Selective Insurance Group Preferred Stock Volatility
Currently, Selective Insurance Group is out of control. Selective Insurance owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0148, which indicates the firm had a 0.0148 % return per unit of risk over the last 3 months. We have found twenty-one technical indicators for Selective Insurance Group, which you can use to evaluate the volatility of the company. Please validate Selective Insurance's Risk Adjusted Performance of 0.0074, coefficient of variation of 6755.21, and Semi Deviation of 0.5485 to confirm if the risk estimate we provide is consistent with the expected return of 0.0082%.
Selective |
Selective Insurance Preferred 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 Selective daily returns, and it is calculated using variance and standard deviation. We also use Selective's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Selective Insurance volatility.
Selective Insurance Preferred Stock Volatility Analysis
Volatility refers to the frequency at which Selective Insurance preferred stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Selective Insurance's price changes. Investors will then calculate the volatility of Selective Insurance's preferred stock to predict their future moves. A preferred stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A preferred stock with relatively stable price changes has low volatility. A highly volatile preferred 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 Selective Insurance's volatility:
Historical Volatility
This type of preferred stock volatility measures Selective Insurance's fluctuations based on previous trends. It's commonly used to predict Selective Insurance's future behavior based on its past. However, it cannot conclusively determine the future direction of the preferred stock.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Selective Insurance's current market price. This means that the preferred stock will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Selective Insurance's to be redeemed at a future date.Transformation |
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Selective Insurance Projected Return Density Against Market
Assuming the 90 days horizon Selective Insurance has a beta of 0.2746 . This usually implies as returns on the market go up, Selective Insurance average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Selective Insurance 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 Selective Insurance or Financial Services 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 Selective Insurance's price will be affected by overall preferred 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 Selective preferred 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 |
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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.Selective Insurance Preferred Stock Risk Measures
Assuming the 90 days horizon the coefficient of variation of Selective Insurance is 6755.21. The daily returns are distributed with a variance of 0.31 and standard deviation of 0.55. The mean deviation of Selective Insurance Group is currently at 0.42. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.81
α | Alpha over Dow Jones | -0.02 | |
β | Beta against Dow Jones | 0.27 | |
σ | Overall volatility | 0.55 | |
Ir | Information ratio | -0.15 |
Selective Insurance 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 0.5539% volatility of returns over 90 . By contrast, Dow Jones Industrial accepts 0.8192% volatility on return distribution over the 90 days 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 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| SAFT | 0.91 | 0.07 | 0.00 | 1.07 | 1.10 | 1.95 | 5.04 | |||
| ROOT | 2.59 | (0.73) | 0.00 | (0.30) | 0.00 | 5.15 | 16.14 | |||
| HRTG | 2.00 | (0.16) | 0.00 | (0.21) | 0.00 | 3.32 | 11.65 | |||
| PRA | 0.20 | 0.01 | (0.25) | 0.54 | 0.17 | 0.41 | 1.20 | |||
| CFR | 1.04 | 0.22 | 0.21 | 0.34 | 0.70 | 3.15 | 7.64 | |||
| TRIN | 1.01 | 0.19 | 0.13 | 0.47 | 0.91 | 2.45 | 5.81 | |||
| ASIC | 1.75 | 0.06 | 0.01 | 0.24 | 2.17 | 3.97 | 8.64 | |||
| OCFC | 1.39 | 0.10 | 0.05 | 0.17 | 1.78 | 3.59 | 11.43 | |||
| UFCS | 1.10 | 0.01 | (0.03) | 0.11 | 1.19 | 2.04 | 5.26 | |||
| JCAP | 1.88 | 0.14 | 0.04 | 0.34 | 2.44 | 4.47 | 17.08 |
About Selective Insurance Volatility
Volatility is a rate at which the price of Selective Insurance 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 Selective Insurance may increase or decrease. In other words, similar to Selective's beta indicator, it measures the risk of Selective Insurance and helps estimate the fluctuations that may happen in a short period of time. So if prices of Selective Insurance 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.Selective Insurance Group, Inc., together with its subsidiaries, provides insurance products and services in the United States. Selective Insurance Group, Inc. was founded in 1926 and is headquartered in Branchville, New Jersey. Selective Insurance operates under InsuranceProperty Casualty classification in the United States and is traded on NASDAQ Exchange. It employs 2440 people.
Selective Insurance'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 Selective Preferred Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Selective Insurance's price varies over time.
3 ways to utilize Selective Insurance's volatility to invest better
Higher Selective Insurance's preferred stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Selective Insurance preferred 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. Selective Insurance preferred 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 Selective Insurance investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Selective Insurance's preferred 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 Selective Insurance's preferred stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Selective Insurance Investment Opportunity
Dow Jones Industrial has a standard deviation of returns of 0.82 and is 1.49 times more volatile than Selective Insurance Group. 4 percent of all equities and portfolios are less risky than Selective Insurance. You can use Selective Insurance Group to enhance the returns of your portfolios. The preferred stock experiences a moderate upward volatility. Check odds of Selective Insurance to be traded at $18.9 in 90 days.Weak diversification
The correlation between Selective Insurance Group and DJI is 0.34 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Selective Insurance Group and DJI in the same portfolio, assuming nothing else is changed.
Selective Insurance Additional Risk Indicators
The analysis of Selective Insurance'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 Selective Insurance's investment and either accepting that risk or mitigating it. Along with some common measures of Selective Insurance preferred 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 | 0.0074 | |||
| Market Risk Adjusted Performance | 0.0034 | |||
| Mean Deviation | 0.4243 | |||
| Semi Deviation | 0.5485 | |||
| Downside Deviation | 0.6193 | |||
| Coefficient Of Variation | 6755.21 | |||
| Standard Deviation | 0.5539 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential preferred stocks, we recommend comparing similar preferred stocks with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Selective Insurance 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 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.
Additional Tools for Selective Preferred Stock Analysis
When running Selective Insurance's price analysis, check to measure Selective Insurance's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Selective Insurance is operating at the current time. Most of Selective Insurance's value examination focuses on studying past and present price action to predict the probability of Selective Insurance's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Selective Insurance's price. Additionally, you may evaluate how the addition of Selective Insurance to your portfolios can decrease your overall portfolio volatility.