Eaton Vance Correlations

EALCX Fund

USD 42.74 0.03 0.07%

The current 90-days correlation between Eaton Vance Growth and Columbia Large Cap is 0.3 (i.e., Weak 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 Growth and DJI is 0.07 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Growth 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 Growth. 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 main economic indicators.

Moving together with Eaton Mutual Fund

0.69	ERASX	Eaton Vance Atlanta	Pair Corr
0.67	ERBIX	Eaton Vance Richard	Pair Corr
0.66	ERBCX	Eaton Vance Richard	Pair Corr
0.66	ERBAX	Eaton Vance Richard	Pair Corr
0.75	ERLVX	Eaton Vance Large	Pair Corr
0.69	ERSTX	Eaton Vance Large	Pair Corr
0.66	ERSMX	Eaton Vance Atlanta	Pair Corr
0.72	ERSGX	Eaton Vance Small	Pair Corr
0.67	EAASX	Eaton Vance Atlanta	Pair Corr
0.64	EAFGX	Eaton Vance Focused	Pair Corr

Moving against Eaton Mutual Fund

0.49	ERGOX	Eaton Vance Government	Pair Corr
0.44	EREMX	Eaton Vance Parametric	Pair Corr
0.42	ERSIX	Eaton Vance Short	Pair Corr
0.38	EACOX	Eaton Vance Global	Pair Corr
0.49	EALDX	Eaton Vance Short	Pair Corr
0.46	EAIIX	Eaton Vance Diversified	Pair Corr
0.44	EAEMX	Parametric Emerging	Pair Corr
0.35	EAGIX	Eaton Vance Core	Pair Corr

Related Correlations Analysis

	EALCX	NMIAX	MMDEX	NOLCX	POLRX
EALCX		0.7	0.44	0.51	0.82	EALCX
NMIAX	0.7		0.14	0.58	0.64	NMIAX
MMDEX	0.44	0.14		0.49	0.65	MMDEX
NOLCX	0.51	0.58	0.49		0.67	NOLCX
POLRX	0.82	0.64	0.65	0.67		POLRX
	EALCX	NMIAX	MMDEX	NOLCX	POLRX

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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
EALCX	0.81	0.02	(0.01)	0.23	1.67	(0.74)	1.63	(2.31)	9.05
NMIAX	0.63	(0.05)	0.00	(0.20)	0.00	0.00	0.93	(1.15)	9.63
MMDEX	0.67	0.11	0.06	1.84	0.90	(0.66)	1.62	(1.56)	5.43
NOLCX	0.63	(0.04)	0.00	(2.50)	0.00	0.00	0.97	(1.29)	10.23
POLRX	0.71	0.02	(0.02)	0.69	1.22	(0.67)	1.26	(1.73)	6.00

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