In the study of the involved geometry of singular distributions the use of fractal and multifractal analysis has shown results of outstanding significance. So far, the investigation has focused on structures produced by one single mechanism which were analyzed with respect to the ordinary metric or volume. Most prominent examples include self-similar measures and attractors of dynamical systems. In certain cases, the multifractal spectrum is known explicitly, providing a characterization in terms of the geometrical properties of the singularities of a distribution. Unfortunately, strikingly different measures may possess identical spectra. To overcome this drawback we propose two novel methods, the conditional and the relative multifractal spectrum, which allow for a direct comparison of two distributions. These notions measure the extent to which the singularities of two distributions 'correlate'. Being based on multifractal concepts, however, they go beyond calculating correlations. As a particularly useful tool we develop the multifractal formalism and establish some basic properties of the new notions. With the simple example of Binomial multifractals we demonstrate how in the novel approach a distribution mimics a metric different from the usual one. Finally, the provided applications to real data show how to interpret the spectra in terms of mutual influence of dense and sparse parts of the distributions.