Mercer Us Correlations

MSCGX Fund

USD 11.89 0.01 0.08%

The current 90-days correlation between Mercer Smallmid Cap and Mercer Emerging Markets is 0.24 (i.e., Modest diversification). The correlation of Mercer Us 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 Us Correlation With Market

Almost no diversification

The correlation between Mercer Smallmid Cap and DJI is 0.9 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Mercer Smallmid Cap 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 Smallmid Cap. 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 census.

Moving together with Mercer Mutual Fund

0.91	MOFTX	Mercer Opportunistic	Pair Corr
0.91	MOFIX	Mercer Opportunistic	Pair Corr
0.93	MSDYX	Mercer Funds	Pair Corr
0.63	MCFIX	Mercer Core Fixed	Pair Corr
0.68	MCFQX	Mercer Core Fixed	Pair Corr
0.81	MEMSX	Mercer Emerging Markets	Pair Corr
0.81	MEMQX	Mercer Emerging Markets	Pair Corr
0.92	VSCIX	Vanguard Small Cap	Pair Corr
0.65	NAESX	Vanguard Small Cap	Pair Corr
0.92	FSSNX	Fidelity Small Cap	Pair Corr
0.61	DFSTX	Us Small Cap	Pair Corr
1.0	PASVX	T Rowe Price	Pair Corr
0.98	PRVIX	T Rowe Price	Pair Corr
0.76	NHS	Neuberger Berman High	Pair Corr
0.93	VGSTX	Vanguard Star	Pair Corr
0.96	ACSCX	Small Cap Value	Pair Corr
0.88	DPLTX	Dreyfus High Yield	Pair Corr
0.92	ARIDX	Amg River Road	Pair Corr
0.83	STRYX	Pioneer Strategic Income	Pair Corr
0.89	VSQSX	Invesco Global Respons	Pair Corr
0.62	JHYMX	John Hancock High	Pair Corr
0.69	GILCX	Guggenheim Large Cap	Pair Corr
0.66	GSGAX	Goldman Sachs Investment	Pair Corr
0.93	ALFQX	Lord Abbett Alpha	Pair Corr
0.67	ARIIX	Ab Global Real	Pair Corr
0.85	JTAIX	Multimanager Lifestyle	Pair Corr
0.98	AALGX	Thrivent Large Cap	Pair Corr
0.86	SRMAX	Deutsche Short Term	Pair Corr

Related Correlations Analysis

	MNCSX	MNCEX	MOFTX	MOFIX	MSDYX	MSCQX	MCFIX	MCFQX	MEMSX
MNCSX		1.0	0.02	0.01	-0.2	0.85	0.17	0.17	0.24	MNCSX
MNCEX	1.0		0.04	0.03	-0.19	0.85	0.18	0.18	0.26	MNCEX
MOFTX	0.02	0.04		1.0	0.91	0.29	0.71	0.8	0.9	MOFTX
MOFIX	0.01	0.03	1.0		0.9	0.29	0.71	0.79	0.89	MOFIX
MSDYX	-0.2	-0.19	0.91	0.9		0.07	0.69	0.76	0.81	MSDYX
MSCQX	0.85	0.85	0.29	0.29	0.07		0.37	0.4	0.39	MSCQX
MCFIX	0.17	0.18	0.71	0.71	0.69	0.37		0.87	0.69	MCFIX
MCFQX	0.17	0.18	0.8	0.79	0.76	0.4	0.87		0.71	MCFQX
MEMSX	0.24	0.26	0.9	0.89	0.81	0.39	0.69	0.71		MEMSX
	MNCSX	MNCEX	MOFTX	MOFIX	MSDYX	MSCQX	MCFIX	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
MSDYX	+ 0.91	MOFTX
MEMSX	+ 0.9	MOFTX
MSDYX	+ 0.9	MOFIX
MEMSX	+ 0.89	MOFIX

High negative correlations

MSDYX	- 0.2	MNCSX
MSDYX	- 0.19	MNCEX

Risk-Adjusted Indicators

There is a big difference between Mercer Mutual Fund performing well and Mercer Us 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 Us' 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	0.00	(0.02)	0.07	1.77	(0.69)	1.19	(1.24)	10.38
MNCEX	0.73	0.00	(0.02)	0.09	1.74	(0.73)	1.16	(1.23)	10.31
MOFTX	0.11	0.01	(0.19)	0.69	0.00	(0.18)	0.24	(0.12)	0.83
MOFIX	0.10	0.01	(0.17)	(1.33)	0.00	(0.17)	0.24	(0.12)	0.95
MSDYX	0.07	0.02	(0.25)	0.74	0.00	(0.17)	0.30	(0.10)	0.50
MSCQX	0.77	0.01	(0.02)	0.12	1.25	(0.81)	1.89	(1.65)	8.21
MCFIX	0.14	0.01	(0.16)	0.26	0.07	(0.19)	0.34	(0.22)	0.67
MCFQX	0.14	0.01	(0.16)	0.19	0.00	(0.19)	0.33	(0.22)	0.67
MEMSX	0.61	0.17	0.15	(21.35)	0.57	(0.69)	1.61	(1.17)	3.66

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