Eaton Vance Correlations

ECEAX Fund  USD 31.82  0.63  2.02%   
The current 90-days correlation between Eaton Vance Tax and Eaton Vance Msschsts 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

Poor diversification

The correlation between Eaton Vance Tax Managed and DJI is 0.75 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Tax Managed 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 Tax Managed. 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 nation.

Moving together with Eaton Mutual Fund

  0.79ERASX Eaton Vance AtlantaPairCorr
  0.88ERBIX Eaton Vance RichardPairCorr
  0.88ERBCX Eaton Vance RichardPairCorr
  0.88ERBAX Eaton Vance RichardPairCorr
  0.91ERIFX Eaton Vance BalancedPairCorr
  0.85ERLGX Eaton Vance AtlantaPairCorr
  0.83ERLVX Eaton Vance LargePairCorr
  0.86EAALX Eaton Vance AtlantaPairCorr
  0.83ERSTX Eaton Vance LargePairCorr
  0.78ERSMX Eaton Vance AtlantaPairCorr
  0.93ERSGX Eaton Vance SmallPairCorr
  0.78EAASX Eaton Vance AtlantaPairCorr
  0.95EACPX Eaton Vance TaxPairCorr
  0.71EAERX Eaton Vance StockPairCorr
  1.0EAEAX Eaton Vance TaxPairCorr
  0.76EAFVX Eaton Vance ValPairCorr

Moving against Eaton Mutual Fund

  0.33ERGOX Eaton Vance GovernmentPairCorr
  0.31ERGMX Eaton Vance GlobalPairCorr
  0.38EALDX Eaton Vance ShortPairCorr
  0.32EAGMX Eaton Vance GlobalPairCorr

Related Correlations Analysis

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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   
EMOIXEMOAX
ERBCXERBIX
EMOAXEMOCX
EMOIXEMOCX
ENYIXEMOCX
ENYIXEMOAX
  
High negative correlations   
ERAMXERASX
ERASXEMAIX
ERBCXERAMX
ERBIXERAMX
ERBCXEMAIX
ERBIXEMAIX

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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
EMAIX  0.11 (0.01) 0.44 (0.55) 0.14 
 0.21 
 0.71 
EMOCX  0.19 (0.03) 0.00 (0.79) 0.00 
 0.35 
 1.15 
EMOAX  0.19 (0.03) 0.00 (1.06) 0.00 
 0.36 
 1.07 
EMOIX  0.19 (0.03) 0.00 (0.78) 0.00 
 0.36 
 1.15 
EIM  0.43 (0.08) 0.00 (0.73) 0.00 
 0.69 
 1.91 
ENYIX  0.20 (0.04) 0.00 (0.99) 0.00 
 0.32 
 1.06 
ERASX  0.77 (0.16) 0.00 (0.32) 0.00 
 1.21 
 3.51 
ERAMX  0.09  0.00  0.75 (0.04) 0.00 
 0.31 
 1.02 
ERBIX  0.76 (0.06) 0.00 (0.19) 0.00 
 1.22 
 4.69 
ERBCX  0.77 (0.06) 0.00 (0.19) 0.00 
 1.19 
 4.75