Equity Income Correlations

PEIPX Fund

USD 45.20 0.28 0.62%

The current 90-days correlation between Equity Income and Strategic Asset Management is 0.86 (i.e., Very 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

Almost no diversification

The correlation between Equity Income Fund and DJI is 0.91 (i.e., Almost no 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 american community survey.

Moving together with EQUITY Mutual Fund

0.97	SACAX	Strategic Asset Mana	Pair Corr
0.95	PFPPX	Midcap Growth	Pair Corr
0.94	PGRTX	Smallcap Growth	Pair Corr
0.97	PLFIX	Largecap Sp 500	Pair Corr
0.96	PMFJX	Midcap Sp 400	Pair Corr
0.97	PMPRX	Midcap Value	Pair Corr
0.67	CPHYX	High Yield Fund	Pair Corr
0.88	PSSSX	Smallcap Sp 600	Pair Corr
0.88	PSSIX	Smallcap Sp 600	Pair Corr
0.93	PBCJX	Blue Chip Fund	Pair Corr
0.69	LTPDX	Principal Lifetime 2025	Pair Corr
0.97	PCMVX	Principal Midcap Value	Pair Corr
0.94	PCRSX	Largecap Growth	Pair Corr
0.97	PVEJX	Midcap Value	Pair Corr
1.0	PEIJX	Equity Income	Pair Corr
0.98	VVIAX	Vanguard Value Index	Pair Corr
0.96	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
0.96	DODGX	Dodge Stock Fund	Pair Corr
0.98	VIVAX	Vanguard Value Index	Pair Corr
0.8	SMPIX	Semiconductor Ultrasector	Pair Corr
0.79	SMPSX	Semiconductor Ultrasector	Pair Corr
0.87	RSNRX	Victory Global Natural	Pair Corr
0.87	RSNYX	Victory Global Natural	Pair Corr
0.74	FIKGX	Fidelity Advisor Sem	Pair Corr

Moving against EQUITY Mutual Fund

0.69	PRBDX	Core Plus Bond	Pair Corr
0.68	PIOOX	Income Fund R	Pair Corr
0.55	PISPX	Inflation Protection	Pair Corr
0.32	PIIIX	Diversified International	Pair Corr
0.77	MRK	Merck Company Fiscal Year End 6th of February 2025	Pair Corr
0.33	PG	Procter Gamble	Pair Corr

Related Correlations Analysis

	SABPX	SACAX	SAGPX	PFIJX	PFILX	PFIEX	PFIFX	PFIGX	PFISX	PFIPX
SABPX		0.98	0.99	0.47	0.41	-0.24	0.46	0.35	-0.18	0.43	SABPX
SACAX	0.98		1.0	0.28	0.22	-0.37	0.28	0.15	-0.33	0.24	SACAX
SAGPX	0.99	1.0		0.34	0.28	-0.34	0.34	0.21	-0.3	0.3	SAGPX
PFIJX	0.47	0.28	0.34		1.0	0.51	1.0	0.99	0.65	1.0	PFIJX
PFILX	0.41	0.22	0.28	1.0		0.54	1.0	1.0	0.68	1.0	PFILX
PFIEX	-0.24	-0.37	-0.34	0.51	0.54		0.52	0.59	0.97	0.54	PFIEX
PFIFX	0.46	0.28	0.34	1.0	1.0	0.52		0.99	0.65	1.0	PFIFX
PFIGX	0.35	0.15	0.21	0.99	1.0	0.59	0.99		0.72	0.99	PFIGX
PFISX	-0.18	-0.33	-0.3	0.65	0.68	0.97	0.65	0.72		0.67	PFISX
PFIPX	0.43	0.24	0.3	1.0	1.0	0.54	1.0	0.99	0.67		PFIPX
	SABPX	SACAX	SAGPX	PFIJX	PFILX	PFIEX	PFIFX	PFIGX	PFISX	PFIPX

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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

SAGPX	+ 1.0	SACAX
PFILX	+ 1.0	PFIJX
PFIFX	+ 1.0	PFIJX
PFIPX	+ 1.0	PFIJX
PFIFX	+ 1.0	PFILX
PFIGX	+ 1.0	PFILX

High negative correlations

PFIEX	- 0.37	SACAX
PFIEX	- 0.34	SAGPX
PFISX	- 0.33	SACAX
PFISX	- 0.3	SAGPX
PFIEX	- 0.24	SABPX
PFISX	- 0.18	SABPX

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
SABPX	0.36	(0.01)	(0.14)	0.09	0.39	(0.36)	0.82	(0.70)	2.07
SACAX	0.51	(0.02)	(0.06)	0.10	0.56	(0.54)	1.16	(0.99)	3.03
SAGPX	0.44	(0.01)	(0.09)	0.10	0.49	(0.47)	1.03	(0.82)	2.63
PFIJX	0.20	(0.02)	(0.41)	0.03	0.20	(0.22)	0.42	(0.41)	1.24
PFILX	0.21	(0.02)	(0.40)	0.03	0.22	(0.22)	0.41	(0.41)	1.23
PFIEX	0.68	(0.14)	0.00	(0.16)	0.00	0.00	1.43	(1.68)	4.28
PFIFX	0.21	(0.02)	(0.41)	0.03	0.21	(0.24)	0.41	(0.41)	1.31
PFIGX	0.21	(0.02)	(0.39)	0.01	0.23	(0.23)	0.41	(0.41)	1.32
PFISX	0.66	(0.13)	0.00	(0.12)	0.00	0.00	1.72	(1.23)	4.05
PFIPX	0.21	(0.02)	(0.42)	0.02	0.21	(0.23)	0.41	(0.41)	1.15

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