Eaton Vance Correlations

EAEAX Fund

USD 35.63 0.04 0.11%

The current 90-days correlation between Eaton Vance Tax and Eaton Vance Tax Managed is 0.93 (i.e., Almost no 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

Almost no diversification

The correlation between Eaton Vance Tax Managed and DJI is 0.9 (i.e., Almost no 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 nation.

Moving together with Eaton Mutual Fund

0.94	ERBIX	Eaton Vance Richard	Pair Corr
0.94	ERBCX	Eaton Vance Richard	Pair Corr
0.85	ERBAX	Eaton Vance Richard	Pair Corr
0.98	ERIFX	Eaton Vance Balanced	Pair Corr
0.8	ERLGX	Eaton Vance Atlanta	Pair Corr
0.84	ERLVX	Eaton Vance Large	Pair Corr
0.85	ERSTX	Eaton Vance Large	Pair Corr
0.81	ERSMX	Eaton Vance Atlanta	Pair Corr
0.96	ERSGX	Eaton Vance Small	Pair Corr
0.81	EAASX	Eaton Vance Atlanta	Pair Corr
0.88	EACPX	Eaton Vance Tax	Pair Corr
0.98	EAERX	Eaton Vance Stock	Pair Corr
0.87	EAFVX	Eaton Vance Val	Pair Corr
0.94	EAFGX	Eaton Vance Focused	Pair Corr
0.91	EAGCX	Eaton Vance Atlant	Pair Corr

Moving against Eaton Mutual Fund

0.43	ERGOX	Eaton Vance Government	Pair Corr
0.41	EACOX	Eaton Vance Global	Pair Corr
0.4	ERISX	Parametric Intl Equity	Pair Corr
0.34	ERSIX	Eaton Vance Short	Pair Corr
0.47	EALDX	Eaton Vance Short	Pair Corr
0.47	EASDX	Eaton Vance Short	Pair Corr
0.43	EAGIX	Eaton Vance Core	Pair Corr
0.43	EAIIX	Eaton Vance Diversified	Pair Corr
0.41	EBABX	Eaton Vance E	Pair Corr
0.4	EAISX	Parametric International	Pair Corr
0.4	ESISX	Parametric Intl Equity	Pair Corr
0.38	EARRX	Eaton Vance Short	Pair Corr
0.34	EAMLX	Eaton Vance National	Pair Corr

Related Correlations Analysis

	EADIX	EXTGX	EATVX	ETSIX	ECEAX
EADIX		0.59	0.62	0.55	0.5	EADIX
EXTGX	0.59		0.88	-0.3	0.92	EXTGX
EATVX	0.62	0.88		-0.15	0.85	EATVX
ETSIX	0.55	-0.3	-0.15		-0.3	ETSIX
ECEAX	0.5	0.92	0.85	-0.3		ECEAX
	EADIX	EXTGX	EATVX	ETSIX	ECEAX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

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

ECEAX	+ 0.92	EXTGX
EATVX	+ 0.88	EXTGX
ECEAX	+ 0.85	EATVX
EATVX	+ 0.62	EADIX
EXTGX	+ 0.59	EADIX
ETSIX	+ 0.55	EADIX

High negative correlations

ECEAX	- 0.3	ETSIX
ETSIX	- 0.3	EXTGX
ETSIX	- 0.15	EATVX

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
EADIX	0.68	0.03	0.03	0.04	0.91	(0.67)	1.46	(1.49)	4.35
EXTGX	0.79	(0.06)	0.00	(0.06)	0.00	0.00	1.66	(1.74)	4.74
EATVX	0.64	(0.03)	0.00	(0.03)	0.00	0.00	1.35	(1.32)	3.31
ETSIX	0.15	0.05	0.17	0.72	0.00	(0.22)	0.30	(0.15)	1.22
ECEAX	0.71	(0.07)	0.00	1.84	0.00	0.00	1.62	(1.58)	3.98

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC