Stock Price Trends

Arch Capital Group Ltd (ACGL)

Arch Capital Group Ltd., offers insurance, reinsurance and mortgage products worldwide. The company is headquartered in Pembroke, Bermuda.

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 35.48% per annum.
  • ACGL price at the close of June 18, 2024 was $100.80 and was inside the primary price channel.
  • The secondary trend is increasing.
  • The growth rate of the secondary trend is 91.62% per annum.
  • ACGL price at the close of June 18, 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: June 18, 2024

a = 3.0356

b = 0.0008

s = 0.0789

Annual growth rate:

Exp(365 × b) – 1
= Exp(365 × 0.0008) – 1
= 35.48%

Price channel spread:

Exp(4 × s) – 1
= Exp(4 × 0.0789) – 1
= 37.08%

March 18, 2020 calculations

Top border of price channel:

Exp(Y187)
= Exp(a + b × X187 + 2 × s)
= Exp(a + b × 272 + 2 × s)
= Exp(3.0356 + 0.0008 × 272 + 2 × 0.0789)
= Exp(3.4196)
= $30.56

Bottom border of price channel:

Exp(Y187)
= Exp(a + b × X187 – 2 × s)
= Exp(a + b × 272 – 2 × s)
= Exp(3.0356 + 0.0008 × 272 – 2 × 0.0789)
= Exp(3.1042)
= $22.29

June 18, 2024 calculations

Top border of price channel:

Exp(Y1,257)
= Exp(a + b × X1,257 + 2 × s)
= Exp(a + b × 1,825 + 2 × s)
= Exp(3.0356 + 0.0008 × 1,825 + 2 × 0.0789)
= Exp(4.7116)
= $111.22

Bottom border of price channel:

Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,825 – 2 × s)
= Exp(3.0356 + 0.0008 × 1,825 – 2 × 0.0789)
= Exp(4.3961)
= $81.14

Description

  • The primary trend is increasing.
  • The growth rate of the primary trend is 35.48% per annum.
  • ACGL price at the close of June 18, 2024 was $100.80 and was inside the primary price channel.

Secondary Trend

Start date: December 14, 2023
End date: June 18, 2024

a = 1.3961

b = 0.0018

s = 0.0229

Annual growth rate:

Exp(365 × b) – 1
= Exp(365 × 0.0018) – 1
= 91.62%

Price channel spread:

Exp(4 × s) – 1
= Exp(4 × 0.0229) – 1
= 9.57%

December 14, 2023 calculations

Top border of price channel:

Exp(Y1,130)
= Exp(a + b × X1,130 + 2 × s)
= Exp(a + b × 1,638 + 2 × s)
= Exp(1.3961 + 0.0018 × 1,638 + 2 × 0.0229)
= Exp(4.3603)
= $78.28

Bottom border of price channel:

Exp(Y1,130)
= Exp(a + b × X1,130 – 2 × s)
= Exp(a + b × 1,638 – 2 × s)
= Exp(1.3961 + 0.0018 × 1,638 – 2 × 0.0229)
= Exp(4.2689)
= $71.44

June 18, 2024 calculations

Top border of price channel:

Exp(Y1,257)
= Exp(a + b × X1,257 + 2 × s)
= Exp(a + b × 1,825 + 2 × s)
= Exp(1.3961 + 0.0018 × 1,825 + 2 × 0.0229)
= Exp(4.6935)
= $109.23

Bottom border of price channel:

Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,825 – 2 × s)
= Exp(1.3961 + 0.0018 × 1,825 – 2 × 0.0229)
= Exp(4.6021)
= $99.69

Description

  • The secondary trend is increasing.
  • The growth rate of the secondary trend is 91.62% per annum.
  • ACGL price at the close of June 18, 2024 was inside the secondary price channel.