Alleghany Risk Analysis And Volatility

Y -- USA Stock  

USD 765.67  18.43  2.47%

Macroaxis considers Alleghany very steady given 2 months investment horizon. Alleghany secures Sharpe Ratio (or Efficiency) of 0.1465 which signifies that the organization had 0.1465% of return per unit of risk over the last 2 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-one technical indicators for Alleghany Corporation which you can use to evaluate future volatility of the firm. Please makes use of Alleghany Mean Deviation of 1.06, Downside Deviation of 1.46 and Risk Adjusted Performance of 0.1269 to double-check if our risk estimates are consistent with your expectations.
Interest Expense

60 Days Market Risk

Very steady

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Follows market closely
Horizon     30 Days    Login   to change

Alleghany Market Sensitivity

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.
2 Months Beta |Analyze Alleghany Demand Trend
Check current 30 days Alleghany correlation with market (DOW)
β = 0.784

Alleghany Central Daily Price Deviation

Alleghany Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. Developed by Larry Williams, the Weighted Close is the average of Alleghany high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only Alleghany closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

Alleghany Projected Return Density Against Market

Taking into account the 30 trading days horizon, Alleghany has beta of 0.784 . This means as returns on market go up, Alleghany average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Alleghany Corporation will be expected to be much smaller as well. Moreover, The company has an alpha of 0.2349 implying that it can potentially generate 0.2349% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Taking into account the 30 trading days horizon, the coefficient of variation of Alleghany is 682.45. The daily returns are destributed with a variance of 2.34 and standard deviation of 1.53. The mean deviation of Alleghany Corporation is currently at 1.07. For similar time horizon, the selected benchmark (DOW) has volatility of 0.92
α
Alpha over DOW
=0.23
β
Beta against DOW=0.78
σ
Overall volatility
=1.53
Ir
Information ratio =0.16

Alleghany Return Volatility

the company accepts 1.5301% volatility on return distribution over the 30 days horizon. the entity inherits 0.9294% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Alleghany Investment Opportunity

Alleghany Corporation has a volatility of 1.53 and is 1.65 times more volatile than DOW. 13% of all equities and portfolios are less risky than Alleghany. Compared to the overall equity markets, volatility of historical daily returns of Alleghany Corporation is lower than 13 (%) of all global equities and portfolios over the last 30 days. Use Alleghany Corporation to enhance returns of your portfolios. The stock experiences unexpected upward trend. Watch out for market signals. Check odds of Alleghany to be traded at $918.8 in 30 days. . 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.

Alleghany correlation with market

correlation synergy
Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Alleghany Corp. and equity matching DJI index in the same portfolio.

Alleghany Current Risk Indicators

Alleghany Suggested Diversification Pairs

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