Alleghany Risk Analysis And Volatility

Y -- USA Stock  

Fiscal Quarter End: December 31, 2019  

We consider Alleghany very steady. Alleghany secures Sharpe Ratio (or Efficiency) of 0.0608 which signifies that the organization had 0.0608% of return per unit of risk over the last 3 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 confirm Alleghany Risk Adjusted Performance of 0.0311, Mean Deviation of 0.9173 and Downside Deviation of 1.33 to double-check if risk estimate we provide are consistent with the epected return of 0.071%.
Interest Expense

90 Days Market Risk

Very steady

Chance of Distress in 24 months

Below average

90 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.
3 Months Beta |Analyze Alleghany Demand Trend
Check current 30 days Alleghany correlation with market (DOW)
β = 0.5847

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 sixty-one. The Median Price line plots median indexes of Alleghany price series. View also all equity analysis or get more info about median price price transform indicator.

Alleghany Projected Return Density Against Market

Taking into account the 30 trading days horizon, Alleghany has beta of 0.5847 . 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. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Alleghany is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Taking into account the 30 trading days horizon, the coefficient of variation of Alleghany is 1645.51. The daily returns are destributed with a variance of 1.36 and standard deviation of 1.17. The mean deviation of Alleghany Corporation is currently at 0.91. For similar time horizon, the selected benchmark (DOW) has volatility of 0.72
α
Alpha over DOW
=0.02
β
Beta against DOW=0.58
σ
Overall volatility
=1.17
Ir
Information ratio =0.05

Alleghany Return Volatility

the company accepts 1.1678% volatility on return distribution over the 30 days horizon. the entity inherits 0.7208% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Alleghany Investment Opportunity

Alleghany Corporation has a volatility of 1.17 and is 1.63 times more volatile than DOW. 10  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 10 () of all global equities and portfolios over the last 30 days. Use Alleghany Corporation to protect your portfolios against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Alleghany to be traded at $746.94 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
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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