Equity Income Correlations

GEQIX Fund

USD 14.66 0.12 0.83%

The current 90-days correlation between Equity Income Portfolio and International Portfolio International is 0.68 (i.e., Poor 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 Portfolio and DJI is 0.86 (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 Portfolio and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Equity Income 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 gross domestic product.

Moving together with Equity Mutual Fund

0.98	NOVIX	Glenmede International	Pair Corr
0.98	RESGX	Responsible Esg Equity	Pair Corr
0.99	GLSOX	Secured Options Portfolio	Pair Corr
0.99	GQLVX	Quantitative U S	Pair Corr
0.93	GQSCX	Quantitative U S	Pair Corr
0.99	GTAPX	Long/short Portfolio	Pair Corr
0.72	GTCEX	Strategic Equity Por	Pair Corr
0.94	GTCIX	International Portfolio	Pair Corr
0.97	GTCSX	Small Cap Equity	Pair Corr
0.64	GTILX	Large Cap Growth	Pair Corr
0.99	GTLIX	Large Cap Core	Pair Corr
0.97	GTLLX	Large Cap Growth	Pair Corr
0.99	GTLOX	Large Cap E	Pair Corr
0.99	GTLSX	Quantitative Longshort	Pair Corr
0.99	GTSOX	Secured Options Portfolio	Pair Corr
0.97	GTSCX	Small Cap Equity	Pair Corr
0.99	GTTMX	Total Market Portfolio	Pair Corr
0.86	VVIAX	Vanguard Value Index	Pair Corr
0.93	AWSHX	Washington Mutual	Pair Corr
0.93	WSHCX	Washington Mutual	Pair Corr
0.81	WSHFX	Washington Mutual	Pair Corr
0.93	FWWMX	American Funds Washington	Pair Corr
0.93	FWMMX	American Funds Washington	Pair Corr
0.91	DODGX	Dodge Stock Fund	Pair Corr
0.97	AMFFX	American Mutual	Pair Corr
0.97	AMFCX	American Mutual	Pair Corr
0.69	PDI	Pimco Dynamic Income	Pair Corr
0.72	PLBCX	Pacific Funds Floating	Pair Corr
0.88	BHYSX	Blackrock Hi Yld	Pair Corr

Moving against Equity Mutual Fund

0.98	GWILX	Woman In Leadership	Pair Corr
0.98	TCTGX	Transamerica Cleartrack	Pair Corr
0.98	TDKTX	Cleartrack 2015 Class	Pair Corr
0.98	TCTJX	Transamerica Cleartrack	Pair Corr
0.93	TCSUX	Cleartrack 2020 Class	Pair Corr
0.85	UIPIX	Ultrashort Mid Cap	Pair Corr
0.68	CESGX	Coho Relative Value	Pair Corr
0.63	AMRMX	American Mutual	Pair Corr

Related Correlations Analysis

	NOVIX	GWILX	RESGX	GLSOX	GQLVX	GQSCX	GTAPX	GTCEX	GTCIX
NOVIX		-0.93	0.99	0.98	0.99	0.96	0.95	0.74	0.98	NOVIX
GWILX	-0.93		-0.91	-0.98	-0.93	-0.85	-0.99	-0.66	-0.86	GWILX
RESGX	0.99	-0.91		0.96	0.99	0.97	0.93	0.71	0.98	RESGX
GLSOX	0.98	-0.98	0.96		0.98	0.93	0.99	0.74	0.92	GLSOX
GQLVX	0.99	-0.93	0.99	0.98		0.98	0.95	0.75	0.97	GQLVX
GQSCX	0.96	-0.85	0.97	0.93	0.98		0.89	0.79	0.95	GQSCX
GTAPX	0.95	-0.99	0.93	0.99	0.95	0.89		0.71	0.89	GTAPX
GTCEX	0.74	-0.66	0.71	0.74	0.75	0.79	0.71		0.66	GTCEX
GTCIX	0.98	-0.86	0.98	0.92	0.97	0.95	0.89	0.66		GTCIX
	NOVIX	GWILX	RESGX	GLSOX	GQLVX	GQSCX	GTAPX	GTCEX	GTCIX

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

RESGX	+ 0.99	NOVIX
GQLVX	+ 0.99	NOVIX
GQLVX	+ 0.99	RESGX
GTAPX	+ 0.99	GLSOX
GLSOX	+ 0.98	NOVIX
GTCIX	+ 0.98	NOVIX

High negative correlations

GTAPX	- 0.99	GWILX
GLSOX	- 0.98	GWILX
GQLVX	- 0.93	GWILX
GWILX	- 0.93	NOVIX
RESGX	- 0.91	GWILX
GTCIX	- 0.86	GWILX

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
NOVIX	0.40	0.14	0.21	0.43	0.00	(0.58)	1.00	(0.59)	5.93
GWILX	1.63	(0.79)	0.00	(0.67)	0.00	0.00	1.61	(1.71)	50.83
RESGX	0.82	0.20	0.19	0.29	0.65	(0.96)	1.97	(1.32)	9.90
GLSOX	0.31	0.13	0.28	0.73	0.00	(0.45)	0.55	(0.28)	8.31
GQLVX	0.74	0.19	0.24	0.30	0.41	(0.89)	1.97	(1.01)	8.49
GQSCX	0.84	0.14	0.16	0.19	0.67	(1.02)	2.48	(1.51)	5.67
GTAPX	0.69	0.27	0.51	1.63	0.00	(0.95)	0.92	(0.76)	19.37
GTCEX	0.62	(0.05)	(0.07)	0.00	0.82	(0.65)	1.11	(1.38)	3.94
GTCIX	0.56	0.23	0.28	0.67	0.00	(0.67)	1.38	(0.86)	5.15

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