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RISK CONCERN
Investment Strategy, Risk Analysis, and Insights by Chartered Professionals
The Travelers Companies, Inc. (XNYS:TRV) In-Depth Stock/Fundamental/Options Analysis Today
Primary Facts
TRV
Name:
The Travelers Companies, Inc. (XNYS:TRV)
Sector:
1.27B
Industry:
Insurance�Property & Casualty
CEO:
Mr. Alan Schnitzer
Total Employees:
30,800
Our Technological Advancement Rating
Our Rating:
-
-
ANALYSIS OF ALL CRITICAL FACTORS & RISKS RELATED TO THE STOCK & FUNDAMENTAL/LONG-TERM ANALYSIS OF THE TRAVELERS COMPANIES, INC.(TRV) AS PER DATA ANALYSIS OF LAST 3 YEARS AND COMPARISON WITH COMPETITORS/PEERS, AND INSURANCE�PROPERTY & CASUALTY INDUSTRY. DATE: 07/09/2022
Primary Targets/Price Insights
Previous Close ($) :
162.7
One Month Price Target:
$163.26
Six Month Price Target :
$166.06
Likely Price in One Year's Time:
Ticker:
$169.42
Likely Trading Range Today Under (Normal Volatility)
$162.19
Price Upper limit ($) :
$163.38
Price Lower limit ($) :
Crash Risk Prep/Key Price Levels (High Volatility/Risk)
Price, as per data analysis, isn't likely to fall below:
Today:
$155.59
This week:
$146.8
This month :
$130.89
Other Primary facts
Market Cap:
38.42B
Market Cap Classification:
Large Cap
Number of Shares
IPO Date:
237.31M
Best/Worst Daily Performance (Last 3+ Years)
Highest Daily Appreciation:
13.29%
-20.8%
Worst Daily Decline:
Our Options Trading Entry Points
Iron Condor entry points for options expiring in 1 week's time
Low risk (<2%) entry points
Buy Call:
Sell Call:
Buy Put:
Sell Put:
$195.70
$180.51
$129.70
$144.89
Medium risk (<10%) entry points
Buy Call
Sell Call
$175.56
Buy Put:
Sell Put:
$172.32
$149.79
$153.08
These entry points can be used for other strategies, such as butterflies, straddles, etc.
Risk-Adjusted returns (Sharpe Ratio) of
TRV
Sharpe Ratio:
1.97%
Comparison:
TRV, is amongst the top 40% stocks with highest risk-adjusted returns
Sharpe ratio is 42.78% higher than the industry
& is -13.39% lower than the market/S&P 500 average
Average Returns/Yield of
TRV
Daily returns:
0.05%
Weekly returns:
0.26%
Monthly returns:
1.03%
Yearly returns:
10.43%
Comparison of returns:
Average annual returns/yield (last 3 years) is 18.23% above industry average
Classification:
TRV, is amongst the top 60% highest yielding stocks in terms of daily returns
Results of T-Test of Returns:
0.91
Statistical test of Returns:
TRV has not yielded statistically significant higher returns when compared to the market
Volatility (measured by Standard Deviation)
Daily Volatility:
2.15%
Weekly Volatility:
4.82%
Monthly Volatility:
9.63%
Yearly Volatility:
33.36%
Volitlilty of last five days (Measured by Standard Deviation)
Average Volatility of this Week:
1.02%
Volatility in last five trading days has been -52.74% below long-term volatility
Value at Risk Analysis (VaR)
Daily VaR:
-4.37%
Weekly VaR:
-9.77%
Monthly VaR:
-19.55%
How Much Can the price of
TRV
Decline in a Recession?
Likely price decline in a recession:
Base case (decline):
-17%
Worst case (decline):
-67.72%
This translates to price declining to:
$135.53
This translates to price declining to:
$52.52
Severe Crash Probability
Risk of crash in next 6/12 months: High (50-70%)
What is Value at Risk (VaR)?
Risk Fundamentals
TRV is a 37.98% riskier investment compared to the market/S&P 500 & is 18.21% riskier than Nasdaq (IXIC)
Risk (measured by volatility) is -10.56% below industry average
Overall, it is amongst the top 50% most risky stocks
Beta Examination of
TRV
Beta in relation to market/S&P 500--0.61
Expected beta in 1 year's time:
0.548
Expected beta in 3 year's time:
0.776
Unlevered (debt free) Beta:
0.498
Beta in relation to Nasdaq (XNAS):
0.589
Beta in relation to all global stocks::
0.799
Beta Comparison & Analysis
Beta of competitors/peers::
1.18
Beta is -47.89% lower than peers
Average Industry Beta:
0.555
Beta is 10.77% above industry average
Sustainable Growth Rate Analysis
Sustainable growth rate for this stock/firm:
9.80%
Sustainable growth rate is -15.01% below industry average
Alpha provided | Alpha Analysis
Alpha provided:
0.050
Alpha is 42.93% above industry average alpha yield
Alpha is 316% higher than market/& is unsustainably high
Analysis of Cost of Capital of
TRV
Equity cost of capital:
0.074
Equity cost of capital is 5.89% above industry mean WACC
Unlevered (without debt) cost of capital:
5.97%
Before-tax cost of debt:
4.73%
After-tax cost of debt:
3.74%
Overall debt rating:
Lower BB medium grade (Fifth highest grade)
Weighted average cost of capital (WACC):
3.74%
WACC is 8.11% above industry mean WACC
Key Per-Share Metrics & Analysis
Revenue per share:
$148.80
Revenue growth rate per share of (3Y):
1.51
Annual revenue growth rate is -75.96% below industry average
EPS:
$15.82
Expected Annual growth rate of EPS (3Y):
13.12%
Expected future EPS growth rate is -16.00% lower than the Insurance�Property & Casualty industry
Free cash flow (FCF) per share:
$30.15
Balance sheet equity growth per share: 12.61%
Equity growth rate per share is -72.12% lower than the industry
Debt per share
$30.30
EBITDA per share
$25.13
Valuation Analysis Today of
TRV
P/E Ratio:
11.28
P/E Ratio of Competitors/Peers:
11.41
P/E ratio is -1.10% lower than main peers & is -35.52% lower than the industry
Stock price/value with industry average P/E ratio: $276.80
TRV is -41.22% undervalued if valued using industry average P/E ratio
Share value as per dividend discount (DDM) model: $79.79
Present value of the expected future dividends only: $59.55
P/S (Price to Sales ratio):
1.09
Price to sales ratio is -54.41% below the industry mean
P/B (Price to book value ratio):
1.51
Price to free cash flow: 5.40
-
Net income growth rate (3Y):
53.10%
Net income growth rate is -281.95% lower than the industry average net income growth rate
Dividend Analysis
Dividend payout rate: 5.40%
Dividend yeild: 2.19%
Previous Dividend: $0.93
Previous adjusted dividend: $0.93
Previous Dividend: $3.57
Expected next dividend best case: $0.96
Expected next dividend worst case: $0.90
Average dividend payment (long-term): $0.86
Average dividend increase/decrease (growth rate) % per period: 1.29%
Expected next dividend payment date: 28/09/2022
Expected next dividend record date: 09/08/2022
-
Previous dividend payment date: 30/06/2022
Previous dividend record date: 06/10/2022
-
Dividend History:
2022-06-09--$0.93
2021-12-09--$0.88
2021-06-09--$0.88
2022-03-09--$0.88
2021-09-09--$0.88
2021-03-09--$0.85
Dividend growth rate is -97.20% lower than the industry average
In-depth Debt & Leverage Analysis
Debt to equity ratio:
28.17%
Net debt to equity ratio:
25.61%
Debt to assets ratio:
6.06%
Net debt to assets ratio:
5.51%
Debt-to-asset ratio is -90.89% below industry average
Ability to repay debt:
Interest coverage ratio:
17.28
Interest coverage ratio is 258.93% more than industry average
Looking forward:
Debt growth rate:
9.62%
Annual debt growth is -528% lower than industry average debt growth rate
Debt repayment rate in last quarter: 0.00%
Analysis of Key Statistics
Correlation of price movement with the market:
0.654
Statistical significance of correlation:
TRV has a statistically significant correlation with the market
Average Correlation of the industry with the market:
0.6
Stock price is 8.88% more correlated with the market, compared to the industry average correlation
R Squared (percentage of price movement explained by movement of the market):
0.6
Correlation of price movement with Nasdaq (^IXIC):
0.039
Covariance of price movement with the market:
0.049
Kurtosis
18.923
Returns have severe fat-tails (leptokurtic), i.e., returns considerably higher or lower than the mean returns are considerably more likely, compared to assets with normally distributed returns
Skewness of returns:
-1.569
Returns are left (negative) skewed; mean returns are lower than median and mode returns
Fundamental Analysis & Dupont Analysis of
TRV
Gross Profit Margin Ratio:
-
Operating Profit Margin Ratio:
2.11%
Operating profit margin is -133.27% lower than the industry
Net Profit Margin Ratio:
-
Effective Tax Rate:
16.89%
Effective tax rate is -15.50% lower than the industry
Dupont Method
Net Profit Margin
Return on Equity Ratio (ROE):
×
ROA
=
×
15.46%
Return on equity (ROE) is 89.88% higher than the industry
Financial Leverage
Asset Turnover Ratio (ROA):
3.33%
Return on assets (ROA) is 117.16% higher than the industry
Financial Leverage:
1.1x
Current Ratio:
0
-
Cash Conversion Cycle (days):
0
-
The remaining useful life of property plant & equipment is: 8.2 years
Stock based compensation to net income ratio:
-
In-depth Efficiency Analysis
Revenue generated per employee:
1.1M
Each employee generates -4% less revenue than industry average revenue per employee
EBITDA generated per employee:
193.6K
Each employee generates -4% less EBITDA than industry average revenue per employee
Profit generated per employee:
128.1K
Each employee generates -9% less net income/profit than industry average revenue per employee
Free cash flow (FCF) generated per employee:
41.1K
Each employee generates -32% less free cash flow than industry average revenue per employee
Assets/Capital per employee
0.0K
Each employee generates -32% less free cash flow than industry average revenue per employee
Research & Development (R&D) Analysis
-
-
Competitors/Peer firms of
TRV
AFLAC INCORPORATED (XNYS:AFL)
KKR & CO. INC. (XNYS:KKR)
APOLLO GLOBAL MANAGEMENT, INC. (XNYS:APO)
Banco Bilbao Vizcaya Argentaria SA (XNYS:BBVA)
MANULIFE FINANCIAL CORP (XNYS:MFC)
Itau Unibanco Holding SA (XNYS:ITUB)
Nu Holdings Ltd (XNYS:NU)
PRU
NATWEST GROUP PLC (XNYS:NWG)
Current Analyst Ratings
Strong buy�17%
Buy�8%
Hold�54%
Sell�8%
Strong sell�4%
Overall analyst sentiment is: Hold
Income Statement
Period:
TTM
Date:
3/31/22
Revenue:
35.31B
Cost of Revenue:
Gross Profit:
R&D Expense
General & Admin Expenses:
Selling, General & Admin Expenses
Sales and Marketing Expenses
Other Expenses :
Operating Expenses :
Cost & Expenses :
Interest Income:
Interest Expenses:
Depreciation & Amortization:
EBITDA:
Operating Income:
Other Income Expenses:
Income Before Tax:
Income Tax Expense:
Net Income:
Balance Sheet
Date:
Calendar Year:
Period:
Cash & Cash Equivalents:
Short Term Investments:
Cash & Short Term Investments:
Net Receivables:
Inventory:
Other Current Assets:
Total Current Assets:
PP&E:
Goodwill:
Intangible Assets:
Long Term Investments:
Tax Assets:
Other Non-Current Assets:
Total Non-Current Assets:
Other Assets:
Total Assets:
Accounts Payable:
Short Term Debt:
Tax Payables:
Deferred Revenue:
Other Current Liabilities:
Total Current Liabilities:
Long Term Debt:
Other Non-Current Liabilities:
Total Non Current Liabilities:
Other Liabilities:
Total Liabilities:
Common Stock:
Retained Earnings:
Accumulated Other Comprehensive Loss:
Other Total Stockholders' Equity:
Total Stockholders' Equity:
Total Liabilities and Stockholders' Equity:
Total Investments:
Total Debt:
Net Debt:
-
-
-
4.71B
4.71B
-
-
-
-
345.00M
869.00M
5.96B
-
3.95B
4.75B
802.00M
3.95B
Statement of Cash Flow
Date:
Period:
234.00M
Differed Income Tax :
40.00M
Stock Based Compensation :
-
Change in Working Capital :
- 1241000.00K
Accounts Receivables:
- 791000.00K
Other Working Capital:
- 443000.00K
Other Non-Cash Items:
1.22B
Net Cash Provided by Operating Activities:
1.27B
Investments in PP&E:
-
Net Acquisitions:
- 4000.00K
Purchases of Investments:
- 4607000.00K
Sales/Maturities of Investments:
Other Investing Activities:
Net Cash Used for Investing Activities:
Debt Repayment:
Common Stock Issued:
Common Stock Repurchased:
Dividend Paid:
Other Financing Activities:
Net Cash Used Provided by Financing Activities:
Effect of FOREX on Changes in Cash:
Net Changes in Cash:
Cash at End of Period:
Cash at Beginning of Period:
Operating Cash Flow:
Capital Expenditure:
Free Cash Flow (FCF):
3/31/22
2022
Q1
752.00M
77.85B
78.61B
21.23B
-
-
-
-
4.00B
301.00M
78.73B
-
-
-
118.59B
118.59B
4.61B
100.00M
-
-
-
4.71B
7.19B
-
7.19B
95.54B
93.06B
24.35B
42.36B
- 2602000.0K
-
March 31, 2022 at 6:00:00 AM
30.56B
25.53B
118.59B
156.59B
7.29B
6.5B
4.05B
- 93000.00K
- 657000.00K
-
-
- 559000.00K
- 213000.00K
159.00M
- 613000.00K
- 5000.00K
- 9000.00K
752.00M
761.00M
1.27B
-
1.27B
Our Proprietary Portfolio Rating
Our Rating:
-
Price Forecast/Expected Price in Next 5 Years of
TRV
2023
2024
2025
2026
2027
$207.39
$215.96
$224.89
$234.18
$243.85