Eaton Vance Correlations

EASDX Fund

USD 7.29 0.01 0.14%

The current 90-days correlation between Eaton Vance Short and Eaton Vance Richard 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

Average diversification

The correlation between Eaton Vance Short and DJI is 0.15 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Short 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 Short. 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 unemployment.

Moving together with Eaton Mutual Fund

0.92	EMAIX	Eaton Vance Msschsts	Pair Corr
0.68	EMOCX	Eaton Vance Municipal	Pair Corr
0.73	EMOAX	Eaton Vance Municipal	Pair Corr
0.74	EMOIX	Eaton Vance Municipal	Pair Corr
0.76	ERAMX	Eaton Vance Multi	Pair Corr
0.77	EREMX	Eaton Vance Parametric	Pair Corr
0.76	ERHIX	Eaton Vance High	Pair Corr
0.97	ERGOX	Eaton Vance Government	Pair Corr
0.9	ERGMX	Eaton Vance Global	Pair Corr
0.79	ERIBX	Eaton Vance Income	Pair Corr
0.72	ERHSX	Eaton Vance Worldwide	Pair Corr
0.95	ERISX	Parametric Intl Equity	Pair Corr
0.76	EAAMX	Eaton Vance Multi	Pair Corr
0.98	ERSIX	Eaton Vance Short	Pair Corr
0.83	EACOX	Eaton Vance Global	Pair Corr
0.62	EACAX	Eaton Vance California	Pair Corr
0.94	EABSX	Eaton Vance Tabs	Pair Corr
0.86	EADOX	Eaton Vance Emerging	Pair Corr
0.77	EAEMX	Parametric Emerging	Pair Corr

Moving against Eaton Mutual Fund

0.77	ERASX	Eaton Vance Atlanta	Pair Corr
0.6	ERBCX	Eaton Vance Richard	Pair Corr
0.59	ERBAX	Eaton Vance Richard	Pair Corr
0.58	ERBIX	Eaton Vance Richard	Pair Corr
0.37	ERIFX	Eaton Vance Balanced	Pair Corr
0.78	ERSMX	Eaton Vance Atlanta	Pair Corr
0.78	EAASX	Eaton Vance Atlanta	Pair Corr
0.67	EACPX	Eaton Vance Tax	Pair Corr
0.57	ERSGX	Eaton Vance Small	Pair Corr
0.7	EALCX	Eaton Vance Growth	Pair Corr
0.67	EAFGX	Eaton Vance Focused	Pair Corr
0.49	EAERX	Eaton Vance Stock	Pair Corr
0.45	EAEAX	Eaton Vance Tax	Pair Corr

Related Correlations Analysis

	ECRAX	ECSMX	ECSIX	ECSEX	ECSCX	ECRRX	ECTMX	ECTGX	ELNAX
ECRAX		0.78	0.1	0.0	0.48	0.04	0.95	0.89	0.0	ECRAX
ECSMX	0.78		-0.45	0.0	0.14	-0.48	0.82	0.92	0.0	ECSMX
ECSIX	0.1	-0.45		0.0	0.51	0.98	0.07	-0.26	0.0	ECSIX
ECSEX	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	ECSEX
ECSCX	0.48	0.14	0.51	0.0		0.43	0.37	0.3	0.0	ECSCX
ECRRX	0.04	-0.48	0.98	0.0	0.43		0.04	-0.3	0.0	ECRRX
ECTMX	0.95	0.82	0.07	0.0	0.37	0.04		0.91	0.0	ECTMX
ECTGX	0.89	0.92	-0.26	0.0	0.3	-0.3	0.91		0.0	ECTGX
ELNAX	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0		ELNAX
	ECRAX	ECSMX	ECSIX	ECSEX	ECSCX	ECRRX	ECTMX	ECTGX	ELNAX

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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

ECRRX	+ 0.98	ECSIX
ECTMX	+ 0.95	ECRAX
ECTGX	+ 0.92	ECSMX
ECTGX	+ 0.91	ECTMX
ECTGX	+ 0.89	ECRAX
ECTMX	+ 0.82	ECSMX

High negative correlations

ECRRX	- 0.48	ECSMX
ECSIX	- 0.45	ECSMX
ECTGX	- 0.3	ECRRX
ECTGX	- 0.26	ECSIX
ELNAX	- 0.0	ECTGX
ELNAX	- 0.0	ECTMX

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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
ECRAX	0.37	(0.01)	0.00	(0.09)	0.00	0.71	(0.77)	2.07
ECSMX	0.78	(0.11)	0.00	(0.20)	0.00	1.18	(1.78)	3.86
ECSIX	0.17	0.04	0.40	0.51	(0.24)	0.32	(0.32)	1.14
ECSEX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
ECSCX	0.19	(0.02)	0.00	(0.72)	0.00	0.33	(0.44)	1.21
ECRRX	0.08	0.01	0.50	4.44	(0.11)	0.20	(0.20)	0.50
ECTMX	0.69	(0.01)	0.00	(0.08)	0.00	1.12	(1.56)	3.08
ECTGX	0.81	(0.07)	0.00	(0.15)	0.00	1.13	(1.91)	4.72
ELNAX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00

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