Mondrian International Correlations

MPIEX Fund

USD 15.71 0.10 0.64%

The current 90-days correlation between Mondrian International and William Blair International is 0.72 (i.e., Poor diversification). The correlation of Mondrian 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.

Mondrian International Correlation With Market

Modest diversification

The correlation between Mondrian International Value and DJI is 0.26 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Mondrian International Value 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 Mondrian International Value. 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 income.

Moving together with Mondrian Mutual Fund

0.86	MPGVX	Mondrian Global Equity	Pair Corr
0.96	MGIFX	Mondrian Global Listed	Pair Corr
0.62	DOXFX	Dodge Cox International	Pair Corr
0.9	OANIX	Oakmark International	Pair Corr
0.71	DODFX	Dodge International Stock	Pair Corr
0.9	OAKIX	Oakmark International	Pair Corr
0.9	OAYIX	Oakmark International	Pair Corr
0.84	OAZIX	Oakmark International	Pair Corr
0.92	FINVX	Fidelity Series Inte	Pair Corr
0.79	VTRIX	Vanguard International	Pair Corr
0.97	RRIGX	T Rowe Price	Pair Corr
0.67	UIPIX	Ultrashort Mid Cap	Pair Corr

Moving against Mondrian Mutual Fund

0.85	FTCAX	Templeton Strained Bond	Pair Corr
0.85	PRISX	T Rowe Price	Pair Corr
0.84	MGRPX	Growth Portfolio Class	Pair Corr
0.83	FSLBX	Brokerage And Investment	Pair Corr
0.72	SADIX	Wells Fargo Ultra	Pair Corr
0.7	BCAAX	Brandywineglobal C	Pair Corr
0.7	SJCRX	Steward Large Cap	Pair Corr
0.67	AOUAX	Angel Oak Ultrashort	Pair Corr
0.65	PYAIX	Payden Absolute Return	Pair Corr
0.65	DFMAX	Davidson Multi Cap	Pair Corr
0.65	SSCCX	Small Capitalization	Pair Corr
0.64	PYARX	Payden Absolute Return	Pair Corr
0.61	VEIPX	Vanguard Equity Income	Pair Corr
0.52	APDOX	Artisan Emerging Markets	Pair Corr
0.43	PGTAX	Putnam Global Technology	Pair Corr
0.73	AXVIX	Acclivity Small Cap	Pair Corr
0.72	FZROX	Fidelity Zero Total	Pair Corr
0.69	GMXIX	Nationwide Mid Cap	Pair Corr
0.69	VVMCX	Valic Company I	Pair Corr

Related Correlations Analysis

	WILIX	JOEMX	BDSIX	COIIX	OAZIX
WILIX		0.38	-0.49	0.92	0.85	WILIX
JOEMX	0.38		0.08	0.15	0.61	JOEMX
BDSIX	-0.49	0.08		-0.47	-0.55	BDSIX
COIIX	0.92	0.15	-0.47		0.71	COIIX
OAZIX	0.85	0.61	-0.55	0.71		OAZIX
	WILIX	JOEMX	BDSIX	COIIX	OAZIX

Click cells to compare fundamentals

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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

COIIX	+ 0.92	WILIX
OAZIX	+ 0.85	WILIX
OAZIX	+ 0.71	COIIX
OAZIX	+ 0.61	JOEMX
JOEMX	+ 0.38	WILIX
COIIX	+ 0.15	JOEMX

High negative correlations

OAZIX	- 0.55	BDSIX
BDSIX	- 0.49	WILIX
COIIX	- 0.47	BDSIX

Risk-Adjusted Indicators

There is a big difference between Mondrian Mutual Fund performing well and Mondrian 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 Mondrian 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
WILIX	0.59	(0.13)	0.00	(0.17)	0.00	0.00	0.89	(0.99)	3.66
JOEMX	0.76	(0.01)	(0.09)	0.06	0.91	(0.92)	1.76	(1.47)	5.80
BDSIX	0.92	(0.03)	0.02	0.08	0.91	(1.04)	1.97	(1.70)	7.72
COIIX	0.65	(0.11)	0.00	(0.11)	0.00	0.00	1.27	(1.29)	4.32
OAZIX	0.81	(0.05)	0.00	0.35	0.00	0.00	1.61	(1.62)	6.00

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