Mercer Core Correlations

MCFQX Fund

USD 9.05 0.01 0.11%

The current 90-days correlation between Mercer Core Fixed and Mercer Emerging Markets is -0.09 (i.e., Good 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 0.71 (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 producer price index.

Moving together with Mercer Mutual Fund

0.78	MOFTX	Mercer Opportunistic	Pair Corr
0.77	MOFIX	Mercer Opportunistic	Pair Corr
0.77	MSDYX	Mercer Funds	Pair Corr
0.66	MSCGX	Mercer Smallmid Cap	Pair Corr
0.99	MCFIX	Mercer Core Fixed	Pair Corr
0.75	MEMSX	Mercer Emerging Markets	Pair Corr
0.75	MEMQX	Mercer Emerging Markets	Pair Corr
0.96	DODIX	Dodge Income	Pair Corr
0.96	DOXIX	Dodge Cox Income	Pair Corr
0.95	FIWGX	Strategic Advisers	Pair Corr
0.91	MWTNX	Metropolitan West Total	Pair Corr
0.92	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
0.66	MGGYX	Mirova Global Green	Pair Corr
0.77	HLDIX	Hartford Emerging	Pair Corr
0.77	HLDRX	Hartford Emerging	Pair Corr
0.77	HLDAX	Hartford Emerging	Pair Corr
0.76	HLDCX	Hartford Emerging	Pair Corr
0.77	HLDTX	Hartford Emerging	Pair Corr
0.79	GCIEX	Gabelli Equity	Pair Corr
0.72	PAAKX	Putnam Retirement	Pair Corr
0.75	FSWAX	Fidelity Advisor Sus	Pair Corr
0.66	MRSPX	Blackrock Value Opps	Pair Corr
0.87	TGPNX	Tcw Servative Allocation	Pair Corr
0.76	LSPAX	Locorr Spectrum Income	Pair Corr
0.79	NMUIX	Neuberger Berman Mun	Pair Corr

Moving against Mercer Mutual Fund

0.41

MGGAX

Mirova Global Green

Pair Corr

Related Correlations Analysis

	MNCSX	MNCEX	MOFTX	MOFIX	MSDYX	MSCQX	MCFIX	MEMSX	MEMQX
MNCSX		0.9	0.13	0.12	-0.06	0.77	0.34	0.33	0.33	MNCSX
MNCEX	0.9		0.07	0.06	-0.08	0.86	0.25	0.29	0.29	MNCEX
MOFTX	0.13	0.07		1.0	0.91	0.33	0.78	0.91	0.91	MOFTX
MOFIX	0.12	0.06	1.0		0.9	0.32	0.77	0.9	0.9	MOFIX
MSDYX	-0.06	-0.08	0.91	0.9		0.15	0.74	0.84	0.84	MSDYX
MSCQX	0.77	0.86	0.33	0.32	0.15		0.42	0.43	0.43	MSCQX
MCFIX	0.34	0.25	0.78	0.77	0.74	0.42		0.74	0.74	MCFIX
MEMSX	0.33	0.29	0.91	0.9	0.84	0.43	0.74		1.0	MEMSX
MEMQX	0.33	0.29	0.91	0.9	0.84	0.43	0.74	1.0		MEMQX
	MNCSX	MNCEX	MOFTX	MOFIX	MSDYX	MSCQX	MCFIX	MEMSX	MEMQX

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

MOFIX	+ 1.0	MOFTX
MEMQX	+ 1.0	MEMSX
MSDYX	+ 0.91	MOFTX
MEMSX	+ 0.91	MOFTX
MEMQX	+ 0.91	MOFTX
MNCEX	+ 0.9	MNCSX

High negative correlations

MSDYX	- 0.08	MNCEX
MSDYX	- 0.06	MNCSX

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	(0.02)	(0.03)	0.00	1.74	(0.70)	1.22	(1.24)	10.38
MNCEX	0.73	0.00	(0.03)	0.02	1.71	(0.74)	1.19	(1.23)	10.31
MOFTX	0.11	0.01	(0.27)	0.23	0.00	(0.18)	0.24	(0.12)	0.83
MOFIX	0.10	0.01	(0.23)	0.14	0.00	(0.17)	0.24	(0.12)	0.95
MSDYX	0.07	0.02	(0.35)	6.90	0.00	(0.17)	0.30	(0.10)	0.50
MSCQX	0.78	0.02	(0.02)	0.13	1.23	(0.84)	1.89	(1.65)	8.21
MCFIX	0.14	0.01	(0.19)	0.78	0.00	(0.18)	0.34	(0.22)	0.67
MEMSX	0.58	0.16	0.17	0.39	0.48	(0.66)	1.61	(1.17)	3.66
MEMQX	0.58	0.16	0.16	0.39	0.49	(0.64)	1.52	(1.17)	3.56

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