Mercer Emerging Correlations

MEMSX Fund

10.70 0.02 0.19%

The current 90-days correlation between Mercer Emerging Markets and Mercer Core Fixed is -0.05 (i.e., Good diversification). The correlation of Mercer Emerging 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 Emerging Correlation With Market

Very poor diversification

The correlation between Mercer Emerging Markets and DJI is 0.83 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Mercer Emerging Markets 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 Emerging Markets. 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 main economic indicators.

Moving together with Mercer Mutual Fund

0.9	MOFTX	Mercer Opportunistic	Pair Corr
0.89	MOFIX	Mercer Opportunistic	Pair Corr
0.81	MSDYX	Mercer Funds	Pair Corr
0.81	MSCGX	Mercer Smallmid Cap	Pair Corr
0.71	MCFIX	Mercer Core Fixed	Pair Corr
0.71	MCFQX	Mercer Core Fixed	Pair Corr
1.0	MEMQX	Mercer Emerging Markets	Pair Corr
0.99	VEMAX	Vanguard Emerging Markets	Pair Corr
0.99	VEIEX	Vanguard Emerging Markets	Pair Corr
0.99	VEMIX	Vanguard Emerging Markets	Pair Corr
0.99	VEMRX	Vanguard Emerging Markets	Pair Corr
0.95	NWFFX	New World Fund	Pair Corr
0.95	NEWFX	New World Fund	Pair Corr
0.95	NEWCX	New World Fund	Pair Corr
0.95	FWWNX	American Funds New	Pair Corr
0.95	FNFWX	American Funds New	Pair Corr
0.83	PFN	Pimco Income Strategy	Pair Corr
0.74	PNOCX	Putnam Multi Cap Potential Growth	Pair Corr
0.64	EBSFX	Eubel Brady Suttman	Pair Corr
0.89	RIMOX	City National Rochdale	Pair Corr
0.97	AMDWX	Amana Developing World	Pair Corr
0.83	OAKWX	Oakmark Global Select	Pair Corr
0.98	RTNSX	Tax-managed International	Pair Corr
0.77	PFPFX	Poplar Forest Partners	Pair Corr
0.92	CPGAX	American Funds Global	Pair Corr
0.87	COIYX	Conservative Income	Pair Corr
0.77	HIPAX	The Hartford Inflation	Pair Corr

Moving against Mercer Mutual Fund

0.55	NXJ	Nuveen New Jersey	Pair Corr
0.45	ODVYX	Oppenheimer Developing	Pair Corr

Related Correlations Analysis

	MNCSX	MNCEX	MOFTX	MOFIX	MSDYX	MSCGX	MSCQX	MCFIX	MCFQX	MEMSX
MNCSX		1.0	0.02	0.01	-0.2	-0.27	0.85	0.22	0.17	0.24	MNCSX
MNCEX	1.0		0.04	0.03	-0.19	-0.26	0.85	0.23	0.18	0.26	MNCEX
MOFTX	0.02	0.04		1.0	0.91	0.91	0.29	0.79	0.8	0.9	MOFTX
MOFIX	0.01	0.03	1.0		0.9	0.91	0.29	0.78	0.79	0.89	MOFIX
MSDYX	-0.2	-0.19	0.91	0.9		0.93	0.07	0.71	0.76	0.81	MSDYX
MSCGX	-0.27	-0.26	0.91	0.91	0.93		0.08	0.64	0.68	0.81	MSCGX
MSCQX	0.85	0.85	0.29	0.29	0.07	0.08		0.44	0.4	0.39	MSCQX
MCFIX	0.22	0.23	0.79	0.78	0.71	0.64	0.44		0.98	0.71	MCFIX
MCFQX	0.17	0.18	0.8	0.79	0.76	0.68	0.4	0.98		0.71	MCFQX
MEMSX	0.24	0.26	0.9	0.89	0.81	0.81	0.39	0.71	0.71		MEMSX
	MNCSX	MNCEX	MOFTX	MOFIX	MSDYX	MSCGX	MSCQX	MCFIX	MCFQX	MEMSX

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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

MNCEX	+ 1.0	MNCSX
MOFIX	+ 1.0	MOFTX
MCFQX	+ 0.98	MCFIX
MSCGX	+ 0.93	MSDYX
MSDYX	+ 0.91	MOFTX
MSCGX	+ 0.91	MOFTX

High negative correlations

MSCGX	- 0.27	MNCSX
MSCGX	- 0.26	MNCEX
MSDYX	- 0.2	MNCSX
MSDYX	- 0.19	MNCEX

Risk-Adjusted Indicators

There is a big difference between Mercer Mutual Fund performing well and Mercer Emerging 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 Emerging'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)	(0.03)	0.02	1.77	(0.69)	1.19	(1.24)	10.38
MNCEX	0.73	(0.01)	(0.03)	0.03	1.74	(0.73)	1.16	(1.23)	10.31
MOFTX	0.11	0.01	(0.30)	0.22	0.00	(0.18)	0.24	(0.12)	0.83
MOFIX	0.10	0.01	(0.27)	0.15	0.00	(0.17)	0.24	(0.12)	0.95
MSDYX	0.07	0.02	(0.41)	1.63	0.00	(0.17)	0.30	(0.10)	0.50
MSCGX	0.84	0.16	0.21	0.19	0.53	(1.07)	1.98	(1.31)	9.73
MSCQX	0.77	(0.02)	(0.03)	0.03	1.25	(0.81)	1.89	(1.65)	8.21
MCFIX	0.14	0.01	(0.21)	0.37	0.00	(0.19)	0.34	(0.22)	0.67
MCFQX	0.14	0.01	(0.24)	0.49	0.00	(0.19)	0.33	(0.22)	0.67
MEMSX	0.61	0.14	0.13	0.35	0.57	(0.69)	1.61	(1.17)	3.66

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