Eaton Vance Correlations

EAIIX Fund

USD 6.56 0.04 0.61%

The current 90-days correlation between Eaton Vance Diversified and Thrivent Natural Resources is 0.23 (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

Weak diversification

The correlation between Eaton Vance Diversified 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 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

0.83	EMAIX	Eaton Vance Msschsts	Pair Corr
0.87	EMOCX	Eaton Vance Municipal	Pair Corr
0.88	EMOAX	Eaton Vance Municipal	Pair Corr
0.89	EMOIX	Eaton Vance Municipal	Pair Corr
0.82	ENYIX	Eaton Vance New	Pair Corr
0.8	EREMX	Eaton Vance Parametric	Pair Corr
0.92	ERGOX	Eaton Vance Government	Pair Corr
0.69	ERIFX	Eaton Vance Balanced	Pair Corr
0.64	ERIBX	Eaton Vance Income	Pair Corr
0.74	ERHSX	Eaton Vance Worldwide	Pair Corr
0.91	ERISX	Parametric Intl Equity	Pair Corr
0.75	ERLGX	Eaton Vance Atlanta	Pair Corr
0.61	ERLVX	Eaton Vance Large	Pair Corr
0.76	EAALX	Eaton Vance Atlanta	Pair Corr
0.61	ERSTX	Eaton Vance Large	Pair Corr
0.61	EACPX	Eaton Vance Tax	Pair Corr
0.8	EACAX	Eaton Vance California	Pair Corr
0.92	EABSX	Eaton Vance Tabs	Pair Corr
0.78	EADIX	Eaton Vance Tax	Pair Corr
0.81	EAEMX	Parametric Emerging	Pair Corr
0.8	EAEAX	Eaton Vance Tax	Pair Corr

Related Correlations Analysis

	TREIX	FIKAX	XGNTX	HNRGX	ENPSX	PEO	SMAPX	ALEFX
TREIX		0.08	0.25	0.3	-0.15	0.13	0.43	0.16	TREIX
FIKAX	0.08		0.67	0.96	0.95	0.96	0.84	0.89	FIKAX
XGNTX	0.25	0.67		0.7	0.64	0.71	0.53	0.71	XGNTX
HNRGX	0.3	0.96	0.7		0.86	0.95	0.91	0.87	HNRGX
ENPSX	-0.15	0.95	0.64	0.86		0.94	0.68	0.84	ENPSX
PEO	0.13	0.96	0.71	0.95	0.94		0.79	0.88	PEO
SMAPX	0.43	0.84	0.53	0.91	0.68	0.79		0.8	SMAPX
ALEFX	0.16	0.89	0.71	0.87	0.84	0.88	0.8		ALEFX
	TREIX	FIKAX	XGNTX	HNRGX	ENPSX	PEO	SMAPX	ALEFX

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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

HNRGX	+ 0.96	FIKAX
PEO	+ 0.96	FIKAX
ENPSX	+ 0.95	FIKAX
PEO	+ 0.95	HNRGX
PEO	+ 0.94	ENPSX
SMAPX	+ 0.91	HNRGX

High negative correlations

ENPSX

- 0.15

TREIX

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
TREIX	0.06	0.01	0.07	2.32	0.00	(0.11)	0.10	(0.10)	0.30
FIKAX	0.95	(0.09)	0.00	(0.15)	0.00	0.00	1.39	(2.54)	5.27
XGNTX	0.62	0.05	0.05	0.39	0.86	(0.63)	1.26	(1.27)	4.83
HNRGX	0.90	(0.03)	0.00	(0.06)	0.00	0.00	1.54	(2.30)	4.59
ENPSX	1.39	(0.16)	0.00	(0.21)	0.00	0.00	2.07	(3.54)	7.38
PEO	0.88	(0.04)	0.00	(0.09)	0.00	0.00	1.65	(1.87)	5.71
SMAPX	1.06	(0.01)	0.00	(0.01)	1.60	(1.03)	1.86	(2.46)	7.93
ALEFX	1.03	(0.02)	0.00	(0.05)	0.00	0.00	1.68	(2.45)	6.40

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