Stock Price Trends

Arch Capital Group Ltd. (ACGL)

arch capital group ltd., together with its subsidiaries, provides insurance, reinsurance, and mortgage insurance products worldwide. the company's insurance segment offers primary and excess casualty coverages; loss sensitive primary casualty insurance programs; collateral protection, debt cancellation, and service contract reimbursement products; directors' and officers' liability, errors and omissions liability, employment practices and fiduciary liability, crime, professional indemnity, and other financial related coverages; medical professional and general liability insurance coverages; and workers' compensation and umbrella liability, as well as commercial automobile and inland marine products. it also provides property, energy, marine, and aviation insurance; travel insurance; accident, disability, and medical plan insurance coverages; captive insurance programs; and contract and commercial surety coverages. this segment markets its products through a group of licensed independen

Stock Price Trends

Stock price trends estimated using linear regression.

Key facts

  • The primary trend is increasing.
  • The growth rate of the primary trend is 34.73% per annum.
  • ACGL price at the close of March 1, 2024 was $87.17 and was inside the primary price channel.
  • The secondary trend is increasing.
  • The growth rate of the secondary trend is 156.04% per annum.
  • ACGL price at the close of March 1, 2024 was inside the secondary price channel.

Linear Regression Model

Model equation:
Yi = α + β × Xi + εi

Top border of price channel:
Exp(Yi) = Exp(a + b × Xi + 2 × s)

Bottom border of price channel:
Exp(Yi) = Exp(a + b × Xi – 2 × s)

where:

i - observation number
Yi - natural logarithm of ACGL price
Xi - time index, 1 day interval
σ - standard deviation of εi
a - estimator of α
b - estimator of β
s - estimator of σ
Exp() - calculates the exponent of e


Primary Trend

Start date: March 18, 2020
End date: March 1, 2024

a = 2.9592

b = 0.0008

s = 0.0802

Annual growth rate:

Exp(365 × b) – 1
= Exp(365 × 0.0008) – 1
= 34.73%

Price channel spread:

Exp(4 × s) – 1
= Exp(4 × 0.0802) – 1
= 37.81%

March 18, 2020 calculations

Top border of price channel:

Exp(Y263)
= Exp(a + b × X263 + 2 × s)
= Exp(a + b × 380 + 2 × s)
= Exp(2.9592 + 0.0008 × 380 + 2 × 0.0802)
= Exp(3.4299)
= $30.87

Bottom border of price channel:

Exp(Y263)
= Exp(a + b × X263 – 2 × s)
= Exp(a + b × 380 – 2 × s)
= Exp(2.9592 + 0.0008 × 380 – 2 × 0.0802)
= Exp(3.1091)
= $22.40

March 1, 2024 calculations

Top border of price channel:

Exp(Y1,258)
= Exp(a + b × X1,258 + 2 × s)
= Exp(a + b × 1,824 + 2 × s)
= Exp(2.9592 + 0.0008 × 1,824 + 2 × 0.0802)
= Exp(4.6092)
= $100.40

Bottom border of price channel:

Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,824 – 2 × s)
= Exp(2.9592 + 0.0008 × 1,824 – 2 × 0.0802)
= Exp(4.2885)
= $72.86

Description

  • The primary trend is increasing.
  • The growth rate of the primary trend is 34.73% per annum.
  • ACGL price at the close of March 1, 2024 was $87.17 and was inside the primary price channel.

Secondary Trend

Start date: December 20, 2023
End date: March 1, 2024

a = -0.2185

b = 0.0026

s = 0.0105

Annual growth rate:

Exp(365 × b) – 1
= Exp(365 × 0.0026) – 1
= 156.04%

Price channel spread:

Exp(4 × s) – 1
= Exp(4 × 0.0105) – 1
= 4.30%

December 20, 2023 calculations

Top border of price channel:

Exp(Y1,210)
= Exp(a + b × X1,210 + 2 × s)
= Exp(a + b × 1,752 + 2 × s)
= Exp(-0.2185 + 0.0026 × 1,752 + 2 × 0.0105)
= Exp(4.3154)
= $74.84

Bottom border of price channel:

Exp(Y1,210)
= Exp(a + b × X1,210 – 2 × s)
= Exp(a + b × 1,752 – 2 × s)
= Exp(-0.2185 + 0.0026 × 1,752 – 2 × 0.0105)
= Exp(4.2733)
= $71.76

March 1, 2024 calculations

Top border of price channel:

Exp(Y1,258)
= Exp(a + b × X1,258 + 2 × s)
= Exp(a + b × 1,824 + 2 × s)
= Exp(-0.2185 + 0.0026 × 1,824 + 2 × 0.0105)
= Exp(4.5009)
= $90.10

Bottom border of price channel:

Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,824 – 2 × s)
= Exp(-0.2185 + 0.0026 × 1,824 – 2 × 0.0105)
= Exp(4.4588)
= $86.38

Description

  • The secondary trend is increasing.
  • The growth rate of the secondary trend is 156.04% per annum.
  • ACGL price at the close of March 1, 2024 was inside the secondary price channel.