Arch Capital Group Stock Volatility
| ACGL Stock | USD 100.13 3.31 3.42% |
As of now, Arch Stock is very steady. Arch Capital Group secures Sharpe Ratio (or Efficiency) of 0.18, which signifies that the company had a 0.18 % return per unit of standard deviation over the last 3 months. We have found twenty-eight technical indicators for Arch Capital Group, which you can use to evaluate the volatility of the firm. Please confirm Arch Capital's risk adjusted performance of 0.1628, and Mean Deviation of 0.7863 to double-check if the risk estimate we provide is consistent with the expected return of 0.19%.
Sharpe Ratio = 0.1849
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Based on monthly moving average Arch Capital is performing at about 14% of its full potential. If added to a well diversified portfolio the total return can be enhanced and market risk can be reduced. You can increase risk-adjusted return of Arch Capital by adding it to a well-diversified portfolio.
Key indicators related to Arch Capital's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Arch Capital Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Arch daily returns, and it is calculated using variance and standard deviation. We also use Arch's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Arch Capital volatility.
ESG Sustainability
While most ESG disclosures are voluntary, Arch Capital's sustainability indicators can be used to identify proper investment strategies using environmental, social, and governance scores that are crucial to Arch Capital's managers and investors.Environmental | Governance | Social |
Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Arch Capital at lower prices. For example, an investor can purchase Arch stock that has halved in price over a short period. This will lower their average cost per share, thereby improving the overall portfolio performance when market normalizes. Main indicators related to Arch Capital's market risk premium analysis include:
Beta 0.17 | Alpha 0.21 | Risk 1.03 | Sharpe Ratio 0.18 | Expected Return 0.19 |
Moving together with Arch Stock
| 0.93 | CB | Chubb | PairCorr |
| 0.83 | FIHL | Fidelis Insurance | PairCorr |
| 0.93 | ACT | Enact Holdings Normal Trading | PairCorr |
| 0.66 | AGO | Assured Guaranty | PairCorr |
| 0.84 | AIZ | Assurant Earnings Call This Week | PairCorr |
| 0.9 | AXS | AXIS Capital Holdings | PairCorr |
| 0.92 | CNA | CNA Financial Earnings Call This Week | PairCorr |
| 0.65 | EIG | Employers Holdings | PairCorr |
| 0.78 | MCY | Mercury General | PairCorr |
| 0.69 | MKL | Markel | PairCorr |
Moving against Arch Stock
| 0.54 | AII | American Integrity | PairCorr |
| 0.54 | SU4 | Suncorp Group Limited | PairCorr |
| 0.46 | 3GU | nib holdings limited | PairCorr |
| 0.35 | WR1 | W R Berkley | PairCorr |
| 0.35 | ERIE | Erie Indemnity | PairCorr |
| 0.33 | HCI | HCI Group | PairCorr |
Arch Capital Market Sensitivity And Downside Risk
Arch Capital's beta coefficient measures the volatility of Arch stock compared to the systematic risk of the entire market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Arch stock's returns against your selected market. In other words, Arch Capital's beta of 0.17 provides an investor with an approximation of how much risk Arch Capital stock can potentially add to one of your existing portfolios. Arch Capital Group has low volatility with Treynor Ratio of 1.23, Maximum Drawdown of 4.71 and kurtosis of 1.24. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Arch Capital's stock risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Arch Capital's stock price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
3 Months Beta |Analyze Arch Capital Group Demand TrendCheck current 90 days Arch Capital correlation with market (Dow Jones Industrial)Arch Capital Volatility and Downside Risk
Arch standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.
Using Arch Put Option to Manage Risk
Put options written on Arch Capital grant holders of the option the right to sell a specified amount of Arch Capital at a specified price within a specified time frame. The put buyer has a limited loss and, while not fully unlimited gains, as the price of Arch Stock cannot fall below zero, the put buyer does gain as the price drops. So, one way investors can hedge Arch Capital's position is by buying a put option against it. The put option used this way is usually referred to as insurance. If an undesired outcome occurs and loss on holding Arch Capital will be realized, the loss incurred will be offset by the profits made with the option trade.
Arch Capital's PUT expiring on 2026-03-20
Profit |
| Arch Capital Price At Expiration |
Current Arch Capital Insurance Chain
| Delta | Gamma | Open Int | Expiration | Current Spread | Last Price | |||
Put | ACGL260320P00100000 | -0.462103 | 0.041709 | 6 | 2026-03-20 | 2.75 - 4.4 | 0.0 | View |
Put | ACGL260320P00095000 | -0.255043 | 0.034993 | 124 | 2026-03-20 | 1.1 - 1.85 | 0.0 | View |
Put | ACGL260320P00090000 | -0.139367 | 0.020663 | 242 | 2026-03-20 | 0.3 - 1.15 | 0.0 | View |
Put | ACGL260320P00085000 | -0.068835 | 0.011252 | 155 | 2026-03-20 | 0.25 - 0.5 | 0.0 | View |
Put | ACGL260320P00080000 | -0.043368 | 0.00661 | 230 | 2026-03-20 | 0.1 - 0.3 | 0.0 | View |
Put | ACGL260320P00075000 | -0.071509 | 0.006313 | 13 | 2026-03-20 | 0.0 - 0.75 | 0.0 | View |
Put | ACGL260320P00070000 | -0.079002 | 0.005158 | 1 | 2026-03-20 | 0.0 - 1.15 | 0.0 | View |
Put | ACGL260320P00065000 | -0.096822 | 0.004327 | 4 | 2026-03-20 | 0.0 - 2.15 | 0.0 | View |
Put | ACGL260320P00060000 | -0.085258 | 0.003457 | 1 | 2026-03-20 | 0.0 - 2.15 | 0.0 | View |
Put | ACGL260320P00045000 | -0.05868 | 0.001807 | 2 | 2026-03-20 | 0.0 - 2.15 | 0.0 | View |
Arch Capital Group Stock Volatility Analysis
Volatility refers to the frequency at which Arch Capital stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Arch Capital's price changes. Investors will then calculate the volatility of Arch Capital's stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Arch Capital's volatility:
Historical Volatility
This type of stock volatility measures Arch Capital's fluctuations based on previous trends. It's commonly used to predict Arch Capital's future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Arch Capital's current market price. This means that the stock will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Arch Capital's to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Arch Capital Group 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.
Arch Capital Projected Return Density Against Market
Given the investment horizon of 90 days Arch Capital has a beta of 0.1744 . This suggests as returns on the market go up, Arch Capital average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Arch Capital Group will be expected to be much smaller as well.Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Arch Capital or Insurance sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Arch Capital's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Arch stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Predicted Return Density |
| Returns |
What Drives an Arch Capital Price Volatility?
Several factors can influence a 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.Arch Capital Stock Risk Measures
Given the investment horizon of 90 days the coefficient of variation of Arch Capital is 540.92. The daily returns are distributed with a variance of 1.07 and standard deviation of 1.03. The mean deviation of Arch Capital Group is currently at 0.79. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.74
α | Alpha over Dow Jones | 0.21 | |
β | Beta against Dow Jones | 0.17 | |
σ | Overall volatility | 1.03 | |
Ir | Information ratio | 0.15 |
Arch Capital Stock Return Volatility
Arch Capital historical daily return volatility represents how much of Arch Capital stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company inherits 1.034% risk (volatility on return distribution) over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7533% volatility on return distribution over the 90 days 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 Arch Stock performing well and Arch Capital 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 Arch Capital'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| HIG | 0.82 | 0.18 | 0.15 | 0.57 | 0.69 | 2.03 | 6.38 | |||
| SLF | 0.74 | 0.09 | 0.05 | 0.23 | 1.11 | 1.51 | 4.76 | |||
| NWG | 1.18 | 0.25 | 0.16 | 0.28 | 1.25 | 2.52 | 8.21 | |||
| BBDO | 1.69 | 0.28 | 0.10 | 4.48 | 2.02 | 4.36 | 8.84 | |||
| WTW | 0.81 | 0.09 | 0.05 | 0.37 | 0.85 | 2.55 | 5.74 | |||
| WRB | 0.98 | (0.02) | (0.03) | (0.01) | 1.83 | 2.10 | 9.24 | |||
| KB | 1.40 | 0.21 | 0.11 | 0.34 | 1.51 | 4.61 | 8.71 | |||
| AIG | 1.16 | (0.03) | 0.00 | (0.20) | 0.00 | 2.43 | 13.58 | |||
| STT | 1.04 | 0.15 | 0.08 | 0.18 | 1.68 | 1.85 | 9.12 |
About Arch Capital Volatility
Volatility is a rate at which the price of Arch Capital or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Arch Capital may increase or decrease. In other words, similar to Arch's beta indicator, it measures the risk of Arch Capital and helps estimate the fluctuations that may happen in a short period of time. So if prices of Arch Capital fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.| Last Reported | Projected for Next Year | ||
| Market Cap | 20.8 B | 21.9 B |
Arch Capital's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on Arch Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Arch Capital's price varies over time.
3 ways to utilize Arch Capital's volatility to invest better
Higher Arch Capital's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Arch Capital Group stock is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. Arch Capital Group stock volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of Arch Capital Group investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Arch Capital's stock can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of Arch Capital's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Arch Capital Investment Opportunity
Arch Capital Group has a volatility of 1.03 and is 1.37 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of Arch Capital Group is lower than 9 percent of all global equities and portfolios over the last 90 days. You can use Arch Capital Group to enhance the returns of your portfolios. The stock experiences an unexpected upward trend. Watch out for market signals. Check odds of Arch Capital to be traded at $120.16 in 90 days.Very weak diversification
The correlation between Arch Capital Group and DJI is 0.46 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Arch Capital Group and DJI in the same portfolio, assuming nothing else is changed.
Arch Capital Additional Risk Indicators
The analysis of Arch Capital's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Arch Capital's investment and either accepting that risk or mitigating it. Along with some common measures of Arch Capital stock's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
| Risk Adjusted Performance | 0.1628 | |||
| Market Risk Adjusted Performance | 1.24 | |||
| Mean Deviation | 0.7863 | |||
| Semi Deviation | 0.7272 | |||
| Downside Deviation | 0.9342 | |||
| Coefficient Of Variation | 459.97 | |||
| Standard Deviation | 1.03 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stocks, we recommend comparing similar stocks with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Arch Capital Suggested Diversification Pairs
Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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 Arch Capital 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. Arch Capital'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, Arch Capital'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 Arch Capital Group.
When determining whether Arch Capital Group is a strong investment it is important to analyze Arch Capital's competitive position within its industry, examining market share, product or service uniqueness, and competitive advantages. Beyond financials and market position, potential investors should also consider broader economic conditions, industry trends, and any regulatory or geopolitical factors that may impact Arch Capital's future performance. For an informed investment choice regarding Arch Stock, refer to the following important reports: Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Arch Capital Group. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in price. You can also try the Stocks Directory module to find actively traded stocks across global markets.
Is Property & Casualty Insurance space expected to grow? Or is there an opportunity to expand the business' product line in the future? Factors like these will boost the valuation of Arch Capital. If investors know Arch will grow in the future, the company's valuation will be higher. The financial industry is built on trying to define current growth potential and future valuation accurately. Comprehensive Arch Capital assessment requires weighing all these inputs, though not all factors influence outcomes equally.
Quarterly Earnings Growth 0.391 | Earnings Share 10.67 | Revenue Per Share | Quarterly Revenue Growth 0.082 | Return On Assets |
Investors evaluate Arch Capital Group using market value (trading price) and book value (balance sheet equity), each telling a different story. Calculating Arch Capital's intrinsic value - the estimated true worth - helps identify when the stock trades at a discount or premium to fair value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. External factors like market trends, sector rotation, and investor psychology can cause Arch Capital's market price to deviate significantly from intrinsic value.
Understanding that Arch Capital's value differs from its trading price is crucial, as each reflects different aspects of the company. Evaluating whether Arch Capital represents a sound investment requires analyzing earnings trends, revenue growth, technical signals, industry dynamics, and expert forecasts. Conversely, Arch Capital's market price signifies the transaction level at which participants voluntarily complete trades.