Eaton Vance Correlations

ECSMX Fund

USD 11.35 0.11 0.98%

The current 90-days correlation between Eaton Vance Small and The Gamco Global is 0.72 (i.e., Poor 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

Very weak diversification

The correlation between Eaton Vance Small Cap and DJI is 0.56 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Small Cap 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 Small Cap. 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 population.

Moving together with Eaton Mutual Fund

0.66	ENYIX	Eaton Vance New	Pair Corr
0.85	ERBCX	Eaton Vance Richard	Pair Corr
0.85	ERBAX	Eaton Vance Richard	Pair Corr
0.67	ERHSX	Eaton Vance Worldwide	Pair Corr
0.97	ERSMX	Eaton Vance Atlanta	Pair Corr
1.0	ERSGX	Eaton Vance Small	Pair Corr
0.97	EAASX	Eaton Vance Atlanta	Pair Corr
0.65	EACPX	Eaton Vance Tax	Pair Corr
0.92	ESEAX	Eaton Vance Atlanta	Pair Corr
0.67	EARAX	Eaton Vance Richard	Pair Corr
0.65	ETGIX	Eaton Vance Greater	Pair Corr
0.66	ETHSX	Eaton Vance Worldwide	Pair Corr
0.98	ETMGX	Eaton Vance Tax	Pair Corr
0.68	ECGIX	Eaton Vance Greater	Pair Corr
0.66	ECGAX	Eaton Vance Georgia	Pair Corr
0.66	ECORX	Eaton Vance Oregon	Pair Corr
0.72	ECRAX	Eaton Vance Richard	Pair Corr
0.7	ECSCX	Eaton Vance South	Pair Corr
0.93	ECTMX	Eaton Vance Dividend	Pair Corr

Moving against Eaton Mutual Fund

0.59	ERGMX	Eaton Vance Global	Pair Corr
0.47	EACOX	Eaton Vance Global	Pair Corr
0.4	EAAMX	Eaton Vance Multi	Pair Corr
0.32	ERSIX	Eaton Vance Short	Pair Corr
0.54	EADOX	Eaton Vance Emerging	Pair Corr
0.35	EAPCX	Parametric Commodity	Pair Corr
0.34	ESHAX	Eaton Vance Short	Pair Corr
0.63	EVBLX	Eaton Vance Floating	Pair Corr
0.63	EFRRX	Eaton Vance Floating	Pair Corr
0.61	EGMSX	Eaton Vance Global	Pair Corr
0.54	EVFHX	Eaton Vance Floating	Pair Corr
0.41	EVCGX	Eaton Vance Greater	Pair Corr

Related Correlations Analysis

	GACCX	NCIDX	PCGYX	CNSCX	PCNBX	ARBOX
GACCX		0.59	0.54	0.55	0.0	0.85	GACCX
NCIDX	0.59		0.82	0.75	0.0	0.46	NCIDX
PCGYX	0.54	0.82		0.95	0.0	0.42	PCGYX
CNSCX	0.55	0.75	0.95		0.0	0.45	CNSCX
PCNBX	0.0	0.0	0.0	0.0		0.0	PCNBX
ARBOX	0.85	0.46	0.42	0.45	0.0		ARBOX
	GACCX	NCIDX	PCGYX	CNSCX	PCNBX	ARBOX

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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

CNSCX	+ 0.95	PCGYX
ARBOX	+ 0.85	GACCX
PCGYX	+ 0.82	NCIDX
CNSCX	+ 0.75	NCIDX
NCIDX	+ 0.59	GACCX
CNSCX	+ 0.55	GACCX

High negative correlations

ARBOX	- 0.0	PCNBX
PCNBX	- 0.0	CNSCX
PCNBX	- 0.0	PCGYX
PCNBX	- 0.0	NCIDX
PCNBX	- 0.0	GACCX

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
GACCX	0.49	0.04	0.08	0.08	0.62	(0.54)	1.15	(0.93)	3.13
NCIDX	0.50	(0.03)	0.00	1.23	0.00	0.00	0.90	(0.91)	3.13
PCGYX	0.52	(0.03)	0.00	(0.10)	0.00	0.00	0.93	(1.01)	3.14
CNSCX	0.52	(0.05)	0.00	(0.15)	0.00	0.00	0.84	(0.88)	3.11
PCNBX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
ARBOX	0.06	0.00	0.00	(0.10)	0.00	0.00	0.09	(0.09)	1.33

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