Kopernik Global Correlations

KGGAX Fund

USD 11.42 0.05 0.44%

The current 90-days correlation between Kopernik Global All and Kopernik Global All Cap is 1.0 (i.e., No risk reduction). The correlation of Kopernik Global 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. If the correlation is 0, the equities are not correlated; they are entirely random.

Kopernik Global Correlation With Market

Modest diversification

The correlation between Kopernik Global All Cap and DJI is 0.26 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Kopernik Global All Cap and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Kopernik Global All Cap. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in nation.

Moving together with Kopernik Mutual Fund

1.0	KGGIX	Kopernik Global All	Pair Corr
0.97	KGIRX	Kopernik International	Pair Corr
0.72	DISVX	Dfa International Small	Pair Corr
0.71	DFVQX	Dfa International Vector	Pair Corr
0.74	FMNEX	Free Market International	Pair Corr
0.92	OAZEX	Oakmark International	Pair Corr
0.92	OAYEX	Oakmark International	Pair Corr

Moving against Kopernik Mutual Fund

0.76	PQTNX	Pimco Trends Managed	Pair Corr
0.75	PQTAX	Pimco Trends Managed	Pair Corr
0.75	PQTIX	Aa Pimco Tr	Pair Corr
0.45	GPMFX	Guidepath Managed Futures	Pair Corr
0.53	SPMWX	Invesco Steelpath Mlp	Pair Corr
0.77	SSAGX	Virtus Seix Government	Pair Corr

Related Correlations Analysis

	KGGIX	KGGAX	KGIIX	KGIRX	OAKMX	ADNAX	SHRIX	AAGOX	MSVZX	SJVAX
KGGIX		1.0	0.73	0.97	0.46	-0.25	-0.91	-0.36	0.09	-0.04	KGGIX
KGGAX	1.0		0.73	0.97	0.46	-0.25	-0.91	-0.36	0.09	-0.04	KGGAX
KGIIX	0.73	0.73		0.72	0.27	-0.63	-0.64	-0.62	0.35	0.17	KGIIX
KGIRX	0.97	0.97	0.72		0.38	-0.32	-0.95	-0.43	0.04	-0.11	KGIRX
OAKMX	0.46	0.46	0.27	0.38		0.34	-0.3	0.32	0.47	0.58	OAKMX
ADNAX	-0.25	-0.25	-0.63	-0.32	0.34		0.38	0.95	0.18	0.35	ADNAX
SHRIX	-0.91	-0.91	-0.64	-0.95	-0.3	0.38		0.49	0.08	0.23	SHRIX
AAGOX	-0.36	-0.36	-0.62	-0.43	0.32	0.95	0.49		0.22	0.38	AAGOX
MSVZX	0.09	0.09	0.35	0.04	0.47	0.18	0.08	0.22		0.93	MSVZX
SJVAX	-0.04	-0.04	0.17	-0.11	0.58	0.35	0.23	0.38	0.93		SJVAX
	KGGIX	KGGAX	KGIIX	KGIRX	OAKMX	ADNAX	SHRIX	AAGOX	MSVZX	SJVAX

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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

KGGAX	+ 1.0	KGGIX
KGIRX	+ 0.97	KGGIX
KGIRX	+ 0.97	KGGAX
AAGOX	+ 0.95	ADNAX
SJVAX	+ 0.93	MSVZX
KGIIX	+ 0.73	KGGIX

High negative correlations

SHRIX	- 0.95	KGIRX
SHRIX	- 0.91	KGGAX
SHRIX	- 0.91	KGGIX
SHRIX	- 0.64	KGIIX
ADNAX	- 0.63	KGIIX
AAGOX	- 0.62	KGIIX

Risk-Adjusted Indicators

There is a big difference between Kopernik Mutual Fund performing well and Kopernik Global Mutual Fund 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 Kopernik Global'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
KGGIX	0.54	(0.14)	0.00	(0.61)	0.00	0.00	0.97	(1.23)	2.55
KGGAX	0.54	(0.14)	0.00	(0.61)	0.00	0.00	0.97	(1.30)	2.54
KGIIX	0.47	(0.11)	0.00	(1.34)	0.00	0.00	0.73	(1.03)	2.30
KGIRX	0.50	(0.14)	0.00	(4.46)	0.00	0.00	0.76	(1.26)	2.36
OAKMX	0.64	0.07	0.03	0.23	0.64	(0.70)	1.27	(0.94)	6.63
ADNAX	1.98	0.47	0.19	0.90	1.89	(2.27)	4.09	(2.78)	15.17
SHRIX	0.09	0.05	0.00	(34.82)	0.00	0.00	0.23	0.00	1.13
AAGOX	1.21	0.16	0.07	0.39	1.64	(1.27)	2.50	(2.17)	8.70
MSVZX	0.83	0.04	(0.02)	0.28	0.98	(0.98)	1.69	(1.29)	10.26
SJVAX	0.59	0.05	(0.02)	0.67	0.69	(0.69)	1.33	(1.18)	6.02

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