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SIGI vs. RLI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Financials

Performance

SIGI vs. RLI - Performance Comparison

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

-20.00%-10.00%0.00%10.00%20.00%JuneJulyAugustSeptemberOctoberNovember
0.56%
22.52%
SIGI
RLI

Returns By Period

In the year-to-date period, SIGI achieves a -1.66% return, which is significantly lower than RLI's 34.51% return. Over the past 10 years, SIGI has underperformed RLI with an annualized return of 15.31%, while RLI has yielded a comparatively higher 17.36% annualized return.


SIGI

YTD

-1.66%

1M

3.68%

6M

0.82%

1Y

-4.79%

5Y (annualized)

9.93%

10Y (annualized)

15.31%

RLI

YTD

34.51%

1M

11.93%

6M

23.28%

1Y

30.45%

5Y (annualized)

15.28%

10Y (annualized)

17.36%

Fundamentals


SIGIRLI
Market Cap$5.84B$8.07B
EPS$3.72$9.09
PE Ratio25.8019.36
PEG Ratio1.863.82
Total Revenue (TTM)$4.71B$1.76B
Gross Profit (TTM)$4.59B$1.76B
EBITDA (TTM)$358.59M$497.79M

Key characteristics


SIGIRLI
Sharpe Ratio-0.141.59
Sortino Ratio0.022.15
Omega Ratio1.001.29
Calmar Ratio-0.172.28
Martin Ratio-0.378.70
Ulcer Index11.54%3.53%
Daily Std Dev29.95%19.36%
Max Drawdown-63.06%-64.05%
Current Drawdown-10.69%0.00%

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Correlation

-0.50.00.51.00.5

The correlation between SIGI and RLI is 0.45, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

SIGI vs. RLI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Selective Insurance Group, Inc. (SIGI) and RLI Corp. (RLI). 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 -0.14, compared to the broader market-4.00-2.000.002.004.00-0.141.59
The chart of Sortino ratio for SIGI, currently valued at 0.02, compared to the broader market-4.00-2.000.002.004.000.022.15
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 -0.17, compared to the broader market0.002.004.006.00-0.172.28
The chart of Martin ratio for SIGI, currently valued at -0.37, compared to the broader market0.0010.0020.0030.00-0.378.70
SIGI
RLI

The current SIGI Sharpe Ratio is -0.14, which is lower than the RLI Sharpe Ratio of 1.59. The chart below compares the historical Sharpe Ratios of SIGI and RLI, 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-0.500.000.501.001.50JuneJulyAugustSeptemberOctoberNovember
-0.14
1.59
SIGI
RLI

Dividends

SIGI vs. RLI - Dividend Comparison

SIGI's dividend yield for the trailing twelve months is around 1.48%, more than RLI's 0.40% yield.


TTM20232022202120202019201820172016201520142013
SIGI
Selective Insurance Group, Inc.
1.48%1.26%1.29%1.26%1.40%1.27%1.21%1.12%1.42%1.70%1.95%1.92%
RLI
RLI Corp.
0.40%0.40%2.96%0.44%0.46%0.93%1.36%2.13%2.21%2.23%3.76%2.23%

Drawdowns

SIGI vs. RLI - Drawdown Comparison

The maximum SIGI drawdown since its inception was -63.06%, roughly equal to the maximum RLI drawdown of -64.05%. Use the drawdown chart below to compare losses from any high point for SIGI and RLI. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-10.69%
0
SIGI
RLI

Volatility

SIGI vs. RLI - Volatility Comparison

Selective Insurance Group, Inc. (SIGI) has a higher volatility of 9.25% compared to RLI Corp. (RLI) at 6.57%. This indicates that SIGI's price experiences larger fluctuations and is considered to be riskier than RLI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
9.25%
6.57%
SIGI
RLI

Financials

SIGI vs. RLI - Financials Comparison

This section allows you to compare key financial metrics between Selective Insurance Group, Inc. and RLI Corp.. 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