PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
SIGI vs. CB
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Financials

Correlation

The correlation between SIGI and CB is 0.39, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.4

Performance

SIGI vs. CB - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Selective Insurance Group, Inc. (SIGI) and Chubb Limited (CB). The values are adjusted to include any dividend payments, if applicable.

2,500.00%3,000.00%3,500.00%4,000.00%4,500.00%5,000.00%5,500.00%6,000.00%JulyAugustSeptemberOctoberNovemberDecember
3,066.54%
5,259.07%
SIGI
CB

Key characteristics

Sharpe Ratio

SIGI:

-0.15

CB:

1.54

Sortino Ratio

SIGI:

-0.00

CB:

2.16

Omega Ratio

SIGI:

1.00

CB:

1.29

Calmar Ratio

SIGI:

-0.19

CB:

2.72

Martin Ratio

SIGI:

-0.39

CB:

7.08

Ulcer Index

SIGI:

11.79%

CB:

3.75%

Daily Std Dev

SIGI:

29.71%

CB:

17.20%

Max Drawdown

SIGI:

-63.06%

CB:

-64.24%

Current Drawdown

SIGI:

-13.51%

CB:

-9.20%

Fundamentals

Market Cap

SIGI:

$5.79B

CB:

$111.53B

EPS

SIGI:

$3.72

CB:

$24.40

PE Ratio

SIGI:

25.62

CB:

11.34

PEG Ratio

SIGI:

1.86

CB:

3.44

Total Revenue (TTM)

SIGI:

$4.71B

CB:

$54.87B

Gross Profit (TTM)

SIGI:

$4.59B

CB:

$54.83B

EBITDA (TTM)

SIGI:

$358.59M

CB:

$12.00B

Returns By Period

In the year-to-date period, SIGI achieves a -4.76% return, which is significantly lower than CB's 22.50% return. Over the past 10 years, SIGI has outperformed CB with an annualized return of 14.93%, while CB has yielded a comparatively lower 11.12% annualized return.


SIGI

YTD

-4.76%

1M

-3.15%

6M

1.69%

1Y

-4.17%

5Y*

8.90%

10Y*

14.93%

CB

YTD

22.50%

1M

-3.09%

6M

3.92%

1Y

25.83%

5Y*

13.97%

10Y*

11.12%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

SIGI vs. CB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Selective Insurance Group, Inc. (SIGI) and Chubb Limited (CB). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for SIGI, currently valued at -0.15, compared to the broader market-4.00-2.000.002.00-0.151.54
The chart of Sortino ratio for SIGI, currently valued at -0.00, compared to the broader market-4.00-2.000.002.004.00-0.002.16
The chart of Omega ratio for SIGI, currently valued at 1.00, compared to the broader market0.501.001.502.001.001.29
The chart of Calmar ratio for SIGI, currently valued at -0.19, compared to the broader market0.002.004.006.00-0.192.72
The chart of Martin ratio for SIGI, currently valued at -0.39, compared to the broader market-5.000.005.0010.0015.0020.0025.00-0.397.08
SIGI
CB

The current SIGI Sharpe Ratio is -0.15, which is lower than the CB Sharpe Ratio of 1.54. The chart below compares the historical Sharpe Ratios of SIGI and CB, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.15
1.54
SIGI
CB

Dividends

SIGI vs. CB - Dividend Comparison

SIGI's dividend yield for the trailing twelve months is around 1.53%, more than CB's 1.31% yield.


TTM20232022202120202019201820172016201520142013
SIGI
Selective Insurance Group, Inc.
1.53%1.26%1.29%1.26%1.40%1.27%1.21%1.12%1.42%1.70%1.95%1.92%
CB
Chubb Limited
1.31%1.51%1.49%1.65%2.01%1.91%2.24%1.93%2.07%2.28%2.79%1.46%

Drawdowns

SIGI vs. CB - Drawdown Comparison

The maximum SIGI drawdown since its inception was -63.06%, roughly equal to the maximum CB drawdown of -64.24%. Use the drawdown chart below to compare losses from any high point for SIGI and CB. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-13.51%
-9.20%
SIGI
CB

Volatility

SIGI vs. CB - Volatility Comparison

Selective Insurance Group, Inc. (SIGI) has a higher volatility of 5.80% compared to Chubb Limited (CB) at 4.08%. This indicates that SIGI's price experiences larger fluctuations and is considered to be riskier than CB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
5.80%
4.08%
SIGI
CB

Financials

SIGI vs. CB - Financials Comparison

This section allows you to compare key financial metrics between Selective Insurance Group, Inc. and Chubb Limited. You can select fields from income statements, balance sheets, and cash flow statements to easily visualize and compare the financial health of both companies.


Quarterly
Annual

Total Revenue: Total amount of money received from sales and other business activities


Values in USD except per share items
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab