Eaton Vance Correlations

EMOCX Fund

USD 11.26 0.03 0.27%

The current 90-days correlation between Eaton Vance Municipal and Us Government Securities is 0.68 (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

Average diversification

The correlation between Eaton Vance Municipal and DJI is 0.14 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Municipal 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 Municipal. 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 main economic indicators.

Moving together with Eaton Mutual Fund

0.88	EMAIX	Eaton Vance Msschsts	Pair Corr
0.99	EMOAX	Eaton Vance Municipal	Pair Corr
0.99	EMOIX	Eaton Vance Municipal	Pair Corr
0.97	ENYIX	Eaton Vance New	Pair Corr
0.77	ERAMX	Eaton Vance Multi	Pair Corr
0.79	ERHIX	Eaton Vance High	Pair Corr
0.69	ERGOX	Eaton Vance Government	Pair Corr
0.84	ERIBX	Eaton Vance Income	Pair Corr
0.75	ERHSX	Eaton Vance Worldwide	Pair Corr
0.61	ERISX	Parametric Intl Equity	Pair Corr
0.81	EAAMX	Eaton Vance Multi	Pair Corr
0.7	ERSIX	Eaton Vance Short	Pair Corr
0.96	EACAX	Eaton Vance California	Pair Corr
0.87	EABSX	Eaton Vance Tabs	Pair Corr
0.64	EADOX	Eaton Vance Emerging	Pair Corr
0.65	EADIX	Eaton Vance Tax	Pair Corr
0.64	EAFHX	Eaton Vance Floating	Pair Corr

Moving against Eaton Mutual Fund

0.31	ERASX	Eaton Vance Atlanta	Pair Corr
0.31	ERSMX	Eaton Vance Atlanta	Pair Corr
0.31	EAASX	Eaton Vance Atlanta	Pair Corr

Related Correlations Analysis

	USGFX	CGTAX	SPAXX	FHNFX	SSAGX	TWACX	RGVCX	UGSFX
USGFX		0.97	0.8	1.0	0.92	0.94	1.0	1.0	USGFX
CGTAX	0.97		0.78	0.97	0.92	0.96	0.97	0.96	CGTAX
SPAXX	0.8	0.78		0.79	0.86	0.79	0.79	0.79	SPAXX
FHNFX	1.0	0.97	0.79		0.9	0.93	1.0	1.0	FHNFX
SSAGX	0.92	0.92	0.86	0.9		0.97	0.91	0.91	SSAGX
TWACX	0.94	0.96	0.79	0.93	0.97		0.94	0.94	TWACX
RGVCX	1.0	0.97	0.79	1.0	0.91	0.94		1.0	RGVCX
UGSFX	1.0	0.96	0.79	1.0	0.91	0.94	1.0		UGSFX
	USGFX	CGTAX	SPAXX	FHNFX	SSAGX	TWACX	RGVCX	UGSFX

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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
USGFX	0.26	0.02	0.17	1.75	0.24	(0.31)	0.51	(0.58)	1.55
CGTAX	0.25	0.02	0.19	(0.35)	0.21	(0.31)	0.60	(0.42)	1.55
SPAXX	0.03	0.00	0.00	(0.38)	0.00	0.00	0.00	0.00	1.01
FHNFX	0.23	0.00	0.15	0.00	0.23	(0.26)	0.55	(0.45)	1.23
SSAGX	0.06	0.01	0.44	(0.91)	0.00	(0.16)	0.10	(0.10)	0.51
TWACX	0.09	0.01	0.33	(0.25)	0.00	(0.14)	0.22	(0.11)	0.45
RGVCX	0.25	0.02	0.17	1.40	0.23	(0.30)	0.51	(0.50)	1.38
UGSFX	0.25	0.02	0.15	0.73	0.24	(0.30)	0.60	(0.50)	1.55

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