Arch Capital Correlations

ACGL Stock

USD 91.98 0.47 0.51%

The current 90-days correlation between Arch Capital Group and Axa Equitable Holdings is 0.23 (i.e., Modest diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Arch Capital moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Arch Capital Group moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Arch Capital Correlation With Market

Weak diversification

The correlation between Arch Capital Group and DJI is 0.36 (i.e., 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.

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.

Moving together with Arch Stock

0.67

Loews Corp

Pair Corr

Moving against Arch Stock

0.41

Associated Capital

Pair Corr

Related Correlations Analysis

	EQH	AIG	ORI	SLF	HIG	AEG	BRK-B	IGIC	ESGR	WDH
EQH		0.44	0.77	-0.44	0.51	0.84	0.52	0.74	0.7	0.43	EQH
AIG	0.44		0.85	-0.62	0.96	0.44	0.97	0.54	0.81	0.78	AIG
ORI	0.77	0.85		-0.62	0.9	0.68	0.89	0.71	0.85	0.65	ORI
SLF	-0.44	-0.62	-0.62		-0.56	-0.21	-0.66	-0.59	-0.83	-0.54	SLF
HIG	0.51	0.96	0.9	-0.56		0.51	0.96	0.56	0.78	0.71	HIG
AEG	0.84	0.44	0.68	-0.21	0.51		0.51	0.65	0.57	0.5	AEG
BRK-B	0.52	0.97	0.89	-0.66	0.96	0.51		0.67	0.85	0.83	BRK-B
IGIC	0.74	0.54	0.71	-0.59	0.56	0.65	0.67		0.74	0.64	IGIC
ESGR	0.7	0.81	0.85	-0.83	0.78	0.57	0.85	0.74		0.72	ESGR
WDH	0.43	0.78	0.65	-0.54	0.71	0.5	0.83	0.64	0.72		WDH
	EQH	AIG	ORI	SLF	HIG	AEG	BRK-B	IGIC	ESGR	WDH

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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

BRK-B	+ 0.97	AIG
HIG	+ 0.96	AIG
BRK-B	+ 0.96	HIG
HIG	+ 0.9	ORI
BRK-B	+ 0.89	ORI
ORI	+ 0.85	AIG

High negative correlations

ESGR	- 0.83	SLF
BRK-B	- 0.66	SLF
SLF	- 0.62	ORI
SLF	- 0.62	AIG
IGIC	- 0.59	SLF
HIG	- 0.56	SLF

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
EQH	1.48	0.26	0.10	0.13	2.19	(1.36)	3.32	(4.54)	9.18
AIG	1.02	0.25	0.23	0.38	1.01	(1.12)	2.47	(1.72)	7.38
ORI	0.93	0.18	0.14	0.17	1.27	(0.90)	2.16	(2.20)	6.06
SLF	0.86	(0.05)	0.00	(0.16)	0.00	0.00	1.54	(2.11)	8.71
HIG	0.90	0.14	0.14	0.15	0.98	(0.98)	2.14	(1.82)	5.10
AEG	1.34	0.16	0.05	0.06	2.81	(1.20)	2.68	(3.77)	12.41
BRK-B	0.85	0.23	0.25	0.33	0.82	(0.95)	2.05	(1.72)	6.90
IGIC	1.61	0.18	0.09	0.11	1.89	(1.69)	2.89	(2.89)	8.14
ESGR	0.14	0.03	0.44	0.42	0.00	(0.17)	0.41	(0.27)	1.38
WDH	2.57	0.47	0.17	(2.35)	2.60	(3.52)	6.35	(5.26)	21.52

Arch Capital Corporate Management

Marcy Rathman	Chief EVP	Profile
Christopher Hovey	Chief Officer	Profile
Prashant Nema	Chief Officer	Profile
Greg Hare	Chief Officer	Profile
CFA BEc	Senior Officer	Profile

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