Hanover Insurance, Travelers Companies, W R, Selective Insurance, and JACOBS ENGINEERNG. Alleghany Corporation provides property and casualty reinsurance and insurance products in the United States and interna...

Alleghany Upside/Downside Indicators

Downside Deviation0.8443
Maximum Drawdown2.6
Value At Risk0.98
Potential Upside1.47

Alleghany Market Premium Indicators

Risk Adjusted Performance0.01

Alleghany Backtested Returns

We consider Alleghany not too risky. Alleghany secures Sharpe Ratio (or Efficiency) of 0.1566 which signifies that Alleghany had 0.1566% 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 technical indicators for Alleghany Corporation which you can use to evaluate future volatility of the firm. Please confirm Alleghany Downside Deviation of 0.8443, Risk Adjusted Performance of 0.01 and Mean Deviation of 0.6642 to double-check if risk estimate we provide are consistent with the epected return of 0.1345%. Alleghany has performance score of 10 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and Alleghany are completely uncorrelated. 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 0.1345% will be sustainable into the future. Alleghany right now shows a risk of 0.8587%. Please confirm Alleghany Maximum Drawdown as well as the relationship between Downside Variance and Skewness to decide if Alleghany will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.51) 

Good reverse predictability

Alleghany Corporation has good reverse predictability. Overlapping area represents the amount of predictability between Alleghany time series from June 17, 2018 to July 2, 2018 and July 2, 2018 to July 17, 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 -0.51 indicates that about 51.0% 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 -0.51
Spearman Rank Test -0.58
Price Variance 81.2
Lagged Price Variance 20.96

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 

Current Sentiment - Y

Alleghany Investor Sentiment
More than half of Macroaxis users are at this time bullish on Alleghany Corporation. What is your sentiment towards investing in Alleghany Corporation? Are you bullish or bearish?
98% Bullish
2% Bearish

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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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.