Selective Insurance Group Stock Volatility
| SIGI Stock | USD 73.73 -0.91 -1.22% |
Selective Insurance Group shows a minimal volatility profile over the current evaluation window. Selective Insurance Group registers a Sharpe Ratio (Efficiency) of -0.18, reflecting negative risk-adjusted performance over the last 3 months. Current risk dynamics are supported by 23 technical indicators.
Sharpe Ratio = -0.1756
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| Negative Returns | SIGI |
Selective Insurance Group (SIGI) recorded a Market Risk Adjusted Performance of -0.3%, a Risk of 1.32, and a Risk Adjusted Performance of -0.1%. Based on recent moving average trends, Selective Insurance has not achieved its theoretical performance maximum. Pairing it with a well-diversified portfolio structure may improve overall efficiency.
Key indicators related to Selective Insurance's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
The volatility profile of Selective Insurance determines how much Selective Insurance's price can move in either direction over a given time frame. Investors use volatility estimates to size positions, set stop-loss levels, and price the cost of hedging Selective Insurance exposure.
Selective | Build portfolio with Selective Stock |
Volatility Strategy
Volatility in Selective Insurance Group reflects changing market conditions that influence diversification outcomes. Current statistical measures show total volatility near 1.32% with a beta coefficient of 0.55, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.18, evaluates return per unit of total risk. An alpha value of -0.11 reflects performance relative to systematic market exposure. Expected return estimates near -0.23% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Equity volatility may reflect changes in growth expectations.
Main indicators related to Selective Insurance's market risk premium analysis include:
Beta 0.55 | Alpha -0.11 | Risk 1.32 | Sharpe Ratio -0.18 | Expected Return -0.23 |
Moving together with Selective Stock
| 0.67 | VLKPF | Volkswagen AG VZO Downward Rally | PairCorr |
| 0.72 | VWAGY | Volkswagen AG 110 | PairCorr |
| 0.69 | VLKAF | Volkswagen AG | PairCorr |
Moving against Selective Stock
| 0.75 | INTG | Intergroup | PairCorr |
| 0.73 | CYBL | Cyberlux Corp | PairCorr |
| 0.66 | XTIA | XTI Aerospace | PairCorr |
| 0.58 | AVIR | Atea Pharmaceuticals | PairCorr |
| 0.52 | IRDM | Iridium Communications | PairCorr |
| 0.38 | WTG | Wintergreen Acquisition | PairCorr |
| 0.33 | SQM | Sociedad Quimica y | PairCorr |
Sensitivity To Market
The beta coefficient of 0.55 for Selective Insurance Group measures how its returns respond to broader market changes. In regression terms, beta captures the slope between asset returns and index returns. Historical volatility is currently near 1.32%.Selective Insurance Group return patterns over the selected horizon reflect a minimal level of variability, based on dispersion and downside-focused statistics. Options markets imply a forward-looking volatility estimate near 53.0%. This indicates expectations for moderate future movement relative to historical averages. Equity volatility often increases when trading volume rises and spreads widen in fast markets.
| α | -0.1136 | β | 0.55 | Check current 90 days Selective Insurance correlation with market (Dow Jones Industrial)
Downside Risk
Selective standard deviation quantifies the typical daily price movement relative to its average over your selected period. Volatile instruments show high standard deviation; stable instruments show low.
Standard Deviation | 1.32 |
The difference between upside risk and downside risk is meaningful for Selective Insurance investors. Upside risk is measured by Selective Insurance's standard deviation, while downside risk is captured by semi-deviation or downside deviation of Selective Insurance's daily returns. Selective Insurance Group (SIGI) recorded a Maximum Drawdown of 6.21.
Using Selective Put Option to Manage Risk Based on 2026-06-18 Contracts
Selective Insurance Group (SIGI) recorded an Option Implied Volatility of 0.53 and an Option Max Pain Price of -1. Investors holding Selective Insurance can use put options to hedge against potential price declines. A put option on Selective Stock gives the buyer the right to sell Selective Insurance at the strike price until expiration.
Selective Insurance's PUT expiring on 2026-06-18
Profit |
| Selective Insurance Price At Expiration |
Current Selective Insurance Insurance Chain
| Delta | Gamma | Open Int | Expiration | Current Spread | Last Price | |||
Put | SIGI260618P00070000 | -0.297351 | 0.031366 | 16 | 2026-06-18 | 0.5 - 4.0 | 0.0 | View |
Put | SIGI260618P00075000 | -0.473677 | 0.035326 | 4 | 2026-06-18 | 2.1 - 7.0 | 0.0 | View |
Put | SIGI260618P00080000 | -0.651261 | 0.034448 | 2 | 2026-06-18 | 5.0 - 9.9 | 0.0 | View |
Stock Volatility Analysis
When measuring the risk of Selective Insurance stock, volatility is a critical metric. It indicates how dramatically Selective Insurance's price swings over a specific time horizon. A stock with high volatility can produce outsized gains or losses compared to a low-volatility alternative.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. Selective Insurance Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
Projected Return Density Against Market
Given the investment horizon of 90 days Selective Insurance has a beta of 0.5533 . This usually implies as returns on the market go up, Selective Insurance's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding Selective Insurance Group is expected to be smaller as well.Selective Insurance carries exposure to broad market movements as well as company or sector-specific developments. While portfolio diversification can reduce asset-level risk, systematic volatility cannot be avoided. Standard deviation and beta quantify this exposure. Selective Insurance Group (SIGI) recorded a Mean Deviation of 1.03, an Option Implied Volatility of 0.53, and a Standard Deviation of 1.31.
Predicted Return Density |
| Returns |
What Drives Selective Insurance's Price Volatility?
Several factors can influence Selective Insurance's market volatility:Industry Dynamics
Sector-level events can directly affect Selective Insurance's price stability. Regulatory changes, supply disruptions, or shifts in demand within Selective Insurance's industry may create volatility even when the broader market is calm. Competitive dynamics and industry consolidation can also amplify price swings for companies like Selective Insurance.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for Selective Insurance's price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward Selective Insurance. During periods of economic expansion, Selective Insurance's price tends to benefit from broader market optimism, while downturns can amplify selling pressure.Selective Insurance's Company-Specific Factors
Volatility can also stem from events unique to Selective Insurance. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in Selective Insurance's stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on Selective Insurance's share price.Stock Risk Measures
Given the investment horizon of 90 days the coefficient of variation of Selective Insurance is -569.4. The daily returns are distributed with a variance of 1.75 and standard deviation of 1.32. The mean deviation of Selective Insurance Group is currently at 1.03. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.79
α | Alpha over Dow Jones | -0.1136 | |
β | Beta against Dow Jones | 0.55 | |
σ | Overall volatility | 1.32 | |
Ir | Information ratio | -0.0578 |
Stock Return Volatility
Volatility for Selective Insurance quantifies the day-to-day dispersion of stock returns around their historical average. The firm carries 1.3217% return volatility across the 90-day horizon. As a benchmark, Dow Jones Industrial has volatility of 0.8239% on return distribution over a 90-day investment horizon. Performance |
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Related Correlations Analysis
Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
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Risk-Adjusted Indicators
Selective Insurance Company may look attractive on headline returns alone, but deeper analysis often tells a different story. A thorough review of Selective Insurance's risk-adjusted indicators provides a clearer picture of whether returns are being earned efficiently. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| MCY | 1.33 | -0.04 | 0.00 | -0.18 | 0.00 | 2.19 | 12.10 | |||
| LMND | 3.94 | 0.08 | 0.00 | -0.06 | 0.00 | 8.61 | 25.00 | |||
| WTM | 0.90 | 0.13 | 0.15 | 0.17 | 1.06 | 1.95 | 6.69 | |||
| RDN | 1.20 | -0.10 | 0.00 | -0.67 | 0.00 | 2.36 | 8.01 | |||
| RLI | 1.20 | -0.15 | 0.00 | -3.33 | 0.00 | 2.25 | 6.50 | |||
| AX | 1.48 | 0.09 | 0.00 | -0.02 | 0.00 | 3.05 | 13.49 | |||
| SNEX | 1.99 | 0.31 | 0.07 | 0.05 | 2.74 | 4.12 | 15.77 | |||
| ALL | 1.11 | -0.01 | 0.00 | -0.19 | 0.00 | 2.29 | 7.57 | |||
| AHL | 3.08 | -1.34 | 0.00 | 0.70 | 0.00 | 2.94 | 97.75 | |||
| IBOC | 1.14 | -0.02 | 0.00 | -0.10 | 0.00 | 2.18 | 9.21 |
Risk Metrics, Assumptions & Methodology
Volatility for Selective Insurance measures return dispersion and uncertainty over time. Standard deviation provides a baseline measure of variability magnitude. Selective Insurance has a market cap of 4.45 B, P/E of 17.0, ROE of 13.86%.
This section for Selective Insurance Group is built from periodic company reporting and market reference feeds, with harmonization applied to align reporting definitions. Professional analyst research is incorporated when coverage is available. Values may update on different source schedules. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Rifka Kats - Member of Macroaxis Editorial BoardSelective Insurance Investment Opportunity
Selective Insurance Group is about 1.61 times more volatile than Dow Jones Industrial based on recent return behavior. Used properly, this comparison frames whether the extra volatility is strategic or simply uncompensated risk.You can use Selective Insurance Group to protect your portfolios against small market fluctuations. This directional read frames the latest price swing through a simple momentum and follow-through lens. It works best as a directional cue rather than as a standalone forecast. a somewhat bearish sentiment, but the market may correct it shortly. Check odds of Selective Insurance to be traded at $71.52 in 90 days.Poor diversification
SIGI currently posts a 0.79 correlation with DJI, indicating a Poor diversification relationship for the active sample. In portfolio terms, the overlap visualization shows how much shared movement remains after both positions are combined.
Selective Insurance Additional Risk Indicators
Looking at additional risk metrics for Selective Insurance Group frames how the position may behave under different market and portfolio conditions. The practical goal is to identify how much risk is being accepted and whether that risk still fits the thesis.
| Risk Adjusted Performance | -0.09 | |||
| Market Risk Adjusted Performance | -0.28 | |||
| Mean Deviation | 1.03 | |||
| Coefficient Of Variation | -869.11 | |||
| Standard Deviation | 1.31 | |||
| Variance | 1.71 | |||
| Information Ratio | -0.06 |
Selective Insurance Suggested Diversification Pairs
Pair analysis around Selective Insurance Group matters because it can turn one security idea into a more market-neutral structure. A disciplined pair strategy still requires monitoring because correlation can weaken when market regimes change.
Risk reduction through pair trading is real but has limits - not every type of exposure can be offset by a second leg. Selective Insurance's exposure to overall market risk stays intact regardless of pairing. The value of a second leg lies in reducing Selective Insurance's idiosyncratic risk - the part that comes from company-level events rather than macro conditions.
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