Parametric Commodity Correlations
| EIPCX Fund | USD 6.59 0.03 0.46% |
The current 90-days correlation between Parametric Commodity and Gabelli Global Financial is 0.06 (i.e., Significant diversification). The correlation of Parametric Commodity 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.
Parametric Commodity Correlation With Market
Good diversification
The correlation between Parametric Modity Strategy and DJI is -0.16 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Parametric Modity Strategy and DJI in the same portfolio, assuming nothing else is changed.
Parametric |
Moving together with Parametric Mutual Fund
| 0.65 | EMAIX | Eaton Vance Msschsts | PairCorr |
| 0.75 | ERAMX | Eaton Vance Multi | PairCorr |
| 0.7 | ERHSX | Eaton Vance Worldwide | PairCorr |
| 0.78 | ERISX | Parametric Intl Equity | PairCorr |
| 0.75 | EACOX | Eaton Vance Global | PairCorr |
| 0.91 | EADOX | Eaton Vance Emerging | PairCorr |
| 0.71 | EADIX | Eaton Vance Tax | PairCorr |
| 0.82 | EAEMX | Parametric Emerging | PairCorr |
Moving against Parametric Mutual Fund
| 0.43 | EIM | Eaton Vance Mbf | PairCorr |
| 0.42 | ERSMX | Eaton Vance Atlanta | PairCorr |
| 0.42 | EAASX | Eaton Vance Atlanta | PairCorr |
| 0.35 | EAERX | Eaton Vance Stock | PairCorr |
Related Correlations Analysis
| 0.0 | 0.51 | 0.0 | 0.8 | 0.61 | 0.78 | GCFSX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | IVMXX | ||
| 0.51 | 0.0 | 0.0 | 0.43 | 0.29 | 0.59 | SWGXX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | HEWXX | ||
| 0.8 | 0.0 | 0.43 | 0.0 | 0.3 | 0.86 | SPAXX | ||
| 0.61 | 0.0 | 0.29 | 0.0 | 0.3 | 0.13 | SBFAX | ||
| 0.78 | 0.0 | 0.59 | 0.0 | 0.86 | 0.13 | QCMMIX | ||
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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
| High negative correlations
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Risk-Adjusted Indicators
There is a big difference between Parametric Mutual Fund performing well and Parametric Commodity 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 Parametric Commodity'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| GCFSX | 0.75 | 0.09 | 0.08 | (0.70) | 0.97 | 1.80 | 4.68 | |||
| IVMXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| SWGXX | 0.03 | 0.01 | 0.00 | (3.12) | 0.00 | 0.00 | 1.01 | |||
| HEWXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| SPAXX | 0.03 | 0.01 | 0.00 | (0.32) | 0.00 | 0.00 | 1.01 | |||
| SBFAX | 0.72 | 0.05 | 0.05 | 0.06 | 0.94 | 1.69 | 5.22 | |||
| QCMMIX | 0.02 | 0.01 | 0.00 | (6.00) | 0.00 | 0.03 | 0.03 |