Arch Capital (Germany) Market Value
| RSK Stock | EUR 89.60 2.65 3.05% |
| 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 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.
| 09/29/2024 |
| 12/28/2024 |
If you would invest 0.00 in Arch Capital on September 29, 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 90 days. Arch Capital is related to or competes with Berkshire Hathaway, Berkshire Hathaway, Hartford Financial. Arch Capital Group Ltd., together with its subsidiaries, provides property, casualty, and mortgage insurance and reinsur... 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 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 | (0.06) | |||
| Maximum Drawdown | 10.42 | |||
| Value At Risk | (3.05) | |||
| Potential Upside | 3.28 |
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 | (0.03) | |||
| Jensen Alpha | (0.08) | |||
| Total Risk Alpha | (0.15) | |||
| Treynor Ratio | 0.1944 |
Arch Capital Group Backtested Returns
Arch Capital Group secures Sharpe Ratio (or Efficiency) of -0.0412, which signifies that the company had a -0.0412% 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 1.46, and Risk Adjusted Performance of (0.03) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.49, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Arch Capital are expected to decrease at a much lower rate. During the bear market, Arch Capital is likely to outperform the market. At this point, Arch Capital Group has a negative expected return of -0.0856%. Please make sure to confirm Arch Capital's standard deviation, maximum drawdown, kurtosis, as well as the relationship between the total risk alpha and potential upside , to decide if Arch Capital Group performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.70 |
Good predictability
Arch Capital Group has good predictability. Overlapping area represents the amount of predictability between Arch Capital time series from 29th of September 2024 to 13th of November 2024 and 13th of November 2024 to 28th 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 0.7 indicates that around 70.0% of current Arch Capital price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.7 | |
| Spearman Rank Test | 0.43 | |
| Residual Average | 0.0 | |
| Price Variance | 10.59 |
Arch Capital Group lagged returns against current returns
Autocorrelation, which is Arch Capital 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 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 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 stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Arch Capital 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 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 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 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 |
Currently Active Assets on Macroaxis
Additional Information and Resources on Investing in Arch Stock
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 Arch Capital Correlation, Arch Capital Volatility and Arch Capital Alpha and Beta module to complement your research on Arch Capital. You can also try the Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
Arch Capital technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.