Global Core Correlations

Mutual Funds . USA . 
Fund . Global E Portfolio
MLMSX Fund  USD 24.00  0.22  0.93%   
The current 90-days correlation between Global E Portfolio and Emerging Markets Equity is 0.7 (i.e., Poor diversification). The correlation of Global Core 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.

Global Core Correlation With Market

Good diversification

The correlation between Global E Portfolio and DJI is -0.15 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Global E Portfolio 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 Global E Portfolio. 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 main economic indicators.

Moving together with Global Mutual Fund

  0.76TEMUX Emerging Markets EquityPairCorr
  0.63DINDX Global Fixed IncomePairCorr
  0.61DINAX Global Fixed IncomePairCorr
  0.72MLMAX Global E PortfolioPairCorr
  0.75MLMCX Global E PortfolioPairCorr
  0.74MLNSX Global Centrated PorPairCorr
  0.72MLMIX Global E PortfolioPairCorr
  0.74MLNCX Global Centrated PorPairCorr
  0.97MLNAX Global Centrated PorPairCorr
  0.76MLNIX Global Centrated PorPairCorr
  0.78MMKBX Emerging Markets PorPairCorr
  0.75MMMPX Msif Emerging MarketsPairCorr
  0.74MPBAX Global StrategistPairCorr
  0.69MPFDX Corporate Bond PortfolioPairCorr
  0.75MRGEX Msif Emerging MarketsPairCorr
  0.95MRHYX Msift High YieldPairCorr
  0.65MAAOX Morgan Stanley InstiPairCorr
  0.94MAIJX Morgan Stanley InstiPairCorr
  0.63MAIHX Morgan Stanley InstiPairCorr
  0.89MSBOX Corporate Bond PortfolioPairCorr
  0.64MSACX Active InternationalPairCorr

Moving against Global Mutual Fund

  0.31MSALX International AdvantagePairCorr

Related Correlations Analysis


Risk-Adjusted Indicators

There is a big difference between Global Mutual Fund performing well and Global Core 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 Global Core'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
TEMUX  0.53  0.10 (0.02)(1.24) 0.44 
(0.62)
 1.47 
(1.13)
 3.75 
DINDX  0.15  0.04 (0.24) 0.54  0.00 
(0.25)
 0.38 
(0.19)
 0.95 
DINCX  0.13  0.05 (0.28) 1.46  0.00 
(0.23)
 0.20 
(0.19)
 0.77 
DINAX  0.13  0.05 (0.30) 2.99  0.00 
(0.23)
 0.38 
(0.19)
 0.78 
MLMAX  0.57  0.13  0.02 (0.88) 0.44 
(0.70)
 1.25 
(0.89)
 3.33 
MLMCX  0.56  0.03  0.01  0.14  0.45 
(0.70)
 1.27 
(0.89)
 3.33 
MLNSX  0.54  0.04  0.01  0.16  0.42 
(0.64)
 1.26 
(0.82)
 3.21 
MLMIX  0.56  0.14  0.02 (0.86) 0.43 
(0.69)
 1.28 
(0.88)
 3.33 
MLMSX  0.54  0.15  0.04 (0.84) 0.39 
(0.66)
 1.28 
(0.88)
 3.32 
MLNCX  0.54  0.03  0.01  0.15  0.44 
(0.64)
 1.22 
(0.79)
 3.23 

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