Correlation Between Kopernik International and Oakmark International
Can any of the company-specific risk be diversified away by investing in both Kopernik International and Oakmark International at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Kopernik International and Oakmark International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Kopernik International Fund and Oakmark International Fund, you can compare the effects of market volatilities on Kopernik International and Oakmark International and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Kopernik International with a short position of Oakmark International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Kopernik International and Oakmark International.
Diversification Opportunities for Kopernik International and Oakmark International
0.69 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Kopernik and Oakmark is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding Kopernik International Fund and Oakmark International Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Oakmark International and Kopernik International is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Kopernik International Fund are associated (or correlated) with Oakmark International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Oakmark International has no effect on the direction of Kopernik International i.e., Kopernik International and Oakmark International go up and down completely randomly.
Pair Corralation between Kopernik International and Oakmark International
Assuming the 90 days horizon Kopernik International Fund is expected to under-perform the Oakmark International. But the mutual fund apears to be less risky and, when comparing its historical volatility, Kopernik International Fund is 1.66 times less risky than Oakmark International. The mutual fund trades about -0.24 of its potential returns per unit of risk. The Oakmark International Fund is currently generating about -0.1 of returns per unit of risk over similar time horizon. If you would invest 2,653 in Oakmark International Fund on September 4, 2024 and sell it today you would lose (70.00) from holding Oakmark International Fund or give up 2.64% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.24% |
| Values | Daily Returns |
Kopernik International Fund vs. Oakmark International Fund
Performance |
| Timeline |
| Kopernik International |
| Oakmark International |
Kopernik International and Oakmark International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Kopernik International and Oakmark International
The main advantage of trading using opposite Kopernik International and Oakmark International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Kopernik International position performs unexpectedly, Oakmark International can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Oakmark International will offset losses from the drop in Oakmark International's long position.The idea behind Kopernik International Fund and Oakmark International Fund pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
| Oakmark International vs. Oakmark International Fund | Oakmark International vs. Oakmark Fund Advisor | Oakmark International vs. Oakmark Select Fund | Oakmark International vs. Oakmark Global Select |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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