Kopernik International Correlations

KGIIX Fund

USD 13.73 0.10 0.72%

The current 90-days correlation between Kopernik International and Kopernik Global All Cap is 0.97 (i.e., Almost no diversification). The correlation of Kopernik International 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 International Correlation With Market

Significant diversification

The correlation between Kopernik International Fund and DJI is 0.02 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Kopernik International Fund 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 International 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 gross domestic product.

Moving together with Kopernik Mutual Fund

0.98	KGGIX	Kopernik Global All	Pair Corr
0.98	KGGAX	Kopernik Global All	Pair Corr
1.0	KGIRX	Kopernik International	Pair Corr
0.82	DOXFX	Dodge Cox International	Pair Corr
0.79	OANIX	Oakmark International	Pair Corr
0.82	DODFX	Dodge International Stock	Pair Corr
0.79	OAKIX	Oakmark International	Pair Corr
0.79	OAYIX	Oakmark International	Pair Corr
0.79	OAZIX	Oakmark International	Pair Corr
0.64	FINVX	Fidelity Series Inte	Pair Corr
0.76	VTRIX	Vanguard International	Pair Corr
0.73	RRIGX	T Rowe Price	Pair Corr
0.81	GAAKX	Gmo Alternative Allo	Pair Corr
0.8	GAAGX	Gmo Alternative Allo	Pair Corr
0.7	JEVAX	Emerging Markets	Pair Corr

Moving against Kopernik Mutual Fund

0.71	FDHCX	First Trust Short	Pair Corr
0.7	VSCIX	Vanguard Small Cap	Pair Corr
0.67	FSMDX	Fidelity Mid Cap	Pair Corr
0.65	ADX	Adams Diversified Equity	Pair Corr
0.63	CCLFX	Cliffwater Corporate	Pair Corr
0.63	USPRX	Sp 500 Index	Pair Corr
0.62	AMEIX	Equity Growth	Pair Corr
0.62	FSLEX	Environment And Alte	Pair Corr
0.53	DODGX	Dodge Stock Fund	Pair Corr
0.47	ANCFX	American Funds Funda	Pair Corr
0.45	PQTNX	Pimco Trends Managed	Pair Corr
0.45	PQTIX	Aa Pimco Tr	Pair Corr
0.44	PQTAX	Pimco Trends Managed	Pair Corr
0.4	ANPRX	Allianzgi Nfj Mid	Pair Corr
0.34	DMO	Western Asset Mortgage	Pair Corr
0.69	VEXRX	Vanguard Explorer	Pair Corr
0.65	FDTRX	Franklin Dynatech	Pair Corr

Related Correlations Analysis

	KGGIX	KGIIX	KGIRX	JEPIX	USPRX	CPGAX	WAGCX	BRAGX	RNGEX	CUBA
KGGIX		0.98	0.98	-0.47	-0.49	-0.15	0.44	-0.54	-0.29	-0.34	KGGIX
KGIIX	0.98		1.0	-0.6	-0.63	-0.3	0.39	-0.66	-0.44	-0.44	KGIIX
KGIRX	0.98	1.0		-0.6	-0.64	-0.31	0.38	-0.66	-0.44	-0.44	KGIRX
JEPIX	-0.47	-0.6	-0.6		0.95	0.79	0.18	0.94	0.86	0.71	JEPIX
USPRX	-0.49	-0.63	-0.64	0.95		0.83	0.15	0.96	0.93	0.81	USPRX
CPGAX	-0.15	-0.3	-0.31	0.79	0.83		0.33	0.69	0.92	0.55	CPGAX
WAGCX	0.44	0.39	0.38	0.18	0.15	0.33		0.15	0.26	0.17	WAGCX
BRAGX	-0.54	-0.66	-0.66	0.94	0.96	0.69	0.15		0.83	0.81	BRAGX
RNGEX	-0.29	-0.44	-0.44	0.86	0.93	0.92	0.26	0.83		0.8	RNGEX
CUBA	-0.34	-0.44	-0.44	0.71	0.81	0.55	0.17	0.81	0.8		CUBA
	KGGIX	KGIIX	KGIRX	JEPIX	USPRX	CPGAX	WAGCX	BRAGX	RNGEX	CUBA

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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

KGIRX	+ 1.0	KGIIX
KGIIX	+ 0.98	KGGIX
KGIRX	+ 0.98	KGGIX
BRAGX	+ 0.96	USPRX
USPRX	+ 0.95	JEPIX
BRAGX	+ 0.94	JEPIX

High negative correlations

BRAGX	- 0.66	KGIRX
BRAGX	- 0.66	KGIIX
USPRX	- 0.64	KGIRX
USPRX	- 0.63	KGIIX
JEPIX	- 0.6	KGIRX
JEPIX	- 0.6	KGIIX

Risk-Adjusted Indicators

There is a big difference between Kopernik Mutual Fund performing well and Kopernik International 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 International'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	0.59	(0.02)	(0.13)	(0.09)	0.75	(0.59)	1.44	(1.25)	3.03
KGIIX	0.56	(0.03)	0.00	(1.21)	0.00	0.00	1.29	(1.28)	2.91
KGIRX	0.56	(0.03)	0.00	(1.23)	0.00	0.00	1.31	(1.29)	2.86
JEPIX	0.30	0.00	(0.15)	0.10	0.20	(0.38)	0.75	(0.47)	2.05
USPRX	0.47	0.06	0.05	0.17	0.41	(0.53)	0.95	(0.93)	3.91
CPGAX	0.51	0.02	(0.01)	0.13	0.54	(0.54)	1.18	(1.03)	3.47
WAGCX	1.61	0.26	0.08	(7.51)	1.61	(2.03)	4.64	(3.15)	11.51
BRAGX	0.64	0.11	0.14	0.21	0.54	(0.77)	2.00	(1.10)	5.47
RNGEX	0.60	0.05	0.04	0.15	0.68	(0.65)	1.38	(1.16)	4.00
CUBA	0.80	0.09	0.04	0.24	0.92	(0.95)	1.72	(1.63)	5.56

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