Oakmark Global Correlations

OAKGX Fund

USD 34.22 0.12 0.35%

The current 90-days correlation between Oakmark Global and Dodge Global Stock is 0.94 (i.e., Almost no diversification). The correlation of Oakmark 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.

Oakmark Global Correlation With Market

Poor diversification

The correlation between Oakmark Global Fund and DJI is 0.66 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Oakmark Global Fund 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 Global Fund. 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 price.

Moving together with Oakmark Mutual Fund

0.66	OAYIX	Oakmark International	Pair Corr
0.97	OAYWX	Oakmark Global Select	Pair Corr
0.66	OAZIX	Oakmark International	Pair Corr
1.0	OAZGX	Oakmark Global	Pair Corr
0.66	OAKIX	Oakmark International	Pair Corr
0.97	OAKWX	Oakmark Global Select	Pair Corr
0.97	OANWX	Oakmark Global Select	Pair Corr
0.66	OANIX	Oakmark International	Pair Corr
0.78	TEDRX	Franklin Mutual Global	Pair Corr
0.79	FMDRX	Franklin Mutual Global	Pair Corr
0.95	DOXWX	Dodge Cox Global	Pair Corr
0.95	DODWX	Dodge Global Stock	Pair Corr
0.83	TRZRX	T Rowe Price	Pair Corr
0.79	TEDIX	Franklin Mutual Global	Pair Corr
0.79	MDISX	Franklin Mutual Global	Pair Corr
0.78	TEDSX	Franklin Mutual Global	Pair Corr
0.83	PRAFX	T Rowe Price	Pair Corr

Moving against Oakmark Mutual Fund

0.44

FMFFX

Fs Managed Futures

Pair Corr

Related Correlations Analysis

	DODWX	TRZRX	TEDIX	MDISX	PRAFX	BEGRX
DODWX		0.86	0.75	0.76	0.87	0.3	DODWX
TRZRX	0.86		0.69	0.7	1.0	0.35	TRZRX
TEDIX	0.75	0.69		1.0	0.7	0.61	TEDIX
MDISX	0.76	0.7	1.0		0.71	0.62	MDISX
PRAFX	0.87	1.0	0.7	0.71		0.33	PRAFX
BEGRX	0.3	0.35	0.61	0.62	0.33		BEGRX
	DODWX	TRZRX	TEDIX	MDISX	PRAFX	BEGRX

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Risk-Adjusted Indicators

There is a big difference between Oakmark Mutual Fund performing well and Oakmark 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 Oakmark 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
DODWX	0.52	(0.08)	(0.18)	0.00	0.67	(0.56)	1.08	(1.09)	3.17
TRZRX	0.56	(0.03)	(0.12)	0.07	0.71	(0.61)	1.31	(1.21)	3.12
TEDIX	0.51	(0.08)	(0.18)	0.01	0.66	(0.50)	0.88	(1.05)	2.77
MDISX	0.51	(0.07)	(0.18)	0.01	0.67	(0.48)	0.85	(1.08)	2.74
PRAFX	0.57	(0.04)	(0.12)	0.06	0.73	(0.59)	1.31	(1.15)	3.19
BEGRX	0.49	(0.05)	(0.16)	0.04	0.58	(0.50)	0.83	(0.99)	2.81

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