White Mountains Correlations

WTM Stock

USD 1,762 22.01 1.23%

The current 90-days correlation between White Mountains Insurance and The Hanover Insurance is 0.76 (i.e., Poor diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as White Mountains moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if White Mountains Insurance moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

White Mountains Correlation With Market

Very weak diversification

The correlation between White Mountains Insurance and DJI is 0.57 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding White Mountains Insurance and DJI in the same portfolio, assuming nothing else is changed.

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Moving together with White Stock

0.79	CB	Chubb Sell-off Trend	Pair Corr
0.89	AIZ	Assurant	Pair Corr
0.76	ALL	Allstate	Pair Corr
0.8	CNA	CNA Financial	Pair Corr
0.61	ORI	Old Republic Interna Sell-off Trend	Pair Corr
0.66	STC	Stewart Information	Pair Corr
0.68	THG	Hanover Insurance	Pair Corr
0.8	GBLI	Global Indemnity PLC	Pair Corr
0.88	KMPR	Kemper	Pair Corr
0.78	SIGIP	Selective Insurance	Pair Corr
0.69	NODK	NI Holdings	Pair Corr
0.73	ALL-PI	Allstate	Pair Corr
0.74	ALL-PH	Allstate	Pair Corr
0.65	ACIC	American Coastal Ins	Pair Corr

Moving against White Stock

0.34	PRA	ProAssurance	Pair Corr
0.37	PLMR	Palomar Holdings	Pair Corr
0.36	HRTG	Heritage Insurance Hldgs	Pair Corr

Related Correlations Analysis

	NODK	DGICA	DGICB	THG	RLI	CB	PGR	WRB-PE	SIGI	HMN
NODK		-0.38	-0.73	0.21	0.65	0.48	0.07	0.45	0.37	-0.03	NODK
DGICA	-0.38		0.51	0.52	-0.11	0.36	0.57	-0.25	0.24	0.76	DGICA
DGICB	-0.73	0.51		0.07	-0.37	-0.2	0.05	-0.42	-0.23	0.27	DGICB
THG	0.21	0.52	0.07		0.32	0.82	0.54	0.47	0.47	0.83	THG
RLI	0.65	-0.11	-0.37	0.32		0.65	0.25	0.08	0.76	0.12	RLI
CB	0.48	0.36	-0.2	0.82	0.65		0.67	0.38	0.71	0.64	CB
PGR	0.07	0.57	0.05	0.54	0.25	0.67		-0.02	0.48	0.51	PGR
WRB-PE	0.45	-0.25	-0.42	0.47	0.08	0.38	-0.02		0.08	0.2	WRB-PE
SIGI	0.37	0.24	-0.23	0.47	0.76	0.71	0.48	0.08		0.24	SIGI
HMN	-0.03	0.76	0.27	0.83	0.12	0.64	0.51	0.2	0.24		HMN
	NODK	DGICA	DGICB	THG	RLI	CB	PGR	WRB-PE	SIGI	HMN

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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

HMN	+ 0.83	THG
CB	+ 0.82	THG
HMN	+ 0.76	DGICA
SIGI	+ 0.76	RLI
SIGI	+ 0.71	CB
PGR	+ 0.67	CB

High negative correlations

DGICB	- 0.73	NODK
WRB-PE	- 0.42	DGICB
DGICA	- 0.38	NODK
RLI	- 0.37	DGICB
WRB-PE	- 0.25	DGICA
SIGI	- 0.23	DGICB

Risk-Adjusted Indicators

There is a big difference between White Stock performing well and White Mountains 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 White Mountains' 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
NODK	1.37	(0.22)	0.00	(0.41)	0.00	0.00	2.75	(2.88)	7.72
DGICA	1.30	0.07	0.02	0.22	1.61	(1.45)	2.73	(2.43)	8.13
DGICB	2.44	0.25	0.05	1.65	2.76	(3.63)	7.02	(5.67)	20.18
THG	1.14	0.00	(0.01)	0.07	2.06	(1.08)	2.67	(2.02)	11.10
RLI	1.13	(0.06)	0.00	(0.04)	0.00	0.00	1.74	(2.98)	8.37
CB	1.05	(0.04)	(0.04)	0.00	1.62	(1.07)	2.19	(2.03)	9.40
PGR	1.40	(0.10)	0.00	(0.10)	0.00	0.00	2.66	(3.03)	12.89
WRB-PE	0.54	(0.05)	0.00	(0.12)	0.00	0.00	1.14	(1.24)	4.52
SIGI	1.20	(0.03)	(0.03)	0.01	1.92	(1.15)	2.75	(2.09)	9.75
HMN	1.14	0.03	0.00	0.13	1.28	(1.22)	2.33	(2.25)	6.15

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