Mondrian Global Correlations

MPGVX Fund

USD 14.51 0.04 0.28%

The current 90-days correlation between Mondrian Global Equity and Elfun Diversified Fund is 0.54 (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 Equity and DJI is 0.4 (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 Equity 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 Equity. 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 real.

Moving together with Mondrian Mutual Fund

0.75	MPEMX	Mondrian Emerging Markets	Pair Corr
0.97	MPIEX	Mondrian International	Pair Corr
0.82	MGIFX	Mondrian Global Listed	Pair Corr
0.9	TEDRX	Franklin Mutual Global	Pair Corr
0.91	FMDRX	Franklin Mutual Global	Pair Corr
0.83	DOXWX	Dodge Cox Global	Pair Corr
0.83	DODWX	Dodge Global Stock	Pair Corr
0.83	TRZRX	T Rowe Price	Pair Corr
0.91	TEDIX	Franklin Mutual Global	Pair Corr
0.91	MDISX	Franklin Mutual Global	Pair Corr
0.9	TEDSX	Franklin Mutual Global	Pair Corr
0.83	PRAFX	T Rowe Price	Pair Corr
0.96	BEGRX	Franklin Mutual Beacon	Pair Corr
0.85	HLDYX	Hartford Emerging	Pair Corr
0.7	FDWGX	American Funds Developing	Pair Corr
0.65	MSHDX	High Yield Portfolio	Pair Corr
0.85	DILYX	Davis International	Pair Corr
0.7	HWDAX	Hartford World	Pair Corr
0.64	GSHRX	Goldman Sachs High	Pair Corr
0.64	TTABX	T Rowe Price	Pair Corr
0.85	MRSJX	Mfs Research Interna	Pair Corr

Moving against Mondrian Mutual Fund

0.78	RRPSX	Rising Rates Opportunity	Pair Corr
0.53	UIPIX	Ultrashort Mid Cap	Pair Corr

Related Correlations Analysis

	ELDFX	MBLAX	BDVFX	PLKTX	ACDOX
ELDFX		0.7	0.83	0.79	0.64	ELDFX
MBLAX	0.7		0.81	0.87	0.81	MBLAX
BDVFX	0.83	0.81		0.73	0.86	BDVFX
PLKTX	0.79	0.87	0.73		0.71	PLKTX
ACDOX	0.64	0.81	0.86	0.71		ACDOX
	ELDFX	MBLAX	BDVFX	PLKTX	ACDOX

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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
ELDFX	0.44	(0.01)	0.00	(0.06)	0.00	0.00	0.68	(1.05)	5.08
MBLAX	0.24	0.01	0.07	0.00	0.30	(0.28)	0.47	(0.39)	1.72
BDVFX	0.26	0.01	0.06	0.01	0.33	(0.30)	0.54	(0.54)	1.91
PLKTX	0.56	0.00	0.02	(0.02)	0.89	(0.50)	1.06	(1.34)	3.50
ACDOX	0.25	0.03	0.16	0.34	0.17	(0.34)	0.55	(0.44)	1.66

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