Eaton Vance Correlations

CEV Stock

USD 10.35 0.03 0.29%

The current 90-days correlation between Eaton Vance California and MFS Investment Grade is 0.64 (i.e., Poor diversification). The correlation of Eaton Vance 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.

Eaton Vance Correlation With Market

Weak diversification

The correlation between Eaton Vance California and DJI is 0.3 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance California and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Eaton Vance California. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in income.

Moving together with Eaton Stock

0.62	DHIL	Diamond Hill Investment	Pair Corr
0.79	BEN	Franklin Resources	Pair Corr
0.81	APAM	Artisan Partners Asset	Pair Corr
0.85	BBUC	Brookfield Business Corp	Pair Corr
0.64	AX	Axos Financial	Pair Corr
0.77	BY	Byline Bancorp	Pair Corr

Moving against Eaton Stock

0.61	CGBD	Carlyle Secured Lending	Pair Corr
0.4	ARES	Ares Management LP	Pair Corr

Related Correlations Analysis

	CXH	IHTA	EOT	NXC	FMN	CBH	MHN	IHIT	JHAA
CXH		0.0	0.89	0.61	0.9	0.0	0.92	0.0	0.0	CXH
IHTA	0.0		0.0	0.0	0.0	0.0	0.0	0.0	0.0	IHTA
EOT	0.89	0.0		0.67	0.91	0.0	0.9	0.0	0.0	EOT
NXC	0.61	0.0	0.67		0.58	0.0	0.7	0.0	0.0	NXC
FMN	0.9	0.0	0.91	0.58		0.0	0.84	0.0	0.0	FMN
CBH	0.0	0.0	0.0	0.0	0.0		0.0	0.0	0.0	CBH
MHN	0.92	0.0	0.9	0.7	0.84	0.0		0.0	0.0	MHN
IHIT	0.0	0.0	0.0	0.0	0.0	0.0	0.0		0.0	IHIT
JHAA	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0		JHAA
	CXH	IHTA	EOT	NXC	FMN	CBH	MHN	IHIT	JHAA

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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

MHN	+ 0.92	CXH
FMN	+ 0.91	EOT
FMN	+ 0.9	CXH
MHN	+ 0.9	EOT
EOT	+ 0.89	CXH
MHN	+ 0.84	FMN

High negative correlations

JHAA	- 0.0	IHIT
JHAA	- 0.0	MHN
IHIT	- 0.0	MHN
JHAA	- 0.0	CBH
IHIT	- 0.0	CBH
MHN	- 0.0	CBH

Risk-Adjusted Indicators

There is a big difference between Eaton Stock performing well and Eaton Vance Company 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 Eaton Vance'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
CXH	0.43	0.00	0.03	0.01	0.68	(0.40)	0.76	(1.01)	3.44
IHTA	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
EOT	0.48	0.02	0.05	0.10	0.75	(0.44)	1.01	(1.01)	2.89
NXC	0.41	(0.01)	0.00	(0.06)	0.00	0.00	0.85	(0.96)	4.06
FMN	0.43	0.04	0.11	0.24	0.44	(0.49)	0.81	(0.90)	2.66
CBH	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
MHN	0.49	0.02	0.05	0.05	0.57	(0.56)	0.93	(1.05)	2.71
IHIT	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
JHAA	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00

Eaton Vance Corporate Management

James Kirchner	Treasurer	Profile
Mark Fetting	Independent Trustee	Profile
Richard Froio	Chief Compliance Officer	Profile
Valerie Mosley	Independent Trustee	Profile
Payson CFA	Chief VP	Profile

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