Arthur Backtesting

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AJG -- USA Stock  

Fiscal Quarter End: March 31, 2020  

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Arthur J Gallagher Co and determine expected loss or profit from investing in Arthur J over given investment horizon. Please continue to Arthur J Hype Analysis, Arthur J Correlation, Arthur J Valuation, Arthur J Volatility as well as analyze Arthur J Alpha and Beta and Arthur J Performance.

Arthur J 'What if' Analysis

No Change 0.00  0.0 
In 2 months and 31 days
If you would invest  0.00  in Arthur J on December 1, 2019 and sell it all today you would earn a total of 0.00 from holding Arthur J Gallagher Co or generate 0.0% return on investment in Arthur J over 90 days. Arthur J is related to or competes with EHealth, Erie Indemnity, Fanhua, Aon Plc, Brown Brown, and Marsh McLennan. Gallagher Co., together with its subsidiaries, provides insurance brokerage, consulting, and third party claims settleme...

Arthur J Upside/Downside Indicators

Downside Deviation1.24
Information Ratio0.2442
Maximum Drawdown4.57
Value At Risk(1.30)
Potential Upside1.65

Arthur J Market Premium Indicators

Risk Adjusted Performance0.133
Jensen Alpha0.1303
Total Risk Alpha0.235
Sortino Ratio0.2016
Treynor Ratio0.7491

Arthur J Gallagher Backtested Returns

We consider Arthur J very steady. Arthur J Gallagher secures Sharpe Ratio (or Efficiency) of 0.0889 which signifies that the organization had 0.0889% 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 Arthur J Gallagher Co which you can use to evaluate future volatility of the firm. Please confirm Arthur J Gallagher Mean Deviation of 0.6823, Risk Adjusted Performance of 0.133 and Downside Deviation of 1.24 to double-check if risk estimate we provide are consistent with the epected return of 0.0936%. Arthur J has performance score of 6 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.1465, which signifies that as returns on market increase, Arthur J returns are expected to increase less than the market. However during bear market, the loss on holding Arthur J will be expected to be smaller as well. Although it is extremely important to respect Arthur J Gallagher 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 Arthur J Gallagher technical indicators you can presently evaluate if the expected return of 0.0936% will be sustainable into the future. Arthur J Gallagher right now shows a risk of 1.05%. Please confirm Arthur J Gallagher Treynor Ratio as well as the relationship between Potential Upside and Expected Short fall to decide if Arthur J Gallagher will be following its price patterns.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation 0.70 
correlation synergy

Good predictability

Arthur J Gallagher Co has good predictability. Overlapping area represents the amount of predictability between Arthur J time series from December 1, 2019 to January 15, 2020 and January 15, 2020 to February 29, 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Arthur J Gallagher price movement. The serial correlation of 0.7 indicates that around 70.0% of current Arthur J price fluctuation can be explain by its past prices.
Correlation Coefficient0.7
Spearman Rank Test0.66
Residual Average0.0
Price Variance23.7

Arthur J Gallagher lagged returns against current returns

 Current and Lagged Values 

Arthur J regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Arthur J Lagged Returns

 Regressed Prices 

Current Sentiment - AJG

Arthur J Gallagher Investor Sentiment

Greater number of Macroaxis users are presently bullish on Arthur J Gallagher Co. What is your sentiment towards investing in Arthur J Gallagher Co? Are you bullish or bearish?
98% Bullish
2% Bearish

Arthur J Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Arthur J and EHealth. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
Run Pair Correlation  
Please continue to Arthur J Hype Analysis, Arthur J Correlation, Arthur J Valuation, Arthur J Volatility as well as analyze Arthur J Alpha and Beta and Arthur J Performance. Please also try Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.