Fairfax Financial Correlations

Summary

FRFHFDelisted Stock

USD 766.50 2.38 0.31%

The current 90-days correlation between Fairfax Financial and RLI Corp is -0.23 (i.e., Very good diversification). The correlation of Fairfax Financial is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

Fairfax Financial Correlation With Market

Good diversification

The correlation between Fairfax Financial Holdings and DJI is -0.13 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Fairfax Financial Holdings and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to Fairfax Financial could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Fairfax Financial when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Fairfax Financial - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Fairfax Financial Holdings to buy it.

Moving together with Fairfax Pink Sheet

0.73	HCI	HCI Group	Pair Corr
0.65	MCY	Mercury General	Pair Corr
0.74	PRA	ProAssurance	Pair Corr
0.62	RLI	RLI Corp Fiscal Year End 22nd of January 2025	Pair Corr
0.67	THG	Hanover Insurance	Pair Corr
0.71	TRV	The Travelers Companies Fiscal Year End 17th of January 2025	Pair Corr
0.88	TKOMY	Tokio Marine Holdings	Pair Corr
0.79	ALL-PB	Allstate	Pair Corr

Moving against Fairfax Pink Sheet

0.79	HRTG	Heritage Insurance Hldgs Normal Trading	Pair Corr
0.61	CNA	CNA Financial	Pair Corr
0.58	HGTY	Hagerty	Pair Corr
0.55	FACO	First Acceptance Corp	Pair Corr
0.36	STC	Stewart Information	Pair Corr
0.6	TILCF	Till Capital	Pair Corr
0.34	SAFT	Safety Insurance	Pair Corr
0.34	WRB-PG	WR Berkley	Pair Corr
0.33	KNSL	Kinsale Capital Group	Pair Corr

Related Correlations Analysis

	RLI	CB	PGR	WTM	WRB-PE	WRB	KNSL	UFCS	SKWD	MKL
RLI		0.11	0.54	0.81	-0.13	0.75	0.08	0.86	0.93	0.88	RLI
CB	0.11		0.41	-0.08	0.4	0.21	-0.04	-0.03	0.16	0.01	CB
PGR	0.54	0.41		0.15	0.34	0.38	0.18	0.6	0.35	0.55	PGR
WTM	0.81	-0.08	0.15		-0.49	0.83	0.22	0.63	0.83	0.73	WTM
WRB-PE	-0.13	0.4	0.34	-0.49		-0.39	-0.36	-0.17	-0.16	-0.23	WRB-PE
WRB	0.75	0.21	0.38	0.83	-0.39		0.31	0.63	0.71	0.69	WRB
KNSL	0.08	-0.04	0.18	0.22	-0.36	0.31		0.16	-0.08	0.26	KNSL
UFCS	0.86	-0.03	0.6	0.63	-0.17	0.63	0.16		0.71	0.92	UFCS
SKWD	0.93	0.16	0.35	0.83	-0.16	0.71	-0.08	0.71		0.75	SKWD
MKL	0.88	0.01	0.55	0.73	-0.23	0.69	0.26	0.92	0.75		MKL
	RLI	CB	PGR	WTM	WRB-PE	WRB	KNSL	UFCS	SKWD	MKL

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

SKWD	+ 0.93	RLI
MKL	+ 0.92	UFCS
MKL	+ 0.88	RLI
UFCS	+ 0.86	RLI
WRB	+ 0.83	WTM
SKWD	+ 0.83	WTM

High negative correlations

WRB-PE	- 0.49	WTM
WRB	- 0.39	WRB-PE
KNSL	- 0.36	WRB-PE
MKL	- 0.23	WRB-PE
UFCS	- 0.17	WRB-PE
SKWD	- 0.16	WRB-PE

Risk-Adjusted Indicators

There is a big difference between Fairfax Pink Sheet performing well and Fairfax Financial Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Fairfax Financial's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
RLI	0.83	0.16	0.12	0.24	1.15	(0.90)	1.76	(1.82)	7.01
CB	0.83	0.01	(0.02)	0.10	1.18	(0.83)	1.49	(1.78)	6.25
PGR	0.88	0.04	0.02	0.13	1.01	(0.97)	2.40	(1.58)	6.25
WTM	1.01	0.05	0.05	0.13	1.01	(1.15)	2.44	(1.73)	7.13
WRB-PE	0.42	(0.02)	0.00	(0.48)	0.00	0.00	0.80	(0.76)	2.09
WRB	0.99	0.02	0.01	0.11	1.44	(0.93)	1.83	(2.36)	7.07
KNSL	1.34	(0.11)	(0.03)	0.01	2.02	(1.37)	2.57	(2.96)	9.90
UFCS	1.72	0.28	0.29	0.17	1.14	(2.11)	3.64	(2.48)	28.06
SKWD	1.37	0.34	0.18	0.34	1.64	(1.54)	3.41	(2.38)	10.47
MKL	0.82	0.04	0.04	0.12	0.99	(0.85)	1.42	(1.80)	7.55

View Fairfax Financial Related Equities

RLI Corp Chubb Progressive Corp White Mountains Insurance W R Berkley W R Berkley Kinsale Capital Group United Fire Group Skyward Specialty Insurance Markel NI Holdings Donegal Group A Donegal Group B The Hanover Insurance Horace Mann Educators

Risk & Return

Correlation

Fairfax Financial Corporate Management

Sammy Chan	Pres Asia	Profile
Derek Bulas	Associate Legal	Profile
Vinodh Loganadhan	VP Services	Profile
Michael Wallace	VP Operations	Profile

Still Interested in Fairfax Financial Holdings?

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