| avg_daily_return | daily_volatility | |
|---|---|---|
| Ticker | ||
| AIG | 0.070 | 1.478 |
| CB | 0.058 | 1.222 |
| HIG | 0.095 | 1.329 |
| TRV | 0.074 | 1.401 |
| SP500 | 0.080 | 0.998 |
U.S. property and casualty insurers have spent the last few years balancing catastrophe exposure, higher reinsurance costs, and rising investment yields. This review looks at how Travelers (TRV), Chubb (CB), Hartford (HIG), and American International Group (AIG) moved relative to the S&P 500 over the most recent three-year window, using daily total-return data from Yahoo Finance.
Data and returns
Across roughly three years of observations, daily returns clustered between 0.06% and 0.10%, while insurers carried 1.2–1.5% daily volatility versus 1.0% for the S&P 500. AIG shows the bumpiest ride of the group.
Converting those daily figures into annualized metrics highlights the relative risk profiles among the group.
| annual_return | annual_volatility | |
|---|---|---|
| Ticker | ||
| AIG | 19.20 | 23.46 |
| CB | 15.61 | 19.39 |
| HIG | 27.03 | 21.09 |
| TRV | 20.59 | 22.24 |
| SP500 | 22.37 | 15.85 |
Hartford posted the strongest annualized return (about 27%), edging past the S&P 500 and Travelers. AIG’s 19% annualized return comes with the highest volatility, whereas Chubb’s steadier path earns the lowest risk among the insurers.
Correlation structure
A pairwise correlation matrix shows how tightly each ticker moves with the others.
| Ticker | AIG | CB | HIG | TRV | SP500 |
|---|---|---|---|---|---|
| Ticker | |||||
| AIG | 1.00 | 0.66 | 0.73 | 0.63 | 0.49 |
| CB | 0.66 | 1.00 | 0.75 | 0.75 | 0.27 |
| HIG | 0.73 | 0.75 | 1.00 | 0.76 | 0.44 |
| TRV | 0.63 | 0.75 | 0.76 | 1.00 | 0.34 |
| SP500 | 0.49 | 0.27 | 0.44 | 0.34 | 1.00 |
The carriers are more tightly linked to each other (0.63–0.76) than to the S&P 500, where correlations range from 0.27 for Chubb to 0.49 for AIG. Hartford and Travelers move almost in lockstep, while the market relationship is meaningfully looser.
Rolling correlation to the market
Rolling 60-trading-day correlations reveal how market linkage has shifted through time.
Rolling correlations show insurers bunching together during market stress but diverging when fundamentals reassert. Chubb’s market linkage has faded to near zero in the latest window, while AIG, Hartford, and Travelers hover in the low 0.3s.
Factor analysis
A two-factor model summarizes the latent forces driving the return co-movements. Scaling the data before fitting keeps the components comparable across tickers.
| Factor 1 | Factor 2 | Communality | |
|---|---|---|---|
| Ticker | |||
| AIG | -0.805 | 0.187 | 0.682 |
| CB | -0.857 | -0.226 | 0.786 |
| HIG | -0.898 | 0.048 | 0.808 |
| TRV | -0.846 | -0.116 | 0.730 |
| SP500 | -0.470 | 0.562 | 0.537 |
Factor 1 loads heavily (and uniformly) across the insurers, capturing the industry common driver. Factor 2 contrasts the S&P 500 against the carriers, with modest differentiation among the insurers themselves. Communalities of 0.68–0.81 for the insurers show the two-factor structure explains most of their variance.
Factor scores highlight broad insurer swings running through Factor 1, while Factor 2 spikes when the market and carrier basket pull apart—illuminating episodes of sector outperformance or catch-up.
Takeaways
- Insurer correlations with the S&P 500 sit well below their cross-insurer ties, underscoring sector-specific dynamics.
- Travelers and Hartford move almost in tandem, while Chubb’s market linkage has recently slipped toward zero.
- A two-factor model explains the majority of insurer variance: one broad industry factor plus a spread factor that pits the carrier basket against the broader market.