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RISK CONCERN
Investment Strategy, Risk Analysis, and Insights by Chartered Professionals
Alleghany Corporation (XNYS:Y) In-Depth Stock/Fundamental/Options Analysis Today
Primary Facts
Y
Name:
ALLEGHANY CORPORATION (XNYS:Y)
Sector:
496.65M
Industry:
Insurance�Property & Casualty
CEO:
Mr. Weston Hicks
Total Employees:
13,313
Our Technological Advancement Rating
Our Rating:
A+
Technological advancement compared to industry is 11850.44% higher
ANALYSIS OF ALL CRITICAL FACTORS & RISKS RELATED TO THE STOCK & FUNDAMENTAL/LONG-TERM ANALYSIS OF ALLEGHANY CORPORATION(Y) AS PER DATA ANALYSIS OF LAST 3 YEARS AND COMPARISON WITH COMPETITORS/PEERS, AND INSURANCE�PROPERTY & CASUALTY INDUSTRY. DATE: 07/09/2022
Primary Targets/Price Insights
Previous Close ($) :
840.02
One Month Price Target:
$842.68
Six Month Price Target :
$855.99
Likely Price in One Year's Time:
Ticker:
$871.96
Likely Trading Range Today Under (Normal Volatility)
$836.89
Price Upper limit ($) :
$843.79
Price Lower limit ($) :
Crash Risk Prep/Key Price Levels (High Volatility/Risk)
Price, as per data analysis, isn't likely to fall below:
Today:
$798.65
This week:
$747.52
This month :
$655.01
Other Primary facts
Market Cap:
11.31B
Market Cap Classification:
Mid Cap
Number of Shares
IPO Date:
13.46M
Best/Worst Daily Performance (Last 3+ Years)
Highest Daily Appreciation:
24.8%
-15.17%
Worst Daily Decline:
Our Options Trading Entry Points
Iron Condor entry points for options expiring in 1 week's time
Low risk (<2%) entry points
Buy Call:
Sell Call:
Buy Put:
Sell Put:
$1,032.00
$944.01
$648.04
$736.03
Medium risk (<10%) entry points
Buy Call
Sell Call
$915.38
Buy Put:
Sell Put:
$896.59
$764.42
$783.45
These entry points can be used for other strategies, such as butterflies, straddles, etc.
Risk-Adjusted returns (Sharpe Ratio) of
Y
Sharpe Ratio:
1.21%
Comparison:
Y, is amongst the top 60% stocks with highest risk-adjusted returns
Sharpe ratio is -12.80% lower than the industry
& is -47.11% lower than the market/S&P 500 average
Average Returns/Yield of
Y
Daily returns:
0.04%
Weekly returns:
0.19%
Monthly returns:
0.76%
Yearly returns:
10.43%
Comparison of returns:
Average annual returns/yield (last 3 years) is -12.57% below industry average
Classification:
Y, is amongst the top 60% highest yielding stocks in terms of daily returns
Results of T-Test of Returns:
0.76
Statistical test of Returns:
Y has yielded returns statistically similar to the market
Volatility (measured by Standard Deviation)
Daily Volatility:
2.42%
Weekly Volatility:
5.40%
Monthly Volatility:
10.81%
Yearly Volatility:
37.43%
Volitlilty of last five days (Measured by Standard Deviation)
Average Volatility of this Week:
0.09%
Volatility in last five trading days has been -96.33% below long-term volatility
Value at Risk Analysis (VaR)
Daily VaR:
-4.92%
Weekly VaR:
-11.01%
Monthly VaR:
-22.02%
How Much Can the price of
Y
Decline in a Recession?
Likely price decline in a recession:
Base case (decline):
-19%
Worst case (decline):
-76.29%
This translates to price declining to:
$680.06
This translates to price declining to:
$199.14
Severe Crash Probability
Risk of crash in next 6/12 months: Medium (<50%)
What is Value at Risk (VaR)?
Risk Fundamentals
Y is a 55.44% riskier investment compared to the market/S&P 500 & is 33.17% riskier than Nasdaq (IXIC)
Risk (measured by volatility) is 0.36% above industry average
Overall, it is amongst the top 50% most risky stocks
Beta Examination of
Y
Beta in relation to market/S&P 500--0.57
Expected beta in 1 year's time:
0.521
Expected beta in 3 year's time:
0.737
Unlevered (debt free) Beta:
0.448
Beta in relation to Nasdaq (XNAS):
0.633
Beta in relation to all global stocks::
0.883
Beta Comparison & Analysis
Beta of competitors/peers::
0.9
Beta is -37.12% lower than peers
Average Industry Beta:
0.555
Beta is 1.93% above industry average
Sustainable Growth Rate Analysis
Sustainable growth rate for this stock/firm:
7.65%
Sustainable growth rate is -33.66% below industry average
Alpha provided | Alpha Analysis
Alpha provided:
0.021
Alpha is -39.84% below industry average alpha yield
Alpha is 133% higher than market/& is unsustainably high
Analysis of Cost of Capital of
Y
Equity cost of capital:
0.070
Equity cost of capital is 1.05% above industry mean WACC
Unlevered (without debt) cost of capital:
5.57%
Before-tax cost of debt:
3.92%
After-tax cost of debt:
3.10%
Overall debt rating:
Lower BB medium grade (Fifth highest grade)
Weighted average cost of capital (WACC):
3.10%
WACC is 1.12% above industry mean WACC
Key Per-Share Metrics & Analysis
Revenue per share:
$896.39
Revenue growth rate per share of (3Y):
1.31
Annual revenue growth rate is -4.59% below industry average
EPS:
$67.75
Expected Annual growth rate of EPS (3Y):
7.90%
Expected future EPS growth rate is -49.45% lower than the Insurance�Property & Casualty industry
Free cash flow (FCF) per share:
$137.95
Balance sheet equity growth per share: -100.00%
Equity growth rate per share is -321.12% lower than the industry
Debt per share
$209.79
EBITDA per share
$110.66
Valuation Analysis Today of
Y
P/E Ratio:
32.32
P/E Ratio of Competitors/Peers:
9.58
P/E ratio is 237.37% higher than main peers & is 84.69% higher than the industry
Stock price/value with industry average P/E ratio: $1,185.41
Y is -29.14% undervalued if valued using industry average P/E ratio
Share value as per dividend discount (DDM) model: $42.10
Present value of the expected future dividends only: $25.57
P/S (Price to Sales ratio):
0.94
Price to sales ratio is -60.93% below the industry mean
P/B (Price to book value ratio):
1.31
Price to free cash flow: 6.09
Price to free cash flow ratio is -68.05% lower than the industry
Net income growth rate (3Y):
2670.39%
Net income growth rate is -9249.52% lower than the industry average net income growth rate
Dividend Analysis
-
Dividend yeild: 1.82%
Previous Dividend: $0.11
Previous adjusted dividend: $0.11
Previous Dividend: $15.33
Expected next dividend best case: $17.01
Expected next dividend worst case: -$16.79
Average dividend payment (long-term): $3.83
Average dividend increase/decrease (growth rate) % per period: -33.09%
-
-
-
-
-
-
Dividend History:
2020-11-26--$0.11
2020-05-28--$0.11
--$0.00
2020-08-27--$0.11
2020-03-04--$15.00
--$0.00
Dividend growth rate is -171.80% lower than the industry average
In-depth Debt & Leverage Analysis
Debt to equity ratio:
32.84%
Net debt to equity ratio:
21.29%
Debt to assets ratio:
8.85%
Net debt to assets ratio:
5.74%
Debt-to-asset ratio is -86.70% below industry average
Ability to repay debt:
Interest coverage ratio:
13.45
Interest coverage ratio is 179.40% more than industry average
Looking forward:
Debt growth rate:
33.30%
Annual debt growth is -1580% lower than industry average debt growth rate
Debt repayment rate in last quarter: 0.87%
Analysis of Key Statistics
Correlation of price movement with the market:
0.63
Statistical significance of correlation:
Y has a statistically significant correlation with the market
Average Correlation of the industry with the market:
0.6
Stock price is 4.97% more correlated with the market, compared to the industry average correlation
R Squared (percentage of price movement explained by movement of the market):
0.6
Correlation of price movement with Nasdaq (^IXIC):
0.063
Covariance of price movement with the market:
0.088
Kurtosis
22.664
Returns have severe fat-tails (leptokurtic), i.e., returns considerably higher or lower than the mean returns are considerably more likely, compared to assets with normally distributed returns
Skewness of returns:
1.398
Returns are right (positive) skewed; mean returns are greater than median and mode returns
Fundamental Analysis & Dupont Analysis of
Y
Gross Profit Margin Ratio:
100%
Operating Profit Margin Ratio:
0.00%
-
Net Profit Margin Ratio:
100%
Effective Tax Rate:
20.16%
Effective tax rate is 0.90% higher than the industry
Dupont Method
Net Profit Margin
Return on Equity Ratio (ROE):
×
ROA
=
×
10.83%
Return on equity (ROE) is 32.97% higher than the industry
Financial Leverage
Asset Turnover Ratio (ROA):
2.92%
Return on assets (ROA) is 90.36% higher than the industry
Financial Leverage:
1.1x
Current Ratio:
0
-
Cash Conversion Cycle (days):
0
-
The remaining useful life of property plant & equipment is: 3.4 years
Stock based compensation to net income ratio:
-
In-depth Efficiency Analysis
Revenue generated per employee:
906.0K
Each employee generates -25% less revenue than industry average revenue per employee
EBITDA generated per employee:
111.8K
Each employee generates -44% less EBITDA than industry average revenue per employee
Profit generated per employee:
69.9K
Each employee generates -51% less net income/profit than industry average revenue per employee
Free cash flow (FCF) generated per employee:
37.3K
Each employee generates -38% less free cash flow than industry average revenue per employee
Assets/Capital per employee
1.7M
Each employee generates -38% less free cash flow than industry average revenue per employee
Research & Development (R&D) Analysis
-
-
Competitors/Peer firms of
Y
Aegon NV (XNYS:AEG)
THE WESTERN UNION COMPANY (XNYS:WU)
FIRST HORIZON CORPORATION (XNYS:FHN)
CREDICORP LTD. (XNYS:BAP)
REINSURANCE GROUP OF AMERICA, INCORPORATED (XNYS:RZA)
JIH-UN
GLOBE LIFE INC. (XNYS:GL)
EVEREST RE GROUP, LTD. (XNYS:RE)
AMERICAN FINANCIAL GROUP, INC. (XNYS:AFG)
Current Analyst Ratings
Strong buy�4%
Buy�4%
Hold�4%
Sell�0%
Strong sell�0%
Overall analyst sentiment is: Strong buy
Income Statement
Period:
TTM
Date:
3/31/22
Revenue:
12.06B
Cost of Revenue:
Gross Profit:
R&D Expense
General & Admin Expenses:
Selling, General & Admin Expenses
Sales and Marketing Expenses
Other Expenses :
Operating Expenses :
Cost & Expenses :
Interest Income:
Interest Expenses:
Depreciation & Amortization:
EBITDA:
Operating Income:
Other Income Expenses:
Income Before Tax:
Income Tax Expense:
Net Income:
Balance Sheet
Date:
Calendar Year:
Period:
Cash & Cash Equivalents:
Short Term Investments:
Cash & Short Term Investments:
Net Receivables:
Inventory:
Other Current Assets:
Total Current Assets:
PP&E:
Goodwill:
Intangible Assets:
Long Term Investments:
Tax Assets:
Other Non-Current Assets:
Total Non-Current Assets:
Other Assets:
Total Assets:
Accounts Payable:
Short Term Debt:
Tax Payables:
Deferred Revenue:
Other Current Liabilities:
Total Current Liabilities:
Long Term Debt:
Other Non-Current Liabilities:
Total Non Current Liabilities:
Other Liabilities:
Total Liabilities:
Common Stock:
Retained Earnings:
Accumulated Other Comprehensive Loss:
Other Total Stockholders' Equity:
Total Stockholders' Equity:
Total Liabilities and Stockholders' Equity:
Total Investments:
Total Debt:
Net Debt:
-
3.56B
-
58.38M
58.38M
-
- 18387.00K
2.90M
473.40M
110.67M
179.59M
1.49B
-
930.53M
1.33B
268.14M
930.53M
Statement of Cash Flow
Date:
Period:
45.11M
Differed Income Tax :
-
Stock Based Compensation :
-
Change in Working Capital :
224.34M
Accounts Receivables:
- 69795.00K
Other Working Capital:
69.34M
Other Non-Cash Items:
72.56M
Net Cash Provided by Operating Activities:
510.90M
Investments in PP&E:
- 14249.00K
Net Acquisitions:
-
Purchases of Investments:
- 1839223.00K
Sales/Maturities of Investments:
Other Investing Activities:
Net Cash Used for Investing Activities:
Debt Repayment:
Common Stock Issued:
Common Stock Repurchased:
Dividend Paid:
Other Financing Activities:
Net Cash Used Provided by Financing Activities:
Effect of FOREX on Changes in Cash:
Net Changes in Cash:
Cash at End of Period:
Cash at Beginning of Period:
Operating Cash Flow:
Capital Expenditure:
Free Cash Flow (FCF):
3/31/22
2022
Q1
993.06M
1.31B
2.30B
3.69B
-
-
-
303.59M
754.65M
909.42M
20.28B
-
-
22.25B
54.14B
31.89B
360.92M
-
63.91M
-
-
-
2.82B
-
2.82B
26.12B
23.30B
17.46M
7.48B
- 464460.0K
-
March 31, 2022 at 6:00:00 AM
10.73B
8.60B
31.89B
21.58B
2.82B
1.8B
1.48B
69.41M
- 303026.00K
- 24820.00K
-
- 95987.00K
-
- 13992.00K
- 134799.00K
- 7988.00K
65.09M
993.06M
927.97M
510.90M
- 14249.00K
496.65M
Our Proprietary Portfolio Rating
Our Rating:
A+
Price Forecast/Expected Price in Next 5 Years of
Y
2023
2024
2025
2026
2027
$876.32
$1,360.41
$1,412.13
$1,465.82
$1,521.56