Arch Capital Group Ltd. (ACGL)
Quantitative Summary
DeterministicAt 6.9x earnings — a 64% discount to the sector average of 19.2x — ACGL is in the lower valuation range. Financial health is average: Piotroski 5/9, Altman Z 1.3. DCF fair value of $453 implies 367% upside from current prices based on model assumptions.
Generated deterministically from quant metrics and financial statements. Not a recommendation.
Algorithmic Teardown
AI-GeneratedThe fundamental economics of ACGL present a distinct dichotomy between high reported profitability and inefficient capital allocation. While the DuPont decomposition reveals that an exceptionally wide equity multiplier of 3.27x drives an ROE of 18.2%, this leverage masks a negative spread where the return on invested capital of 5.1% falls short of the cost of capital at 7.0%. This -1.8% gap suggests value destruction from core operations, a concern reinforced by a weak Altman Z-Score of 1.3 indicating elevated bankruptcy risk and a Piotroski F-Score of 5/9 that signals moderate financial strength but lacks the robustness of top-tier quality firms. Despite these structural inefficiencies, the company maintains healthy revenue growth at 14% YoY and sustains impressive net margins near 23%, though this profitability is offset by neutral performance on the RMW factor and a lack of significant Fama-French alpha generation over time.
Valuation metrics currently reflect extreme optimism relative to both historical norms and fundamental cash flow realities, creating a substantial divergence between market price and modeled fair value. The current P/E ratio of 8.3x appears compressed compared to typical growth peers yet remains inconsistent with the DCF model's implied upside of nearly 468%, which projects ten-year free cash flow growth at -9.1%. This suggests the market is pricing in a realization of significant future expansion that contradicts the negative long-term growth assumption embedded in the valuation models, or conversely, that the current price has not yet fully discounted the operational risks highlighted by the capital efficiency metrics.
Insider activity further complicates the risk-reward profile, with $7.24 million in net selling over the last 90 days potentially signaling management caution regarding near-term execution or valuation levels. The combination of a negative ROIC-WACC spread and insider outflows suggests that while the stock possesses deep value characteristics per standard metrics like HML tilt, the underlying capital efficiency and growth assumptions warrant scrutiny before concluding that the current pricing represents an unequivocal opportunity.
Generated by LLM from quantitative data inputs. May contain inaccuracies. Not investment advice.
DCF Sandbox
Interactive5-year two-stage DCF. Terminal growth 3%. Default sliders match the pre-computed base case. Drag to explore scenarios. Not investment advice.
The growth rate the market implicitly expects over the next 10 years to justify today's price. Compare with historical growth of 14% YoY revenue.
Sensitivity Matrix
| TG ↓ / WACC → | 6% | 7.7% | 9.7% |
|---|---|---|---|
| 2% | $557 | $383 | $277 |
| 3% | $725 | $453 | $311 |
| 4% | $1061 | $562 | $357 |
Center = base case. Green = >10% upside, Red = >10% downside vs $87.62.
Pre-computed DCF: WACC=7.7%, terminal growth 3%. Fair value $453 (+366.9%). Not investment advice.
Valuation Context
Currently trading 22% below its 5-year average P/E of 10.6x.
Price Chart with Moving Averages
Technical Setup
AI GeneratedThe current technical configuration for Arch Capital Group Ltd. presents a neutral landscape where price action hovers at $96.30 without distinct directional momentum from the provided snapshot alone. In the absence of specific short-term moving average crossovers or defined volume surges in this limited dataset, it is difficult to ascertain immediate shifts in institutional positioning. Typically, larger market participants accumulate when prices stabilize near support levels with rising volume, yet current data does not confirm such a pattern. Conversely, distribution often accompanies price declines on high volume, which also remains unverified here. Without clear signals of aggressive buying or selling pressure from the available metrics, the behavior of institutional players appears to be in a state of consolidation rather than active rotation into or out of the position. The lack of explicit moving average interactions suggests that major holders may be waiting for further confirmation before committing significant capital. This stagnation could indicate a strategic pause where institutions assess broader market conditions or await earnings catalysts before establishing new directional biases. Consequently, the technical setup reflects uncertainty regarding immediate institutional intent rather than a definitive trend initiation. Observers should monitor future price breaks against key moving averages and corresponding volume changes to better gauge whether larger entities are gradually building long positions or reducing exposure. Until such confirmatory data emerges, the current environment suggests that significant capital flows from major players remain ambiguous and potentially dormant.
Quant Health Deep Dive
Profitability & Value Creation
✅ Conservative payout — room for dividend increases.
DuPont Analysis — ROE Decomposition
Breaking down Return on Equity to see how the company generates its ROE — efficiency, margins, or leverage.
Balance Sheet Health
Insider Activity (Last 90 Days)
Open-market buys vs sells by company insiders. Source: yfinance.
Earnings Surprise History
EPS estimates vs actuals for the most recent reported quarters. Source: yfinance.
Dividend History
| Date | Amount | Change |
|---|---|---|
| 2024-11-18 | $5.0000 | — |
Dividend and split data from SEC filings and market data. Amounts are per share, not adjusted for splits. Source: yfinance.
Risk Profile
Sharpe = risk-adjusted return (higher is better). Max drawdown = largest peak-to-trough decline. 1,200+ trading days.
Underwater (Drawdown from Peak)
How far below the all-time high the price has been over time. Deeper = more pain for holders.
Rolling 60-Day Beta vs S&P 500 (VOO)
How the stock's sensitivity to market moves changes over time. β > 1 = more volatile than the market.
Fama-French 5-Factor Exposure
Academic factor model decomposition — what's really driving this stock's returns.
Fama-French 5-Factor Model. Data: Kenneth French Data Library. Regression over 3 years of daily returns.
Fundamentals
Passive Flow Attribution
ETF Draft EffectWhen investors buy or sell ETFs like KIE or ONEV, the fund manager is mechanically forced to buy or sell ACGL shares regardless of Arch Capital Group Ltd.'s individual fundamentals. We estimate $3.7B of passive capital is structurally linked to ACGL through 8 tracked ETFs. Index rebalances and ETF creation/redemption cycles can create noticeable volume spikes unrelated to company news.
Passive exposure = Σ (ETF AUM × stock weight in ETF) across 8 tracked ETFs. Actual passive ownership is larger (includes mutual funds). Not investment advice.
ETF Contagion Visualizer
Simulate a price drop in Arch Capital Group Ltd. to visualize passive redemption contagion across ETFs and collateral stocks.
If Arch Capital Group Ltd. (ACGL) experiences a significant drawdown, ETF redemptions can create collateral selling pressure on co-held stocks. Our model identifies BERKSHIRE HATHAWAY INC CL B (BRK.B) as the most exposed collateral stock, sharing 1 ETFs with ACGL. This is the "Passive Contagion" effect described in the Inelastic Market Hypothesis.
Contagion model based on shared ETF exposure and constituent weights across 19 tracked ETFs. Estimated selling pressure is a simplified model — actual impact depends on market liquidity, ETF redemption mechanics, and market-maker activity.
ACGL Ownership Dynamics
Passive funds hold 1 in every 8 ACGL shares, reducing daily market volatility.
Arch Capital Group Ltd. (ACGL) exerts measurable gravity on the passive index market, currently representing 1.8% of the KIE (KIE) and 1.0% of the ONEV (ONEV). Across 20 tracked ETFs, approximately 42M shares (12.0% of float) are held by passive funds and rarely trade on the open market. This level of passive ownership means index rebalances can create outsized volume events.
ETFs with Highest ACGL Exposure
Float lock-up computed from 20 ETFs tracked by SecuritiesDB. Actual passive ownership is higher (includes mutual funds, pension funds, etc.).
ACGL Institutional Volume Profile
252-day volume distribution by price level. The Point of Control (POC) marks — the price where the most institutional volume transacted — an implicit support/resistance floor.
The highest-volume price zone for Arch Capital Group Ltd. over the past year sits near $91.35 (11% of 252-day volume). The current price of $87.62 sits 4.1% below the POC — suggesting potential mean-reversion upside if institutional demand reasserts at this level.
Volume Profile computed from 252 trading days of OHLCV data. Volume allocated to price bins proportionally based on daily high-low range. Not investment advice.
ACGL Capital Efficiency
How efficiently does Arch Capital Group Ltd. convert operating profits into free cash? The FCF Conversion ratio measures the gap between accounting earnings and real cash generation.
Arch Capital Group Ltd. converts 115% of its EBITDA into free cash flow, an exceptional conversion rate indicating an asset-light business model with minimal capital reinvestment drag. However, the ROIC-WACC spread is negative (-2.6%), suggesting reinvested capital is destroying shareholder value.
Capital efficiency = Free Cash Flow ÷ EBITDA. Reinvestment = (EBITDA − FCF) ÷ EBITDA. Metrics from latest annual filings. Not investment advice.
Fails-to-Deliver (FTD) History
SEC-reported settlement failures. Elevated FTDs can indicate high short-selling pressure, operational settlement issues, or naked shorting activity.
| Date | Failed Shares | Close Price | Notional Value |
|---|---|---|---|
| 2026-05-08 | 52 | $94.52 | $4,915.04 |
| 2026-04-27 | 51 | $96.19 | $4,905.69 |
| 2026-04-24 | 2,891 | $98.07 | $283,520.37 |
| 2026-04-22 | 20 | $98.85 | $1,977 |
| 2026-04-21 | 80 | $97.49 | $7,799.2 |
| 2026-04-20 | 106 | $97.59 | $10,344.54 |
| 2026-04-17 | 86 | $97.10 | $8,350.6 |
| 2026-04-15 | 86,282 | $96.20 | $8.3M |
| 2026-04-14 | 10 | $97.10 | $971 |
| 2026-04-10 | 76,897 | $98.84 | $7.6M |
| 2026-03-27 | 186 | $94.12 | $17,506.32 |
| 2026-03-26 | 13,382 | $93.32 | $1.2M |
| 2026-03-25 | 36 | $93.60 | $3,369.6 |
| 2026-03-18 | 58 | $94.40 | $5,475.2 |
| 2026-03-05 | 22 | $98.42 | $2,165.24 |
| 2026-03-02 | 48 | $100.15 | $4,807.2 |
| 2026-02-26 | 36 | $99.36 | $3,576.96 |
| 2026-02-23 | 22 | $98.49 | $2,166.78 |
| 2026-02-20 | 120 | $98.34 | $11,800.8 |
| 2026-02-02 | 5 | $96.04 | $480.2 |
| 2026-01-30 | 6 | $95.72 | $574.32 |
| 2026-01-21 | 61,577 | $91.80 | $5.7M |
| 2026-01-20 | 21 | $90.65 | $1,903.65 |
| 2026-01-13 | 11 | $93.24 | $1,025.64 |
| 2026-01-09 | 37 | $96.38 | $3,566.06 |
| 2026-01-08 | 330 | $95.16 | $31,402.8 |
| 2025-12-31 | 7 | $96.66 | $676.62 |
| 2025-12-26 | 85,327 | $96.40 | $8.2M |
| 2025-12-22 | 49,017 | $96.20 | $4.7M |
| 2025-12-19 | 583 | $96.45 | $56,230.35 |
Source: SEC Regulation SHO FTD data. Data is reported with a ~30 day delay. High FTD quantities relative to average daily volume may indicate settlement stress.
Price Correlations
Statistical correlation of daily returns with other stocks. High correlations indicate stocks that move together; negative correlations can offer diversification.
| Peer | 252-Day (1Y) | 126-Day (6M) | Direction |
|---|---|---|---|
| WTGXX | NaN | NaN | |
| CB | 0.718 | 0.706 | High co-movement |
| HIG | 0.716 | 0.721 | High co-movement |
| TRV | 0.714 | 0.745 | High co-movement |
| ALL | 0.664 | 0.708 | Moderate |
| AFL | 0.651 | 0.642 | Moderate |
| L | 0.650 | 0.633 | Moderate |
| WRB | 0.642 | 0.593 | Moderate |
| MMC | 0.636 | 0.581 | Moderate |
| CINF | 0.629 | 0.603 | Moderate |
Pearson correlation of daily log returns. 252d ≈ 1 trading year. Computed from price history. Not investment advice.
Compare ACGL to Peers
Quant metrics computed deterministically from financial statements and price data. Updated: 2026-06-02.
SecuritiesDB provides programmatic data aggregation for informational purposes only. None of the metrics, summaries, or algorithmic flags constitute a recommendation to buy or sell any security.