597.71 -10.14 (-1.7%) Sell

Waiting to invest in Y? Avoid at the moment as it has destroyed investor wealth

13 min read

ALLEGHANY CORP has destroyed investor wealth today. It delivered -1.7% to close at 597.71. It's recent 5 day performance has been -1.14%, +0.31%, +0.39%, -1.22% and -0.98%.

[Themes containing Y]

Y showed a bearish trend over the last 3 months. During this period Y delivered -6.79% and saw a maximum drawdown of -11.48%. There was a short signal during this period which returned +6.79%.


Y has been outperforming the SP500 index in recent time. It showed significant underperformance (compared to the SP500 index) from 23 Feb, 2017 to 14 Jun, 2018. Over the last 2 years 11 months and 10 days, Y underperformed the SP500 index on 47% days. Which indicates that on days Y underperforms the SP500 index, it's performance is marginally worse than on the days it outperforms the SP500 index.

During the last three months Y was mostly loss making and delivered on average -0.1% per day. It's best return during this period (of +3.94%) was on Monday, 5 Nov, 2018. While it's worst loss in the same period (of -3.7%) was on Thursday, 11 Oct, 2018. The longest stort-term trend during this period was 5 losing days, which started on 22 Oct, 2018 and ended on 26 Oct, 2018. This bearish trend lost -5.65% of investor capital.

The last 12 months saw Y's investors making profits in 7 months and incurring losses in 5 months. Y was less consistent in delivering monthly returs than SP500 index. Y significantly outperformed SP500 index in Jul 2018, when it returned +9.43% compared to +4.75% returned by SP500 index during it's best month in the last one year - Jan 2018. Y had a shorter streak of profitable months than SP500 index. It only went up in 4 straight months during the last year. It is interesting to note that both Y and SP500 index significantly outperform during months when quarterly/annual results are announced.

Don't always trust what you see. In a bull market even a duck looks like a swan.
-- Vijay Kedia

Y is currently seeing overall fall in volatility. In comparison, the SP500 index is seeing increase in volatility. During the last three months, there was a significant surge in Y's volatility from 19 Sep, 2018 to 5 Nov, 2018. While there was a significant surge in the SP500 index's volatility from 19 Sep, 2018 to 29 Oct, 2018.

Advanced/professional short-term investors should note that Y has negative skewness in it's return distribution. This indicates that investors may need to stay invested through long periods of drawdown before expecting a recovery.

Y has more chance of extreme outcomes than the SP500 index. Therefore, Y must receive a lower allocation than SP500 in your portfolio. SP500 index usually has shorter drawdown period than Y.

On a general note (since you are interested in Y), three instruments that are extremely volatile are IX, IMTE and ICPT. They must all be evaluated prudently and investors are better off avoiding them at the moment.

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