Equity Income Correlations

GEQIX Fund

USD 14.22 0.07 0.49%

The current 90-days correlation between Equity Income Portfolio and Prudential Emerging Markets is 0.05 (i.e., Significant 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 0.83 (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

0.99	GTAPX	Long/short Portfolio	Pair Corr
0.86	GTCEX	Strategic Equity Por	Pair Corr
0.96	GTCIX	International Portfolio	Pair Corr
0.97	GTCSX	Small Cap Equity	Pair Corr
1.0	GTLIX	Large Cap Core	Pair Corr
0.99	GTLLX	Large Cap Growth	Pair Corr
0.99	GTLSX	Quantitative Longshort	Pair Corr
0.97	GTSCX	Small Cap Equity	Pair Corr
1.0	GTTMX	Total Market Portfolio	Pair Corr
0.89	VVIAX	Vanguard Value Index	Pair Corr
0.9	AWSHX	Washington Mutual	Pair Corr
0.9	WSHCX	Washington Mutual	Pair Corr
0.79	WSHFX	Washington Mutual	Pair Corr
0.92	FWWMX	American Funds Washington	Pair Corr
0.92	FWMMX	American Funds Washington	Pair Corr
0.87	DODGX	Dodge Stock Fund	Pair Corr
0.97	AMFFX	American Mutual	Pair Corr
0.97	AMFCX	American Mutual	Pair Corr
0.8	JDEAX	Jpmorgan Disciplined	Pair Corr
0.95	GSMYX	Goldman Sachs Smallmid	Pair Corr
0.92	HCAYX	Hartford Capital	Pair Corr
0.97	HFDFX	Hartford Schroders	Pair Corr
0.93	GRRTX	Goldman Sachs Absolute	Pair Corr
0.75	KF	Korea Closed	Pair Corr
0.93	GMVRX	Goldman Sachs Smallmid	Pair Corr
0.86	HMJCX	Hartford Municipal Short	Pair Corr

Moving against Equity Mutual Fund

0.98	GWILX	Woman In Leadership	Pair Corr
0.76	AMRMX	American Mutual	Pair Corr
0.71	TCSUX	Cleartrack 2020 Class	Pair Corr
0.68	TCTGX	Transamerica Cleartrack	Pair Corr
0.67	TCTJX	Transamerica Cleartrack	Pair Corr
0.67	UIPIX	Ultrashort Mid Cap	Pair Corr
0.66	TDKTX	Cleartrack 2015 Class	Pair Corr

Related Correlations Analysis

	TRMIX	EMSLX	MKDCX	SRWAX	REMVX	QNZIX	EMDQX
TRMIX		0.92	0.84	0.95	0.81	0.86	0.86	TRMIX
EMSLX	0.92		0.78	0.89	0.77	0.82	0.87	EMSLX
MKDCX	0.84	0.78		0.91	0.97	0.96	0.88	MKDCX
SRWAX	0.95	0.89	0.91		0.88	0.92	0.91	SRWAX
REMVX	0.81	0.77	0.97	0.88		0.95	0.88	REMVX
QNZIX	0.86	0.82	0.96	0.92	0.95		0.94	QNZIX
EMDQX	0.86	0.87	0.88	0.91	0.88	0.94		EMDQX
	TRMIX	EMSLX	MKDCX	SRWAX	REMVX	QNZIX	EMDQX

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
TRMIX	0.72	0.09	0.12	0.15	0.58	(0.87)	1.99	(1.40)	6.32
EMSLX	0.91	0.35	0.36	0.62	0.32	(1.06)	1.40	(1.63)	19.22
MKDCX	0.67	0.12	0.13	0.24	0.54	(0.75)	1.47	(1.13)	3.38
SRWAX	0.38	0.06	0.05	0.19	0.24	(0.44)	0.77	(0.76)	3.55
REMVX	0.57	0.19	0.22	1.11	0.21	(0.76)	1.24	(0.82)	2.94
QNZIX	0.61	0.11	0.12	0.25	0.55	(0.66)	1.31	(1.08)	3.28
EMDQX	0.20	0.04	(0.06)	0.41	0.00	(0.29)	0.41	(0.40)	1.20

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