Selective Insurance Group Preferred Stock Volatility
| SIGIP Preferred Stock | USD 16.44 -0.11 -0.66% |
Recent trading patterns suggest Selective Insurance Group maintains a minimal volatility profile. Selective Insurance Group registers a Sharpe Ratio (Efficiency) of 0.0083, showing reward per unit of risk over the last 3 months. Current risk dynamics are supported by 22 technical indicators.
Sharpe Ratio = 0.0083
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| Negative Returns | SIGIP |
Latest disclosures for Selective Insurance Group show a Market Risk Adjusted Performance of -0.04%, a Risk of 0.52, and a Risk Adjusted Performance of -0.01%. Moving average data indicates Selective Insurance is not operating at maximum efficiency. A well-diversified portfolio allocation can reduce market risk and improve total performance.
Key indicators related to Selective Insurance's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Volatility analysis for Selective Insurance draws on both historical price data and forward-looking implied volatility from the options market. Together these measures provide a comprehensive view of Selective Insurance's risk profile.
Selective |
Volatility Strategy
Observed trading dispersion in Selective Insurance Group can affect long-term allocation structure. Current statistical measures show total volatility near 0.52% with a beta coefficient of 0.31, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of 0.0083, evaluates return per unit of total risk. An alpha value of -5.1E-4 reflects performance relative to systematic market exposure. Expected return estimates near 0.0043% 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 0.31 | Alpha -0.0005 | Risk 0.52 | Sharpe Ratio 0.0083 | Expected Return 0.0043 |
Moving together with Selective Preferred Stock
| 0.72 | TKOMY | Tokio Marine Holdings | PairCorr |
| 0.65 | ALL-PH | Allstate | PairCorr |
| 0.76 | ENZC | Enzolytics | PairCorr |
| 0.74 | ZNOG | Zion Oil Gas | PairCorr |
| 0.65 | APD | Air Products | PairCorr |
Moving against Selective Preferred Stock
| 0.6 | NTNX | Nutanix | PairCorr |
| 0.54 | PGR | Progressive Corp Sell-off Trend | PairCorr |
| 0.31 | ANNA | AleAnna Class A Upward Rally | PairCorr |
Sensitivity To Market
Selective Insurance'sSelective Insurance systematic risk exposure is reflected in a beta value of 0.31. Beta is derived from regression analysis comparing asset and benchmark returns. Measured volatility currently stands near 0.52%.Over the current lookback period, Selective Insurance Group shows a minimal volatility profile, using downside deviation (0.0%) as a primary reference. Equity volatility often increases when trading volume rises and spreads widen in fast markets.
| α | -0.0005 | β | 0.31 | Check current 90 days Selective Insurance correlation with market (Dow Jones Industrial)
Downside Risk
Standard deviation for Selective expresses the daily price volatility over a selected time horizon as a spread around the mean. High values indicate volatile instruments; low values indicate stable ones.
Standard Deviation | 0.52 |
For Selective Insurance investors, the distinction between upside and downside risk matters. Standard deviation measures total volatility including favorable moves, while downside deviation and semi-deviation isolate the loss risk in Selective Insurance's daily returns. Latest disclosures for Selective Insurance Group show a Maximum Drawdown of 2.16.
Preferred Stock Volatility Analysis
Volatility describes the degree to which Selective Insurance preferred stock price fluctuates in either direction. Highly volatile preferred stocks like Selective Insurance can offer significant profit opportunities, but also come with heightened risk.
Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. 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.
Selective Insurance Projected Return Density Against Market
Assuming a 90-day horizon Selective Insurance has a beta of 0.3054 . 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.Systematic risk links Selective Insurance to overall preferred stock market cycles, while unsystematic risk stems from company or sector-specific developments. Diversification addresses the latter, but macro sensitivity persists. Beta measures relative responsiveness. Latest disclosures for Selective Insurance Group show a Mean Deviation of 0.40 and a Standard Deviation of 0.52.
Predicted Return Density |
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What Drives a Selective Insurance Price Volatility?
Several factors can influence a preferred stock's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract investor attention to the company. This positive attention may impact the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Preferred Stock Risk Measures
Assuming a 90-day horizon the coefficient of variation of Selective Insurance is 12063.72. The daily returns are distributed with a variance of 0.28 and standard deviation of 0.52. The mean deviation of Selective Insurance Group is currently at 0.41. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | -0.0005 | |
β | Beta against Dow Jones | 0.31 | |
σ | Overall volatility | 0.52 | |
Ir | Information ratio | 0.06 |
Preferred Stock Return Volatility
Selective Insurance historical daily return volatility represents how much of Selective Insurance preferred stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The enterprise shows 0.5247% volatility of returns over 90 trading days. By contrast, Dow Jones Industrial accepts 0.792% volatility on return distribution over a 90-day 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
There is a big difference between Selective Preferred Stock performing well and Selective Insurance Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Selective Insurance's multiple risk-adjusted performance indicators across the competitive landscape. 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 | ||
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| SAFT | 1.00 | 0.00 | 0.03 | -0.06 | 1.33 | 1.95 | 5.44 | |||
| ROOT | 2.68 | -0.77 | 0.00 | -0.41 | 0.00 | 5.10 | 17.89 | |||
| HRTG | 2.00 | 0.10 | 0.05 | 0.13 | 2.38 | 3.44 | 22.20 | |||
| PRA | 0.24 | 0.04 | 0.31 | 0.96 | 0.07 | 0.53 | 1.39 | |||
| CFR | 0.94 | 0.13 | 0.11 | 0.08 | 1.08 | 2.62 | 7.75 | |||
| TRIN | 1.06 | 0.04 | 0.05 | 0.02 | 1.12 | 2.49 | 5.89 | |||
| ASIC | 2.37 | 0.22 | 0.10 | 0.36 | 2.29 | 4.59 | 28.23 | |||
| OCFC | 1.26 | -0.07 | 0.00 | -0.11 | 0.00 | 2.74 | 11.69 | |||
| UFCS | 1.22 | 0.12 | 0.10 | 0.30 | 1.45 | 2.04 | 10.46 | |||
| JCAP | 1.80 | 0.00 | 0.00 | -0.05 | 0.00 | 4.12 | 14.63 |