Eaton Vance Correlations

EAERX Fund

USD 20.20 0.06 0.30%

The current 90-days correlation between Eaton Vance Stock and Flakqx is 0.24 (i.e., Modest 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

Modest diversification

The correlation between Eaton Vance Stock and DJI is 0.27 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Stock 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 Stock. 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 metropolitan statistical area.

Moving together with Eaton Mutual Fund

0.72	ERASX	Eaton Vance Atlanta	Pair Corr
0.83	ERBIX	Eaton Vance Richard	Pair Corr
0.84	ERBCX	Eaton Vance Richard	Pair Corr
0.84	ERBAX	Eaton Vance Richard	Pair Corr
0.67	ERIFX	Eaton Vance Balanced	Pair Corr
0.72	ERSMX	Eaton Vance Atlanta	Pair Corr
0.77	ERSGX	Eaton Vance Small	Pair Corr
0.72	EAASX	Eaton Vance Atlanta	Pair Corr
0.77	EACPX	Eaton Vance Tax	Pair Corr
0.71	EAEAX	Eaton Vance Tax	Pair Corr

Moving against Eaton Mutual Fund

0.56	ERGMX	Eaton Vance Global	Pair Corr
0.43	ERGOX	Eaton Vance Government	Pair Corr
0.46	ERSIX	Eaton Vance Short	Pair Corr
0.43	EADOX	Eaton Vance Emerging	Pair Corr
0.39	EACOX	Eaton Vance Global	Pair Corr
0.35	ERISX	Parametric Intl Equity	Pair Corr
0.56	EAGMX	Eaton Vance Global	Pair Corr
0.49	EALDX	Eaton Vance Short	Pair Corr
0.4	EAGIX	Eaton Vance Core	Pair Corr
0.36	EAIIX	Eaton Vance Diversified	Pair Corr
0.35	EAISX	Parametric International	Pair Corr

Related Correlations Analysis

	FLAKQX	XHYIX	CPUCX	FFCDAX	FFCGX	FUHKBX	FZNOPX
FLAKQX		0.51	0.26	0.68	0.84	0.37	0.55	FLAKQX
XHYIX	0.51		-0.01	0.44	0.6	0.41	0.57	XHYIX
CPUCX	0.26	-0.01		0.37	0.24	-0.41	-0.22	CPUCX
FFCDAX	0.68	0.44	0.37		0.57	0.36	0.42	FFCDAX
FFCGX	0.84	0.6	0.24	0.57		0.52	0.73	FFCGX
FUHKBX	0.37	0.41	-0.41	0.36	0.52		0.85	FUHKBX
FZNOPX	0.55	0.57	-0.22	0.42	0.73	0.85		FZNOPX
	FLAKQX	XHYIX	CPUCX	FFCDAX	FFCGX	FUHKBX	FZNOPX

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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

FZNOPX	+ 0.85	FUHKBX
FFCGX	+ 0.84	FLAKQX
FZNOPX	+ 0.73	FFCGX
FFCDAX	+ 0.68	FLAKQX
FFCGX	+ 0.6	XHYIX
FZNOPX	+ 0.57	XHYIX

High negative correlations

FUHKBX	- 0.41	CPUCX
FZNOPX	- 0.22	CPUCX
CPUCX	- 0.01	XHYIX

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
FLAKQX	0.83	0.04	0.05	(0.01)	1.12	(0.93)	1.75	(2.40)	4.80
XHYIX	0.16	(0.02)	0.00	(0.28)	0.00	0.00	0.25	(0.49)	1.31
CPUCX	0.25	0.01	0.23	0.11	0.25	(0.31)	0.44	(0.54)	1.45
FFCDAX	0.12	0.00	0.00	(0.12)	0.00	0.00	0.21	(0.41)	1.14
FFCGX	0.73	0.02	0.00	(0.04)	0.00	0.00	1.37	(1.56)	4.66
FUHKBX	0.68	0.01	0.00	(0.04)	0.00	0.00	1.13	(1.76)	4.79
FZNOPX	0.75	0.02	0.00	(0.03)	0.00	0.00	1.55	(1.63)	3.75

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