Eaton Vance Correlations

EADIX Fund

USD 17.25 0.05 0.29%

The current 90-days correlation between Eaton Vance Tax and Eaton Vance Msschsts is -0.04 (i.e., Good 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

Poor diversification

The correlation between Eaton Vance Tax Managed and DJI is 0.66 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Tax Managed and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Eaton Vance Tax Managed. 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 Eaton Mutual Fund

0.64	EREMX	Eaton Vance Parametric	Pair Corr
0.63	ERISX	Parametric Intl Equity	Pair Corr
0.64	EAEMX	Parametric Emerging	Pair Corr

Moving against Eaton Mutual Fund

0.37	EAFAX	Eaton Vance Floating	Pair Corr
0.34	EAFHX	Eaton Vance Floating	Pair Corr

Related Correlations Analysis

	EMAIX	EMOCX	EMOAX	EMOIX	EIM	ERASX	ERAMX	ERBIX	ERBCX	ERBAX
EMAIX		0.98	0.98	0.98	0.79	0.16	0.29	0.24	0.24	0.25	EMAIX
EMOCX	0.98		0.99	0.99	0.82	0.09	0.16	0.16	0.16	0.16	EMOCX
EMOAX	0.98	0.99		1.0	0.8	0.1	0.15	0.15	0.15	0.15	EMOAX
EMOIX	0.98	0.99	1.0		0.79	0.12	0.19	0.17	0.18	0.18	EMOIX
EIM	0.79	0.82	0.8	0.79		0.0	0.04	0.18	0.18	0.18	EIM
ERASX	0.16	0.09	0.1	0.12	0.0		0.67	0.82	0.82	0.82	ERASX
ERAMX	0.29	0.16	0.15	0.19	0.04	0.67		0.74	0.72	0.74	ERAMX
ERBIX	0.24	0.16	0.15	0.17	0.18	0.82	0.74		1.0	1.0	ERBIX
ERBCX	0.24	0.16	0.15	0.18	0.18	0.82	0.72	1.0		1.0	ERBCX
ERBAX	0.25	0.16	0.15	0.18	0.18	0.82	0.74	1.0	1.0		ERBAX
	EMAIX	EMOCX	EMOAX	EMOIX	EIM	ERASX	ERAMX	ERBIX	ERBCX	ERBAX

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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

EMOIX	+ 1.0	EMOAX
ERBCX	+ 1.0	ERBIX
ERBAX	+ 1.0	ERBIX
ERBAX	+ 1.0	ERBCX
EMOAX	+ 0.99	EMOCX
EMOIX	+ 0.99	EMOCX

High negative correlations

ERASX

- 0.0

EIM

Risk-Adjusted Indicators

There is a big difference between Eaton Mutual Fund performing well and Eaton Vance 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 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
EMAIX	0.08	(0.01)	(0.37)	0.19	0.14	(0.14)	0.20	(0.30)	0.91
EMOCX	0.17	(0.01)	0.00	0.15	0.00	0.00	0.35	(0.43)	1.59
EMOAX	0.17	(0.01)	0.00	0.17	0.00	0.00	0.35	(0.43)	1.58
EMOIX	0.16	(0.01)	0.00	0.15	0.00	0.00	0.35	(0.43)	1.58
EIM	0.46	(0.01)	(0.16)	(0.08)	0.55	(0.51)	1.03	(1.02)	2.47
ERASX	0.65	(0.06)	(0.07)	0.03	0.81	(0.71)	1.42	(1.12)	6.15
ERAMX	0.08	0.01	(0.74)	1.00	0.00	(0.15)	0.10	(0.10)	0.71
ERBIX	0.47	0.01	(0.04)	0.10	0.45	(0.54)	0.95	(0.88)	3.45
ERBCX	0.47	0.00	(0.05)	0.09	0.43	(0.53)	0.92	(0.91)	3.39
ERBAX	0.48	0.01	(0.04)	0.10	0.44	(0.55)	0.95	(0.88)	3.40

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