Stock Price Trends

Selective Insurance Group Inc (SIGI)

Selective Insurance Group, Inc., offers insurance products and services in the United States. The company is headquartered in Branchville, New Jersey.

Stock Price Trends

Stock price trends estimated using linear regression.

Key facts

  • The primary trend is decreasing.
  • The decline rate of the primary trend is 5.19% per annum.
  • SIGI price at the close of July 25, 2024 was $88.85 and was lower than the bottom border of the primary price channel by $2.36 (2.58%).
  • The secondary trend is decreasing.
  • The decline rate of the secondary trend is 32.60% per annum.
  • SIGI price at the close of July 25, 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 SIGI 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: July 20, 2023
End date: July 18, 2024

a = 4.8465

b = -0.0001

s = 0.0333

Annual growth rate:

Exp(365 × b) – 1
= Exp(365 × -0.0001) – 1
= -5.19%

Price channel spread:

Exp(4 × s) – 1
= Exp(4 × 0.0333) – 1
= 14.26%

July 20, 2023 calculations

Top border of price channel:

Exp(Y1,002)
= Exp(a + b × X1,002 + 2 × s)
= Exp(a + b × 1,455 + 2 × s)
= Exp(4.8465 + -0.0001 × 1,455 + 2 × 0.0333)
= Exp(4.7006)
= $110.02

Bottom border of price channel:

Exp(Y1,002)
= Exp(a + b × X1,002 – 2 × s)
= Exp(a + b × 1,455 – 2 × s)
= Exp(4.8465 + -0.0001 × 1,455 – 2 × 0.0333)
= Exp(4.5673)
= $96.29

July 18, 2024 calculations

Top border of price channel:

Exp(Y1,252)
= Exp(a + b × X1,252 + 2 × s)
= Exp(a + b × 1,819 + 2 × s)
= Exp(4.8465 + -0.0001 × 1,819 + 2 × 0.0333)
= Exp(4.6475)
= $104.32

Bottom border of price channel:

Exp(Y1,252)
= Exp(a + b × X1,252 – 2 × s)
= Exp(a + b × 1,819 – 2 × s)
= Exp(4.8465 + -0.0001 × 1,819 – 2 × 0.0333)
= Exp(4.5142)
= $91.30

Description

  • The primary trend is decreasing.
  • The decline rate of the primary trend is 5.19% per annum.
  • SIGI price at the close of July 25, 2024 was $88.85 and was lower than the bottom border of the primary price channel by $2.36 (2.58%).

Secondary Trend

Start date: February 27, 2024
End date: July 25, 2024

a = 6.4780

b = -0.0011

s = 0.0297

Annual growth rate:

Exp(365 × b) – 1
= Exp(365 × -0.0011) – 1
= -32.60%

Price channel spread:

Exp(4 × s) – 1
= Exp(4 × 0.0297) – 1
= 12.61%

February 27, 2024 calculations

Top border of price channel:

Exp(Y1,154)
= Exp(a + b × X1,154 + 2 × s)
= Exp(a + b × 1,677 + 2 × s)
= Exp(6.4780 + -0.0011 × 1,677 + 2 × 0.0297)
= Exp(4.7250)
= $112.73

Bottom border of price channel:

Exp(Y1,154)
= Exp(a + b × X1,154 – 2 × s)
= Exp(a + b × 1,677 – 2 × s)
= Exp(6.4780 + -0.0011 × 1,677 – 2 × 0.0297)
= Exp(4.6063)
= $100.11

July 25, 2024 calculations

Top border of price channel:

Exp(Y1,257)
= Exp(a + b × X1,257 + 2 × s)
= Exp(a + b × 1,826 + 2 × s)
= Exp(6.4780 + -0.0011 × 1,826 + 2 × 0.0297)
= Exp(4.5640)
= $95.96

Bottom border of price channel:

Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(6.4780 + -0.0011 × 1,826 – 2 × 0.0297)
= Exp(4.4453)
= $85.22

Description

  • The secondary trend is decreasing.
  • The decline rate of the secondary trend is 32.60% per annum.
  • SIGI price at the close of July 25, 2024 was inside the secondary price channel.