Travelers Volatility

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TRV -- USA Stock  

Report: 23rd of July 2020  

We consider Travelers Companies very steady. The Travelers Companies owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0519, which indicates the firm had 0.0519% of return per unit of risk over the last 3 months. Our standpoint towards measuring the volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for The Travelers Companies, which you can use to evaluate future volatility of the company. Please validate Travelers Companies semi deviation of 3.01, coefficient of variation of 1408.51, and risk adjusted performance of 0.1327 to confirm if the risk estimate we provide is consistent with the expected return of 0.14%.

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Travelers Companies Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Travelers daily returns, and it is calculated using variance and standard deviation. We also use Travelers's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Travelers Companies volatility.

  Travelers Companies Interest Expense

90 Days Market Risk

Very steady

Chance of Distress

Below Average

90 Days Economic Sensitivity

Moves indifferently to market moves

Travelers Companies Market Sensitivity And Downside Risk

The Travelers Companies beta coefficient measures the volatility of Travelers stock compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Travelers stock's returns against your selected market. In other words, Travelers Companies's beta of -0.0091 provides an investor with an approximation of how much risk Travelers Companies stock can potentially add to one of your existing portfolios. Let's try to break down what Travelers's beta means in this case. As returns on the market increase, returns on owning Travelers Companies are expected to decrease at a much lower rate. During the bear market, Travelers Companies is likely to outperform the market.
3 Months Beta |Analyze The Travelers Companies Demand Trend
Check current 30 days Travelers Companies correlation with market (DOW)
β

Current Travelers Companies Beta Coefficient

 = 

Travelers Companies Central Daily Price Deviations

It is essential to understand the difference between upside risk (as represented by Travelers Companies's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Travelers Companies stock's daily returns or price. Since the actual investment returns on holding a position in Travelers Companies stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Travelers Companies.

The Travelers Companies Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. The Travelers Companies Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Travelers Companies Projected Return Density Against Market

Considering the 30-days investment horizon, The Travelers Companies has a beta of -0.0091 . This usually implies as returns on benchmark increase, returns on holding Travelers Companies are expected to decrease at a much lower rate. During the bear market, however, The Travelers Companies is likely to outperform the market. Moreover, Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Travelers Companies or Top FinTech sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Travelers Companies stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Travelers stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision. The company has an alpha of 0.1915, implying that it can generate a 0.19 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Travelers Companies Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Travelers Companies or Top FinTech sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Travelers Companies stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Travelers stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision. Considering the 30-days investment horizon, the coefficient of variation of Travelers Companies is 1926.07. The daily returns are destributed with a variance of 7.6 and standard deviation of 2.76. The mean deviation of The Travelers Companies is currently at 2.12. For similar time horizon, the selected benchmark (DOW) has volatility of 1.82
α
Alpha over DOW
=0.19
β
Beta against DOW=-0.0091
σ
Overall volatility
=2.76
Ir
Information ratio =0.0113

Travelers Companies Return Volatility

Travelers Companies historical daily return volatility represents how much Travelers Companies stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The venture has volatility of 2.7572% on return distribution over 30 days investment horizon. By contrast, DOW inherits 1.812% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About Travelers Companies Volatility

Volatility is a rate at which the price of Travelers Companies or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Travelers Companies may increase or decrease. In other words, similar to Travelers's beta indicator, it measures the risk of Travelers Companies and helps estimate the fluctuations that may happen in a short period of time. So if prices of Travelers Companies fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility. Please read more on our technical analysis page.
Last ReportedProjected for 2020
Market Capitalization31.3 B27.6 B
The Travelers Companies, Inc., through its subsidiaries, provides a range of commercial and personal property, and casualty insurance products and services to businesses, government units, associations, and individuals in the United states and internationally. The Travelers Companies, Inc. was founded in 1853 and is based in New York, New York. Travelers Companies operates under InsuranceProperty Casualty classification in the United States and is traded on BATS Exchange. It employs 30800 people.

Travelers Companies Investment Opportunity

The Travelers Companies has a volatility of 2.76 and is 1.52 times more volatile than DOW. 24  of all equities and portfolios are less risky than Travelers Companies. Compared to the overall equity markets, volatility of historical daily returns of The Travelers Companies is lower than 24 () of all global equities and portfolios over the last 30 days. Use The Travelers Companies to enhance returns of your portfolios. The stock experiences an unexpected upward trend. Watch out for market signals. Check odds of Travelers Companies to be traded at $136.61 in 30 days. . Let's try to break down what Travelers's beta means in this case. As returns on the market increase, returns on owning Travelers Companies are expected to decrease at a much lower rate. During the bear market, Travelers Companies is likely to outperform the market.

Travelers Companies correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding The Travelers Companies Inc and equity matching DJI index in the same portfolio.

Travelers Companies Additional Risk Indicators

The analysis of various secondary risk indicators of Travelers Companies is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Travelers Companies investment, and either accepting that risk or mitigating it. Along with some common measures of Travelers Companies stock risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging your existing portfolio. Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing the like to determine which investment holds the most risk.
Risk Adjusted Performance0.1327
Market Risk Adjusted Performance(20.88)
Mean Deviation2.2
Semi Deviation3.01
Downside Deviation3.28
Coefficient Of Variation1408.51
Standard Deviation2.82

Travelers Companies Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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