Eaton Vance Correlations

EAIIX Fund

USD 6.54 0.03 0.46%

The current 90-days correlation between Eaton Vance Diversified and Touchstone Large Cap is 0.22 (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

Significant diversification

The correlation between Eaton Vance Diversified and DJI is 0.09 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Diversified 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 Diversified. 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

0.86	EMAIX	Eaton Vance Msschsts	Pair Corr
0.63	EMOCX	Eaton Vance Municipal	Pair Corr
0.68	EMOIX	Eaton Vance Municipal	Pair Corr
0.82	EREMX	Eaton Vance Parametric	Pair Corr
0.67	ERHIX	Eaton Vance High	Pair Corr
0.83	ERGOX	Eaton Vance Government	Pair Corr
0.92	ERGMX	Eaton Vance Global	Pair Corr
0.73	ERIBX	Eaton Vance Income	Pair Corr
0.64	ERHSX	Eaton Vance Worldwide	Pair Corr
0.78	ERISX	Parametric Intl Equity	Pair Corr
0.64	EAAMX	Eaton Vance Multi	Pair Corr
0.97	ERSIX	Eaton Vance Short	Pair Corr
0.63	EACOX	Eaton Vance Global	Pair Corr
0.9	EABSX	Eaton Vance Tabs	Pair Corr
0.68	EAEMX	Parametric Emerging	Pair Corr

Moving against Eaton Mutual Fund

0.73	ERASX	Eaton Vance Atlanta	Pair Corr
0.42	ERBAX	Eaton Vance Richard	Pair Corr
0.34	ERIFX	Eaton Vance Balanced	Pair Corr
0.31	ERBCX	Eaton Vance Richard	Pair Corr
0.65	EACPX	Eaton Vance Tax	Pair Corr
0.63	ERSMX	Eaton Vance Atlanta	Pair Corr
0.63	EAASX	Eaton Vance Atlanta	Pair Corr
0.55	ERSGX	Eaton Vance Small	Pair Corr
0.67	EALCX	Eaton Vance Growth	Pair Corr
0.65	EAFGX	Eaton Vance Focused	Pair Corr
0.43	EAEAX	Eaton Vance Tax	Pair Corr

Related Correlations Analysis

	TACLX	PHTTX	SGICX	DHGCX	DBIWX	GARGX	LMLRX
TACLX		0.96	0.24	0.57	0.75	0.91	0.94	TACLX
PHTTX	0.96		0.3	0.62	0.8	0.92	0.97	PHTTX
SGICX	0.24	0.3		0.1	0.11	0.2	0.31	SGICX
DHGCX	0.57	0.62	0.1		0.81	0.76	0.47	DHGCX
DBIWX	0.75	0.8	0.11	0.81		0.79	0.68	DBIWX
GARGX	0.91	0.92	0.2	0.76	0.79		0.85	GARGX
LMLRX	0.94	0.97	0.31	0.47	0.68	0.85		LMLRX
	TACLX	PHTTX	SGICX	DHGCX	DBIWX	GARGX	LMLRX

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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
TACLX	0.66	(0.01)	(0.01)	(0.01)	0.88	(0.64)	1.28	(1.48)	3.10
PHTTX	0.35	(0.01)	0.00	(0.03)	0.00	0.00	0.67	(0.67)	1.95
SGICX	0.92	(0.33)	0.00	(1.71)	0.00	0.00	1.09	(1.37)	19.11
DHGCX	0.18	(0.01)	0.00	0.54	0.00	0.00	0.36	(0.36)	1.46
DBIWX	0.26	0.01	0.01	(0.08)	0.34	(0.29)	0.48	(0.58)	1.77
GARGX	0.80	(0.01)	0.00	(0.02)	0.00	0.00	1.48	(1.79)	4.42
LMLRX	0.33	(0.01)	0.00	(0.03)	0.00	0.00	0.61	(0.69)	2.17

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