Arch Capital Group Preferred Stock Market Value
| ACGLN Preferred Stock | USD 17.72 0.22 1.23% |
| Symbol | Arch |
Arch Capital 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Arch Capital's preferred stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Arch Capital.
| 11/30/2024 |
| 12/30/2024 |
If you would invest 0.00 in Arch Capital on November 30, 2024 and sell it all today you would earn a total of 0.00 from holding Arch Capital Group or generate 0.0% return on investment in Arch Capital over 30 days. Arch Capital is related to or competes with Enstar Group, Equitable Holdings, Athene Holding, Berkshire Hathaway, American International, Arch Capital, and Sun Life. Arch Capital Group Ltd., together with its subsidiaries, provides insurance, reinsurance, and mortgage insurance product... More
Arch Capital Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Arch Capital's preferred stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Arch Capital Group upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.30) | |||
| Maximum Drawdown | 3.86 | |||
| Value At Risk | (1.29) | |||
| Potential Upside | 1.03 |
Arch Capital Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Arch Capital's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Arch Capital's standard deviation. In reality, there are many statistical measures that can use Arch Capital historical prices to predict the future Arch Capital's volatility.| Risk Adjusted Performance | (0.20) | |||
| Jensen Alpha | (0.22) | |||
| Total Risk Alpha | (0.24) | |||
| Treynor Ratio | (0.80) |
Arch Capital Group Backtested Returns
Arch Capital Group secures Sharpe Ratio (or Efficiency) of -0.27, which signifies that the company had a -0.27% return per unit of standard deviation over the last 3 months. Arch Capital Group exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Arch Capital's mean deviation of 0.6358, and Risk Adjusted Performance of (0.20) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.27, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Arch Capital's returns are expected to increase less than the market. However, during the bear market, the loss of holding Arch Capital is expected to be smaller as well. At this point, Arch Capital Group has a negative expected return of -0.22%. Please make sure to confirm Arch Capital's potential upside, and the relationship between the jensen alpha and rate of daily change , to decide if Arch Capital Group performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.75 |
Good predictability
Arch Capital Group has good predictability. Overlapping area represents the amount of predictability between Arch Capital time series from 30th of November 2024 to 15th of December 2024 and 15th of December 2024 to 30th of December 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Arch Capital Group price movement. The serial correlation of 0.75 indicates that around 75.0% of current Arch Capital price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.75 | |
| Spearman Rank Test | 0.67 | |
| Residual Average | 0.0 | |
| Price Variance | 0.06 |
Arch Capital Group lagged returns against current returns
Autocorrelation, which is Arch Capital preferred stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Arch Capital's preferred stock expected returns. We can calculate the autocorrelation of Arch Capital returns to help us make a trade decision. For example, suppose you find that Arch Capital has exhibited high autocorrelation historically, and you observe that the preferred stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Arch Capital regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Arch Capital preferred stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Arch Capital preferred stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Arch Capital preferred stock over time.
Current vs Lagged Prices |
| Timeline |
Arch Capital Lagged Returns
When evaluating Arch Capital's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Arch Capital preferred stock have on its future price. Arch Capital autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Arch Capital autocorrelation shows the relationship between Arch Capital preferred stock current value and its past values and can show if there is a momentum factor associated with investing in Arch Capital Group.
Regressed Prices |
| Timeline |
Pair Trading with Arch Capital
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Arch Capital position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Arch Capital will appreciate offsetting losses from the drop in the long position's value.Moving together with Arch Preferred Stock
Moving against Arch Preferred Stock
| 0.57 | IGIC | International General | PairCorr |
| 0.54 | SLF | Sun Life Financial | PairCorr |
| 0.5 | FGFPP | Fundamental Global | PairCorr |
| 0.43 | EQH | Axa Equitable Holdings | PairCorr |
| 0.38 | GSHD | Goosehead Insurance | PairCorr |
The ability to find closely correlated positions to Arch Capital could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Arch Capital when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Arch Capital - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Arch Capital Group to buy it.
The correlation of Arch Capital is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. 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. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Arch Capital can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Other Information on Investing in Arch Preferred Stock
Arch Capital financial ratios help investors to determine whether Arch Preferred Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Arch with respect to the benefits of owning Arch Capital security.