Correlation Between Oakmark International and Oakmark Fund

Can any of the company-specific risk be diversified away by investing in both Oakmark International and Oakmark Fund 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 Oakmark International and Oakmark Fund into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Oakmark International Small and Oakmark Fund R6, you can compare the effects of market volatilities on Oakmark International and Oakmark Fund 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 Oakmark International with a short position of Oakmark Fund. Check out your portfolio center. Please also check ongoing floating volatility patterns of Oakmark International and Oakmark Fund.

Diversification Opportunities for Oakmark International and Oakmark Fund

-0.7

Correlation Coefficient

Oakmark International  Oakmark Fund

Excellent diversification

The 3 months correlation between Oakmark and Oakmark is -0.7. Overlapping area represents the amount of risk that can be diversified away by holding Oakmark International Small and Oakmark Fund R6 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Oakmark Fund R6 and Oakmark 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 Oakmark International Small are associated (or correlated) with Oakmark Fund. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Oakmark Fund R6 has no effect on the direction of Oakmark International i.e., Oakmark International and Oakmark Fund go up and down completely randomly.

Pair Corralation between Oakmark International and Oakmark Fund

Assuming the 90 days horizon Oakmark International Small is expected to under-perform the Oakmark Fund. In addition to that, Oakmark International is 1.02 times more volatile than Oakmark Fund R6. It trades about -0.07 of its total potential returns per unit of risk. Oakmark Fund R6 is currently generating about 0.17 per unit of volatility. If you would invest  14,921  in Oakmark Fund R6 on September 2, 2024 and sell it today you would earn a total of  1,389  from holding Oakmark Fund R6 or generate 9.31% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Weak
Accuracy	100.0%
Values	Daily Returns

Oakmark International Small  vs.  Oakmark Fund R6

Oakmark International

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Oakmark International Small has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong technical and fundamental indicators, Oakmark International is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Oakmark Fund R6

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Oakmark Fund R6 are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak primary indicators, Oakmark Fund may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Oakmark International and Oakmark Fund

The main advantage of trading using opposite Oakmark International and Oakmark Fund positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Oakmark International position performs unexpectedly, Oakmark Fund 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 Fund will offset losses from the drop in Oakmark Fund's long position.

The idea behind Oakmark International Small and Oakmark Fund R6 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.

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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 Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.