Selective Insurance (Germany) Volatility
| SV2 Stock | EUR 63.50 -1.50 -2.31% |
Selective Insurance Group remains associated with relatively low price volatility over the last 3 months. Selective Insurance Group registers a Sharpe ratio of -0.11, demonstrating unfavorable reward-to-risk behavior over the last 3 months. Current risk dynamics are supported by 21 technical indicators.
Sharpe Ratio = -0.1065
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | SV2 |
Estimated Market Risk
| 1.63 actual daily | 14 86% of assets are more volatile |
Expected Return
| -0.17 actual daily | 0 Most of other assets have higher returns |
Risk-Adjusted Return
| -0.11 actual daily | 0 Most of other assets perform better |
Selective Insurance Group's financial profile includes a Market Risk Adjusted Performance of -0.4%, a Risk of 1.63, and a Risk Adjusted Performance of -0.04%. Monthly moving average data shows Selective Insurance is underperforming relative to its full potential. A well-diversified portfolio allocation can mitigate market risk and improve expected return.
Key indicators related to Selective Insurance's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
For options traders, Selective Insurance's implied volatility surface provides a forward-looking estimate of future price dispersion. When implied volatility for Selective Insurance is significantly above realized volatility, options premiums may be elevated relative to historical norms.
Selective |
Volatility Strategy
Selective Insurance Group return movement contributes differently across allocation frameworks. Current statistical measures show total volatility near 1.63% with a beta coefficient of 0.23, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.11, evaluates return per unit of total risk. An alpha value of -0.0821 reflects performance relative to systematic market exposure. Expected return estimates near -0.17% 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 0.23 | Alpha -0.08 | Risk 1.63 | Sharpe Ratio -0.11 | Expected Return -0.17 |
Moving together with Selective Stock
Moving against Selective Stock
| 0.6 | ABB | Volatus Aerospace | PairCorr |
| 0.56 | QSU | SCSK (QSUSG) Split | PairCorr |
| 0.48 | SDRC | SCOR SE | PairCorr |
| 0.32 | AEO | Atmos Energy | PairCorr |
| 0.31 | R66 | Phillips 66 | PairCorr |
Sensitivity To Market
Selective Insurance Group market-relative volatility is reflected in its beta of 0.23. This value results from regression analysis against benchmark returns. Total dispersion currently approximates 1.63%.Selective Insurance Group has shown return movement that ranges from typical to sharp depending on market conditions. Current dispersion statistics include standard deviation near 1.61%. Equity volatility often increases when trading volume rises and spreads widen in fast markets.
| α | -0.0821 | β | 0.23 | Check current 90 days Selective Insurance correlation with market (Dow Jones Industrial)
Downside Risk
The standard deviation of Selective prices measures volatility as the average daily spread from the mean over your selected horizon. High standard deviation implies high volatility; low standard deviation implies price stability.
Standard Deviation | 1.63 |
For a complete risk picture of Selective Insurance, investors should examine both standard deviation (upside risk proxy) and downside deviation or semi-deviation of Selective Insurance's returns (downside risk proxy). Selective Insurance Group's financial profile includes a Maximum Drawdown of 8.03.
Stock Volatility Analysis
Understanding Selective Insurance volatility allows investors to better quantify the risk of holding Selective Insurance's stock. Volatility metrics help portfolio managers set stop-losses and size positions appropriately for Selective Insurance.
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
Assuming a 90-day horizon Selective Insurance has a beta of 0.2273 . 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.Both systematic and unsystematic risks influence Selective Insurance. Market-wide movements drive the former, while company or sector-specific developments drive the latter. Beta estimates market responsiveness. Selective Insurance Group's financial profile includes a Mean Deviation of 1.25 and a Standard Deviation of 1.61.
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
Assuming a 90-day horizon the coefficient of variation of Selective Insurance is -939.07. The daily returns are distributed with a variance of 2.65 and standard deviation of 1.63. The mean deviation of Selective Insurance Group is currently at 1.26. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | -0.0821 | |
β | Beta against Dow Jones | 0.23 | |
σ | Overall volatility | 1.63 | |
Ir | Information ratio | -0.0038 |
Stock Return Volatility
Selective Insurance historical daily return volatility represents how much of Selective Insurance stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company reported 1.6276% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial has volatility of 0.8181% on return distribution over a 90-day investment horizon. Performance |
| Timeline |
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 Stock performing well and Selective Insurance Company doing well as a business compared to the competition. Without reviewing risk-adjusted indicators, investors may overweight recent returns and underweight the volatility required to achieve them. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| 12P | 1.83 | -0.23 | 0.00 | 2.92 | 0.00 | 3.03 | 12.46 | |||
| 6L50 | 2.53 | 0.69 | 0.00 | 2.17 | 0.00 | 0.00 | 60.32 | |||
| BEW | 1.77 | 0.17 | 0.09 | 0.71 | 2.66 | 4.09 | 17.77 | |||
| 55O1 | 1.38 | -0.07 | 0.00 | 0.22 | 0.00 | 3.24 | 11.80 | |||
| 45P | 1.89 | -0.37 | 0.00 | 5.29 | 0.00 | 2.56 | 19.61 | |||
| GIFN | 1.95 | 0.06 | 0.06 | -0.23 | 2.78 | 5.88 | 14.44 | |||
| FH0 | 3.42 | 0.09 | 0.05 | -0.26 | 4.21 | 8.05 | 21.34 |
Risk Metrics, Assumptions & Methodology
Volatility for Selective Insurance measures return dispersion and uncertainty over time. Volatility contraction can precede expansion under certain regimes. Selective Insurance has a market cap of 3.96 B, P/E of 18.07, ROE of 13.86%.
For Selective Insurance Group, this section uses periodic company reporting and market reference feeds with Macroaxis normalization rules applied to keep cross-asset comparisons consistent. Intraday timing differences may exist. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Raphi Shpitalnik - Junior Member of Macroaxis Editorial BoardSelective Insurance Investment Opportunity
Measured over the selected horizon, Selective Insurance Group carries roughly 1.99 times the return volatility of Dow Jones Industrial. 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 short-horizon strategy note focuses on what the latest move may imply for immediate trading context. It is most useful when combined with broader risk controls and position-sizing discipline. an unexpected downward movement. The market is reacting to new fundamentals. Check odds of Selective Insurance to be traded at €60.96 in 90 days.Poor diversification
SV2 currently posts a 0.69 correlation with DJI, indicating a Poor diversification relationship for the active sample. The overlap area represents the portion of risk that may be diversified away when both instruments are held together and nothing else in the portfolio changes.
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. Used correctly, these measures can support both standalone risk assessment and portfolio-level hedging decisions.
| Risk Adjusted Performance | -0.04 | |||
| Market Risk Adjusted Performance | -0.45 | |||
| Mean Deviation | 1.25 | |||
| Coefficient Of Variation | -1,710 | |||
| Standard Deviation | 1.61 | |||
| Variance | 2.61 | |||
| Information Ratio | -0.0038 |
Selective Insurance Suggested Diversification Pairs
Using Selective Insurance in a pair-trading setup can improve risk control because gains and losses are judged against a second position instead of against the market alone. This framework is most useful when investors want to hedge directional moves caused by sector headlines or broad market pressure.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Selective Insurance as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Selective Insurance's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Selective Insurance's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Selective Insurance Group.
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