Selective Insurance Total Risk Alpha
| SIGI Stock | | | USD 84.69 1.69 2.04% |
Total Risk Alpha measures the excess return of an asset after comparing its performance to a benchmark portfolio matched to the same total risk level. Unlike Jensen Alpha, which adjusts for systematic risk (beta) only, Total Risk Alpha accounts for total volatility. Below is Selective Insurance's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
The current Total Risk Alpha of
-0.03 places Selective Insurance at slightly negative alpha — return marginally below the CAPM-predicted level. Selective Insurance has slightly underperformed relative to what its market beta would imply.
Total Risk Alpha | = | RFR + (ER[b] - ER[a]) | x | STD[a] / STD[b] |
| = | -0.03 | |
| ER[a] | = | Expected return on investing in Selective Insurance |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on Selective Insurance |
| STD[b] | = | Standard Deviation of selected market or benchmark |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Total Risk Alpha Peers Comparison
Relative to peers, Selective Insurance's Total Risk Alpha is above the group average of -0.08. Peer readings range from -1.0782 (Aspen Insurance Holdings) to 0.7373 (Stonex Group), reflecting tight clustering across the sector. Selective Insurance has generated more excess return relative to its market exposure than the peer group average.
Total Risk Alpha Relative To Other Indicators
The chart below plots Total Risk Alpha against Maximum Drawdown for Selective Insurance and its peers. Each point represents one equity — position along the horizontal axis shows Total Risk Alpha while the vertical axis shows Maximum Drawdown. Equities that cluster in different quadrants carry distinct risk-return profiles. Use the dropdowns to swap in other indicators for either axis.
Compare Selective Insurance to PeersMethodology, Assumptions & Data Sources
The current Total Risk Alpha for Selective Insurance is -0.03. Total Risk Alpha for Selective Insurance is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. Values are specific to the selected time horizon and may differ across measurement periods. This indicator does not constitute investment advice.
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