Equity Income Correlations

JHEIX Fund

USD 19.58 0.11 0.56%

The current 90-days correlation between Equity Income and Touchstone Large Cap is 0.35 (i.e., Weak 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

Weak diversification

The correlation between Equity Income Fund and DJI is 0.35 (i.e., Weak 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 Risk vs Return Analysis 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

0.95	FRBAX	Regional Bank	Pair Corr
0.97	FRBCX	Regional Bank	Pair Corr
0.63	JQLBX	Multimanager Lifestyle	Pair Corr
0.78	JQLAX	Multimanager Lifestyle	Pair Corr
0.72	JQLGX	Multimanager Lifestyle	Pair Corr
0.97	JRBFX	Regional Bank	Pair Corr
0.73	JRETX	J Hancock Ii	Pair Corr
0.97	JRGRX	Regional Bank	Pair Corr
0.61	JRLOX	Retirement Living Through	Pair Corr
0.61	JRLPX	Multi Index 2020	Pair Corr
0.73	JROUX	J Hancock Ii	Pair Corr
0.78	JAAFX	Jhancock Multi Index	Pair Corr
0.78	JAAJX	Jhancock Multi Index	Pair Corr
0.78	JAAKX	Jhancock Multi Index	Pair Corr
0.62	JRTBX	Retirement Living Through	Pair Corr
0.63	JRTDX	Multi Index 2025	Pair Corr
0.61	JRTGX	Retirement Living Through	Pair Corr
0.62	JRTFX	Retirement Living Through	Pair Corr
0.63	JRTIX	Multi Index 2030	Pair Corr
0.76	JAAVX	Jhancock Multimanager	Pair Corr
0.61	JRTKX	Retirement Living Through	Pair Corr

Related Correlations Analysis

	TACLX	OLGCX	ALCEX	LTFOX	PAVLX	PAFDX	CMIFX	GMLVX
TACLX		0.29	0.83	0.87	0.94	0.94	0.05	0.5	TACLX
OLGCX	0.29		0.59	0.36	0.3	0.3	-0.05	0.5	OLGCX
ALCEX	0.83	0.59		0.83	0.83	0.84	0.0	0.39	ALCEX
LTFOX	0.87	0.36	0.83		0.81	0.8	0.16	0.53	LTFOX
PAVLX	0.94	0.3	0.83	0.81		1.0	-0.16	0.31	PAVLX
PAFDX	0.94	0.3	0.84	0.8	1.0		-0.17	0.31	PAFDX
CMIFX	0.05	-0.05	0.0	0.16	-0.16	-0.17		0.53	CMIFX
GMLVX	0.5	0.5	0.39	0.53	0.31	0.31	0.53		GMLVX
	TACLX	OLGCX	ALCEX	LTFOX	PAVLX	PAFDX	CMIFX	GMLVX

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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

PAFDX	+ 1.0	PAVLX
PAVLX	+ 0.94	TACLX
PAFDX	+ 0.94	TACLX
LTFOX	+ 0.87	TACLX
PAFDX	+ 0.84	ALCEX
ALCEX	+ 0.83	TACLX

High negative correlations

CMIFX	- 0.17	PAFDX
CMIFX	- 0.16	PAVLX
CMIFX	- 0.05	OLGCX
CMIFX	- 0.0	ALCEX

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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
TACLX	0.56	(0.01)	0.00	(0.08)	0.00	1.10	(1.14)	3.38
OLGCX	0.87	(0.02)	0.00	(0.10)	0.00	1.64	(2.06)	5.32
ALCEX	0.56	(0.03)	0.00	(0.11)	0.00	1.00	(1.14)	4.03
LTFOX	0.60	(0.08)	0.00	0.38	0.00	1.22	(1.37)	4.69
PAVLX	0.62	(0.09)	0.00	(0.23)	0.00	1.05	(0.89)	7.66
PAFDX	0.61	(0.08)	0.00	(0.19)	0.00	1.06	(1.10)	7.21
CMIFX	0.07	0.01	0.47	(0.65)	(0.12)	0.10	(0.10)	0.42
GMLVX	0.59	0.00	0.00	(0.06)	0.00	1.05	(1.54)	3.61

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