Mercer Core Correlations

MCFIX Fund

USD 9.04 0.01 0.11%

The current 90-days correlation between Mercer Core Fixed and Mercer Emerging Markets is 0.02 (i.e., Significant diversification). The correlation of Mercer Core 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.

Mercer Core Correlation With Market

Poor diversification

The correlation between Mercer Core Fixed and DJI is 0.68 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Mercer Core Fixed 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 Mercer Core Fixed. 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 Mercer Mutual Fund

0.72	MOFTX	Mercer Opportunistic	Pair Corr
0.72	MOFIX	Mercer Opportunistic	Pair Corr
0.72	MSDYX	Mercer Funds	Pair Corr
0.65	MSCGX	Mercer Smallmid Cap	Pair Corr
0.91	MCFQX	Mercer Core Fixed	Pair Corr
0.74	MEMSX	Mercer Emerging Markets	Pair Corr
0.74	MEMQX	Mercer Emerging Markets	Pair Corr
0.95	DODIX	Dodge Income	Pair Corr
0.95	DOXIX	Dodge Cox Income	Pair Corr
0.95	FIWGX	Strategic Advisers	Pair Corr
0.93	MWTNX	Metropolitan West Total	Pair Corr
0.94	MWTSX	Metropolitan West Total	Pair Corr
0.97	PTTPX	Pimco Total Return	Pair Corr
0.97	PTRRX	Total Return	Pair Corr
0.97	PTRAX	Total Return	Pair Corr
0.97	PTTRX	Total Return	Pair Corr
0.96	PDBSX	Prudential Total Return	Pair Corr
0.68	EKWDX	Wells Fargo Advantage	Pair Corr
0.77	OEPIX	Oil Equipment Services Steady Growth	Pair Corr
0.77	OEPSX	Oil Equipment Services Steady Growth	Pair Corr
0.76	PHICX	Prudential Muni High	Pair Corr
0.77	ADVNX	Advisory Research	Pair Corr
0.72	JAKQX	Jpmorgan Smartretirement	Pair Corr
0.85	VCFRX	Voya Securitized Credit	Pair Corr
0.8	BTEIX	Brown Advisory Tax	Pair Corr
0.71	CDGCX	Crafword Dividend Growth	Pair Corr
0.74	CWMEX	Washington Mutual	Pair Corr
0.73	PAZLX	T Rowe Price	Pair Corr
0.62	VHCAX	Vanguard Capital Opp	Pair Corr
0.75	FFIJX	Fidelity Freedom Index	Pair Corr
0.83	RBEHX	American Funds 2020	Pair Corr
0.75	LICFX	Lord Abbett International	Pair Corr
0.64	THPBX	Dreyfus Balanced Opp	Pair Corr
0.75	NEMAX	Neuberger Berman Emerging	Pair Corr

Moving against Mercer Mutual Fund

0.56

CISGX

Touchstone Sands Capital

Pair Corr

Related Correlations Analysis

	MNCSX	MNCEX	MOFTX	MOFIX	MSDYX	MSCGX	MSCQX	MCFQX	MEMSX
MNCSX		1.0	0.13	0.12	-0.06	-0.13	0.77	0.3	0.33	MNCSX
MNCEX	1.0		0.14	0.14	-0.04	-0.12	0.78	0.31	0.35	MNCEX
MOFTX	0.13	0.14		1.0	0.91	0.9	0.33	0.78	0.91	MOFTX
MOFIX	0.12	0.14	1.0		0.9	0.9	0.32	0.77	0.9	MOFIX
MSDYX	-0.06	-0.04	0.91	0.9		0.93	0.15	0.77	0.84	MSDYX
MSCGX	-0.13	-0.12	0.9	0.9	0.93		0.16	0.69	0.81	MSCGX
MSCQX	0.77	0.78	0.33	0.32	0.15	0.16		0.41	0.43	MSCQX
MCFQX	0.3	0.31	0.78	0.77	0.77	0.69	0.41		0.75	MCFQX
MEMSX	0.33	0.35	0.91	0.9	0.84	0.81	0.43	0.75		MEMSX
	MNCSX	MNCEX	MOFTX	MOFIX	MSDYX	MSCGX	MSCQX	MCFQX	MEMSX

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

MNCEX	+ 1.0	MNCSX
MOFIX	+ 1.0	MOFTX
MSCGX	+ 0.93	MSDYX
MSDYX	+ 0.91	MOFTX
MEMSX	+ 0.91	MOFTX
MSCGX	+ 0.9	MOFTX

High negative correlations

MSCGX	- 0.13	MNCSX
MSCGX	- 0.12	MNCEX
MSDYX	- 0.06	MNCSX
MSDYX	- 0.04	MNCEX

Risk-Adjusted Indicators

There is a big difference between Mercer Mutual Fund performing well and Mercer Core 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 Mercer Core'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
MNCSX	0.71	(0.01)	(0.04)	0.01	1.74	(0.70)	1.22	(1.24)	10.38
MNCEX	0.72	0.00	(0.04)	0.05	1.71	(0.74)	1.19	(1.23)	10.31
MOFTX	0.11	0.01	(0.40)	1.22	0.00	(0.18)	0.24	(0.12)	0.83
MOFIX	0.10	0.01	(0.33)	(0.86)	0.00	(0.17)	0.24	(0.12)	0.95
MSDYX	0.07	0.02	(0.51)	0.75	0.00	(0.17)	0.30	(0.10)	0.50
MSCGX	0.83	0.18	0.26	0.21	0.40	(1.09)	1.98	(1.27)	9.73
MSCQX	0.78	0.02	(0.03)	0.24	1.23	(0.84)	1.89	(1.65)	8.21
MCFQX	0.14	0.01	(0.31)	0.16	0.00	(0.18)	0.33	(0.22)	0.67
MEMSX	0.58	0.19	0.15	(10.74)	0.48	(0.66)	1.61	(1.17)	3.66

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