Mercer Funds Correlations

MSDYX Fund

10.12 0.01 0.1%

The current 90-days correlation between Mercer Funds and Mercer Emerging Markets is -0.24 (i.e., Very good diversification). The correlation of Mercer Funds 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 Funds Correlation With Market

Very poor diversification

The correlation between Mercer Funds and DJI is 0.88 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Mercer Funds 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 Funds . 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 unemployment.

Moving together with Mercer Mutual Fund

0.91	MOFTX	Mercer Opportunistic	Pair Corr
0.9	MOFIX	Mercer Opportunistic	Pair Corr
0.93	MSCGX	Mercer Smallmid Cap	Pair Corr
0.71	MCFIX	Mercer Core Fixed	Pair Corr
0.76	MCFQX	Mercer Core Fixed	Pair Corr
0.81	MEMSX	Mercer Emerging Markets	Pair Corr
0.81	MEMQX	Mercer Emerging Markets	Pair Corr
0.91	VBIRX	Vanguard Short Term	Pair Corr
0.93	VFSUX	Vanguard Short Term	Pair Corr
0.96	VFSIX	Vanguard Short Term	Pair Corr
0.96	VFSTX	Vanguard Short Term	Pair Corr
0.93	VBITX	Vanguard Short Term	Pair Corr
0.93	VBISX	Vanguard Short Term	Pair Corr
0.96	VSCSX	Vanguard Short Term	Pair Corr
0.95	LALDX	Lord Abbett Short	Pair Corr
0.95	LDLAX	Lord Abbett Short	Pair Corr
0.94	LDLRX	Lord Abbett Short	Pair Corr
0.82	NHS	Neuberger Berman High	Pair Corr
0.87	NBIAX	Columbia Capital All	Pair Corr
0.89	OSGCX	Jpmorgan Small Cap	Pair Corr
0.85	VQNPX	Vanguard Growth And	Pair Corr
0.88	FHASX	Fidelity Freedom Blend	Pair Corr
0.95	NARAX	Virtus Multi Sector	Pair Corr
0.81	MSDEX	Morgan Stanley Insti	Pair Corr
0.92	PFJAX	Putnam High Yield	Pair Corr
0.9	WMKTX	Wesmark Tactical Opp	Pair Corr
0.75	OIOIX	Orinda Income Opport	Pair Corr
0.81	RDWHX	American Funds Developing	Pair Corr
0.89	BMNSX	Baird E Intermediate	Pair Corr
0.69	DFUSX	Us Large Pany	Pair Corr
0.79	CMGSX	Blackrock Mid Cap	Pair Corr
0.96	CRFAX	Calvert Fund Potential Growth	Pair Corr
0.85	APDTX	Artisan Thematic	Pair Corr
0.87	SVXAX	Smead Funds Trust	Pair Corr
0.82	GEGAX	Aberdeen Emerging Markets	Pair Corr
0.86	FLTFX	Franklin Lifesmart 2055	Pair Corr

Related Correlations Analysis

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

High negative correlations

MSCGX	- 0.27	MNCSX
MSCGX	- 0.26	MNCEX

Risk-Adjusted Indicators

There is a big difference between Mercer Mutual Fund performing well and Mercer Funds 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 Funds' 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
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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