Oakmark Fund Correlations

OAKMX Fund

USD 160.30 1.45 0.90%

The current 90-days correlation between Oakmark Fund Investor and Oakmark Select Fund is 0.95 (i.e., Almost no diversification). The correlation of Oakmark Fund 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.

Oakmark Fund Correlation With Market

Weak diversification

The correlation between Oakmark Fund Investor and DJI is 0.34 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Oakmark Fund Investor and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Oakmark Fund Investor. 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 population.

Moving together with Oakmark Mutual Fund

1.0	OAYMX	Oakmark Fund Advisor	Pair Corr
0.93	OAYLX	Oakmark Select	Pair Corr
0.95	OAZBX	Oakmark Equity And	Pair Corr
0.95	OAYBX	Oakmark Equity And	Pair Corr
0.93	OAZMX	Oakmark Fund R6	Pair Corr
0.93	OAZLX	Oakmark Select	Pair Corr
0.95	OAKBX	Oakmark Equity And	Pair Corr
0.93	OAKLX	Oakmark Select	Pair Corr
0.95	OANBX	Oakmark Equity And	Pair Corr
1.0	OANMX	Oakmark Fund Institu	Pair Corr
0.93	OANLX	Oakmark Select	Pair Corr
0.81	VVIAX	Vanguard Value Index	Pair Corr
0.91	DOXGX	Dodge Cox Stock	Pair Corr

Related Correlations Analysis

	OAKLX	OAKIX	OAKBX	OAKGX	CFIMX
OAKLX		-0.06	0.9	0.33	0.48	OAKLX
OAKIX	-0.06		0.19	0.81	0.23	OAKIX
OAKBX	0.9	0.19		0.61	0.77	OAKBX
OAKGX	0.33	0.81	0.61		0.61	OAKGX
CFIMX	0.48	0.23	0.77	0.61		CFIMX
	OAKLX	OAKIX	OAKBX	OAKGX	CFIMX

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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

OAKBX	+ 0.9	OAKLX
OAKGX	+ 0.81	OAKIX
CFIMX	+ 0.77	OAKBX
OAKGX	+ 0.61	OAKBX
CFIMX	+ 0.61	OAKGX
CFIMX	+ 0.48	OAKLX

High negative correlations

OAKIX

- 0.06

OAKLX

Risk-Adjusted Indicators

There is a big difference between Oakmark Mutual Fund performing well and Oakmark Fund 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 Oakmark Fund'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
OAKLX	0.68	0.10	0.06	0.32	0.72	(0.75)	1.43	(0.94)	8.35
OAKIX	0.75	(0.01)	(0.07)	0.00	1.06	(0.73)	1.61	(1.84)	4.59
OAKBX	0.39	0.02	(0.06)	0.18	0.47	(0.43)	0.88	(0.75)	4.12
OAKGX	0.59	0.00	(0.07)	0.07	0.86	(0.58)	1.32	(1.20)	4.24
CFIMX	0.76	(0.03)	(0.04)	0.00	1.69	(0.71)	1.18	(1.45)	12.43

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