Mondrian Global Correlations

MGIFX Fund

USD 10.43 0.06 0.58%

The current 90-days correlation between Mondrian Global Listed and Oklahoma College Savings is 0.59 (i.e., Very weak diversification). The correlation of Mondrian Global 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 Global Correlation With Market

Very weak diversification

The correlation between Mondrian Global Listed and DJI is 0.42 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Mondrian Global Listed 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 Global Listed. 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 Mondrian Mutual Fund

0.82	MPGVX	Mondrian Global Equity	Pair Corr
0.8	MPIEX	Mondrian International	Pair Corr
0.64	GLIFX	Lazard Global Listed	Pair Corr
0.65	GLFOX	Lazard Global Listed	Pair Corr
0.9	VCRCX	Mainstay Cbre Global	Pair Corr
0.92	TOLSX	Deutsche Global Infr	Pair Corr
0.92	TOLZX	Deutsche Global Infr	Pair Corr
0.9	VCRAX	Voya Cbre Global	Pair Corr
0.89	VCRIX	Voya Cbre Global	Pair Corr
0.92	TOLLX	Deutsche Global Infr	Pair Corr
0.92	TOLIX	Deutsche Global Infr	Pair Corr
0.61	KNPCX	Kinetics Paradigm Steady Growth	Pair Corr
0.63	LSHCX	Horizon Spin Off Steady Growth	Pair Corr
0.62	LSHUX	Horizon Spin Off Steady Growth	Pair Corr
0.62	LSHAX	Horizon Spin Off Steady Growth	Pair Corr

Moving against Mondrian Mutual Fund

0.68	RPIEX	T Rowe Price	Pair Corr
0.5	TFLAX	Transamerica Floating	Pair Corr
0.44	FRFZX	Prudential Floating Rate	Pair Corr
0.41	TRSTX	T Rowe Price	Pair Corr
0.34	QDARX	Aqr Diversified Arbitrage	Pair Corr
0.53	TSDUX	Ultra Short Term	Pair Corr
0.46	AQMNX	Aqr Managed Futures	Pair Corr
0.39	JMGIX	Jpmorgan Managed Income	Pair Corr
0.39	TFCYX	Tax Free Conservative	Pair Corr

Related Correlations Analysis

	FZODX	DLENX	ABNTX	ARTFX	MFIRX	JAFLX
FZODX		0.7	0.81	0.49	0.63	1.0	FZODX
DLENX	0.7		0.95	0.89	0.95	0.71	DLENX
ABNTX	0.81	0.95		0.84	0.92	0.82	ABNTX
ARTFX	0.49	0.89	0.84		0.91	0.5	ARTFX
MFIRX	0.63	0.95	0.92	0.91		0.64	MFIRX
JAFLX	1.0	0.71	0.82	0.5	0.64		JAFLX
	FZODX	DLENX	ABNTX	ARTFX	MFIRX	JAFLX

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Risk-Adjusted Indicators

There is a big difference between Mondrian Mutual Fund performing well and Mondrian Global 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 Global'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
FZODX	0.23	0.03	0.18	0.34	0.11	(0.33)	0.62	(0.41)	1.54
DLENX	0.12	0.02	0.24	1.17	0.00	(0.16)	0.22	(0.11)	0.67
ABNTX	0.15	0.03	0.24	0.51	0.00	(0.19)	0.30	(0.30)	0.99
ARTFX	0.12	0.02	0.22	1.53	0.00	(0.21)	0.44	(0.22)	1.22
MFIRX	0.11	0.03	0.19	0.76	0.00	(0.21)	0.19	(0.19)	0.76
JAFLX	0.26	0.03	0.17	0.29	0.17	(0.35)	0.61	(0.41)	1.74

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