Equity Income Correlations

PEIIX Fund

USD 45.16 0.17 0.38%

The current 90-days correlation between Equity Income and Short Real Estate is -0.26 (i.e., Very good diversification). The correlation of Equity Income 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.

Equity Income Correlation With Market

Very poor diversification

The correlation between Equity Income Fund and DJI is 0.89 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Equity Income Fund and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Equity Income Fund. 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 gross domestic product.

Moving together with Equity Mutual Fund

0.94	SABPX	Strategic Asset Mana	Pair Corr
0.97	SACAX	Strategic Asset Mana	Pair Corr
0.92	PLHHX	Principal Lifetime Hybrid	Pair Corr
0.98	PMDDX	Small Midcap Dividend	Pair Corr
0.97	PCGJX	Strategic Asset Mana	Pair Corr
0.98	VVIAX	Vanguard Value Index	Pair Corr
0.97	DOXGX	Dodge Cox Stock	Pair Corr
0.92	AFMFX	American Mutual	Pair Corr
0.92	FFMMX	American Funds American	Pair Corr
0.92	FFFMX	American Funds American	Pair Corr
0.92	AMRMX	American Mutual	Pair Corr
0.92	AMFFX	American Mutual	Pair Corr
0.91	AMFCX	American Mutual	Pair Corr
0.97	DODGX	Dodge Stock Fund	Pair Corr
0.98	VIVAX	Vanguard Value Index	Pair Corr
0.98	VTSAX	Vanguard Total Stock	Pair Corr
0.97	VFIAX	Vanguard 500 Index	Pair Corr
0.98	VTSMX	Vanguard Total Stock	Pair Corr
0.98	VSMPX	Vanguard Total Stock	Pair Corr
0.98	VSTSX	Vanguard Total Stock	Pair Corr
0.98	VITSX	Vanguard Total Stock	Pair Corr
0.97	VFINX	Vanguard 500 Index	Pair Corr
0.97	VFFSX	Vanguard 500 Index	Pair Corr
0.73	HPQ	HP Inc	Pair Corr
0.91	BAC	Bank of America Fiscal Year End 10th of January 2025	Pair Corr
0.94	CSCO	Cisco Systems Sell-off Trend	Pair Corr
0.87	DIS	Walt Disney	Pair Corr
0.9	CVX	Chevron Corp Fiscal Year End 7th of February 2025	Pair Corr
0.8	CAT	Caterpillar Fiscal Year End 3rd of February 2025	Pair Corr
0.86	WMT	Walmart Aggressive Push	Pair Corr
0.82	T	ATT Inc Aggressive Push	Pair Corr

Moving against Equity Mutual Fund

0.74	PFE	Pfizer Inc Fiscal Year End 4th of February 2025	Pair Corr
0.74	JNJ	Johnson Johnson Sell-off Trend	Pair Corr
0.72	KO	Coca Cola Fiscal Year End 11th of February 2025	Pair Corr
0.44	BA	Boeing Fiscal Year End 29th of January 2025	Pair Corr

Related Correlations Analysis

	SRPIX	MXREX	JYEBX	CREYX	PRKAX	NREEX	JABFX	SEIRX
SRPIX		-0.83	-0.43	-0.73	-0.66	-0.97	-0.46	-0.62	SRPIX
MXREX	-0.83		0.84	0.96	0.61	0.87	0.86	0.94	MXREX
JYEBX	-0.43	0.84		0.91	0.41	0.55	1.0	0.97	JYEBX
CREYX	-0.73	0.96	0.91		0.66	0.82	0.92	0.96	CREYX
PRKAX	-0.66	0.61	0.41	0.66		0.78	0.43	0.52	PRKAX
NREEX	-0.97	0.87	0.55	0.82	0.78		0.57	0.71	NREEX
JABFX	-0.46	0.86	1.0	0.92	0.43	0.57		0.98	JABFX
SEIRX	-0.62	0.94	0.97	0.96	0.52	0.71	0.98		SEIRX
	SRPIX	MXREX	JYEBX	CREYX	PRKAX	NREEX	JABFX	SEIRX

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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

JABFX	+ 1.0	JYEBX
SEIRX	+ 0.98	JABFX
SEIRX	+ 0.97	JYEBX
CREYX	+ 0.96	MXREX
SEIRX	+ 0.96	CREYX
SEIRX	+ 0.94	MXREX

High negative correlations

NREEX	- 0.97	SRPIX
MXREX	- 0.83	SRPIX
CREYX	- 0.73	SRPIX
PRKAX	- 0.66	SRPIX
SEIRX	- 0.62	SRPIX
JABFX	- 0.46	SRPIX

Risk-Adjusted Indicators

There is a big difference between Equity Mutual Fund performing well and Equity Income 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 Equity Income'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
SRPIX	0.73	0.00	(0.15)	0.04	0.82	(0.84)	1.65	(1.27)	4.28
MXREX	0.68	(0.02)	(0.13)	0.07	0.81	(0.75)	1.34	(1.33)	3.72
JYEBX	0.67	0.02	(0.08)	0.19	0.85	(0.66)	1.22	(1.43)	3.51
CREYX	0.69	0.00	(0.11)	0.12	0.83	(0.75)	1.31	(1.32)	3.61
PRKAX	0.52	0.00	(0.15)	0.14	0.60	(0.61)	0.98	(1.24)	2.80
NREEX	0.72	0.00	(0.13)	0.14	0.91	(0.74)	1.29	(1.48)	3.90
JABFX	0.67	0.01	(0.09)	0.17	0.85	(0.66)	1.22	(1.47)	3.50
SEIRX	0.69	0.02	(0.09)	0.21	0.79	(0.75)	1.27	(1.35)	3.65

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