Eaton Vance Correlations

EFR Stock

USD 12.25 0.05 0.41%

The current 90-days correlation between Eaton Vance Senior and Blackrock Floating Rate is 0.46 (i.e., Very 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

Weak diversification

The correlation between Eaton Vance Senior and DJI is 0.37 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Senior 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 Senior. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in census.

Moving together with Eaton Stock

0.81	MC	Moelis	Pair Corr
0.89	MS	Morgan Stanley	Pair Corr
0.87	AXP	American Express Sell-off Trend	Pair Corr
0.64	CIM	Chimera Investment	Pair Corr
0.91	COF	Capital One Financial	Pair Corr
0.66	OPFI	OppFi Inc	Pair Corr
0.79	ALLY	Ally Financial Normal Trading	Pair Corr
0.68	SOFI	SoFi Technologies Aggressive Push	Pair Corr
0.84	C	Citigroup Aggressive Push	Pair Corr
0.83	BN	Brookfield Corp	Pair Corr
0.61	BX	Blackstone Group Normal Trading	Pair Corr
0.66	BY	Byline Bancorp	Pair Corr
0.8	CG	Carlyle Group Normal Trading	Pair Corr
0.69	FG	FG Annuities Life	Pair Corr
0.87	GS	Goldman Sachs Group	Pair Corr

Moving against Eaton Stock

0.69	CB	Chubb	Pair Corr
0.64	FORLU	Four Leaf Acquisition	Pair Corr
0.53	VEL	Velocity Financial Llc	Pair Corr
0.78	TW	Tradeweb Markets Normal Trading	Pair Corr
0.58	HG	Hamilton Insurance Group, Normal Trading	Pair Corr
0.43	WU	Western Union	Pair Corr
0.43	VBFC	Village Bank	Pair Corr
0.41	LU	Lufax Holding	Pair Corr
0.38	DB	Deutsche Bank AG	Pair Corr
0.35	EG	Everest Group	Pair Corr
0.31	IX	Orix Corp Ads	Pair Corr

Related Correlations Analysis

	FRA	PHD	EVF	DSU	BGX	FCT	NSL	JRO	CBH	EFT
FRA		0.14	-0.09	-0.13	0.01	-0.44	0.0	0.0	0.0	0.01	FRA
PHD	0.14		0.67	0.73	0.81	0.56	0.0	0.0	0.0	0.54	PHD
EVF	-0.09	0.67		0.51	0.81	0.43	0.0	0.0	0.0	0.89	EVF
DSU	-0.13	0.73	0.51		0.66	0.71	0.0	0.0	0.0	0.48	DSU
BGX	0.01	0.81	0.81	0.66		0.59	0.0	0.0	0.0	0.75	BGX
FCT	-0.44	0.56	0.43	0.71	0.59		0.0	0.0	0.0	0.4	FCT
NSL	0.0	0.0	0.0	0.0	0.0	0.0		0.0	0.0	0.0	NSL
JRO	0.0	0.0	0.0	0.0	0.0	0.0	0.0		0.0	0.0	JRO
CBH	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0		0.0	CBH
EFT	0.01	0.54	0.89	0.48	0.75	0.4	0.0	0.0	0.0		EFT
	FRA	PHD	EVF	DSU	BGX	FCT	NSL	JRO	CBH	EFT

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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

EFT	+ 0.89	EVF
BGX	+ 0.81	PHD
BGX	+ 0.81	EVF
EFT	+ 0.75	BGX
DSU	+ 0.73	PHD
FCT	+ 0.71	DSU

High negative correlations

FCT	- 0.44	FRA
DSU	- 0.13	FRA
EVF	- 0.09	FRA
EFT	- 0.0	CBH
EFT	- 0.0	JRO
CBH	- 0.0	JRO

Risk-Adjusted Indicators

There is a big difference between Eaton Stock performing well and Eaton Vance Company 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
FRA	0.48	(0.12)	0.00	(0.74)	0.00	0.00	1.02	(1.22)	3.05
PHD	0.28	(0.03)	0.00	(0.34)	0.00	0.00	0.53	(0.63)	1.69
EVF	0.33	(0.06)	0.00	(0.69)	0.00	0.00	0.66	(0.82)	1.98
DSU	0.36	0.00	0.00	(0.08)	0.00	0.00	0.86	(0.75)	2.39
BGX	0.46	(0.06)	0.00	(0.51)	0.00	0.00	1.10	(1.09)	4.20
FCT	0.35	0.01	0.15	(0.01)	0.40	(0.42)	0.79	(0.68)	3.38
NSL	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
JRO	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
CBH	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
EFT	0.47	(0.07)	0.00	(0.45)	0.00	0.00	1.02	(0.77)	3.09

Eaton Vance Corporate Management

James Kirchner	Principal Financial and Accounting and Treasurer	Profile
Mark Fetting	Independent Trustee	Profile
Scott CFA	Portfolio Mang	Profile
Richard Froio	Chief Compliance Officer	Profile
CFA Faust	Chairman Trustee	Profile

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